SECTION I-A                                                                                                                                                        
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969,                        
and before January 1, 1985.  Debt instruments which matured or were entirely called before 2015 are not included. See Section I-B for corporate                    
discount debt instruments issued after 1984.                                                                                                                       
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of                       
rounding or updated information.                                                                                                                                   
                                                                                                                                             OID per               
                                                                                                         Daily OID per $1,000               $1,000 of              
                                                                                                          of Maturity Value                 Maturity               
                                                               Issue Price   Annual                    for Each Accrual Period              Value for              
                                                               (Percent of   Stated      Total      -------------------------------       Calendar Year            
                                           Issue    Maturity    Principal   Interest     OID to     2015 1st    2015 2nd   2016 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/15      Period     2016 1st    Period        2015       2016          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Fannie Mae                   313586RC5   10/09/84   10/09/19       3.200      0.000      594.12     0.173154    0.190526   0.210791      64.66      71.43          
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      452.85     0.127582    0.139874   0.154193      47.67      52.48          






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 2015 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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES    4.7500              0.132560   0.132971   0.133066   0.133162  0.133261     47.88    47.95
Adams 12 Five Star SCH   006449ED0 12/22/11 12/15/15     91.478     0.000    2.2501    64.07     0.061122   0.061809                                     21.15         
American Medical Systems 02744MAA6 06/27/06 07/01/36    100.000    VARIES    9.1005              0.433407   0.448517   0.464313   0.480829              158.75   170.13
American Medical Systems 02744MAB4 09/21/09 09/15/41    103.658    VARIES   14.0090              0.685030   0.725230   0.768246   0.814276  0.863529    262.67   294.95
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES    4.4729              0.137979   0.141065   0.144220   0.147445  0.150743     50.98    53.28
Anoka CNTY HSG & REDEV   03622CAA3 12/15/10 05/01/17     97.561     8.000    8.5032    13.95     0.011351   0.011834   0.012337   0.012861  0.013408      4.23     4.60
Anoka City, MN           03633CAA0 11/30/11 11/01/16     97.000     6.750    7.4901    17.55     0.017747   0.018412   0.019102   0.019817                6.59     5.86
Anoka City, MN           03633CAB8 11/30/11 11/01/15     97.000     6.500    7.3954    22.91     0.023131   0.023986                                      7.09         
Ardagh MP Holdings Inc.  03968XAA9 01/26/12 10/15/20     96.356     9.125    9.7549     9.08     0.009881   0.010363   0.010869   0.011399  0.011955      3.72     4.09
Ares Capital Corporation 04010LAK9 07/19/13 01/15/19     98.500     4.375    4.6881     3.60     0.007061   0.007226   0.007395   0.007569  0.007746      2.63     2.75
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875    N/A                 0.025164   0.025161   0.025158   0.025155  0.025152      9.06     9.06
Republic of Argentina    040114GA2 06/15/00 06/15/15     91.700    11.750   13.0226    77.56     0.033191                                                 5.44         
Republic of Argentina    040114GB0 07/21/00 07/21/30     80.144    10.250   12.8669    24.41     0.009885   0.010521   0.011198   0.011919  0.012685      3.88     4.40
Republic of Argentina    040114GG9 06/19/01 06/19/18     75.375     0.000    N/A                 0.704530   0.707727   0.715301   0.575262  0.436206    257.88   232.54
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250    12.000    N/A                 0.602175   0.599726   0.600628   0.601595  0.605943    219.33   220.08
Aelington Indpt SD, TX   041826F78 06/26/13 02/15/15     99.111     0.000    0.5458     8.22     0.014792                                                  .67         
Armstrong Cnty Ind Dev   04233KAB2 07/29/99 08/20/34      6.955     0.000    7.7498   155.18     0.047050   0.048874   0.050767   0.052734  0.054778     17.75    19.16
BRE Properties, Inc.     05564EBM7 04/04/14 01/15/23     94.166     3.375    4.1753     4.16     0.015648   0.015974   0.016308   0.016648  0.016996      5.80     6.05
BNP Paribas              05567LA31 09/30/09 03/30/15    100.000     0.000    3.2105              0.104579                                                 9.31         
BNP Paribas              05567LB55 10/30/09 04/29/15    100.000     0.000    3.2308              0.105333                                                12.43         
BNP Paribas              05567LD53 03/03/10 03/03/15    100.000     0.000    3.0717              0.097873                                                 6.07         
BNP Paribas              05567LE52 02/01/10 07/31/15    100.000     0.000    3.0492              0.094941   0.097987                                     20.58         
BNP Paribas              05567LH67 04/30/10 10/30/15    100.000     0.000    0.3103              0.008741   0.008754                                      2.62         
BNP Paribas              05567LYQ4 04/30/09 04/30/15    100.000     0.000    2.9447              0.096067                                                11.43         
Banco Macro S.A.         05963GAA6 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833   0.270833   0.270833               97.50    93.98
Banco Macro S.A.         05963GAB4 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833   0.270833   0.270833               97.50    93.98
Bank of America Corp.    06048UCT9 01/30/09 01/30/15    100.000     0.000    4.1274              0.143536                                                 4.16         
Bank of America Corp.    06048UCU6 01/30/09 01/30/15    100.000     0.000    4.0392              0.139802                                                 4.05         
Bank of America Corp.    06048WAU4 02/22/10 02/22/17    100.000    VARIES    4.7710              0.134537   0.134334   0.134002   0.133662  0.133102     48.33    48.06
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES    5.5724              0.157613   0.157657   0.157520   0.157379  0.157083     56.74    56.64
Bank of America Corp.    06048WBG4 04/01/10 04/01/15    100.000     0.500    4.3270              0.142781                                                12.85         
Bank of America Corp.    06048WBN9 04/13/10 04/13/17    100.000    VARIES    5.0917              0.144508   0.144164   0.143566   0.142954  0.142206     51.89    51.47
Bank of America Corp.    06048WBP4 04/28/10 04/28/15    100.000     0.500    4.1699              0.136639                                                15.99         
Bank of America Corp.    06048WBQ2 05/03/10 05/03/17    100.000     5.020    5.0199              0.139444   0.139444   0.139444   0.139444  0.139444     50.20    50.20
Bank of America Corp.    06048WBT6 05/03/10 05/03/17    100.000    VARIES    4.8505              0.136914   0.136704   0.136302   0.135890  0.135321     49.22    48.94
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES    5.5513              0.132350   0.132804   0.133270   0.133750  0.134242     47.76    48.10
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES    5.2405              0.147935   0.147973   0.147847   0.147718  0.147564     53.26    53.19
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30    100.000    VARIES    5.5091              0.140015   0.140286   0.140565   0.140852  0.141146     50.46    50.66
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES    5.5309              0.156274   0.156281   0.156141   0.155998  0.155821     56.26    56.18
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES    5.8002              0.148992   0.149227   0.149469   0.149718  0.149974     53.76    53.94
Bank of America Corp.    06048WCU2 06/28/10 06/28/30    100.000    VARIES    5.8695              0.154037   0.154219   0.154407   0.154600  0.154798     55.49    55.62
Bank of America Corp.    06048WCY4 08/12/10 08/12/30    100.000    VARIES    5.3993              0.138201   0.138437   0.138680   0.138929  0.139185     49.86    50.04
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES    2.4229              0.007765   0.007859   0.007954   0.008050  0.008148      2.83     2.91
Bank of America Corp.    06048WDJ6 08/18/10 08/18/17    100.000    VARIES    2.2826              0.007334   0.007417   0.007502   0.007588  0.007674      2.68     2.74
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES    2.3834              0.008036   0.008131   0.008228   0.008326  0.008426      2.93     3.00
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES    2.5928              0.013157   0.013327   0.013500   0.013675  0.013852      4.81     4.93
Bank of America Corp.    06048WDQ0 10/01/10 10/01/20    100.000     5.052    5.0519              0.140333   0.140333   0.140333   0.140333  0.140333     50.52    50.52
Bank of America Corp.    06048WDS6 09/08/10 09/08/15    100.000    VARIES    1.8483              0.008408   0.008486                                      2.09         
Bank of America Corp.    06048WDT4 09/23/10 09/23/30    100.000    VARIES    5.3198              0.137420   0.137630   0.137844   0.138065  0.138291     49.55    49.71
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES    2.4733              0.013982   0.014155   0.014330   0.014507  0.014687      5.10     5.23
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES    2.6604              0.014471   0.014663   0.014858   0.015056  0.015256      5.28     5.42
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES    2.4632              0.010150   0.010275   0.010400   0.010530  0.010659      3.70     3.79
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES    2.6493              0.014454   0.014646   0.014840   0.015036  0.015236      5.27     5.41
Bank of America Corp.    06048WEC0 09/28/10 09/28/15    100.000    VARIES    1.9786              0.013310   0.013441                                      3.58         
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES    5.2016              0.131080   0.131354   0.131635   0.131923  0.132219     47.28    47.48
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES    5.6998              0.145086   0.145345   0.145611   0.145885  0.146167     52.30    52.49
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES    2.5529              0.012952   0.013117   0.013284   0.013454  0.013626      4.71     4.83
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES    2.4291              0.018485   0.018709   0.018936   0.019166  0.019399      6.71     6.88
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES    1.9846              0.009491   0.009585   0.009680   0.009777  0.009874      3.44     3.51
Bank of America Corp.    06048WER7 12/03/10 12/03/15    100.000    VARIES    1.8507              0.008203   0.008279                                      2.74         
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES    2.5893              0.009743   0.009870   0.009997   0.010127  0.010258      3.54     3.63
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES    5.9911              0.150138   0.150449   0.150768   0.151098  0.151437     54.12    54.35
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES    2.5961              0.009664   0.009789   0.009916   0.010045  0.010175      3.51     3.60
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES    5.1716              0.135882   0.136034   0.136190   0.136350  0.136514     49.00    49.11
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES    5.4019              0.149355   0.149400   0.149447   0.149495  0.149545     53.79    53.83
Bank of America Corp.    06048WFC9 01/31/11 01/31/17    100.000     0.000    4.4000              0.142335   0.145466   0.148667   0.151937  0.155280     52.76    55.11
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES    5.5089              0.152439   0.152477   0.152516   0.152557  0.152598     54.90    54.92
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES    5.9293              0.158425   0.158540   0.158658   0.158780  0.158905     57.08    57.17
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES    5.6398              0.148825   0.148972   0.149123   0.149278  0.149438     53.64    53.75
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES    5.2649              0.145413   0.145468   0.145524   0.145582  0.145641     52.37    52.41
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES    5.0284              0.142189   0.142024   0.141854   0.141680  0.141501     51.12    51.00
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES    5.2101              0.145894   0.145818   0.145739   0.145659  0.145576     52.49    52.44
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES    N/A                 0.009160   0.009266   0.009373   0.009266  0.009373      3.34     3.41
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES    5.3401              0.149222   0.149164   0.149104   0.149043  0.148981     53.70    53.66
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES    5.1374              0.133616   0.133794   0.133977   0.134165  0.134357     48.15    48.28
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES    2.2369              0.060300   0.060432   0.060566   0.060701  0.060837     21.74    21.83
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES    4.8973              0.135857   0.135866   0.135875   0.135884  0.135893     48.91    48.92
Bank of America Corp.    06048WGG9 06/27/11 06/27/31    100.000    VARIES    5.5241              0.144185   0.144360   0.144541   0.144726  0.144917     51.94    52.07
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES    5.1061              0.141962   0.141954   0.141947   0.141939  0.141931     51.10    51.10
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES    2.3482              0.014382   0.014551   0.014722   0.014894  0.015069      5.21     5.33
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES    5.5581              0.144947   0.145118   0.145293   0.145473  0.145658     52.27    52.40
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES    5.1475              0.142298   0.142329   0.142360   0.142392  0.142425     51.24    51.27
Bank of America Corp.    06048WGU8 07/14/11 07/14/26    100.000    VARIES    5.3899              0.143437   0.143627   0.143822   0.144022  0.144227     51.74    51.88
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES    5.2773              0.137255   0.137428   0.137606   0.137788  0.137975     49.49    49.62
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES    4.7456              0.131368   0.131389   0.131410   0.131431  0.131454     47.30    47.32
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES    5.0293              0.129839   0.130026   0.130218   0.130414  0.130616     46.82    46.96
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES    5.3141              0.136863   0.137062   0.137266   0.137475  0.137690     49.34    49.49
Bank of America Corp.    06048WJA9 11/04/11 11/04/31    100.000    VARIES    5.9879              0.156798   0.156963   0.157133   0.157309  0.157489     56.50    56.62
Bank of America Corp.    06048WJB7 11/02/11 11/02/15    100.000    VARIES    5.3627              0.149157   0.149062                                     44.88         
Bank of America Corp.    06048WKE9 02/15/12 02/15/32*   100.000    VARIES    5.9033              0.153868   0.152671                                      7.08*        
Bank of America Corp.    06048WKG4 01/31/12 01/31/32    100.000    VARIES    5.8092              0.153259   0.153396   0.153537   0.153682  0.153832     55.24    55.34
Bank of America Corp.    06048WKR0 02/23/12 02/23/32    100.000    VARIES    5.1903              0.141663   0.141708   0.141754   0.141801  0.141850     51.02    51.05
Bank of America Corp.    06048WKU3 03/08/12 03/08/32    100.000    VARIES    5.6026              0.149012   0.149126   0.149243   0.149363  0.149486     53.69    53.78
Bank of America Corp.    06048WKV1 03/12/12 03/12/28    100.000    VARIES    5.6078              0.149104   0.148611   0.148105   0.147584  0.147828     53.48    53.19
Bank of America Corp.    06048WKW9 03/15/12 03/15/15    100.000     0.000    3.1634              0.095045                                                 7.03         
Bank of America Corp.    06048WLF5 03/30/12 03/30/32    100.000    VARIES    5.3816              0.145712   0.145778   0.145846   0.145916  0.145988     52.48    52.53
Bank of America Corp.    06048WLG3 03/27/12 03/27/29*   100.000    VARIES    N/A                 0.150129                                                12.91*        
Bank of America Corp.    06048WLM0 04/16/12 04/16/15    100.000     0.000    3.0060              0.089969                                                 9.45         
Bank of America Corp.    06048WLN8 04/16/12 04/16/32    100.000    VARIES    5.1652              0.136794   0.136914   0.137037   0.137163  0.137292     49.29    49.38
Bank of America Corp.    06048WLP3 04/27/12 04/27/16    100.000    VARIES    2.7773              0.021518   0.021816   0.022119                           7.84     2.57
Bank of America Corp.    06048WLQ1 04/16/12 04/16/30    100.000    VARIES    5.4873              0.145480   0.145625   0.145774   0.145927  0.146085     52.42    52.53
Bank of America Corp.    06048WLU2 04/30/12 04/30/28    100.000    VARIES    5.6078              0.149104   0.148611   0.148105   0.147584  0.147828     53.53    53.21
Bank of America Corp.    06048WLX6 05/04/12 05/04/32    100.000    VARIES    5.6985              0.149792   0.149937   0.150086   0.150239  0.150396     53.97    54.08
Bank of America Corp.    06048WLY4 05/03/12 05/03/16    100.000    VARIES    2.6957              0.019366   0.019627   0.019892                           7.05     2.43
Bank of America Corp.    06048WME7 05/18/12 05/18/16    100.000    VARIES    2.4625              0.013190   0.013352   0.013516                           4.79     1.85
Bank of America Corp.    06048WMF4 05/17/12 05/17/17    100.000    VARIES    2.0467              0.015227   0.015383   0.015540   0.015700  0.015860      5.52     5.64
Bank of America Corp.    06048WMN7 06/15/12 06/15/16    100.000    VARIES    3.0325              0.021654   0.021983   0.022316                           7.87     3.66
Bank of America Corp.    06048WMT4 06/28/12 06/28/16    100.000    VARIES    2.6529              0.021171   0.021452   0.021737                           7.67     3.85
Bank of America Corp.    06048WMW7 08/07/12 08/07/32*   100.000    VARIES    N/A                 0.117845   0.117987                                      4.48*        
Bank of America Corp.    06048WNA4 08/22/12 08/22/19    100.000    VARIES    2.0565              0.009419   0.009515   0.009613   0.009712  0.009812      3.43     3.50
Bank of America Corp.    06048WNB2 08/22/12 08/22/18    100.000     0.000    3.2065              0.094920   0.096442   0.097988   0.099559  0.101156     34.84    35.97
Bank of America Corp.    06048WNF3 10/12/12 10/12/27    100.000     4.130    4.1299              0.114722   0.114722   0.114722   0.114722  0.114722     41.30    41.30
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES    1.6065              0.008642   0.008711   0.008781   0.008852  0.008923      3.13     3.18
Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES    1.4138              0.037309   0.037425   0.037543   0.037661  0.037780     13.46    13.54
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES    5.0043              0.131626   0.131744   0.131866   0.131991  0.132118     47.45    47.54
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES    4.8452              0.127570   0.127684   0.127802   0.127922  0.128045     45.98    46.07
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES    4.9958              0.130294   0.129694   0.129808   0.129924  0.130759     47.39    47.65
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES    4.8734              0.128007   0.128126   0.128249   0.128375  0.128504     46.13    46.22
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES    4.7033              0.123648   0.123764   0.123883   0.124005  0.124129     44.55    44.64
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES    4.8648              0.128112   0.128226   0.128344   0.128464  0.128587     46.14    46.23
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES    3.7878              0.102433   0.098554   0.099846   0.098971  0.100829     36.36    36.50
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES    4.4526              0.120255   0.116748   0.116866   0.116987  0.117110     42.32    42.12
Bank of America Corp.    06048WPP9 07/03/14 07/03/17    100.000     0.000    1.1927              0.033132   0.033329   0.033528   0.033728  0.033929     12.03    12.18
Bank of America Corp.    06048WQJ2 02/20/15 02/20/18    109.390     0.250    1.4839                         0.045093   0.045376   0.045661  0.045948     14.06    16.46
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES    2.8047                                    0.020409   0.019943  0.019471      1.86     7.18
Bank of America Corp.    06050R122 04/01/11 03/29/16    100.000     0.000    3.4400              0.107652   0.109503   0.111387                          39.43     9.80
Bank of America Corp.    06050R197 04/01/11 03/29/16    100.000     0.000    3.4499              0.108000   0.109863   0.111758                          39.56     9.83
Bank of America Corp.    06050R205 04/01/11 04/04/17    100.000     3.958    3.9579              0.109944   0.109944   0.109944   0.109944  0.109944     39.58    39.58
Bank of America Corp.    06050R296 05/05/11 04/29/16    100.000     0.000    3.4948              0.109530   0.111444   0.113392                          40.01    13.38
Bank of America Corp.    06050R403 05/05/11 05/05/17    100.000     3.979    3.9789              0.110528   0.110528   0.110528   0.110528  0.110528     39.79    39.79
Bank of America Corp.    06050R544 06/03/11 05/27/16    100.000     0.000    3.0781              0.095106   0.096569   0.098056                          34.60    14.32
Bank of America Corp.    06050R585 06/03/11 06/01/16    100.000     0.000    3.1878              0.098899   0.100475   0.102077                          35.98    15.31
Bank of America Corp.    06050R718 07/06/11 06/24/16    100.000     0.000    3.3893              0.105785   0.107577   0.109400                          38.43    18.93
Bank of America Corp.    06050R783 07/01/11 06/30/17    100.000     3.855    3.8549              0.106492   0.104755   0.105907   0.104755  0.106492     38.55    38.55
Bank of America Corp.    06050R833 07/06/11 06/28/16    100.000     0.000    3.4408              0.107620   0.109472   0.111355                          39.09    19.71
Bank of America Corp.    06051N112 07/01/11 06/30/17    100.000     0.000    3.8314              0.120866   0.121173   0.124852   0.125861  0.130398     44.18    45.89
Bank of America Corp.    06051N153 08/04/11 07/28/17    100.000     0.000    3.7886              0.117711   0.119941   0.122213   0.124528  0.126887     43.47    45.13
Bank of America Corp.    06051N179 08/04/11 08/01/16    100.000     0.000    3.3768              0.103686   0.105437   0.107217   0.109027               38.17    22.84
Bank of America Corp.    06051N286 07/14/11 07/14/15    100.000     3.046    3.0459              0.084611   0.084611                                     16.33         
Bank of America Corp.    06051N351 09/16/11 09/16/15    100.000     3.922    3.9219              0.108944   0.108944                                     27.78         
Bank of America Corp.    06051N427 09/16/11 09/29/17    100.000     0.000    4.4513              0.141334   0.144480   0.147695   0.150983  0.154343     52.03    54.37
Bank of America Corp.    06051N443 09/16/11 09/01/16    100.000     0.000    4.1772              0.131132   0.133871   0.136667   0.139521               48.36    33.31
Bank of America Corp.    06051N518 10/06/11 09/29/17    100.000     0.000    5.1703              0.167224   0.171547   0.175982   0.180532  0.185199     61.78    65.02
Bank of America Corp.    06051N658 11/03/11 10/27/17    100.000     0.000    4.7610              0.152184   0.155806   0.159515   0.163313  0.167200     55.91    58.60
Bank of America Corp.    06051N880 11/30/11 12/02/15    100.000     0.000    5.5599              0.182120   0.187183                                     61.19         
Bank of America Corp.    06051P273 01/11/12 12/23/16    100.000     0.000    5.0677              0.163172   0.167307   0.171546   0.175893               59.55    61.17
Bank of America Corp.    06051P448 02/02/12 01/27/17    100.000     0.000    4.0038              0.122738   0.125196   0.127702   0.130258  0.132866     45.39    47.23
Bank of America Corp.    06051P513 03/01/12 02/24/17    100.000     0.000    3.8487              0.117515   0.119776   0.122081   0.124430  0.126825     43.29    44.97
Bank of America Corp.    06051P521 03/01/12 02/23/17    100.000     0.000    3.8617              0.117936   0.120213   0.122534   0.124900  0.127312     43.46    45.15
Bank of America Corp.    06051P703 04/05/12 03/27/15    100.000     0.000    2.9889              0.089359                                                 7.68         
Bank of America Corp.    06051P760 04/05/12 04/02/18    100.000     0.000    3.7915              0.115654   0.117847   0.120081   0.122357  0.124677     42.42    44.05
Bank of America Corp.    06051P885 05/03/12 04/24/15    100.000     0.000    3.1298              0.093886                                                10.61         
Bank of America Corp.    06051R139 06/01/12 06/02/15    100.000     0.000    3.5585              0.107973                                                16.30         
Bank of America Corp.    06051R154 06/01/12 05/29/15    100.000     0.000    3.5535              0.107775                                                15.95         
Bank of America Corp.    06051R345 07/06/12 06/29/18    100.000     0.000    3.5614              0.107984   0.109907   0.111864   0.113856  0.115884     39.23    40.64
Bank of America Corp.    06051R527 08/02/12 07/27/18    100.000     0.000    3.0742              0.090730   0.092125   0.093541   0.094978  0.096438     33.35    34.38
Bank of America Corp.    06051R758 05/03/12 05/01/15    100.000     0.000    3.1842              0.095704                                                11.48         
Bank of America Corp.    06051R774 05/03/12 04/27/18    100.000     0.000    3.9751              0.121762   0.124182   0.126650   0.129167  0.131735     44.58    46.37
Bank of America Corp.    06051R881 06/01/12 05/25/18    100.000     0.000    4.1954              0.129198   0.131909   0.134676   0.137501  0.140385     47.20    49.20
Bank of America Corp.    06052E525 02/04/10 01/30/15    100.000     0.000    4.0898              0.136250                                                 3.95         
Bank of America Corp.    06052E707 12/30/09 01/14/15    100.000     0.000    4.5896              0.156651                                                 2.04         
Bank of America Corp.    06052E848 02/04/10 02/03/15    100.000     0.000    4.0998              0.136690                                                 4.37         
Bank of America Corp.    06052H148 03/04/10 02/27/15    100.000     0.000    3.8898              0.128411                                                 7.19         
Bank of America Corp.    06052H353 04/06/10 03/27/15    100.000     0.000    4.2597              0.142892                                                12.29         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06052H411 04/06/10 03/31/15    100.000     0.000    4.3022              0.144638                                                12.87         
Bank of America Corp.    06052H551 05/06/10 04/28/15    100.000     0.000    4.0498              0.134621                                                15.75         
Bank of America Corp.    06052H635 05/06/10 04/24/15    100.000     0.000    4.0496              0.134554                                                15.20         
Bank of America Corp.    06052H676 05/06/10 04/24/15    100.000     0.000    4.1197              0.137303                                                15.52         
Bank of America Corp.    06052H759 06/04/10 06/02/15    100.000     0.000    4.2100              0.141028                                                21.30         
Bank of America Corp.    06052H825 06/04/10 05/29/15    100.000     0.000    4.1399              0.138206                                                20.45         
Bank of America Corp.    06052K174 07/02/10 06/26/15    100.000     0.000    4.2398              0.142149                                                24.88         
Bank of America Corp.    06052K240 07/02/10 06/30/15    100.000     0.000    4.2198              0.140639                                                25.31         
Bank of America Corp.    06052K257 07/02/10 06/30/15    100.000     0.000    4.2375              0.142138                                                25.44         
Bank of America Corp.    06052K448 08/09/10 07/31/15    100.000     0.000    3.8416              0.121443   0.125827                                     26.42         
Bank of America Corp.    06052K463 08/05/10 08/03/15    100.000     0.000    3.8498              0.124537   0.126934                                     26.83         
Bank of America Corp.    06052K513 09/02/10 09/01/15    100.000     0.000    3.5799              0.114597   0.116649                                     27.87         
Bank of America Corp.    06052K612 08/17/10 08/19/15    100.000     0.000    3.6100              0.115730   0.117819                                     26.76         
Bank of America Corp.    06052K679 10/01/10 10/01/15    100.000     0.000    3.5499              0.113515   0.115530                                     31.01         
Bank of America Corp.    06052K703 10/01/10 09/30/16    100.000     4.040    4.0399              0.110989   0.110383   0.110383   0.110383               40.34    30.13
Bank of America Corp.    06052K760 10/04/10 09/30/20*   100.000    VARIES    4.7910              0.130488   0.129857                                     35.38*        
Bank of America Corp.    06052K836 10/14/10 10/30/15    100.000     0.000    3.1997              0.101061   0.102677                                     30.51         
Bank of America Corp.    06052R120 11/04/10 11/04/16    100.000     3.694    3.6939              0.102611   0.102611   0.102611   0.102611               36.94    31.09
Bank of America Corp.    06052R179 10/13/10 10/30/15    100.000     0.000    3.3096              0.105000   0.106738                                     31.71         
Bank of America Corp.    06052R229 12/01/10 11/27/15    100.000     0.000    3.5799              0.114564   0.116614                                     37.72         
Bank of America Corp.    06052R278 12/01/10 12/01/16    100.000     4.030    4.0299              0.111944   0.111944   0.111944   0.111944               40.30    36.94
Bank of America Corp.    06052R294 12/01/10 12/01/15    100.000     0.000    3.5800              0.114611   0.116662                                     38.19         
Bank of America Corp.    06052R427 12/30/10 12/28/15    100.000     0.000    4.0699              0.132796   0.135498                                     47.89         
Bank of America Corp.    06052R476 12/16/10 12/16/22    100.000     5.612    5.6119              0.155889   0.155889   0.155889   0.155889  0.155889     56.12    56.12
Bank of America Corp.    06052R500 01/18/11 01/29/16    100.000     0.000    3.9297              0.125237   0.127698   0.130207                          46.28     3.65
Bank of America Corp.    06052R575 02/04/11 02/02/16    100.000     0.000    3.9799              0.126875   0.129400   0.131975                          46.89     4.09
Bank of America Corp.    06052R625 01/18/11 01/18/23    100.000     5.240    5.2399              0.145556   0.145556   0.145556   0.145556  0.145556     52.40    52.40
Bank of America Corp.    06052R633 02/04/11 02/02/16    100.000     0.000    3.7599              0.118964   0.121200   0.123479                          43.90     3.83
Bank of America Corp.    06052R658 01/31/11 01/31/23    100.000     5.390    5.3899              0.149722   0.149722   0.149722   0.149722  0.149722     53.90    53.90
Bank of America Corp.    06052R666 02/03/11 02/02/18    100.000     0.000    4.4999              0.146047   0.149333   0.152693   0.156128  0.159641     54.16    56.62
Bank of America Corp.    06052R757 03/04/11 02/26/16    100.000     0.000    3.7898              0.119959   0.122232   0.124548                          44.17     6.85
Bank of America Corp.    06052R781 02/17/11 02/17/23    100.000     5.630    5.6299              0.156389   0.156389   0.156389   0.156389  0.156389     56.30    56.30
Bank of America Corp.    06052R807 02/17/11 02/17/16    100.000     4.091    4.0909              0.113639   0.113639   0.113639                          40.91     5.23
Bank of America Corp.    06052R872 03/04/11 03/04/16    100.000     3.673    3.6729              0.102028   0.102028   0.102028                          36.73     6.43
Bank of America Corp.    06053D195 09/07/12 08/31/18    100.000     0.000    2.8935              0.084612   0.084437   0.086600   0.086898  0.089616     31.10    32.12
Bank of America Corp.    06053D203 09/07/12 08/27/15    100.000     0.000    1.9145              0.055218   0.055746                                     13.13         
Bank of America Corp.    06053D559 11/02/12 10/26/18    100.000     0.000    2.2130              0.064215   0.064926   0.065644   0.066370  0.067105     23.34    23.86
Bank of America Corp.    06053D690 12/06/12 11/30/15    100.000     0.000    1.2694              0.036159   0.036389                                     11.94         
Bank of America Corp.    06053D872 01/10/13 12/26/18    100.000     0.000    2.0975              0.060700   0.061337   0.061980   0.062630  0.063287     21.97    22.44
Bank of America Corp.    06053E219 01/31/13 02/02/16    100.000     0.000    1.2331              0.034894   0.035109   0.035325                          12.66     1.10
Bank of America Corp.    06053E391 02/28/13 02/22/19    100.000     0.000    2.1319              0.061108   0.061759   0.062417   0.063083  0.063755     22.28    22.76
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06053E599 04/05/13 03/29/19    100.000     0.000    2.2115              0.063468   0.064170   0.064880   0.065597  0.066323     23.10    23.62
Bank of America Corp.    06053E755 06/06/13 05/31/19    100.000     0.000    2.3275              0.066913   0.067692   0.068480   0.069277  0.070083     24.28    24.85
Bank of America Corp.    06053E888 06/20/13 06/26/20    100.000     0.000    N/A                 0.088803   0.090159   0.091535   0.092933  0.094351     32.23    33.22
Bank of America Corp.    06053F638 10/04/13 09/24/19    100.000     0.000    2.9627              0.084686   0.085941   0.087214   0.088506  0.089817     30.96    31.88
Bank of America Corp.    06053M385 07/31/14 07/29/16    100.000     0.000    0.7052              0.019590   0.019659   0.019728   0.019798                7.09     4.12
Bank of America Corp.    06053M427 09/05/14 08/27/21    100.000     0.000    2.9178              0.081051   0.082180   0.083379   0.084596  0.085830     29.67    30.54
Bank of America Corp.    06053M518 10/02/14 09/24/21    100.000     0.000    3.1046              0.086239   0.087519   0.088877   0.090257  0.091658     31.53    32.51
Bank of America Corp.    06053M534 11/06/14 10/29/21    100.000     0.000    2.9615              0.082266   0.083437   0.084673   0.085927  0.087199     29.98    30.86
Bank of America Corp.    06053M674 12/03/14 11/24/21    100.000     0.000    2.8707              0.079744   0.080831   0.081992   0.083168  0.084362     28.99    29.82
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000    3.3491              0.093033   0.093154   0.094714   0.096300  0.097913     29.91    34.78
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000    2.5377                         0.070492   0.071352   0.072257  0.073174     23.11    26.13
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000    2.7072                         0.075201   0.076179   0.077210  0.078255     20.32    27.81
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000    2.8843                         0.080120   0.081231   0.082402  0.083591     16.62    29.53
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000    3.1925                         0.088681   0.090034   0.091471  0.092931     15.88    32.69
Bank of America Corp.    06053W631 08/10/15 08/27/21    100.000     0.000    2.7829                         0.077305   0.077406   0.078483  0.079575     10.91    28.33
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000    3.0324                         0.084235   0.084349   0.085628  0.086926     11.89    30.92
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000    2.9205                                    0.079797   0.080956  0.082590      7.34    29.68
Bank of Montreal         06366RVF9 07/08/14 09/30/16    100.000     0.000    0.8381              0.023326   0.023424   0.023522   0.023621                8.43     6.35
Barclays Bank PLC        067387EG1 01/28/13 07/28/15    100.000     0.000    0.9399              0.026479   0.026603                                      5.50         
Barclays Bank PLC        067387ER7 02/21/13 08/20/15    100.000     0.000    1.0000              0.028196   0.028337                                      6.48         
Barclays Bank PLC        067387HP8 02/28/14 02/29/20    100.000     0.000    2.6300              0.073608   0.073360   0.075142   0.075302  0.077557     27.01    27.83
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000    3.5500              0.100362   0.102144   0.103957   0.105802  0.107680     36.79    38.10
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000    3.6100              0.102088   0.103931   0.105806   0.107716  0.109661     37.38    38.75
Barclays Bank PLC        06738CZX0 03/09/07 03/09/17    100.000     0.000    5.5899              0.234795   0.241357   0.248103   0.255038  0.262166     87.20    92.14
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES    3.8890              0.109693   0.109868   0.110046   0.110228  0.110414     39.54    39.67
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES    4.0513              0.115944   0.116208   0.116478   0.116406  0.116333     41.84    41.91
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES    4.2146              0.121477   0.121690   0.121907   0.122129  0.122356     43.80    43.96
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES    4.0416              0.116384   0.116621   0.116864   0.116737  0.116608     41.98    42.03
Barclays Bank PLC        06738JL28 03/24/11 03/24/21    100.000    VARIES    4.4415              0.125415   0.125733   0.126057   0.126389  0.126574     45.27    45.49
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25    100.000    VARIES    4.5900              0.131531   0.131916   0.132310   0.132713  0.133125     47.46    47.75
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES    4.0316              0.116052   0.116306   0.116565   0.116452  0.116336     41.86    41.93
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES    4.2148              0.121513   0.121730   0.121951   0.122177  0.122407     43.82    43.98
Barclays Bank PLC        06738K3N9 04/25/12 04/25/17    100.000     0.000    3.1700              0.095261   0.096771   0.098305   0.099863  0.101446     34.77    35.88
Barclays Bank PLC        06738K3V1 05/16/12 05/16/16    100.000     0.000    2.8499              0.084970   0.086181   0.087409                          30.92    11.80
Barclays Bank PLC        06738K4W8 05/09/12 05/07/15    100.000     0.000    2.4498              0.072314                                                 9.11         
Barclays Bank PLC        06738K5L1 05/23/12 05/22/15    100.000     0.000    2.4899              0.073575                                                10.37         
Barclays Bank PLC        06738K5P2 05/29/12 11/29/16    100.000    VARIES    1.8279              0.050451   0.050532   0.050613   0.050695               18.18    16.62
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES    5.5650              0.124949   0.124060   0.123147   0.122208  0.122786     44.59    44.12
Barclays Bank PLC        06738KAP6 02/02/11 02/02/16    100.000     1.000    3.3894              0.102438   0.103704   0.104990                          37.49     3.25
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES    4.8413              0.137036   0.137166   0.137157   0.137147  0.137013     49.37    49.35
Barclays Bank PLC        06738KBZ3 02/16/11 02/17/15    100.000     0.000    3.3099              0.103147                                                 4.74         
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES    4.8210              0.136317   0.136499   0.136519   0.136538  0.136421     49.13    49.14
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES    5.1730              0.154905   0.154665   0.154419   0.153964  0.153498     55.67    55.41
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES    5.0806              0.143993   0.144230   0.144349   0.144472  0.144366     51.91    51.99
Barclays Bank PLC        06738KGC9 04/07/11 04/12/16    100.000     0.000    3.5299              0.110883   0.112841   0.114832                          40.58    11.60
Barclays Bank PLC        06738KGD7 04/07/11 04/12/17    100.000     0.000    3.8999              0.124080   0.126499   0.128966   0.131481  0.134044     45.49    47.28
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES    4.6808              0.132251   0.132347   0.132362   0.132378  0.132303     47.63    47.65
Barclays Bank PLC        06738KK75 01/25/12 01/25/19    100.000     0.000    4.4000              0.136273   0.139271   0.142335   0.145467  0.148667     50.54    52.79
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES    4.8716              0.139343   0.139712   0.139863   0.140017  0.139958     50.23    50.38
Barclays Bank PLC        06738KMB4 06/21/11 06/19/15    100.000     0.000    2.6199              0.079705                                                13.39         
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES    4.8122              0.137716   0.137803   0.137893   0.137798  0.137701     49.62    49.59
Barclays Bank PLC        06738KN56 02/29/12 02/28/18    100.000     0.000    3.1970              0.095605   0.095549   0.098143   0.098628  0.101866     35.20    36.47
Barclays Bank PLC        06738KN72 02/29/12 02/29/16    100.000     0.000    2.5881              0.076244   0.075972   0.077801                          27.97     4.59
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES    4.0103              0.110792   0.109320   0.110696   0.109670  0.111537     40.16    40.43
Barclays Bank PLC        06738KNF4 07/29/11 07/31/17    100.000     0.000    3.5900              0.110979   0.112971   0.114999   0.117063  0.119165     40.92    42.40
Barclays Bank PLC        06738KNJ6 07/29/11 07/29/16    100.000     0.000    3.2800              0.100453   0.102101   0.103775   0.105477               36.96    21.89
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500    4.1087              0.124860   0.127140   0.129467   0.131841  0.134264     45.99    47.69
Barclays Bank PLC        06738KQF1 08/31/11 08/31/17    100.000     0.000    3.9281              0.121944   0.122312   0.126084   0.127163  0.131810     45.09    47.05
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES    6.1335              0.145204   0.141690   0.142052   0.139291  0.140323     51.97    51.27
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES    4.6123              0.132336   0.132873   0.133423   0.133617  0.133816     47.90    48.12
Barclays Bank PLC        06738KQU8 08/03/11 08/03/16    100.000     0.000    3.0700              0.093440   0.094874   0.096331   0.097809               34.32    20.69
Barclays Bank PLC        06738KR78 03/16/12 03/30/17    100.000     0.000    4.4000              0.136507   0.139510   0.142580   0.145716  0.148922     50.24    52.47
Barclays Bank PLC        06738KRA1 09/08/11 09/08/16    100.000     0.000    3.5399              0.109247   0.111180   0.113148   0.115151               40.12    28.31
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES    5.4569              0.136719   0.136121   0.135506   0.134875  0.134226     49.00    48.55
Barclays Bank PLC        06738KU33 03/06/12 03/06/17    100.000     0.000    2.8900              0.086249   0.087496   0.088760   0.090043  0.091344     31.56    32.48
Barclays Bank PLC        06738KUD1 09/30/11 09/29/17    100.000     0.000    3.9799              0.124415   0.126891   0.129416   0.131992  0.134618     45.70    47.53
Barclays Bank PLC        06738KUK5 09/16/11 09/16/16    100.000    VARIES    3.6494              0.099774   0.100198   0.100598   0.100996               36.08    25.72
Barclays Bank PLC        06738KUQ2 10/12/11 10/12/16    100.000     0.000    3.6299              0.112322   0.114360   0.116436   0.118549               41.13    33.10
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES    5.2986              0.134291   0.133918   0.133535   0.133142  0.132738     48.21    47.93
Barclays Bank PLC        06738KW98 05/09/12 04/14/17    100.000     0.000    2.0400              0.059533   0.060140   0.060754   0.061373  0.061999     21.64    22.08
Barclays Bank PLC        06738KWV9 09/30/11 10/03/17    100.000     0.000    3.9899              0.124821   0.127311   0.129851   0.132442  0.135084     45.83    47.67
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES    4.5597              0.114592   0.112956   0.114437   0.113436  0.115569     41.52    41.77
Barclays Bank PLC        06738KXV8 10/28/11 10/28/16    100.000    VARIES    3.8804              0.107143   0.107348   0.107512   0.107668               38.63    31.96
Barclays Bank PLC        06738KYG0 12/01/11 12/01/16    100.000     0.000    4.3799              0.138553   0.141588   0.144689   0.147857               50.61    48.32
Barclays Bank PLC        06738KZQ7 11/25/11 11/25/15    100.000     0.000    3.8199              0.118864   0.121134                                     38.92         
Barclays Bank PLC        06739J5V1 12/31/09 12/31/15    100.000     0.000    4.2300              0.144857   0.147920                                     52.55         
Barclays Bank PLC        06739J5W9 12/31/09 12/31/15    100.000     0.000    4.2300              0.144857   0.147920                                     52.55         
Barclays Bank PLC        06739J863 10/28/09 04/28/15    100.000     0.000    4.1800              0.142795                                                16.71         
Barclays Bank PLC        06739JQ63 11/30/09 11/30/15    100.000     0.000    3.9500              0.133425   0.136060                                     44.37         
Barclays Bank PLC        06739JQ71 11/30/09 11/30/15    100.000     0.000    3.9500              0.133425   0.136060                                     44.37         
Barclays Bank PLC        06739JYA5 09/30/09 09/30/19    100.000    VARIES    5.0571              0.130128   0.130960   0.131814   0.132668  0.133544     47.15    47.76
Barclays Bank PLC        06740AC49 09/30/13 09/27/19    100.000     0.000    2.5799              0.073105   0.072840   0.074591   0.074732  0.076950     26.78    27.55
Barclays Bank PLC        06740AE21 10/31/13 10/30/19    100.000     0.000    2.5111              0.070725   0.071222   0.072116   0.073021  0.074344     25.99    26.70
Barclays Bank PLC        06740AF38 11/29/13 11/26/19    100.000     0.000    2.5599              0.072523   0.072254   0.073983   0.074115  0.076308     26.47    27.19
Barclays Bank PLC        06740AH69 12/30/13 12/27/19    100.000     0.000    2.8198              0.079651   0.080333   0.081466   0.082614  0.084240     29.21    30.04
Barclays Bank PLC        06740AL80 02/28/14 02/27/20    100.000     0.000    2.6775              0.073728   0.075953   0.075715   0.077572  0.077756     27.57    28.31
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES    3.2528              0.091127   0.090444   0.092058   0.091681  0.093474     33.25    33.80
Barclays Bank PLC        06740AWF2 10/31/12 10/30/19    100.000     0.000    2.2608              0.064964   0.065340   0.066078   0.066825  0.067952     23.85    24.44
Barclays Bank PLC        06740AYA1 02/28/13 02/27/20    100.000     0.000    2.1582              0.060565   0.062233   0.061879   0.063234  0.063222     22.57    23.06
Barclays Bank PLC        06740AYT0 04/30/13 04/29/20    100.000     0.000    2.0499              0.058065   0.058340   0.058938   0.059542  0.060483     21.30    21.78
Barclays Bank PLC        06740AZZ5 07/31/13 07/30/19    100.000     0.000    2.6011              0.072529   0.074690   0.074428   0.076224  0.076376     27.16    27.87
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000    2.2499                         0.062500   0.063199   0.063910  0.064629     20.54    23.09
Barclays Bank PLC        06740H286 05/21/10 05/24/17    100.000     2.500    4.9967              0.156082   0.158247   0.160465   0.162739  0.165070     56.74    58.35
Barclays Bank PLC        06740JEY2 01/29/10 01/29/16    100.000     0.000    4.2199              0.141456   0.144441   0.147488                          52.38     4.13
Barclays Bank PLC        06740JEZ9 01/29/10 01/29/16    100.000     0.000    4.2199              0.141456   0.144441   0.147488                          52.38     4.13
Barclays Bank PLC        06740JFA3 01/29/10 01/29/16    100.000     0.000    4.2199              0.141456   0.144441   0.147488                          52.38     4.13
Barclays Bank PLC        06740JFR6 01/29/10 01/29/15    100.000    VARIES    3.7589              0.105825                                                 2.96         
Barclays Bank PLC        06740JK33 02/26/10 02/29/16*   100.000     0.000    N/A                 0.144679                                                 8.10*        
Barclays Bank PLC        06740JL73 03/31/10 03/31/16    100.000     0.000    4.1299              0.137890   0.140737   0.143643                          50.68    12.78
Barclays Bank PLC        06740JL81 03/31/10 03/31/16    100.000     0.000    4.1299              0.137890   0.140737   0.143643                          50.68    12.78
Barclays Bank PLC        06740JL99 03/31/10 03/31/16    100.000     0.000    4.1299              0.137890   0.140737   0.143643                          50.68    12.78
Barclays Bank PLC        06740JM98 03/10/10 03/10/17    100.000    VARIES    4.4514              0.125336   0.125245   0.124920   0.124588  0.124125     45.06    44.82
Barclays Bank PLC        06740JN71 03/04/10 03/04/15    100.000    VARIES    3.5183              0.104154                                                 6.56         
Barclays Bank PLC        06740JQW3 01/29/10 01/29/16    100.000     0.000    4.2199              0.141456   0.144441   0.147488                          52.38     4.13
Barclays Bank PLC        06740JRD4 01/27/10 01/27/17    100.000     5.000    4.3944              0.128702   0.128320   0.127060   0.125771  0.123940     46.01    45.03
Barclays Bank PLC        06740JRE2 02/08/10 02/06/15    100.000     0.000    3.8699              0.127709                                                 4.47         
Barclays Bank PLC        06740JSB7 02/22/10 02/20/15    100.000    VARIES    3.8626              0.110264                                                 5.40         
Barclays Bank PLC        06740JSC5 02/22/10 02/20/15    100.000     0.000    3.8600              0.127325                                                 6.24         
Barclays Bank PLC        06740JSM3 02/26/10 02/29/16    100.000     0.000    4.3199              0.144679   0.145395   0.150167                          53.61     8.86
Barclays Bank PLC        06740JSN1 02/26/10 02/29/16    100.000     0.000    4.3199              0.144679   0.145395   0.150167                          53.61     8.86
Barclays Bank PLC        06740JSP6 02/26/10 02/29/16    100.000     0.000    4.3199              0.144679   0.145395   0.150167                          53.61     8.86
Barclays Bank PLC        06740JSY7 02/26/10 02/29/16    100.000     0.000    4.3199              0.144679   0.145395   0.150167                          53.61     8.86
Barclays Bank PLC        06740JTK6 02/08/10 02/08/17    100.000    VARIES    4.5812              0.128724   0.128607   0.128327   0.128040  0.127654     46.26    46.05
Barclays Bank PLC        06740JZJ2 03/09/10 03/09/15    100.000     0.000    3.4999              0.113649                                                 7.73         
Barclays Bank PLC        06740LAP0 04/07/10 04/07/15    100.000     0.000    3.6900              0.120834                                                11.60         
Barclays Bank PLC        06740LAQ8 04/07/10 04/07/15    100.000     0.000    3.6900              0.120834                                                11.60         
Barclays Bank PLC        06740LAR6 04/09/10 04/10/15    100.000     0.000    3.7199              0.121988                                                12.08         
Barclays Bank PLC        06740LBD6 03/24/10 03/24/15    100.000     1.000    3.5999              0.112578                                                 9.34         
Barclays Bank PLC        06740LBJ3 04/30/10 04/29/16    100.000     0.000    4.4899              0.152287   0.155706   0.159201                          55.87    18.79
Barclays Bank PLC        06740LBK0 04/30/10 04/29/16    100.000     0.000    4.4899              0.152287   0.155706   0.159201                          55.87    18.79
Barclays Bank PLC        06740LBL8 04/30/10 04/29/16    100.000     0.000    4.4899              0.152287   0.155706   0.159201                          55.87    18.79
Barclays Bank PLC        06740LBY0 04/07/10 04/08/15    100.000     0.000    3.6920              0.120922                                                11.73         
Barclays Bank PLC        06740LNW1 05/28/10 05/31/16    100.000     0.000    4.7600              0.161666   0.164609   0.168527                          59.77    25.45
Barclays Bank PLC        06740LNY7 05/28/10 05/31/16    100.000     0.000    4.7600              0.161666   0.164609   0.168527                          59.77    25.45
Barclays Bank PLC        06740LP90 06/30/10 06/30/16    100.000     0.000    4.3499              0.146652   0.149842   0.153101                          53.38    27.41
Barclays Bank PLC        06740LQ24 06/30/10 06/30/16    100.000     0.000    4.3499              0.146652   0.149842   0.153101                          53.38    27.41
Barclays Bank PLC        06740LQH1 05/28/10 05/31/16    100.000     0.000    4.7600              0.161666   0.164609   0.168527                          59.77    25.45
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740LTF2 05/10/10 05/08/15    100.000     0.000    3.8699              0.127709                                                16.22         
Barclays Bank PLC        06740PA30 10/28/10 06/01/16    100.000     0.000    3.0699              0.096600   0.098083   0.099588                          35.13    14.94
Barclays Bank PLC        06740PAD8 06/11/10 06/11/15    100.000     0.000    3.8599              0.127348                                                20.38         
Barclays Bank PLC        06740PBC9 06/24/10 06/26/18    100.000     0.000    4.9699              0.172232   0.176512   0.180898   0.185394  0.190001     62.82    65.98
Barclays Bank PLC        06740PBE5 06/25/10 06/25/17    100.000     1.000    4.7051              0.154659   0.157644   0.160699   0.163826  0.167027     56.25    58.45
Barclays Bank PLC        06740PBF2 07/28/10 07/28/16    100.000     0.000    3.6099              0.115706   0.117795   0.119921   0.122085               42.67    25.21
Barclays Bank PLC        06740PBG0 07/28/10 07/28/16    100.000     0.000    3.6099              0.115706   0.117795   0.119921   0.122085               42.67    25.21
Barclays Bank PLC        06740PBK1 06/30/10 06/30/15    100.000    VARIES    3.8043              0.107269                                                19.20         
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES    5.0546              0.153577   0.153226   0.152866   0.152056  0.151224     55.10    54.60
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES    4.9295              0.109645   0.107748   0.105805   0.105795  0.105784     39.01    38.09
Barclays Bank PLC        06740PHD1 08/31/10 08/31/16    100.000     0.000    3.3169              0.104514   0.104515   0.107416   0.108010               38.50    26.21
Barclays Bank PLC        06740PHE9 08/31/10 08/31/16    100.000     0.000    3.3169              0.104514   0.104515   0.107416   0.108010               38.50    26.21
Barclays Bank PLC        06740PHQ2 07/28/10 05/26/16    100.000     0.000    3.6099              0.117075   0.119188   0.121339                          42.68    17.59
Barclays Bank PLC        06740PKG0 08/16/10 08/16/17    100.000    VARIES    3.6631              0.108064   0.107454   0.106831   0.105741  0.104631     38.63    37.97
Barclays Bank PLC        06740PKN5 08/31/10 08/31/15    100.000     0.000    2.6470              0.081234   0.080967                                     19.61         
Barclays Bank PLC        06740PKP0 09/03/10 09/03/15    100.000     0.000    2.6299              0.081104   0.082170                                     19.82         
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES    4.6823              0.134723   0.134965   0.135213   0.135136  0.135058     48.56    48.66
Barclays Bank PLC        06740PMM5 08/27/10 08/29/18    100.000     0.000    3.8100              0.121089   0.124074   0.125064   0.128847  0.130584     45.24    47.15
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES    4.4379              0.106504   0.106007   0.105499   0.105913  0.106337     38.15    38.14
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES    4.3098              0.127414   0.127202   0.126984   0.126762  0.126535     45.78    45.62
Barclays Bank PLC        06740PQH2 09/30/10 09/29/17    100.000     0.000    3.3900              0.107711   0.109537   0.111394   0.113282  0.115202     39.44    40.79
Barclays Bank PLC        06740PSZ0 10/13/10 10/13/17    100.000     0.750    3.3000              0.101576   0.102908   0.104263   0.105639  0.107039     37.02    38.00
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES    5.2624              0.123535   0.124010   0.124497   0.124997  0.125511     44.56    44.91
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES    4.6202              0.128057   0.128446   0.128844   0.128956  0.129070     46.23    46.42
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES    4.7398              0.110286   0.108758   0.107193   0.107416  0.107645     39.15    38.67
Barclays Bank PLC        06740PX43 12/17/10 12/19/18    100.000     0.000    4.6599              0.155674   0.159302   0.163013   0.166812  0.170698     56.78    59.46
Barclays Bank PLC        06740PX50 12/17/10 12/19/18    100.000     0.000    4.6599              0.155674   0.159302   0.163013   0.166812  0.170698     56.78    59.46
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES    5.6002              0.119681   0.120489   0.121319   0.122173  0.123050     43.23    43.83
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES    4.9824              0.142944   0.143519   0.143660   0.143805  0.143657     51.68    51.74
Barclays Bank PLC        06740PYH3 12/27/10 12/24/15    100.000     0.700    3.3717              0.104255   0.105685                                     37.06         
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES    5.5228              0.134846   0.132668   0.133053   0.133449  0.133856     47.88    48.09
Barclays Bank PLC        06741JBW8 02/28/11 02/28/31*   100.000    VARIES    5.4603              0.143445   0.139951   0.142282                          35.21*        
Barclays Bank PLC        06741JS59 05/20/14 05/20/21    100.000     0.000    2.7399              0.077153   0.078210   0.079282   0.080368  0.081469     28.05    28.83
Barclays Bank PLC        06741JV30 07/23/14 07/23/21    100.000     0.000    2.8399              0.078888   0.080008   0.081144   0.082296  0.083465     28.96    29.79
Barclays Bank PLC        06741JV89 08/18/14 08/18/21    100.000     0.000    2.7999              0.077778   0.078867   0.079971   0.081090  0.082226     28.49    29.29
Barclays Bank PLC        06741L427 03/02/12 03/05/18    100.000     0.000    3.1999              0.096256   0.097796   0.099360   0.100950  0.102565     35.29    36.43
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES    3.0512              0.086114   0.086581   0.087054   0.087534  0.087810     31.15    31.48
Barclays Bank PLC        06741T2A4 11/29/13 11/29/18    100.000     0.000    2.1200              0.060144   0.060782   0.061426   0.062077  0.062735     21.81    22.27
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES    4.3876              0.111749   0.106517   0.101169   0.098756  0.096290     39.20    35.95
Barclays Bank PLC        06741T3M7 12/27/13 12/27/28    100.000    VARIES    4.2828              0.111027   0.106927   0.102741   0.100653  0.098520     39.20    36.59
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES    4.0796              0.108779   0.103071   0.100146   0.094961  0.095055     37.59    35.07
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES    4.1532              0.111995   0.108552   0.105038   0.101451  0.097789     39.05    36.49
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250    3.4336              0.096899   0.098443   0.100014   0.101612  0.103237     35.53    36.67
Barclays Bank PLC        06741TAA5 06/18/12 12/18/15    100.000    VARIES    1.7715              0.049079   0.049145                                     17.04         
Barclays Bank PLC        06741TC70 08/22/13 08/22/28*   100.000    VARIES    4.2989              0.117362                                                 5.99*        
Barclays Bank PLC        06741TCJ4 07/11/12 07/11/16    100.000     0.000    2.4399              0.071146   0.072014   0.072892   0.073782               26.07    14.01
Barclays Bank PLC        06741TCR6 07/31/12 07/31/15    100.000    VARIES    2.0319              0.056609   0.056527                                     11.82         
Barclays Bank PLC        06741TEH6 08/20/12 08/22/17    100.000     0.000    2.7099              0.079453   0.080530   0.081621   0.082727  0.083848     29.08    29.87
Barclays Bank PLC        06741TFL6 10/30/12 10/30/17    100.000     0.000    1.7609              0.050661   0.051107   0.051557   0.052011  0.052469     18.37    18.70
Barclays Bank PLC        06741TGD3 09/20/12 09/20/19    100.000     0.000    2.6499              0.077589   0.078617   0.079659   0.080714  0.081784     28.33    29.08
Barclays Bank PLC        06741TL70 09/19/13 09/21/20    100.000     0.000    3.1924              0.091548   0.093009   0.094494   0.096002  0.097535     33.51    34.59
Barclays Bank PLC        06741TLD7 12/31/12 12/31/27*   100.000    VARIES    3.3900              0.094590                                                 8.42*        
Barclays Bank PLC        06741TM79 09/27/13 09/27/19    100.000     0.000    2.7612              0.078834   0.079922   0.081026   0.082145  0.083279     28.78    29.58
Barclays Bank PLC        06741TNC7 02/15/13 02/15/28*   100.000    VARIES    3.6405              0.102075                                                 4.49*        
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES    3.9299              0.088189   0.077052   0.068841   0.063372  0.060301     27.81    22.94
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES    3.9299              0.087930   0.076638   0.068365   0.062937  0.059958     27.80    22.85
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES    3.5337              0.088507   0.085174   0.082839   0.080462  0.078043     30.80    29.00
Barclays Bank PLC        06741TRW9 04/30/13 04/30/20    100.000     0.000    2.1700              0.062261   0.062937   0.063620   0.064310  0.065008     22.62    23.11
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES    3.7861              0.091616   0.086926   0.083666   0.080344  0.076959     31.57    29.04
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES    3.2563              0.079244   0.073024   0.068452   0.065503  0.063992     26.86    23.88
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES    3.4200              0.079243   0.070706   0.064194   0.059687  0.057023     26.12    21.88
Barclays Bank PLC        06741TV38 10/31/13 10/31/18    100.000     0.000    2.1199              0.060143   0.060781   0.061425   0.062076  0.062734     21.84    22.31
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES    3.5100              0.080456   0.071714   0.065048   0.060437  0.057715     26.91    22.36
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES    3.6856              0.085266   0.079351   0.075478   0.071534  0.067517     29.49    26.35
Barclays Bank PLC        06741TXA0 06/28/13 06/30/20    100.000     0.000    2.9922              0.086919   0.088219   0.089539   0.090878  0.092238     31.53    32.48
Barclays Bank PLC        06741TXZ5 07/31/13 07/30/20    100.000     0.250    2.9338              0.081874   0.084351   0.084093   0.086163  0.086377     30.68    31.51
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES    3.9812              0.106101   0.099892   0.093560   0.087914  0.082156     35.11    30.87
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES    4.2111              0.110134   0.103134   0.095986   0.088689  0.081237     36.46    31.24
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250    3.5547              0.102035   0.103725   0.105445   0.107196  0.108977     37.55    38.81
Barclays Bank PLC        06741UAU8 03/28/14 06/30/20    100.000     0.000    2.8996              0.082318   0.083512   0.084722   0.085951  0.087197     29.85    30.72
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES    3.4516              0.092260   0.088579   0.084834   0.081025  0.077360     32.06    29.36
Barclays Bank PLC        06741UBK9 04/30/14 04/30/29    100.000    VARIES    3.9398              0.106404   0.103306   0.100148   0.096927  0.096052     37.37    35.22
Barclays Bank PLC        06741UBL7 04/30/14 04/30/29*   100.000    VARIES    3.9447              0.108909                                                12.96*        
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES    3.4911              0.097830   0.098698   0.099245   0.099801  0.100041     35.46    35.88
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES    3.8794              0.104465   0.101103   0.097676   0.094183  0.091595     36.79    34.35
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES    3.8226              0.106184   0.102904   0.099562   0.096155  0.092684     36.62    34.18
Barclays Bank PLC        06741UFL3 07/08/14 09/30/16    100.000     0.000    0.9000              0.025052   0.025165   0.025278   0.025392                9.06     6.82
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES    3.8918              0.108107   0.104806   0.101440   0.098008  0.094510     37.32    34.85
Barclays Bank PLC        06741UFY5 07/30/14 07/29/21    100.000     0.000    2.8199              0.078333   0.079431   0.080551   0.081687  0.082839     28.73    29.55
Barclays Bank PLC        06741UGX6 08/29/14 08/28/29    100.000    VARIES    3.7703              0.104732   0.102529   0.100273   0.097974  0.095631     36.76    35.11
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES    3.7463              0.104066   0.101333   0.098548   0.095711  0.092821     36.46    34.44
Barclays Bank PLC        06741UKB9 09/30/14 10/01/15    100.000     0.000    0.6103              0.016955   0.017006                                      4.59         
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741UKH6 09/26/14 09/28/16    100.000     0.000    1.0997              0.030551   0.030719   0.030888   0.031058               11.06     8.28
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES    3.5915              0.099765   0.096568   0.093314   0.091382  0.089414     34.95    33.01
Barclays Bank PLC        06741UMK7 12/04/14 12/06/21    100.000     0.000    2.6299              0.073066   0.074027   0.075000   0.075986  0.076986     26.53    27.23
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000    2.6399              0.073332   0.073359   0.074327   0.075308  0.076302     22.94    27.18
Barclays Bank PLC        06741UVZ4 05/19/15 02/18/20    100.000     0.000    2.2396                         0.062213   0.062557   0.063258  0.063966     13.86    22.83
Barclays Bank PLC        06742B329 03/17/14 03/18/19    100.000     0.000    2.2099              0.062071   0.062757   0.063450   0.064151  0.064860     22.61    23.11
Barclays Bank PLC        06742B634 03/05/14 03/05/21    100.000     0.000    2.8400              0.080009   0.081145   0.082298   0.083466  0.084652     29.27    30.11
Barclays Bank PLC        06742B808 02/06/14 01/29/16    100.000     0.000    0.7201              0.020074   0.020146   0.020219                           7.26      .57
Barclays Bank PLC        06742W208 07/15/14 06/24/16    100.000     0.000    0.8700              0.024260   0.024366   0.024471                           8.75     4.23
Barclays Bank PLC        06742W737 06/25/14 06/25/20    100.000     0.000    2.6600              0.074872   0.075868   0.076877   0.077900  0.078936     27.15    27.87
Barclays Bank PLC        06742W752 06/25/14 06/25/21    100.000     0.000    2.8299              0.079723   0.080851   0.081995   0.083155  0.084331     28.92    29.74
Barclays Bank PLC        06742W760 06/25/14 06/25/20    100.000     0.000    2.6600              0.074872   0.075868   0.076877   0.077900  0.078936     27.15    27.87
Bear Stearns Co., Inc.   073928G23 08/31/04 07/01/19     51.530     1.000    N/A                 0.105399   0.108544   0.111783   0.115119  0.118555     38.70    41.05
BellSouth Telecomm       079867AS6 12/13/95 12/15/95     25.235    VARIES    6.8500              0.172714   0.178630   0.184748   0.184749  0.184749     63.43    66.51
Bexar Cnty Hsg Fin Corp  08837EAB7 09/28/05 04/01/22     39.225     0.000    5.7500   270.80     0.104405   0.107406   0.110494   0.113671  0.116939     38.67    40.93
Bond & Fayette CNTYS, IL 097850CQ2 05/07/14 12/01/15    104.475     0.000    1.2239              0.035767   0.035986                                     11.84         
Bond & Fayette CNTYS, IL 097850CR0 05/07/14 12/01/16    106.598    VARIES    1.3824              0.041255   0.041540   0.039395   0.038900               14.85    12.91
Bond & Fayette CNTYS, IL 097850CS8 05/07/14 12/01/17    107.812    VARIES    1.7340              0.052443   0.052898   0.050305   0.049778  0.049246     18.90    17.98
Boston, MA               100853GH7 11/04/09 09/15/24     89.556     6.050    7.2062    24.71     0.015823   0.016394   0.016984   0.017596  0.018230      5.92     6.36
Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18     98.138     9.625    N/A                 0.274778   0.275148   0.275538   0.275947  0.276376     99.07    99.36
Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18     98.138     9.625    N/A                 0.274778   0.275148   0.275538   0.275947  0.276376     99.07    99.36
Bumble Bee Holdco S.C.A. 12046QAC7 03/10/11 03/15/18     98.138     9.625    N/A                 0.274778   0.275148   0.275538   0.275947  0.276376     99.07    99.36
Bureau County SD #84, IL 121012AL2 06/04/10 12/01/15    106.570    VARIES    4.3645              0.122864   0.122060                                     40.40         
Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16    106.150    VARIES    4.6174              0.131007   0.130345   0.129666   0.128972               47.00    42.66
Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17    105.324    VARIES    4.8691              0.138543   0.138028   0.137499   0.136958  0.136404     49.75    49.37
Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18    105.836    VARIES    5.1194              0.146686   0.146174   0.145650   0.145112  0.144560     52.68    52.30
Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19    106.299    VARIES    5.3692              0.154841   0.154337   0.153820   0.153288  0.152743     55.62    55.25
Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20    104.349    VARIES    5.6693              0.162078   0.161751   0.161415   0.161069  0.160713     58.27    58.03
Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21    104.162    VARIES    5.9680              0.170766   0.170474   0.170173   0.169863  0.169544     61.41    61.19
Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22    104.788    VARIES    6.1675              0.177549   0.177242   0.176926   0.176600  0.176263     63.84    63.61
Bureau County SD #175,IL 121088AM0 09/15/10 12/01/15    108.915    VARIES    3.6318              0.102719   0.101810                                     33.73         
Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16    107.815    VARIES    4.0822              0.116454   0.115713   0.114956   0.114184               41.75    37.80
Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17    106.920    VARIES    4.4822              0.128373   0.127764   0.127141   0.126504  0.125853     46.07    45.62
Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18    106.252    VARIES    4.8319              0.138655   0.138147   0.137625   0.137091  0.136545     49.79    49.42
Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19    107.871    VARIES    5.0816              0.147742   0.147156   0.146554   0.145937  0.145305     53.05    52.61
Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20    108.435    VARIES    5.2817              0.154686   0.154112   0.153524   0.152920  0.152301     55.55    55.12
Bureau County SD #502,IL 121133CK6 10/10/13 12/01/23    100.125    VARIES    4.9873              0.138664   0.138658   0.138652   0.138647  0.138640     49.92    49.91
Bureau County SD #205,IL 121133CL4 10/10/13 12/01/29    100.148    VARIES    5.8866              0.163734   0.163729   0.163724   0.163719  0.163714     58.94    58.94
Bureau CNTYS SD #340, IL 121158BM0 08/14/12 12/01/15    103.922    VARIES    2.0391              0.057318   0.056982                                     18.85         
Bureau CNTYS SD #340, IL 121158BN8 08/14/12 12/01/16    106.028    VARIES    2.3387              0.066809   0.066356   0.065897   0.065433               23.94    21.66
Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17    106.030    VARIES    2.6392              0.075858   0.075448   0.075032   0.074611  0.074184     27.21    26.91
Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18    105.273    VARIES    2.9397              0.084444   0.084114   0.083778   0.083438  0.083092     30.32    30.08
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES    8.9994              0.428173   0.443036   0.458461   0.474580  0.491425    157.73   168.94
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES    8.9994              0.428173   0.443036   0.458461   0.474580  0.491425    157.73   168.94
Caesars Entertainment    127693AC3 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Caesars Entertainment    127693AF6 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Caesars Entertainment    127693AG4 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Caesars Entertainment    127693AH2 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Carol Stream, IL         143735LM8 07/15/08 10/01/27     93.383     5.750    6.3510    14.18     0.007407   0.007642   0.007884   0.008135  0.008393      2.75     2.93
Carol Stream, IL         143735TP3 12/30/11 11/01/15     88.034     0.000    3.3492    92.39     0.089995   0.091502                                     27.27         
Carol Stream, IL         143735TQ1 12/30/11 11/01/16     83.951     0.000    3.6494    96.37     0.094300   0.096021   0.097773   0.099557               34.47    29.65
Carol Stream, IL         143735TR9 12/30/11 11/01/17     79.136     0.000    4.0492   101.31     0.099734   0.101753   0.103813   0.105915  0.108059     36.51    38.01
Carol Stream, IL         143735TS7 12/30/11 11/01/18     74.017     0.000    4.4492   104.65     0.103643   0.105949   0.108306   0.110715  0.113178     38.01    39.72
Carol Stream, IL         143735TT5 12/30/11 11/01/19     68.693     0.000    4.8492   106.40     0.106006   0.108576   0.111208   0.113905  0.116667     38.94    40.85
Carol Stream, IL         143735TU2 12/30/11 11/01/20     63.533     0.000    5.1992   105.98     0.106142   0.108901   0.111732   0.114637  0.117617     39.04    41.10
Carol Stream, IL         143735TV0 12/30/11 11/01/21     59.208     0.000    5.3992   102.83     0.103292   0.106081   0.108945   0.111886  0.114906     38.03    40.11
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000    5.5992    99.24     0.099992   0.102791   0.105669   0.108627  0.111669     36.84    38.93
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000    5.7993    95.30     0.096300   0.099092   0.101965   0.104922  0.107964     35.51    37.60
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000    6.0492    91.29     0.092593   0.095394   0.098279   0.101251  0.104314     34.18    36.28
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000    6.1993    86.55     0.087980   0.090707   0.093519   0.096417  0.099406     32.50    34.54
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000    6.3492    81.77     0.083305   0.085950   0.088678   0.091493  0.094398     30.79    32.77
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000    6.4493    76.94     0.078495   0.081026   0.083639   0.086336  0.089120     29.02    30.92
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000    6.5994    72.24     0.073863   0.076301   0.078818   0.081419  0.084106     27.33    29.16
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000    6.6993    67.63     0.069256   0.071576   0.073973   0.076451  0.079012     25.63    27.38
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000    6.7994    63.18     0.064796   0.066999   0.069277   0.071632  0.074068     23.99    25.65
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000    6.8495    59.00     0.060551   0.062625   0.064770   0.066988  0.069282     22.42    23.99
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES    9.9395              0.970841   1.015902   1.063203   1.112854  1.164973    367.40   402.48
Central Euro Media ENT   153443AJ5 05/02/14 12/01/17     55.350    15.000    N/A                 0.567018   0.615728   0.668623   0.726061  0.788434    215.94   254.64
Central Euro Media ENT   153443AK2 05/02/14 12/01/17     55.350    15.000    N/A                 0.567018   0.615728   0.668623   0.726061  0.788434    215.94   254.64
Centrus Energy Corp.     15643UAA2 09/30/14 09/30/24     56.492     8.000    N/A                 0.237610   0.245084   0.252966   0.266702  0.281328     88.28    96.12
Champaign & Piatt CNTYS  158087RN8 09/12/13 10/01/19    100.000    VARIES    3.7423              0.103991   0.103988   0.103984   0.103981  0.103977     37.44    37.43
Cheniere Energy, Inc.    16411RAF6 11/28/14 05/28/21    100.000     4.875    N/A                 0.135417   0.138717   0.142099   0.145562  0.149110     49.56    52.01
Cheniere Energy, Inc.    16411RAG4 03/09/15 03/15/45     80.000     4.250    5.6396              0.007223   0.007120   0.007401   0.007527  0.007867      2.15     2.78
Cheniere Energy, Inc.    16411RAH2 11/28/14 05/28/21    100.000     4.875    N/A                 0.135417   0.138717   0.142099   0.145562  0.149110     49.56    52.01
Chesapeake Energy Corp.  165167BZ9 05/15/07 05/15/37    100.000    VARIES    6.7505              0.263712   0.270269   0.277047   0.284054  0.291298     96.73   101.65
Chesapeake Energy Corp.  165167CA3 08/14/07 05/15/37     97.625    VARIES    8.0008              0.330089   0.340515   0.351359   0.362637  0.374366    121.69   129.58
Chesapeake Energy Corp.  165167CB1 05/27/08 12/15/38    100.000    VARIES    8.0007              0.329562   0.340246   0.351356   0.362912  0.374929    120.91   128.95
Christian & Sangamon CNT 170592BB4 03/28/13 12/01/15    108.829    VARIES    1.7168              0.049237   0.048468                                     16.11         
Christian & Sangamon CNT 170592BC2 03/28/13 12/01/16    110.501    VARIES    1.9725              0.057897   0.057133   0.056361   0.055581               20.66    18.46
Christian & Sangamon CNT 170592BD0 03/28/13 12/01/17    111.388    VARIES    2.2261              0.066342   0.065612   0.064874   0.064127  0.063372     23.71    23.18
Christian & Sangamon CNT 170592BE8 03/28/13 12/01/18    110.855    VARIES    2.4787              0.074123   0.073493   0.072855   0.072208  0.071554     26.53    26.07
Christian & Sangamon CNT 170592BF5 03/28/13 12/01/19    110.619    VARIES    2.7793              0.083365   0.082786   0.082199   0.081605  0.081002     29.87    29.45
Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20    109.831    VARIES    3.0795              0.092153   0.091648   0.091134   0.090613  0.090083     33.05    32.68
Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21    107.041    VARIES    3.3308              0.097795   0.097458   0.097115   0.096766  0.096412     35.13    34.88
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES    3.5341              0.097599   0.097631   0.097662   0.097695  0.097728     35.14    35.17
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES    3.6840              0.101681   0.101712   0.101744   0.101776  0.101809     36.61    36.64
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           17298C2B3 09/30/15 09/29/22    100.000     0.000    3.0163                                    0.083787   0.085044  0.086327      7.62    30.62
Citigroup Inc.           17298C2C1 09/30/15 09/29/22    100.000     0.000    3.0163                                    0.083787   0.085044  0.086327      7.62    30.62
Citigroup Inc.           17298C2N7 10/02/15 10/02/20    100.000     0.000    2.5622                                    0.071173   0.072085  0.073009      6.33    25.95
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES    2.6421                         0.001173   0.001147   0.001121  0.001095      2.64     4.06
Citigroup Inc.           17298CAP3 05/28/15 05/26/22    100.000     0.000    3.0094                         0.083596   0.084840   0.086117  0.087413     17.85    30.86
Citigroup Inc.           17298CAQ1 05/28/15 05/26/22    100.000     0.000    3.0094                         0.083596   0.084840   0.086117  0.087413     17.85    30.86
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES    4.3834                         0.121763   0.118343   0.114849  0.111278     25.82    41.74
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES    2.5639                         0.007998   0.007787   0.007573  0.007357      1.70     2.75
Citigroup Inc.           17298CBM9 06/30/15 12/30/20    100.000     0.250    2.7899                         0.077500   0.078484   0.079482  0.080494     14.03    28.44
Citigroup Inc.           17298CBT4 06/30/15 06/30/22    100.000     0.000    3.2000                         0.088889   0.090311   0.091756  0.093224     16.09    32.78
Citigroup Inc.           17298CBV9 06/30/15 06/30/22    100.000     0.000    3.2000                         0.088889   0.090311   0.091756  0.093224     16.09    32.78
Citigroup Inc.           17298CDH8 09/02/15 03/04/21    100.000     0.300    1.6119                         0.044777   0.044781   0.045074  0.045370      5.33    16.24
Citigroup Inc.           17298CDJ4 08/31/15 08/31/22    100.000     0.000    3.1498                                    0.086535   0.086943  0.089776     10.64    32.15
Citigroup Inc.           17298CDK1 08/31/15 08/31/22    100.000     0.000    3.1498                                    0.086535   0.086943  0.089776     10.64    32.15
Citigroup Inc.           17298CDV7 10/02/15 04/01/21    100.000     0.250    2.6649                                    0.074028   0.074917  0.075822      6.59    26.97
Citigroup Global Markets 17307EBE2 07/01/04 09/07/16     51.400     0.000    5.5371   398.24     0.137894   0.141712   0.145635   0.149667               51.21    36.55
Citigroup Funding, Inc.  17308CNM4 02/12/10 02/12/20*   100.000    VARIES    4.5259              0.115679                                                 4.74*        
Citigroup Funding, Inc.  17308CPQ3 05/24/10 05/24/16    100.000     0.000    4.5502              0.154763   0.158285   0.161886                          56.61    23.15
Citigroup Funding, Inc.  17308CQH2 09/28/10 09/28/15    100.000    VARIES    2.0287              0.013305   0.013440                                      3.58         
Citigroup Funding, Inc.  17308CRW8 06/29/11 12/21/16    100.000     0.500    3.5733              0.110452   0.112177   0.113933   0.115721               40.11    40.20
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES    4.5064              0.125179   0.122214   0.119182   0.116081  0.112911     44.16    41.96
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES    4.0094              0.111373   0.108594   0.105759   0.102867  0.099918     39.25    37.20
Citigroup Inc.           1730T02E8 10/31/14 05/01/20    100.000     0.000    2.5468              0.070751   0.071652   0.072564   0.073488  0.074424     25.74    26.40
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES    4.7455              0.131820   0.129597   0.127321   0.124992  0.122607     46.78    45.13
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES    4.2545              0.118183   0.114787   0.111320   0.107779  0.104163     41.69    39.19
Citigroup Inc.           1730T02X6 11/26/14 11/26/29    100.000    VARIES    4.1216              0.114490   0.112809   0.111093   0.109342  0.107555     40.79    39.55
Citigroup Inc.           1730T03C1 11/28/14 05/29/20    100.000     0.000    2.6204              0.072796   0.073750   0.074716   0.075695  0.076687     26.44    27.14
Citigroup Inc.           1730T03G2 12/01/14 12/02/19    100.000     0.000    2.4381              0.067730   0.068555   0.069391   0.070237  0.071093     24.58    25.18
Citigroup Inc.           1730T03J6 12/29/14 12/29/34    100.000    VARIES    4.3207              0.120022   0.117214   0.114345   0.113361  0.112355     42.69    40.98
Citigroup Inc.           1730T03V9 01/30/15 02/01/22    100.000     0.000    2.8403              0.078899   0.078906   0.080027   0.081163  0.082316     26.29    29.36
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES    3.9694                         0.110261   0.106937   0.103546  0.102549     35.99    37.22
Citigroup Inc.           1730T03Z0 01/30/15 02/01/22    100.000     0.000    2.8403              0.078899   0.078906   0.080027   0.081163  0.082316     26.29    29.36
Citigroup Inc.           1730T04J5 02/26/15 02/28/22    100.000     0.000    2.2326              0.061674   0.060676   0.062028   0.062039  0.063771     18.92    22.92
Citigroup Inc.           1730T04L0 02/26/15 02/28/22    100.000     0.000    2.2326              0.061674   0.060676   0.062028   0.062039  0.063771     18.92    22.92
Citigroup Inc.           1730T05X3 03/30/15 03/30/22    100.000     0.000    2.9237                         0.081216   0.082403   0.083607  0.084830     22.12    30.10
Citigroup Inc.           1730T05Y1 03/30/15 03/30/22    100.000     0.000    2.9237                         0.081216   0.082403   0.083607  0.084830     22.12    30.10
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES    3.1774                         0.088263   0.089461   0.090678  0.091124     24.30    32.58
Citigroup Inc.           1730T06L8 03/23/15 03/23/22    100.000     0.000    2.8171                         0.078253   0.079355   0.080473  0.081607     21.86    28.99
Citigroup Inc.           1730T06V6 04/29/15 04/28/22    100.000     0.000    2.7394                         0.076097   0.077134   0.078190  0.079261     18.48    28.09
Citigroup Inc.           1730T06X2 04/29/15 04/28/22    100.000     0.000    2.7394                         0.076097   0.077134   0.078190  0.079261     18.48    28.09
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES    2.3817                         0.066160   0.065914   0.065666  0.065414     16.13    23.65
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES    4.1098                         0.114163   0.110800   0.107369  0.106553     27.31    39.01
Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES    4.6764              0.122906   0.119285   0.115579   0.112780  0.109916     43.09    40.71
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES    4.5367              0.119322   0.115858   0.112315   0.110856  0.109364     42.01    40.04
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES    4.6216              0.121425   0.117827   0.114146   0.112270  0.110350     42.62    40.52
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000    7.3199    99.46     0.043344   0.044930   0.046575   0.048279  0.050046     16.04    17.23
Citigroup Inc.           1730T0B99 11/14/13 11/14/23    100.000    VARIES    4.0135              0.106999   0.104687   0.102329   0.100934  0.099511     37.88    36.45
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES    5.8403              0.156593   0.156655   0.156719   0.156785  0.156853     56.40    56.45
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES    4.7620              0.126607   0.123669   0.120661   0.118010  0.115297     44.76    42.70
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES    4.7711              0.125519   0.121886   0.118168   0.116224  0.114234     44.28    42.05
Citigroup Inc.           1730T0E88 01/29/14 01/29/29    100.000    VARIES    4.3351              0.117009   0.113524   0.109964   0.106326  0.104402     40.43    38.09
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES    4.6110              0.123994   0.119808   0.115526   0.111144  0.108170     42.60    39.68
Citigroup Inc.           1730T0F38 01/31/14 08/01/19    100.000     0.000    2.5874              0.072808   0.073750   0.074704   0.075670  0.076649     26.66    27.36
Citigroup Funding, Inc.  1730T0FG9 02/08/08 02/09/15    100.000     0.250    4.4200              0.160871                                                 6.11         
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES    4.7123              0.127111   0.123234   0.119265   0.115203  0.113433     44.03    41.43
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES    8.1831              0.199195   0.200203   0.201253   0.202345  0.203482     72.02    72.79
Citigroup Inc.           1730T0H36 02/28/14 08/29/19    100.000     0.000    2.6153              0.072392   0.073742   0.073894   0.075683  0.076254     26.86    27.67
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES    5.9941              0.139927   0.139511   0.139676   0.139845  0.140020     50.28    50.34
Citigroup Funding, Inc.  1730T0HY8 04/16/10 04/16/15    100.000    VARIES    1.3863              0.010548                                                 1.11         
Citigroup Inc.           1730T0J83 02/28/14 02/28/19    100.000    VARIES    1.6995              0.046408   0.045115   0.045593   0.045079  0.045935     16.60    16.63
Citigroup Funding, Inc.  1730T0JC4 05/14/10 05/14/15    100.000    VARIES    1.6896              0.014809                                                 1.97         
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES    5.3515              0.151909   0.151833   0.151610   0.151381  0.151046     54.67    54.53
Citigroup Inc.           1730T0K99 03/31/14 10/01/19    100.000     0.000    2.7120              0.076363   0.077398   0.078448   0.079512  0.080590     27.86    28.63
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES    4.7845              0.142042   0.142408   0.142176   0.141938  0.141296     51.22    51.04
Citigroup Funding, Inc.  1730T0KF5 09/14/10 09/14/15    100.000    VARIES    2.0255              0.019971   0.020173                                      5.09         
Citigroup Funding, Inc.  1730T0KG3 09/14/10 09/14/17    100.000    VARIES    2.5063              0.018414   0.018645   0.018879   0.019115  0.019355      6.72     6.89
Citigroup Funding, Inc.  1730T0KH1 09/23/10 09/23/17*   100.000    VARIES    2.6179              0.019989   0.020251   0.020516   0.020784  0.021056      7.29*    7.49
Citigroup Funding, Inc.  1730T0KK4 10/13/10 10/13/15    100.000    VARIES    2.0006              0.019296   0.019487                                      5.48         
Citigroup Funding, Inc.  1730T0KR9 10/29/10 10/29/15    100.000    VARIES    1.9200              0.017225   0.017390                                      5.16         
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES    2.4350              0.021503   0.021765   0.022030   0.022298  0.022569      7.82     8.01
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES    2.5364              0.023795   0.024097   0.024402   0.024712  0.025025      8.66     8.88
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES    5.1245              0.128959   0.129235   0.129517   0.129806  0.130103     46.50    46.70
Citigroup Funding, Inc.  1730T0KW8 11/30/10 11/28/16    100.000     0.000    3.8990              0.126369   0.128832   0.131344   0.133905               46.10    43.41
Citigroup Funding, Inc.  1730T0KX6 11/23/10 11/23/16    100.000    VARIES    1.4929              0.019117   0.019260   0.019404   0.019548                6.92     6.27
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES    4.7108              0.131509   0.131297   0.131080   0.130913  0.130743     47.29    47.14
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES    5.5698              0.124660   0.124577   0.124492   0.124405  0.124315     44.85    44.79
Citigroup Inc.           1730T0L23 03/28/14 03/28/29    100.000    VARIES    4.3742              0.118269   0.114961   0.111579   0.108124  0.107036     41.36    39.12
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES    4.6421              0.125495   0.121961   0.118344   0.114643  0.112911     43.88    41.43
Citigroup Inc.           1730T0L49 03/10/14 03/10/19    100.000    VARIES    1.8993              0.052206   0.051647   0.051573   0.051498  0.051601     18.62    18.56
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES    4.7152              0.127189   0.123312   0.119343   0.115280  0.112435     44.23    41.48
Citigroup Inc.           1730T0L72 03/28/14 03/28/21    100.000    VARIES    3.3141              0.091973   0.091886   0.091798   0.091708  0.091715     33.08    33.02
Citigroup Inc.           1730T0L98 03/21/14 03/21/24    100.000    VARIES    3.2460              0.087574   0.084938   0.082672   0.080370  0.079267     30.56    29.01
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0LA5 11/15/10 11/15/15    100.000    VARIES    1.7358              0.009606   0.009690                                      3.03         
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES    2.2798              0.018036   0.018241   0.018449   0.018660  0.018872      6.55     6.70
Citigroup Funding, Inc.  1730T0LU1 03/30/11 09/21/16    100.000     0.500    3.9296              0.122955   0.125097   0.127283   0.129511               45.08    33.49
Citigroup Inc.           1730T0M63 03/26/14 03/26/29    100.000    VARIES    4.3729              0.119206   0.116893   0.114530   0.112114  0.110429     42.05    40.41
Citigroup Inc.           1730T0M97 04/30/14 10/30/19    100.000     0.000    2.7618              0.077777   0.078851   0.079940   0.081044  0.082163     28.32    29.11
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES    5.0031              0.138800   0.138812   0.138824   0.138836  0.138849     49.97    49.98
Citigroup Funding, Inc.  1730T0MB2 04/28/11 10/26/16    100.000     0.500    3.6902              0.114587   0.116445   0.118337   0.120264               41.83    35.26
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES    1.9784              0.017072   0.017241   0.017411   0.017584  0.017758      6.20     6.32
Citigroup Funding, Inc.  1730T0MQ9 06/29/11 06/27/18    100.000     0.000    3.9199              0.124708   0.127153   0.129645   0.132186  0.134777     45.35    47.15
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES    4.6545              0.128949   0.128972   0.128996   0.129020  0.129044     46.43    46.44
Citigroup Funding, Inc.  1730T0MU0 07/28/11 01/25/17    100.000     0.500    3.3819              0.102393   0.103889   0.105411   0.106959  0.108533     37.60    38.71
Citigroup Inc.           1730T0N39 04/29/14 04/29/29    100.000    VARIES    4.2731              0.115418   0.112068   0.108647   0.105153  0.103977     40.53    38.19
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES    4.5422              0.122732   0.119211   0.115609   0.111926  0.109734     43.11    40.59
Citigroup Funding, Inc.  1730T0NH8 08/30/11 02/24/17    100.000     0.500    3.8048              0.116618   0.118572   0.120564   0.122593  0.124661     42.84    44.29
Citigroup Funding, Inc.  1730T0NK1 08/26/11 08/26/16    100.000    VARIES    1.7275              0.011152   0.011249   0.011346   0.011444                4.06     2.68
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES    2.3031              0.016265   0.016184   0.016551   0.016559  0.017028      5.96     6.18
Citigroup Funding, Inc.  1730T0NN5 09/07/11 09/07/18*   100.000    VARIES    2.5979              0.019064   0.019312   0.019562   0.019817  0.020074      6.96*    7.15
Citigroup Funding, Inc.  1730T0NS4 09/29/11 09/27/17    100.000     0.500    4.1394              0.128182   0.130547   0.132962   0.135426  0.137942     47.02    48.78
Citigroup Inc.           1730T0P78 05/30/14 05/30/29    100.000    VARIES    4.1424              0.111783   0.108429   0.105006   0.101512  0.100176     39.43    37.02
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES    4.4254              0.119502   0.116000   0.112420   0.108761  0.106175     42.17    39.62
Citigroup Funding, Inc.  1730T0PD5 10/28/11 10/27/17    100.000     0.500    3.9008              0.119954   0.122022   0.124131   0.126282  0.128474     43.82    45.35
Citigroup Funding, Inc.  1730T0QC6 11/28/11 11/28/17    100.000     0.500    4.2510              0.132099   0.134612   0.137178   0.139799  0.142475     48.18    50.03
Citigroup Funding, Inc.  1730T0QM4 12/05/11 12/05/16    100.000    VARIES    2.9298              0.080755   0.080909   0.081065   0.081223               29.11    27.10
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES    4.4513              0.120217   0.116710   0.113126   0.109461  0.107337     42.55    39.99
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES    4.4526              0.120312   0.116865   0.113341   0.109739  0.108283     42.66    40.13
Citigroup Inc.           1730T0R92 07/02/14 01/02/20    100.000     0.000    2.5296              0.070268   0.071156   0.072056   0.072968  0.073891     25.78    26.43
Citigroup Inc.           1730T0RJ0 02/28/13 02/28/33    100.000    VARIES    4.1678              0.113551   0.111159   0.112054   0.110506  0.111995     40.82    40.72
Citigroup Inc.           1730T0RM3 02/22/13 02/22/33    100.000    VARIES    4.2776              0.117156   0.116576   0.116229   0.115874  0.115511     41.95    41.69
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES    3.2574              0.084258   0.082327   0.080364   0.078370  0.077582     29.50    28.23
Citigroup Inc.           1730T0S67 06/19/14 06/19/19    100.000    VARIES    0.8119              0.009167   0.009112   0.009056   0.009001  0.009037      3.29     3.25
Citigroup Inc.           1730T0SE0 03/27/13 03/27/18    100.000    VARIES    0.8304              0.008054   0.008088   0.008121   0.008155  0.008190      2.91     2.94
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES    3.4969              0.089261   0.087731   0.086174   0.084589  0.084239     31.67    30.62
Citigroup Inc.           1730T0SX8 04/22/13 04/22/23    100.000    VARIES    1.4141              0.007097   0.007147   0.007198   0.007249  0.007300      2.57     2.61
Citigroup Inc.           1730T0T41 06/19/14 12/19/17    100.000    VARIES    1.7691              0.048779   0.048412   0.048395   0.048378  0.048592     17.49    17.42
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES    4.3618              0.118063   0.114896   0.111661   0.108355  0.107666     41.91    39.59
Citigroup Inc.           1730T0TE9 05/30/13 05/30/33    100.000    VARIES    4.1969              0.114822   0.114210   0.113793   0.113368  0.112933     41.19    40.86
Citigroup Inc.           1730T0TH2 05/30/13 05/30/33    100.000    VARIES    4.1915              0.109603   0.107505   0.105364   0.103178  0.102080     38.95    37.44
Citigroup Inc.           1730T0TK5 05/30/13 05/30/33    100.000    VARIES    4.1925              0.106463   0.103836   0.101153   0.098414  0.097941     37.69    35.82
Citigroup Inc.           1730T0TN9 06/28/13 06/28/33    100.000    VARIES    4.5765              0.117971   0.115739   0.113456   0.111121  0.110195     42.05    40.41
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES    4.2944              0.111551   0.109594   0.107595   0.105552  0.105145     39.73    38.32
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES    4.5397              0.115625   0.111972   0.110427   0.108847  0.107231     40.95    39.46
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES    4.6404              0.120383   0.117411   0.116170   0.114901  0.113603     42.79    41.58
Citigroup Inc.           1730T0U23 07/31/14 01/31/20    100.000     0.000    2.5817              0.071715   0.072640   0.073578   0.074528  0.075490     26.27    26.95
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES    4.3416              0.120602   0.117549   0.114431   0.111244  0.107988     41.94    39.65
Citigroup Inc.           1730T0U56 07/30/14 07/30/29    100.000    VARIES    4.2647              0.118465   0.116650   0.114797   0.112903  0.110970     41.77    40.41
Citigroup Inc.           1730T0U64 07/09/14 09/30/16    100.000     0.000    1.1704              0.032599   0.032790   0.032982   0.033175               11.80     8.91
Citigroup Inc.           1730T0U98 07/30/14 07/30/34    100.000    VARIES    4.5842              0.127341   0.125024   0.122654   0.120230  0.117750     44.72    42.98
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES    4.7564              0.125115   0.123345   0.121532   0.119677  0.117778     44.11    42.77
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES    4.4998              0.119136   0.116107   0.113009   0.112128  0.111227     41.29    40.22
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES    4.8332              0.128392   0.125352   0.122239   0.120017  0.117742     44.74    42.93
Citigroup Inc.           1730T0UP2 08/28/13 08/28/18    100.000    VARIES    0.9242              0.011038   0.011089   0.011140   0.011192  0.011244      4.00     4.03
Citigroup Inc.           1730T0V71 08/28/14 02/29/20    100.000     0.000    2.4723              0.068312   0.068029   0.069627   0.069721  0.071753     25.04    25.76
Citigroup Inc.           1730T0V89 08/29/14 08/29/34    100.000    VARIES    4.6276              0.126437   0.124684   0.120851   0.119616  0.116355     45.13    43.44
Citigroup Inc.           1730T0VC0 09/27/13 09/27/20    100.000    VARIES    3.3025              0.092017   0.092160   0.092306   0.092461  0.092619     33.18    33.29
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES    5.1092              0.134895   0.131245   0.127502   0.125247  0.122935     47.14    45.02
Citigroup Inc.           1730T0VK2 10/08/13 10/08/23    100.000    VARIES    3.9666              0.105975   0.103808   0.101597   0.100536  0.099453     37.40    36.21
Citigroup Funding, Inc.  1730T0VR7 01/23/12 01/23/16    100.000    VARIES    3.3341              0.020437   0.020778   0.021125                           7.53      .46
Citigroup Funding, Inc.  1730T0VU0 02/01/12 02/01/15    100.000    VARIES    2.5688              0.021003                                                  .63         
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES    4.2432              0.117869   0.115582   0.113245   0.110860  0.108423     41.45    39.75
Citigroup Inc.           1730T0W70 08/28/14 08/30/19    100.000     0.000    2.4762              0.068037   0.068503   0.069351   0.070210  0.071469     25.08    25.80
Citigroup Funding, Inc.  1730T0WA3 02/28/12 08/27/15    100.000     0.000    2.6600              0.078931   0.079981                                     18.82         
Citigroup Funding, Inc.  1730T0WC9 02/15/12 02/14/16    100.000    VARIES    2.0055              0.009423   0.009517   0.009612                           3.44      .41
Citigroup Funding, Inc.  1730T0WF2 02/24/12 02/24/20    100.000    VARIES    2.8625              0.008779   0.008905   0.009032   0.009161  0.009292      3.22     3.31
Citigroup Funding, Inc.  1730T0WK1 03/29/12 03/30/16    100.000     1.000    2.5858              0.074756   0.075363   0.075978                          27.13     6.76
Citigroup Funding, Inc.  1730T0WN5 03/16/12 03/16/15    100.000    VARIES    1.3116              0.009320                                                  .70         
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES    3.8302              0.106242   0.106586   0.106824   0.107066  0.107207     38.36    38.53
Citigroup Funding, Inc.  1730T0WU9 04/02/12 04/02/16    100.000    VARIES    1.4378              0.009904   0.009976   0.010047                           3.59      .91
Citigroup Funding, Inc.  1730T0XG9 05/30/12 06/07/18    100.000     0.500    3.6727              0.110486   0.112260   0.114067   0.115906  0.117780     40.18    41.48
Citigroup Funding, Inc.  1730T0XP9 06/05/12 06/05/15    100.000    VARIES    1.3507              0.007830                                                 1.21         
Citigroup Funding, Inc.  1730T0XW4 06/20/12 06/20/15    100.000    VARIES    1.7222              0.007004                                                 1.18         
Citigroup Funding, Inc.  1730T0XX2 08/06/12 08/04/16    100.000     0.000    2.5430              0.074291   0.075235   0.076192   0.077161               27.19    16.40
Citigroup Inc.           1730T0Y37 10/02/14 04/02/20    100.000     0.000    2.8849              0.080137   0.081293   0.082466   0.083656  0.084862     29.26    30.12
Citigroup Funding, Inc.  1730T0YD5 08/30/12 03/02/18    100.000     0.750    2.7849              0.080583   0.081415   0.082259   0.083114  0.083981     29.36    29.97
Citigroup Inc.           1730T0Z28 10/07/14 10/07/21    100.000     1.000    3.1429              0.087306   0.088241   0.089191   0.090156  0.091137     31.76    32.45
Citigroup Inc.           1730T0Z85 10/08/14 10/07/21    100.000     1.000    3.0937              0.085938   0.086832   0.087746   0.088673  0.089615     31.25    31.91
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES    1.5728              0.015509   0.015631   0.015754   0.015877  0.016002      5.61     5.70
Citigroup Funding, Inc.  1730T0ZV4 12/20/12 12/20/32    100.000    VARIES    4.2025              0.113820   0.113552   0.113279   0.113000  0.112715     40.92    40.72
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES    4.4143                                    0.121272   0.116604  0.115056     14.92    42.76
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES    4.4099                                    0.121153   0.116487  0.114938     14.90    42.72
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES    4.3723                                    0.121453   0.118036  0.114543     11.05    42.48
Citigroup Funding, Inc.  17314V346 05/27/10 05/26/16    100.000     0.000    4.4491              0.150632   0.153983   0.157409                          55.07    22.82
Citigroup Funding, Inc.  17314V569 03/30/10 09/28/15    100.000     0.000    4.6162              0.157424   0.161058                                     42.69         
Citigroup Funding, Inc.  17314V668 02/25/10 08/26/15    100.000     0.000    4.3617              0.147144   0.150353                                     35.16         
Citigroup Funding, Inc.  17314V767 01/28/10 07/29/15    100.000     0.000    4.4348              0.150092   0.153420                                     31.82         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  17314V841 12/29/09 06/24/15    100.000     0.000    3.7789              0.126513                                                21.89         
Citigroup Funding, Inc.  17316G784 10/28/10 10/27/16    100.000     0.000    3.6054              0.115530   0.117613   0.119733   0.121892               42.23    35.83
Citigroup Funding, Inc.  17317U360 01/30/12 01/29/15    100.000     0.000    3.4204              0.103411                                                 2.90         
Citigroup Funding, Inc.  17317U717 08/30/11 11/23/16    100.000     0.000    3.7251              0.116586   0.118757   0.120969   0.123222               42.53    39.36
Citigroup Funding, Inc.  17318Q574 10/02/12 09/27/18    100.000     0.000    2.4948              0.072798   0.073706   0.074626   0.075557  0.076499     26.54    27.21
Citigroup Inc.           17321F755 11/05/13 11/03/22    100.000     0.000    3.6499              0.105102   0.107021   0.108974   0.110962  0.112987     38.41    39.82
Citigroup Inc.           17323Q643 10/05/15 04/04/23    100.000     0.000    3.1922                                    0.088674   0.090081  0.091519      7.63    32.42
Citigroup Inc.           17323Q692 09/18/15 03/20/23    100.000     0.000    3.1459                         0.087386   0.087402   0.088776  0.090173      9.00    31.99
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510    6.4444    19.70     0.014210   0.014667   0.015140   0.015628  0.016131      5.21     5.55
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510    6.1946    18.96     0.013596   0.014017   0.014452   0.014899  0.015361      4.98     5.30
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510    6.1946    18.96     0.013596   0.014017   0.014452   0.014899  0.015361      4.98     5.30
Clinton Counties, IL     187327AX9 09/10/15 12/01/18    100.000    VARIES    2.4410                         0.067806   0.068179   0.069011  0.067818      7.54    24.68
Coles Counties, IL       193792ER5 11/26/13 12/01/18     99.308    VARIES    N/A                 0.087011   0.087069   0.087128   0.087188  0.087248     31.34    31.38
Coles Counties, IL       193792ET1 11/26/13 12/01/20     99.346    VARIES    N/A                 0.106533   0.106579   0.106625   0.106673  0.106721     38.36    38.40
Coles Counties, IL       193792EU8 11/26/13 12/01/21    105.395    VARIES    4.2403              0.123158   0.122825   0.122484   0.122136  0.121781     44.26    44.01
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES    4.3908              0.126935   0.126673   0.126405   0.126131  0.125851     45.63    45.44
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES    4.5918              0.126230   0.126290   0.126352   0.126415  0.126479     45.46    45.50
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES    4.7528              0.130559   0.130626   0.130693   0.130762  0.130833     47.02    47.07
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES    4.9627              0.136242   0.136314   0.136388   0.136464  0.136541     49.06    49.12
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES    5.1716              0.141901   0.141979   0.142059   0.142141  0.142225     51.10    51.16
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES    5.3301              0.146173   0.146256   0.146342   0.146429  0.146519     52.64    52.70
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES    5.4215              0.149308   0.149365   0.149423   0.149483  0.149544     53.76    53.81
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES    5.5264              0.152150   0.152209   0.152270   0.152333  0.152397     54.79    54.83
Coles Counties, IL       193792FD5 11/26/13 12/01/23     99.293    VARIES    5.6307              0.154982   0.155044   0.155108   0.155173  0.155241     55.81    55.85
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES    5.9329              0.163293   0.163358   0.163424   0.163493  0.163564     58.80    58.85
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES    6.2343              0.171592   0.171659   0.171728   0.171799  0.171873     61.79    61.84
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES    6.5351              0.179882   0.179951   0.180022   0.180096  0.180171     64.77    64.83
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES    6.4777              0.209920   0.208667   0.207373   0.206037  0.204659     75.27    74.33
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000   10.5154              1.155884   1.213737   1.274631   1.338726  1.406191    435.56   480.40
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000   10.3810              1.117982   1.173128   1.231136   1.292155  1.356341    417.60   459.95
CompuCredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES    9.1300              0.453037   0.461013   0.482258   0.493750  0.519721    167.76   179.82
CompuCredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES    9.1300              0.453037   0.461013   0.482258   0.493750  0.519721    167.76   179.82
CompuCredit Corporation  20478NAC4 11/23/05 01/31/36    100.000     5.875    N/A                 0.344653   0.358859   0.361050   0.373492  0.378172    130.88   137.05
CompuCredit Corporation  20478NAD2 11/23/05 01/31/36    100.000     5.875    N/A                 0.344653   0.358859   0.361050   0.373492  0.378172    130.89   137.05
Conseco, Inc.            208464BG1 08/15/05 09/30/35*    99.000     3.500    N/A                 0.331370   0.342871                                     89.49*        
Conseco, Inc.            208464BH9 08/15/05 09/30/35*    99.000     3.500    N/A                 0.331370   0.342871                                     89.49*        
Convergys Corporation    212485AE6 10/13/09 09/15/29    114.396    VARIES   14.1017              0.723880   0.763658   0.806241   0.851826  0.900626    276.49   308.46
Cook County, Illinois    213309KR7 04/28/05 12/01/16     52.896     0.000    5.5696   371.15     0.138614   0.142474   0.146442   0.150520               50.83    49.06
Cook County, Illinois    213309KS5 04/28/05 12/01/17     49.824     0.000    5.6095   352.79     0.131992   0.135694   0.139500   0.143413  0.147435     48.41    51.16
Cook County, Illinois    213309KT3 04/28/05 12/01/18     46.339     0.000    5.7396   337.86     0.127139   0.130787   0.134541   0.138402  0.142373     46.65    49.36
Cook County, Illinois    213309KU0 04/28/05 12/01/19     43.603     0.000    5.7697   320.05     0.120597   0.124076   0.127656   0.131338  0.135127     44.25    46.84
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000    5.8197   303.41     0.114582   0.117916   0.121347   0.124878  0.128512     42.05    44.54
Cook County, IL SD #88   214183KP9 06/15/10 06/01/30     25.818     0.000    6.8998    93.26     0.066973   0.069284   0.071674   0.074147  0.076705     24.67    26.40
Cook County, IL SD #88   214183KR5 06/15/10 12/01/26     33.796     0.000    6.6997   118.05     0.084395   0.087222   0.090144   0.093164  0.096285     31.06    33.18
Cook County, IL SD #88   214183KS3 06/15/10 12/01/27     31.374     0.000    6.7498   110.53     0.079104   0.081773   0.084533   0.087386  0.090335     29.12    31.12
Cook County, IL SD #88   214183KT1 06/15/10 12/01/28     29.098     0.000    6.7998   103.37     0.074068   0.076586   0.079190   0.081882  0.084666     27.27    29.16
Cook County, IL SD #88   214183KU8 06/15/10 12/01/29     26.961     0.000    6.8498    96.59     0.069282   0.071655   0.074109   0.076647  0.079273     25.51    27.29
Cook County, IL SD #89   214201GC3 12/13/07 12/01/15     63.659     0.000    5.7497   312.83     0.150914   0.155253                                     50.58         
Cook County, IL SD #89   214201GD1 12/13/07 12/01/16     59.629     0.000    5.8497   299.14     0.144795   0.149030   0.153389   0.157875               53.15    51.43
Cook County, IL SD #89   214201GE9 12/13/07 12/01/17     55.745     0.000    5.9498   285.42     0.138617   0.142741   0.146987   0.151360  0.155863     50.90    53.97
Cook County, IL SD #89   214201GF6 12/13/07 12/01/18     52.014     0.000    6.0498   271.71     0.132405   0.136410   0.140536   0.144787  0.149167     48.63    51.62
Cook County, IL SD #89   214201GG4 12/13/07 12/01/19     48.439     0.000    6.1497   258.10     0.126191   0.130071   0.134071   0.138193  0.142443     46.36    49.26
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000    6.2498   244.63     0.120006   0.123756   0.127623   0.131611  0.135724     44.11    46.91
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000    6.3498   231.36     0.113874   0.117489   0.121220   0.125068  0.129039     41.87    44.57
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000    6.3998   217.84     0.107398   0.110835   0.114381   0.118041  0.121819     39.49    42.06
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000    6.4498   204.90     0.101187   0.104450   0.107819   0.111296  0.114885     37.21    39.65
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000    6.4698   192.40     0.095073   0.098149   0.101324   0.104602  0.107986     34.97    37.27
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000    7.7796   125.44     0.100739   0.104657   0.108728   0.112958  0.117352     37.10    40.04
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000    7.9996   116.23     0.093767   0.097518   0.101418   0.105475  0.109694     34.55    37.37
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES    7.6950              0.231214   0.230758   0.230285   0.229793  0.229283     83.14    82.80
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000    8.2496   107.12     0.086862   0.090445   0.094176   0.098060  0.102105     32.03    34.73
Cook County, IL SD #104  214471HQ0 12/30/02 12/01/22     21.989     0.000    7.7496   327.92     0.117170   0.121710   0.126426   0.131324  0.136413     43.28    46.69
Cook County, IL SD #123  214651JX0 10/15/07 12/01/15     62.337     0.000    5.8991   324.79     0.154610   0.159170                                     51.84         
Cook County, IL SD #123  214651JY8 10/15/07 12/01/16     58.297     0.000    5.9991   309.97     0.148062   0.152504   0.157078   0.161790               54.37    52.68
Cook County, IL SD #123  214651JZ5 10/15/07 12/01/17     54.681     0.000    6.0492   293.69     0.140524   0.144774   0.149153   0.153665  0.158312     51.61    54.78
Cook County, IL SD #123  214651KA8 10/15/07 12/01/18     51.240     0.000    6.0992   277.97     0.133229   0.137292   0.141479   0.145794  0.150240     48.94    51.97
Cook County, IL SD #123  214651KB6 10/15/07 12/01/19     48.025     0.000    6.1392   262.61     0.126040   0.129909   0.133897   0.138007  0.142243     46.31    49.19
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000    6.2294   248.76     0.119756   0.123486   0.127332   0.131298  0.135388     44.01    46.80
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000    6.2694   234.50     0.113047   0.116590   0.120245   0.124015  0.127902     41.55    44.20
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000    6.2794   220.57     0.106366   0.109706   0.113150   0.116703  0.120367     39.10    41.59
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000    6.2895   207.42     0.100061   0.103208   0.106454   0.109801  0.113254     36.78    39.13
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000    6.2995   195.02     0.094111   0.097075   0.100133   0.103287  0.106540     34.59    36.81
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000    6.3095   183.33     0.088498   0.091289   0.094170   0.097140  0.100205     32.53    34.62
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000    6.3195   172.30     0.083202   0.085831   0.088543   0.091341  0.094227     30.59    32.55
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000    6.3295   167.03     0.080683   0.083237   0.085871   0.088589  0.091392     29.66    31.57
Cook County, IL SD #127  214723CV8 09/07/05 12/01/19     46.971     0.000    5.3794   300.61     0.114594   0.117676   0.120841   0.124092  0.127429     42.00    44.29
Cook County, IL SD #127  214723CW6 09/07/05 12/01/20     44.082     0.000    5.4494   286.74     0.109636   0.112623   0.115692   0.118844  0.122082     40.19    42.41
Cook County, IL SD #127  214723CX4 09/07/05 12/01/21     41.315     0.000    5.5194   273.08     0.104730   0.107621   0.110591   0.113643  0.116779     38.40    40.55
Cook County, IL SD #127  214723CY2 09/07/05 12/01/22     38.734     0.000    5.5794   259.53     0.099792   0.102575   0.105437   0.108378  0.111402     36.60    38.67
Cook County, IL SD #127  214723CZ9 09/07/05 12/01/23     36.271     0.000    5.6395   246.34     0.094965   0.097643   0.100396   0.103227  0.106138     34.83    36.82
Cook County, IL SD #127  214723DA3 09/07/05 12/01/24     33.990     0.000    5.6895   233.44     0.090184   0.092749   0.095388   0.098101  0.100892     33.08    34.99
Cook County, IL SD #133  214813BZ9 06/26/12 12/15/16     98.000     4.250    N/A                 0.011090   0.011361   0.005823   0.005965                3.96     2.03
Cook County, IL SD #133  214813CA3 06/26/12 12/15/20     98.000     5.000    N/A                 0.007877   0.008088   0.008305   0.008527  0.008756      2.88     3.04
Cook County, Illinois    215030CR6 01/08/04 12/01/15     50.650     0.000    5.7994   442.50     0.152145   0.156557                                     51.00         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000    6.6229              0.010965   0.011328   0.011704   0.012091  0.012492      4.04     4.31
Cook County, Illinois    215093EX9 06/17/03 12/01/15     51.495     0.000    5.3998   437.43     0.142212   0.146051                                     47.62         
Cook County, IL SD #153  215183FZ2 12/10/03 12/01/15     47.578     0.000    6.2999   469.01     0.164473   0.169654                                     55.21         
Cook County, IL SD #153  215183GL2 05/14/08 12/15/15     64.808     0.000    5.7992   298.79     0.152140   0.156552                                     53.13         
Cook County, IL SD #153  215183GM0 05/14/08 12/15/16     59.694     0.000    6.0984   292.38     0.148572   0.152266   0.156909   0.161693               55.05    55.64
Cook County, IL SD #153  215183GN8 05/14/08 12/15/17     55.331     0.000    6.2694   279.95     0.144709   0.149246   0.153924   0.158749  0.163726     53.06    56.44
Cook County, IL SD #153  215183GP3 05/14/08 12/15/18     51.329     0.000    6.3994   266.19     0.138170   0.142591   0.147153   0.151862  0.156721     50.68    53.98
Cook County, IL SD #153  215183GQ1 05/14/08 12/15/19     47.338     0.000    6.5593   252.92     0.131951   0.136278   0.140748   0.145364  0.150131     48.42    51.65
Cook County, IL SD #155  215219EH5 02/01/01 12/01/15     34.277     0.000    7.3490   593.30     0.189925   0.196904                                     63.93         
Cook County, IL SD #155  215219FN1 06/30/03 12/01/18     44.637     0.000    5.2998   368.42     0.119423   0.122588   0.125836   0.129171  0.132594     43.75    46.10
Cook County, IL SD #155  215219FP6 06/30/03 12/01/19     41.690     0.000    5.3998   352.67     0.114915   0.118017   0.121204   0.124476  0.127837     42.12    44.42
Cook County, IL SD #155  215219FQ4 06/30/03 12/01/20     39.193     0.000    5.4498   335.61     0.109640   0.112628   0.115697   0.118849  0.122088     40.19    42.41
Cook County, IL SD #155  215219FR2 06/30/03 12/01/21     36.482     0.000    5.5497   320.02     0.105088   0.108004   0.111001   0.114081  0.117246     38.53    40.70
Cook County, IL SD #155  215219FS0 06/30/03 12/01/22     33.892     0.000    5.6497   304.46     0.100498   0.103336   0.106256   0.109257  0.112344     36.86    38.97
Cook County, IL SD #155  215219GA8 06/02/05 12/01/15     59.242     0.000    5.0500   362.93     0.133456   0.136826                                     44.65         
Cook County, IL SD #155  215219GB6 06/02/05 12/01/16     55.669     0.000    5.1601   350.32     0.129451   0.132791   0.136217   0.139731               47.41    45.58
Cook County, IL SD #155  215219GC4 06/02/05 12/01/17     52.327     0.000    5.2501   336.49     0.124838   0.128115   0.131478   0.134929  0.138471     45.73    48.16
Cook County, IL SD #155  215219GD2 06/02/05 12/01/18     49.294     0.000    5.3100   321.53     0.119607   0.122783   0.126043   0.129389  0.132825     43.82    46.18
Cook County, IL SD #155  215219GE0 06/02/05 12/01/19     46.448     0.000    5.3600   306.56     0.114290   0.117353   0.120498   0.123728  0.127044     41.88    44.16
Cook County, IL SD #155  215219GF7 06/02/05 12/01/20     43.922     0.000    5.3801   291.25     0.108680   0.111603   0.114606   0.117689  0.120854     39.83    42.00
Cook County, IL SD #155  215219GG5 06/02/05 12/01/21     41.054     0.000    5.4700   277.98     0.104142   0.106991   0.109917   0.112923  0.116012     38.18    40.29
Cook County, IL SD #155  215219GH3 06/02/05 12/01/22     38.699     0.000    5.5000   263.85     0.098981   0.101703   0.104500   0.107373  0.110326     36.29    38.31
Cook County, IL SD #155  215219GQ3 06/02/05 12/01/23     36.261     0.000    5.5600   250.66     0.094280   0.096901   0.099595   0.102364  0.105210     34.57    36.52
Cook County, IL SD #155  215219GR1 06/02/05 12/01/24     34.002     0.000    5.6100   237.73     0.089614   0.092128   0.094712   0.097369  0.100100     32.87    34.74
Cook County, IL SD #155  215219HB5 06/29/06 12/01/16     54.002     0.000    5.9995   352.92     0.148072   0.152513   0.157088   0.161801               54.38    52.69
Cook County, IL SD #155  215219HC3 06/29/06 12/01/17     50.621     0.000    6.0495   334.28     0.140530   0.144781   0.149160   0.153672  0.158320     51.61    54.78
Cook County, IL SD #155  215219HD1 06/29/06 12/01/18     47.405     0.000    6.0996   316.31     0.133236   0.137300   0.141487   0.145802  0.150249     48.94    51.97
Cook County, IL SD #155  215219HE9 06/29/06 12/01/19     44.524     0.000    6.1196   298.32     0.125757   0.129605   0.133571   0.137658  0.141870     46.20    49.07
Cook County, IL SD #155  215219HF6 06/29/06 12/01/20     41.744     0.000    6.1496   281.42     0.118773   0.122425   0.126189   0.130069  0.134069     43.64    46.36
Cook County, IL SD #155  215219HG4 06/29/06 12/01/21     39.173     0.000    6.1696   265.17     0.112004   0.115459   0.119021   0.122692  0.126477     41.15    43.73
Cook County, IL SD #155  215219HH2 06/29/06 12/01/22     36.688     0.000    6.1996   249.87     0.105667   0.108942   0.112319   0.115801  0.119390     38.83    41.27
Cook County, IL SD #155  215219HJ8 06/29/06 12/01/23     34.398     0.000    6.2197   235.24     0.099556   0.102652   0.105844   0.109136  0.112530     36.59    38.90
Cook County, IL SD #155  215219HK5 06/29/06 12/01/24     32.181     0.000    6.2498   221.42     0.093820   0.096751   0.099775   0.102893  0.106108     34.48    36.67
Cook County, IL SD #155  215219HL3 06/29/06 12/01/25     30.147     0.000    6.2697   208.26     0.088313   0.091082   0.093937   0.096882  0.099919     32.46    34.53
Cook County, IL SD #155  215219HM1 06/29/06 06/01/26     29.062     0.000    6.2996   201.98     0.085751   0.088452   0.091238   0.094112  0.097076     31.52    33.54
Cook County, IL SD #155  215219JJ6 06/29/06 12/01/15     57.818     0.000    5.8994   369.98     0.154616   0.159177                                     51.84         
Cook County, IL SD #155  215219JK3 06/29/06 12/01/16     54.002     0.000    5.9995   352.92     0.148072   0.152513   0.157088   0.161801               54.38    52.69
Cook County, IL SD #155  215219JL1 06/29/06 12/01/17     50.621     0.000    6.0495   334.28     0.140530   0.144781   0.149160   0.153672  0.158320     51.61    54.78
Cook County, IL SD #155  215219JM9 06/29/06 12/01/18     47.405     0.000    6.0996   316.31     0.133236   0.137300   0.141487   0.145802  0.150249     48.94    51.97
Cook County, IL SD #155  215219JN7 06/29/06 12/01/19     44.524     0.000    6.1196   298.32     0.125757   0.129605   0.133571   0.137658  0.141870     46.20    49.07
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000    6.7493   162.39     0.103158   0.106640   0.110238   0.113958  0.117804     37.98    40.58
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000    6.7993   152.15     0.096779   0.100069   0.103471   0.106989  0.110626     35.63    38.10
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000    6.8493   142.42     0.090702   0.093808   0.097021   0.100343  0.103780     33.40    35.73
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000    6.8993   133.17     0.084919   0.087849   0.090879   0.094014  0.097257     31.28    33.47
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000    6.9993   124.35     0.079495   0.082277   0.085157   0.088137  0.091221     29.29    31.37
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000    7.0994   115.86     0.074259   0.076895   0.079625   0.082451  0.085378     27.37    29.35
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000    7.1494   111.75     0.071715   0.074279   0.076934   0.079684  0.082533     26.44    28.36
Cook County, Illinois    215255FA3 06/30/04 12/01/15     50.015     0.000    6.1596   445.82     0.161030   0.165990                                     54.03         
Cook County, IL SD #162  215291LF0 06/30/11 12/01/15     83.942     0.000    3.9996   124.96     0.106787   0.108923                                     35.62         
Cook County, IL SD #162  215291LG8 06/30/11 12/01/16     78.988     0.000    4.3994   130.12     0.112021   0.114485   0.117003   0.119577               40.92    39.07
Cook County, IL SD #162  215291LH6 06/30/11 12/01/17     73.981     0.000    4.7494   132.27     0.114600   0.117321   0.120108   0.122960  0.125880     41.91    43.93
Cook County, IL SD #162  215291LJ2 06/30/11 12/01/18     69.321     0.000    4.9995   130.97     0.113985   0.116834   0.119755   0.122749  0.125817     41.72    43.83
Cook County, IL SD #162  215291LK9 06/30/11 12/01/19     64.641     0.000    5.2494   128.72     0.112536   0.115490   0.118521   0.121632  0.124825     41.22    43.42
Cook County, IL SD #162  215291LL7 06/30/11 12/01/20     59.985     0.000    5.4994   125.62     0.110319   0.113353   0.116469   0.119672  0.122963     40.45    42.70
Cook County, IL SD #162  215291LM5 06/30/11 12/01/21     55.395     0.000    5.7496   121.74     0.107401   0.110489   0.113665   0.116933  0.120294     39.41    41.71
Cook County, IL SD #162  215291LP8 06/30/11 12/01/23     47.270     0.000    6.1246   111.30     0.098851   0.101878   0.104998   0.108213  0.111527     36.32    38.57
Cook County, IL SD #162  215291LQ6 06/30/11 12/01/24     43.785     0.000    6.2495   105.40     0.093818   0.096749   0.099773   0.102890  0.106105     34.48    36.67
Cook County, IL SD #162  215291LT0 06/30/11 12/01/27     33.620     0.000    6.7497    88.08     0.079103   0.081773   0.084533   0.087386  0.090335     29.12    31.12
Cook County, IL SD #162  215291LU7 06/30/11 12/01/28     30.805     0.000    6.8747    82.35     0.074128   0.076676   0.079312   0.082038  0.084858     27.30    29.21
Cook County, IL SD #162  215291LV5 06/30/11 12/01/29     28.410     0.000    6.9496    76.87     0.069282   0.071689   0.074180   0.076758  0.079425     25.52    27.33
Cook County, IL SD #162  215291LW3 06/30/11 12/01/30     26.286     0.000    6.9996    71.69     0.064670   0.066934   0.069276   0.071701  0.074210     23.83    25.52
Cook County SD #219, IL  215723LQ8 11/07/13 06/01/15     98.603     0.000    0.8999    10.24     0.024886                                                 3.73         
Cook County, Illinois    215903EX9 06/17/03 12/01/15     51.495     0.000    5.3998   437.43     0.142212   0.146051                                     47.62         
Corvallie, Benton County 2208855L7 03/12/02 01/01/16     39.945     0.000    6.7591   536.24     0.175680   0.181617                                     64.31         
Corvallie, Benton County 2208855M5 03/12/02 01/01/17     37.109     0.000    6.8092   503.57     0.165438   0.171071   0.176895   0.182918               60.57    64.77
Corvallie, Benton County 2208855N3 03/12/02 01/01/18     34.442     0.000    6.8591   472.41     0.155631   0.160969   0.166489   0.172199               56.99    60.96
Corvallie, Benton County 2208855P8 03/12/02 01/01/19     31.935     0.000    6.9091   442.73     0.146260   0.151313   0.156540   0.161948               53.56    57.33
Corvallie, Benton County 2208855Q6 03/12/02 01/01/20     29.582     0.000    6.9592   414.50     0.137312   0.142090   0.147034   0.152151               50.29    53.85
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000    6.9893   387.44     0.128564   0.133057   0.137707   0.142519               47.09    50.44
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000    7.0193   361.93     0.120299   0.124521   0.128891   0.133415               44.07    47.22
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000    7.0594   337.93     0.112571   0.116544   0.120658   0.124917               41.24    44.20
Costco Companies, Inc.   22160QAA0 08/19/97 08/19/17     49.960     0.000    3.5000   413.11     0.087611   0.089145   0.090705   0.092292  0.093907     32.22    33.36
Costco Companies, Inc.   22160QAB8 08/19/97 08/19/17     49.960     0.000    3.5000   413.11     0.087611   0.089145   0.090705   0.092292  0.093907     32.22    33.36
Costco Companies, Inc.   22160QAC6 08/19/97 08/19/17     49.960     0.000    3.5000   413.11     0.087611   0.089145   0.090705   0.092292  0.093907     32.22    33.36
Crawford CNTY, IL        224759ET3 10/30/14 12/01/15    105.824     0.000    0.9542              0.028073   0.028207                                      9.29         
Crawford CNTY, IL        224759EU0 10/30/14 12/01/16    109.531    VARIES    1.3393              0.040797   0.041070   0.038920   0.038065               14.68    12.69
Crawford CNTY, IL        224759EV8 10/30/14 12/01/17    113.034    VARIES    1.6409              0.051596   0.052020   0.049476   0.048514  0.047545     18.59    17.58
Crawford CNTY, IL        224759EW6 10/30/14 12/01/18    114.429    VARIES    2.0418              0.065015   0.065678   0.062807   0.061817  0.060818     23.46    22.37
Crawford CNTY, IL        224759EX4 10/30/14 12/01/19    115.947    VARIES    2.3920              0.077201   0.078125   0.074909   0.073895  0.072869     27.89    26.72
Crawford CNTY, IL        224759EY2 10/30/14 12/01/20     99.160    VARIES    2.6464              0.073060   0.074027   0.073010   0.073058  0.073105     26.47    26.30
Crawford CNTY, IL        224759EZ9 10/30/14 12/01/21     99.043    VARIES    2.8962              0.079881   0.081037   0.079808   0.079857  0.079908     28.96    28.74
Crawford CNTY, IL        224759FB1 10/30/14 12/01/23     98.821    VARIES    2.9354              0.080782   0.081968   0.080514   0.080473  0.080431     29.29    28.98
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000    1.9373                         0.053814   0.054307   0.054833  0.055364     15.99    19.78
Credit Suisse USA, Inc.  22541HCU4 03/04/11 03/01/16    100.000     0.000    3.0020              0.092533   0.093922   0.095332                          33.90     5.72
Credit Suisse USA, Inc.  22541HCW0 06/23/11 06/22/18    100.000     0.000    3.6401              0.114713   0.116801   0.118927   0.121091  0.123295     41.71    43.24
Credit Suisse USA, Inc.  22541HDC3 01/18/13 01/21/20    100.000     0.000    1.3160              0.037288   0.037533   0.037780   0.038029  0.038279     13.55    13.73
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22541HDD1 07/03/13 07/06/20    100.000     0.125    2.1480              0.060891   0.061508   0.062131   0.062761  0.063398     22.25    22.70
Credit Suisse USA, Inc.  22545F136 01/02/15 12/28/21    100.000     0.000    2.1699              0.060276   0.060916   0.061577   0.062245  0.062920     21.76    22.29
Credit Suisse USA, Inc.  22546E2G8 03/31/11 03/31/15    100.000     0.000    2.6796              0.081703                                                 7.27         
Credit Suisse USA, Inc.  22546E4R2 04/29/11 04/29/16    100.000     0.000    3.1146              0.096401   0.097902   0.099427                          35.16    11.73
Credit Suisse USA, Inc.  22546E4S0 04/28/11 04/27/15    100.000     0.000    2.6068              0.079279                                                 9.20         
Credit Suisse USA, Inc.  22546E6C3 05/31/11 05/31/16    100.000     0.000    2.8780              0.088356   0.089628   0.090918                          32.12    13.55
Credit Suisse USA, Inc.  22546E6E9 05/31/11 05/31/16    100.000     0.000    2.7670              0.084622   0.085792   0.086979                          30.75    12.96
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30    100.000    VARIES    3.9512              0.111880   0.112170   0.112465   0.112218  0.111965     40.37    40.41
Credit Suisse USA, Inc.  22546TAL5 06/30/11 06/30/16    100.000     0.000    3.0499              0.094189   0.095626   0.097084                          34.17    17.38
Credit Suisse USA, Inc.  22546TEK3 09/29/11 10/01/15    100.000     0.000    1.1278              0.032406   0.032589                                      8.78         
Credit Suisse USA, Inc.  22546TNB3 03/26/12 03/24/17    100.000     0.000    1.3843              0.039799   0.040075   0.040352   0.040632  0.040913     14.43    14.63
Credit Suisse USA, Inc.  22546TQX2 05/07/12 05/05/17    100.000     0.000    1.1036              0.031511   0.031685   0.031860   0.032036  0.032212     11.39    11.52
Credit Suisse USA, Inc.  22546TRE3 04/26/12 04/25/16    100.000     0.000    0.9090              0.025830   0.025948   0.026065                           9.34     2.97
Credit Suisse USA, Inc.  22547QER3 12/27/13 12/28/21    100.000     0.000    2.6360              0.075172   0.076163   0.077167   0.078184  0.079214     27.25    27.97
Credit Suisse USA, Inc.  22547QQF6 07/08/14 07/08/19    100.000     0.000    1.7799              0.049444   0.049884   0.050328   0.050776  0.051228     18.03    18.35
Credit Suisse USA, Inc.  22547QXM3 01/30/15 01/29/21    100.000     0.000    1.5401                         0.042783   0.043110   0.043442  0.043777     14.21    15.68
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000    2.2049              0.061248   0.061919   0.062602   0.063292  0.063990     22.17    22.67
Credit Suisse USA, Inc.  22547QZ66 12/31/14 12/31/20    100.000     0.000    1.9589              0.054415   0.054948   0.055486   0.056030  0.056579     19.69    20.07
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000    2.1597              0.060001   0.060649   0.061304   0.061966  0.062635     21.74    22.21
Credit Suisse USA, Inc.  22547W5D1 02/07/14 02/05/21    100.000     0.000    2.0912              0.058690   0.059304   0.059924   0.060551  0.061184     21.42    21.87
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000    2.2645              0.062905   0.062913   0.063625   0.064346  0.065074     12.53    23.06
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES    2.0492              0.010650   0.010759   0.010869   0.010980  0.011093      3.88     3.96
Credit Suisse USA, Inc.  2254M0GM2 07/29/11 07/29/16    100.000    VARIES    0.9093              0.001668   0.001663   0.001658   0.001653                 .60      .34
Credit Suisse USA, Inc.  2254M0H58 08/17/11 08/17/17    100.000    VARIES    1.2913              0.026888   0.026853   0.026819   0.026784  0.026749      9.66     9.64
Credit Suisse USA, Inc.  2254M0HK5 08/18/11 08/18/16    100.000    VARIES    1.4617              0.004742   0.004777   0.004812   0.004847                1.72     1.10
Credit Suisse USA, Inc.  2254M0HP4 09/06/11 09/06/18    100.000    VARIES    1.6149              0.000077   0.000078   0.000079   0.000079  0.000080       .28      .29
Credit Suisse USA, Inc.  2254M0HV1 09/13/11 09/13/16    100.000    VARIES    1.4720              0.003860   0.003888   0.003917   0.003946                1.40      .99
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23     94.618     4.800    5.4004    13.95     0.010604   0.010891   0.011185   0.011487  0.011797      3.90     4.12
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000    1.6453              0.047226   0.047615   0.048007   0.048402  0.048800     17.08    17.36
Deutsche Bank AG         25152RKC6 05/14/14 11/15/17    100.000     0.000    1.6315              0.045694   0.046066   0.046442   0.046821  0.047203     16.55    16.82
Deutsche Bank AG         25152RLC5 06/18/14 06/16/17    100.000     0.000    1.5017              0.042025   0.042340   0.042658   0.042979  0.043301     15.20    15.42
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES    2.3744              0.061815   0.061065   0.060306   0.059538  0.059411     21.89    21.44
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES    2.5035              0.064558   0.063760   0.062951   0.062133  0.062040     22.93    22.42
Deutsche Bank AG         25152RUZ4 03/28/13 03/28/18    100.000    VARIES    1.5000              0.041614   0.041771   0.041870   0.041970  0.041962     15.03    15.10
Deutsche Bank AG         25152RVB6 05/23/13 05/23/18    100.000    VARIES    1.6237              0.045045   0.045249   0.045367   0.045487  0.045467     16.27    16.36
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES    2.0551              0.052893   0.052393   0.051887   0.051377  0.051386     18.95    18.59
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES    1.1015              0.029085   0.027562   0.026868   0.026170  0.025898      9.99     9.46
Deutsche Bank AG         25152RVV2 05/07/14 05/05/17    100.000     0.000    1.0113              0.028234   0.028377   0.028521   0.028665  0.028810     10.21    10.31
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES    1.0463              0.027763   0.026455   0.025856   0.025253  0.024989      9.76     9.20
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES    0.8843              0.024566   0.023170   0.021768   0.021502  0.021235      8.25     7.72
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES    1.1688              0.032469   0.031360   0.030245   0.029690  0.029132     11.29    10.69
Deutsche Bank AG         2515A0FC2 09/05/07 09/05/17    100.000    VARIES    5.2125              0.133105   0.134930   0.136803   0.138724  0.140695     48.68    50.05
Deutsche Bank AG         2515A0L68 07/23/09 07/23/15    100.000     0.000    4.4552              0.154261   0.157697                                     31.78         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Deutsche Bank AG         2515A14C2 12/10/10 12/10/15    100.000    VARIES    3.0063              0.084815   0.084167                                     28.64         
Deutsche Bank AG         2515A1PE5 05/06/11 05/06/19    100.000    VARIES    4.4256              0.125541   0.126071   0.125892   0.125708  0.125521     45.31    45.27
Deutsche Bank AG         2515A1PH8 11/30/12 11/30/17    100.000    VARIES    1.3034              0.036176   0.036254   0.036333   0.036347  0.036360     13.04    13.08
Domtar Corporation       257559AG9 06/09/09 06/01/17     96.157    10.750   11.4987    23.02     0.015727   0.016632   0.017588   0.018599  0.019668      5.88     6.58
Douglas Cnty SD #302, IL 258741BR7 11/30/10 12/01/15    107.706    VARIES    3.3886              0.095608   0.094875                                     31.42         
Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16    109.259    VARIES    3.5892              0.102870   0.102099   0.101314   0.100515               36.85    33.29
Downtown Dallas Dev Auth 261149BH0 11/07/07 08/15/15     63.688     0.000    5.8886   327.73     0.154350   0.158895                                     35.39         
Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16     59.688     0.000    5.9687   312.19     0.147400   0.151799   0.156329   0.160994               55.07    35.86
Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17     55.746     0.000    6.0689   297.51     0.140902   0.145178   0.149583   0.154122  0.158799     52.67    55.92
Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18     52.073     0.000    6.1490   282.36     0.134059   0.138180   0.142429   0.146808  0.151321     50.14    53.27
Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19     48.734     0.000    6.1989   266.86     0.126898   0.130831   0.134886   0.139067  0.143377     47.48    50.47
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000    6.2791   252.50     0.120363   0.124142   0.128039   0.132059  0.136205     45.05    47.93
DuPage County SD #12, IL 262777CT0 06/28/12 01/01/16    100.000    VARIES    1.8474              0.051319   0.051318                                     18.47         
DuPage County SD #12, IL 262777CU7 06/28/12 01/01/17    100.000    VARIES    1.9976              0.055493   0.055492   0.055491   0.055491               19.98    19.98
DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18    100.000    VARIES    2.3971              0.066594   0.066593   0.066592   0.066591               23.97    23.97
DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19    100.000    VARIES    2.6969              0.074923   0.074922   0.074921   0.074920               26.97    26.97
DuPage County SD #12, IL 262777CX1 06/28/12 01/01/20    100.000    VARIES    2.8968              0.080480   0.080479   0.080478   0.080477               28.97    28.97
DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21    100.000    VARIES    3.2464              0.090196   0.090195   0.090193   0.090192               32.47    32.47
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES    3.7455              0.104072   0.104071   0.104069   0.104067               37.47    37.46
Dune Energy, Inc.        265338AD5 12/22/11 12/15/16    100.000    14.500    N/A                 0.520991   0.548951   0.578411   0.609453              193.51   204.56
Dynegy Holdings, Inc.    26816LBA9 12/01/09 06/01/15     85.000     7.500   11.2291   135.29     0.098081                                                14.71         
Dynegy Holdings, Inc.    26816LBB7 12/01/09 06/01/15     85.000     7.500   11.2291   135.29     0.098081                                                14.71         
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000    6.4698   331.40     0.111479   0.115085   0.118808   0.122652  0.126619     41.44    44.17
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000    6.4999   311.16     0.104829   0.108235   0.111753   0.115385  0.119135     38.97    41.55
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000    6.5100   291.92     0.098394   0.101597   0.104904   0.108318  0.111844     36.58    39.00
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000    6.5300   273.81     0.092384   0.095400   0.098515   0.101731  0.105053     34.35    36.63
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000    6.5498   256.73     0.086705   0.089545   0.092478   0.095506  0.098634     32.24    34.39
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000    6.5600   240.66     0.081320   0.083987   0.086742   0.089587  0.092525     30.24    32.26
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000    6.5699   225.56     0.076253   0.078758   0.081345   0.084017  0.086777     28.36    30.25
Eastern Comm College, IA 276540XW6 06/01/09 06/01/15    102.124     4.000    3.6031              0.100284                                                15.04         
Edgar Counties SD #3, IL 279713CJ8 10/10/13 12/01/15    103.736    VARIES    2.2346              0.063151   0.062615                                     20.74         
Edgar Counties SD #3, IL 279713CK5 10/10/13 12/01/16    103.073    VARIES    2.9854              0.084551   0.084155   0.083752   0.083344               30.34    27.56
Eksportfinans ASA        282645UV0 05/03/10 02/05/16    100.000     0.000    2.8500              0.089301   0.090573   0.091864                          32.75     3.12
EL Paso Corporation      28336LBT5 02/09/09 02/15/16     95.535     8.250    9.1255    35.52     0.021274   0.022245   0.023260                           8.10     1.02
Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21     77.941    VARIES    5.3200              0.218308   0.222466   0.227959   0.233591  0.240667     81.24    85.52
Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23    100.000    VARIES    5.7999              0.204472   0.206596   0.208781   0.211029  0.213257     74.71    76.31
Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23    100.000    VARIES    5.7999              0.204472   0.206596   0.208781   0.211029  0.213257     74.71    76.31
Euronet Worldwide, Inc.  298736AG4 10/30/14 10/01/44    100.000    VARIES    6.9990              0.194419   0.198903   0.204406   0.210101  0.215995     71.70    75.65
Euronet Worldwide, Inc.  298736AH2 10/30/14 10/01/44    100.000    VARIES    6.9990              0.194419   0.198903   0.204406   0.210101  0.215995     71.70    75.65
European Investment Bank 298785DW3 03/10/06 03/10/21     44.672     0.000    5.4449   270.38     0.106670   0.109574   0.112557   0.115621  0.118769     39.58    41.76
Exelon Corporation       30161N127 06/17/14 06/01/24    100.000    VARIES    4.8845              0.137156   0.138810   0.140504   0.142240  0.144017     49.77    51.00
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES    4.8845              0.137156   0.138810   0.140504   0.142240  0.144017     49.77    51.00
FPL Group Inc.           302570BK1 09/21/10 09/01/15     98.500    VARIES    2.7001              0.075313   0.075159                                     18.05         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X0AZ2 10/03/02 01/02/34     19.160     0.000    5.3582   174.51     0.053078   0.054500   0.055960   0.057460  0.058999     19.88    20.96
Freddie Mac              3128X2SM8 01/30/04 04/01/15     58.361     0.000    4.8793   404.48     0.132310                                                11.91         
Freddie Mac              3128X2SN6 01/30/04 10/01/15     56.535     0.000    4.9468   398.74     0.130858   0.134095                                     35.91         
Freddie Mac              3128X2SP1 01/30/04 04/01/16     54.741     0.000    5.0126   392.65     0.129274   0.132514   0.135835                          47.71    12.23
Freddie Mac              3128X2SQ9 01/30/04 10/01/16     52.987     0.000    5.0758   386.22     0.127546   0.130783   0.134102   0.137505               47.09    36.82
Freddie Mac              3128X2SR7 01/30/04 04/01/17     51.299     0.000    5.1327   379.31     0.125610   0.128833   0.132140   0.135531  0.139009     46.39    48.80
Freddie Mac              3128X2SS5 01/30/04 10/01/17     49.661     0.000    5.1861   372.12     0.123547   0.126750   0.130037   0.133409  0.136868     45.64    48.04
Freddie Mac              3128X2ST3 01/30/04 04/01/18     48.064     0.000    5.2374   364.76     0.121403   0.124582   0.127844   0.131192  0.134628     44.86    47.24
Freddie Mac              3128X2SU0 01/30/04 10/01/18     46.530     0.000    5.2834   357.14     0.119131   0.122278   0.125509   0.128824  0.132227     44.03    46.38
Freddie Mac              3128X2SV8 01/30/04 04/01/19     45.040     0.000    5.3272   349.43     0.116802   0.119914   0.123108   0.126387  0.129753     43.18    45.51
Freddie Mac              3128X2SW6 01/30/04 10/01/19     43.600     0.000    5.3679   341.61     0.114414   0.117484   0.120638   0.123876  0.127200     42.30    44.60
Freddie Mac              3128X2SX4 01/30/04 04/01/20     42.215     0.000    5.4047   333.71     0.111966   0.114992   0.118099   0.121291  0.124569     41.40    43.67
Freddie Mac              3128X2SY2 01/30/04 10/01/20     40.880     0.000    5.4384   325.79     0.109484   0.112461   0.115519   0.118660  0.121887     40.49    42.73
Freddie Mac              3128X4AE1 04/19/05 04/15/17     56.285     0.000    4.8518   333.29     0.119551   0.122451   0.125422   0.128464  0.131581     44.01    46.17
Freddie Mac              3128X4S77 03/24/06 06/20/16     59.540     0.000    5.1280   332.91     0.132029   0.135414   0.138886                          48.22    23.47
Freddie Mac              3128X52H0 04/03/07 04/02/37     21.177     0.000    5.2421   104.42     0.045453   0.046644   0.047867   0.049121  0.050409     16.79    17.68
Freddie Mac              3128X55E4 05/04/07 05/04/37     16.728     0.000    6.0499    96.79     0.043958   0.045287   0.046657   0.048069  0.049523     16.22    17.21
Freddie Mac              3128X5LK2 10/02/06 10/02/34     24.784     0.000    5.0446   125.97     0.051736   0.053041   0.054379   0.055750  0.057156     19.09    20.07
Freddie Mac              3128X5P69 03/09/07 09/15/15     66.760     0.000    4.8010   299.55     0.127183   0.130236                                     32.85         
Freddie Mac              3128X6HU3 07/20/07 09/28/18     54.270     0.000    5.5370   272.54     0.123621   0.127044   0.130561   0.134176  0.137890     45.77    48.33
Freddie Mac              3128X6PP5 10/11/07 07/02/15     68.530     0.000    4.9512   290.41     0.130969   0.134211                                     24.29         
Freddie Mac              3128X6QB5 10/19/07 08/31/15     68.362     0.000    4.8939   285.02     0.128811   0.129812                                     31.36         
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000    4.9802    94.42     0.044625   0.045736   0.046875   0.048042  0.049238     16.29    17.11
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000    4.4860    82.92     0.042968   0.043932   0.044917   0.045925  0.046955     15.73    16.45
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000    4.3499    82.70     0.043017   0.043953   0.044909   0.045886  0.046884     15.74    16.43
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000    5.1394    85.30     0.043322   0.044436   0.045578   0.046749  0.047950     15.80    16.62
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000    2.9999    79.86     0.040177   0.040780   0.041392   0.042012  0.042643     14.74    15.18
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000    4.5438    77.83     0.046972   0.048039   0.049131   0.050247  0.051388     17.33    18.13
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000    4.5433    76.94     0.046972   0.048039   0.049130   0.050246  0.051388     17.14    17.92
Freddie Mac              312902LX5 12/17/99 12/17/29     14.255     0.000    6.6001   235.98     0.069220   0.071504   0.073864   0.076302  0.078820     25.40    27.10
Freddie Mac              312902VG1 04/25/00 01/04/21     25.643     0.000    6.6857   417.17     0.121116   0.125164   0.129348   0.133672  0.138141     45.79    48.90
Freddie Mac              312902VH9 04/25/00 01/04/22     24.042     0.000    6.6795   390.57     0.113353   0.117139   0.121051   0.125094  0.129271     42.85    45.76
Freddie Mac              312902VJ5 04/25/00 01/04/23     22.536     0.000    6.6749   365.71     0.106111   0.109653   0.113312   0.117094  0.121002     40.11    42.83
Freddie Mac              312902VK2 04/25/00 01/04/24     21.145     0.000    6.6664   342.47     0.099319   0.102629   0.106050   0.109585  0.113238     37.54    40.09
Freddie Mac              312902VL0 04/25/00 01/04/25     20.007     0.000    6.6235   320.85     0.092820   0.095894   0.099070   0.102351  0.105740     35.07    37.44
Freddie Mac              312902VM8 04/25/00 01/04/26     18.780     0.000    6.6160   300.65     0.086938   0.089814   0.092785   0.095855  0.099026     32.85    35.06
Freddie Mac              312902VN6 04/25/00 01/04/27     17.654     0.000    6.6033   281.80     0.081429   0.084117   0.086895   0.089764  0.092727     30.77    32.83
Freddie Mac              312902VV8 04/25/00 01/04/18     31.141     0.000    6.7034   508.67     0.147834   0.152789   0.157910   0.163203  0.168673     55.90    59.71
Freddie Mac              312902VW6 04/25/00 01/04/19     29.163     0.000    6.7017   476.18     0.138375   0.143012   0.147804   0.152757  0.157876     52.32    55.88
Freddie Mac              312902VX4 04/25/00 01/04/20     27.313     0.000    6.6997   445.76     0.129523   0.133862   0.138346   0.142981  0.147770     48.97    52.31
Freddie Mac              312902WK1 04/25/00 01/04/15     37.975     0.000    6.6992   619.71     0.180060                                                  .54         
Freddie Mac              312902WL9 04/25/00 01/04/16     35.607     0.000    6.6893   579.74     0.168352   0.173983   0.179802                          63.65      .54
Freddie Mac              312902WM7 04/25/00 01/04/17     33.256     0.000    6.7048   543.40     0.157937   0.163232   0.168704   0.174360  0.180205     59.72    63.79
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Federal Home Loan Banks  3130A0HS2 01/15/14 01/15/19    100.000    VARIES    1.6373              0.045143   0.044802   0.044884   0.044968  0.045052     16.15    16.20
Federal Home Loan Banks  3130A0JE1 01/07/14 01/07/19    100.000    VARIES    1.6244              0.044798   0.044471   0.044550   0.044630  0.044711     16.03    16.08
Federal Home Loan Banks  3130A0MR8 01/22/14 01/22/21    100.000    VARIES    2.3228              0.065047   0.065577   0.065932   0.066291  0.066474     23.65    23.89
Federal Home Loan Banks  3130A0N63 01/23/14 01/23/20    100.000    VARIES    1.9611              0.054816   0.055158   0.055370   0.055585  0.055660     19.88    20.02
Federal Home Loan Banks  3130A1DD7 03/26/14 03/26/21    100.000    VARIES    2.2862              0.064023   0.064546   0.064896   0.065250  0.065431     23.23    23.48
Federal Home Loan Banks  3130A1DV7 03/26/14 03/26/21    100.000    VARIES    2.3281              0.065198   0.065731   0.066088   0.066450  0.066635     23.65    23.91
Federal Home Loan Banks  3130A1RY6 05/15/14 05/15/19    100.000    VARIES    1.7090              0.047055   0.046634   0.046736   0.046838  0.046942     16.85    16.85
Federal Home Loan Banks  3130A1S25 05/07/14 05/07/19    100.000    VARIES    1.6633              0.045838   0.045468   0.045558   0.045648  0.045739     16.42    16.43
Federal Home Loan Banks  3130A1S90 05/13/14 05/13/19    100.000    VARIES    1.6985              0.046777   0.046368   0.046467   0.046567  0.046667     16.75    16.76
Federal Home Loan Banks  3130A1TH1 05/22/14 05/22/19    100.000    VARIES    1.7677              0.048618   0.048127   0.048245   0.048365  0.048485     17.40    17.40
Federal Home Loan Banks  3130A1UN6 05/22/14 05/22/19    100.000    VARIES    1.7182              0.047300   0.046868   0.046972   0.047078  0.047184     16.94    16.94
Federal Home Loan Banks  3130A2SK3 08/20/14 08/20/19    100.000    VARIES    1.7102              0.047508   0.047089   0.046666   0.046768  0.046871     16.92    16.84
Federal Home Loan Banks  3130A2ST4 08/27/14 08/28/19    100.000    VARIES    1.7859              0.049606   0.048806   0.048684   0.048796  0.048909     17.60    17.57
Federal Home Loan Banks  3130A2SV9 08/27/14 08/28/19    100.000    VARIES    1.7926              0.049791   0.048974   0.048852   0.048967  0.049082     17.66    17.64
Federal Home Loan Banks  3130A2XS0 10/02/14 10/02/19    100.000    VARIES    1.7547              0.048744   0.048273   0.047798   0.047912  0.048028     17.38    17.25
Federal Home Loan Banks  3130A2YR1 09/26/14 09/26/19    100.000    VARIES    1.7203              0.047788   0.047339   0.046886   0.046996  0.047106     17.04    16.92
Federal Home Loan Banks  3130A2ZS8 10/09/14 10/09/19    100.000    VARIES    1.8004              0.050011   0.049485   0.048954   0.049082  0.049211     17.82    17.67
Federal Home Loan Banks  3130A3NY6 12/30/14 12/30/19    100.000    VARIES    1.7251              0.047920   0.047346   0.047275   0.047353  0.047432     17.15    17.03
Federal Home Loan Banks  3130A3R63 12/23/14 12/23/19    100.000    VARIES    1.7764              0.049345   0.048966   0.048584   0.048676  0.048769     17.69    17.51
Federal Home Loan Banks  3130A3TF1 12/29/14 12/27/19    100.000    VARIES    1.7623              0.048954   0.048775   0.048593   0.048410  0.048224     17.59    17.46
Federal Home Loan Banks  3130A4EV0 03/18/15 03/18/20    100.000    VARIES    1.7025                         0.047293   0.046883   0.046469  0.046569     13.34    16.77
Federal Home Loan Banks  3130A4JD5 03/30/15 03/30/20    100.000    VARIES    1.6373                         0.045481   0.045143   0.044802  0.044884     12.29    16.17
Federal Home Loan Banks  3130A4LE0 04/02/15 04/02/20    100.000    VARIES    1.6894                         0.046928   0.046533   0.046134  0.046230     12.59    16.65
Federal Home Loan Banks  3130A5CB3 05/27/15 05/27/20    100.000    VARIES    1.6121                         0.044782   0.044248   0.044156  0.044232      9.57    15.91
Federal Home Loan Banks  3130A5DC0 05/27/15 05/27/20    100.000    VARIES    1.7632                         0.048978   0.048797   0.048615  0.048432     10.48    17.52
Federal Home Loan Banks  3130A5LZ0 06/30/15 06/30/20    100.000    VARIES    1.7430                         0.048419   0.047570   0.047501  0.047612      8.76    17.11
Federal Home Loan Banks  3130A5M22 06/26/15 06/25/20    100.000    VARIES    1.7664                         0.049067   0.048312   0.048187  0.048293      9.07    17.37
Federal Home Loan Banks  3133734F6 04/15/11 04/15/16    100.000    VARIES    2.5160              0.071430   0.071126   0.070512                          25.59     7.33
Federal Home Loan Banks  3133736X5 03/30/11 03/30/16    100.000    VARIES    2.4313              0.068891   0.068624   0.068084                          24.68     6.06
Federal Home Loan Banks  3133737L0 04/13/11 04/13/17    100.000    VARIES    2.7757              0.079717   0.079575   0.079121   0.078662  0.077888     28.63    28.30
Federal Home Loan Banks  313373B84 04/13/11 04/13/17    100.000    VARIES    2.7757              0.079717   0.079575   0.079121   0.078662  0.077888     28.63    28.30
Federal Home Loan Banks  313373D74 04/21/11 04/21/16    100.000    VARIES    2.4737              0.070160   0.069875   0.069298                          25.15     7.62
Federal Home Loan Banks  313373NU2 04/28/11 04/28/15    100.000    VARIES    2.3656              0.066208                                                 7.75         
Federal Home Loan Banks  313374CU2 07/06/11 07/06/18    100.000    VARIES    2.0867              0.059146   0.058953   0.058758   0.058364               21.19    10.80
Federal Home Loan Banks  313379HU6 06/05/12 06/05/17    100.000    VARIES    0.8042              0.022187   0.022207   0.022240   0.022274  0.022307      7.99     8.01
Federal Home Loan Banks  3133836A4 05/22/13 05/22/19    100.000    VARIES    1.0915              0.029934   0.029976   0.030018   0.030061  0.030104     10.79    10.82
Federal Home Loan Banks  313383JM4 06/27/13 06/27/19    100.000    VARIES    1.3128              0.035971   0.036025   0.036079   0.036134  0.036189     12.96    13.00
Federal Home Loan Banks  313383MU2 07/11/13 07/11/19    100.000    VARIES    1.7140              0.046786   0.046866   0.046946   0.047027  0.047109     16.88    16.94
Federal Home Loan Banks  313383NN7 07/17/13 07/17/19    100.000    VARIES    1.7803              0.048439   0.048537   0.048635   0.048734  0.048834     17.49    17.56
Freddie Mac              3134A1BU3 09/25/96 06/01/16     23.214     0.000    7.5580   668.18     0.187836   0.194934   0.202301                          69.33    30.35
Freddie Mac              3134A1CT5 10/21/96 09/15/16     23.550     0.000    7.3996   648.09     0.177744   0.184320   0.191140   0.198212               66.59    49.82
Freddie Mac              3134A1DL1 11/01/96 02/01/16     25.038     0.000    7.3237   674.74     0.182630   0.189317   0.196250                          68.99     5.89
Freddie Mac              3134A1FK1 11/20/96 09/03/19     20.641     0.000    7.0454   517.29     0.138435   0.143312   0.148361   0.153587  0.158997     51.89    55.61
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134A1H60 10/22/97 06/03/24     16.813     0.000    6.8126   363.85     0.100143   0.103554   0.107081   0.110729  0.114500     36.86    39.41
Freddie Mac              3134A1HH6 12/23/96 12/01/15     26.483     0.000    7.1396   672.97     0.184889   0.191489                                     62.20         
Freddie Mac              3134A1HU7 12/27/96 12/02/19     19.720     0.000    7.2067   508.75     0.140506   0.145569   0.150815   0.156249  0.161879     51.79    55.59
Freddie Mac              3134A1MY3 02/12/97 02/01/20     19.238     0.000    7.3061   502.04     0.136767   0.141763   0.146942   0.152309  0.157873     51.66    55.50
Freddie Mac              3134A1MZ0 02/12/97 03/01/16     25.716     0.000    7.2560   663.18     0.181120   0.187692   0.194501                          67.99    11.67
Freddie Mac              3134A1NA4 02/12/97 01/02/19     20.877     0.000    7.2857   542.16     0.146662   0.152005   0.157542   0.163281  0.169229     55.71    59.84
Freddie Mac              3134A1X39 12/11/97 06/01/15     33.207     0.000    6.4099   642.05     0.172524                                                25.88         
Freddie Mac              3134A2G77 12/28/98 11/15/28     20.230     0.000    5.4198   273.96     0.071209   0.073139   0.075121   0.077157  0.079248     26.16    27.60
Freddie Mac              3134A2HG6 06/30/98 12/11/25     19.896     0.000    5.9699   326.35     0.086825   0.089417   0.092086   0.094834  0.097665     31.83    33.76
Freddie Mac              3134A3D29 09/09/99 08/15/27     14.928     0.000    6.9258   274.18     0.079390   0.082139   0.084984   0.087927  0.090971     29.84    31.94
Freddie Mac              3134A3ZU3 08/02/99 12/14/29     15.469     0.000    6.2410   244.26     0.068961   0.071113   0.073332   0.075620  0.077980     25.29    26.89
Freddie Mac              3134G1EA8 05/10/10 06/10/15     88.082     0.000    2.5118   108.22     0.068909                                                10.96         
Freddie Mac              3134G1XY5 11/18/10 05/15/15     94.752     0.000    1.2037    48.03     0.033238                                                 4.45         
Freddie Mac              3134G2CV2 04/01/11 04/01/16    100.000    VARIES    2.1989              0.062543   0.062315   0.061702                          22.40     5.55
Freddie Mac              3134G2JD5 05/18/11 02/15/15     94.531     0.000    1.5086    52.86     0.041592                                                 1.83         
Freddie Mac              3134G2JE3 05/18/11 02/15/16     91.147     0.000    1.9642    66.84     0.052986   0.053507   0.054032                          19.31     2.38
Freddie Mac              3134G2N57 09/19/11 02/15/15     97.686     0.000    0.6886    22.30     0.019063                                                  .84         
Freddie Mac              3134G2N65 09/19/11 08/01/15     96.933     0.000    0.8071    25.98     0.022242   0.022332                                      4.69         
Freddie Mac              3134G35Q9 02/19/13 02/01/16     98.624     0.000    0.4702     8.69     0.012970   0.013001   0.013031                           4.68      .39
Freddie Mac              3134G3D72 08/03/12 08/01/15     98.910     0.000    0.3663     8.77     0.010139   0.010158                                      2.13         
Freddie Mac              3134G3D80 08/03/12 03/01/16     98.331     0.000    0.4709    11.22     0.012991   0.013021   0.013052                           4.69      .78
Freddie Mac              3134G3D98 08/03/12 08/01/16     97.750     0.000    0.5705    13.52     0.015668   0.015713   0.015758   0.015803                5.66     3.32
Freddie Mac              3134G3G87 09/05/12 02/01/16     97.910     0.000    0.6211    14.20     0.017094   0.017147   0.017201                           6.18      .52
Freddie Mac              3134G3H60 08/29/12 02/12/16     98.330     0.000    0.4883    11.28     0.013466   0.013499   0.013532                           4.86      .55
Freddie Mac              3134G3PQ7 02/13/12 02/13/15     98.625     0.000    0.4620    13.21     0.012805                                                  .54         
Freddie Mac              3134G3TD2 04/11/12 02/15/15     98.584     0.000    0.5019    13.55     0.013909                                                  .61         
Freddie Mac              3134G3TF7 03/20/12 03/01/16     96.961     0.000    0.7833    21.31     0.021506   0.021591   0.021675                           7.78     1.30
Freddie Mac              3134G3UA6 04/19/12 08/01/15     97.653     0.000    0.7246    19.26     0.019983   0.020055                                      4.21         
Freddie Mac              3134G3UB4 05/01/12 05/01/15     98.095     0.000    0.6421    16.92     0.017781                                                 2.13         
Freddie Mac              3134G3UE8 05/08/12 07/01/15     98.190     0.000    0.5811    15.20     0.016098                                                 2.90         
Freddie Mac              3134G3UG3 05/23/12 02/13/15     98.720     0.000    0.4737    12.25     0.013129                                                  .55         
Freddie Mac              3134G3UP3 05/22/12 02/27/15     98.622     0.000    0.5026    13.00     0.013927                                                  .78         
Freddie Mac              3134G3WQ9 06/28/12 01/30/15     98.590     0.000    0.5492    13.66     0.015215                                                  .44         
Freddie Mac              3134G3WS5 06/28/12 02/01/16     97.180     0.000    0.7979    19.61     0.021903   0.021991   0.022078                           7.93      .66
Freddie Mac              3134G3Y46 12/18/12 08/15/15     99.022     0.000    N/A        7.48     0.010241   0.010260                                      2.30         
Freddie Mac              3134G4AL2 07/02/13 02/27/15     99.540     0.000    0.2791     4.17     0.007743                                                  .43         
Freddie Mac              3134G4AN8 07/02/13 09/01/15     99.150     0.000    0.3948     5.87     0.010925   0.010947                                      2.63         
Freddie Mac              3134G4AV0 06/13/13 01/30/15     99.602     0.000    0.2447     3.78     0.006789                                                  .20         
Freddie Mac              3134G4HE1 10/02/13 05/01/15     99.559     0.000    0.2796     3.48     0.007714                                                  .93         
Freddie Mac              3134G4HF8 10/02/13 10/30/15     99.118     0.000    0.4270     5.30     0.011683   0.011644                                      3.52         
Freddie Mac              3134G4HG6 10/02/13 04/01/15     99.671     0.000    0.2202     2.75     0.006043                                                  .54         
Freddie Mac              3134G4HH4 10/02/13 09/30/16     97.752     0.000    0.7607     9.32     0.020584   0.020549   0.020627   0.020706                7.51     5.65
Freddie Mac              3134G4HP6 10/04/13 10/30/15     99.186     0.000    0.3950     4.88     0.010810   0.010772                                      3.26         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G4HQ4 10/04/13 07/31/15     99.463     0.000    0.2955     3.65     0.008006   0.008151                                      1.72         
Freddie Mac              3134G4JC3 11/07/13 05/01/15     99.545     0.000    0.3076     3.53     0.008533                                                 1.02         
Freddie Mac              3134G4JD1 11/07/13 04/29/16     98.527     0.000    0.5997     6.81     0.016512   0.016562   0.016611                           5.96     1.96
Freddie Mac              3134G4JS8 10/18/13 03/01/16     98.742     0.000    0.5348     6.39     0.014656   0.014456   0.014654                           5.31      .88
Freddie Mac              3134G4S25 12/20/13 01/29/16     99.140     0.000    0.4100     4.19     0.011321   0.011344   0.011368                           4.09      .32
Freddie Mac              3134G4TJ7 01/07/14 11/09/16     97.897     0.000    0.7500     7.24     0.020525   0.020602   0.020679   0.020756                7.41     6.38
Freddie Mac              3134G5PA7 11/06/14 01/30/17     98.473     0.000    0.6901     1.04     0.018874   0.018908   0.018973   0.019039  0.019104      6.82     6.86
Freddie Mac              3134G5R56 12/03/14 09/01/16     99.098     0.000    0.5200      .40     0.014313   0.014334   0.014371   0.014408                5.16     3.46
Freddie Mac              3134G5R64 12/03/14 09/01/17     97.435     0.000    0.9489      .72     0.025676   0.025743   0.025865   0.025988  0.026111      9.28     9.36
Freddie Mac              3134G5R98 12/18/14 02/15/17     98.503     0.000    0.6999      .25     0.019148   0.019174   0.019242   0.019309  0.019377      6.91     6.96
Freddie Mac              3134G5UK9 12/30/14 06/15/16     99.295     0.000    0.4857      .01     0.013396   0.013427   0.013459                           4.83     2.21
Freddie Mac              3134G5VS1 12/19/14 08/01/16     99.132     0.000    0.5399      .18     0.014846   0.014877   0.014918   0.014958                5.36     3.14
Freddie Mac              3134G5VZ5 12/19/14 07/01/16     99.222     0.000    0.5100      .17     0.014059   0.014095   0.014131                           5.07     2.54
Freddie Mac              3134G6JM6 03/12/15 05/01/17     98.351     0.000    0.7798              0.021296   0.021328   0.021411   0.021494  0.021578      6.17     7.73
Freddie Mac              3134G6NP4 04/16/15 02/01/18     97.254     0.000    0.9997                         0.027009   0.027088   0.027223  0.027359      6.90     9.82
Freddie Mac              3134G6RW5 04/08/15 07/14/17     98.320     0.000    0.7487                         0.020442   0.020491   0.020568  0.020645      5.38     7.42
Freddie Mac              3134G6RX3 04/08/15 07/13/18     96.583     0.000    1.0679                         0.028649   0.028732   0.028886  0.029040      7.55    10.42
Freddie Mac              3134G6X81 05/20/15 08/30/18     96.333     0.000    1.1425                         0.030071   0.030169   0.030342  0.030683      6.81    11.14
Fannie Mae               31359MEL3 01/29/99 06/01/17     34.790     0.000    5.8405   522.27     0.140490   0.144593   0.148815   0.153161  0.157634     51.56    54.62
Fannie Mae               3136F1EQ9 12/27/01 03/17/31     16.751     0.000    6.2082   203.69     0.062887   0.064839   0.066851   0.068926  0.071066     23.40    24.88
Fannie Mae               3136F3LA2 04/04/03 10/03/33     20.285     0.000    5.2999   172.08     0.054492   0.055936   0.057418   0.058940  0.060502     20.13    21.22
Fannie Mae               3136F3ZC3 06/09/03 12/15/33     23.674     0.000    N/A                 0.054608   0.055920   0.057264   0.058640  0.060049     19.94    20.91
Fannie Mae               3136F4R55 01/07/04 12/15/34     18.268     0.000    5.5708   151.37     0.051565   0.053002   0.054478   0.055995  0.057555     18.87    19.93
Fannie Mae               3136F6G86 02/24/05 02/15/15     63.549     0.000    4.5968   359.02     0.124822                                                 5.49         
Fannie Mae               3136F7NM5 11/15/05 11/15/30     26.938     0.000    5.3159   165.50     0.063784   0.065479   0.067220   0.069007  0.070841     23.43    24.69
Fannie Mae               3136F8LW3 05/03/07 06/01/15     75.398     0.000    N/A                 0.067802                                                10.17         
Fannie Mae               3136G04B4 11/15/12 12/01/15     98.641     0.000    0.4499     9.48     0.012442   0.012470                                      4.11         
Fannie Mae               3136G04C2 11/15/12 03/01/16     98.378     0.000    0.4969    10.45     0.013702   0.013737   0.013771                           4.95      .83
Fannie Mae               3136G1SZ3 08/15/13 07/01/18     95.481     0.000    0.9502    12.55     0.025534   0.025655   0.025777   0.025900                9.21     9.30
Fannie Mae               3136G1ZJ1 03/21/14 01/26/19     97.874     0.000    N/A                 0.024619   0.024673   0.024749   0.024788  0.024863      8.89     8.93
First Data Corporation.  319963AY0 12/17/10 01/15/21*    94.750     8.250    9.0551    15.67     0.012577   0.013147   0.013742                           4.49*        
First Data Corporation.  319963AZ7 12/17/10 01/15/22     95.625    VARIES    N/A                 0.345787   0.346638   0.347530   0.348465  0.349446    124.93   125.60
First Data Corporation.  319963BA1 12/15/10 01/15/21*    91.875    12.625   14.1624    20.21     0.017548   0.018791   0.020121                           6.34*        
First Data Corporation.  319963BB9 12/15/10 01/15/21*    91.875    12.625   14.1624    20.21     0.017548   0.018791   0.020121                           6.34*        
Livingston CNTY SD#74,IL 33849YAE1 09/09/10 12/01/15    106.477    VARIES    3.6335              0.102275   0.101610                                     33.63         
Livingston CNTY SD#74,IL 33849YAK7 09/09/10 12/01/15    106.477    VARIES    3.6335              0.102275   0.101610                                     33.63         
Forney Independent SD,TX 3464242U7 02/18/14 08/15/39     16.888     0.000    7.1001    10.58     0.034470   0.035694   0.036961   0.038273  0.039632     12.97    13.91
Forney Independent SD,TX 3464242V5 02/18/14 08/15/40     15.550     0.000    7.1500     9.81     0.031970   0.033113   0.034297   0.035523  0.036793     12.03    12.91
Forney Independent SD,TX 3464242W3 02/18/14 08/15/41     14.304     0.000    7.2000     9.09     0.029621   0.030687   0.031792   0.032937  0.034122     11.15    11.97
Forney Independent SD,TX 3464242X1 02/18/14 08/15/42     13.145     0.000    7.2501     8.41     0.027417   0.028411   0.029440   0.030508  0.031614     10.32    11.09
Forney Independent SD,TX 3464242Y9 02/18/14 08/15/43     12.068     0.000    7.3002     7.78     0.025350   0.026276   0.027235   0.028229  0.029259      9.55    10.26
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Forney Independent SD,TX 3464242Z6 02/18/14 08/15/44     11.069     0.000    7.3502     7.18     0.023417   0.024277   0.025170   0.026095  0.027054      8.82     9.48
Forney Independent SD,TX 3464243A0 02/18/14 08/15/45     10.143     0.000    7.4002     6.63     0.021609   0.022408   0.023237   0.024097  0.024989      8.14     8.76
Forney Independent SD,TX 3464243B8 02/18/14 08/15/46      9.141     0.000    7.5003     6.06     0.019747   0.020487   0.021256   0.022053  0.022880      7.45     8.02
Forney Independent SD,TX 3464243C6 02/18/14 08/15/47      8.223     0.000    7.6000     5.52     0.018009   0.018693   0.019403   0.020141  0.020906      6.80     7.32
Forney Independent SD,TX 3464243D4 02/18/14 08/15/48      7.382     0.000    7.7003     5.02     0.016388   0.017019   0.017674   0.018354  0.019061      6.19     6.67
Forney Independent SD,TX 3464243E2 02/18/14 08/15/49      6.615     0.000    7.8002     4.56     0.014883   0.015463   0.016066   0.016693  0.017344      5.62     6.07
Forney Independent SD,TX 3464243F9 02/18/14 08/15/50      6.021     0.000    7.8502     4.18     0.013636   0.014172   0.014728   0.015306  0.015907      5.15     5.57
Forney Independent SD,TX 3464243G7 02/18/14 08/15/51      5.475     0.000    7.9003     3.82     0.012482   0.012975   0.013487   0.014020  0.014574      4.72     5.10
Forney Independent SD,TX 3464243H5 02/18/14 08/15/52      4.974     0.000    7.9502     3.50     0.011414   0.011868   0.012339   0.012830  0.013340      4.32     4.67
Forney Independent SD,TX 3464243J1 02/18/14 08/15/53      4.514     0.000    8.0005     3.19     0.010426   0.010843   0.011277   0.011728  0.012198      3.94     4.27
Forney Independent SD,TX 346424X90 08/27/13 08/15/38     17.946     0.000    6.9999    17.42     0.037296   0.038601   0.039952   0.041351  0.042798     14.02    15.02
Forney Independent SD,TX 346424Y24 08/27/13 08/15/39     16.544     0.000    7.0499    16.18     0.034644   0.035865   0.037129   0.038438  0.039793     13.03    13.96
Forney Independent SD,TX 346424Y32 08/27/13 08/15/40     15.436     0.000    7.0500    15.09     0.032324   0.033464   0.034643   0.035865  0.037129     12.16    13.03
Forney Independent SD,TX 346424Y40 08/27/13 08/15/41     14.210     0.000    7.0999    14.00     0.029981   0.031046   0.032148   0.033289  0.034471     11.28    12.09
Forney Independent SD,TX 346424Y57 08/27/13 08/15/42     13.252     0.000    7.1000    13.05     0.027961   0.028953   0.029981   0.031045  0.032148     10.52    11.28
Forney Independent SD,TX 346424Y65 08/27/13 08/15/43     12.359     0.000    7.1000    12.17     0.026076   0.027002   0.027961   0.028953  0.029981      9.81    10.52
Franklin Cnty SD #47, IL 352730CH6 02/15/07 12/01/15     61.525     0.000    5.5989   335.44     0.147172   0.151292                                     49.31         
Franklin Cnty SD #47, IL 352730CJ2 02/15/07 12/01/16     57.942     0.000    5.6491   319.36     0.140376   0.144341   0.148418   0.152610               51.49    49.73
College District #534 IL 360395FF9 07/22/10 12/01/15    107.053    VARIES    3.5779              0.100764   0.100082                                     33.13         
College District #534 IL 360395FG7 07/22/10 12/01/16    105.839    VARIES    4.0773              0.115464   0.114930   0.114385   0.113829               41.44    37.65
College District #534 IL 360395FH5 07/22/10 12/01/17    105.580    VARIES    4.4767              0.127371   0.126896   0.126409   0.125912  0.125404     45.74    45.39
College District #534 IL 360395FJ1 07/22/10 12/01/18    103.358    VARIES    4.9260              0.139163   0.138896   0.138623   0.138343  0.138056     50.03    49.84
College District #534 IL 360395FK8 07/22/10 12/01/19    103.249    VARIES    5.2255              0.147835   0.147597   0.147353   0.147102  0.146845     53.16    52.99
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES    5.4261              0.152435   0.152312   0.152186   0.152057  0.151925     54.85    54.76
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES   12.5014              0.528155   0.553355   0.580130   0.608579  0.638806    197.06   216.67
Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17    100.000     0.000    5.8500              0.243302   0.250419   0.257743   0.265282  0.273042     88.91    94.19
Goldman Sachs Group,Inc. 38141GGV0 10/30/12 10/30/27    100.000    VARIES    4.6427              0.121625   0.120094   0.118527   0.118102  0.117668     43.32    42.54
Goldman Sachs Group,Inc. 38141GGX6 11/30/12 12/04/19    100.000     0.000    3.2000              0.094750   0.096266   0.097806   0.099371  0.100961     34.47    35.58
Goldman Sachs Group,Inc. 38141GHQ0 11/19/12 11/19/27    100.000    VARIES    4.0948              0.107084   0.105963   0.104820   0.104512  0.104198     38.25    37.65
Goldman Sachs Group,Inc. 38141GJY1 12/10/12 12/10/17    100.000    VARIES    1.7365              0.008600   0.008675   0.008750   0.008826  0.008903      3.11     3.17
Goldman Sachs Group,Inc. 38141GKC7 12/31/12 01/02/20    100.000     0.000    2.7999              0.081102   0.082237   0.083389   0.084556  0.085740     29.81    30.65
Goldman Sachs Group,Inc. 38141GLQ5 01/31/13 02/03/20    100.000     0.000    3.2298              0.094160   0.095680   0.097226   0.098796  0.100391     34.62    35.75
Goldman Sachs Group,Inc. 38141GLU6 01/11/13 01/12/15    100.000     0.000    1.1700              0.033076                                                  .36         
Goldman Sachs Group,Inc. 38141GMD3 01/23/13 01/23/28    100.000    VARIES    4.3420              0.113847   0.112237   0.110593   0.108913  0.108435     40.18    39.17
Goldman Sachs Group,Inc. 38141GMG6 01/25/13 01/24/20    100.000     0.000    3.1498              0.091688   0.093132   0.094598   0.096088  0.097602     33.72    34.80
Goldman Sachs Group,Inc. 38141GMR2 02/11/13 02/11/28    100.000    VARIES    4.2924              0.112100   0.110608   0.109085   0.107529  0.107165     39.67    38.72
Goldman Sachs Group,Inc. 38141GNB6 02/28/13 03/02/20    100.000     0.000    2.9677              0.086176   0.087454   0.088752   0.090069  0.091406     31.56    32.50
Goldman Sachs Group,Inc. 38141GPC2 02/28/13 02/29/28    100.000    VARIES    4.2914              0.111223   0.107716   0.107152   0.104221  0.105341     39.45    38.46
Goldman Sachs Group,Inc. 38141GPU2 03/06/13 03/06/28    100.000    VARIES    4.1925              0.109015   0.107491   0.105936   0.104348  0.103866     38.62    37.61
Goldman Sachs Group,Inc. 38141GPV0 03/28/13 03/31/20    100.000     0.000    3.1233              0.090912   0.092332   0.093774   0.095238  0.096726     33.24    34.29
Goldman Sachs Group,Inc. 38141GPW8 03/06/13 03/06/18    100.000    VARIES    1.3286              0.007808   0.007859   0.007912   0.007964  0.008017      2.83     2.87
Goldman Sachs Group,Inc. 38141GPX6 03/20/13 03/20/28*   100.000    VARIES    4.0260              0.108689                                                 2.07*        
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       

SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38141GQL1 03/22/13 03/22/28    100.000    VARIES    4.6901              0.123081   0.120567   0.119659   0.118730  0.117780     43.52    42.72
Goldman Sachs Group,Inc. 38141GQW7 03/27/13 03/27/28    100.000    VARIES    4.6888              0.122814   0.120220   0.119338   0.118437  0.117514     43.42    42.63
Goldman Sachs Group,Inc. 38141GRR7 04/30/13 04/30/20    100.000     0.000    2.8400              0.082300   0.083469   0.084654   0.085856  0.087075     29.98    30.84
Goldman Sachs Group,Inc. 38141GSM7 04/30/13 04/30/28    100.000    VARIES    4.3924              0.116129   0.114662   0.113163   0.111632  0.111279     41.36    40.35
Goldman Sachs Group,Inc. 38141GSQ8 04/30/13 04/30/20    100.000    VARIES    1.6754              0.003798   0.003830   0.003862   0.003894  0.003927      1.38     1.40
Goldman Sachs Group,Inc. 38141GST2 05/31/13 06/03/21    100.000     0.000    3.4201              0.099990   0.101700   0.103439   0.105208  0.107007     36.40    37.66
Goldman Sachs Group,Inc. 38141GTV6 05/21/13 05/21/20    100.000    VARIES    2.7012              0.076600   0.076884   0.077065   0.077249  0.077205     27.65    27.78
Goldman Sachs Group,Inc. 38141GTW4 05/30/13 05/30/28    100.000    VARIES    4.3919              0.115380   0.113793   0.112172   0.110515  0.110207     41.15    40.02
Goldman Sachs Group,Inc. 38141GTZ7 05/23/13 05/23/28    100.000    VARIES    4.4916              0.117455   0.115793   0.114094   0.112357  0.112009     41.86    40.68
Goldman Sachs Group,Inc. 38141GUF9 06/06/13 06/06/28    100.000    VARIES    4.4920              0.117372   0.115936   0.114468   0.112966  0.112719     41.92    40.89
Goldman Sachs Group,Inc. 3814262E4 12/29/09 06/26/15    100.000     0.000    2.9758              0.095795                                                16.76         
Goldman Sachs Group,Inc. 3814262F1 02/03/10 02/05/15    100.000     0.000    2.7204              0.085351                                                 2.90         
Goldman Sachs Group,Inc. 3814262H7 01/29/10 07/30/15    100.000     0.000    2.8531              0.090036   0.091321                                     19.05         
Goldman Sachs Group,Inc. 3814262J3 02/26/10 08/27/15    100.000     0.000    2.8595              0.090266   0.091557                                     21.54         
Goldman Sachs Group,Inc. 3814262K0 03/03/10 03/05/15    100.000     0.000    2.5727              0.080191                                                 5.13         
Goldman Sachs Group,Inc. 3814262L8 03/31/10 10/01/15    100.000     0.000    2.4854              0.077164   0.078123                                     21.01         
Goldman Sachs Group,Inc. 3814262M6 05/05/10 05/07/15    100.000     0.000    2.6855              0.084127                                                10.60         
Goldman Sachs Group,Inc. 3814262N4 03/31/10 03/31/15    100.000     0.000    2.7100              0.084973                                                 7.56         
Goldman Sachs Group,Inc. 38143ADL6 12/30/11 12/31/15    100.000     0.000    1.7748              0.051700   0.051309                                     18.75         
Goldman Sachs Group,Inc. 38143ADM4 12/30/11 12/30/16    100.000     0.000    2.0503              0.059884   0.060167   0.060784   0.061407               21.91    22.24
Goldman Sachs Group,Inc. 38143AFY6 01/31/12 01/29/16    100.000     0.000    1.4011              0.039425   0.040359   0.039979                          14.65     1.12
Goldman Sachs Group,Inc. 38143AGB5 01/31/12 01/31/19    100.000     0.000    2.2999              0.066175   0.068045   0.067706   0.069237  0.069272     24.73    25.30
Goldman Sachs Group,Inc. 38143AJG1 02/29/12 02/28/19    100.000     0.000    2.2001              0.064194   0.063842   0.065254   0.065254  0.067066     23.50    24.11
Goldman Sachs Group,Inc. 38143ALM5 03/30/12 04/01/19    100.000     0.000    2.2483              0.065326   0.065699   0.066438   0.067185  0.068313     24.01    24.63
Goldman Sachs Group,Inc. 38143APY5 04/30/12 04/30/19    100.000     0.000    2.2498              0.065726   0.065382   0.066844   0.066861  0.068734     24.00    24.59
Goldman Sachs Group,Inc. 38143ARV9 05/31/12 05/31/19    100.000     0.000    2.2497              0.065361   0.065735   0.066475   0.067222  0.068352     23.96    24.53
Goldman Sachs Group,Inc. 38143AUA1 06/29/12 07/01/19    100.000     0.000    2.1501              0.062666   0.062307   0.063668   0.063653               22.81    23.30
Goldman Sachs Group,Inc. 38143AWH4 07/31/12 07/31/19    100.000     0.000    2.1499              0.060976   0.062653   0.062294   0.063656  0.063641     22.76    23.25
Goldman Sachs Group,Inc. 38143AXC4 08/30/12 08/31/17    100.000     0.000    1.6987              0.048545   0.048159   0.049101   0.048980  0.050215     17.72    18.09
Goldman Sachs Group,Inc. 38143AYM1 08/31/12 09/03/19    100.000     0.000    2.1004              0.060510   0.060148   0.061448   0.061418  0.063092     22.13    22.68
Goldman Sachs Group,Inc. 38143AYN9 08/30/12 08/30/19    100.000     0.250    2.0903              0.059573   0.059796   0.060349   0.060908  0.061811     21.88    22.37
Goldman Sachs Group,Inc. 38143AYS8 08/23/12 08/23/17    100.000     0.000    1.7918              0.050459   0.051755   0.051367   0.052397  0.052292     18.77    19.11
Goldman Sachs Group,Inc. 38143U2A8 04/30/12 01/31/18    100.000     0.000    4.2501              0.129784   0.132542   0.135359   0.138236  0.141173     48.06    50.12
Goldman Sachs Group,Inc. 38143U2S9 05/31/12 09/01/16    100.000     0.000    4.2500              0.129796   0.132555   0.135371   0.138248               47.89    33.01
Goldman Sachs Group,Inc. 38143U3A7 05/31/12 06/02/17    100.000     0.000    4.6997              0.146664   0.150111   0.153638   0.157249  0.160944     53.62    56.17
Goldman Sachs Group,Inc. 38143U3T6 05/14/12 05/14/17    100.000    VARIES    2.9895              0.013399   0.013599   0.013802   0.014009  0.014218      4.88     5.03
Goldman Sachs Group,Inc. 38143U4D0 07/31/12 02/01/18    100.000     0.000    3.8502              0.115439   0.117661   0.119926   0.122235  0.124588     42.63    44.29
Goldman Sachs Group,Inc. 38143U5H0 08/31/12 09/04/18    100.000     0.000    3.4598              0.102972   0.104753   0.106565   0.108409  0.110284     37.81    39.13
Goldman Sachs Group,Inc. 38143U6M8 08/31/12 08/31/18    100.000     0.000    3.5002              0.103642   0.103736   0.106712   0.107399  0.111090     38.22    39.72
Goldman Sachs Group,Inc. 38143U6V8 09/28/12 12/31/18    100.000     0.000    3.1501              0.093380   0.093304   0.095815   0.096266  0.099403     34.07    35.15
Goldman Sachs Group,Inc. 38143U7M7 11/02/12 11/01/19    100.000     0.000    3.0101              0.088758   0.090094   0.091450   0.092826  0.094223     32.35    33.34
Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16    100.000    VARIES    2.6249              0.008067   0.008173   0.008280   0.008389                2.95     2.01
Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16    100.000     0.000    4.3397              0.137120   0.140096   0.143135   0.146241               50.45    39.06
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UCG4 10/09/07 10/13/15    100.000     0.000    5.8199              0.241717   0.248751                                     69.43         
Goldman Sachs Group,Inc. 38143UCK5 01/31/08 01/31/15    100.000     1.000    5.2500              0.193119                                                 5.60         
Goldman Sachs Group,Inc. 38143UCN9 04/11/08 09/11/15    100.000     3.000    5.7277              0.192199   0.195317                                     48.61         
Goldman Sachs Group,Inc. 38143UCP4 05/07/08 05/07/15    100.000     1.000    4.0000              0.135579                                                17.08         
Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16    100.000    VARIES    2.6408              0.007825   0.007929   0.008033   0.008139                2.86     2.10
Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16    100.000     1.000    4.6747              0.156384   0.159390   0.162466   0.165615               57.22    48.98
Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17    100.000     0.000    3.8999              0.121656   0.124028   0.126446   0.128912  0.131426     44.51    46.26
Goldman Sachs Group,Inc. 38143UFM8 11/30/09 11/30/15    100.000     1.000    3.9589              0.127770   0.130299                                     42.49         
Goldman Sachs Group,Inc. 38143UH53 12/30/11 07/03/17    100.000     0.000    4.7823              0.149563   0.153139   0.156801   0.160550  0.164389     55.77    58.47
Goldman Sachs Group,Inc. 38143UHS3 04/15/10 04/15/15    100.000     1.000    3.9405              0.125138                                                13.01         
Goldman Sachs Group,Inc. 38143UHT1 04/20/10 04/20/15    100.000     0.000    3.9150              0.129483                                                14.11         
Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16    100.000     0.000    5.1358              0.179230   0.183832   0.188553                          65.68    27.34
Goldman Sachs Group,Inc. 38143UJL6 05/21/10 05/21/15    100.000     0.000    2.4439              0.075729                                                10.60         
Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16    100.000     0.000    4.3999              0.148661   0.151932   0.155274                          54.15    26.86
Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17    100.000     0.000    4.4059              0.144891   0.145669   0.150514   0.152158  0.158087     53.72    56.32
Goldman Sachs Group,Inc. 38143UL25 01/31/12 07/31/17    100.000     0.000    4.0496              0.124351   0.126869   0.129438   0.132059  0.134733     45.99    47.87
Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17    100.000    VARIES    2.6534              0.016464   0.016682   0.016904   0.017128  0.017355      6.03     6.19
Goldman Sachs Group,Inc. 38143ULL3 07/29/10 07/29/15    100.000     0.000    3.7102              0.119388   0.121603                                     25.23         
Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17    100.000    VARIES    2.6469              0.016299   0.016515   0.016733   0.016955  0.017179      5.97     6.13
Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20    100.000    VARIES    2.8170              0.019376   0.019649   0.019926   0.020207  0.020491      7.10     7.31
Goldman Sachs Group,Inc. 38143ULQ2 08/20/10 08/20/15    100.000    VARIES    1.9250              0.007223   0.007293                                      1.67         
Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20    100.000    VARIES    2.6793              0.021389   0.021675   0.021966   0.022260  0.025583      7.82     8.03
Goldman Sachs Group,Inc. 38143UM65 01/20/12 03/28/16     99.500     0.000    4.2189              0.130468   0.133220   0.136031                          47.98    11.83
Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20    100.000    VARIES    2.6781              0.013405   0.013585   0.013767   0.013951  0.014138      4.91     5.04
Goldman Sachs Group,Inc. 38143UMC2 08/26/10 08/26/15    100.000    VARIES    1.8192              0.007361   0.007428                                      1.74         
Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17    100.000    VARIES    2.3458              0.014137   0.014303   0.014471   0.014640  0.014812      5.16     5.28
Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20    100.000    VARIES    2.6543              0.022725   0.023027   0.023332   0.023642  0.023956      8.30     8.53
Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20    100.000    VARIES    2.6625              0.014566   0.014760   0.014956   0.015155  0.015357      5.32     5.46
Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17    100.000     0.000    4.0718              0.132881   0.135586   0.138347   0.141163  0.144037     48.83    50.84
Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20    100.000    VARIES    2.7708              0.019473   0.019742   0.020016   0.020293  0.020574      7.11     7.31
Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17    100.000    VARIES    2.3116              0.018659   0.018875   0.019093   0.019313  0.019537      6.80     6.96
Goldman Sachs Group,Inc. 38143UNC1 10/12/10 10/12/15    100.000     0.000    3.1999              0.100921   0.102536                                     28.65         
Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17    100.000     2.000    3.7647              0.112474   0.113545   0.114637   0.115749  0.116882     40.82    41.61
Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20    100.000    VARIES    2.0301              0.018260   0.018445   0.018633   0.018822  0.019013      6.63     6.77
Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20    100.000    VARIES    2.3763              0.022619   0.022888   0.023160   0.023435  0.023713      8.22     8.42
Goldman Sachs Group,Inc. 38143UNV9 11/05/10 11/05/15    100.000    VARIES    1.6723              0.010490   0.010578                                      3.20         
Goldman Sachs Group,Inc. 38143UNX5 11/05/10 11/05/15    100.000    VARIES    1.6984              0.013932   0.014050                                      4.26         
Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17    100.000    VARIES    1.9534              0.004325   0.004367   0.004409   0.044525  0.044960      1.57     1.60
Goldman Sachs Group,Inc. 38143UP54 02/29/12 08/31/17    100.000     0.000    4.3504              0.133829   0.134510   0.138946   0.140426  0.145858     49.60    51.98
Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17    100.000    VARIES    2.1778              0.012806   0.012946   0.013087   0.013229  0.013372      4.65     4.75
Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16    100.000     0.000    3.4000              0.108081   0.109918   0.111787   0.113687               39.36    37.01
Goldman Sachs Group,Inc. 38143UPQ8 11/18/10 11/18/15    100.000    VARIES    1.6239              0.009248   0.009323                                      2.95         
Goldman Sachs Group,Inc. 38143UPS4 11/18/10 11/18/15    100.000    VARIES    1.6239              0.009248   0.009323                                      2.95         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17    100.000    VARIES    2.2520              0.012158   0.012295   0.012433   0.012573  0.012715      4.41     4.51
Goldman Sachs Group,Inc. 38143UQG9 12/06/10 12/06/15    100.000    VARIES    1.5366              0.006475   0.006524                                      2.18         
Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16    100.000     0.000    3.5998              0.115335   0.117411   0.119525   0.121676               41.91    43.06
Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20    100.000    VARIES    2.3885              0.022561   0.022830   0.023103   0.023379  0.023658      8.18     8.37
Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17    100.000     0.000    3.6501              0.115079   0.117180   0.119318   0.121496  0.123713     42.45    44.01
Goldman Sachs Group,Inc. 38143UQS3 01/31/11 01/31/26*   100.000    VARIES    5.2484              0.136117                                                 3.95*        
Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18    100.000    VARIES    1.9815              0.017566   0.017740   0.017916   0.018093  0.018272      6.41     6.54
Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16    100.000    VARIES    1.6251              0.008707   0.008777   0.008849                           3.17      .26
Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17    100.000     0.000    4.0298              0.128005   0.128455   0.132483   0.133683  0.138637     47.36    49.47
Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17    100.000     0.000    3.9998              0.127626   0.130178   0.132782   0.135437  0.138146     46.87    48.77
Goldman Sachs Group,Inc. 38143US77 03/30/12 01/03/18    100.000     0.000    4.1997              0.128148   0.130839   0.133586   0.136391  0.139256     47.59    49.61
Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21    100.000    VARIES    5.2913              0.151507   0.151749   0.151831   0.151914  0.151732     54.62    54.66
Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16    100.000     1.000    3.6798              0.112351   0.113907   0.116003                          41.10     8.93
Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16    100.000    VARIES    1.6343              0.008847   0.008920   0.008992                           3.21      .74
Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16    100.000     0.000    3.6702              0.115827   0.117952   0.120117                          42.48    10.45
Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17    100.000     0.000    3.7497              0.118649   0.120873   0.123139   0.125448  0.127800     43.38    45.03
Goldman Sachs Group,Inc. 38143UTM3 04/29/11 04/29/17*   100.000     0.000    3.7501              0.118639                                                14.00*        
Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21    100.000    VARIES    5.2207              0.148684   0.148654   0.148594   0.148531  0.148357     53.51    53.46
Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16    100.000    VARIES    1.6045              0.009020   0.009092   0.009165                           3.27     1.06
Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21    100.000    VARIES    2.1672              0.015532   0.015700   0.015870   0.016042  0.016216      5.64     5.77
Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16    100.000     0.000    3.3748              0.105396   0.107174   0.108983                          38.44    14.17
Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17    100.000     0.000    3.9998              0.127626   0.130178   0.132782   0.135437  0.138146     46.56    48.45
Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21    100.000     0.000    5.1298              0.165880   0.170135   0.174499   0.178975  0.183565     61.87    65.08
Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21    100.000    VARIES    2.2754              0.016100   0.016284   0.016469   0.016656  0.016846      5.84     5.97
Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17    100.000     0.000    3.7799              0.119701   0.121964   0.124269   0.126617  0.129010     43.50    45.16
Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16    100.000     0.000    3.6198              0.114005   0.116068   0.118169                          41.49    19.14
Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17    100.000     0.000    4.0901              0.130911   0.133588   0.136320   0.139108  0.141953     47.71    49.68
Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16    100.000    VARIES    2.0754              0.012804   0.012937   0.013071                           4.64     2.18
Goldman Sachs Group,Inc. 38143UW23 06/29/12 06/30/17    100.000     0.000    4.0999              0.126064   0.128648   0.131285   0.133977  0.136723     45.85    47.75
Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17    100.000     0.000    3.7994              0.115539   0.119686   0.119971   0.123593  0.124572     43.60    45.28
Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17    100.000     0.000    3.7498              0.116085   0.118261   0.120479   0.122738  0.125039     42.85    44.47
Goldman Sachs Group,Inc. 38143UY47 06/18/12 06/18/17    100.000    VARIES    3.6370              0.010644   0.010837   0.011034   0.011235  0.011439      3.87     4.01
Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17    100.000     0.000    5.4499              0.177941   0.182789   0.187770   0.192887  0.198143     65.22    68.82
Goldman Sachs Group,Inc. 381470JN4 08/30/13 09/02/20    100.000     0.000    3.8497              0.111119   0.113257   0.115438   0.117660  0.119924     40.90    42.49
Goldman Sachs Group,Inc. 38147Q2D7 04/30/14 05/03/21    100.000     0.000    3.0001              0.084610   0.085879   0.087168   0.088475  0.089802     30.84    31.77
Goldman Sachs Group,Inc. 38147Q2G0 04/30/14 11/02/21    100.000     0.000    3.1299              0.088319   0.089701   0.091105   0.092531  0.093979     32.21    33.22
Goldman Sachs Group,Inc. 38147Q2H8 04/14/14 04/14/29    100.000    VARIES    4.5254              0.122769   0.119764   0.116691   0.113548  0.112749     43.19    41.14
Goldman Sachs Group,Inc. 38147Q2Z8 04/21/14 04/21/29    100.000    VARIES    4.5486              0.124807   0.123227   0.121612   0.119960  0.119370     44.42    43.33
Goldman Sachs Group,Inc. 38147Q4M5 05/30/14 12/02/21    100.000     0.000    2.9999              0.084597   0.085866   0.087154   0.088462  0.089788     30.76    31.69
Goldman Sachs Group,Inc. 38147Q5E2 12/13/13 12/13/28    100.000    VARIES    4.9490              0.130921   0.127522   0.124038   0.122314  0.120547     46.40    44.28
Goldman Sachs Group,Inc. 38147Q5K8 05/30/14 09/02/20    100.000     0.000    2.5499              0.071293   0.072202   0.073122   0.074055  0.074999     26.05    26.72
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38147Q5M4 05/21/14 05/21/29    100.000    VARIES    4.4103              0.120028   0.117492   0.114901   0.112253  0.111881     42.55    40.77
Goldman Sachs Group,Inc. 38147Q5P7 05/16/14 05/16/17    100.000     0.000    1.5599              0.043669   0.044010   0.044353   0.044699  0.045048     15.81    16.06
Goldman Sachs Group,Inc. 38147Q6D3 05/23/14 05/23/17    100.000     0.000    1.4896              0.041687   0.041998   0.042311   0.042626  0.042943     15.09    15.31
Goldman Sachs Group,Inc. 38147Q6K7 05/23/14 11/23/15    100.000     0.000    0.7756              0.021630   0.021713                                      6.98         
Goldman Sachs Group,Inc. 38147Q6M3 05/28/14 05/28/19    100.000     0.000    2.3798              0.066893   0.067689   0.068495   0.069310  0.070134     24.28    24.86
Goldman Sachs Group,Inc. 38147Q6R2 06/02/14 06/02/17    100.000     0.000    1.6956              0.047501   0.047903   0.048310   0.048719  0.049132     17.20    17.49
Goldman Sachs Group,Inc. 38147Q7D2 06/30/14 12/30/21    100.000     0.000    3.0000              0.084586   0.085855   0.087142   0.088450  0.089776     30.68    31.61
Goldman Sachs Group,Inc. 38147QA89 06/26/14 06/26/29    100.000    VARIES    4.3665              0.119295   0.117254   0.115169   0.113038  0.112736     42.56    41.06
Goldman Sachs Group,Inc. 38147QAH9 06/12/14 06/12/29    100.000    VARIES    4.2455              0.116959   0.115965   0.114951   0.113915  0.113648     41.89    41.17
Goldman Sachs Group,Inc. 38147QAK2 01/10/14 01/10/29    100.000    VARIES    4.9699              0.134937   0.131744   0.128471   0.125117  0.123464     46.90    44.79
Goldman Sachs Group,Inc. 38147QAS5 06/28/13 12/31/20    100.000     0.000    N/A                 0.117624   0.119970   0.122364   0.124805  0.127295     42.77    44.50
Goldman Sachs Group,Inc. 38147QB39 06/18/14 06/17/21    100.000     0.000    3.2499              0.091736   0.093227   0.094741   0.096281  0.097846     33.34    34.43
Goldman Sachs Group,Inc. 38147QB54 06/27/14 06/27/29    100.000    VARIES    4.0950              0.112818   0.111865   0.110893   0.109900  0.109633     40.44    39.74
Goldman Sachs Group,Inc. 38147QB96 06/27/14 06/27/17    100.000     0.000    1.6003              0.044809   0.045167   0.045529   0.045893  0.046260     16.20    16.46
Goldman Sachs Group,Inc. 38147QBB1 01/31/14 02/03/21    100.000     0.000    3.2501              0.091775   0.093267   0.094782   0.096323  0.097888     33.75    34.86
Goldman Sachs Group,Inc. 38147QBC9 06/30/14 06/30/29    100.000    VARIES    4.3156              0.117619   0.115309   0.112950   0.110539  0.110260     41.92    40.23
Goldman Sachs Group,Inc. 38147QC20 10/25/13 10/25/28    100.000    VARIES    4.8589              0.129319   0.126389   0.123388   0.122470  0.121530     45.64    44.13
Goldman Sachs Group,Inc. 38147QC46 07/31/14 08/03/21    100.000     0.000    3.1496              0.087515   0.088893   0.090293   0.091715  0.093159     32.16    33.19
Goldman Sachs Group,Inc. 38147QCN4 06/19/13 06/19/28    100.000    VARIES    4.6926              0.123380   0.122059   0.120708   0.119324  0.119111     44.15    43.19
Goldman Sachs Group,Inc. 38147QDF0 01/23/14 01/23/29    100.000    VARIES    4.9793              0.135299   0.132206   0.129037   0.125789  0.125057     47.16    45.24
Goldman Sachs Group,Inc. 38147QDL7 08/18/14 08/18/29    100.000    VARIES    4.3046              0.119575   0.117198   0.114770   0.112290  0.109757     41.98    40.20
Goldman Sachs Group,Inc. 38147QDV5 08/29/14 09/01/21    100.000     0.000    3.0001              0.083350   0.084600   0.085870   0.087158  0.088465     30.53    31.46
Goldman Sachs Group,Inc. 38147QED4 08/15/14 08/31/15    100.000     0.000    0.6600              0.018238   0.018000                                      4.37         
Goldman Sachs Group,Inc. 38147QES1 07/31/13 08/03/20    100.000     0.000    3.9197              0.113229   0.115448   0.117711   0.120018  0.122370     41.83    43.48
Goldman Sachs Group,Inc. 38147QEX0 01/24/14 01/24/29    100.000    VARIES    4.8384              0.131212   0.127947   0.124602   0.121177  0.119771     45.61    43.48
Goldman Sachs Group,Inc. 38147QFG6 09/15/14 09/15/29    100.000    VARIES    4.2975              0.119376   0.117606   0.115798   0.113951  0.112064     42.28    40.96
Goldman Sachs Group,Inc. 38147QFL5 09/30/14 09/30/21    100.000     0.000    3.0001              0.083338   0.084588   0.085857   0.087145  0.088452     30.46    31.38
Goldman Sachs Group,Inc. 38147QFR2 06/04/14 06/04/29    100.000    VARIES    3.8461              0.105982   0.105108   0.104217   0.103310  0.103039     37.95    37.32
Goldman Sachs Group,Inc. 38147QGA8 07/22/13 07/22/28    100.000    VARIES    4.9006              0.130482   0.128864   0.127207   0.125509  0.123769     46.16    44.94
Goldman Sachs Group,Inc. 38147QGP5 02/05/14 02/05/29    100.000    VARIES    4.7103              0.128071   0.125234   0.122331   0.119358  0.118695     44.76    42.97
Goldman Sachs Group,Inc. 38147QGV2 09/23/14 12/19/19    100.000     0.000    2.8658              0.080153   0.081302   0.082467   0.083649  0.084847     29.09    29.93
Goldman Sachs Group,Inc. 38147QH58 10/10/14 02/10/22    100.000     0.000    3.4943              0.097067   0.098197   0.099913   0.101659  0.103435     35.55    36.78
Goldman Sachs Group,Inc. 38147QH74 10/10/14 02/10/22    100.000     0.000    3.4943              0.097067   0.098197   0.099913   0.101659  0.103435     35.55    36.78
Goldman Sachs Group,Inc. 38147QHH2 10/08/14 02/06/20    100.000     0.000    2.7915              0.077543   0.078253   0.079345   0.080453  0.081576     28.30    29.09
Goldman Sachs Group,Inc. 38147QHL3 09/30/14 09/30/29    100.000    VARIES    4.2677              0.118548   0.116876   0.115168   0.113423  0.111642     42.07    40.83
Goldman Sachs Group,Inc. 38147QHS8 08/02/13 08/02/28    100.000    VARIES    4.8903              0.130192   0.128515   0.126797   0.125037  0.123235     46.06    44.80
Goldman Sachs Group,Inc. 38147QHT6 02/28/14 03/03/21    100.000     0.000    3.0000              0.084607   0.085876   0.087164   0.088471  0.089799     30.99    31.93
Goldman Sachs Group,Inc. 38147QHU3 10/30/14 11/01/21    100.000     2.000    3.0160              0.083782   0.084208   0.084640   0.085078  0.085524     30.29    30.60
Goldman Sachs Group,Inc. 38147QHX7 02/28/14 08/31/21    100.000     0.000    3.1499              0.088387   0.088315   0.090692   0.091119  0.094088     32.53    33.69
Goldman Sachs Group,Inc. 38147QHY5 10/30/14 11/01/21    100.000     0.000    3.0011              0.083374   0.084625   0.085895   0.087183  0.088492     30.39    31.31
Goldman Sachs Group,Inc. 38147QJU1 10/16/14 10/16/29    100.000    VARIES    3.7998              0.105551   0.103586   0.101583   0.099542  0.097462     37.35    35.89
Goldman Sachs Group,Inc. 38147QJW7 08/12/13 08/10/18    100.000     0.000    2.6999              0.077025   0.078065   0.079119   0.080187  0.081269     28.21    28.98
Goldman Sachs Group,Inc. 38147QK21 11/13/13 11/13/28    100.000    VARIES    4.9003              0.130308   0.127293   0.124205   0.123181  0.122132     46.08    44.43
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38147QLJ3 08/15/13 08/15/28    100.000    VARIES    4.8879              0.130124   0.127860   0.125541   0.123166  0.120732     45.81    44.11
Goldman Sachs Group,Inc. 38147QLV6 11/28/14 05/27/22    100.000     0.000    3.1502              0.087508   0.088879   0.090279   0.091701  0.093145     31.84    32.85
Goldman Sachs Group,Inc. 38147QLX2 02/19/14 02/19/21    100.000     0.000    3.4636              0.097878   0.099573   0.101298   0.103052  0.104836     35.99    37.25
Goldman Sachs Group,Inc. 38147QM60 11/29/13 12/01/20    100.000     0.000    3.0003              0.085876   0.087165   0.088472   0.089800  0.091147     31.23    32.17
Goldman Sachs Group,Inc. 38147QM78 11/21/14 11/21/29    100.000    VARIES    3.9468              0.109635   0.107705   0.105737   0.103731  0.101685     38.97    37.54
Goldman Sachs Group,Inc. 38147QMB9 02/24/14 02/24/29    100.000    VARIES    4.6770              0.127156   0.124331   0.121440   0.118481  0.117267     44.54    42.66
Goldman Sachs Group,Inc. 38147QMC7 11/26/14 05/26/22    100.000     0.000    3.1498              0.087497   0.088875   0.090274   0.091696  0.093140     31.84    32.86
Goldman Sachs Group,Inc. 38147QME3 08/12/13 08/12/20    100.000     0.000    3.9699              0.114698   0.116974   0.119296   0.121664  0.124079     42.34    44.04
Goldman Sachs Group,Inc. 38147QMF0 02/13/14 02/16/21    100.000     0.000    3.4814              0.098419   0.100132   0.101875   0.103648  0.105453     36.21    37.48
Goldman Sachs Group,Inc. 38147QMJ2 08/15/13 08/15/28    100.000    VARIES    4.8903              0.130193   0.128566   0.126899   0.125191  0.123442     46.13    44.91
Goldman Sachs Group,Inc. 38147QNU6 12/30/14 06/29/22    100.000     0.000    2.9499              0.081944   0.083146   0.084373   0.085617  0.086880     29.72    30.60
Goldman Sachs Group,Inc. 38147QNV4 12/10/14 12/10/18    100.000     0.000    2.2404              0.062234   0.062931   0.063636   0.064349  0.065070     22.56    23.07
Goldman Sachs Group,Inc. 38147QNY8 12/29/14 06/28/22    100.000     0.000    2.9498              0.081941   0.083143   0.084370   0.085614  0.086877     29.72    30.60
Goldman Sachs Group,Inc. 38147QNZ5 11/28/14 11/29/19    100.000     1.000    2.5067              0.069635   0.070160   0.070691   0.071229  0.071774     25.20    25.58
Goldman Sachs Group,Inc. 38147QPN0 08/30/13 08/30/23    100.000    VARIES    4.5507              0.125717   0.125472   0.125925   0.126222  0.127220     45.87    46.30
Goldman Sachs Group,Inc. 38147QQ25 11/13/13 11/13/23    100.000    VARIES    4.2198              0.113220   0.111156   0.109050   0.108675  0.108293     40.19    39.15
Goldman Sachs Group,Inc. 38147QQJ8 09/05/13 09/05/28    100.000    VARIES    5.0554              0.133398   0.130943   0.128426   0.125845  0.123200     47.00    45.16
Goldman Sachs Group,Inc. 38147QQM1 01/30/15 08/01/22    100.000     0.000    2.4699              0.068608   0.068614   0.069461   0.070319  0.071187     22.84    25.42
Goldman Sachs Group,Inc. 38147QQQ2 12/31/14 12/29/17    100.000     0.000    2.1580              0.059946   0.060589   0.061243   0.061904  0.062572     21.70    22.17
Goldman Sachs Group,Inc. 38147QQR0 01/30/15 08/01/22    100.000     0.000    2.5000              0.069446   0.069452   0.070320   0.071199  0.072089     23.12    25.74
Goldman Sachs Group,Inc. 38147QQV1 01/29/15 07/29/22    100.000     0.000    2.4698                         0.068607   0.069454   0.070312  0.071180     22.91    25.42
Goldman Sachs Group,Inc. 38147QRT5 03/12/14 03/12/29    100.000    VARIES    4.6443              0.127853   0.126668   0.125456   0.124216  0.123694     45.55    44.75
Goldman Sachs Group,Inc. 38147QS31 01/30/15 01/30/30    100.000    VARIES    3.6879                         0.102442   0.100234   0.097984  0.098000     33.57    35.34
Goldman Sachs Group,Inc. 38147QSE7 09/30/13 10/01/20    100.000     0.000    3.6699              0.105731   0.107671   0.109647   0.111659  0.113708     38.76    40.20
Goldman Sachs Group,Inc. 38147QST4 03/19/14 03/19/29    100.000    VARIES    4.6202              0.125660   0.122919   0.120114   0.117244  0.116656     44.18    42.37
Goldman Sachs Group,Inc. 38147QT89 02/27/15 02/28/23    100.000     0.000    2.9998              0.082869   0.081526   0.083658   0.083990  0.086662     25.37    31.05
Goldman Sachs Group,Inc. 38147QT97 02/26/15 02/28/23    100.000     0.000    3.0001              0.082877   0.081539   0.083672   0.084004  0.086677     25.46    31.05
Goldman Sachs Group,Inc. 38147QTP1 03/31/14 09/30/21    100.000     0.000    3.1500              0.088881   0.090281   0.091703   0.093147  0.094614     32.51    33.54
Goldman Sachs Group,Inc. 38147QTT3 03/31/14 04/01/21    100.000     0.000    2.9997              0.084584   0.085853   0.087141   0.088448  0.089774     30.91    31.84
Goldman Sachs Group,Inc. 38147QTV8 02/27/15 08/29/22    100.000     0.000    2.9999              0.081965   0.082423   0.082750   0.084914  0.085717     25.43    31.05
Goldman Sachs Group,Inc. 38147QTX4 03/21/14 03/21/29    100.000    VARIES    4.6241              0.124995   0.121463   0.117849   0.114151  0.113601     43.65    41.34
Goldman Sachs Group,Inc. 38147QU79 02/17/15 02/17/30    100.000    VARIES    3.4968                         0.097136   0.096416   0.095684  0.094938     30.40    34.38
Goldman Sachs Group,Inc. 38147QUR5 02/27/15 02/27/30    100.000    VARIES    3.6523                         0.101454   0.098995   0.096491  0.096479     30.54    34.88
Goldman Sachs Group,Inc. 38147QUW4 09/20/13 09/20/28    100.000    VARIES    5.0883              0.136281   0.134149   0.131962   0.129719  0.127419     48.24    46.64
Goldman Sachs Group,Inc. 38147QV45 02/27/15 02/27/30    100.000    VARIES    3.4810                         0.096696   0.094028   0.091313  0.091185     29.06    33.01
Goldman Sachs Group,Inc. 38147QV78 03/30/15 03/30/23    100.000     0.000    2.8001                         0.077781   0.078870   0.079974  0.081094     21.18    28.79
Goldman Sachs Group,Inc. 38147QV86 02/27/15 02/28/25    100.000     0.000    2.9501              0.081494   0.080173   0.082249   0.082555  0.085162     24.95    30.52
Goldman Sachs Group,Inc. 38147QV94 03/27/15 03/27/23    100.000     0.000    3.1001                         0.086115   0.087450   0.088806  0.090182     23.72    31.98
Goldman Sachs Group,Inc. 38147QVJ2 09/27/13 09/27/19    100.000     0.000    3.0000              0.085853   0.087141   0.088448   0.089775  0.091121     31.38    32.33
Goldman Sachs Group,Inc. 38147QVM5 03/31/15 09/29/22    100.000     0.000    2.8501                         0.079170   0.080292   0.081436  0.082596     21.56    29.32
Goldman Sachs Group,Inc. 38147QVU7 03/12/15 03/12/21    100.000     0.000    2.7498                         0.076386   0.077436   0.078501  0.079580     22.19    28.30
Goldman Sachs Group,Inc. 38147QW77 03/31/15 04/01/21    100.000     0.000    2.1497              0.059715   0.059720   0.060362   0.061010  0.061666     16.24    21.96
Goldman Sachs Group,Inc. 38147QWX0 03/31/14 03/31/29    100.000    VARIES    4.5514              0.123991   0.121499   0.118949   0.116342  0.116035     43.73    42.09
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38147QXA9 10/31/13 11/03/20    100.000     0.000    3.3502              0.095701   0.095718   0.098391   0.098951  0.102277     35.09    36.34
Goldman Sachs Group,Inc. 38147QXD3 04/24/15 04/24/23    100.000     0.000    3.0000                         0.083335   0.084585   0.085853  0.087141     20.67    30.85
Goldman Sachs Group,Inc. 38147QXF8 03/31/14 03/31/29    100.000    VARIES    4.5507              0.123509   0.120542   0.117508   0.114405  0.113627     43.38    41.39
Goldman Sachs Group,Inc. 38147QXK7 03/28/14 06/30/20    100.000     0.000    2.7498              0.077981   0.079053   0.080140   0.081242  0.082359     28.27    29.05
Goldman Sachs Group,Inc. 38147QXQ4 03/27/15 09/27/22    100.000     0.000    2.9998                         0.083330   0.084580   0.085848  0.087136     22.95    30.92
Goldman Sachs Group,Inc. 38147QXX9 03/31/15 03/31/25    100.000    VARIES    3.3914                         0.094207   0.094156   0.094104  0.094051     25.53    33.88
Goldman Sachs Group,Inc. 38147QXY7 04/30/15 05/02/23    100.000     0.000    2.5998              0.072219   0.072229   0.073168   0.074119  0.075083     17.46    26.62
Goldman Sachs Group,Inc. 38147QY34 04/30/15 11/02/22    100.000     0.000    2.9999              0.083333   0.083347   0.084597   0.085866  0.087154     20.16    30.83
Goldman Sachs Group,Inc. 38147QY59 04/03/15 04/03/20    100.000    VARIES    2.4873                         0.069093   0.069261   0.069431  0.069511     18.53    24.99
Goldman Sachs Group,Inc. 38147QYN0 10/17/13 10/17/23    100.000    VARIES    3.9815              0.110578   0.111091   0.111614   0.111921  0.112234     39.98    40.28
Goldman Sachs Group,Inc. 38147QYV2 05/08/15 05/08/23    100.000     0.000    2.9999                         0.083332   0.084582   0.085850  0.087138     19.48    30.81
Goldman Sachs Group,Inc. 38147QZ25 12/31/13 12/31/20    100.000     0.000    3.1011              0.088837   0.090214   0.091613   0.093033  0.094476     32.23    33.24
Goldman Sachs Group,Inc. 38147QZQ2 06/01/15 05/30/23    100.000     0.000    3.1501                         0.087505   0.088876   0.090276  0.091698     18.42    32.33
Goldman Sachs Group,Inc. 38147QZR0 04/30/15 04/30/30    100.000    VARIES    3.7833                         0.010926   0.010813   0.010696  0.010573      2.63     3.86
Goldman Sachs Group,Inc. 38148T2C2 05/29/15 06/01/23    100.000     0.000    3.2499              0.090276   0.090292   0.091760   0.093251  0.094766     19.19    33.39
Goldman Sachs Group,Inc. 38148T2E8 05/07/15 05/07/25    100.000    VARIES    3.7599                         0.014164   0.014430   0.014702  0.014978      3.33     5.27
Goldman Sachs Group,Inc. 38148T2H1 05/29/15 12/01/22    100.000     0.000    3.1002              0.086117   0.086132   0.087467   0.088823  0.090200     18.30    31.81
Goldman Sachs Group,Inc. 38148T2V0 05/11/15 05/11/30    100.000    VARIES    3.7442                         0.104008   0.102759   0.101487  0.100190     23.86    36.64
Goldman Sachs Group,Inc. 38148T3L1 05/29/15 05/30/25    100.000     0.000    3.4999              0.097220   0.097231   0.098932   0.100663  0.102425     20.67    36.04
Goldman Sachs Group,Inc. 38148T3N7 06/10/15 06/10/25    100.000    VARIES    3.9249                         0.011805   0.012036   0.012273  0.012514      2.38     4.39
Goldman Sachs Group,Inc. 38148T3V9 06/30/15 06/29/23    100.000     0.000    3.3498                         0.093050   0.094600   0.096185  0.097796     16.85    34.35
Goldman Sachs Group,Inc. 38148T3Z0 06/05/15 06/05/20    100.000     0.000    2.3999                         0.066666   0.067466   0.068275  0.069095     13.75    24.48
Goldman Sachs Group,Inc. 38148T4E6 06/30/15 12/30/22    100.000     0.000    3.2498                         0.090273   0.091739   0.093230  0.094745     16.34    33.30
Goldman Sachs Group,Inc. 38148T4F3 06/26/15 06/26/23    100.000     0.000    3.2499                         0.090277   0.091744   0.093235  0.094750     16.71    33.31
Goldman Sachs Group,Inc. 38148T4Y2 06/15/15 06/15/25    100.000    VARIES    4.3491                         0.120808   0.119207   0.117571  0.117158     23.65    42.59
Goldman Sachs Group,Inc. 38148T5T2 07/07/15 07/07/23    100.000     0.000    3.3501                                    0.093059   0.094618  0.096202     16.19    34.33
Goldman Sachs Group,Inc. 38148T5U9 07/07/15 07/08/25    100.000     0.000    3.6499                         0.101386   0.101398   0.103248  0.105133     17.64    37.48
Goldman Sachs Group,Inc. 38148T6A2 06/26/15 06/28/18    100.000     0.000    2.2506              0.062517   0.062525   0.063228   0.063940  0.064659     11.57    22.89
Goldman Sachs Group,Inc. 38148T6B0 06/26/15 06/27/19    100.000     0.000    2.5500              0.070834   0.070840   0.071743   0.072658  0.073584     13.11    26.00
Goldman Sachs Group,Inc. 38148T6Q7 07/31/15 01/31/23    100.000     0.000    3.2500                                    0.090279   0.091746  0.093236     13.63    33.21
Goldman Sachs Group,Inc. 38148T6S3 07/31/15 02/02/23    100.000     0.000    3.2488                         0.090246   0.090262   0.091729  0.093219     13.63    33.20
Goldman Sachs Group,Inc. 38148T7B9 07/30/15 08/01/23    100.000     0.000    3.3498                         0.093049   0.093059   0.094618  0.096202     14.05    34.25
Goldman Sachs Group,Inc. 38148T7C7 07/31/15 02/02/23    100.000     0.000    3.2488                         0.090246   0.090262   0.091729  0.093219     13.63    33.20
Goldman Sachs Group,Inc. 38148TA58 07/31/15 07/31/20    100.000     0.000    2.5001                                    0.069449   0.070317  0.071196     10.49    25.42
Goldman Sachs Group,Inc. 38148TAE9 07/31/15 07/31/25    100.000     0.000    3.7000                                    0.102778   0.104680  0.106616     15.52    37.92
Goldman Sachs Group,Inc. 38148TAG4 07/22/15 07/21/22    100.000     0.000    3.1499                                    0.087499   0.088870  0.090269     13.91    32.19
Goldman Sachs Group,Inc. 38148TAK5 07/29/15 07/29/27    100.000    VARIES    3.9238                                    0.010189   0.010148  0.010105      1.55     3.65
Goldman Sachs Group,Inc. 38148TAY5 08/04/15 08/04/21    100.000     0.000    2.8500                                    0.079167   0.080295  0.081439     11.64    29.04
Goldman Sachs Group,Inc. 38148TB57 08/31/15 03/02/23    100.000     0.000    3.1988                         0.088856   0.088872   0.090293  0.091737     10.75    32.59
Goldman Sachs Group,Inc. 38148TB65 08/31/15 08/29/25    100.000     0.000    3.5990                                    0.099973   0.101762  0.104172     12.10    36.82
Goldman Sachs Group,Inc. 38148TB73 08/31/15 03/02/23    100.000     0.000    3.1988                         0.088856   0.088872   0.090293  0.091737     10.75    32.59
Goldman Sachs Group,Inc. 38148TB81 08/28/15 08/30/23    100.000     0.000    3.3013                         0.090201   0.090218   0.091707  0.093733     11.37    33.73
Goldman Sachs Group,Inc. 38148TBA6 08/28/15 02/28/23    100.000     0.000    3.1965                         0.086861   0.087839   0.088273  0.091170     11.06    32.64
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38148TBN8 08/26/15 08/26/25    100.000    VARIES    3.9131                                    0.008003   0.008160  0.008319      1.00     2.95
Goldman Sachs Group,Inc. 38148TCH0 09/02/15 09/03/25    100.000     2.000    3.6170                         0.100472   0.100478   0.101290  0.102117     11.96    36.51
Goldman Sachs Group,Inc. 38148TCK3 09/30/15 10/11/22    100.000     0.000    3.0986                         0.086075   0.086156   0.087491  0.088847      7.84    31.47
Goldman Sachs Group,Inc. 38148TD63 09/25/15 09/25/23    100.000     0.000    3.2498                                    0.090274   0.091741  0.093232      8.67    33.05
Goldman Sachs Group,Inc. 38148TD89 09/30/15 07/03/23    100.000     0.000    3.2489                                    0.090249   0.091007  0.092485      8.21    33.02
Goldman Sachs Group,Inc. 38148TD97 09/30/15 09/28/23    100.000     0.000    3.2992                                    0.091644   0.093139  0.094676      8.34    33.54
Goldman Sachs Group,Inc. 38148TDA4 09/30/15 09/30/25    100.000     0.000    3.6000                                    0.100002   0.101803  0.103635      9.10    36.66
Goldman Sachs Group,Inc. 38148TDB2 09/29/15 09/28/23    100.000     0.000    3.3000                                    0.091667   0.093171  0.094708      8.43    33.55
Goldman Sachs Group,Inc. 38148TDE6 09/08/15 09/07/22    100.000     0.000    3.0999                                    0.086110   0.087438  0.088793      9.73    31.54
Goldman Sachs Group,Inc. 38148TEP0 09/30/15 09/30/25    100.000    VARIES    3.7871                                    0.009366   0.009544  0.009724       .85     3.44
Goldman Sachs Group,Inc. 38148TF46 09/24/15 09/24/22    100.000     0.500    3.2798                                    0.091108   0.092375  0.093662      8.84    33.27
Goldman Sachs Group,Inc. 38148TGM5 10/22/15 10/22/27    100.000    VARIES    3.9046                                    0.013658   0.013471  0.013280       .94     4.86
Great Plains Energy,Inc. 391164AF7 03/22/12 06/15/22    103.480     5.292    4.8564              0.137035   0.136085   0.135878   0.135667  0.136194     49.82    49.70
Griffon Corporation      398433AA0 07/18/03 07/18/23    100.000    VARIES    8.5003              0.416921   0.428966   0.441523   0.454499  0.468026    156.27   165.60
Griffon Corporation      398433AB8 07/18/03 07/18/23    100.000    VARIES    8.5003              0.416921   0.428966   0.441523   0.454499  0.468026    156.27   165.60
Grundy CNTY SD #72-C, IL 400292BD9 11/01/12 12/01/15    105.206    VARIES    1.9927              0.056313   0.055836                                     18.50         
Grundy CNTY SD #72-C, IL 400292BE7 11/01/12 12/01/16    106.789    VARIES    2.2434              0.064446   0.063923   0.063393   0.062858               23.07    20.82
Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17    107.117    VARIES    2.4939              0.072273   0.071789   0.071298   0.070802  0.070299     25.90    25.55
Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18    108.347    VARIES    2.7441              0.080546   0.080032   0.079510   0.078981  0.078445     28.87    28.50
Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19    107.921    VARIES    2.9942              0.087990   0.087540   0.087083   0.086619  0.086149     31.57    31.24
HSBC USA, Inc.           4042K03B9 07/30/10 07/30/15    100.000     2.350    2.3499              0.065278   0.065278                                     13.64         
HSBC USA, Inc.           4042K04V4 08/17/10 08/17/16    100.000     2.350    2.3499              0.065278   0.065278   0.065278   0.065278               23.50    14.75
HSBC USA, Inc.           4042K0P66 02/26/10 02/26/20    100.000     4.350    4.3499              0.120833   0.120833   0.120833   0.120833  0.120833     43.50    43.50
HSBC USA, Inc.           4042K0R49 03/31/10 03/31/16    100.000     3.250    3.2499              0.090278   0.090278   0.090278                          32.50     8.03
HSBC USA, Inc.           4042K0W84 05/27/10 05/27/16    100.000     0.000    2.8554              0.090111   0.091398   0.092702                          32.76    13.53
HSBC USA, Inc.           4042K14V2 09/28/12 09/28/18    100.000     0.000    2.1876              0.063470   0.064165   0.064867   0.065576  0.066293     23.10    23.61
HSBC USA, Inc.           4042K14W0 09/28/12 09/28/18    100.000     0.000    2.1876              0.063470   0.064165   0.064867   0.065576  0.066293     23.10    23.61
HSBC USA, Inc.           4042K15X7 10/31/12 10/31/18    100.000     0.000    2.0692              0.059895   0.060515   0.061141   0.061774  0.062413     21.75    22.20
HSBC USA, Inc.           4042K15Y5 10/31/12 10/31/18    100.000     0.000    2.2257              0.064625   0.065344   0.066071   0.066807  0.067550     23.48    24.01
HSBC USA, Inc.           4042K1AL7 11/18/10 11/19/15    100.000     2.530    2.5299              0.070278   0.070278                                     22.35         
HSBC USA, Inc.           4042K1B28 03/27/12 03/27/19    100.000     0.000    3.6762              0.111854   0.113910   0.116003   0.118136  0.120307     41.03    42.55
HSBC USA, Inc.           4042K1BQ5 01/24/11 01/24/18    100.000     0.000    3.6480              0.115002   0.117099   0.119235   0.121410  0.123625     42.44    44.01
HSBC USA, Inc.           4042K1D59 04/05/12 04/05/18    100.000     0.000    3.2441              0.097666   0.099250   0.100860   0.102496  0.104158     35.72    36.89
HSBC USA, Inc.           4042K1E58 04/26/12 10/26/18    100.000     0.000    3.3063              0.099691   0.101339   0.103014   0.104717  0.106449     36.40    37.61
HSBC USA, Inc.           4042K1E66 04/26/12 04/27/17    100.000     0.000    2.7102              0.080533   0.081624   0.082730   0.083852  0.084988     29.33    30.13
HSBC USA, Inc.           4042K1ED1 03/04/11 03/03/16    100.000     3.210    3.2099              0.089167   0.089167   0.089167                          32.10     5.53
HSBC USA, Inc.           4042K1FE8 03/24/11 03/24/18    100.000    VARIES    3.9708              0.110452   0.110432   0.110411   0.110390  0.110369     39.76    39.74
HSBC USA, Inc.           4042K1GG2 05/04/11 05/04/18    100.000    VARIES    3.6984              0.102543   0.102569   0.102595   0.102622  0.102649     36.92    36.94
HSBC USA, Inc.           4042K1GP2 05/06/11 05/06/16    100.000     2.990    2.9899              0.083056   0.083056   0.083056                          29.90    10.38
HSBC USA, Inc.           4042K1HX4 06/10/11 06/10/19    100.000    VARIES    3.5773              0.099088   0.099117   0.099147   0.099178  0.099209     35.68    35.70
HSBC USA, Inc.           4042K1JT1 06/13/11 06/13/18    100.000    VARIES    3.3850              0.092953   0.093099   0.093248   0.093399  0.093552     33.49    33.60
HSBC USA, Inc.           4042K1K77 05/29/12 11/28/18    100.000     0.000    3.0538              0.091498   0.092895   0.094313   0.095753  0.097215     33.28    34.31
HSBC USA, Inc.           4042K1KE2 07/29/11 07/31/17    100.000     0.000    2.9725              0.090230   0.091571   0.092932   0.094313  0.095715     33.13    34.12
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K1KG7 07/29/11 07/31/17    100.000     0.000    2.9725              0.090230   0.091571   0.092932   0.094313  0.095715     33.13    34.12
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES    4.1952              0.112912   0.113137   0.113368   0.113603  0.113842     40.70    40.87
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES    4.3009              0.116587   0.116766   0.116948   0.117135  0.117325     42.01    42.14
HSBC USA, Inc.           4042K1U43 06/29/12 06/29/18    100.000     0.000    2.6048              0.077195   0.078200   0.079218   0.080250  0.081295     27.98    28.71
HSBC USA, Inc.           4042K1XC2 02/29/12 03/01/18    100.000     0.000    3.1254              0.093826   0.095292   0.096781   0.098293  0.099829     34.40    35.48
HSBC USA, Inc.           4042K1XD0 02/29/12 03/01/17    100.000     0.000    2.9015              0.086625   0.087882   0.089157   0.090451  0.091763     31.72    32.64
HSBC USA, Inc.           4042K1XE8 02/07/12 02/07/17    100.000     0.000    2.7410              0.081502   0.082619   0.083751   0.084899  0.086063     29.87    30.69
HSBC USA, Inc.           4042K1XF5 02/29/12 03/01/19    100.000     0.000    3.4939              0.105843   0.107693   0.109574   0.111488  0.113436     38.88    40.25
HSBC USA, Inc.           4042K1Z30 08/30/12 08/30/18    100.000     0.000    2.4720              0.071332   0.071820   0.072707   0.073606  0.074925     26.30    27.05
HSBC USA, Inc.           4042K1Z48 08/30/12 02/28/18    100.000     0.000    2.2077              0.063728   0.063381   0.064785   0.064788  0.066589     23.33    23.93
HSBC USA, Inc.           4042K1Z63 08/08/12 08/08/19    100.000     0.000    2.6152              0.076520   0.077521   0.078535   0.079561  0.080602     28.02    28.75
HSBC USA, Inc.           4042K1ZD8 03/30/12 03/30/17    100.000     0.000    2.8298              0.084328   0.085521   0.086731   0.087958  0.089203     30.79    31.67
HSBC USA, Inc.           4042K1ZE6 04/04/12 04/04/18    100.000     0.000    3.2440              0.097661   0.099245   0.100855   0.102491  0.104153     35.72    36.89
HSBC USA, Inc.           4042K1ZK2 04/02/12 04/02/19    100.000     0.000    3.4236              0.103526   0.105298   0.107101   0.108934  0.110799     37.91    39.22
HSBC USA, Inc.           4042K1ZU0 03/20/12 09/18/15    100.000     0.000    2.0474              0.059839   0.060452                                     15.49         
HSBC USA, Inc.           40432X2M2 11/27/12 11/27/18    100.000     0.000    2.0105              0.058128   0.058712   0.059302   0.059898  0.060501     21.07    21.50
HSBC USA, Inc.           40432X2N0 11/27/12 11/27/18    100.000     0.000    2.1491              0.062306   0.062976   0.063653   0.064337  0.065028     22.60    23.08
HSBC USA, Inc.           40432X3T6 11/26/12 11/25/19    100.000     0.000    2.2776              0.066196   0.066950   0.067712   0.068483  0.069263     24.02    24.57
HSBC USA, Inc.           40432X4M0 12/24/12 12/24/18    100.000     0.000    2.0972              0.060738   0.061375   0.062019   0.062669  0.063326     21.99    22.45
HSBC USA, Inc.           40432X4N8 12/26/12 12/26/18    100.000     0.000    2.0970              0.060734   0.061371   0.062014   0.062664  0.063321     21.99    22.45
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES    1.3475              0.010417   0.010487   0.010558   0.010629  0.010701      3.76     3.82
HSBC USA, Inc.           40432X5M9 01/29/13 01/29/19    100.000     0.000    2.1341              0.061201   0.061854   0.062514   0.063181  0.063855     22.35    22.83
HSBC USA, Inc.           40432X5N7 01/30/13 01/30/19    100.000     0.000    2.1341              0.061201   0.061854   0.062514   0.063181  0.063855     22.35    22.83
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000    4.5776              0.136089   0.139203   0.142389   0.145648  0.148982     50.60    52.94
HSBC USA, Inc.           40432X5Z0 01/04/13 12/24/18    100.000     0.000    2.0803              0.060196   0.060822   0.061455   0.062094  0.062740     21.79    22.25
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000    4.6460              0.138261   0.141473   0.144760   0.148122  0.151563     51.34    53.75
HSBC USA, Inc.           40432XAC5 02/26/13 02/26/19    100.000     0.000    2.2385              0.064294   0.065014   0.065742   0.066478  0.067222     23.46    23.98
HSBC USA, Inc.           40432XAD3 02/27/13 02/27/19    100.000     0.000    2.2385              0.064294   0.065014   0.065742   0.066478  0.067222     23.45    23.98
HSBC USA, Inc.           40432XAP6 05/07/13 05/07/43*   100.000     0.000    4.7437              0.141371                                                17.81*        
HSBC USA, Inc.           40432XBQ3 02/28/13 08/28/18    100.000     0.000    1.9403              0.055483   0.056021   0.056565   0.057113  0.057667     20.20    20.60
HSBC USA, Inc.           40432XCD1 03/28/13 03/28/19    100.000     0.000    2.2310              0.064071   0.064786   0.065509   0.066239  0.066978     23.33    23.85
HSBC USA, Inc.           40432XGE5 06/17/13 06/17/43*   100.000     0.000    4.8511              0.144800                                                24.04*        
HSBC USA, Inc.           40432XGU9 06/26/13 06/26/19    100.000     0.000    2.6968              0.077985   0.079037   0.080102   0.081183  0.082277     28.27    29.04
HSBC USA, Inc.           40432XGZ8 07/08/13 07/08/20    100.000    VARIES    1.3420              0.006974   0.007021   0.007068   0.007115  0.007163      2.54     2.57
HSBC USA, Inc.           40432XHX2 07/23/13 07/23/18    100.000     0.000    2.1557              0.061180   0.061840   0.062506   0.063180  0.063861     22.35    22.84
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES    1.5824              0.007957   0.007591   0.007651   0.007712  0.007773      2.75     2.78
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES    1.6689              0.009781   0.009863   0.009945   0.010028  0.010112      3.56     3.62
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES    3.9578              0.109340   0.109368   0.109397   0.109426  0.109456     39.37    39.39
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES    1.6700              0.009807   0.009889   0.009971   0.010054  0.010138      3.56     3.62
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES    1.5393              0.007002   0.007056   0.007110   0.007165  0.007220      2.54     2.58
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES    3.4249              0.088828   0.089006   0.089186   0.089370  0.089557     32.02    32.15
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40432XQU8 12/31/13 07/01/19    100.000     0.000    2.4756              0.070487   0.071360   0.072243   0.073137               25.53    26.17
HSBC USA, Inc.           40432XS69 02/03/14 02/03/17    100.000     0.000    1.1820              0.033029   0.033224   0.033421   0.033618  0.033817     11.98    12.13
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES    3.9809              0.108361   0.106095   0.106216   0.106340  0.106466     38.52    38.27
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES    4.0230              0.110087   0.108390   0.108481   0.108573  0.108667     39.32    39.07
HSBC USA, Inc.           40433BH50 03/31/15 03/31/20    100.000     0.000    2.5278                         0.070219   0.071106   0.072005  0.072915     19.11    25.92
HSBC USA, Inc.           40433BKW7 08/28/14 08/30/19    100.000     0.000    2.1921              0.060232   0.060559   0.061223   0.061894  0.062916     22.17    22.74
HSBC USA, Inc.           40433BN61 04/08/15 04/08/20    100.000     0.000    1.6948                         0.047080   0.047479   0.047881  0.048287     12.42    17.23
HSBC USA, Inc.           40433BNR5 09/29/14 09/30/19    100.000     0.000    2.3491              0.065260   0.066026   0.066802   0.067586  0.068380     23.77    24.33
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000    2.9962              0.083235   0.084482   0.085748   0.087032  0.088336     30.26    31.17
HSBC USA, Inc.           40433BVF2 12/10/14 12/11/17    100.000     0.000    1.7132              0.047592   0.047999   0.048411   0.048825  0.049243     17.22    17.52
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000    3.8455              0.110992   0.113126   0.115301   0.117518  0.119778     40.93    42.52
HSBC USA, Inc.           40433X795 06/06/13 05/29/15    100.000     0.000    0.7984              0.022319                                                 3.30         
HSBC USA, Inc.           40434B131 04/03/14 03/26/21    100.000     0.000    3.2029              0.090339   0.091786   0.093256   0.094749  0.096267     33.06    34.13
HSBC USA, Inc.           40434B545 02/06/14 01/29/21    100.000     0.000    3.0855              0.086980   0.088322   0.089685   0.091068  0.092473     31.97    32.96
HSBC USA, Inc.           40434B610 12/26/13 06/28/21    100.000     0.000    3.3584              0.096468   0.098088   0.099735   0.101410  0.103113     35.03    36.22
HSBC USA, Inc.           40434B636 12/31/13 01/04/21    100.000     0.000    3.4305              0.096964   0.098627   0.100319   0.102039  0.103790     35.80    37.04
HSBC USA, Inc.           40434B867 12/03/13 11/25/20    100.000     0.000    3.1082              0.088985   0.090367   0.091772   0.093198  0.094647     32.38    33.40
HSBC USA, Inc.           40434C188 07/31/14 07/30/21    100.000     0.000    2.8870              0.078452   0.080897   0.080727   0.082792  0.083075     29.43    30.29
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000    3.2385              0.091418   0.092898   0.094403   0.095931  0.097485     33.22    34.31
HSBC USA, Inc.           40434C659 06/05/14 05/28/21    100.000     0.000    2.9289              0.082506   0.083715   0.084941   0.086185  0.087447     30.00    30.89
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000    2.2886              0.063572   0.063580   0.064308   0.065044  0.065788     15.37    23.37
Hancock County SD 316,IL 409792DH8 05/01/14 12/01/15    104.147     0.000    1.0793              0.031422   0.031592                                     10.40         
Hancock County SD 316,IL 409792DJ4 05/01/14 12/01/16    105.570    VARIES    1.2858              0.037990   0.038235   0.036501   0.036111               13.68    11.98
Hancock County SD 316,IL 409792DK1 05/01/14 12/01/17    107.276    VARIES    1.6361              0.049220   0.049623   0.047330   0.046865  0.046397     17.74    16.93
Hancock County SD 316,IL 409792DL9 05/01/14 12/01/18    107.805    VARIES    2.1841              0.066242   0.066966   0.063855   0.063338  0.062817     23.91    22.86
Hancock County SD 316,IL 409792DM7 05/01/14 12/01/19    106.961    VARIES    2.6340              0.079465   0.080512   0.076938   0.076488  0.076032     28.72    27.59
Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20    105.881    VARIES    3.2316              0.096843   0.098408   0.093958   0.093568  0.093173     35.06    33.73
Hancock County SD 325,IL 409828AP5 06/28/13 12/01/15    105.618    VARIES    1.4835              0.042133   0.041672                                     13.82         
Hancock County SD 325,IL 409828AQ3 06/28/13 12/01/16    107.747    VARIES    1.7351              0.050336   0.049808   0.049276   0.048740               17.99    16.16
Hancock County SD 325,IL 409828AR1 06/28/13 12/01/17    109.800    VARIES    1.9860              0.058789   0.058200   0.057606   0.057006  0.056399     21.02    20.59
John Hancock Life Ins Co 41013MBT6 10/29/02 04/15/15     50.000     0.000    5.6403   484.15     0.152379                                                15.85         
Caesars Entertainment    413626AR3 07/25/14 10/31/16     99.000    10.500   11.0098     1.76     0.011430   0.012059   0.012723   0.013423                4.31     3.93
Caesars Entertainment    413626AS1 07/25/14 03/01/17     92.600     5.950    9.2133    11.27     0.072372   0.075706   0.079193   0.082841  0.086657     27.47    30.06
Caesars Entertainment    413626AU6 07/25/14 03/01/17     93.100     6.950   10.0284    10.42     0.066955   0.070313   0.073838   0.077541  0.081429     25.53    28.16
Caesars Entertainment    413626AV4 07/25/14 03/01/17     89.010     9.750   15.0047    15.81     0.101662   0.109290   0.117489   0.126303  0.135779     39.87    46.08
Harrisburg, PA           414738NW0 12/28/95 04/01/15     25.992     0.000    7.1193   722.89     0.190962                                                17.19         
Harrisburg, PA           414738NX8 12/28/95 04/01/16     24.047     0.000    7.1593   675.50     0.178956   0.185362   0.191997                          66.75    17.28
Harrisburg, PA           414738NY6 12/28/95 04/01/17     22.322     0.000    7.1792   630.16     0.167185   0.173186   0.179403   0.185843  0.192514     62.37    66.92
Harrisburg, PA           414738NZ3 12/28/95 04/01/18     20.535     0.000    7.2393   588.42     0.156784   0.162459   0.168339   0.174433  0.180747     58.50    62.82
Harrisburg, PA           414738PA6 12/28/95 04/01/19     19.125     0.000    7.2394   548.03     0.146023   0.151308   0.156785   0.162461  0.168341     54.49    58.50
Hartford Life Insurance  41659LAS0 08/16/07 08/16/17    100.000     0.000    5.7021              0.234778   0.241472   0.248356   0.255437  0.262720     87.56    92.62
Hartford Life Insurance  4165X2BJ4 07/09/08 07/09/15    100.000     0.000    4.1028              0.145415   0.148398                                     27.87         
Helix Energy Solutions   42330PAG2 03/12/12 03/15/32    100.000    VARIES    7.5037              0.232418   0.237751   0.243284   0.249025  0.254981     85.78    89.86
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Hoboken, NJ              434110QH8 08/28/03 04/01/27     19.107     0.000    7.1397   232.42     0.082517   0.085463   0.088514   0.091674  0.094946     30.78    33.01
Hoboken, NJ              434110QJ4 08/28/03 04/01/28     17.813     0.000    7.1396   216.68     0.076927   0.079673   0.082517   0.085463  0.088514     28.69    30.78
Hoboken, NJ              434110QK1 08/28/03 04/01/29     16.606     0.000    7.1397   202.00     0.071715   0.074275   0.076927   0.079673  0.082517     26.75    28.69
Hoboken, NJ              434110QL9 08/28/03 04/01/30     15.481     0.000    7.1397   188.31     0.066856   0.069243   0.071715   0.074275  0.076927     24.94    26.75
Hoboken, NJ              434110QM7 08/28/03 04/01/31     14.432     0.000    7.1397   175.55     0.062327   0.064552   0.066856   0.069243  0.071715     23.25    24.94
Hoboken, NJ              434110QN5 08/28/03 04/01/32     13.454     0.000    7.1398   163.66     0.058104   0.060179   0.062327   0.064552  0.066856     21.67    23.25
Hoboken, NJ              434110QP0 08/28/03 04/01/33     12.543     0.000    7.1396   152.57     0.054168   0.056102   0.058105   0.060179  0.062327     20.20    21.67
Horizon Lines, Inc.      44044KAC5 10/05/11 04/15/17     92.470     6.000    N/A                 0.239344   0.248275   0.257541   0.267152  0.277121     89.15    95.93
Horizon Lines, Inc.      44044KAG6 10/05/11 04/15/17     92.470     6.000    N/A                 0.239344   0.248275   0.257541   0.267152  0.277121     89.15    95.93
Horizon Lines, Inc.      44044KAH4 04/26/12 04/15/17    100.000     6.000    5.9999              0.166667   0.166667   0.166667   0.166667  0.166667     60.00    60.00
Hovnanian Enterprises    442488BK7 02/14/11 10/15/15     97.453    11.875   12.6129    20.11     0.018138   0.019282                                      5.36         
Hovnanian Enterprises    442488BL5 11/01/11 11/01/21     53.000     5.000   13.8062    88.44     0.096078   0.102710   0.109800   0.117380  0.125483     36.61    41.83
Hovnanian Enterprises    442488BM3 11/01/11 11/01/21     42.000     2.000   12.1926              0.179201   0.186739   0.194737   0.203222  0.212224     66.80    72.68
Hovnanian Enterprises    442488BP6 10/02/12 12/01/17     76.851     0.000    5.1630    93.38     0.123080   0.126257   0.129517   0.132860  0.136290     45.07    47.43
Hutchinson Tech Inc.     448407AG1 02/11/11 01/15/15     84.940     8.500   13.5701   148.75     0.131890                                                 1.85         
Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23     95.305     1.200    N/A                 0.012708   0.012817   0.012926   0.013037  0.013148      4.61     4.69
Insignia Financing I     45766X304 11/01/96 09/30/16    100.000     6.500    6.4999              0.178571   0.177596   0.177596   0.177596               64.91    48.48
Intl Bnk for Reconstr    459056GW1 03/06/85 02/15/15      4.349     0.000   10.7474   944.04     0.277157                                                12.47         
Intl Bnk for Reconstr    459056HY6 01/07/86 02/15/16      5.299     0.000    9.9989   843.49     0.234717   0.250537   0.258773                          91.88    11.64
Intl Bnk for Reconstr    459056JN8 01/07/86 02/15/15      5.604     0.000   10.1490   932.15     0.262471                                                11.81         
Irvington Township, NJ   464080JS0 12/21/06 07/15/15     63.882     0.000    5.2996   333.41     0.139710   0.143412                                     27.77         
Irvington Township, NJ   464080JT8 12/21/06 07/15/16     60.176     0.000    5.3796   319.82     0.134383   0.137997   0.141709   0.145521               50.24    28.18
Irvington Township, NJ   464080JU5 12/21/06 07/15/17     56.947     0.000    5.3997   304.03     0.127836   0.131287   0.134832   0.138472  0.142210     47.80    50.42
Irvington Township, NJ   464080JV3 12/21/06 07/15/18     53.750     0.000    5.4396   289.54     0.121909   0.125225   0.128631   0.132129  0.135723     45.60    48.11
JP Morgan Chase & Co.    46625H266 05/29/09 05/29/15    100.000     1.500    5.0865              0.172995                                                25.60         
JP Morgan Chase & Co.    46634E783 12/24/09 06/23/15    100.000     0.000    3.6045              0.119698                                                20.59         
JP Morgan Chase & Co.    46634X187 06/29/11 06/29/17    100.000     0.000    3.2582              0.101347   0.102998   0.104676   0.106382  0.108115     36.79    38.00
Jackson CNTYS SD#165, IL 466484EZ1 06/28/07 12/01/15     61.520     0.000    5.8495   333.38     0.153384   0.157870                                     51.42         
Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16     57.808     0.000    5.8995   316.52     0.145886   0.150190   0.154620   0.159181               53.56    51.85
Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17     53.993     0.000    5.9995   301.75     0.139573   0.143760   0.148072   0.152514  0.157089     51.25    54.38
Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18     50.612     0.000    6.0496   285.74     0.132401   0.136406   0.140532   0.144783  0.149163     48.63    51.62
Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19     47.112     0.000    6.1496   271.37     0.126189   0.130070   0.134069   0.138191  0.142440     46.36    49.26
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000    6.1997   256.30     0.119391   0.123092   0.126908   0.130842  0.134898     43.87    46.63
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000    6.2496   241.82     0.112842   0.116368   0.120004   0.123754  0.127621     41.47    44.10
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000    6.2497   227.38     0.106107   0.109423   0.112842   0.116369  0.120005     39.00    41.47
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000    6.2996   214.21     0.100134   0.103288   0.106542   0.109897  0.113359     36.81    39.16
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000    6.2996   201.32     0.094112   0.097076   0.100134   0.103288  0.106541     34.59    36.81
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000    6.2997   189.22     0.088452   0.091238   0.094112   0.097077  0.100134     32.51    34.59
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000    6.3497   177.90     0.083307   0.085951   0.088680   0.091496  0.094401     30.63    32.60
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000    6.3499   171.98     0.080744   0.083307   0.085952   0.088681  0.091497     29.61    31.52
Jefferson CNTYS #521, IL 474070HM4 05/30/13 12/01/15     99.826    VARIES    0.9968              0.027663   0.027676                                      9.13         
Jefferson CNTYS #521, IL 474070HN2 05/30/13 12/01/16     99.746    VARIES    1.1968              0.033181   0.033197   0.033213   0.033229               11.95    10.96
Jefferson CNTYS #521, IL 474070HP7 05/30/13 12/01/17     99.674    VARIES    1.4462              0.040060   0.040078   0.040097   0.040116  0.040134     14.43    14.44
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Jefferson CNTYS #521, IL 474070HQ5 05/30/13 12/01/18     99.605    VARIES    1.6956              0.046929   0.046950   0.046971   0.046992  0.047014     16.90    16.91
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES    2.8894              0.085165   0.084891   0.084612   0.084330  0.084043     30.59    30.39
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES    3.0399              0.088472   0.088275   0.088076   0.087874  0.087668     31.80    31.66
Johnson CNTYS, IL        478167HC6 07/03/14 10/01/15    103.711     0.000    1.3306              0.038460   0.038716                                     10.43         
Johnson CNTYS, IL        478167HD4 07/03/14 10/01/16    105.492    VARIES    1.8348              0.054009   0.054505   0.052234   0.051604               19.37    13.99
Johnson CNTYS, IL        478167HE2 07/03/14 10/01/17    106.717    VARIES    2.1873              0.065187   0.065900   0.063317   0.062687  0.062052     23.43    22.57
Johnson CNTYS, IL        478167HF9 07/03/14 10/01/18    107.426    VARIES    2.4887              0.074716   0.075646   0.072828   0.072231  0.071626     26.90    26.00
Johnson CNTYS, IL        478167HG7 07/03/14 10/01/19    107.279    VARIES    2.8391              0.085194   0.086403   0.083342   0.082809  0.082270     30.72    29.81
Johnson CNTYS, IL        478167HH5 07/03/14 10/01/20    107.066    VARIES    3.0899              0.092592   0.094022   0.090808   0.090344  0.089873     33.43    32.52
Johnson CNTYS, IL        478167HJ1 07/03/14 10/01/21    105.766    VARIES    3.3403              0.098940   0.100592   0.097343   0.096997  0.096645     35.77    34.92
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES    3.5909              0.105274   0.107164   0.103786   0.103530  0.103269     38.10    37.27
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES    3.8407              0.111032   0.113165   0.109670   0.109509  0.109345     40.23    39.42
Josephine County, OR     480890AA0 10/30/01 06/01/17     36.621     0.000    6.5496   489.63     0.154861   0.159932   0.165170   0.170579  0.176165     56.97    60.76
Josephine County, OR     480890AB8 10/30/01 06/01/18     33.518     0.000    6.6996   463.27     0.147769   0.152719   0.157835   0.163122  0.168586     54.39    58.09
Josephine County, OR     480890AQ5 10/30/01 06/01/15     43.624     0.000    6.1996   538.70     0.167034                                                25.06         
Josephine County, OR     480890AR3 10/30/01 06/01/16     40.464     0.000    6.2995   511.30     0.159442   0.164464   0.169645                          58.61    25.45
JP Morgan Chase & Co.    48123JMM8 01/31/07 01/30/15    100.000     0.000    5.6332              0.232162                                                 6.73         
JP Morgan Chase & Co.    48123JPU7 02/28/07 02/27/15    100.000     0.000    5.3382              0.215323                                                12.27         
JP Morgan Chase & Co.    48123LC44 02/27/09 02/27/15    100.000     0.000    6.1636              0.239076                                                13.39         
JP Morgan Chase & Co.    48123LUM4 10/31/08 10/30/15    100.000     0.000    7.9479              0.348466   0.360334                                    107.41         
JP Morgan Chase & Co.    48123LUN2 10/31/08 10/30/15    100.000     0.000    7.9479              0.348466   0.360334                                    107.41         
JP Morgan Chase & Co.    48123LVP6 11/28/08 05/29/15    100.000     0.000    7.0456              0.296575                                                43.89         
J2 Global, Inc.          48123VAC6 06/17/14 06/15/29    100.000    VARIES    8.0003              0.227450   0.232938   0.238644   0.244579  0.250751     83.05    87.17
JP Morgan Chase & Co.    48124A3Q8 12/20/10 12/21/15    100.000     0.000    3.3603              0.106664   0.108457                                     37.66         
JP Morgan Chase & Co.    48124ACY1 12/28/09 12/31/15    100.000     0.000    3.8782              0.129861   0.130221                                     47.34         
JP Morgan Chase & Co.    48124AD20 09/30/10 09/30/16    100.000     0.000    3.0410              0.095312   0.096761   0.098232   0.099726               34.84    26.69
JP Morgan Chase & Co.    48124AKU0 03/29/10 03/27/15    100.000     1.800    3.4731              0.104256                                                 8.97         
JP Morgan Chase & Co.    48124ANY9 05/11/10 05/12/15    100.000     1.800    3.4048              0.101898                                                13.35         
JP Morgan Chase & Co.    48124ARD1 06/09/10 06/09/15    100.000     0.000    3.8907              0.128539                                                20.31         
JP Morgan Chase & Co.    48124ASD0 05/28/10 05/31/16    100.000     0.000    3.9190              0.128252   0.130050   0.132599                          47.28    20.02
JP Morgan Chase & Co.    48124AUK1 06/15/10 06/15/15    100.000     1.650    3.6021              0.109510                                                17.96         
JP Morgan Chase & Co.    48124AV38 11/30/10 11/30/16    100.000     0.000    3.1390              0.098764   0.100314   0.101888   0.103487               35.93    33.81
JP Morgan Chase & Co.    48124AV95 11/30/10 11/30/16    100.000     0.000    3.0404              0.095292   0.096740   0.098211   0.099704               34.66    32.58
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25    100.000    VARIES    3.5831              0.087806   0.087582   0.087354   0.087749  0.088151     31.52    31.60
JP Morgan Chase & Co.    48124JAD0 04/04/12 04/04/32    100.000    VARIES    2.6982              0.070681   0.069705   0.069441   0.069174  0.069281     25.51    25.35
JP Morgan Chase & Co.    48125UCH3 02/27/15 02/27/30    100.000    VARIES    3.9804                         0.110569   0.110559   0.110548  0.110536     33.61    39.80
JP Morgan Chase & Co.    48125UCP5 03/31/15 03/29/30    100.000    VARIES    3.9445                         0.107190   0.107081   0.104605  0.104978     29.57    38.54
JP Morgan Chase & Co.    48125UDK5 03/30/15 03/30/25    100.000    VARIES    3.4192                         0.094980   0.093754   0.092507  0.092172     25.63    33.38
JP Morgan Chase & Co.    48125UDL3 04/22/15 04/22/30    100.000    VARIES    3.9342                         0.109285   0.108044   0.106779  0.105489     27.13    38.49
JP Morgan Chase & Co.    48125UKN1 03/31/15 12/31/20    100.000     0.000    2.9102              0.080840   0.081428   0.082613   0.083815  0.085034     22.02    29.96
JP Morgan Chase & Co.    48125URP9 05/14/15 05/16/19    100.000     0.000    2.2907              0.063633   0.063641   0.064370   0.065108  0.065853     14.48    23.37
JP Morgan Chase & Co.    48125UTC6 06/26/15 06/26/30    100.000    VARIES    4.4665                         0.124072   0.123121   0.122149  0.121154     22.95    44.14
JP Morgan Chase & Co.    48125UTF9 06/30/15 06/30/30    100.000    VARIES    4.4796                         0.124434   0.120999   0.117488  0.115745     22.52    42.92
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES    4.4809                         0.124471   0.121036   0.117525  0.116163     22.53    42.94
JP Morgan Chase & Co.    48125UTL6 06/30/15 06/30/30    100.000    VARIES    4.4865                         0.124625   0.124305   0.123978  0.123644     22.56    44.69
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES    4.2124                                    0.117666   0.115424  0.115080     14.24    41.64
JP Morgan Chase & Co.    48125UUN0 08/31/15 08/31/30    100.000    VARIES    4.2249                                    0.116070   0.113789  0.114617     14.28    41.88
JP Morgan Chase & Co.    48125UUS9 08/21/15 08/21/30    100.000    VARIES    4.2080                                    0.116890   0.116427  0.115955     15.20    41.88
JP Morgan Chase & Co.    48125V2G4 08/31/12 08/31/18    100.000     0.000    2.4104              0.069856   0.069545   0.071157   0.071231  0.073285     25.60    26.32
JP Morgan Chase & Co.    48125V4Q0 09/28/12 09/29/17    100.000     0.000    1.9604              0.056626   0.057181   0.057742   0.058308  0.058879     20.59    20.99
JP Morgan Chase & Co.    48125V5R7 09/28/12 09/28/18    100.000    VARIES    2.2733              0.064474   0.064943   0.065417   0.065911  0.066411     23.38    23.73
JP Morgan Chase & Co.    48125V7F1 09/18/12 09/18/19    100.000     0.500    2.6369              0.076443   0.077267   0.078103   0.078950  0.079807     27.84    28.45
JP Morgan Chase & Co.    48125V7G9 09/28/12 03/29/18    100.000     0.000    2.0907              0.060547   0.061180   0.061820   0.062466  0.063119     22.03    22.49
JP Morgan Chase & Co.    48125VA67 06/29/12 06/30/16    100.000     0.000    2.5495              0.075458   0.076420   0.077394                          27.34    13.85
JP Morgan Chase & Co.    48125VC40 06/20/12 12/20/17    100.000     0.000    3.2200              0.096881   0.098441   0.100026   0.101637  0.103273     35.19    36.34
JP Morgan Chase & Co.    48125VC57 06/29/12 06/29/18    100.000     0.000    3.0497              0.091375   0.092768   0.094183   0.095619  0.097077     33.15    34.17
JP Morgan Chase & Co.    48125VEL0 12/30/11 12/29/17    100.000     0.000    3.8400              0.119550   0.121845   0.124184   0.126569  0.128999     43.46    45.15
JP Morgan Chase & Co.    48125VHH6 01/31/12 01/31/18    100.000     0.000    3.5407              0.107373   0.109274   0.111209   0.113178  0.115181     39.58    40.99
JP Morgan Chase & Co.    48125VJ35 07/31/12 07/31/27    100.000    VARIES    4.0733              0.107620   0.106494   0.105345   0.105468  0.105594     38.20    37.98
JP Morgan Chase & Co.    48125VJ50 07/30/12 07/30/27    100.000    VARIES    4.0727              0.103868   0.101995   0.100085   0.099600  0.099105     36.48    35.80
JP Morgan Chase & Co.    48125VL24 07/05/12 01/04/18    100.000     0.000    2.9500              0.086882   0.088163   0.089464   0.090783  0.092123     31.97    32.92
JP Morgan Chase & Co.    48125VM72 06/29/12 06/28/19    100.000     0.000    3.2698              0.098494   0.100104   0.101741   0.103404  0.105095     35.76    36.94
JP Morgan Chase & Co.    48125VMA5 02/29/12 02/29/16    100.000     0.000    2.4510              0.071959   0.071653   0.073328                          26.38     4.33
JP Morgan Chase & Co.    48125VMC1 02/29/12 02/28/18    100.000     0.000    3.1994              0.095681   0.095627   0.098224   0.098711  0.101952     35.23    36.50
JP Morgan Chase & Co.    48125VPV6 03/30/12 06/30/16    100.000     0.000    2.3101              0.068356   0.069145   0.069944                          24.75    12.52
JP Morgan Chase & Co.    48125VPW4 03/30/12 09/30/15    100.000     0.000    2.0106              0.058715   0.059305                                     15.90         
JP Morgan Chase & Co.    48125VPZ7 03/30/12 09/28/18    100.000     0.000    3.1110              0.093335   0.094786   0.096261   0.097758  0.099279     34.13    35.20
JP Morgan Chase & Co.    48125VQ60 07/31/12 07/31/18    100.000    VARIES    2.6423              0.074600   0.075189   0.075786   0.076406  0.077035     27.14    27.58
JP Morgan Chase & Co.    48125VQH6 03/16/12 03/16/27*   100.000    VARIES    4.7665              0.129859   0.129313                                     33.02*        
JP Morgan Chase & Co.    48125VRA0 03/07/12 03/07/17    100.000     0.000    2.6907              0.079907   0.080982   0.082072   0.083176  0.084295     29.21    30.00
JP Morgan Chase & Co.    48125VSN1 03/27/12 03/27/20    100.000     0.000    3.7709              0.115003   0.117171   0.119381   0.121631  0.123925     42.20    43.81
JP Morgan Chase & Co.    48125VTK6 04/30/12 07/29/16    100.000     0.000    2.3703              0.069424   0.070247   0.071080   0.071922               25.39    14.94
JP Morgan Chase & Co.    48125VTL4 04/30/12 10/30/15    100.000     0.000    2.0702              0.060547   0.061174                                     18.22         
JP Morgan Chase & Co.    48125VTP5 04/30/12 04/30/18    100.000     0.000    3.0309              0.090770   0.092146   0.093542   0.094960  0.096399     33.09    34.10
JP Morgan Chase & Co.    48125VUN8 05/21/12 05/21/27    100.000    VARIES    4.5682              0.114336   0.112577   0.110778   0.108938  0.108480     40.70    39.46
JP Morgan Chase & Co.    48125VWQ9 05/18/12 08/18/16    100.000     0.000    2.4102              0.070662   0.071514   0.072376   0.073248               25.82    16.59
JP Morgan Chase & Co.    48125VY20 08/31/12 08/31/16    100.000     0.000    1.7203              0.049179   0.048793   0.049753   0.049636               17.95    12.07
JP Morgan Chase & Co.    48125VYW4 06/13/12 06/13/27    100.000    VARIES    4.6582              0.116431   0.114591   0.112708   0.110781  0.110302     41.52    40.18
JP Morgan Chase & Co.    48125VYX2 07/05/12 07/05/27    100.000    VARIES    4.3956              0.118682   0.117863   0.117026   0.116170  0.115295     42.29    41.67
JP Morgan Chase & Co.    48125VZ52 08/31/12 08/31/18    100.000    VARIES    2.6679              0.076797   0.076583   0.077662   0.077912  0.079487     27.71    28.22
JP Morgan Chase & Co.    48125VZ94 08/31/12 08/31/17    100.000    VARIES    1.7166              0.048248   0.047683   0.048435   0.048142  0.049181     17.53    17.77
JP Morgan Chase & Co.    48125X4L7 10/21/11 10/22/18    100.000     0.000    4.1614              0.130815   0.133537   0.136315   0.139152  0.142047     47.96    49.98
JP Morgan Chase & Co.    48125X4M5 10/21/11 10/22/18    100.000     0.000    4.1614              0.130815   0.133537   0.136315   0.139152  0.142047     47.96    49.98
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES    5.0718              0.146791   0.146685   0.146527   0.146366  0.146063     52.80    52.68
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES    5.1602              0.147564   0.147699   0.147661   0.147623  0.147447     53.16    53.13
JP Morgan Chase & Co.    48125XKS4 03/30/11 03/30/17    100.000     0.000    4.0116              0.128054   0.130623   0.133243   0.135915  0.138641     47.03    48.94
JP Morgan Chase & Co.    48125XLH7 04/07/11 10/08/15    100.000     0.000    3.3515              0.103443   0.104602                                     29.18         
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES    5.0712              0.144206   0.144404   0.144434   0.144465  0.144377     51.95    52.00
JP Morgan Chase & Co.    48126D3U1 05/31/13 05/31/19    100.000     0.000    2.4505              0.070605   0.071470   0.072346   0.073232  0.074129     25.63    26.26
JP Morgan Chase & Co.    48126D3W7 05/31/13 05/29/20    100.000    VARIES    2.8293              0.080209   0.080778   0.081369   0.081969  0.082593     29.01    29.44
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES    3.5785              0.100689   0.101132   0.101662   0.102201  0.102749     36.36    36.73
JP Morgan Chase & Co.    48126D6Y0 09/20/13 09/20/23    100.000    VARIES    4.4963              0.120473   0.118897   0.117286   0.116872  0.116449     42.76    42.06
JP Morgan Chase & Co.    48126D7M5 10/09/13 10/09/28    100.000    VARIES    4.6916              0.122991   0.119196   0.115312   0.112659  0.109944     42.96    40.59
JP Morgan Chase & Co.    48126DAQ2 10/05/12 10/05/17    100.000     0.000    1.9305              0.055727   0.056265   0.056808   0.057356  0.057910     20.25    20.64
JP Morgan Chase & Co.    48126DBB4 11/02/12 10/31/18    100.000     0.000    2.2804              0.066277   0.067033   0.067797   0.068570  0.069352     24.09    24.64
JP Morgan Chase & Co.    48126DBC2 10/31/12 10/31/18    100.000    VARIES    2.2312              0.064287   0.064774   0.065268   0.065778  0.066293     23.29    23.65
JP Morgan Chase & Co.    48126DBJ7 10/31/12 10/31/17    100.000     0.000    2.0204              0.058426   0.059016   0.059612   0.060214  0.060823     21.21    21.64
JP Morgan Chase & Co.    48126DF20 03/27/13 09/27/17    100.000     0.000    1.6905              0.048162   0.048569   0.048979   0.049393  0.049811     17.49    17.79
JP Morgan Chase & Co.    48126DFM6 11/30/12 02/28/18    100.000     0.000    1.9910              0.056942   0.056571   0.057762   0.057703  0.059243     20.82    21.31
JP Morgan Chase & Co.    48126DFN4 11/30/12 11/30/18    100.000    VARIES    2.1918              0.062717   0.063202   0.063692   0.064194  0.064701     22.70    23.05
JP Morgan Chase & Co.    48126DGZ6 11/30/12 11/30/18    100.000     0.000    2.1501              0.062338   0.063008   0.063685   0.064370  0.065062     22.60    23.09
JP Morgan Chase & Co.    48126DH28 04/30/13 04/30/19    100.000    VARIES    2.0021              0.056926   0.057371   0.057828   0.058289  0.058761     20.63    20.96
JP Morgan Chase & Co.    48126DH36 04/30/13 04/30/19    100.000    VARIES    2.0723              0.058969   0.059447   0.059936   0.060431  0.060937     21.37    21.73
JP Morgan Chase & Co.    48126DJ83 04/30/13 10/31/18    100.000     0.000    1.9003              0.054307   0.054823   0.055344   0.055870  0.056401     19.71    20.08
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES    3.1389              0.088166   0.088501   0.088916   0.089337  0.089765     31.85    32.14
JP Morgan Chase & Co.    48126DKC2 12/31/12 12/31/18    100.000     0.000    2.1108              0.061151   0.061796   0.062448   0.063107  0.063773     22.13    22.60
JP Morgan Chase & Co.    48126DKD0 12/31/12 12/31/18    100.000    VARIES    2.0821              0.059523   0.059967   0.060416   0.060874  0.061338     21.51    21.83
JP Morgan Chase & Co.    48126DKE8 12/31/12 03/29/18    100.000     0.000    1.8649              0.053513   0.054012   0.054516   0.055024  0.055538     19.45    19.81
JP Morgan Chase & Co.    48126DLU1 12/14/12 12/14/27    100.000    VARIES    3.7338              0.098013   0.097609   0.097197   0.096778  0.096351     35.20    34.90
JP Morgan Chase & Co.    48126DLY3 12/21/12 12/21/27    100.000    VARIES    3.6432              0.093142   0.091550   0.089928   0.089440  0.088943     33.21    32.28
JP Morgan Chase & Co.    48126DMA4 12/27/12 12/27/27    100.000    VARIES    3.6581              0.099857   0.099407   0.098950   0.098484  0.098010     35.86    35.53
JP Morgan Chase & Co.    48126DMB2 12/31/12 12/31/27    100.000    VARIES    3.7027              0.095218   0.093587   0.091925   0.091039  0.090136     33.98    32.93
JP Morgan Chase & Co.    48126DMD8 01/18/13 01/18/28    100.000    VARIES    3.7931              0.100602   0.098954   0.097864   0.096754  0.095623     35.47    34.67
JP Morgan Chase & Co.    48126DME6 01/18/13 01/18/28    100.000    VARIES    3.7909              0.099474   0.097457   0.096167   0.094852  0.093512     34.91    33.95
JP Morgan Chase & Co.    48126DMF3 01/30/13 01/30/28    100.000    VARIES    3.7914              0.099448   0.097417   0.096043   0.094643  0.093217     34.92    33.90
JP Morgan Chase & Co.    48126DMP1 02/13/13 02/13/28    100.000    VARIES    3.7911              0.099418   0.097380   0.096048   0.094691  0.093309     34.96    33.96
JP Morgan Chase & Co.    48126DMW6 02/27/13 02/27/28    100.000    VARIES    3.9927              0.105637   0.103808   0.102456   0.101078  0.099671     37.31    36.29
JP Morgan Chase & Co.    48126DNB1 03/13/13 03/13/28    100.000    VARIES    3.8423              0.101415   0.099574   0.098236   0.096872  0.095482     35.83    34.82
JP Morgan Chase & Co.    48126DNE5 03/27/13 03/27/28    100.000    VARIES    3.9606              0.103473   0.101204   0.099921   0.098612  0.097278     36.51    35.49
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES    3.1822              0.089153   0.089432   0.089764   0.090100  0.090471     32.24    32.48
JP Morgan Chase & Co.    48126DRL5 01/31/13 07/31/18    100.000     0.000    1.9802              0.056658   0.057219   0.057785   0.058357  0.058935     20.67    21.08
JP Morgan Chase & Co.    48126DRM3 01/31/13 01/31/19    100.000    VARIES    2.1525              0.061142   0.061604   0.062079   0.062559  0.063049     22.24    22.58
JP Morgan Chase & Co.    48126DRW1 01/31/13 01/31/19    100.000     0.000    2.1601              0.061969   0.062638   0.063314   0.063998  0.064689     22.63    23.12
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES    3.8927              0.102995   0.101215   0.099945   0.098651  0.097331     36.57    35.59
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES    3.8747              0.100296   0.097756   0.096685   0.095594  0.094481     35.49    34.51
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES    3.2856              0.091579   0.090394   0.091720   0.091058  0.092964     33.23    33.60
JP Morgan Chase & Co.    48126DVH9 02/28/13 02/28/19    100.000    VARIES    2.1918              0.061936   0.061396   0.062554   0.062358  0.063896     22.58    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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126DVW6 02/28/13 02/28/19    100.000     0.000    2.1003              0.059868   0.059510   0.060796   0.060766  0.062422     21.90    22.45
JP Morgan Chase & Co.    48126DVX4 02/28/13 08/31/18    100.000     0.000    2.0204              0.057522   0.057155   0.058367   0.058316  0.059881     21.03    21.54
JP Morgan Chase & Co.    48126DVY2 02/11/13 02/10/20    100.000     0.000    2.6402              0.076279   0.077286   0.078306   0.079340  0.080387     27.93    28.67
JP Morgan Chase & Co.    48126DZF9 03/28/13 03/29/19    100.000    VARIES    2.2418              0.063807   0.064332   0.064869   0.065411  0.065966     23.16    23.55
JP Morgan Chase & Co.    48126DZG7 03/28/13 03/29/19    100.000     0.000    2.2503              0.064648   0.065375   0.066111   0.066855  0.067607     23.54    24.07
JP Morgan Chase & Co.    48126DZP7 03/28/13 09/28/18    100.000     0.000    2.0503              0.058723   0.059325   0.059933   0.060548  0.061169     21.36    21.80
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES    3.3453              0.094126   0.094563   0.095039   0.095522  0.096048     34.05    34.39
JP Morgan Chase & Co.    48126N3B1 02/28/14 02/29/20    100.000     0.000    2.8178              0.078939   0.078746   0.080733   0.080980  0.083483     29.00    29.93
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES    4.4199              0.121329   0.119850   0.118338   0.116793  0.116506     43.13    42.15
JP Morgan Chase & Co.    48126N5M5 03/18/14 03/18/29*   100.000    VARIES    4.4586              0.120276                                                 9.26*        
JP Morgan Chase & Co.    48126N6E2 05/07/14 05/05/17    100.000     0.000    1.5702              0.043956   0.044301   0.044649   0.044999  0.045352     15.92    16.18
JP Morgan Chase & Co.    48126N6F9 05/07/14 05/05/17    100.000     0.150    1.5618              0.043688   0.043997   0.044308   0.044621  0.044937     15.82    16.04
JP Morgan Chase & Co.    48126N6J1 05/14/14 05/12/17    100.000     0.000    1.4801              0.041417   0.041724   0.042032   0.042344  0.042657     15.00    15.22
JP Morgan Chase & Co.    48126N6K8 05/14/14 05/12/17    100.000     0.150    1.4777              0.041319   0.041594   0.041870   0.042149  0.042429     14.95    15.15
JP Morgan Chase & Co.    48126NCU9 06/28/13 06/28/19    100.000     0.000    3.2501              0.094756   0.096296   0.097861   0.099451  0.101067     34.40    35.53
JP Morgan Chase & Co.    48126NCV7 06/28/13 06/30/20    100.000    VARIES    3.6188              0.101921   0.102430   0.102997   0.103575  0.104212     36.78    37.18
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES    4.3048              0.120636   0.121002   0.121714   0.122442  0.123185     43.50    43.95
JP Morgan Chase & Co.    48126NGN1 07/02/13 07/03/19    100.000     0.000    3.2114              0.092104   0.093583   0.095086   0.096613  0.098164     33.95    35.05
JP Morgan Chase & Co.    48126NHE0 07/31/13 07/31/19    100.000    VARIES    2.9571              0.083450   0.084137   0.084835   0.085565  0.086306     30.37    30.89
JP Morgan Chase & Co.    48126NHH3 07/31/13 07/31/18    100.000     0.000    2.5902              0.073829   0.074785   0.075753   0.076734  0.077728     27.04    27.75
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES    3.9756              0.111087   0.111423   0.111766   0.112428  0.113104     40.15    40.56
JP Morgan Chase & Co.    48126NHK6 07/11/13 07/11/19    100.000     0.000    3.3903              0.097396   0.099047   0.100726   0.102434  0.104170     35.93    37.15
JP Morgan Chase & Co.    48126NJJ7 07/31/13 07/31/19    100.000     0.000    2.9705              0.084985   0.086248   0.087529   0.088829  0.090148     31.21    32.14
JP Morgan Chase & Co.    48126NLK1 08/05/13 08/03/17    100.000     0.000    2.1505              0.061021   0.061677   0.062340   0.063011  0.063688     22.28    22.76
JP Morgan Chase & Co.    48126NMG9 08/30/13 08/30/19    100.000     0.000    3.2508              0.092237   0.093224   0.094739   0.096279  0.098381     34.16    35.41
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES    4.2968              0.119091   0.117349   0.118844   0.118268  0.120971     43.12    43.65
JP Morgan Chase & Co.    48126NNA1 08/30/13 08/30/19    100.000    VARIES    3.2354              0.090362   0.090637   0.091419   0.092234  0.093574     33.16    33.88
JP Morgan Chase & Co.    48126NQB6 08/29/13 08/31/20    100.000     0.000    3.7493              0.107516   0.107746   0.110972   0.111823  0.115808     39.71    41.37
JP Morgan Chase & Co.    48126NQX8 09/30/13 09/30/19    100.000    VARIES    2.9713              0.083449   0.083946   0.084451   0.084994  0.085545     30.22    30.60
JP Morgan Chase & Co.    48126NQZ3 09/30/13 09/28/18    100.000     0.000    2.5208              0.071790   0.072695   0.073611   0.074539  0.075478     26.18    26.84
JP Morgan Chase & Co.    48126NRP4 09/30/13 03/29/18    100.000     0.000    2.2910              0.065103   0.065848   0.066603   0.067366  0.068137     23.71    24.26
JP Morgan Chase & Co.    48126NSK4 09/18/13 09/18/20    100.000     0.000    3.8712              0.111739   0.113902   0.116106   0.118354  0.120645     41.07    42.67
JP Morgan Chase & Co.    48126NSW8 10/18/13 10/18/28    100.000    VARIES    4.7118              0.123352   0.119452   0.115460   0.112911  0.110301     43.13    40.73
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES    4.4384              0.118405   0.115881   0.113300   0.113047  0.112788     41.86    40.71
JP Morgan Chase & Co.    48126NT64 01/31/14 01/31/20    100.000     0.000    2.7907              0.078602   0.079698   0.080810   0.081938  0.083081     28.83    29.64
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES    4.6982              0.125312   0.122623   0.119871   0.119541  0.119204     44.41    43.07
JP Morgan Chase & Co.    48126NU21 01/14/14 01/12/18    100.000     0.000    2.0000              0.056107   0.056668   0.057234   0.057807  0.058385     20.49    20.90
JP Morgan Chase & Co.    48126NU96 01/24/14 01/26/21    100.000     0.000    3.3004              0.093210   0.094749   0.096312   0.097902  0.099517     34.31    35.46
JP Morgan Chase & Co.    48126NWU7 10/31/13 10/31/19    100.000     0.000    2.7408              0.078236   0.079308   0.080395   0.081496  0.082613     28.49    29.28
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES    3.8579              0.107716   0.107999   0.108287   0.108854  0.109431     38.86    39.16
JP Morgan Chase & Co.    48126NXS1 10/21/13 10/21/20    100.000     0.000    3.5611              0.102475   0.104299   0.106156   0.108047  0.109970     37.48    38.82
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126NZY6 11/29/13 11/29/19    100.000     0.000    2.8103              0.080273   0.081401   0.082545   0.083705  0.084881     29.17    30.00
JP Morgan Chase & Co.    48126NZZ3 11/29/13 11/29/19    100.000     0.000    2.8103              0.080273   0.081401   0.082545   0.083705  0.084881     29.17    30.00
JP Morgan Chase & Co.    48127A351 12/26/13 06/24/21    100.000     0.000    3.6699              0.105697   0.107637   0.109612   0.111623  0.113672     38.43    39.85
JP Morgan Chase & Co.    48127D3H9 12/17/14 12/17/20    100.000    VARIES    2.7852              0.077369   0.077523   0.077680   0.077922  0.078167     27.88    28.02
JP Morgan Chase & Co.    48127D4A3 12/31/14 12/31/20    100.000     0.000    1.7100              0.047502   0.047908   0.048318   0.048731  0.049148     17.17    17.47
JP Morgan Chase & Co.    48127DCY2 04/30/14 04/30/20    100.000     0.000    2.8708              0.080890   0.082051   0.083229   0.084423  0.085635     29.47    30.32
JP Morgan Chase & Co.    48127DFJ2 04/23/14 04/22/20    100.000    VARIES    2.8446              0.079218   0.079422   0.079686   0.079953  0.080281     28.59    28.78
JP Morgan Chase & Co.    48127DKP2 06/04/14 06/05/18    100.000     0.000    1.9100              0.052977   0.053190   0.053698   0.054211  0.055030     19.40    19.78
JP Morgan Chase & Co.    48127DMP0 06/30/14 09/30/20    100.000     0.000    2.7897              0.078034   0.079123   0.080226   0.081345  0.082480     28.49    29.29
JP Morgan Chase & Co.    48127DNW4 10/31/14 10/31/29    100.000    VARIES    2.8582              0.079397   0.079003   0.078604   0.078200  0.077789     28.46    28.18
JP Morgan Chase & Co.    48127DPA0 11/21/14 11/21/29    100.000    VARIES    4.0316              0.111991   0.110354   0.108685   0.106982  0.105245     39.89    38.68
JP Morgan Chase & Co.    48127DPG7 12/24/14 12/24/29    100.000    VARIES    4.0345              0.112070   0.111041   0.109991   0.108920  0.107827     40.15    39.39
JP Morgan Chase & Co.    48127DPH5 12/24/14 12/24/29    100.000    VARIES    2.8705              0.079737   0.079757   0.079778   0.079799  0.079821     28.71    28.72
JP Morgan Chase & Co.    48127DQH4 02/27/15 02/27/30    100.000    VARIES    4.0540                         0.112613   0.111275   0.109910  0.108517     34.07    39.47
JP Morgan Chase & Co.    48127DVW5 08/29/14 08/31/20    100.000     0.000    2.8192              0.077893   0.077703   0.079664   0.079909  0.082379     28.61    29.54
JP Morgan Chase & Co.    48127DYS1 09/30/14 09/30/20    100.000     0.000    2.9909              0.083082   0.084325   0.085586   0.086866  0.088165     30.36    31.28
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000    3.8108              0.107873   0.109929   0.112023   0.114158  0.116333     39.46    40.98
Justice Park Dist, IL    48214PAN5 06/07/11 12/01/15    104.066    VARIES    3.9671              0.111305   0.110758                                     36.63         
Justice Park Dist, IL    48214PAP0 06/07/11 12/01/16    102.404    VARIES    4.4687              0.125380   0.125078   0.124769   0.124454               45.06    41.12
Justice Park Dist, IL    48214PAQ8 06/07/11 12/01/17    101.380    VARIES    4.7209              0.132151   0.131992   0.131829   0.131663  0.131492     47.54    47.42
Justice Park Dist, IL    48214PAR6 06/07/11 12/01/18    100.000    VARIES    4.9723              0.138258   0.138243   0.138227   0.138210  0.138193     49.77    49.76
Justice Park Dist, IL    48214PAS4 06/07/11 12/01/19     97.305    VARIES    5.3724              0.146826   0.147039   0.147258   0.147483  0.147714     52.91    53.07
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES    5.7224              0.153193   0.153603   0.154024   0.154457  0.154902     55.25    55.55
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES    5.9725              0.156782   0.157317   0.157867   0.158434  0.159018     56.57    56.97
KFW                      500769BR4 04/19/06 04/18/36     19.778     0.000    5.4761   118.70     0.047613   0.048916   0.050256   0.051632  0.053045     17.57    18.54
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000    5.7800    96.58     0.044548   0.045836   0.047161   0.048524  0.049926     16.27    17.23
LaSalle CNTY SD #44, IL  504402BX5 02/01/12 12/01/15    106.275    VARIES    3.1949              0.090314   0.089538                                     29.66         
LaSalle CNTY SD #141, IL 504588FB5 06/01/12 12/01/15    105.685    VARIES    2.2809              0.064430   0.063898                                     21.17         
LaSalle CNTY SD #141, IL 504588FC3 06/01/12 12/01/16    106.786    VARIES    2.3843              0.068310   0.067800   0.067283   0.066761               24.47    22.11
Lake County IL SD #187   509262CV1 04/09/03 01/01/21     35.244     0.000    5.9694   350.19     0.116509   0.119986   0.123568   0.127256               42.57    45.15
Lakewood Township, NJ    512678QU0 08/22/12 04/01/15     98.986     1.500    1.9002     9.15     0.011013                                                  .99         
Lakewood Township, NJ    512678QV8 08/22/12 04/01/16     98.453     2.000    2.4505     9.96     0.012066   0.012213   0.012363                           4.40     1.11
Lakewood Township, NJ    512678QW6 08/22/12 04/01/17     98.381     2.250    2.6252     8.05     0.009766   0.009894   0.010024   0.010155  0.010289      3.56     3.66
Lakewood Township, NJ    512678QX4 08/22/12 04/01/18     98.460     2.700    3.0003     6.17     0.007517   0.007630   0.007745   0.007861  0.007979      2.75     2.83
Lee & Dekalb Counties,IL 523351BS2 09/30/11 01/01/16    100.000     0.000    3.9990              0.126361   0.128888                                     45.94         
Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17    100.000     0.000    3.7493              0.117529   0.119732   0.121977   0.124263               42.71    44.32
Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18    100.000     0.000    3.9993              0.126373   0.128900   0.131477   0.134106               45.95    47.81
Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19    100.000     0.000    4.2492              0.135343   0.138219   0.141156   0.144155               49.24    51.36
Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20    117.427     0.000    4.4992              0.169623   0.173438   0.177340   0.181330               61.75    64.56
Liberty Interactive Corp 530610AA2 04/09/13 03/30/43    100.000     2.984    6.0292              0.175228   0.178011   0.180879   0.183833  0.186876     64.10    66.19
Liberty Interactive Corp 530610AB0 09/09/13 09/30/43    100.000     1.000    2.5054              0.070712   0.071250   0.071795   0.072346  0.072904     25.65    26.05
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000    9.0689              0.643592   0.667738   0.692978   0.719363  0.746944    238.31   256.70
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000    9.0689              0.643592   0.667738   0.692978   0.719363  0.746944    238.31   256.70
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750    9.4298              0.705133   0.733468   0.763139   0.794209  0.826744    266.84   288.97
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750    9.4298              0.705133   0.733468   0.763139   0.794209  0.826744    266.84   288.97
Liberty Media Corp.      530715AM3 01/11/01 01/15/31    100.000     3.500    N/A                 0.548063   0.567017   0.586621   0.606880  0.627793    207.12   221.66
Liberty Media Corp.      530715AN1 01/11/01 01/15/31    100.000     3.500    N/A                 0.548063   0.567017   0.586621   0.606880  0.627793    207.12   221.66
Livingston Counties, IL  538412AU1 10/27/10 12/01/15    104.254    VARIES    3.2393              0.090739   0.090364                                     29.88         
Lloyds TSB Bank PLC      5394E8AH2 07/28/11 07/28/16    100.000    VARIES    2.0468              0.007916   0.007997   0.008079   0.008162                2.89     1.69
Lloyds TSB Bank PLC      5394E8AM1 04/13/12 04/13/15     98.750    VARIES    2.9305              0.018630                                                 1.90         
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES    4.6791              0.119441   0.117288   0.116504   0.115703  0.114882     42.42    41.69
Lloyds TSB Bank PLC      5394E8AP4 04/27/12 04/27/20    100.000    VARIES    2.7870              0.018776   0.019038   0.019303   0.019572  0.019845      6.84     7.03
Lloyds TSB Bank PLC      5394E8AV1 06/08/12 06/08/27     95.000     8.000    8.5995     4.75     0.005813   0.006063   0.006324   0.006596  0.006880      2.15     2.34
Lloyds TSB Bank PLC      5394E8AX7 06/29/12 06/29/32    100.000    VARIES    4.7441              0.126020   0.125320   0.124602   0.123868  0.123453     45.24    44.72
Lloyds TSB Bank PLC      5394E8AY5 06/29/12 06/29/27     95.000     8.000    8.5995     4.63     0.005813   0.006063   0.006324   0.006596  0.006880      2.14     2.33
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES    2.8121              0.006934   0.007032   0.007131   0.007231  0.007332      2.55     2.62
Lloyds TSB Bank PLC      5394E8BC2 07/20/12 07/20/17     98.250    VARIES    2.8582              0.021894   0.022207   0.022524   0.022846  0.023173      8.04     8.27
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000     4.200    4.6384     6.45     0.007699   0.007878   0.008060   0.008247  0.008439      2.86     3.00
Lloyds TSB Bank PLC      5394E8BG3 09/19/12 09/19/32    100.000    VARIES    4.3107              0.115245   0.114059   0.113551   0.113033  0.112502     41.10    40.68
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES    3.6033              0.093233   0.091799   0.090338   0.088851  0.088186     32.87    31.93
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES    3.6891              0.094828   0.092184   0.091094   0.089984  0.088853     33.18    32.30
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES    3.6254              0.088099   0.084444   0.080723   0.076934  0.075591     30.58    28.04
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES    4.1638              0.105336   0.101784   0.098158   0.094457  0.090679     36.02    33.35
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES    4.0718              0.105084   0.100950   0.096731   0.094519  0.092261     35.79    33.73
Lloyds TSB Bank PLC      5394E8BW8 07/26/13 07/26/28    100.000    VARIES    4.0225              0.108378   0.106962   0.105519   0.104046  0.102544     38.32    37.26
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES    4.1864              0.109634   0.106201   0.102695   0.099116  0.095463     37.80    35.23
Lloyds TSB Bank PLC      5394E8BZ1 08/28/13 08/28/33    100.000    VARIES    4.7627              0.127988   0.125756   0.123471   0.122038  0.120570     45.12    43.83
Lloyds TSB Bank PLC      5394E8CA5 09/26/13 09/26/33    100.000    VARIES    5.0069              0.132402   0.128935   0.125382   0.123759  0.122095     46.37    44.53
Lloyds TSB Bank PLC      5394E8CB3 10/17/13 10/17/33    100.000    VARIES    5.0356              0.133308   0.129898   0.126402   0.124942  0.123446     46.87    45.02
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES    5.0339              0.132800   0.129151   0.125410   0.123116  0.120764     46.66    44.43
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES    4.3735              0.118142   0.118295   0.118452   0.118613  0.118777     42.57    42.68
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES    4.4796              0.117546   0.113985   0.110345   0.108352  0.106315     41.43    39.23
Lloyds TSB Bank PLC      5394E8CF4 12/27/13 12/27/28    100.000    VARIES    4.0354              0.106916   0.104248   0.101526   0.100949  0.100361     37.99    36.44
Lloyds TSB Bank PLC      5394E8CG2 01/29/14 01/29/34    100.000    VARIES    4.7509              0.128480   0.124905   0.121245   0.117498  0.115951     44.51    42.17
Lloyds TSB Bank PLC      5394E8CK3 04/10/14 04/10/34    100.000    VARIES    4.6720              0.126548   0.123241   0.119856   0.116393  0.115347     44.42    42.16
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES    3.7158              0.099976   0.096672   0.093307   0.089880  0.087411     34.96    32.58
MTR Gaming Group, Inc.   553769AJ9 08/05/11 08/01/19*    97.000    11.500    N/A                 0.331829   0.332387   0.332978                          73.45*        
MTR Gaming Group, Inc.   553769AK6 08/05/11 08/01/19*    97.000    11.500    N/A                 0.331829   0.332387   0.332978                          73.45*        
MTR Gaming Group, Inc.   553769AL4 08/05/11 08/01/19*    97.000    11.500    N/A                 0.331829   0.332387   0.332978                          73.45*        
Macon CNTYS SD #11, IL   555495DQ0 05/06/15 12/01/16    104.270     0.000    0.9818              0.028439   0.028458   0.028598   0.028738                6.69     9.46
Macon CNTYS SD #11, IL   555495DR8 05/06/15 12/01/17    105.649    VARIES    1.4828              0.043517   0.043561   0.043884   0.044210  0.042113     10.25    15.80
Macon CNTYS SD #11, IL   555495DS6 05/06/15 12/01/18    107.392    VARIES    1.8335              0.054696   0.054765   0.055267   0.055774  0.053088     12.88    19.92
Macon CNTYS SD #11, IL   555495DT4 05/06/15 12/01/19    109.091    VARIES    2.1340              0.064669   0.064765   0.065456   0.066155  0.062906     15.24    23.61
Macon CNTYS SD #11, IL   555495DU1 05/06/15 12/01/20    109.863    VARIES    2.3354              0.071271   0.071387   0.072220   0.073064  0.069590     16.80    26.07
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Macon CNTYS DIST 537, IL 555545BR2 04/01/10 12/01/15    105.886     0.000    3.0211              0.102209   0.103753                                     34.01         
Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16    106.138     0.000    3.2973              0.113248   0.115115   0.117013   0.118943               41.22    38.96
Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17    103.230     0.000    3.7059              0.126137   0.128474   0.130855   0.133279  0.135749     45.97    47.69
Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18    105.024     0.000    3.5846              0.123441   0.125654   0.127906   0.130198  0.132532     44.97    46.60
Macon CNTYS SD #9, IL    555864AE7 05/24/13 12/01/15    104.772    VARIES    1.2371              0.035000   0.034684                                     11.49         
Macon CNTYS SD #9, IL    555864AF4 05/24/13 12/01/16    106.008    VARIES    1.5380              0.044158   0.043804   0.043446   0.043086               15.81    14.27
Macon CNTYS SD #9, IL    555864AG2 05/24/13 12/01/17    106.698    VARIES    1.7393              0.050439   0.050093   0.049743   0.049391  0.049035     18.07    17.82
Macon CNTYS SD #9, IL    555864AH0 05/24/13 12/01/18    106.171    VARIES    2.0893              0.060609   0.060299   0.059985   0.059669  0.059349     21.74    21.52
Macon CNTYS SD #9, IL    555864AJ6 05/24/13 12/01/19    106.514    VARIES    2.4384              0.071101   0.070782   0.070460   0.070134  0.069803     25.52    25.29
Macon CNTYS SD #9, IL    555864AK3 05/24/13 12/01/20    105.634    VARIES    2.6887              0.078024   0.077766   0.077504   0.077239  0.076970     28.03    27.84
Marion CNTY SD #133, IL  568870BJ7 05/05/15 12/01/19    113.641    VARIES    2.7710              0.087473   0.087648   0.088863   0.090094  0.084081     20.72    32.07
Marion CNTY SD #133, IL  568870BK4 05/05/15 12/01/20    116.003    VARIES    3.0724              0.099003   0.099223   0.100747   0.102295  0.095480     23.46    36.39
Marion CNTY SD #133, IL  568870BL2 05/05/15 12/01/21    116.656    VARIES    3.3737              0.109325   0.109592   0.111440   0.113320  0.106023     25.91    40.29
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES    3.5754              0.116623   0.116924   0.119015   0.121142  0.113549     27.65    43.06
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES    3.7759              0.125437   0.125779   0.128154   0.130573  0.122320     29.75    46.40
Marion County, OR        56913RAP3 03/28/02 06/01/15     39.329     0.000    7.2089   577.72     0.193282                                                28.99         
Marion County, OR        56913RAQ1 03/28/02 06/01/16     36.142     0.000    7.3089   541.96     0.182302   0.188964   0.195869                          67.23    29.38
Marion County, OR        56913RAR9 03/28/02 06/01/17     33.393     0.000    7.3590   505.90     0.170629   0.176907   0.183416   0.190165  0.197162     62.94    67.66
Marion County, OR        56913RAS7 03/28/02 06/01/18     31.307     0.000    7.3092   469.49     0.157925   0.163696   0.169679   0.175880  0.182308     58.24    62.58
Marion County, OR        56913RAT5 03/28/02 06/01/19     28.898     0.000    7.3592   437.82     0.147669   0.153103   0.158736   0.164577  0.170633     54.47    58.55
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000    7.4091   407.88     0.137939   0.143049   0.148349   0.153844  0.159544     50.89    54.73
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     7.350    N/A                 0.237585   0.241113   0.244895   0.248950  0.253297     86.40    89.21
Mashantucket Western     574754AM9 07/01/13 03/31/36     14.695     6.500    N/A                 0.103975   0.111890   0.120560   0.130065  0.140492     40.36    46.93
Mason CNTYS SD #191, IL  574816BW3 07/02/10 12/01/18    106.295    VARIES    4.3308              0.124323   0.123857   0.123381   0.122895  0.122398     44.64    44.30
Mason CNTYS SD #191, IL  574816BX1 07/02/10 12/01/19    105.637    VARIES    4.7793              0.137262   0.136858   0.136444   0.136020  0.135587     49.32    49.02
Mclean County, IL        582001FB4 06/30/14 12/01/18     99.601    VARIES    2.2167              0.061901   0.062587   0.060741   0.060643  0.060544     22.37    21.84
Mclean County, IL        582001FD0 06/30/14 12/01/20     99.401    VARIES    3.1536              0.088227   0.089618   0.086761   0.086706  0.086649     31.97    31.22
Mclean County, IL        582001FE8 06/30/14 12/01/21    112.369    VARIES    3.6289              0.114998   0.117085   0.110893   0.110133  0.109359     41.65    39.74
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES    3.8796              0.122477   0.124853   0.118384   0.117716  0.117036     44.40    42.46
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES    4.1299              0.129402   0.132074   0.125337   0.124770  0.124192     46.94    44.98
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES    4.3801              0.135742   0.138715   0.131715   0.131254  0.130783     49.28    47.31
Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32    100.000    VARIES    5.7132              0.320910   0.330077   0.339506   0.348390  0.356560    119.19   125.66
Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17    100.000    VARIES    5.5833              0.152545   0.153027   0.153522   0.154032  0.154555     55.06    55.42
Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17    100.000    VARIES    5.6522              0.155274   0.155602   0.155938   0.156284  0.156640     55.99    56.23
Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17    100.000    VARIES    5.9091              0.162118   0.162499   0.162893   0.163297  0.163714     58.45    58.73
Mexican States           593048BN0 03/30/01 12/30/19     89.000     8.125    9.3823    60.74     0.022082   0.023118   0.024203   0.025338  0.026527      8.14     8.92
Miami Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760    8.7675    43.21     0.029835   0.031143   0.032508   0.033933  0.035421     11.02    12.01
Microchip Technology Inc 595017AA2 12/07/07 12/15/37    100.000    VARIES    9.1009              0.416414   0.430342   0.447282   0.464994  0.486168    155.06   167.61
Microchip Technology Inc 595017AB0 12/07/07 12/15/37    100.000    VARIES    9.1009              0.416414   0.430342   0.447282   0.464994  0.486168    155.06   167.61
Milagro Oil & Gas, Inc.  59870WAA0 05/11/11 05/15/16     97.182    10.500   11.2509    18.89     0.017701   0.018697   0.019748                           6.65     2.65
Milagro Oil & Gas, Inc.  59870WAB8 05/11/11 05/15/16     97.182    10.500   11.2509    18.89     0.017701   0.018697   0.019748                           6.65     2.65
Molina Healthcare Inc.   60855RAD2 09/05/14 08/15/44    100.500    VARIES    7.5077              0.209592   0.215079   0.221459   0.228078  0.234945     78.05    82.75
Molina Healthcare Inc.   60855RAE0 09/05/14 08/15/44    100.500    VARIES    7.5077              0.209592   0.215079   0.221459   0.228078  0.234945     78.05    82.75
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935    4.6422              0.113633   0.114378   0.115141   0.115921  0.116719     41.19    41.75
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350     2.624    4.6439              0.110870   0.111752   0.112655   0.113578  0.114523     40.25    40.91
Morgan Stanley           617446H69 05/30/07 06/26/17    100.000     0.000    5.8001              0.248419   0.255623   0.263036   0.270665  0.278514     90.80    96.14
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES    5.2661              0.147264   0.147469   0.147540   0.147614  0.147586     53.10    53.13
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES    5.5160              0.154922   0.155104   0.155292   0.155377  0.155465     55.87    55.95
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES    6.0157              0.140161   0.140304   0.140452   0.140603  0.140760     50.49    50.60
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES    5.7295              0.133913   0.130016   0.129519   0.129008  0.128483     46.80    46.37
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES    2.2423              0.012059   0.012194   0.012330   0.012469  0.012608      4.41     4.51
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES    6.5857              0.166276   0.164418   0.162500   0.161926  0.161334     59.41    58.36
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES    5.5541              0.142145   0.141053   0.139931   0.138777  0.137591     50.60    49.77
Morgan Stanley           61745E2Y6 07/15/11 07/15/17    100.000    VARIES    4.3803              0.122069   0.122073   0.122078   0.122054  0.122029     43.95    43.94
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES    6.7333              0.167094   0.163368   0.159516   0.155535  0.151419     59.25    56.46
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES    6.0718              0.143252   0.139168   0.138421   0.137651  0.136858     50.17    49.48
Morgan Stanley           61745E3F6 11/30/11 12/01/16    100.000    VARIES    5.1660              0.011332   0.011259   0.011184   0.011107                4.06     3.68
Morgan Stanley           61745E3J8 07/28/10 07/28/17    100.000    VARIES    2.9665              0.018856   0.019136   0.019420   0.019708  0.020000      6.92     7.13
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES    5.7500              0.162925   0.163071   0.163004   0.162935  0.162676     58.69    58.62
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES    5.6230              0.141732   0.140695   0.139630   0.138534  0.137408     50.52    49.73
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES    6.9291              0.173137   0.169512   0.165761   0.161880  0.157864     61.65    58.94
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES    2.7071              0.020209   0.020483   0.020760   0.021041  0.021326      7.40     7.60
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES    5.4529              0.126933   0.125930   0.124899   0.123840  0.122752     45.21    44.45
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES    5.4932              0.134182   0.133915   0.133642   0.133361  0.133072     48.18    47.97
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES    2.8598              0.015383   0.015603   0.015826   0.016052  0.016282      5.64     5.80
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES    5.5117              0.128333   0.127686   0.127022   0.126339  0.125638     45.88    45.39
Morgan Stanley           61745E4M0 12/23/11 12/23/18    100.000    VARIES    4.9659              0.026808   0.026569   0.026324   0.026073  0.025815      9.60     9.43
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES    6.1786              0.154188   0.150370   0.146434   0.142376  0.138193     53.52    50.60
Morgan Stanley           61745E4U2 08/26/09 08/26/16    100.000    VARIES    5.1504              0.148836   0.147816   0.146769   0.144942               53.14    34.16
Morgan Stanley           61745E5C1 08/27/10 08/27/15    100.000    VARIES    1.8388              0.007280   0.007347                                      1.73         
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES    5.2217              0.146351   0.146681   0.146913   0.147151  0.147183     52.81    52.96
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES    5.6565              0.134971   0.134953   0.134934   0.134915  0.134896     48.58    48.57
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES    2.8095              0.012008   0.011979   0.012280   0.012318  0.012698      4.41     4.55
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES    5.8739              0.159258   0.158632   0.158666   0.158700  0.158735     57.16    57.13
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES    5.6271              0.138233   0.134307   0.134324   0.134342  0.134360     48.47    48.37
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES    5.5646              0.152251   0.152066   0.151876   0.151681  0.151907     54.74    54.64
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES    4.5799              0.127478   0.127815   0.128161   0.128294  0.128431     46.04    46.20
Morgan Stanley           61745E6M8 02/15/12 02/15/19    100.000    VARIES    5.4091              0.150789   0.151191   0.151413   0.151642  0.151594     54.44    54.57
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES    5.9463              0.142934   0.141242   0.141437   0.141639  0.141846     51.01    50.99
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES    5.5533              0.151908   0.151863   0.151859   0.151855  0.151850     54.68    54.67
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES    5.0167              0.139842   0.140060   0.140284   0.140324  0.140365     50.44    50.52
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES    5.5215              0.130383   0.126899   0.126883   0.124070  0.124628     46.52    45.64
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES    5.3224              0.150619   0.150751   0.150787   0.150824  0.150748     54.26    54.29
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES    5.9065              0.161031   0.161141   0.161253   0.161369  0.161614     58.01    58.10
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES    5.7612              0.151178   0.151211   0.151245   0.151279  0.151511     54.44    54.47
Morgan Stanley           61745EE98 09/22/10 09/22/19    100.000    VARIES    2.8227              0.018914   0.019181   0.019452   0.019726  0.020005      6.91     7.11
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES    5.8397              0.167421   0.168254   0.169112   0.169994  0.170044     60.55    61.11
Morgan Stanley           61745EF30 08/30/11 08/30/15    100.000    VARIES    3.2415              0.011065   0.011183                                      2.69         
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES    6.0398              0.164155   0.164013   0.163919   0.163822  0.163723     59.06    58.99
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES    2.2565              0.006763   0.006839   0.006917   0.006995  0.007074      2.46     2.52
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES    5.6734              0.134886   0.132649   0.134068   0.132571  0.134726     48.72    48.87
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES    5.6779              0.154524   0.154129   0.154495   0.154872  0.156005     56.33    56.72
Morgan Stanley           61745EG70 08/31/11 08/31/15    100.000    VARIES    3.2288              0.010789   0.010784                                      2.61         
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES    5.7524              0.132246   0.130862   0.130181   0.129481  0.130621     47.88    47.55
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES    5.7371              0.145927   0.143842   0.143133   0.142403  0.141653     51.99    51.30
Morgan Stanley           61745EJ36 09/16/11 09/16/15    100.000    VARIES    3.0131              0.017843   0.018112                                      4.60         
Morgan Stanley           61745EJ77 09/30/10 09/30/17    100.000    VARIES    2.7147              0.014725   0.014924   0.015127   0.015332  0.015541      5.37     5.52
Morgan Stanley           61745EJ85 04/28/11 04/28/17    100.000    VARIES    1.7167              0.011810   0.011911   0.012013   0.012117  0.012221      4.28     4.36
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES    5.8527              0.144567   0.142521   0.140415   0.140480  0.140548     51.21    50.58
Morgan Stanley           61745EL33 09/30/10 09/30/19    100.000    VARIES    2.8240              0.027381   0.027768   0.028160   0.028558  0.028961     10.00    10.28
Morgan Stanley           61745EL41 04/29/11 04/29/18    100.000    VARIES    1.6125              0.010230   0.010312   0.010395   0.010479  0.010564      3.71     3.77
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES    5.8547              0.140867   0.136859   0.132734   0.133245  0.133771     49.14    47.99
Morgan Stanley           61745EL90 10/15/10 10/15/19    100.000    VARIES    2.5025              0.017502   0.017721   0.017943   0.018167  0.018394      6.37     6.53
Morgan Stanley           61745EM24 04/29/11 04/29/16    100.000    VARIES    1.5929              0.008678   0.008747   0.008816                           3.15     1.04
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES    5.5347              0.131671   0.131638   0.131604   0.131569  0.131533     47.39    47.36
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES    5.1511              0.143955   0.144136   0.144240   0.144347  0.144378     51.87    51.95
Morgan Stanley           61745EM99 09/30/11 09/30/17    100.000    VARIES    3.3263              0.011374   0.011564   0.011756   0.011951  0.012150      4.16     4.30
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES    5.5223              0.143168   0.139913   0.140493   0.137993  0.140062     51.54    50.94
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES    6.1251              0.148788   0.144838   0.140766   0.136570  0.132246     52.12    49.15
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES    1.9922              0.012979   0.013108   0.013239   0.013371  0.013504      4.71     4.80
Morgan Stanley           61745EP96 10/15/10 10/15/15    100.000    VARIES    1.8991              0.016628   0.016786                                      4.75         
Morgan Stanley           61745EQ38 09/30/11 09/30/15    100.000    VARIES    3.1371              0.020541   0.020864                                      5.58         
Morgan Stanley           61745ER52 10/15/10 10/15/19    100.000    VARIES    2.6938              0.021985   0.022281   0.022581   0.022885  0.023193      8.01     8.23
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES    5.6682              0.143086   0.141302   0.140516   0.139708  0.138876     51.11    50.39
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES    5.8922              0.170182   0.169944   0.169698   0.169286  0.168861     61.22    61.01
Morgan Stanley           61745ES93 10/27/10 10/27/17    100.000    VARIES    2.4455              0.016979   0.017187   0.017397   0.017609  0.017825      6.18     6.33
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES    5.5394              0.150055   0.149971   0.149884   0.149795  0.149750     54.00    53.94
Morgan Stanley           61745ET68 06/22/10 06/22/15    100.000    VARIES    2.6966              0.009823                                                 1.68         
Morgan Stanley           61745EU58 11/16/10 11/16/15    100.000    VARIES    1.5999              0.008626   0.008696                                      2.73         
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES    5.3578              0.149056   0.148946   0.148832   0.148715  0.148467     53.64    53.55
Morgan Stanley           61745EUH2 02/23/07 02/23/37    100.000    VARIES    5.5058              0.131827   0.131985   0.132146   0.132312  0.132483     47.53    47.65
Morgan Stanley           61745EV32 11/23/10 05/23/16    100.000    VARIES    1.4641              0.010320   0.010395   0.010471                           3.73     1.49
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES    2.3141              0.013607   0.013764   0.013923   0.014084  0.014247      4.93     5.05
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES    5.9021              0.145828   0.147301   0.148405   0.149542  0.150713     53.18    54.00
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES    5.4880              0.129204   0.128036   0.126835   0.125602  0.125920     46.28    45.43
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES    6.4618              0.176352   0.176027   0.175692   0.175346  0.174989     63.39    63.14
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES    6.4553              0.160808   0.162256   0.163539   0.164863  0.166230     58.56    59.52
Morgan Stanley           61745EW72 11/23/10 11/23/19    100.000    VARIES    2.3593              0.017416   0.017622   0.017829   0.018040  0.018253      6.32     6.47
Morgan Stanley           61745EW98 11/17/11 11/17/17    100.000    VARIES    3.9291              0.011116   0.011334   0.011557   0.011784  0.012015      4.06     4.22
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES    5.7758              0.144258   0.142360   0.141464   0.140543  0.139594     51.59    50.76
Morgan Stanley           61745EX71 11/17/11 11/17/15    100.000    VARIES    3.5087              0.013649   0.013888                                      4.36         
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES    3.4515              0.020967   0.021329   0.021697   0.022071  0.022452      7.73     8.00
Morgan Stanley           61745EY39 12/15/10 12/15/19    100.000    VARIES    5.6449              0.161720   0.161596   0.161469   0.161131  0.160785     58.19    58.06
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES    5.5719              0.136781   0.136691   0.136598   0.136503  0.137135     49.22    49.16
Morgan Stanley           61745EY96 12/15/10 12/15/15    100.000    VARIES    1.7536              0.012333   0.012441                                      4.26         
Morgan Stanley           61745EZ79 12/15/10 12/15/19    100.000    VARIES    2.6578              0.030086   0.030485   0.030890   0.031301  0.031717     10.92    11.21
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES    5.7788              0.142583   0.141042   0.139457   0.140262  0.141090     50.51    50.63
Morgan Stanley           61745EZ95 11/29/11 11/29/19    100.000    VARIES    5.8963              0.164903   0.164950   0.164999   0.164939  0.164877     59.38    59.38
Morgan Stanley           61746BDP8 02/04/14 02/04/19    100.000     0.000    2.5695              0.072292   0.073221   0.074162   0.075114  0.076079     26.47    27.15
Morgan Stanley           61747W463 02/29/08 02/20/15    100.000     0.000    5.4016              0.207288                                                10.36         
Morgan Stanley           61747YDB8 05/27/11 05/29/15    100.000     0.000    3.0456              0.094057                                                13.92         
Morgan Stanley           617480199 04/30/08 01/30/15    100.000     0.000    6.0537              0.244145                                                 7.08         
Morgan Stanley           6174822B9 09/28/12 03/28/16    100.000     0.000    2.4304              0.070855   0.071716   0.072587                          25.82     6.32
Morgan Stanley           6174822C7 09/28/12 09/28/27    100.000    VARIES    4.7924              0.131809   0.132110   0.132419   0.132735  0.133059     47.56    47.79
Morgan Stanley           6174822D5 09/28/12 09/28/32    100.000    VARIES    5.0081              0.136569   0.136512   0.136454   0.136394  0.136333     49.14    49.10
Morgan Stanley           6174822E3 09/28/12 09/28/32    100.000    VARIES    5.0051              0.134392   0.134071   0.133741   0.133404  0.133058     48.26    48.02
Morgan Stanley           6174822F0 09/28/12 09/28/32    100.000    VARIES    4.9982              0.130467   0.129441   0.128390   0.127312  0.126207     46.59    45.82
Morgan Stanley           6174822J2 09/28/12 09/28/32    100.000    VARIES    5.0415              0.135652   0.135486   0.135316   0.135142  0.134963     48.77    48.65
Morgan Stanley           6174822R4 10/31/12 10/31/19    100.000     0.000    3.3498              0.099445   0.101111   0.102805   0.104526  0.106277     36.31    37.53
Morgan Stanley           6174822S2 10/31/12 10/31/17    100.000     0.000    2.8337              0.083274   0.084454   0.085650   0.086864  0.088095     30.34    31.20
Morgan Stanley           6174822X1 10/31/12 10/29/32    100.000    VARIES    4.6665              0.121835   0.121028   0.120202   0.119357  0.118493     43.61    43.01
Morgan Stanley           6174822Y9 10/31/12 10/29/32    100.000    VARIES    4.6741              0.125901   0.125737   0.125570   0.125398  0.125222     45.27    45.15
Morgan Stanley           6174823M4 11/30/12 11/29/19    100.000     0.000    3.2126              0.095107   0.096635   0.098187   0.099764  0.101367     34.61    35.73
Morgan Stanley           6174823N2 11/30/12 11/30/17    100.000     0.000    2.8394              0.083450   0.084634   0.085836   0.087055  0.088291     30.33    31.20
Morgan Stanley           6174824H4 04/30/13 04/28/23    100.000    VARIES    3.0092              0.080278   0.080307   0.080376   0.080446  0.080603     28.91    28.96
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES    3.5683              0.095442   0.094171   0.094264   0.094358  0.094454     34.09    33.96
Morgan Stanley           6174824Z4 07/03/13 06/29/20    100.000     0.000    3.7328              0.109562   0.111607   0.113690   0.115812  0.117974     39.82    41.32
Morgan Stanley           617482D76 11/28/11 11/28/17    100.000     0.000    6.9072              0.235220   0.243343   0.251747   0.260442  0.269436     86.69    92.78
Morgan Stanley           617482D92 11/17/11 11/17/26*   100.000    VARIES    6.4999              0.176904   0.176991                                     55.92*        
Morgan Stanley           617482E59 12/28/11 12/28/16    100.000     0.000    5.6804              0.186664   0.191966   0.197418   0.203025               68.19    71.49
Morgan Stanley           617482F41 01/30/12 01/30/18    100.000     0.000    4.7546              0.148536   0.152067   0.155682   0.159383  0.163172     55.19    57.84
Morgan Stanley           617482F66 01/31/12 01/29/27    100.000    VARIES    5.2919              0.141205   0.140061   0.139567   0.139060  0.138540     50.38    50.00
Morgan Stanley           617482F90 02/28/12 02/28/19    100.000     0.000    5.2371              0.164632   0.166189   0.172415   0.175006  0.182565     61.33    64.83
Morgan Stanley           617482G73 03/30/12 03/29/18    100.000     0.000    4.9522              0.155437   0.159285   0.163230   0.167271  0.171413     57.37    60.24
Morgan Stanley           617482G81 03/30/12 09/30/15    100.000     0.000    3.8221              0.116710   0.118940                                     31.80         
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES    6.4023              0.172580   0.171374   0.170130   0.169463  0.168775     61.65    60.98
Morgan Stanley           617482H31 03/08/12 09/08/15    100.000     0.000    3.4574              0.104632   0.106441                                     26.17         
Morgan Stanley           617482H56 03/30/12 03/30/27    100.000    VARIES    6.3037              0.165882   0.164827   0.163738   0.163175  0.162594     59.33    58.74
Morgan Stanley           617482H64 04/02/12 04/02/27    100.000    VARIES    6.2400              0.164134   0.163479   0.162804   0.162107  0.161389     58.85    58.36
Morgan Stanley           617482J47 04/30/12 10/30/15    100.000     0.000    3.9956              0.122528   0.124976                                     37.08         
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482J62 04/30/12 04/28/17    100.000     0.000    4.8877              0.153150   0.156893   0.160727   0.164655  0.168679     56.29    59.07
Morgan Stanley           617482J96 04/30/12 04/28/17    100.000     0.000    4.8877              0.153150   0.156893   0.160727   0.164655  0.168679     56.29    59.07
Morgan Stanley           617482K45 04/25/12 04/26/27    100.000    VARIES    6.3672              0.167614   0.166661   0.165678   0.164664  0.164284     60.04    59.37
Morgan Stanley           617482K60 11/28/11 11/28/16    100.000     0.000    6.6454              0.224593   0.232055   0.239766   0.247732               82.70    79.84
Morgan Stanley           617482K78 11/28/11 11/27/15    100.000     0.000    6.2684              0.209509   0.216075                                     69.48         
Morgan Stanley           617482KD5 11/29/10 05/22/15    100.000     2.000    3.0665              0.088996                                                12.55         
Morgan Stanley           617482KF0 01/25/10 01/25/16    100.000     0.000    4.0787              0.135873   0.138644   0.141471                          50.29     3.40
Morgan Stanley           617482KY9 03/08/10 03/13/15    100.000     0.000    4.0832              0.136128                                                 9.80         
Morgan Stanley           617482L28 12/28/11 12/28/15    100.000     0.000    5.3442              0.173902   0.178549                                     62.92         
Morgan Stanley           617482L69 01/30/12 01/30/17    100.000     0.000    4.4801              0.139027   0.142142   0.145326   0.148581  0.151910     51.56    53.90
Morgan Stanley           617482L85 01/31/12 01/31/17    100.000     0.000    4.4376              0.137565   0.140617   0.143737   0.146926  0.150186     51.00    53.29
Morgan Stanley           617482L93 01/31/12 01/31/18    100.000     0.000    4.6980              0.146567   0.150010   0.153534   0.157141  0.160832     54.44    57.02
Morgan Stanley           617482LA0 03/15/10 03/15/16    100.000     0.000    4.5963              0.156646   0.160246   0.163929                          57.81    12.13
Morgan Stanley           617482M27 02/28/12 02/28/18    100.000     0.000    5.1562              0.161769   0.163234   0.169282   0.171759  0.179108     60.24    63.62
Morgan Stanley           617482M68 03/30/12 03/29/18    100.000     0.000    4.9684              0.156007   0.159883   0.163855   0.167925  0.172097     57.58    60.48
Morgan Stanley           617482M84 03/30/12 03/27/17    100.000     0.000    4.7958              0.149918   0.153513   0.157194   0.160963  0.164823     55.30    57.99
Morgan Stanley           617482MD3 06/29/10 06/29/15    100.000     0.000    4.7613              0.163452                                                29.09         
Morgan Stanley           617482N26 04/30/12 04/30/18    100.000     0.000    5.1859              0.163726   0.167971   0.172327   0.176795  0.181380     60.23    63.39
Morgan Stanley           617482N83 07/05/12 07/03/19    100.000     0.000    5.1922              0.159755   0.163903   0.168158   0.172524  0.177003     59.75    62.90
Morgan Stanley           617482NM2 09/30/10 09/30/16    100.000     0.000    3.8819              0.125759   0.128200   0.130688   0.133225               46.16    35.61
Morgan Stanley           617482NP5 09/28/10 09/28/15    100.000     0.000    3.4261              0.109024   0.110891                                     29.45         
Morgan Stanley           617482NS9 09/30/10 09/30/15    100.000     0.000    3.4418              0.109591   0.111477                                     29.82         
Morgan Stanley           617482NW0 10/12/10 10/09/15    100.000     0.000    3.2213              0.101656   0.103294                                     28.56         
Morgan Stanley           617482P32 09/04/12 08/30/16    100.000     0.000    3.5949              0.106007   0.107323   0.109252   0.111216               39.34    26.80
Morgan Stanley           617482P73 10/03/12 10/03/18    100.000     0.000    3.2792              0.097212   0.098806   0.100426   0.102073  0.103746     35.57    36.74
Morgan Stanley           617482PD0 10/29/10 05/29/15    100.000     0.000    3.1816              0.100538                                                14.88         
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES    6.2468              0.163654   0.163284   0.162902   0.162509  0.162103     58.84    58.57
Morgan Stanley           617482Q23 10/31/12 10/31/19    100.000     0.000    3.3724              0.100161   0.101850   0.103567   0.105314  0.107090     36.57    37.81
Morgan Stanley           617482Q72 05/30/12 11/30/17    100.000     0.000    5.8534              0.185790   0.190183   0.195749   0.201478  0.208514     68.94    73.10
Morgan Stanley           617482Q80 05/30/12 05/29/15    100.000     0.000    4.6387              0.144489                                                21.38         
Morgan Stanley           617482QH0 01/28/11 01/27/17    100.000     0.000    4.1753              0.134014   0.136812   0.139668   0.142584  0.145561     49.62    51.71
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES    N/A                 0.148748   0.148579   0.148551   0.148523  0.148559     53.49    53.47
Morgan Stanley           617482R55 05/31/12 05/28/32    100.000    VARIES    6.7095              0.171557   0.167819   0.165396   0.162891  0.160302     60.88    58.92
Morgan Stanley           617482R63 06/04/12 06/04/27    100.000    VARIES    6.4699              0.179437   0.179415   0.179393   0.179371  0.179307     64.59    64.58
Morgan Stanley           617482R71 06/15/12 06/15/27    100.000    VARIES    6.6026              0.181459   0.181031   0.181444   0.181871  0.182313     65.25    65.41
Morgan Stanley           617482R97 06/29/12 06/29/17    100.000     0.000    4.7647              0.148890   0.152437   0.156068   0.159787  0.163593     54.25    56.87
Morgan Stanley           617482RB2 02/25/11 02/27/17    100.000     0.000    4.3449              0.140321   0.143370   0.146484   0.149667  0.152918     51.83    54.10
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES    5.9550              0.159373   0.158868   0.158349   0.157814  0.157540     57.16    56.81
Morgan Stanley           617482RL0 03/30/11 09/29/17    100.000     0.000    4.3132              0.139098   0.142097   0.145162   0.148293  0.151491     51.17    53.40
Morgan Stanley           617482S21 06/29/12 06/30/15    100.000     0.000    3.9664              0.121558                                                21.76         
Morgan Stanley           617482S70 06/29/12 06/29/32    100.000    VARIES    6.4088              0.163849   0.161908   0.159905   0.157837  0.156711     58.63    57.19
Morgan Stanley           617482S88 06/29/12 06/29/27    100.000    VARIES    6.1368              0.168599   0.168900   0.169211   0.169532  0.169642     60.75    60.97
Morgan Stanley           617482SL9 04/25/12 04/24/15    100.000     0.000    3.7456              0.114149                                                12.90         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482SP0 06/11/12 06/11/15    100.000     0.000    4.5401              0.141093                                                22.57         
Morgan Stanley           617482SS4 03/04/13 03/04/15    100.000     0.000    1.4836              0.042135                                                 2.65         
Morgan Stanley           617482T53 07/05/12 07/06/15    100.000     0.000    4.0042              0.120422   0.122833                                     22.71         
Morgan Stanley           617482T95 07/31/12 07/31/18    100.000     0.000    4.8288              0.147566   0.151129   0.154778   0.158515  0.162342     54.85    57.53
Morgan Stanley           617482TA2 04/28/11 07/28/17    100.000     0.000    4.1507              0.131776   0.134511   0.137302   0.140152  0.143061     48.78    50.82
Morgan Stanley           617482TQ7 05/27/11 05/30/17    100.000     0.000    3.9013              0.124104   0.126525   0.128993   0.131509  0.134075     45.26    47.05
Morgan Stanley           617482U36 07/31/12 07/29/16    100.000     0.000    4.2660              0.128924   0.131674   0.134483   0.137351               47.75    28.49
Morgan Stanley           617482U44 07/31/12 07/30/27    100.000    VARIES    5.9206              0.159823   0.162769   0.160416   0.162491  0.161044     58.96    59.19
Morgan Stanley           617482U51 07/31/12 07/30/32    100.000    VARIES    6.0840              0.159505   0.161759   0.158727   0.160059  0.157900     58.51    58.21
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES    5.3835              0.147040   0.146771   0.146495   0.146211  0.145934     52.87    52.67
Morgan Stanley           617482UP7 06/29/11 06/29/17    100.000     0.000    3.6574              0.115336   0.117445   0.119593   0.121780  0.124007     41.91    43.46
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES    5.5344              0.142633   0.141498   0.140881   0.140246  0.139594     51.11    50.58
Morgan Stanley           617482V50 07/31/12 07/30/32    100.000    VARIES    6.0491              0.153124   0.153452   0.148710   0.149183  0.146378     55.27    54.15
Morgan Stanley           617482V68 08/17/12 08/17/27    100.000    VARIES    5.8776              0.162965   0.163659   0.164373   0.165109  0.165866     58.98    59.51
Morgan Stanley           617482V76 08/31/12 08/31/32    100.000    VARIES    5.8050              0.155476   0.152651   0.154028   0.152047  0.154246     56.05    56.04
Morgan Stanley           617482V84 08/31/12 08/31/32    100.000    VARIES    5.7934              0.148938   0.145158   0.145347   0.142336  0.143198     53.23    52.38
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES    5.5330              0.143308   0.142623   0.141919   0.141196  0.140814     51.47    50.96
Morgan Stanley           617482VG6 06/14/11 09/14/17    100.000     0.000    3.8913              0.122521   0.124905   0.127335   0.129813  0.132339     45.05    46.82
Morgan Stanley           617482VQ4 08/31/11 08/31/17    100.000     0.000    4.9901              0.159815   0.161132   0.166967   0.169273  0.176372     59.45    62.69
Morgan Stanley           617482VU5 08/29/11 08/29/17    100.000     0.000    5.0291              0.159487   0.164395   0.166697   0.172767  0.176143     60.01    63.30
Morgan Stanley           617482VX9 09/29/11 09/29/17    100.000     0.000    6.0377              0.200483   0.206535   0.212770   0.219194  0.225811     74.39    78.95
Morgan Stanley           617482VZ4 10/28/11 10/28/16    100.000     0.000    5.1995              0.168477   0.172857   0.177351   0.181962               62.00    53.50
Morgan Stanley           617482W75 08/31/12 08/31/18    100.000     0.000    4.3348              0.130471   0.131125   0.135440   0.136871  0.142155     48.35    50.66
Morgan Stanley           617482W91 08/31/12 08/31/16    100.000     0.000    3.6382              0.108019   0.108191   0.111369   0.112163               39.87    27.21
Morgan Stanley           617482WA8 10/28/11 10/28/16    100.000     0.000    5.1995              0.168477   0.172857   0.177351   0.181962               62.00    53.50
Morgan Stanley           617482WC4 07/28/11 07/28/17    100.000     0.000    4.3106              0.136083   0.139016   0.142012   0.145073  0.148200     50.42    52.62
Morgan Stanley           617482WK6 07/28/11 07/28/17    100.000     0.000    4.3106              0.136083   0.139016   0.142012   0.145073  0.148200     50.42    52.62
Morgan Stanley           617482X25 08/31/12 08/31/27    100.000    VARIES    5.6218              0.153536   0.151235   0.153107   0.151657  0.154394     55.56    55.93
Morgan Stanley           617482X41 08/31/12 08/31/32    100.000    VARIES    5.8551              0.157935   0.155267   0.156877   0.155074  0.157541     57.03    57.17
Morgan Stanley           617482X90 09/28/12 09/28/18    100.000     0.000    3.2592              0.096581   0.098154   0.099754   0.101380  0.103032     35.35    36.51
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES    6.1188              0.157005   0.157113   0.154636   0.155533  0.153862     57.03    56.66
Morgan Stanley           617482XL3 08/26/11 08/25/17    100.000     0.000    4.9767              0.160190   0.164176   0.168261   0.172448  0.176739     59.40    62.40
Morgan Stanley           617482XT6 08/31/11 08/31/17    100.000     1.000    5.0228              0.156587   0.157220   0.162250   0.163834  0.170039     57.97    60.63
Morgan Stanley           617482XW9 09/29/11 09/29/17    100.000     0.000    6.0328              0.200289   0.206331   0.212554   0.218966  0.225571     74.32    78.87
Morgan Stanley           617482Y99 11/30/12 11/30/27    100.000    VARIES    4.1468              0.113282   0.113526   0.113775   0.114029  0.114289     40.84    41.02
Morgan Stanley           617482YD0 09/16/11 09/14/18    100.000     0.000    5.1470              0.166474   0.170758   0.175153   0.179660  0.184284     61.63    64.84
Morgan Stanley           617482YR9 10/14/11 10/14/26*   100.000    VARIES    5.6319              0.152340   0.152556                                     43.15*        
Morgan Stanley           617482YU2 10/28/11 10/28/16    100.000     0.000    5.1961              0.168350   0.172724   0.177211   0.181816               61.95    53.46
Morgan Stanley           617482YW8 10/20/11 10/20/26*   100.000    VARIES    5.7716              0.153718   0.153145                                     44.32*        
Morgan Stanley           617482Z23 11/30/12 11/30/32    100.000    VARIES    4.3509              0.113976   0.113231   0.112469   0.111691  0.110896     40.85    40.30
Morgan Stanley           617482Z31 11/30/12 11/30/32    100.000    VARIES    4.3570              0.117403   0.117241   0.117076   0.116908  0.116736     42.23    42.11
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617484282 08/31/09 02/25/15    100.000     0.000    4.7184              0.161770                                                 8.90         
Morgan Stanley           617484381 03/09/10 01/07/16    100.000     0.000    4.4482              0.149485   0.152810   0.156209                          55.58      .94
Morgan Stanley           617484530 11/30/09 05/28/15    100.000     0.000    3.9207              0.132219                                                19.44         
Morgan Stanley           617484779 09/30/09 03/27/15    100.000     0.000    4.2843              0.147055                                                12.65         
Morgan Stanley           61755S172 06/04/12 05/30/17    100.000     0.000    5.5376              0.176226   0.181106   0.186120   0.191274  0.196570     64.63    68.25
Morgan Stanley           61755S354 07/03/12 02/27/17    100.000     0.000    4.7356              0.145479   0.148924   0.152450   0.156060  0.159755     53.86    56.44
Morgan Stanley           61755S412 08/02/12 07/30/18    100.000     0.000    4.5511              0.138292   0.141439   0.144657   0.147949  0.151316     51.31    53.67
Morgan Stanley           61755S537 08/08/12 08/10/15    100.000     0.000    3.4078              0.101300   0.103026                                     22.50         
Morgan Stanley           61755S552 08/17/12 10/17/17    100.000     0.000    4.2529              0.129421   0.132173   0.134984   0.137854  0.140785     47.50    49.54
Morgan Stanley           61758S260 09/04/14 02/28/22    100.000     0.000    3.2753              0.090480   0.090430   0.092921   0.093416  0.096520     33.32    34.54
Morgan Stanley           61758S559 09/02/14 07/03/23    100.000     0.000    3.4567              0.096020   0.097136   0.098815   0.100523  0.102260     35.27    36.49
Morgan Stanley           61758S625 10/03/14 03/31/22    100.000     0.000    3.6906              0.102517   0.104388   0.106314   0.108276  0.110274     37.59    38.99
Morgan Stanley           61759G273 02/01/11 02/02/15    100.000     0.000    3.1466              0.097509                                                 3.02         
Morgan Stanley           61759G588 07/23/10 07/22/16    100.000     0.000    4.6755              0.156229   0.159882   0.163619   0.167444               58.07    33.58
Morgan Stanley           61759G612 08/30/10 08/25/16    100.000     0.000    4.0488              0.131954   0.134626   0.137351   0.140131               48.66    32.64
Morgan Stanley           61759G653 07/30/10 03/30/17    100.000     0.000    5.0431              0.172409   0.176757   0.181214   0.185783  0.190468     63.65    66.90
Morgan Stanley           61759G844 06/29/10 06/24/16    100.000     0.000    5.4889              0.194396   0.199731   0.205212                          71.02    35.50
Morgan Stanley           61760E226 08/31/11 08/31/17    100.000     0.000    5.0772              0.163020   0.164433   0.170460   0.172888  0.180215     60.68    64.03
Morgan Stanley           61760E309 02/25/11 02/22/18    100.000     0.000    4.9086              0.161508   0.165472   0.169533   0.173694  0.177957     59.89    62.87
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000    5.3273              0.172163   0.176009   0.179957   0.184011  0.188172     62.73    65.57
Morgan Stanley           61760E366 06/30/11 06/30/17    100.000     0.000    3.7941              0.120211   0.122492   0.124815   0.127183  0.129596     43.69    45.36
Morgan Stanley           61760E481 07/29/11 07/29/16    100.000     0.000    3.9112              0.122033   0.124419   0.126853   0.129333               45.09    26.83
Morgan Stanley           61760E499 07/29/11 07/31/17    100.000     0.000    4.2685              0.134621   0.137495   0.140429   0.143426  0.146487     49.86    52.01
Morgan Stanley           61760E630 05/27/11 05/24/17    100.000     0.000    3.9896              0.127216   0.129754   0.132343   0.134983  0.137675     46.44    48.32
Morgan Stanley           61760P650 09/29/11 12/22/17    100.000     0.000    6.0586              0.204108   0.210291   0.216661   0.223224  0.229987     74.70    79.30
Morgan Stanley           61760P692 09/30/11 09/29/17    100.000     1.000    6.0171              0.194244   0.199253   0.204412   0.209726  0.215200     71.76    75.54
Morgan Stanley           61760P825 09/30/11 09/29/17    100.000     1.000    6.0418              0.195182   0.200240   0.205449   0.210817  0.216346     72.12    75.93
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES    5.1013              0.122761   0.116908   0.117926   0.116374  0.118021     43.14    42.89
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES    5.1024              0.134645   0.131693   0.132355   0.130121  0.132024     48.32    47.99
Morgan Stanley           61760QAE4 02/28/12 02/28/17    100.000    VARIES    3.1265              0.016016   0.016001   0.016430   0.016505  0.017041      5.89     6.10
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES    5.5709              0.136633   0.132701   0.132058   0.131397  0.130717     48.00    47.28
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES    5.8740              0.145320   0.141429   0.137425   0.133302  0.133264     50.90    48.35
Morgan Stanley           61760QAM6 03/16/12 03/16/17    100.000    VARIES    3.6245              0.028556   0.029073   0.029600   0.030136  0.030683     10.48    10.87
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES    6.0912              0.157127   0.155301   0.153420   0.151482  0.150727     55.90    54.64
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES    5.8450              0.143233   0.141542   0.139801   0.138010  0.138132     50.95    49.85
Morgan Stanley           61760QAR5 03/30/12 03/30/17    100.000    VARIES    3.2447              0.019087   0.019397   0.019711   0.020031  0.020356      6.98     7.21
Morgan Stanley           61760QAU8 03/30/12 03/30/17    100.000    VARIES    3.2451              0.019078   0.019408   0.019723   0.020043  0.020368      6.99     7.22
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES    5.9580              0.147751   0.143877   0.139888   0.135781  0.135845     52.01    49.37
Morgan Stanley           61760QAX2 04/16/12 04/16/16    100.000    VARIES    2.9299              0.018992   0.019270   0.019553                           6.93     2.05
Morgan Stanley           61760QAY0 04/16/12 04/16/19    100.000    VARIES    3.3327              0.013949   0.014182   0.014418   0.014658  0.014903      5.10     5.27
Morgan Stanley           61760QBA1 04/30/12 04/30/17    100.000    VARIES    3.6147              0.028312   0.028824   0.029345   0.029875  0.030415     10.35    10.73
Morgan Stanley           61760QBB9 04/30/12 04/30/32    100.000    VARIES    6.3756              0.159735   0.155250   0.153213   0.151111  0.148943     56.30    54.52
Morgan Stanley           61760QBC7 04/30/12 04/30/17    100.000    VARIES    3.3427              0.021549   0.021909   0.022275   0.022648  0.023026      7.87     8.13
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES    3.6558              0.014397   0.014660   0.014928   0.015201  0.015479      5.25     5.45
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES    3.9370              0.021597   0.020473   0.020876   0.021287  0.021706      7.54     7.63
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES    6.1477              0.153282   0.149456   0.147715   0.145920  0.144070     54.32    52.74
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES    6.1477              0.153282   0.149456   0.147715   0.145920  0.144070     54.32    52.74
Morgan Stanley           61760QBK9 05/30/12 05/30/17    100.000    VARIES    3.9102              0.035559   0.036254   0.036963   0.037685  0.038422     12.97    13.48
Morgan Stanley           61760QBM5 06/15/12 06/15/19    100.000    VARIES    4.3021              0.019134   0.019546   0.019967   0.020396  0.020835      6.98     7.28
Morgan Stanley           61760QBN3 06/15/12 06/15/15    100.000    VARIES    3.3237              0.022508                                                 3.69         
Morgan Stanley           61760QBP8 06/20/12 06/20/17    100.000    VARIES    4.3857              0.009613   0.009824   0.010039   0.010259  0.010484      3.50     3.66
Morgan Stanley           61760QBR4 08/02/12 08/02/19    100.000    VARIES    3.6421              0.014891   0.015162   0.015439   0.015720  0.016006      5.49     5.69
Morgan Stanley           61760QBS2 07/20/12 07/20/17    100.000    VARIES    3.6336              0.015799   0.016087   0.016379   0.016676  0.016979      5.83     6.05
Morgan Stanley           61760QBU7 08/14/12 08/14/17    100.000    VARIES    3.5375              0.013442   0.013680   0.013922   0.014168  0.014419      4.95     5.12
Morgan Stanley           61760QBV5 08/31/12 09/01/19    100.000    VARIES    3.6020              0.013990   0.014242   0.014499   0.014760  0.015026      5.14     5.33
Morgan Stanley           61760QBW3 08/28/12 02/29/16    100.000    VARIES    2.4781              0.028098   0.027982   0.028640                          10.30     1.69
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES    4.4801              0.123639   0.124209   0.124374   0.124544  0.124717     44.67    44.83
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES    4.6394              0.127912   0.128223   0.128543   0.128694  0.128849     46.16    46.33
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES    4.4678              0.130483   0.131995   0.133540   0.135120  0.136735     47.35    48.46
Morgan Stanley           61760QCD4 12/28/12 12/28/22    100.000    VARIES    2.1576              0.008181   0.008269   0.008359   0.008449  0.008540      2.96     3.03
Morgan Stanley           61760QCG7 01/31/13 01/31/23    100.000    VARIES    2.1325              0.008874   0.008969   0.009064   0.009161  0.009259      3.24     3.31
Morgan Stanley           61760QCJ1 02/15/13 02/15/18    100.000    VARIES    1.6302              0.008927   0.009000   0.009070   0.009147  0.009222      3.25     3.30
Morgan Stanley           61760QCK8 02/28/13 03/01/23    100.000    VARIES    1.9098              0.008811   0.008895   0.008980   0.009065  0.009152      3.21     3.27
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES    3.9695              0.101780   0.098838   0.098231   0.097612  0.096981     36.10    35.25
Morgan Stanley           61760QCR3 06/07/13 06/07/20    100.000    VARIES    1.7753              0.011454   0.011192   0.011292   0.011392  0.011493      4.07     4.09
Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES    4.0271              0.103352   0.100399   0.099727   0.099041  0.098341     36.59    35.74
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES    4.5851              0.115803   0.111772   0.110969   0.110148  0.109309     40.95    39.80
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES    4.3010              0.111565   0.110516   0.109445   0.108351  0.108477     39.97    39.20
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES    4.2810              0.111026   0.109986   0.108923   0.107838  0.107978     39.78    39.01
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES    4.5083              0.118278   0.117001   0.115696   0.114361  0.112997     41.96    41.00
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES    4.4981              0.117996   0.115860   0.113676   0.111443  0.109159     41.44    39.84
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES    4.7352              0.125825   0.122868   0.119842   0.119378  0.118903     43.97    42.94
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES    4.5465              0.119328   0.115726   0.112042   0.110661  0.109248     41.35    39.72
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES    4.4981              0.117997   0.114403   0.110729   0.109099  0.107432     40.94    39.16
Morgan Stanley           61760QDH4 09/06/13 09/06/21    100.000    VARIES    2.3953              0.009295   0.009407   0.009519   0.009633  0.009749      3.39     3.47
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES    4.6879              0.123221   0.119599   0.115891   0.114692  0.113466     43.01    41.27
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES    4.4301              0.117167   0.114122   0.111010   0.108781  0.106503     41.42    39.41
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES    4.3148              0.117643   0.115381   0.113070   0.110709  0.109291     41.53    39.94
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES    2.6674              0.014763   0.014155   0.013538   0.012917  0.012600      5.08     4.57
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES    2.1051              0.058477   0.057662   0.056839   0.056007  0.055166     20.81    20.21
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES    2.7018                         0.011476   0.011222   0.010965  0.010704      2.45     3.98
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES    2.6352                         0.009200   0.008952   0.008700  0.008445      2.02     3.16
Morgan Stanley           61760QGM0 06/25/15 06/25/20    100.000     0.000    2.4626                         0.068408   0.069250   0.070103  0.070966     12.73    25.09
Morgan Stanley           61760QGP3 06/30/15 06/30/22    100.000    VARIES    1.5572                         0.010702   0.010785   0.010869  0.010954      1.94     3.90
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES    2.7159                                    0.011167   0.010779  0.010386      1.69     3.83
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES    2.7281                                    0.012467   0.012032  0.011592      1.88     4.28
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES    2.5292                                    0.008896   0.008665  0.008430      1.09     3.10
Morgan Stanley           61760QHQ0 09/30/15 09/30/22    100.000    VARIES    1.6929                                    0.010220   0.009920  0.009619       .93     3.57
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES    2.4402                                    0.010952   0.010676  0.010396       .92     3.85
Morgan Stanley           61760S126 02/05/14 07/31/19    100.000     0.000    2.4498              0.068868   0.069711   0.070565   0.071430  0.072304     25.20    25.82
Morgan Stanley           61760S134 02/05/14 01/29/21    100.000     0.000    3.2801              0.092559   0.094077   0.095620   0.097188  0.098782     34.06    35.19
Morgan Stanley           61760S282 03/04/14 02/26/21    100.000     0.000    3.1843              0.089800   0.091230   0.092682   0.094158  0.095657     32.95    34.00
Morgan Stanley           61760S522 04/03/14 03/31/21    100.000     0.000    3.3224              0.093798   0.095356   0.096941   0.098551  0.100188     34.33    35.48
Morgan Stanley           61760S613 03/18/14 09/20/21    100.000     0.000    3.4353              0.097085   0.098753   0.100449   0.102175  0.103930     35.59    36.82
Morgan Stanley           61760S621 03/18/14 07/18/22    100.000     0.000    3.7451              0.105331   0.107303   0.109312   0.111359  0.113445     38.92    40.39
Morgan Stanley           61760S738 05/05/14 10/29/21    100.000     0.000    3.5626              0.100666   0.102459   0.104285   0.106142  0.108033     36.79    38.11
Morgan Stanley           61760T132 10/31/11 10/31/17    100.000     1.000    5.8164              0.186678   0.191300   0.196055   0.200949  0.205985     68.61    72.07
Morgan Stanley           61760T173 11/28/11 11/24/17    100.000     0.000    6.9071              0.235043   0.243160   0.251558   0.260246  0.269233     86.69    92.78
Morgan Stanley           61760T199 11/18/11 11/21/17    100.000     1.000    6.1790              0.200543   0.205880   0.211383   0.217055  0.222903     73.59    77.58
Morgan Stanley           61760T439 02/21/12 02/21/18    100.000     0.000    4.6585              0.145192   0.148574   0.152035   0.155576  0.159200     53.77    56.30
Morgan Stanley           61760T488 03/02/12 02/27/18    100.000     0.000    5.0972              0.160465   0.164555   0.168749   0.173050  0.177460     59.53    62.60
Morgan Stanley           61760T512 04/03/12 03/30/16    100.000     0.000    4.2972              0.132707   0.135559   0.138471                          48.81    12.32
Morgan Stanley           61760T660 05/02/12 04/27/17    100.000     0.000    4.7658              0.148831   0.152378   0.156009   0.159727  0.163533     54.68    57.31
Morgan Stanley           61761H764 12/04/12 12/05/16    100.000     0.000    2.5669              0.075041   0.076005   0.076980   0.077968               27.24    25.89
Morgan Stanley           61761H806 12/04/12 07/03/18    100.000     0.000    2.8586              0.083052   0.084239   0.085443   0.086664  0.087903     30.54    31.42
Morgan Stanley           61761H822 01/03/13 02/27/17    100.000     0.000    2.2436              0.064662   0.065387   0.066121   0.066863  0.067613     23.59    24.12
Morgan Stanley           61761JAG4 12/27/12 12/27/19    100.000     0.000    3.0561              0.090202   0.091580   0.092980   0.094401  0.095843     32.73    33.74
Morgan Stanley           61761JAL3 12/27/12 12/27/32    100.000    VARIES    4.4695              0.116369   0.115538   0.114688   0.113819  0.112931     41.74    41.12
Morgan Stanley           61761JAM1 12/27/12 12/27/32    100.000    VARIES    4.4777              0.121882   0.122014   0.122149   0.122286  0.122427     43.90    44.00
Morgan Stanley           61761JAY5 01/31/13 07/31/20    100.000     0.000    3.2934              0.096078   0.097660   0.099268   0.100903  0.102564     35.35    36.53
Morgan Stanley           61761JB24 07/06/15 07/06/22    100.000     0.000    3.3973                                    0.094371   0.095974  0.097604     16.51    34.83
Morgan Stanley           61761JBB4 01/31/13 01/31/33    100.000    VARIES    4.4962              0.119676   0.117857   0.117122   0.116371  0.115603     42.37    41.80
Morgan Stanley           61761JBC2 01/31/13 01/31/33    100.000    VARIES    4.5027              0.122885   0.122122   0.122223   0.122327  0.122433     44.00    44.05
Morgan Stanley           61761JBJ7 01/14/13 01/14/28    100.000    VARIES    4.1941              0.111146   0.110312   0.109461   0.108592  0.108224     39.58    39.04
Morgan Stanley           61761JBK4 01/30/13 01/28/33    100.000    VARIES    4.6735              0.122808   0.120352   0.119394   0.118413  0.117410     43.25    42.50
Morgan Stanley           61761JBZ1 02/28/13 02/28/33    100.000    VARIES    4.3576              0.118008   0.115272   0.116564   0.115323  0.117261     42.39    42.52
Morgan Stanley           61761JCA5 02/28/13 02/28/33    100.000    VARIES    4.3507              0.114269   0.110381   0.110788   0.108770  0.109727     40.56    40.05
Morgan Stanley           61761JCB3 02/28/13 02/28/33    100.000    VARIES    4.3518              0.115261   0.111686   0.112237   0.110333  0.111452     41.04    40.63
Morgan Stanley           61761JCC1 02/28/13 08/28/20    100.000     0.000    2.9762              0.086419   0.087705   0.089010   0.090335  0.091679     31.66    32.61
Morgan Stanley           61761JCN7 02/21/13 02/18/33    100.000    VARIES    4.4837              0.119669   0.117959   0.117220   0.116465  0.115692     42.45    41.86
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES    4.5200              0.119563   0.117466   0.116754   0.116025  0.115279     42.29    41.70
Morgan Stanley           61761JEU9 04/30/13 04/29/33    100.000    VARIES    3.9393              0.104744   0.103118   0.102472   0.101812  0.101139     37.27    36.69
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES    3.9967              0.107504   0.106281   0.105668   0.105043  0.104405     38.38    37.86
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES    4.3438              0.114953   0.112811   0.112210   0.111596  0.111578     41.48    40.94
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES    4.1821              0.110964   0.109155   0.108552   0.107935  0.107305     39.53    38.92
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES    5.2916              0.140938   0.138813   0.137899   0.136961  0.135998     50.35    49.47
Morgan Stanley           61761JHJ1 06/28/13 06/28/21    100.000     0.000    4.0231              0.118635   0.121021   0.123456   0.125939  0.128473     43.15    44.91
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES    4.7372              0.127682   0.126318   0.125695   0.125057  0.124405     45.69    45.12
Morgan Stanley           61761JJF7 06/25/13 06/25/21    100.000     0.000    N/A                 0.115852   0.118131   0.120454   0.122824  0.125240     42.14    43.82
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES    4.8132              0.130346   0.128602   0.126816   0.126127  0.125421     46.07    45.32
Morgan Stanley           61761JJW0 07/31/13 01/29/21    100.000     0.000    3.5967              0.103526   0.105388   0.107283   0.109213  0.111177     38.18    39.56
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES    4.8838              0.131853   0.130582   0.129279   0.128776  0.128261     46.81    46.28
Morgan Stanley           61761JKJ7 08/30/13 02/26/21    100.000     0.000    3.7093              0.106852   0.108834   0.110852   0.112908  0.115002     39.32    40.80
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES    5.0532              0.135403   0.132897   0.131086   0.130374  0.130357     48.43    47.76
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES    4.8148              0.130461   0.128760   0.127018   0.126396  0.125759     46.35    45.50
Morgan Stanley           61761JLF4 09/30/13 09/30/20    100.000     0.000    3.4026              0.097761   0.099425   0.101116   0.102836  0.104586     35.80    37.03
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES    4.8741              0.132986   0.131738   0.130460   0.129966  0.129460     47.42    46.79
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES    4.7081              0.127345   0.125566   0.123744   0.122972  0.122181     45.30    44.31
Morgan Stanley           61761JMC0 10/31/13 10/29/21    100.000     0.000    3.4604              0.099469   0.101190   0.102940   0.104722  0.106533     36.33    37.60
Morgan Stanley           61761JMW6 11/29/13 03/29/22    100.000     0.000    3.7205              0.106577   0.108560   0.110579   0.112636  0.114732     39.09    40.56
Morgan Stanley           61761JMZ9 12/26/13 06/27/22    100.000     0.000    3.9456              0.113982   0.116231   0.118524   0.120862  0.123246     41.46    43.11
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES    4.7411              0.127278   0.125055   0.123492   0.122960  0.123088     46.03    45.10
Morgan Stanley           61761JQC6 04/30/14 10/30/20    100.000     0.000    3.2667              0.092224   0.093730   0.095261   0.096817  0.098399     33.66    34.77
Morgan Stanley           61761JQT9 05/30/14 11/30/20    100.000     0.000    3.1488              0.087877   0.088773   0.090171   0.091590  0.093543     32.31    33.37
Morgan Stanley           61761JRH4 06/30/14 06/30/21    100.000     0.000    3.0261              0.085330   0.086621   0.087932   0.089262  0.090613     30.95    31.90
Morgan Stanley           61761JUW7 11/25/14 11/25/20    100.000     0.000    3.1262              0.086840   0.088197   0.089576   0.090976  0.092398     31.61    32.60
Morgan Stanley           61761JVF3 12/31/14 12/31/20    100.000     0.000    3.0557              0.084881   0.086178   0.087494   0.088831  0.090188     30.79    31.74
Morgan Stanley           61761JVY2 01/30/15 01/29/21    100.000     0.000    2.7901                         0.077504   0.078579   0.079675  0.080787     25.82    28.82
Morgan Stanley           61761JWZ8 02/24/15 02/24/23    100.000     0.000    3.1503                         0.087510   0.088888   0.090289  0.091711     27.04    32.61
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000    3.5983                         0.099954   0.101752   0.103583  0.105446     30.00    37.40
Morgan Stanley           61761JZB8 06/03/15 06/03/22    100.000     0.000    3.2132                         0.089258   0.090692   0.092149  0.093629     18.61    32.99
Morgan Stanley           61761M201 01/04/13 01/02/18    100.000     0.000    2.5385              0.073224   0.074154   0.075095   0.076048  0.077013     26.86    27.55
Morgan Stanley           61761S125 06/04/14 11/29/19    100.000     0.000    2.7571              0.077614   0.078683   0.079768   0.080868  0.081983     28.20    28.99
Morgan Stanley           61761S331 07/03/14 12/31/21    100.000     0.000    3.3219              0.093791   0.095349   0.096932   0.098542  0.100179     34.05    35.19
Morgan Stanley           61761S562 07/03/14 07/03/19    100.000     0.000    2.3357              0.064882   0.065640   0.066406   0.067182  0.067966     23.77    24.32
Morgan Stanley           61761S661 08/05/14 04/30/20    100.000     0.000    2.9148              0.081532   0.082720   0.083926   0.085149  0.086390     29.71    30.58
Morgan Stanley           61761S679 08/05/14 01/31/22    100.000     0.000    3.4469              0.093667   0.096816   0.096879   0.099632  0.100247     35.25    36.48
Morgan Stanley           61762E190 05/03/13 08/03/18    100.000     0.000    2.0678              0.058938   0.059548   0.060164   0.060786  0.061414     21.51    21.96
Morgan Stanley           61762E299 06/05/13 05/29/20    100.000     0.000    N/A                 0.090015   0.091409   0.092824   0.094261  0.095720     32.75    33.77
Morgan Stanley           61762GAG9 11/05/13 04/29/19    100.000     0.000    2.4701              0.070292   0.071161   0.072040   0.072929  0.073830     25.57    26.21
Morgan Stanley           61762GAM6 11/27/13 05/27/21    100.000     0.000    3.3897              0.097379   0.099030   0.100708   0.102415  0.104151     35.47    36.68
Morgan Stanley           61762GAN4 12/04/13 12/07/20    100.000     0.000    3.3435              0.096034   0.097639   0.099272   0.100931  0.102619     34.94    36.12
Morgan Stanley           61762GAS3 01/03/14 12/31/20    100.000     0.000    3.4767              0.099936   0.101674   0.103441   0.105239  0.107069     36.29    37.57
Morgan Stanley           61762GAT1 12/26/13 06/28/19    100.000     0.000    2.5339              0.072192   0.073107   0.074033   0.074971  0.075921     26.16    26.83
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES    3.8517              0.107913   0.108889   0.109420   0.109962  0.110197     39.20    39.58
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES    4.2965              0.120580   0.121845   0.123138   0.124458  0.125120     43.87    44.75
Morgan Stanley           61762GFA7 10/30/15 10/30/23    100.000     0.000    3.5008                                    0.097246   0.098948  0.100680      5.93    35.52
Morgan Stanley           61762P146 08/05/13 06/29/18    100.000     0.000    2.9164              0.084365   0.085595   0.086843   0.088110  0.089394     30.60    31.50
Morgan Stanley           61762P286 08/05/13 08/05/20    100.000     0.000    3.6083              0.103880   0.105754   0.107662   0.109605  0.111582     38.29    39.68
Morgan Stanley           61762P443 09/05/13 08/31/18    100.000     0.000    3.0417              0.086566   0.086450   0.088729   0.089100  0.091954     31.84    32.94
Morgan Stanley           61762P476 08/09/13 08/09/23    100.000     0.000    4.3446              0.125985   0.128722   0.131518   0.134375  0.137294     46.63    48.68
Morgan Stanley           61762P807 10/03/13 09/28/18    100.000     0.000    2.7818              0.079407   0.080511   0.081631   0.082767  0.083918     28.99    29.80
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61762W265 11/05/13 04/30/19    100.000     0.000    2.9687              0.084898   0.086158   0.087437   0.088735  0.090052     30.95    31.87
Morgan Stanley           61762W505 12/04/13 08/30/19    100.000     0.000    2.9200              0.081955   0.082697   0.083905   0.085130  0.086847     30.29    31.30
Morgan Stanley           61762W539 11/20/13 11/20/20    100.000     0.000    3.3853              0.097249   0.098895   0.100569   0.102271  0.104002     35.44    36.65
Morgan Stanley           61762W604 12/04/13 12/04/20    100.000     0.000    3.3450              0.096051   0.097658   0.099291   0.100952  0.102640     34.96    36.13
Morgan Stanley           61762W703 01/03/14 12/31/19    100.000     0.000    3.0245              0.086555   0.087864   0.089193   0.090542  0.091911     31.40    32.36
Morgan Stanley           61764C275 11/05/14 04/29/22    100.000     0.000    3.5062              0.097396   0.099046   0.100783   0.102550  0.104347     35.57    36.82
Morgan Stanley           61764C622 12/03/14 05/31/22    100.000     0.000    3.3216              0.091253   0.092237   0.093769   0.095326  0.097442     33.57    34.72
Morgan Stanley           61764V364 04/06/15 04/05/22    100.000     0.000    2.9611                         0.082254   0.083465   0.084701  0.085955     21.90    30.48
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000    3.4094              0.094707   0.095030   0.096650   0.098298  0.099974     25.73    35.27
Morgan Stanley           61764V646 05/05/15 11/03/22    100.000     0.000    3.1619                         0.087832   0.089206   0.090616  0.092049     20.81    32.53
Morgan Stanley           61764V828 06/03/15 12/05/22    100.000     0.000    3.2130              0.089253   0.089269   0.090703   0.092160  0.093640     18.61    32.99
Morgan Stanley           61765G309 07/06/15 01/05/23    100.000     0.000    3.3973                                    0.094372   0.095966  0.097596     16.52    34.83
Morgan Stanley           61765G564 08/05/15 02/03/23    100.000     0.000    3.4449                                    0.095693   0.097323  0.098999     13.97    35.23
Morgan Stanley           61765G804 09/03/15 03/03/23    100.000     0.000    3.4968                                    0.097136   0.098834  0.100562     11.46    35.68
Morgan Stanley           61765R271 09/18/15 03/20/23    100.000     0.000    3.6136                         0.100379   0.100399   0.102213  0.104060     10.34    36.84
Morgan Stanley           61765R438 10/05/15 04/04/23    100.000     0.000    3.3206                                    0.092241   0.093764  0.095321      7.93    33.75
Morgan Stanley           61765R669 11/04/15 05/05/23    100.000     0.000    3.3209                         0.090242   0.091244   0.091751  0.094820      5.29    33.69
Morris CNTY Improv Auth  618027AT3 02/18/10 08/15/15    100.000     0.000    3.0318              0.096405   0.097866                                     21.86         
Morris CNTY Improv Auth  618027AU0 02/18/10 08/15/16    100.000     0.000    3.4140              0.110408   0.112293   0.114210   0.116159               40.60    25.93
Morris CNTY Improv Auth  618027AV8 02/18/10 08/15/17    100.000     0.000    3.6588              0.119610   0.121798   0.124026   0.126295  0.128605     44.05    45.68
Morris CNTY Improv Auth  618027AW6 02/18/10 08/15/18    100.000     0.000    3.8475              0.126831   0.129271   0.131758   0.134293  0.136876     46.77    48.59
Morris CNTY Improv Auth  618027AX4 02/18/10 08/15/19    100.000     0.000    3.8535              0.127063   0.129511   0.132006   0.134550  0.137142     46.86    48.68
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000     0.000    3.8574              0.127212   0.129666   0.132167   0.134716  0.137314     46.91    48.74
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21    100.000     0.000    3.8593              0.127288   0.129744   0.132248   0.134800  0.137401     46.94    48.77
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22    100.000     0.000    3.8595              0.127294   0.129750   0.132254   0.134806  0.137408     46.94    48.77
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23    100.000     0.000    3.8580              0.127237   0.129691   0.132193   0.134743  0.137342     46.92    48.75
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24    100.000     0.000    3.8550              0.127122   0.129572   0.132069   0.134615  0.137210     46.88    48.70
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25    100.000     0.000    3.8507              0.126953   0.129398   0.131889   0.134428  0.137017     46.81    48.63
Multnomah County, OR     625506HK9 12/08/99 06/01/15     30.863     0.000    7.7399   660.32     0.206988                                                31.05         
Multnomah County, OR     625506HL7 12/08/99 06/01/16     28.606     0.000    7.7399   612.03     0.191852   0.199277   0.206989                          70.86    31.05
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000    7.7400   451.71     0.141595   0.147075   0.152767   0.158679  0.164820     52.30    56.42
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000    7.7400   418.67     0.131241   0.136320   0.141596   0.147075  0.152767     48.47    52.30
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000    7.7400   388.06     0.121643   0.126351   0.131241   0.136320  0.141596     44.93    48.47
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000    7.7399   359.68     0.112747   0.117111   0.121643   0.126350  0.131240     41.64    44.93
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000    7.7399   333.38     0.104502   0.108546   0.112747   0.117110  0.121642     38.60    41.64
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000    7.7400   309.00     0.096860   0.100609   0.104503   0.108547  0.112748     35.77    38.60
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000    7.7400   286.40     0.089777   0.093251   0.096860   0.100609  0.104502     33.16    35.77
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000    7.7400   265.46     0.083212   0.086432   0.089777   0.093252  0.096860     30.73    33.16
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000    7.7399   246.04     0.077127   0.080112   0.083212   0.086432  0.089777     28.49    30.73
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000    7.7399   228.05     0.071487   0.074253   0.077127   0.080111  0.083212     26.40    28.49
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000    7.7401   211.37     0.066259   0.068823   0.071486   0.074253  0.077127     24.47    26.40
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000    0.8138    50.70     0.021013   0.021098   0.021184   0.021271  0.021357      7.58     7.64
National Rural Utilities 637432LD5 02/06/08 12/15/15     93.011     0.000    0.9240    61.12     0.025433   0.025551                                      8.77         
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
National Rural Utilities 637432LE3 02/06/08 12/15/16     92.647     0.000    0.8640    56.81     0.023590   0.023692   0.023794   0.023897                8.51     8.20
National Rural Utilities 637432LF0 02/06/08 12/15/17     92.124     0.000    0.8338    54.47     0.022591   0.022686   0.022780   0.022875  0.022971      8.15     8.22
National Rural Utilities 637432LG8 02/06/08 12/15/18     91.459     0.000    0.8238    53.41     0.022146   0.022237   0.022328   0.022420  0.022513      7.99     8.06
National Rural Utilities 637432LH6 02/06/08 12/15/19     90.603     0.000    0.8339    53.57     0.022220   0.022313   0.022406   0.022499  0.022593      8.02     8.09
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000    0.8138    51.95     0.021532   0.021620   0.021708   0.021796  0.021885      7.77     7.83
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000    0.8238    52.11     0.021605   0.021694   0.021784   0.021873  0.021964      7.80     7.86
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000    0.8538    53.38     0.022156   0.022251   0.022346   0.022441  0.022537      8.00     8.06
Natixis US MTN LLC       63873HJP0 12/27/13 12/27/21    100.000     0.000    3.3519              0.096256   0.097869   0.099509   0.101177  0.102873     34.96    36.14
Natixis US MTN LLC       63873HJR6 09/09/14 09/09/24    100.000    VARIES    3.2415              0.090042   0.089250   0.088446   0.087178  0.085890     32.09    31.33
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES    4.8025              0.122001   0.120460   0.118882   0.117266  0.115611     43.63    42.49
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES    4.2419              0.113260   0.108592   0.107205   0.105788  0.104342     39.56    38.16
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES    4.2606              0.111485   0.107943   0.104325   0.104027  0.103722     38.42    37.41
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES    4.2409              0.113823   0.109757   0.108160   0.106530  0.104864     39.90    38.44
Natixis US MTN LLC       63873HKX1 01/30/14 01/31/22    100.000     0.000    3.4392              0.095073   0.098311   0.098371   0.101162  0.101783     35.80    37.04
Natixis US MTN LLC       63873HLN2 08/29/13 08/29/33    100.000    VARIES    4.5781              0.115063   0.114897   0.112841   0.113247  0.111779     41.69    41.24
Natixis US MTN LLC       63873HLS1 09/30/13 09/30/28    100.000    VARIES    4.4223              0.115914   0.114745   0.113549   0.112327  0.111078     41.30    40.43
Natixis US MTN LLC       63873HLU6 07/31/14 07/31/34    100.000    VARIES    3.9932              0.110923   0.107592   0.104194   0.103902  0.103604     38.32    37.37
Natixis US MTN LLC       63873HLX0 02/28/14 02/28/29    100.000    VARIES    4.1176              0.110403   0.105244   0.105144   0.102732  0.103118     38.70    37.79
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES    4.5707              0.119673   0.117038   0.114343   0.111587  0.108767     42.28    40.33
Natixis US MTN LLC       63873HMF8 03/31/14 03/31/34    100.000    VARIES    4.1471              0.111827   0.108386   0.106407   0.104388  0.102326     39.15    37.57
Natixis US MTN LLC       63873HMU5 08/29/14 08/29/29    100.000    VARIES    3.5626              0.097340   0.096829   0.094724   0.094681  0.093067     35.11    34.45
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES    4.5648              0.119831   0.117818   0.115758   0.113652  0.111498     42.64    41.15
NJ Econ Dev Auth         64578JAA4 12/22/05 07/01/15     60.170     0.000    5.4048   371.99     0.146184                                                26.31         
NJ Econ Dev Auth         64578JAB2 12/22/05 07/01/16     56.811     0.000    5.4449   354.47     0.139540   0.143339   0.147241                          50.92    26.50
NJ Econ Dev Auth         64578JAC0 12/22/05 07/01/17     53.569     0.000    5.4898   337.68     0.133186   0.136842   0.140598   0.144458               48.61    51.31
NJ Econ Dev Auth         64578JAD8 12/22/05 07/01/18     50.436     0.000    5.5399   321.55     0.127099   0.130619   0.134238   0.137956               46.39    48.99
NJ Econ Dev Auth         64578JAE6 12/22/05 07/01/19     47.535     0.000    5.5748   305.45     0.120913   0.124283   0.127748   0.131308               44.14    46.63
NJ Econ Dev Auth         64578JAF3 09/07/07 07/01/15     62.947     0.000    6.0088   341.36     0.162044                                                29.17         
NJ Econ Dev Auth         64578JAG1 09/07/07 07/01/16     59.024     0.000    6.0689   323.98     0.154122   0.158799   0.163617                          56.33    29.45
NJ Econ Dev Auth         64578JAH9 09/07/07 07/01/17     55.019     0.000    6.1789   308.68     0.147414   0.151969   0.156664   0.161504               53.89    57.27
NJ Econ Dev Auth         64578JAJ5 09/07/07 07/01/18     51.284     0.000    6.2689   292.86     0.140302   0.144700   0.149236   0.153913               51.30    54.57
NJ Econ Dev Auth         64578JAK2 09/07/07 07/01/19     47.828     0.000    6.3391   276.87     0.132973   0.137187   0.141535   0.146021               48.63    51.76
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000    6.4592   262.25     0.126482   0.130567   0.134784   0.139137               46.27    49.31
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000    6.5092   246.79     0.119235   0.123116   0.127123   0.131260               43.62    46.51
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000    6.4992   231.37     0.111747   0.115378   0.119128   0.122999               40.88    43.58
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000    6.5092   217.12     0.104898   0.108312   0.111837   0.115477               38.38    40.92
NJ Econ Dev Auth         645913AT1 06/30/97 02/15/15     27.085     0.000    7.5492   720.26     0.202074                                                 8.89         
NJ Econ Dev Auth         645913AU8 06/30/97 02/15/16     25.082     0.000    7.5644   669.35     0.187978   0.195087   0.202466                          70.92     8.91
NJ Econ Dev Auth         645913AV6 06/30/97 02/15/17     23.177     0.000    7.5895   622.11     0.174999   0.181639   0.188532   0.195686  0.203112     66.04    71.14
NJ Econ Dev Auth         645913AW4 06/30/97 02/15/18     21.450     0.000    7.6043   577.74     0.162672   0.168858   0.175278   0.181942  0.188860     61.39    66.15
NJ Econ Dev Auth         645913AX2 06/30/97 02/15/19     19.886     0.000    7.6095   536.25     0.151042   0.156789   0.162754   0.168947  0.175375     57.00    61.42
NJ Econ Dev Auth         645913AY0 06/30/97 02/15/20     18.435     0.000    7.6144   497.69     0.140228   0.145566   0.151108   0.156861  0.162833     52.92    57.03
NJ Econ Dev Auth         645913AZ7 06/30/97 02/15/21     17.088     0.000    7.6194   461.86     0.130175   0.135134   0.140283   0.145627  0.151175     49.13    52.95
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
NJ Econ Dev Auth         645913BA1 06/30/97 02/15/22     15.838     0.000    7.6244   428.57     0.120831   0.125438   0.130220   0.135184  0.140337     45.61    49.15
NJ Econ Dev Auth         645913BB9 06/30/97 02/15/23     14.678     0.000    7.6294   397.64     0.112147   0.116425   0.120867   0.125478  0.130264     42.33    45.62
NJ Econ Dev Auth         645913BC7 06/30/97 02/15/24     13.601     0.000    7.6346   368.91     0.104078   0.108051   0.112176   0.116458  0.120904     39.28    42.34
NJ Econ Dev Auth         645913BD5 06/30/97 02/15/25     12.602     0.000    7.6397   342.22     0.096580   0.100269   0.104099   0.108076  0.112204     36.46    39.29
NJ Econ Dev Auth         645913BE3 06/30/97 02/15/26     11.676     0.000    7.6446   317.43     0.089612   0.093038   0.096594   0.100286  0.104119     33.83    36.46
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800    7.2575    29.01     0.018482   0.019152   0.019847   0.020568  0.021314      6.92     7.43
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000    6.4399   331.29     0.111205   0.114785   0.118481   0.122297  0.126234     41.33    44.04
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000    6.4699   311.15     0.104602   0.107986   0.111480   0.115086  0.118809     38.88    41.44
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000    6.4899   292.03     0.098272   0.101461   0.104753   0.108153  0.111662     36.54    38.94
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000    6.5099   273.98     0.092288   0.095292   0.098394   0.101596  0.104903     34.31    36.58
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000    6.5299   256.93     0.086634   0.089462   0.092383   0.095400  0.098514     32.21    34.35
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000    6.5498   240.86     0.081294   0.083956   0.086706   0.089545  0.092478     30.23    32.24
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000    6.5600   225.76     0.076237   0.078737   0.081320   0.083987  0.086742     28.35    30.24
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000    6.5700   211.57     0.071480   0.073828   0.076253   0.078758  0.081345     26.58    28.36
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000    6.5799   198.23     0.067006   0.069211   0.071488   0.073840  0.076269     24.92    26.59
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000    6.5900   185.70     0.062801   0.064870   0.067008   0.069216  0.071496     23.36    24.92
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000    6.5899   174.04     0.058858   0.060798   0.062801   0.064870  0.067008     21.89    23.36
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000    6.5899   163.11     0.055163   0.056981   0.058858   0.060798  0.062801     20.52    21.89
Newark, NJ               650367KA2 01/29/13 07/15/16     99.221     2.000    2.2351     4.25     0.006247   0.006317   0.006388   0.006459                2.28     1.25
Newark, NJ               650367KB0 01/29/13 07/15/17     97.756     2.000    2.5351     9.36     0.013783   0.013958   0.014135   0.014314  0.014495      5.05     5.18
Newark, NJ               650367KC8 01/29/13 07/15/18     97.007     2.340    2.9371    10.00     0.014762   0.014979   0.015199   0.015422  0.015648      5.43     5.59
Newark, NJ               650367KH7 01/29/13 04/01/17     97.893     2.000    2.5352     9.44     0.013962   0.014139   0.014318   0.014499  0.014683      5.09     5.22
Newark, NJ               650367KJ3 01/29/13 04/01/18     97.000     2.308    2.9373    10.63     0.015786   0.016017   0.016253   0.016491  0.016734      5.77     5.94
Newark, NJ               650367KK0 01/29/13 04/01/19     97.003     2.698    3.2375     8.71     0.012970   0.013180   0.013393   0.013610  0.013831      4.75     4.90
Newark, NJ               650367KL8 01/29/13 04/01/20     97.004     3.057    3.5334     7.31     0.010917   0.011109   0.011306   0.011505  0.011709      4.00     4.14
Newark, NJ               650367KM6 01/29/13 04/01/21     97.005     3.305    3.7335     6.26     0.009360   0.009535   0.009713   0.009895  0.010079      3.43     3.56
Nextera Energy, Inc.     65339F705 05/04/12 06/01/17*    95.000    VARIES    2.3952              0.064218                                                 9.63*        
Nextera Energy, Inc.     65339KAB6 05/04/12 06/01/17     95.000    VARIES    2.3952              0.064218   0.064421   0.064940   0.065465  0.065996     23.18    23.50
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES    4.5378              0.119089   0.115489   0.111807   0.108659  0.105440     42.22    39.68
Nomura America Finance   65539AAD2 11/24/10 11/24/15    100.000    VARIES    2.0066              0.012858   0.012987                                      4.18         
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES    5.5491              0.123675   0.123090   0.122490   0.121873  0.121238     44.37    43.94
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES    5.9586              0.135934   0.133303   0.130594   0.130518  0.130438     48.41    47.00
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES    2.3554              0.014533   0.014704   0.014877   0.015052  0.015230      5.26     5.39
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES    4.5091              0.121144   0.115729   0.113444   0.108614  0.107371     42.27    39.88
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES    3.7542              0.101564   0.098792   0.095968   0.093090  0.092482     35.89    33.92
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES    4.2953              0.119316   0.114630   0.109843   0.104954  0.099959     40.67    37.16
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES    2.8014              0.077818   0.075959   0.074074   0.072162  0.070223     27.65    26.30
Nomura America Finance   65539ABR0 02/19/15 02/19/20    110.000     0.125    2.3793                         0.072702   0.073525   0.074359  0.075202     22.79    26.84
Nomura America Finance   65539ABS8 02/25/15 02/25/20    100.000    VARIES    1.9119                         0.011444   0.011553   0.011664  0.011775      3.52     4.21
Nomura America Finance   65539ABW9 05/22/15 11/22/16    100.000     1.720    1.1791                         0.032755   0.032667   0.032578                7.17    10.47
Nomura America Finance   65539ABY5 06/30/15 06/30/22    105.000     0.000    3.4999                         0.102083   0.103869   0.105687  0.107536     18.48    37.72
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES    8.1004              0.273970   0.282113   0.290586   0.299402  0.308575    100.86   107.03
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES    8.1004              0.273970   0.282113   0.290586   0.299402  0.308575    100.86   107.03
Orange County, CA        68428LBA1 06/12/96 09/01/15     21.183     0.000    8.2391   735.94     0.211113   0.219810                                     52.23         
Orange County, CA        68428LBB9 06/12/96 09/01/16     19.464     0.000    8.2591   679.33     0.195136   0.203195   0.211586   0.220323               73.67    52.35
Orange County, CA        68428LBX1 04/01/97 09/01/15     24.175     0.000    7.8595   708.31     0.202123   0.210066                                     49.94         
Orange County, CA        68428LBY9 01/17/97 09/01/16     22.492     0.000    7.7493   656.20     0.184895   0.192059   0.199500   0.207230               69.60    49.27
Orange County, CA        68428LBZ6 01/17/97 09/01/17     20.762     0.000    7.7695   608.57     0.171704   0.178375   0.185304   0.192503  0.199981     64.65    69.77
Orange County, CA        68428LCA0 01/17/97 09/01/18     19.198     0.000    7.7795   564.04     0.159247   0.165441   0.171877   0.178562  0.185508     59.96    64.71
Orange County, CA        68428LCB8 01/17/97 09/01/19     17.826     0.000    7.7696   522.52     0.147427   0.153154   0.159104   0.165285  0.171706     55.51    59.90
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000    7.7796   484.20     0.136704   0.142022   0.147546   0.153285  0.159248     51.47    55.55
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000    7.7694   448.64     0.126580   0.131497   0.136605   0.141912  0.147425     47.66    51.43
Oregon Community College 68583RAM4 04/23/03 06/30/15     51.363     0.000    5.5419   459.56     0.149793                                                26.81         
Oregon Community College 68583RAN2 04/23/03 06/30/16     47.583     0.000    5.7117   443.31     0.145807   0.149971   0.154254                          53.25    27.61
Oregon Community College 68583RAP7 04/23/03 06/30/17     44.239     0.000    5.8317   423.89     0.140309   0.144400   0.148610   0.152944  0.157403     51.26    54.29
Oregon Community College 68583RAQ5 04/23/03 06/30/18     40.975     0.000    5.9616   404.54     0.134824   0.138843   0.142982   0.147244  0.151633     49.27    52.25
Oregon Community College 68583RAR3 04/23/03 06/30/19     37.976     0.000    6.0714   384.40     0.128854   0.132766   0.136797   0.140949  0.145228     47.10    50.00
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000    6.1514   363.76     0.122449   0.126215   0.130097   0.134099  0.138223     44.77    47.56
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000    6.2213   343.48     0.116047   0.119657   0.123379   0.127217  0.131174     42.43    45.11
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000    6.2613   323.52     0.109533   0.112963   0.116499   0.120146  0.123908     40.06    42.60
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000    6.2713   304.25     0.103064   0.106295   0.109628   0.113066  0.116611     37.69    40.09
Oregon Sch Brds Assoc    686053AN9 10/31/02 06/30/15     50.233     0.000    5.5093   471.01     0.148936                                                26.66         
Oregon Sch Brds Assoc    686053AP4 10/31/02 06/30/16     46.574     0.000    5.6694   453.97     0.144816   0.148921   0.153143                          52.88    27.41
Oregon Sch Brds Assoc    686053AQ2 10/31/02 06/30/17     43.110     0.000    5.8193   435.44     0.140052   0.144128   0.148321   0.152637  0.157078     51.16    54.18
Oregon Sch Brds Assoc    686053AR0 10/31/02 06/30/18     40.030     0.000    5.9294   414.88     0.134244   0.138224   0.142322   0.146541  0.150886     49.05    52.00
Oregon Sch Brds Assoc    686053AS8 10/31/02 06/30/19     37.212     0.000    6.0194   393.77     0.128041   0.131895   0.135865   0.139954  0.144166     46.80    49.66
Oregon Sch Brds Assoc    686053AT6 10/31/02 06/30/20     34.591     0.000    6.0995   372.80     0.121752   0.125465   0.129291   0.133235  0.137298     44.51    47.26
Oregon Sch Brds Assoc    686053CE7 04/21/03 06/30/15     51.363     0.000    5.5394   459.57     0.149726                                                26.80         
Oregon Sch Brds Assoc    686053CF4 04/21/03 06/30/16     47.583     0.000    5.7092   443.34     0.145750   0.149910   0.154190                          53.23    27.60
Oregon Sch Brds Assoc    686053CG2 04/21/03 06/30/17     44.239     0.000    5.8294   423.94     0.140261   0.144349   0.148556   0.152886  0.157342     51.24    54.27
Oregon Sch Brds Assoc    686053CH0 04/21/03 06/30/18     40.975     0.000    5.9593   404.60     0.134784   0.138800   0.142936   0.147195  0.151581     49.25    52.23
Oregon Sch Brds Assoc    686053CJ6 04/21/03 06/30/19     37.976     0.000    6.0693   384.47     0.128821   0.132731   0.136759   0.140909  0.145185     47.09    49.99
Oregon Sch Brds Assoc    686053CK3 04/21/03 06/30/20     35.297     0.000    6.1494   363.83     0.122422   0.126186   0.130066   0.134065  0.138187     44.76    47.55
Oregon Sch Brds Assoc    686053CL1 04/21/03 06/30/21     32.815     0.000    6.2193   343.56     0.116025   0.119633   0.123353   0.127189  0.131144     42.43    45.11
Oregon Sch Brds Assoc    686053CM9 04/21/03 06/30/22     30.636     0.000    6.2594   323.61     0.109516   0.112943   0.116478   0.120124  0.123883     40.05    42.60
Oregon Sch Brds Assoc    686053CN7 04/21/03 06/30/23     28.748     0.000    6.2695   304.34     0.103050   0.106280   0.109612   0.113048  0.116591     37.69    40.09
PC Nextco Holdings, LLC  69323VAA4 08/01/13 08/15/19*    99.000     8.750    N/A                 0.246962   0.247137                                     30.39*        
PC Nextco Holdings, LLC  69323VAB2 08/01/13 08/15/19*    99.000     8.750    N/A                 0.246962   0.247137                                     30.39*        
Paterson, NJ             7031302A1 04/11/03 04/01/15     51.501     0.000    5.6199   471.32     0.151842                                                13.67         
Paterson, NJ             7031302B9 04/11/03 04/01/16     47.811     0.000    5.7699   453.35     0.147167   0.151413   0.155781                          54.52    14.02
Paterson, NJ             7031302C7 04/11/03 04/01/17     44.317     0.000    5.9099   434.10     0.141919   0.146113   0.150430   0.154876  0.159452     52.61    55.77
Paterson, NJ             7031303Z5 03/30/12 03/15/18     98.496     3.625    3.9103     6.52     0.006923   0.007058   0.007196   0.007337  0.007480      2.55     2.65
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Peoria CNTYS SD #327, IL 712746DS2 05/05/15 12/01/16    100.776     0.000    1.1894              0.033296   0.033324   0.033522   0.033722                7.87    11.10
Peoria CNTYS SD #327, IL 712746DT0 05/05/15 12/01/17    101.129    VARIES    1.5403              0.043271   0.043319   0.043653   0.043989  0.042983     10.23    15.76
Peoria CNTYS SD #327, IL 712746DU7 05/05/15 12/01/18    100.343    VARIES    1.8910              0.052710   0.052782   0.053281   0.053784  0.052641     12.47    19.25
Peoria CNTYS SD #322, IL 712762CN1 05/14/15 12/01/19    100.000    VARIES    1.9926              0.055351   0.055403   0.055955   0.056513  0.055363     12.59    20.23
Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20    100.000    VARIES    2.2422              0.062285   0.062351   0.063050   0.063757  0.062303     14.17    22.80
Peoria CNTY SD #325, IL  713165FE3 09/04/13 12/01/15    107.702    VARIES    1.7325              0.049796   0.048964                                     16.28         
Peoria CNTY SD #325, IL  713165FF0 09/04/13 12/01/16    109.532    VARIES    2.1847              0.064309   0.063419   0.062518   0.061608               22.94    20.47
Peoria CNTY SD #325, IL  713165FG8 09/04/13 12/01/17    110.617    VARIES    2.5859              0.077321   0.076435   0.075537   0.074629  0.073708     27.62    26.97
Peoria CNTY SD #325, IL  713165FH6 09/04/13 12/01/18    111.133    VARIES    2.9367              0.088650   0.087810   0.086958   0.086094  0.085217     31.71    31.10
Peoria CNTY SD #325, IL  713165FJ2 09/04/13 12/01/19    110.068    VARIES    3.4365              0.103350   0.102620   0.101877   0.101122  0.100354     37.03    36.49
Peoria CNTY SD #325, IL  713165FK9 09/04/13 12/01/20    108.812    VARIES    3.8364              0.114574   0.113974   0.113363   0.112740  0.112105     41.10    40.66
Peoria CNTY SD #325, IL  713165FL7 09/04/13 12/01/21    107.288    VARIES    4.1864              0.123729   0.123266   0.122794   0.122311  0.121819     44.43    44.09
Peoria County, IL        713168AW2 10/05/11 12/01/15    105.584    VARIES    3.7319              0.105144   0.104411                                     34.57         
Peoria County, IL        713168AX0 10/05/11 12/01/16    105.823    VARIES    3.9840              0.113337   0.112690   0.112029   0.111356               40.65    36.85
Peoria County, IL        713168AY8 10/05/11 12/01/17    106.762    VARIES    4.2347              0.121785   0.121128   0.120458   0.119774  0.119075     43.68    43.20
Peoria County, IL        713168AZ5 10/05/11 12/01/18    106.114    VARIES    4.4856              0.129182   0.128653   0.128112   0.127558  0.126993     46.38    45.99
Peoria County, IL        713168BA9 10/05/11 12/01/19    106.753    VARIES    4.7356              0.137425   0.136897   0.136356   0.135803  0.135237     49.35    48.96
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES    4.9860              0.143929   0.143536   0.143132   0.142719  0.142295     51.72    51.43
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000    6.6895   352.30     0.099452   0.102778   0.106216   0.109768  0.113440     36.92    39.43
Philadelphia Authority   71781LAT6 02/03/99 04/15/15     35.256     0.000    6.5392   629.15     0.175895                                                18.29         
Philadelphia Authority   71781LAU3 02/03/99 04/15/16     32.784     0.000    6.5893   592.11     0.166076   0.171548   0.177200                          61.62    18.43
Philadelphia Authority   71781LAV1 02/03/99 04/15/17     30.618     0.000    6.6093   555.64     0.156047   0.161204   0.166532   0.172035  0.177720     57.90    61.79
Philadelphia Authority   71781LAW9 02/03/99 04/15/18     28.637     0.000    6.6193   520.94     0.146395   0.151241   0.156246   0.161418  0.166760     54.32    57.98
Philadelphia Authority   71781LAX7 02/03/99 04/15/19     26.727     0.000    6.6393   488.51     0.137460   0.142023   0.146738   0.151609  0.156642     51.01    54.46
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000    6.6494   457.78     0.128896   0.133181   0.137609   0.142184  0.146911     47.84    51.07
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000    6.6494   428.79     0.120734   0.124748   0.128895   0.133181  0.137609     44.81    47.84
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000    6.6594   401.70     0.113177   0.116945   0.120839   0.124863  0.129020     42.00    44.85
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000    6.6695   376.24     0.106072   0.109610   0.113265   0.117042  0.120945     39.37    42.04
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000    6.6796   329.92     0.093074   0.096182   0.099395   0.102714  0.106145     34.55    36.89
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000    6.6896   308.86     0.087189   0.090105   0.093119   0.096233  0.099452     32.36    34.56
Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23    111.543    VARIES    4.2340              0.129606   0.128968   0.128317   0.127652  0.126973     46.50    46.03
Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24    110.329    VARIES    4.3835              0.132892   0.132304   0.131703   0.131089  0.130461     47.70    47.27
Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25    109.132    VARIES    4.5327              0.136098   0.135563   0.135015   0.134455  0.133883     48.87    48.47
Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26    108.343    VARIES    4.6321              0.138196   0.137697   0.137187   0.136665  0.136131     49.63    49.26
Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27    106.399    VARIES    4.8808              0.143308   0.142907   0.142497   0.142076  0.141646     51.49    51.20
Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28    106.016    VARIES    4.9305              0.144305   0.143925   0.143536   0.143137  0.142728     51.86    51.58
Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29    104.498    VARIES    5.1294              0.148228   0.147933   0.147630   0.147320  0.147002     53.29    53.07
Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25    100.000    VARIES    7.7502              0.353092   0.363137   0.373571   0.384410  0.395608    131.09   138.77
Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25    100.000    VARIES    7.7502              0.353092   0.363137   0.373571   0.384410  0.395608    131.09   138.77
Presidio ISD             741020DZ1 05/14/98 02/15/15     30.822     0.000    7.1492   683.34     0.191736                                                 8.44         
Presidio ISD             741020EA5 05/14/98 02/15/16     28.486     0.000    7.1992   638.94     0.179850   0.186324   0.193031                          67.70     8.49
Presidio ISD             741020EB3 05/14/98 02/15/17     26.541     0.000    7.1992   595.31     0.167569   0.173600   0.179849   0.186323  0.193030     63.08    67.70
Presidio ISD             741020EC1 05/14/98 02/15/18     24.728     0.000    7.1993   554.67     0.156129   0.161749   0.167571   0.173603  0.179852     58.77    63.08
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Presidio ISD             741020ED9 05/14/98 02/15/19     22.810     0.000    7.2493   517.60     0.146159   0.151457   0.156947   0.162636  0.168531     55.04    59.10
Presidio ISD             741020EE7 05/14/98 02/15/20     21.242     0.000    7.2493   482.03     0.136114   0.141047   0.146160   0.151458  0.156948     51.26    55.04
Presidio ISD             741020EF4 05/14/98 02/15/21     19.782     0.000    7.2493   448.89     0.126758   0.131352   0.136114   0.141047  0.146160     47.73    51.26
Presidio ISD             741020EG2 05/14/98 02/15/22     18.422     0.000    7.2494   418.04     0.118046   0.122325   0.126759   0.131353  0.136114     44.45    47.73
Pride International Inc. 741932AE7 01/16/01 01/16/21     60.841     0.000    2.5000   252.21     0.059089   0.059828   0.060575   0.061333  0.062099     21.65    22.19
Providian Financial Corp 74406AAD4 03/19/04 03/15/16    100.000    VARIES    9.4998              0.572182   0.595330   0.619486                         215.17    45.84
Quicksilver Resources    74837RAA2 11/01/04 11/01/24     98.500    VARIES    6.7504              0.308357   0.316673   0.325271   0.334123  0.343273    113.52   119.77
Quicksilver Resources    74837RAB0 11/01/04 11/01/24     98.500    VARIES    6.7504              0.308357   0.316673   0.325271   0.334123  0.343273    113.52   119.77
Randolph & Perry CNTYS   752368AV2 05/16/13 12/01/15    105.106    VARIES    1.7287              0.048979   0.048502                                     16.08         
Randolph & Perry CNTYS   752368AW0 05/16/13 12/01/16    106.110    VARIES    1.9823              0.056965   0.056497   0.056025   0.055548               20.39    18.40
Randolph & Perry CNTYS   752368AX8 05/16/13 12/01/17    106.596    VARIES    2.2344              0.064784   0.064344   0.063899   0.063449  0.062994     23.22    22.90
Randolph & Perry CNTYS   752368AY6 05/16/13 12/01/18    106.586    VARIES    2.4855              0.072347   0.071951   0.071551   0.071145  0.070735     25.95    25.66
Randolph & Perry CNTYS   752368AZ3 05/16/13 12/01/19    107.293    VARIES    2.7850              0.081721   0.081311   0.080896   0.080476  0.080049     29.32    29.02
Randolph & Perry CNTYS   752368BA7 05/16/13 12/01/20    107.856    VARIES    3.0845              0.091113   0.090697   0.090275   0.089847  0.089412     32.70    32.40
Randolph & Perry CNTYS   752368BB5 05/16/13 12/01/21    108.667    VARIES    3.3340              0.099304   0.098875   0.098440   0.097997  0.097547     35.65    35.33
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES    3.5343              0.104733   0.104375   0.104011   0.103640  0.103262     37.62    37.35
Randolph County, IL      752535DK7 01/30/13 12/01/17     89.744     0.000    2.2497    39.40     0.058438   0.059095   0.059760   0.060432  0.061112     21.20    21.68
Randolph County, IL      752535DL5 01/30/13 12/01/18     85.511     0.000    2.6997    45.20     0.067365   0.068274   0.069196   0.070130  0.071076     24.47    25.13
Randolph County, IL      752535DM3 01/30/13 12/01/19     81.034     0.000    3.0997    49.32     0.073829   0.074973   0.076135   0.077315  0.078514     26.85    27.69
Randolph County, IL      752535DN1 01/30/13 12/01/20     76.487     0.000    3.4496    51.94     0.078047   0.079393   0.080762   0.082155  0.083572     28.42    29.41
Randolph County, IL      752535DP6 01/30/13 12/01/21     72.328     0.000    3.6996    52.77     0.079509   0.080980   0.082478   0.084004  0.085558     28.98    30.06
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000    3.8997    52.68     0.079532   0.081083   0.082664   0.084276  0.085919     29.00    30.15
Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17     97.340     9.500   10.0374    16.56     0.011688   0.012274   0.012890   0.013537  0.014217      4.48     4.94
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES    8.7503              0.478666   0.495718   0.513517   0.531997  0.551286    179.08   192.20
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES    8.7503              0.478666   0.495718   0.513517   0.531997  0.551286    179.08   192.20
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000    9.8183              0.968701   1.013529   1.060558   1.109895  1.161654    366.54   401.40
Rock Island Counties, IL 772283CY1 10/02/15 12/01/16    102.590     0.000    1.2370                         0.035253   0.035324   0.035543                3.14    11.70
Rock Island Counties, IL 772283CZ8 10/02/15 12/01/17    104.132    VARIES    1.5410                         0.043846   0.043957   0.044296  0.043157      3.99    16.13
Rock Island Counties, IL 772283DA2 10/02/15 12/01/18    105.489    VARIES    1.9914                         0.057399   0.057586   0.058160  0.056642      5.23    21.15
Rock Island County, IL   772453CJ3 11/08/11 12/01/15    107.914    VARIES    2.7899              0.079062   0.078285                                     25.95         
Rockford Counties, IL    773182UF5 06/12/14 12/15/15    101.947    VARIES    0.6977              0.019829   0.019507                                      6.76         
Rockford Park DS, IL     773182UG3 06/10/15 12/15/16    106.229     0.000    0.8299              0.024491   0.024494   0.024595   0.024697                4.92     8.48
Roper Industries, Inc.   776696AA4 12/29/03 01/15/34     39.502     1.482    7.0003              0.133005   0.137495   0.142143   0.146953  0.151931     50.21    53.66
Rosemont, IL             777543TE9 12/15/11 12/01/15     99.115     2.125    2.3603     6.73     0.006385   0.006461                                      2.12         
Royal Bank of Canada     78008G5R9 08/12/09 08/12/16    100.000    VARIES    4.2505              0.122404   0.121355   0.120284   0.119189               43.58    26.39
Royal Bank of Canada     78008G5S7 07/20/09 04/20/15    100.000    VARIES    4.0008              0.111281                                                12.13         
Royal Bank of Canada     78008GH39 03/31/09 03/31/15    100.000     0.000    5.2300              0.192984                                                17.18         
Royal Bank of Canada     78008HRB8 12/31/09 06/30/15    100.000     0.000    3.3099              0.108346                                                19.39         
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES    4.5517              0.136114   0.137315   0.136334   0.135331  0.134305     49.25    48.59
Royal Bank of Canada     78008HWF3 02/16/10 02/16/17    100.000    VARIES    3.8707              0.111049   0.110370   0.109678   0.108973  0.108254     39.67    39.16
Royal Bank of Canada     78008K3K7 04/20/11 04/20/16    100.000     0.000    2.7665              0.084604   0.085775   0.086961                          30.84     9.48
Royal Bank of Canada     78008KDT7 07/15/10 07/16/15    100.000     0.000    2.3886              0.072967   0.073839                                     14.39         
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES    4.1702              0.116880   0.116809   0.116737   0.116664  0.116589     42.05    42.00
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78008KPH0 10/29/10 10/30/15    100.000     0.000    1.8491              0.055293   0.055804                                     16.62         
Royal Bank of Canada     78008KRQ8 11/30/10 11/30/15    100.000     0.000    2.1099              0.063744   0.064417                                     21.09         
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31    100.000    VARIES    4.9792              0.133158   0.133260   0.133365   0.133473  0.133584     47.99    48.06
Royal Bank of Canada     78008SJY3 11/05/12 11/04/19    100.000     0.000    0.6002              0.016874   0.016925   0.016976   0.017027  0.017078      6.09     6.13
Royal Bank of Canada     78008SMC7 11/05/12 11/04/19    100.000     0.000    0.6002              0.016874   0.016925   0.016976   0.017027  0.017078      6.09     6.13
Royal Bank of Canada     78008SVM5 02/04/13 02/04/20    100.000     0.000    2.2564              0.064826   0.065558   0.066297   0.067045  0.067802     23.69    24.22
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES    4.0299              0.107784   0.107870   0.107958   0.108048  0.108140     38.84    38.91
Royal Bank of Canada     78008TR89 02/17/12 02/17/33    100.000     3.570    3.5699              0.099167   0.099167   0.099167   0.099167  0.099167     35.70    35.70
Royal Bank of Scotland   78009KAB8 01/13/05 01/13/20    100.000    VARIES    4.7500              0.132560   0.132971   0.133066   0.133162  0.133261     47.88    47.95
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES    4.9855              0.141883   0.141958   0.142035   0.142113  0.142193     51.11    51.17
Royal Bank of Scotland   78009KMB5 08/19/10 08/19/17    100.000    VARIES    2.6315              0.020329   0.020597   0.020868   0.021142  0.021421      7.44     7.63
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES    3.6714              0.020063   0.020431   0.020806   0.021188  0.021577      7.37     7.64
Royal Bank of Scotland   78009KMF6 09/20/10 09/20/17    100.000    VARIES    2.5212              0.018841   0.019079   0.019319   0.019563  0.019810      6.87     7.05
Royal Bank of Scotland   78009KMG4 09/30/10 09/28/18    100.000    VARIES    N/A                 0.017105   0.017240   0.017473   0.017708  0.018045      6.30     6.49
Royal Bank of Scotland   78009KNB4 10/27/10 10/27/17    100.000    VARIES    2.4218              0.022841   0.023118   0.023398   0.023681  0.023968      8.31     8.51
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES    5.5208              0.147075   0.147200   0.147328   0.147460  0.147595     52.98    53.07
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES    4.5134              0.128160   0.128545   0.128939   0.129341  0.129752     46.24    46.53
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES    5.3208              0.137435   0.137689   0.137950   0.138217  0.138492     49.53    49.72
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES    5.7103              0.150929   0.151080   0.151234   0.151393  0.151557     54.36    54.47
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES    5.4493              0.142135   0.142311   0.142492   0.142678  0.142869     51.25    51.38
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES    5.5246              0.152894   0.152931   0.152969   0.153008  0.153048     55.06    55.08
Royal Bank of Scotland   78009KRL8 03/15/11 03/15/16    100.000    VARIES    4.1566              0.115534   0.115511   0.115487                          41.58     8.55
Royal Bank of Scotland   78009KRY0 03/31/11 03/31/18    100.000    VARIES    4.3799              0.121196   0.121259   0.121323   0.121388  0.121455     43.65    43.70
Royal Bank of Scotland   78009PAF8 04/29/11 04/29/16    100.000     0.000    3.8637              0.122711   0.125081   0.127498                          44.90    15.04
Royal Bank of Scotland   78009PAG6 05/16/11 08/16/16    100.000     0.000    3.5178              0.109450   0.111375   0.113334   0.115328               40.27    25.86
Royal Bank of Scotland   78009PAL5 05/31/11 11/30/16    100.000     0.000    3.6087              0.113609   0.115659   0.117746   0.119870               41.40    39.12
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES    4.4728              0.125560   0.125654   0.125729   0.125805  0.125755     45.22    45.28
Royal Bank of Scotland   78009PAN1 06/15/11 12/15/16    100.000     0.000    3.5863              0.112818   0.114841   0.116901   0.118997               41.04    40.59
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES    2.5504              0.014147   0.014327   0.014510   0.014695  0.014883      5.13     5.26
Royal Bank of Scotland   78009PAX9 07/29/11 07/29/16    100.000     0.000    3.8218              0.118931   0.121203   0.123519   0.125880               43.92    26.12
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES    2.8321              0.018986   0.019254   0.019527   0.019804  0.020084      6.97     7.16
Royal Bank of Scotland   78009PBG5 08/31/11 02/28/17    100.000     0.000    4.0027              0.124534   0.124955   0.128857   0.130007  0.134807     46.06    48.11
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES    4.7434              0.117723   0.118296   0.118883   0.119483  0.120098     42.63    43.06
Royal Bank of Scotland   78009PBM2 08/31/11 03/01/16    100.000     0.000    3.5003              0.107911   0.109799   0.111721                          39.65     6.70
Royal Bank of Scotland   78009PBR1 09/30/11 03/30/17    100.000     0.000    3.8461              0.119774   0.122077   0.124425   0.126818  0.129256     43.96    45.66
Royal Bank of Scotland   78009PBV2 09/30/11 09/30/16    100.000    VARIES    2.7074              0.008883   0.009003   0.009125   0.009248                3.24     2.48
Royal Bank of Scotland   78009PCD1 12/06/11 06/07/17    100.000     0.000    5.2976              0.172174   0.176734   0.181415   0.186221  0.191153     63.03    66.41
Royal Bank of Scotland   78009PCG4 12/30/11 07/03/17    100.000     0.000    5.2550              0.166260   0.170628   0.175111   0.179712  0.184434     62.22    65.53
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000    3.5770              0.102947   0.104789   0.106663   0.108571  0.110512     37.75    39.11
Royal Bank of Canada     78010UDH7 12/30/13 12/30/20    100.000    VARIES    1.1630              0.006897   0.006937   0.006978   0.007018  0.007059      2.49     2.52
Royal Bank of Canada     78010UDK0 01/30/14 01/30/19    100.000    VARIES    0.9099              0.007501   0.007364   0.007398   0.007432  0.007465      2.66     2.68
Royal Bank of Canada     78010UDR5 01/30/14 01/30/19    100.000     2.250    2.2499              0.062500   0.062500   0.062500   0.062500  0.062500     22.50    22.50
Royal Bank of Canada     78010UDU8 02/28/14 02/28/34    100.000    VARIES    4.0699              0.109097   0.103973   0.101664   0.097075  0.098947     37.96    36.03
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78010UVV6 05/30/14 11/30/17    100.000    VARIES    0.5883              0.007086   0.007032   0.007016   0.007000  0.007060      2.57     2.57
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES    3.5596              0.097179   0.095448   0.095543   0.095641  0.095740     34.67    34.41
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES    3.6300              0.100835   0.098127   0.095371   0.095472  0.095575     35.31    34.37
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES    3.3499              0.093055   0.090426   0.087753   0.087854  0.087957     32.85    31.62
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES    2.8500              0.079167   0.078712   0.078250   0.078295  0.078341     28.41    28.18
Royal Bank of Scotland   78011PAA5 11/30/11 11/30/26    100.000    VARIES    5.2303              0.140210   0.140350   0.140494   0.140959  0.141436     50.51    50.69
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES    3.4099                         0.094721   0.092784   0.090814  0.088810     17.24    33.04
Royal Caribbean Cruises  780153AT9 07/06/09 07/15/15     97.399    11.875   12.5022    22.84     0.015433   0.016398                                      3.17         
SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31    100.000    VARIES    3.8135              0.082168   0.081270   0.080355   0.079423  0.078473     29.14    28.47
SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31    100.000    VARIES    3.8227              0.084204   0.083212   0.082202   0.081621  0.081030     29.83    29.31
SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31    100.000    VARIES    3.8133              0.085097   0.084012   0.082907   0.081780  0.080632     30.11    29.30
SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31    100.000    VARIES    3.8090              0.084399   0.083759   0.081737   0.081489  0.079883     30.36    29.64
SG Structured Prods,Inc. 78423AA28 11/10/10 11/06/40*   100.000     3.632    3.6319              0.100889   0.100889   0.100889                          31.98*        
SG Structured Prods,Inc. 78423AC42 12/31/10 12/31/30    100.000    VARIES    4.1615              0.099808   0.098621   0.097408   0.096170  0.094907     35.71    34.84
SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31    100.000    VARIES    4.1899              0.095278   0.094461   0.093627   0.092776  0.091907     33.90    33.29
SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26    100.000    VARIES    4.0467              0.096977   0.096333   0.095675   0.095004  0.095047     34.63    34.24
SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31    100.000    VARIES    4.1578              0.097908   0.095155   0.095469   0.093692  0.094477     34.93    34.49
SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21    100.000    VARIES    4.1693              0.114784   0.114980   0.115144   0.115313  0.115438     41.39    41.51
SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16    100.000     0.000    2.4340              0.073588   0.074484   0.075390                          26.85     5.13
SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26    100.000    VARIES    3.9820              0.092211   0.091377   0.091348   0.091318  0.091288     32.97    32.87
SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31    100.000    VARIES    4.2878              0.100681   0.100200   0.099709   0.099207  0.098688     36.07    35.71
SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31    100.000    VARIES    4.1591              0.096006   0.095618   0.095222   0.094817  0.094292     34.44    34.15
SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26    100.000    VARIES    4.1342              0.100800   0.100266   0.099721   0.099166  0.099233     36.13    35.77
SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31    100.000    VARIES    4.0970              0.096144   0.093998   0.094433   0.092804  0.093790     34.64    34.24
SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23    100.000    VARIES    4.1099              0.110619   0.108897   0.110178   0.109066  0.110991     40.04    40.15
SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31    100.000    VARIES    4.0953              0.093032   0.090614   0.090681   0.088756  0.089741     33.44    32.80
SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26    100.000    VARIES    4.1202              0.099568   0.097605   0.098326   0.096903  0.098142     35.94    35.72
SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17    100.000     0.000    2.1964              0.065858   0.066581   0.067312   0.068051  0.068799     23.86    24.39
SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31    100.000    VARIES    4.0039              0.089974   0.088877   0.087757   0.086615  0.086055     32.19    31.39
SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31    100.000    VARIES    4.0072              0.091453   0.089208   0.089411   0.087655  0.088479     32.97    32.40
SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23    100.000    VARIES    3.9769              0.108557   0.108813   0.109074   0.109340  0.109526     39.13    39.32
SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26    100.000    VARIES    3.9853              0.098224   0.095828   0.096062   0.094191  0.095520     35.41    34.81
SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25    100.000     7.380    3.6971              0.085158   0.083461   0.080373   0.079010  0.076303     30.18    28.66
SG Structured Prods,Inc. 78423AYN6 09/30/10 09/30/15    100.000     0.000    1.9321              0.057963   0.058523                                     15.69         
SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16    100.000     0.000    1.7220              0.051232   0.051673   0.052118                          18.58     6.15
SG Structured Prods,Inc. 78423AZY1 11/10/10 11/06/40*   100.000     3.632    3.6319              0.100889   0.100889   0.100889                          31.98*        
SG Structured Prods,Inc. 78423AZZ8 11/10/10 11/06/40*   100.000     3.632    3.6319              0.100889   0.100889   0.100889                          31.98*        
SG Structured Prods,Inc. 78423EBE3 06/29/12 06/30/32    100.000    VARIES    2.6183              0.064450   0.063533   0.063061   0.062583  0.062099     23.04    22.61
SG Structured Prods,Inc. 78423EBR4 07/31/12 07/30/32    100.000    VARIES    2.2858              0.055731   0.055839   0.054117   0.054393  0.053482     20.11    19.76
SG Structured Prods,Inc. 78423ECC6 07/31/12 07/31/32    100.000    VARIES    4.4772              0.008027   0.007585   0.007133   0.007293  0.007459      2.68     2.65
SG Structured Prods,Inc. 78423ECE2 08/31/12 08/31/32    100.000    VARIES    2.2189              0.053825   0.052226   0.052062   0.051313  0.051976     19.13    18.91
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 78423ECF9 08/31/12 08/31/27    100.000    VARIES    2.2060              0.057115   0.055809   0.056038   0.055045  0.055563     20.47    20.27
SG Structured Prods,Inc. 78423ECS1 08/31/12 08/31/32    100.000    VARIES    4.3609              0.007107   0.006551   0.006169   0.006235  0.006476      2.38     2.31
SG Structured Prods,Inc. 78423EDB7 09/28/12 09/28/32    100.000    VARIES    3.8987              0.007483   0.007358   0.007230   0.007101  0.006968      2.65     2.56
SG Structured Prods,Inc. 78423EDJ0 09/28/12 09/30/32    100.000    VARIES    2.1721              0.052715   0.051889   0.051054   0.050927  0.050800     18.68    18.33
SG Structured Prods,Inc. 78423EDN1 10/31/12 10/29/27    100.000    VARIES    2.3465              0.059111   0.058568   0.058019   0.058000  0.057981     21.11    20.88
SG Structured Prods,Inc. 78423EDQ4 10/31/12 10/31/32    100.000    VARIES    3.4706              0.093347   0.093280   0.093211   0.093142  0.093071     33.58    33.53
SG Structured Prods,Inc. 78423EEA8 12/31/12 12/31/32    100.000    VARIES    2.3863              0.059777   0.059047   0.058308   0.058001  0.057690     21.39    20.93
SG Structured Prods,Inc. 78423EEJ9 10/31/12 10/29/32    100.000    VARIES    2.3462              0.059030   0.058449   0.057862   0.057769  0.057676     21.07    20.80
SG Structured Prods,Inc. 78423EES9 11/30/12 11/30/32    100.000    VARIES    2.3877              0.060158   0.059604   0.059044   0.058908  0.058771     21.52    21.22
SG Structured Prods,Inc. 78423EJF2 11/27/13 11/27/23    100.000    VARIES    3.9019              0.105067   0.103358   0.101616   0.101510  0.101401     37.40    36.56
SG Structured Prods,Inc. 78423EJG0 12/18/13 12/18/23    100.000    VARIES    3.8786              0.104521   0.102864   0.101175   0.101131  0.101087     37.29    36.41
SLM Corporation.         78442FEM6 01/27/12 01/25/17     98.942     6.000    6.2498     5.81     0.005951   0.006137   0.006329   0.006527  0.006731      2.23     2.38
Sabine Pass LNG, LP      785583AG0 09/15/08 11/30/16     79.000     7.500   11.5231   142.68     0.089321   0.094468   0.099911   0.105667               33.41    33.91
Sabine Pass LNG, LP      785583AH8 09/15/08 11/30/16     79.000     7.500   11.5231   142.68     0.089321   0.094468   0.099911   0.105667               33.41    33.91
Saddle Brook TWP NJ SD   786225GC0 08/23/12 08/15/15     99.327     1.300    1.5320     5.30     0.006349   0.006397                                      1.43         
Saddle Brook TWP NJ SD   786225GD8 08/23/12 08/15/16     99.040     1.750    2.0022     5.59     0.006734   0.006801   0.006870   0.006938                2.45     1.55
SCH DIST Clair CNTY, IL  788550JK8 06/15/11 01/01/16    103.086    VARIES    3.9878              0.111593   0.111188                                     40.10         
SCH DIST Clair CNTY, IL  788550JL6 06/15/11 01/01/17    103.641    VARIES    4.4873              0.126448   0.126013   0.125568   0.125113               45.44    45.12
SCH DIST Clair CNTY, IL  788550JM4 06/15/11 01/01/18    102.758    VARIES    4.9870              0.140486   0.140179   0.139865   0.139543               50.52    50.29
SCH DIST Clair CNTY, IL  788550JQ5 06/20/12 01/01/21    107.017     5.500    N/A                 0.129053   0.128528   0.127991   0.127443               46.36    45.98
St. Clair County, IL     788550JU6 06/25/15 01/01/21     79.080     0.000    4.3000              0.093840   0.092471   0.095497   0.096490               17.58    35.13
St. Clair County, IL     788550JV4 06/25/15 01/01/22     74.588     0.000    4.5500              0.093732   0.092291   0.095428   0.096538               17.54    35.13
St. Clair County, IL     788550JW2 06/25/15 01/01/23     70.267     0.000    4.7499              0.092167   0.090768   0.093945   0.095131               17.25    34.60
St. Clair County, IL     788550JX0 06/25/15 01/01/24     65.665     0.000    5.0000              0.090617   0.089293   0.092531   0.093813               16.97    34.10
St.Clair CNTY SD #196,IL 788553GL3 11/13/12 12/01/15    103.202    VARIES    1.5459              0.043391   0.043168                                     14.28         
San Luis Obispo County   798703AQ7 07/02/03 09/01/18     45.439     0.000    5.2695   372.04     0.118882   0.122014   0.125229   0.128528  0.131915     44.12    46.48
San Luis Obispo County   798703AR5 07/02/03 09/01/19     42.462     0.000    5.3695   356.37     0.114439   0.117512   0.120667   0.123906  0.127233     42.50    44.81
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000    5.4695   340.58     0.109911   0.112917   0.116005   0.119177  0.122437     40.84    43.10
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000    5.5395   324.14     0.104968   0.107876   0.110864   0.113934  0.117090     39.02    41.21
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000    5.5995   307.87     0.099995   0.102794   0.105672   0.108631  0.111672     37.18    39.29
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000    5.6397   291.81     0.094966   0.097644   0.100397   0.103228  0.106139     35.32    37.34
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000    5.6796   276.36     0.090114   0.092673   0.095305   0.098012  0.100795     33.52    35.46
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000    5.6997   261.41     0.085324   0.087755   0.090256   0.092828  0.095474     31.75    33.58
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000    5.7297   247.19     0.080802   0.083117   0.085498   0.087948  0.090467     30.07    31.82
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000    5.7297   233.62     0.076364   0.078552   0.080802   0.083117  0.085498     28.42    30.07
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000    5.7296   220.79     0.072169   0.074237   0.076364   0.078551  0.080802     26.86    28.42
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000    5.7297   208.66     0.068206   0.070160   0.072170   0.074237  0.076364     25.38    26.86
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000    5.7298   197.20     0.064459   0.066306   0.068206   0.070160  0.072170     23.99    25.38
Seacor Holdings, Inc.    81170YAA7 11/13/13 11/15/28    100.000    VARIES    8.2503              0.241529   0.248055   0.254850   0.261926  0.269293     88.74    93.68
Seacor Holdings, Inc.    81170YAB5 11/13/13 11/15/28    100.000    VARIES    8.2503              0.241529   0.248055   0.254850   0.261926  0.269293     88.74    93.68
Seacor Holdings, Inc.    811904AL5 12/11/12 12/15/27    100.000    VARIES    7.1503              0.218228   0.223547   0.229057   0.234763  0.240674     79.69    83.67
Seacor Holdings, Inc.    811904AM3 12/11/12 12/15/27    100.000    VARIES    7.1503              0.218228   0.223547   0.229057   0.234763  0.240674     79.69    83.67
Sears Holdings Corp.     812350AF3 11/21/14 12/15/19     82.600     8.000   12.7675     2.84     0.071325   0.075878   0.080722   0.085875  0.091357     26.65    30.16
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 83367TAK5 08/07/12 08/07/15    100.000    VARIES    2.4728              0.014442   0.014620                                      3.15         
SG Structured Prods,Inc. 83367TAN9 09/28/12 09/28/27    100.000    VARIES    4.2451              0.111150   0.109965   0.108756   0.108258  0.107749     39.58    38.97
SG Structured Prods,Inc. 83368W2F7 07/28/15 07/28/21    100.000     0.000    3.0305                                    0.084181   0.085456  0.086751     12.88    30.93
SG Structured Prods,Inc. 83368W2V2 08/31/15 09/03/30    100.000    VARIES    3.4213                         0.095038   0.094987   0.091860  0.088679     11.49    32.89
SG Structured Prods,Inc. 83368WB59 01/30/15 01/30/30    100.000    VARIES    2.8760                         0.079891   0.079802   0.079711  0.079756     26.43    28.71
SG Structured Prods,Inc. 83368WBD2 01/31/13 01/31/33    100.000    VARIES    3.8966              0.101512   0.101453   0.101394   0.101333  0.101926     36.52    36.57
SG Structured Prods,Inc. 83368WBG5 01/31/13 01/31/33    100.000    VARIES    3.8942              0.102494   0.101277   0.100035   0.098769  0.098466     36.31    35.55
SG Structured Prods,Inc. 83368WBT7 02/28/13 02/28/33    100.000    VARIES    3.4646              0.088213   0.084231   0.085026   0.083970  0.085226     31.07    30.95
SG Structured Prods,Inc. 83368WBX8 03/28/13 03/31/33    100.000    VARIES    2.9028              0.073614   0.073221   0.072823   0.072419  0.072541     26.36    26.12
SG Structured Prods,Inc. 83368WCB5 04/12/13 04/12/33    100.000    VARIES    3.9684              0.100760   0.100216   0.099662   0.099096  0.099222     36.09    35.74
SG Structured Prods,Inc. 83368WCG4 04/30/13 04/29/33    100.000    VARIES    3.9499              0.100350   0.099904   0.099449   0.098985  0.099228     35.99    35.70
SG Structured Prods,Inc. 83368WCQ2 04/30/13 05/01/23    100.000    VARIES    1.6707              0.009590   0.009670   0.009751   0.009832  0.009914      3.48     3.53
SG Structured Prods,Inc. 83368WCY5 05/03/13 05/03/23    100.000    VARIES    3.1496              0.086972   0.086891   0.086839   0.086787  0.086773     31.29    31.25
SG Structured Prods,Inc. 83368WDL2 06/28/13 06/28/33    100.000    VARIES    4.7629              0.126075   0.126876   0.127697   0.128537  0.129985     45.54    46.13
SG Structured Prods,Inc. 83368WDM0 06/28/13 06/28/33    100.000    VARIES    4.7593              0.119674   0.119501   0.119325   0.119144  0.119666     43.05    42.93
SG Structured Prods,Inc. 83368WDR9 07/31/13 07/31/33    100.000    VARIES    4.5906              0.121884   0.118971   0.115990   0.115765  0.115535     42.46    41.65
SG Structured Prods,Inc. 83368WDT5 07/31/13 07/31/33    100.000    VARIES    4.5832              0.120617   0.117154   0.113612   0.114111  0.114622     41.74    41.14
SG Structured Prods,Inc. 83368WDV0 07/31/13 07/31/33    100.000    VARIES    4.5941              0.121466   0.118286   0.115033   0.113838  0.112617     42.18    40.83
SG Structured Prods,Inc. 83368WDW8 08/30/13 08/31/33    100.000    VARIES    4.6389              0.118578   0.115631   0.115853   0.113532  0.114310     42.40    41.79
SG Structured Prods,Inc. 83368WDX6 08/30/13 08/31/33    100.000    VARIES    4.6413              0.118644   0.116566   0.117698   0.116268  0.118039     42.81    42.86
SG Structured Prods,Inc. 83368WDZ1 08/30/13 08/31/28    100.000    VARIES    4.5930              0.116704   0.115200   0.116878   0.116025  0.118382     42.34    42.81
SG Structured Prods,Inc. 83368WEL1 09/30/13 09/30/33    100.000    VARIES    4.5116              0.120090   0.117384   0.114617   0.114600  0.114583     42.25    41.26
SG Structured Prods,Inc. 83368WFA4 10/31/13 10/31/33    100.000    VARIES    4.2945              0.114145   0.111487   0.108773   0.108279  0.107775     40.29    39.01
SG Structured Prods,Inc. 83368WFL0 10/31/13 10/31/33    100.000    VARIES    4.2911              0.114435   0.111977   0.109466   0.109578  0.109692     40.45    39.44
SG Structured Prods,Inc. 83368WG47 03/31/15 03/31/35    100.000    VARIES    2.8488                         0.079136   0.079474   0.079817  0.080165     21.48    28.74
SG Structured Prods,Inc. 83368WGF2 11/29/13 11/30/33    100.000    VARIES    4.4027              0.117479   0.114996   0.112459   0.112253  0.112043     41.69    40.44
SG Structured Prods,Inc. 83368WGG0 11/29/13 11/29/28    100.000    VARIES    4.2430              0.114835   0.113274   0.111679   0.110454  0.109202     40.96    39.90
SG Structured Prods,Inc. 83368WGM7 11/29/13 11/29/32     90.000    VARIES    4.3778              0.103170   0.099928   0.096616   0.096775  0.096936     36.35    34.82
SG Structured Prods,Inc. 83368WGR6 11/29/13 11/29/32     90.000    VARIES    4.3777              0.103168   0.099927   0.096615   0.096773  0.096935     36.35    34.82
SG Structured Prods,Inc. 83368WGZ8 12/30/13 12/30/33    100.000    VARIES    4.4480              0.115372   0.114892   0.114402   0.113901  0.113389     41.45    41.09
SG Structured Prods,Inc. 83368WHA2 12/30/13 12/30/32     93.000    VARIES    4.4186              0.108785   0.106015   0.103183   0.103596  0.104019     38.66    37.22
SG Structured Prods,Inc. 83368WHD6 12/30/13 12/30/33    100.000    VARIES    4.4457              0.116557   0.115126   0.113664   0.112169  0.110641     41.70    40.65
SG Structured Prods,Inc. 83368WHG9 12/23/13 12/23/15    100.000     0.000    0.9600              0.026924   0.027053                                      9.50         
SG Structured Prods,Inc. 83368WHS3 01/31/14 01/31/34    100.000    VARIES    4.0888              0.110962   0.108291   0.105566   0.102785  0.103081     38.65    37.13
SG Structured Prods,Inc. 83368WJB8 01/31/14 01/31/33     91.000    VARIES    4.0761              0.100618   0.098152   0.095636   0.093069  0.093638     35.03    33.67
SG Structured Prods,Inc. 83368WKA8 02/21/14 02/21/24    100.000     0.000    3.6892              0.104370   0.106296   0.108256   0.110253  0.112287     38.43    39.86
SG Structured Prods,Inc. 83368WKB6 02/28/14 02/28/34     91.000    VARIES    4.0372              0.099147   0.095180   0.093801   0.090334  0.092503     34.80    33.53
SG Structured Prods,Inc. 83368WKC4 02/28/14 02/28/34    100.000    VARIES    4.0411              0.109506   0.105584   0.104542   0.101182  0.103184     38.64    37.48
SG Structured Prods,Inc. 83368WKZ3 03/31/14 03/31/34    100.000    VARIES    4.4730              0.121707   0.119105   0.116446   0.113726  0.113298     42.87    41.14
SG Structured Prods,Inc. 83368WL58 04/17/15 04/17/25    100.000    VARIES    2.7150                         0.075419   0.075465   0.075511  0.075517     19.16    27.18
SG Structured Prods,Inc. 83368WLG4 03/31/14 03/31/34     91.000    VARIES    4.4571              0.108568   0.104378   0.100095   0.095716  0.096430     37.56    34.91
SG Structured Prods,Inc. 83368WLH2 03/31/14 03/31/34    100.000    VARIES    4.4742              0.121458   0.118569   0.115616   0.112597  0.111738     42.67    40.73
SG Structured Prods,Inc. 83368WMW8 05/14/14 05/14/21    100.000    VARIES    2.9301              0.081531   0.081671   0.081725   0.081778  0.081776     29.39    29.43
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 83368WNR8 05/22/14 05/22/34     91.000    VARIES    3.6947              0.091193   0.088950   0.086666   0.084340  0.084612     32.25    30.70
SG Structured Prods,Inc. 83368WP21 05/20/15 05/21/35    100.000    VARIES    3.3761              0.093782   0.093776   0.092614   0.091431  0.090229     20.68    33.03
SG Structured Prods,Inc. 83368WPM7 06/26/14 06/26/34    100.000    VARIES    3.6332              0.098990   0.097021   0.095016   0.092974  0.093051     35.26    33.83
SG Structured Prods,Inc. 83368WRU7 08/29/14 08/29/34    100.000    VARIES    3.4029              0.092978   0.091946   0.089394   0.088780  0.086681     33.30    32.27
SG Structured Prods,Inc. 83368WSX0 08/29/14 08/29/34    100.000    VARIES    3.4025              0.092965   0.091894   0.089305   0.088651  0.086512     33.28    32.22
SG Structured Prods,Inc. 83368WTC5 09/30/14 09/30/29    100.000    VARIES    3.5292              0.098034   0.097558   0.097074   0.096912  0.096747     35.12    34.89
SG Structured Prods,Inc. 83368WTS0 09/30/14 09/30/24    100.000    VARIES    3.2997              0.091660   0.089506   0.087316   0.087309  0.087301     32.21    31.43
SG Structured Prods,Inc. 83368WU58 06/30/15 06/30/35    100.000    VARIES    3.7086                         0.103017   0.099519   0.095956  0.095518     18.64    35.18
SG Structured Prods,Inc. 83368WUJ8 09/30/14 09/30/34    100.000    VARIES    3.5842              0.099562   0.096368   0.093117   0.093058  0.092998     34.68    33.50
SG Structured Prods,Inc. 83368WUL3 09/30/14 09/30/34    100.000    VARIES    3.5615              0.098933   0.097110   0.095254   0.093365  0.091442     34.95    33.60
SG Structured Prods,Inc. 83368WVM0 10/31/14 10/31/34    100.000    VARIES    3.4502              0.095840   0.092582   0.089267   0.089319  0.089372     33.51    32.15
SG Structured Prods,Inc. 83368WXN6 11/26/14 11/26/34    100.000    VARIES    3.3122              0.092008   0.090270   0.088504   0.086708  0.084883     32.69    31.41
SG Structured Prods,Inc. 83368WXV8 11/14/14 11/16/21    100.000     0.000    2.6925              0.074805   0.075812   0.076833   0.077867  0.078915     27.20    27.94
SG Structured Prods,Inc. 83368WZJ3 12/31/14 12/31/34    100.000    VARIES    3.0161              0.083782   0.082786   0.081776   0.080750  0.079708     29.98    29.25
SG Structured Prods,Inc. 83368WZV6 12/16/14 11/16/21    101.640     0.000    2.4785              0.069978   0.070701   0.071577   0.072464  0.073362     25.39    26.01
SG Structured Prods,Inc. 83369ECH1 10/30/15 11/01/27    100.000    VARIES    3.1961                         0.088782   0.088780   0.088267  0.087746      5.42    31.81
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000    2.7499   284.88     0.065733   0.066637   0.067553   0.068482  0.069424     23.92    24.59
St. Clair CNTY SD#522,IL 85227XCW3 07/01/10 12/01/15    100.491    VARIES    3.1869              0.088624   0.088576                                     29.24         
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600   10.4989              0.314136   0.313711   0.313264   0.312794  0.312299    112.93   112.60
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES    8.8000              0.204797   0.213808   0.223215   0.233037  0.233146     78.41    83.77
Toll Brothers Finance    88947EAL4 09/11/12 09/15/32    100.000    VARIES    5.9844              0.185419   0.190552   0.195838   0.201282  0.206889     68.78    72.65
Toll Brothers Finance    88947EAM2 09/11/12 09/15/32    100.000    VARIES    5.9844              0.185419   0.190552   0.195838   0.201282  0.206889     68.78    72.65
Tornillo Indpt SCH DIST  891084NY7 12/06/12 02/01/20     83.718     0.000    2.4998    44.19     0.060571   0.061329   0.062095   0.062871  0.063657     22.17    22.73
Tornillo Indpt SCH DIST  891084NZ4 12/06/12 02/01/21     80.360     0.000    2.6997    45.88     0.062997   0.063848   0.064710   0.065583  0.066468     23.09    23.72
Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16    100.000     0.000    4.9609              0.203950   0.209009   0.214194   0.219507               74.53    74.00
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000    4.8000    91.10     0.043736   0.044786   0.045861   0.046961  0.048088     16.13    16.92
Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16    100.000    VARIES    6.2020              0.168331   0.169273   0.170245   0.171247               60.90    50.06
Transportadora Gas Norte 893871AS2 08/22/12 08/22/19     25.000    VARIES    N/A                 0.403088   0.463509   0.516331   0.576778  0.621916    156.10   196.87
Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19     25.000    VARIES    N/A                 0.403088   0.463509   0.516331   0.576778  0.621916    156.10   196.87
Trenton, City of         895130K27 03/13/03 04/01/15     52.558     0.000    5.4098   461.25     0.146315                                                13.17         
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000    6.1698   329.52     0.108653   0.112005   0.115461   0.119022  0.122694     40.33    42.86
Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36    100.000    VARIES    8.5854              0.374621   0.386082   0.398035   0.410501  0.423502    137.63   146.30
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES    4.6496              0.132073   0.132227   0.132296   0.132366  0.132261     47.60    47.64
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES    2.4224              0.065900   0.065992   0.066085   0.066178  0.066273     23.76    23.83
UBS AG                   90261JHQ9 09/23/11 09/23/19    100.000    VARIES    2.3047              0.004824   0.004880   0.004936   0.004993  0.005051      1.76     1.80
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES    2.5378              0.009729   0.009852   0.009977   0.010104  0.010232      3.55     3.64
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES    5.7801              0.116999   0.115391   0.113736   0.112034  0.110283     41.30    40.08
UBS AG                   90261XEU2 03/06/08 03/06/18    100.000    VARIES    4.6051              0.121914   0.122171   0.122761   0.123365  0.124307     44.03    44.48
Union CNTY SD #531, IL   904842CU3 05/17/11 12/01/16     99.662    VARIES    3.6779              0.102013   0.102050   0.102087   0.102126               36.73    33.70
Union CNTY SD #531, IL   904842CV1 05/17/11 12/01/17    108.762    VARIES    4.1179              0.119286   0.118511   0.117720   0.116912  0.116088     42.76    42.18
Union CNTY SD #531, IL   904842CW9 05/17/11 12/01/18    107.234    VARIES    4.3707              0.126392   0.125815   0.125226   0.124624  0.124008     45.36    44.94
Union City, NJ           905734ME6 02/07/07 11/01/15     62.150     0.000    5.5197   334.22     0.145201   0.149209                                     44.28         
Union City, NJ           905734MF3 02/07/07 11/01/16     58.640     0.000    5.5586   318.04     0.138371   0.142216   0.146169   0.150231               50.97    44.58
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Union City, NJ           905734MG1 02/07/07 11/01/17     55.340     0.000    5.5882   302.09     0.131572   0.135248   0.139028   0.142912  0.146905     48.48    51.22
United Refining Co.      911358AJ8 03/08/11 02/28/18*    96.444    10.500   11.2489    16.11     0.014106   0.014656   0.015651                           4.77*        
United Refining Co.      911358AK5 03/08/11 02/28/18*    96.444    10.500   11.2489    16.11     0.014106   0.014656   0.015651                           4.77*        
United Technologies Corp 913017AR0 11/13/89 11/15/19     98.974     8.875    8.9741     6.42     0.001767   0.001816   0.001918   0.001983  0.002106       .66      .72
Univ of NC-Chap Hill     914713KW1 08/14/91 02/15/15     12.000     0.000    9.2278   869.22     0.245024                                                10.78         
Uruguay, Republic        917288AV4 05/29/03 06/22/15     76.000     8.750   12.6875   222.41     0.102852                                                17.59         
Uruguay, Republic        917288AX0 05/29/03 01/20/17     73.000     7.625   11.6165   198.95     0.083608   0.088464   0.093602   0.099039  0.104791     32.58    36.48
Uruguay, Republic        917288AZ5 05/29/03 03/15/15     71.500     7.500   12.0979   276.09     0.120436                                                 8.91         
Uruguay, Republic        917288BA9 05/29/03 01/15/33    100.000     7.875    N/A                 0.138437   0.139379   0.140381   0.141445  0.142576     50.33     5.10
Utah ST Charter SCH FIN  91754TCN1 12/21/10 07/15/15     98.130     8.000    8.5025    16.11     0.012844   0.013390                                      2.59         
VeriSign, Inc.           92343EAC6 08/20/07 08/15/37    100.000    VARIES    8.5008              0.351211   0.362302   0.373864   0.385918  0.397516    131.51   139.98
VeriSign, Inc.           92343EAD4 08/20/07 08/15/37    100.000    VARIES    8.5008              0.351211   0.362302   0.373864   0.385918  0.397516    131.51   139.98
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    9.9999              0.277778   0.277778   0.277778   0.277778              100.00   100.00
Viginia Pub School Auth  92817SPA0 11/13/09 09/15/26     90.643     6.050    7.0049    18.14     0.011611   0.012018   0.012439   0.012874  0.013325      4.34     4.65
Wells Fargo & Company    94986RBC4 11/05/10 05/06/16    100.000     0.000    1.7322              0.051557   0.052003   0.052454                          18.69     6.56
Wells Fargo & Company    94986RBH3 11/05/10 11/05/17    100.000    VARIES    2.5030              0.071998   0.071792   0.071583   0.071128  0.070668     25.86    25.64
Wells Fargo & Company    94986RBP5 12/07/10 12/07/16    100.000     0.000    2.2309              0.067721   0.068476   0.069240   0.070012               24.55    23.40
Wells Fargo & Company    94986RBQ3 12/07/10 06/07/17    100.000     0.000    2.4501              0.075024   0.075943   0.076873   0.077815  0.078768     27.22    27.89
Wells Fargo & Company    94986RBY6 01/05/11 01/06/17    100.000     0.000    2.6501              0.080726   0.081796   0.082880   0.083978  0.085091     29.63    30.42
Wells Fargo & Company    94986RBZ3 01/05/11 07/07/17    100.000     0.000    2.7699              0.084733   0.085907   0.087097   0.088303  0.089526     31.13    31.99
Wells Fargo & Company    94986RCG4 02/07/11 02/07/17    100.000     1.250    2.5699              0.074815   0.075330   0.075852   0.076380  0.076916     27.18    27.56
Wells Fargo & Company    94986RCP4 02/07/11 02/07/18    100.000     1.500    2.9500              0.086292   0.086950   0.087618   0.088296  0.088984     31.37    31.86
Wells Fargo & Company    94986RCW9 03/07/11 03/07/17    100.000     1.250    2.5500              0.074183   0.074686   0.075195   0.075711  0.076234     26.91    27.28
Wells Fargo & Company    94986RCZ2 03/02/11 03/02/16     99.730     0.125    N/A                 0.007759   0.007774   0.007782                           2.80      .47
Wells Fargo & Company    94986RDD0 03/31/11 03/31/21    100.000    VARIES    4.1708              0.116345   0.116413   0.116475   0.116539  0.116571     41.91    41.95
Wells Fargo & Company    94986RDL2 04/29/11 04/30/21    100.000    VARIES    4.3018              0.120340   0.120390   0.120424   0.120459  0.120464     43.34    43.36
Wells Fargo & Company    94986RDU2 06/07/11 06/07/17    100.000     0.000    2.3099              0.069537   0.070340   0.071152   0.071974  0.072805     25.22    25.80
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES    4.1140              0.116214   0.116319   0.116338   0.116357  0.116301     41.86    41.88
Wells Fargo & Company    94986RDX6 07/06/11 01/08/18    100.000     0.000    1.9900              0.058669   0.059253   0.059842   0.060438  0.061039     21.43    21.86
Wells Fargo & Company    94986REQ0 08/05/11 02/07/18    100.000     0.000    2.4202              0.072271   0.073146   0.074031   0.074927  0.075833     26.43    27.07
Wells Fargo & Company    94986RFA4 09/08/11 03/07/18    100.000     0.000    2.2999              0.068422   0.069208   0.070004   0.070809  0.071624     24.95    25.53
Wells Fargo & Company    94986RFL0 10/05/11 10/05/18    100.000     0.000    2.4700              0.073855   0.074767   0.075691   0.076625  0.077572     26.91    27.58
Wells Fargo & Company    94986RFS5 10/05/11 04/06/18    100.000     0.000    2.3000              0.068431   0.069218   0.070014   0.070820  0.071634     24.91    25.49
Wells Fargo & Company    94986RFX4 11/08/11 05/07/18    100.000     0.000    2.3199              0.069057   0.069858   0.070668   0.071488  0.072317     25.09    25.68
Wells Fargo & Company    94986RGE5 12/07/11 06/07/18    100.000     0.000    2.3299              0.069379   0.070188   0.071005   0.071832  0.072669     25.16    25.75
Wells Fargo & Company    94986RGS4 01/04/12 07/06/18    100.000     0.000    2.3699              0.069834   0.070661   0.071499   0.072346  0.073203     25.58    26.19
Wells Fargo & Company    94986RHA2 02/07/12 08/07/18    100.000     0.000    2.0501              0.059927   0.060541   0.061162   0.061789  0.062422     21.86    22.31
Wells Fargo & Company    94986RHB0 01/27/12 01/27/17    100.000    VARIES    1.6991              0.015420   0.015551   0.015683   0.015817  0.015951      5.62     5.71
Wells Fargo & Company    94986RHC8 01/27/12 01/28/19    100.000    VARIES    1.7471              0.015106   0.015238   0.015371   0.015505  0.015641      5.50     5.60
Wells Fargo & Company    94986RHG9 03/07/12 09/10/18    100.000     0.000    1.9799              0.057784   0.058356   0.058933   0.059517  0.060106     21.03    21.45
Wells Fargo & Company    94986RHH7 02/15/12 02/15/17    100.000    VARIES    1.4532              0.010643   0.010720   0.010798   0.010876  0.010955      3.87     3.92
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RHM6 03/07/12 09/08/16    100.000     0.000    1.0799              0.030817   0.030983   0.031151   0.031319               11.16     7.72
Wells Fargo & Company    94986RHQ7 03/05/12 03/05/19    100.000    VARIES    1.4012              0.010587   0.010488   0.010677   0.010635  0.010887      3.86     3.92
Wells Fargo & Company    94986RHR5 03/07/12 09/10/18    100.000     0.000    2.1000              0.061472   0.062117   0.062769   0.063428  0.064094     22.39    22.86
Wells Fargo & Company    94986RHX2 04/04/12 10/05/18    100.000     0.000    1.9801              0.057784   0.058356   0.058933   0.059517  0.060106     21.00    21.42
Wells Fargo & Company    94986RHY0 04/04/12 10/07/16    100.000     0.000    1.1500              0.032878   0.033067   0.033258   0.033449               11.90     9.21
Wells Fargo & Company    94986RHZ7 03/21/12 03/21/19    100.000    VARIES    1.3789              0.010575   0.010647   0.010721   0.010795  0.010869      3.83     3.94
Wells Fargo & Company    94986RJK8 04/24/12 04/24/19    100.000    VARIES    1.3828              0.010882   0.010958   0.011033   0.011110  0.011187      3.94     4.05
Wells Fargo & Company    94986RJR3 06/07/12 12/07/18    100.000     0.000    1.9898              0.058079   0.058656   0.059240   0.059829  0.060425     21.04    21.46
Wells Fargo & Company    94986RJW2 05/29/12 05/29/19    100.000     0.000    2.2699              0.066715   0.067473   0.068238   0.069013  0.069796     24.20    24.76
Wells Fargo & Company    94986RKE0 07/05/12 07/08/19    100.000     0.000    1.8098              0.052126   0.052598   0.053074   0.053554  0.054039     19.01    19.36
Wells Fargo & Company    94986RKN0 08/07/12 08/07/19    100.000     0.000    1.6999              0.048847   0.049262   0.049681   0.050103  0.050529     17.78    18.08
Wells Fargo & Company    94986RKY6 08/17/12 08/19/19    100.000    VARIES    1.2319              0.007711   0.007759   0.007807   0.007855  0.007903      2.80     2.83
Wells Fargo & Company    94986RLH2 09/21/12 09/23/19    100.000    VARIES    1.1737              0.007721   0.007766   0.007812   0.007858  0.007904      2.80     2.83
Wells Fargo & Company    94986RLK5 10/03/12 10/07/19    100.000     0.000    1.5699              0.045004   0.045357   0.045713   0.046072  0.046434     16.32    16.58
Wells Fargo & Company    94986RLM1 10/03/12 10/07/19    100.000     0.000    1.7300              0.049751   0.050181   0.050615   0.051053  0.051495     18.06    18.37
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES    1.2945              0.010908   0.010979   0.011050   0.011122  0.011194      3.95     4.00
Wells Fargo & Company    94986RLU3 11/07/12 11/07/19    100.000     0.000    1.7201              0.049447   0.049873   0.050302   0.050734  0.051171     17.92    18.23
Wells Fargo & Company    94986RLV1 10/19/12 10/19/20    100.000    VARIES    1.1744              0.009048   0.009101   0.009155   0.009209  0.009263      3.27     3.31
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES    1.1530              0.008616   0.008667   0.008715   0.008765  0.008816      3.12     3.15
Wells Fargo & Company    94986RMD0 11/16/12 11/16/20    100.000    VARIES    1.0417              0.007337   0.007376   0.007414   0.007453  0.007492      2.65     2.68
Wells Fargo & Company    94986RME8 12/07/12 12/06/19    100.000     0.000    1.3599              0.038813   0.039077   0.039343   0.039610  0.039880     14.03    14.22
Wells Fargo & Company    94986RMF5 12/07/12 12/06/19    100.000     0.000    1.6200              0.046474   0.046851   0.047230   0.047613  0.047999     16.82    17.09
Wells Fargo & Company    94986RMH1 01/03/13 01/08/20    100.000     0.000    1.0001              0.028204   0.028345   0.028487   0.028630  0.028773     10.23    10.33
Wells Fargo & Company    94986RMJ7 01/03/13 01/08/20    100.000     0.000    1.6997              0.048441   0.048853   0.049268   0.049686  0.050109     17.66    17.96
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES    1.2832              0.010615   0.010683   0.010751   0.010820  0.010890      3.84     3.88
Wells Fargo & Company    94986RMT5 02/07/13 02/07/20    100.000     0.000    1.3701              0.038847   0.039113   0.039381   0.039651  0.039923     14.11    14.30
Wells Fargo & Company    94986RMU2 02/07/13 02/07/20    100.000     0.000    1.6097              0.045803   0.046172   0.046543   0.046918  0.047296     16.66    16.93
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES    1.1862              0.009783   0.009484   0.009540   0.009597  0.009653      3.43     3.46
Wells Fargo & Company    94986RNF4 03/06/13 03/06/20    100.000     0.000    1.5599              0.044354   0.044700   0.045049   0.045400  0.045754     16.11    16.36
Wells Fargo & Company    94986RNG2 03/06/13 03/06/20    100.000     0.000    1.3399              0.037973   0.038227   0.038483   0.038741  0.039001     13.77    13.96
Wells Fargo & Company    94986RNJ6 02/22/13 02/22/21    100.000    VARIES    1.0349              0.011329   0.011576   0.011446   0.011632  0.011565      4.20     4.24
Wells Fargo & Company    94986RNU1 04/03/13 04/07/20    100.000     0.000    1.4905              0.042344   0.042659   0.042977   0.043297  0.043620     15.35    15.58
Wells Fargo & Company    94986RNV9 04/03/13 04/07/20    100.000     0.000    1.5698              0.044649   0.045000   0.045353   0.045709  0.046068     16.20    16.45
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES    1.1811              0.010315   0.010064   0.010123   0.010183  0.010243      3.65     3.67
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES    1.3586              0.010665   0.010288   0.010358   0.010428  0.010499      3.74     3.75
Wells Fargo & Company    94986RPA3 03/20/13 03/20/20    100.000    VARIES    1.1706              0.007650   0.007536   0.007580   0.007625  0.007670      2.73     2.75
Wells Fargo & Company    94986RPF2 05/08/13 05/07/20    100.000     0.000    1.5101              0.042903   0.043227   0.043554   0.043883  0.044214     15.54    15.77
Wells Fargo & Company    94986RPG0 05/08/13 05/07/20    100.000     0.000    1.4898              0.042316   0.042631   0.042949   0.043269  0.043591     15.32    15.55
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES    1.3234              0.007371   0.007420   0.007469   0.007518  0.007568      2.67     2.70
Wells Fargo & Company    94986RPJ4 04/10/13 01/24/20     95.000     0.000    N/A                 0.052733   0.053247   0.053766   0.054290  0.054819     19.24    19.62
Wells Fargo & Company    94986RPS4 06/07/13 06/05/20    100.000     0.000    N/A                 0.051938   0.052411   0.052888   0.053369  0.053855     18.81    19.15
Wells Fargo & Company    94986RPT2 06/07/13 06/05/20    100.000     0.000    N/A                 0.053111   0.053605   0.054103   0.054606  0.055114     19.23    19.59
Wells Fargo & Company    94986RQA2 07/02/13 07/08/20    100.000     0.000    2.4199              0.068884   0.069717   0.070561   0.071415  0.072279     25.24    25.85
                                                                                                                                                                       


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     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RQB0 07/02/13 07/08/20    100.000     0.000    2.2502              0.063945   0.064665   0.065392   0.066128  0.066872     23.40    23.93
Wells Fargo & Company    94986RQF1 06/12/13 06/05/20    100.000     0.000    2.3333              0.067080   0.067863   0.068655   0.069456  0.070266     24.33    24.90
Wells Fargo & Company    94986RQH7 06/17/13 06/10/20    100.000     0.000    2.4816              0.071499   0.072386   0.073284   0.074194  0.075114     25.94    26.58
Wells Fargo & Company    94986RQJ3 06/17/13 01/24/20     93.099     0.000    2.3704              0.062917   0.063663   0.064418   0.065181  0.065954     23.02    23.57
Wells Fargo & Company    94986RQR5 08/08/13 08/07/20    100.000     0.000    2.4500              0.069729   0.070583   0.071448   0.072323  0.073209     25.50    26.13
Wells Fargo & Company    94986RQS3 08/08/13 08/07/20    100.000     0.000    2.3798              0.067685   0.068490   0.069305   0.070130  0.070964     24.74    25.34
Wells Fargo & Company    94986RQZ7 09/09/13 09/08/20    100.000     0.000    2.0800              0.058983   0.059597   0.060216   0.060843  0.061476     21.48    21.93
Wells Fargo & Company    94986RRG8 10/03/13 10/07/19    100.000     0.000    1.9198              0.054369   0.054891   0.055418   0.055950  0.056487     19.75    20.14
Wells Fargo & Company    94986RRH6 10/03/13 10/07/20    100.000     0.000    1.9198              0.054370   0.054892   0.055419   0.055951  0.056488     19.76    20.14
Wells Fargo & Company    94986RRS2 11/07/13 05/07/20    100.000     0.000    1.7498              0.049462   0.049895   0.050332   0.050772  0.051216     17.93    18.25
Wells Fargo & Company    94986RSM4 01/03/14 01/04/19    100.000     0.000    1.7402              0.048762   0.049186   0.049614   0.050046  0.050481     17.78    18.09
Wells Fargo & Company    94986RSU6 01/29/14 01/29/16*   100.000    VARIES    0.2460              0.006720                                                  .19*        
Wells Fargo & Company    94986RTB7 03/04/14 03/02/16*   100.000    VARIES    0.2791              0.007569                                                  .45*        
Wells Fargo & Company    94986RTK7 03/13/14 03/13/19    110.000     0.125    2.1760              0.067176   0.067869   0.068569   0.069278  0.069994     24.46    24.97
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000    3.5788              0.101193   0.103003   0.104847   0.106723  0.108632     37.10    38.44
Wells Fargo & Company    94986RUS8 08/25/14 08/25/21    100.000    VARIES    1.0018              0.027830   0.027742   0.027653   0.027563  0.027473      9.98     9.92
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES    2.5650              0.008077   0.007255   0.006422   0.006504  0.006587      2.60     2.34
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES    2.5155              0.008081   0.007272   0.006453   0.006534  0.006616      2.62     2.35
Wells Fargo & Company    94986RVS7 01/28/15 12/29/16*   100.000     5.684    N/A                 0.011368                                                 1.02*        
Wells Fargo & Company    94986RVT5 01/29/15 12/30/16*   100.000     4.660    N/A                 0.011355                                                 1.02*        
Wells Fargo & Company    94986RVY4 02/23/15 02/21/20    110.000     0.125    2.3384                         0.071454   0.072240   0.073044  0.073858     22.11    26.36
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES    2.1820                         0.011322   0.011063   0.010802  0.010537      3.41     3.87
Wells Fargo & Company    94986RWB3 03/04/15 08/31/16*   100.000    VARIES    N/A                            0.010828                                       .93*        
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000    2.0103                         0.055843   0.056405   0.056972  0.057544     14.85    20.50
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES    2.0658                         0.057386   0.057156   0.056925  0.056691     15.53    20.49
Wells Fargo & Company    94986RWK3 03/19/15 09/19/16*   100.000    VARIES    N/A                            0.011077                                      1.05*        
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES    2.2225                         0.061737   0.061351   0.060961  0.060567     15.35    21.96
Wells Fargo & Company    94986RWU1 04/30/15 01/29/17    100.000    VARIES    N/A                            0.013321   0.013135   0.013023  0.012988      3.18     4.69
Wells Fargo & Company    94986RWV9 04/29/15 01/27/17    100.000    VARIES    0.4793                         0.013315   0.013142   0.013016  0.012966      3.20     4.68
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES    2.2895                         0.011779   0.011426   0.011068  0.010707      2.58     4.02
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES    2.5016                         0.011455   0.011208   0.010957  0.010704      2.07     3.99
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250    2.4236                         0.067325   0.068057   0.068797  0.069547     12.59    24.64
Wells Fargo & Company    94986RXS5 06/22/15 12/21/16    100.000    VARIES    0.4285                         0.011905   0.011578   0.011481                2.25     4.03
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES    2.4665                                    0.010583   0.010244  0.009902      1.61     3.65
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES    2.4322                                    0.010191   0.009869  0.009543      1.20     3.53
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES    2.2451                                    0.012165   0.011806  0.011444      1.05     4.25
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES    2.2546                                    0.010529   0.010282  0.010031       .86     3.71
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES    2.3810                                    0.014041   0.013606  0.013165      1.15     4.90
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES    2.3226                                    0.064517   0.064165  0.063809      4.19    23.12
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES    2.4454                                    0.010876   0.010432  0.009981       .52     3.79
Wesco International,Inc. 95082PAH8 08/27/09 09/15/29    100.000    VARIES   13.8738              0.597355   0.627231   0.659181   0.693346  0.729881    226.98   250.95
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Westmoreland Coal Co.    960887AA5 02/04/11 02/01/18*    95.000    10.750   11.8206    23.00     0.019897                                                  .60*        
Westmoreland Coal Co.    960887AB3 02/04/11 02/01/18*    95.000    10.750   11.8206    23.00     0.019897                                                  .60*        
White CNTYS SD #533, IL  963806DG6 08/04/10 12/01/15    108.920    VARIES    3.6292              0.102648   0.101738                                     33.71         
White CNTYS SD #533, IL  963806DH4 08/04/10 12/01/16    108.932    VARIES    3.8808              0.111129   0.110321   0.109497   0.108657               39.81    35.98
White CNTYS SD #533, IL  963806DJ0 08/04/10 12/01/17    108.163    VARIES    4.1816              0.120434   0.119757   0.119067   0.118362  0.117643     43.19    42.69
White CNTYS SD #533, IL  963806DK7 08/04/10 12/01/18    105.851    VARIES    4.6311              0.132682   0.132216   0.131740   0.131253  0.130755     47.65    47.31
White CNTYS SD #533, IL  963806DL5 08/04/10 12/01/19    102.631    VARIES    4.8822              0.137806   0.137610   0.137410   0.137204  0.136993     49.56    49.42
Whiteside County, IL     965772CW4 07/01/15 12/01/16    101.661     0.000    2.2652                         0.063969   0.064572   0.065304               11.53    21.44
Will County SD #88, IL   968794ED5 03/03/09 10/01/28     93.191     5.500    N/A                 0.012013   0.012396   0.011789   0.012165  0.011551      4.37     4.29
Will County SD #122, IL  968852FG3 11/19/97 11/01/16     23.888     0.000    7.6998   631.91     0.183888   0.190968   0.198320   0.205955               68.34    60.87
Will County SD #122, IL  968852FH1 11/19/97 11/01/17     22.150     0.000    7.6997   585.92     0.170505   0.177070   0.183887   0.190966  0.198318     63.37    68.34
Will County SD #122, IL  968852TN3 03/15/07 10/01/25     34.635     0.000    5.7999   194.55     0.085899   0.088390   0.090953   0.093591  0.096305     31.83    33.70
Will County SD #122, IL  968852TP8 03/15/07 10/01/26     32.402     0.000    5.8498   183.92     0.081348   0.083728   0.086177   0.088697  0.091291     30.15    31.94
Will County SD #122, IL  968852WL3 04/02/09 10/01/23     92.349     5.250    6.2550              0.020519   0.021160   0.021822   0.022505  0.023208      7.62     8.10
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000    7.3750   125.84     0.074322   0.077063   0.079905   0.082851  0.085907     27.75    29.84
Will County SD #365, IL  969078QM9 03/17/09 11/01/27     23.731     0.000    7.8743   133.90     0.080144   0.083299   0.086579   0.089987  0.093530     29.81    32.20
Will County SD #365, IL  969078QN7 03/17/09 11/01/28     21.864     0.000    7.8992   123.84     0.074172   0.077102   0.080147   0.083312  0.086603     27.59    29.81
Williamson Jackson, IL   970013EF1 11/20/14 12/01/15    101.487     0.000    0.5480              0.015454   0.015496                                      5.11         
Williamson Jackson, IL   970013EG9 11/20/14 12/01/16    102.004    VARIES    0.9978              0.028281   0.028422   0.027992   0.027855               10.20     9.21
Williamson Jackson, IL   970013EH7 11/20/14 12/01/17    101.326    VARIES    1.5475              0.043577   0.043914   0.043368   0.043274  0.043179     15.74    15.59
Williamson Jackson, IL   970013EJ3 11/20/14 12/01/18    103.853    VARIES    1.9960              0.057618   0.058193   0.057060   0.056798  0.056533     20.83    20.48
Williamson Jackson, IL   970013EK0 11/20/14 12/01/19    103.306    VARIES    2.2963              0.065944   0.066701   0.065494   0.065290  0.065082     23.86    23.53
Williamson Jackson, IL   970013EL8 11/20/14 12/01/20    102.500    VARIES    2.5464              0.072559   0.073483   0.072231   0.072090  0.071947     26.28    25.97
Williamson Jackson, IL   970013EM6 11/20/14 12/01/21    101.267    VARIES    2.7966              0.078736   0.079837   0.078551   0.078484  0.078417     28.54    28.26
Williamson Jackson, IL   970013EN4 11/20/14 12/01/22    100.000    VARIES    2.9965              0.083314   0.084562   0.083255   0.083254  0.083253     30.22    29.97
Woodford CNTYS SD #21,IL 979293BD8 06/06/13 12/01/15    103.819    VARIES    1.2892              0.036365   0.036089                                     11.95         
Woodford CNTYS SD #21,IL 979293BE6 06/06/13 12/01/16    105.457    VARIES    1.4904              0.042709   0.042385   0.042059   0.041731               15.30    13.82
Woodford CNTYS SD #21,IL 979293BF3 06/06/13 12/01/17    106.065    VARIES    1.6914              0.048911   0.048597   0.048280   0.047960  0.047637     17.53    17.30
Woodford CNTYS SD #21,IL 979293BG1 06/06/13 12/01/18    105.731    VARIES    1.9916              0.057669   0.057385   0.057099   0.056811  0.056519     20.69    20.49
Woodford CNTY SD #60, IL 979319BA7 07/02/10 12/01/15    107.046    VARIES    3.7759              0.106390   0.105645                                     34.97         
Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16    105.573    VARIES    4.2263              0.119682   0.119129   0.118565   0.117988               42.95    39.02
Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17    104.694    VARIES    4.4776              0.127047   0.126627   0.126197   0.125757  0.125308     45.64    45.32
York County, PA          986812MA0 12/28/95 02/01/15     26.297     0.000    7.1196   731.30     0.190969                                                 5.73         
York County, PA          986812MB8 12/28/95 02/01/16     24.378     0.000    7.1496   683.02     0.178738   0.185128   0.191746                          67.45     5.75
York County, PA          986812MC6 12/28/95 02/01/17     22.586     0.000    7.1795   637.55     0.167190   0.173192   0.179410   0.185850  0.192522     63.10    67.71
York County, PA          986812MD4 12/28/95 02/01/18     20.780     0.000    7.2396   595.37     0.156788   0.162464   0.168344   0.174438  0.180752     59.20    63.56
York County, PA          986812ME2 12/28/95 02/01/19     19.353     0.000    7.2397   554.50     0.146027   0.151313   0.156790   0.162466  0.168347     55.14    59.20
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000    7.2396   516.43     0.136001   0.140924   0.146025   0.151311  0.156788     51.35    55.13
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000    7.2397   480.98     0.126666   0.131252   0.136003   0.140926  0.146027     47.83    51.35
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000    7.2396   447.97     0.117970   0.122241   0.126665   0.131251  0.136002     44.54    47.83
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000    7.2398   417.21     0.109873   0.113850   0.117972   0.122242  0.126667     41.48    44.54
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2015 1st   2015 2nd   2015 3rd   2016 2nd  2016 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/15      Period     Period    2016 1st    Period    Period      2015     2016 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000    7.2396   388.57     0.102330   0.106034   0.109872   0.113849  0.117970     38.64    41.48
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000    7.2396   516.43     0.136001   0.140924   0.146025   0.151311  0.156788     51.35    55.13
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000    7.2396   516.43     0.136001   0.140924   0.146025   0.151311  0.156788     51.35    55.13
Zions Bancorporation     989701BB2 03/27/12 03/27/17     94.250     4.500    5.8427    29.72     0.032297   0.033241   0.034212   0.035211  0.036240     11.98    12.69
Zions Bancorporation     989701BC0 06/20/12 06/20/16     97.500     4.000    4.6927    15.28     0.017950   0.018372   0.018803                           6.55     3.18
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000    2.6249   233.32     0.059963   0.060750   0.061547   0.062355  0.063173     21.85    22.43
Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18     98.138     9.625    N/A                 0.274778   0.275148   0.275538   0.275947  0.276376     99.07    99.36
Transportadora Gas Norte P93081AL4 08/22/12 08/22/19     25.000    VARIES    N/A                 0.403088   0.463509   0.516331   0.576778  0.621916    156.10   196.87
Bank of America Corp.    U0662KBL4 03/18/02 01/04/17     38.300     0.000    6.5924   494.87     0.155713   0.160846   0.166147   0.171624  0.177281     58.83    62.77
Caesars Entertainment    U1229TAB2 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Caesars Entertainment    U1229TAC0 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Caesars Entertainment    U1229TAD8 02/15/13 02/15/20     97.500     9.000    9.4970     5.21     0.008288   0.008682   0.009094   0.009526  0.009978      3.16     3.47
Cheniere Energy, Inc.    U16344AB6 11/28/14 05/28/21    100.000     4.875    N/A                 0.135417   0.138717   0.142099   0.145562  0.149110     49.56    52.01
First Data Corporation.  U3198DAC8 12/17/10 01/15/21*    94.750     8.250    9.0551    15.67     0.012577   0.013147   0.013742                           4.49*        
First Data Corporation.  U3198DAG9 12/17/10 01/15/22     95.625    VARIES    N/A                 0.345787   0.346638   0.347530   0.348465  0.349446    124.93   125.60
First Data Corporation.  U3198DAH7 12/15/10 01/15/21*    91.875    12.625   14.1624    20.21     0.017548   0.018791   0.020121                           6.34*        
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000   13.8062    88.44     0.096078   0.102710   0.109800   0.117380  0.125483     36.61    41.83
Hovnanian Enterprises    U48654AN4 11/01/11 11/01/21     42.000     2.000   12.1926              0.179201   0.186739   0.194737   0.203222  0.212224     66.80    72.68
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31    100.000     3.500    N/A                 0.548063   0.567017   0.586621   0.606880  0.627793    207.12   221.66
Milagro Oil & Gas, Inc.  U6004KAA3 05/11/11 05/15/16     97.182    10.500   11.2509    18.89     0.017701   0.018697   0.019748                           6.65     2.65
MTR Gaming Group, Inc.   U60753AD9 08/05/11 08/01/19*    97.000    11.500    N/A                 0.331829   0.332387   0.332978                          73.45*        
PC Nextco Holdings, LLC  U7050VAA0 08/01/13 08/15/19*    99.000     8.750    N/A                 0.246962   0.247137                                     30.39*        
Sabine Pass LNG, LP      U8596QAC6 09/15/08 11/30/16     79.000     7.500   11.5231   142.68     0.089321   0.094468   0.099911   0.105667               33.41    33.91
United Refining Co.      U9112YAF5 03/08/11 02/28/18*    96.444    10.500   11.2489    16.11     0.014106   0.014656   0.015651                           4.77*        
Westmoreland Coal Co.    U96068AA6 02/04/11 02/01/18*    95.000    10.750   11.8206    23.00     0.019897                                                  .60*        
    -----------------------------                                                                                                                                      
    *  Called in 2015; reportable OID is computed to call date.                                                                                                        








                                                                                                                                                                       


SECTION I-C Inflation Indexed Debt Instruments



                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2015 1st   2015 2nd   2015 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/15     Period     Period     Period         2015
______________       _________   ________  _________    ___________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98  04/15/28      100.000       3.625%     467.99     -0.193350   0.145977   -0.052582      2.50
U.S. Treasury        912810FH6   04/15/99  04/15/29      100.000       3.875%     444.30     -0.190229   0.143621   -0.051733      2.46
U.S. Treasury        912810FQ6   10/15/01  04/15/32      100.000       3.375%     337.65     -0.176183   0.133016   -0.047913      2.28
U.S. Treasury        912810FR4   07/15/04  01/15/25      100.000       2.375%     259.61     -0.219393   0.008489    0.021668      2.15
U.S. Treasury        912828DH0   01/15/05  01/15/15      100.000       1.625%     243.46     -0.216580                            -3.03
U.S. Treasury        912828EA4   07/15/05  07/15/15      100.000       1.875%     220.67     -0.212611   0.008226                 -1.49
U.S. Treasury        912810FS2   01/15/06  01/15/26      100.000       2.000%     196.27     -0.208360   0.008062    0.020579      2.04
U.S. Treasury        912828ET3   01/15/06  01/15/16      100.000       2.000%     196.27     -0.208360   0.008062    0.020579      2.04
U.S. Treasury        912828FL9   07/15/06  07/15/16      100.000       2.500%     175.69     -0.204776   0.007923    0.020225      2.01
U.S. Treasury        912810PS1   01/15/07  01/15/27      100.000       2.375%     177.37     -0.205068   0.007934    0.020254      2.01
U.S. Treasury        912828GD6   01/15/07  01/15/17      100.000       2.375%     177.37     -0.205068   0.007934    0.020254      2.01
U.S. Treasury        912828GX2   07/15/07  07/15/17      100.000       2.625%     145.60     -0.199535   0.007720    0.019707      1.95
U.S. Treasury        912828JE1   07/15/08  07/15/18      100.000       0.375%     101.06     -0.191777   0.007420    0.018941      1.88
U.S. Treasury        912828HN3   01/15/08  01/15/18      100.000       1.625%     133.35     -0.197401   0.007638    0.019496      1.93
U.S. Treasury        912810PV4   01/15/08  01/15/28      100.000       1.750%     133.35     -0.197401   0.007638    0.019496      1.93
U.S. Treasury        912810PZ5   01/15/09  01/15/29      100.000       2.500%     105.88     -0.192617   0.007453    0.019024      1.89
U.S. Treasury        912828JX9   01/15/09  01/15/19      100.000       2.125%     105.88     -0.192617   0.007453    0.019024      1.89
U.S. Treasury        912828LA6   07/15/09  07/15/19      100.000       1.875%     112.00     -0.193683   0.007494    0.019129      1.90
U.S. Treasury        912828MF4   01/15/10  01/15/20      100.000       1.375%      97.98     -0.191240   0.007399    0.018888      1.87
U.S. Treasury        912810QF8   02/15/10  02/15/40      100.000       2.125%      98.52     -0.200642   0.069008   -0.011423      1.87
U.S. Treasury        912828MY3   04/15/10  04/15/15      100.000       0.500%      95.61     -0.144304                           -15.01
U.S. Treasury        912828NM8   07/15/10  07/15/20      100.000       1.250%      88.72     -0.189627   0.007337    0.018729      1.86
U.S. Treasury        912828PP9   01/15/11  01/15/21      100.000       1.125%      85.40     -0.189048   0.007315    0.018672      1.85
U.S. Treasury        912810QP6   02/15/11  02/15/41      100.000       2.125%      84.21     -0.198029   0.068110   -0.011275      1.85
U.S. Treasury        912828QD5   04/15/11  04/15/16      100.000       0.125%      75.67     -0.141677   0.106965   -0.038529      1.83
U.S. Treasury        912828QV5   07/15/11  07/15/21      100.000       0.625%      53.46     -0.183486   0.007099    0.018122      1.80
U.S. Treasury        912828SA9   01/15/12  01/15/22      100.000       0.125%      49.03     -0.182715   0.007069    0.018046      1.79
U.S. Treasury        912810QV3   02/15/12  02/15/42      100.000       0.750%      50.77     -0.191921   0.066009   -0.010927      1.79
U.S. Treasury        912828SQ4   04/15/12  04/15/17      100.000       0.125%      45.36     -0.137685   0.103950   -0.037443      1.78
U.S. Treasury        912828TE0   07/15/12  07/15/22      100.000       0.125%      32.48     -0.179833   0.006958    0.017761      1.76
U.S. Treasury        912828UH1   01/15/13  01/15/23      100.000       0.125%      28.64     -0.179163   0.006932    0.017695      1.75
U.S. Treasury        912810RA8   02/15/13  02/15/43      100.000       0.625%      32.72     -0.188624   0.064875   -0.010739      1.76
U.S. Treasury        912828UX6   04/15/13  04/15/18      100.000       0.125%      27.14     -0.135285   0.102138   -0.036791      1.75
U.S. Treasury        912828VM9   07/15/13  07/15/23      100.000       0.375%      20.26     -0.177704   0.006876    0.017551      1.74
U.S. Treasury        912828B25   01/15/14  01/15/24      100.000       0.625%      17.58     -0.177237   0.006858    0.017505      1.74
U.S. Treasury        912810RF7   02/15/14  02/15/44      100.000       1.375%      18.77     -0.186076   0.063999   -0.010594      1.74
U.S. Treasury        912828C99   04/15/14  04/15/19      100.000       0.125%      13.29     -0.133461   0.100761   -0.036295      1.73
U.S. Treasury        912828WU0   07/15/14  07/15/24      100.000       0.125%                -0.174165   0.006739    0.017202      1.71
U.S. Treasury        912828H45   01/15/15  01/15/25      100.000       0.250%                            0.006756    0.017245      4.15
U.S. Treasury        912810RL4   02/15/15  02/15/45      100.000       0.750%                            0.063340   -0.010485     10.01

SECTION I-C Inflation Indexed Debt Instruments



                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2015 1st   2015 2nd   2015 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/15     Period     Period     Period         2015
______________       _________   ________  _________    ___________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912828K33   04/15/15  04/15/20      100.000       0.125%                            0.100821   -0.036316     15.62
U.S. Treasury        912828XL9   07/15/15  07/15/25      100.000       0.375%                                        0.017223      2.93





                                    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 2015).
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/15    03/31/15      0.10            07/01/26    09/30/26      17.74
     04/01/15    06/30/15      0.60            10/01/26    12/31/26      17.69
     07/01/15    09/30/15      1.27            01/01/27    03/31/27      17.65
     10/01/15    12/31/15      2.50            04/01/27    06/30/27      17.61
     01/01/16    03/31/16      3.49            07/01/27    09/30/27      17.56
     04/01/16    06/30/16      4.58            10/01/27    12/31/27      17.52
     07/01/16    09/30/16      5.56            01/01/28    03/31/28      17.47
     10/01/16    12/31/16      6.64            04/01/28    06/30/28      17.42
     01/01/17    03/31/17      7.70            07/01/28    09/30/28      17.32
     04/01/17    06/30/17      8.76            10/01/28    12/31/28      17.27
     07/01/17    09/30/17      9.80            01/01/29    03/31/29      17.22
     10/01/17    12/31/17     10.74            04/01/29    06/30/29      17.11
     01/01/18    03/31/18     11.66            07/01/29    09/30/29      17.06
     04/01/18    06/30/18     12.47            10/01/29    12/31/29      16.96
     07/01/18    09/30/18     13.08            01/01/30    03/31/30      16.90
     10/01/18    12/31/18     13.68            04/01/30    06/30/30      16.80
     01/01/19    03/31/19     14.18            07/01/30    09/30/30      16.69
     04/01/19    06/30/19     14.67            10/01/30    12/31/30      16.64
     07/01/19    09/30/19     15.05            01/01/31    03/31/31      16.54
     10/01/19    12/31/19     15.44            04/01/31    06/30/31      16.49
     01/01/20    03/31/20     15.81            07/01/31    09/30/31      16.38
     04/01/20    06/30/20     16.17            10/01/31    12/31/31      16.28
     07/01/20    09/30/20     16.53            01/01/32    03/31/32      16.23
     10/01/20    12/31/20     16.79            04/01/32    06/30/32      16.13
     01/01/21    03/31/21     17.04            07/01/32    09/30/32      16.07
     04/01/21    06/30/21     17.29            10/01/32    12/31/32      15.97
     07/01/21    09/30/21     17.45            01/01/33    03/31/33      15.92
     10/01/21    12/31/21     17.52            04/01/33    06/30/33      15.86
     01/01/22    03/31/22     17.58            07/01/33    09/30/33      15.76
     04/01/22    06/30/22     17.65            10/01/33    12/31/33      15.71
     07/01/22    09/30/22     17.71            01/01/34    03/31/34      15.65
     10/01/22    12/31/22     17.77            04/01/34    06/30/34      15.59
     01/01/23    03/31/23     17.83            07/01/34    09/30/34      15.49
     04/01/23    06/30/23     17.88            10/01/34    12/31/34      15.43
     07/01/23    09/30/23     17.86            01/01/35    03/31/35      15.37
     10/01/23    12/31/23     17.90            04/01/35    06/30/35      15.31
     01/01/24    03/31/24     17.88            07/01/35    09/30/35      15.21
     04/01/24    06/30/24     17.92            10/01/35    12/31/35      15.15
     07/01/24    09/30/24     17.89            01/01/36    03/31/36      15.09
     10/01/24    12/31/24     17.86            04/01/36    06/30/36      15.02
     01/01/25    03/31/25     17.90            07/01/36    09/30/36      14.96
     04/01/25    06/30/25     17.86            10/01/36    12/31/36      14.90
     07/01/25    09/30/25     17.82            01/01/37    03/31/37      14.80
     10/01/25    12/31/25     17.79            04/01/37    06/30/37      14.73
     01/01/26    03/31/26     17.82            07/01/37    09/30/37      14.67
     04/01/26    06/30/26     17.78            10/01/37    12/31/37      14.60



     
                                     (continued)
 
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/38    03/31/38      14.53            01/01/47    03/31/47      11.54
     04/01/38    06/30/38      14.46            04/01/47    06/30/47      11.46
     07/01/38    09/30/38      14.36            07/01/47    09/30/47      11.38
     10/01/38    12/31/38      14.29            10/01/47    12/31/47      11.29
     01/01/39    03/31/39      14.22            01/01/48    03/31/48      11.21
     04/01/39    06/30/39      14.15            04/01/48    06/30/48      11.13
     07/01/39    09/30/39      14.08            07/01/48    09/30/48      11.05
     10/01/39    12/31/39      13.98            10/01/48    12/31/48      10.97
     01/01/40    03/31/40      13.91            01/01/49    03/31/49      10.90
     04/01/40    06/30/40      13.84            04/01/49    06/30/49      10.82
     07/01/40    09/30/40      13.76            07/01/49    09/30/49      10.74
     10/01/40    12/31/40      13.66            10/01/49    12/31/49      10.66
     01/01/41    03/31/41      13.59            01/01/50    03/31/50      10.59
     04/01/41    06/30/41      13.51            04/01/50    06/30/50      10.51
     07/01/41    09/30/41      13.42            07/01/50    09/30/50      10.44
     10/01/41    12/31/41      13.34            10/01/50    12/31/50      10.36
     01/01/42    03/31/42      13.27            01/01/51    03/31/51      10.29
     04/01/42    06/30/42      13.17            04/01/51    06/30/51      10.21
     07/01/42    09/30/42      13.10            07/01/51    09/30/51      10.14
     10/01/42    12/31/42      13.00            10/01/51    12/31/51      10.07
     01/01/43    03/31/43      12.92            01/01/52    03/31/52      10.00
     04/01/43    06/30/43      12.83            04/01/52    06/30/52       9.93
     07/01/43    09/30/43      12.75            07/01/52    09/30/52       9.86
     10/01/43    12/31/43      12.66            10/01/52    12/31/52       9.79
     01/01/44    03/31/44      12.58            01/01/53    03/31/53       9.72
     04/01/44    06/30/44      12.49            04/01/53    06/30/53       9.65
     07/01/44    09/30/44      12.41            07/01/53    09/30/53       9.58
     10/01/44    12/31/44      12.32            10/01/53    12/31/53       9.51
     01/01/45    03/31/45      12.23            01/01/54    03/31/54       9.45
     04/01/45    06/30/45      12.14            04/01/54    06/30/54       9.38
     07/01/45    09/30/45      12.05            07/01/54    09/30/54       9.31
     10/01/45    12/31/45      11.97            10/01/54    12/31/54       9.25
     01/01/46    03/31/46      11.88            01/01/55    03/31/55       9.18
     04/01/46    06/30/46      11.79            04/01/55    06/30/55       9.12
     07/01/46    09/30/46      11.71            07/01/55    09/30/55       9.05
     10/01/46    12/31/46      11.63            10/01/55    12/31/55       8.99
    
     



       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 2015,
    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 2015 - December 2016
                                                   Discount to be
                                 Issue Price      Reported as 2015
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796EM7  01/02/15  07/03/14      99.967                 0.33
912796DF3  01/08/15  01/09/14      99.874                 1.26
912796EP0  01/15/15  07/17/14      99.970                 0.30
912796EQ8  01/22/15  07/24/14      99.972                 0.28
912796ER6  01/29/15  07/31/14      99.972                 0.28
912796DG1  02/05/15  02/06/14      99.884                 1.16
912796EU9  02/12/15  08/14/14      99.975                 0.25
912796EV7  02/19/15  08/21/14      99.975                 0.25
912796EW5  02/26/15  08/28/14      99.975                 0.25
912796DP1  03/05/15  03/06/14      99.879                 1.21
912796EY1  03/12/15  09/11/14      99.977                 0.23
912796EZ8  03/19/15  09/18/14      99.977                 0.23
912796FA2  03/26/15  09/25/14      99.980                 0.20
912796DU0  04/02/15  04/03/14      99.874                 1.26
912796FC8  04/09/15  10/09/14      99.980                 0.20
912796FD6  04/16/15  10/16/14      99.980                 0.20
912796FE4  04/23/15  10/23/14      99.975                 0.25
912796DY2  04/30/15  05/01/14      99.894                 1.06
912796FF1  05/07/15  11/06/14      99.970                 0.30
912796FH7  05/14/15  11/13/14      99.970                 0.30
912796FJ3  05/21/15  11/20/14      99.965                 0.35
912796EC9  05/28/15  05/29/14      99.904                 0.96
912796FK0  06/04/15  12/04/14      99.962                 0.38
912796FQ7  06/11/15  12/11/14      99.955                 0.45
912796KK4  06/15/15  06/03/15      99.998                 0.02
912796FR5  06/18/15  12/18/14      99.944                 0.56
912796EJ4  06/25/15  06/26/14      99.889                 1.11
912796FS3  07/02/15  01/02/15      99.935                 0.65
912796FT1  07/09/15  01/08/15      99.944                 0.56
912796FW4  07/16/15  01/15/15      99.957                 0.43
912796EN5  07/23/15  07/24/14      99.889                 1.11
912796FX2  07/30/15  01/29/15      99.962                 0.38
912796FY0  08/06/15  02/05/15      99.967                 0.33
912796GA1  08/13/15  02/12/15      99.957                 0.43
912796ET2  08/20/15  08/21/14      99.894                 1.06
912796GB9  08/27/15  02/26/15      99.967                 0.33
912796KV0  08/31/15  08/12/15      99.996                 0.04
912796GC7  09/03/15  03/05/15      99.962                 0.38
912796GE3  09/10/15  03/12/15      99.952                 0.48
912796KW8  09/15/15  09/01/15      99.997                 0.03
912796EX3  09/17/15  09/18/14      99.879                 1.21
912796GF0  09/24/15  03/26/15      99.947                 0.53
912796GG8  10/01/15  04/02/15      99.932                 0.68
912796GJ2  10/08/15  04/09/15      99.952                 0.48
912796FB0  10/15/15  10/16/14      99.899                 1.01
912796GK9  10/22/15  04/23/15      99.955                 0.45
912796GL7  10/29/15  04/30/15      99.952                 0.48





                         Section III-A (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796LH0  11/02/15  10/08/15     100.000                 0.00
912796GM5  11/05/15  05/07/15      99.965                 0.35
912796FG9  11/12/15  11/13/14      99.858                 1.42
912796GP8  11/19/15  05/21/15      99.960                 0.40
912796GQ6  11/27/15  05/28/15      99.957                 0.43
912796GR4  12/03/15  06/04/15      99.965                 0.35
912796FN4  12/10/15  12/11/14      99.788                 2.12
912796GT0  12/17/15  06/18/15      99.949                 0.51
912796GU7  12/24/15  06/25/15      99.960                 0.40
912796GV5  12/31/15  07/02/15      99.944                 0.56





                                                   Discount to be
                                 Issue Price      Reported as 2016
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796FP9  01/07/16  01/08/15      99.747                 2.53
912796GX1  01/14/16  07/16/15      99.949                 0.51
912796GY9  01/21/16  07/23/15      99.932                 0.68
912796GZ6  01/28/16  07/30/15      99.927                 0.73
912796FV6  02/04/16  02/05/15      99.793                 2.07
912796HB8  02/11/16  08/13/15      99.876                 1.24
912796HC6  02/18/16  08/20/15      99.876                 1.24
912796HD4  02/25/16  08/27/15      99.899                 1.01
912796FZ7  03/03/16  03/05/15      99.737                 2.63
912796HF9  03/10/16  09/10/15      99.861                 1.39
912796HG7  03/17/16  09/17/15      99.869                 1.31
912796HH5  03/24/16  09/24/15      99.942                 0.58
912796GD5  03/31/16  04/02/15      99.737                 2.63
912796HK8  04/07/16  10/08/15      99.967                 0.33
912796HL6  04/14/16  10/15/15      99.960                 0.40
912796HM4  04/21/16  10/22/15      99.944                 0.56
912796GH6  04/28/16  04/30/15      99.752                 2.48
912796HN2  05/05/16  11/05/15      99.858                 1.42
912796GN3  05/26/16  05/28/15      99.742                 2.58
912796GS2  06/23/16  06/25/15      99.707                 2.93
912796GW3  07/21/16  07/23/15      99.666                 3.34
912796HA0  08/18/16  08/20/15      99.585                 4.15
912796HE2  09/15/16  09/17/15      99.555                 4.45
912796HJ1  10/13/16  10/15/15      99.793                 2.07
912796HS1  05/19/16  11/19/15      99.833                 1.67
912796HT9  06/02/16  12/03/15      99.790                 2.10
912796HW2  06/09/16  12/10/15      99.730                 2.70





                         Section III-A (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796HX0  06/16/16  12/17/15      99.704                 2.96
912796HY8  06/30/16  12/31/15      99.722                 2.78
912796HQ5  11/10/16  11/12/15      99.494                 5.06
912796HU6  12/08/16  12/10/15      99.252                 7.48






                                 Section III-B



                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2015

                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384AB5  01/02/15  01/09/14      99.841                 1.59
313384AE9  01/05/15  02/19/14      99.911                 0.89
313384AF6  01/06/15  01/16/14      99.862                 1.38
313384AG4  01/07/15  01/14/14      99.876                 1.24
313384AH2  01/08/15  01/09/14      99.848                 1.52
313384AJ8  01/09/15  01/09/14      99.838                 1.62
313384AM1  01/12/15  01/15/14      99.884                 1.16
313384AN9  01/13/15  01/14/14      99.874                 1.26
313384AP4  01/14/15  01/14/14      99.873                 1.27
313384AQ2  01/15/15  01/15/14      99.883                 1.17
313384AR0  01/16/15  01/28/14      99.863                 1.37
313384AV1  01/20/15  01/28/14      99.861                 1.39
313384AW9  01/21/15  01/31/14      99.862                 1.38
313384AX7  01/22/15  01/29/14      99.886                 1.14
313384AY5  01/23/15  01/23/14      99.888                 1.12
313384BB4  01/26/15  04/23/14      99.923                 0.77
313384BC2  01/27/15  02/11/14      99.854                 1.46
313384BD0  01/28/15  02/13/14      99.855                 1.45
313384BE8  01/29/15  02/13/14      99.854                 1.46
313384BF5  01/30/15  05/27/14      99.941                 0.59
313384BJ7  02/02/15  02/10/14      99.886                 1.14
313384BK4  02/03/15  02/11/14      99.851                 1.49
313384BL2  02/04/15  02/07/14      99.884                 1.16
313384BM0  02/05/15  02/19/14      99.893                 1.07
313384BN8  02/06/15  02/13/14      99.851                 1.49
313384BR9  02/09/15  02/11/14      99.849                 1.51
313384BS7  02/10/15  10/28/14      99.987                 0.13
313384BT5  02/11/15  08/13/14      99.950                 0.50
313384BU2  02/12/15  02/14/14      99.849                 1.51
313384BV0  02/13/15  03/07/14      99.871                 1.29
313384BZ1  02/17/15  04/29/14      99.910                 0.90
313384CA5  02/18/15  08/20/14      99.950                 0.50
313384CB3  02/19/15  10/29/14      99.986                 0.14
313384CC1  02/20/15  02/26/14      99.880                 1.20
313384CF4  02/23/15  02/26/14      99.879                 1.21
313384CG2  02/24/15  02/26/14      99.879                 1.21
313384CH0  02/25/15  02/28/14      99.899                 1.01
313384CJ6  02/26/15  02/28/14      99.899                 1.01
313384CK3  02/27/15  03/05/14      99.900                 1.00
313384CN7  03/02/15  03/07/14      99.890                 1.10
313384CP2  03/03/15  03/05/14      99.889                 1.11
313384CQ0  03/04/15  03/07/14      99.889                 1.11
313384CR8  03/05/15  03/05/14      99.888                 1.12
313384CS6  03/06/15  03/06/14      99.853                 1.47





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384CV9  03/09/15  04/17/14      99.918                 0.81
313384CW7  03/10/15  03/13/14      99.889                 1.11
313384CX5  03/11/15  03/13/14      99.889                 1.11
313384CY3  03/12/15  04/02/14      99.885                 1.15
313384CZ0  03/13/15  07/22/14      99.935                 0.65
313384DC0  03/16/15  06/09/14      99.938                 0.62
313384DD8  03/17/15  09/15/14      99.970                 0.30
313384DE6  03/18/15  09/08/14      99.968                 0.32
313384DF3  03/19/15  10/29/14      99.977                 0.23
313384DG1  03/20/15  04/25/14      99.890                 1.10
313384DK2  03/23/15  05/12/14      99.904                 0.96
313384DL0  03/24/15  11/18/14      99.979                 0.21
313384DM8  03/25/15  04/22/14      99.888                 1.12
313384DN6  03/26/15  07/25/14      99.932                 0.68
313384DP1  03/27/15  07/18/14      99.930                 0.70
313384DS5  03/30/15  06/06/14      99.913                 0.87
313384DT3  03/31/15  04/11/14      99.912                 0.88
313384DU0  04/01/15  04/04/14      99.849                 1.51
313384DV8  04/02/15  04/07/14      99.905                 0.95
313384DZ9  04/06/15  08/25/14      99.944                 0.56
313384EA3  04/07/15  08/25/14      99.944                 0.56
313384EB1  04/08/15  04/11/14      99.899                 1.01
313384EC9  04/09/15  04/15/14      99.900                 1.00
313384ED7  04/10/15  04/14/14      99.900                 1.00
313384EG0  04/13/15  11/14/14      99.973                 0.27
313384EH8  04/14/15  04/15/14      99.899                 1.01
313384EJ4  04/15/15  07/16/14      99.917                 0.83
313384EK1  04/16/15  04/29/14      99.873                 1.27
313384EL9  04/17/15  09/18/14      99.962                 0.38
313384EP0  04/20/15  06/12/14      99.905                 0.95
313384EQ8  04/21/15  12/10/14      99.971                 0.29
313384ER6  04/22/15  10/22/14      99.957                 0.43
313384ES4  04/23/15  04/25/14      99.869                 1.31
313384ET2  04/24/15  04/25/14      99.869                 1.31
313384EW5  04/27/15  04/30/14      99.869                 1.31
313384EX3  04/28/15  05/01/14      99.869                 1.31
313384EY1  04/29/15  08/20/14      99.923                 0.77
313384EZ8  04/30/15  07/31/14      99.917                 0.83
313384FA2  05/01/15  05/14/14      99.883                 1.17
313384FD6  05/04/15  05/13/14      99.891                 1.09
313384FE4  05/05/15  05/12/14      99.876                 1.24
313384FF1  05/06/15  05/20/14      99.883                 1.17
313384FG9  05/07/15  05/14/14      99.891                 1.09
313384FH7  05/08/15  05/08/14      99.888                 1.12
313384FL8  05/11/15  01/14/15      99.971                 0.29
313384FM6  05/12/15  08/15/14      99.918                 0.83
313384FN4  05/13/15  08/19/14      99.918                 0.82
313384FP9  05/14/15  06/04/14      99.885                 1.15
313384FQ7  05/15/15  05/19/14      99.890                 1.10





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384FT1  05/18/15  05/23/14      99.880                 1.20
313384FU8  05/19/15  05/27/14      99.881                 1.19
313384FV6  05/20/15  05/21/14      99.879                 1.21
313384FW4  05/21/15  05/21/14      99.878                 1.22
313384FX2  05/22/15  05/23/14      99.879                 1.21
313384GB9  05/26/15  07/31/14      99.888                 1.12
313384GC7  05/27/15  06/04/14      99.901                 0.99
313384GD5  05/28/15  10/28/14      99.965                 0.35
313384GE3  05/29/15  06/05/14      99.881                 1.19
313384GH6  06/01/15  06/06/14      99.875                 1.25
313384GJ2  06/02/15  09/30/14      99.939                 0.61
313384GK9  06/03/15  09/09/14      99.926                 0.74
313384GL7  06/04/15  12/08/14      99.958                 0.42
313384GM5  06/05/15  06/19/14      99.883                 1.17
313384GQ6  06/08/15  06/20/14      99.873                 1.27
313384GR4  06/09/15  06/20/14      99.872                 1.28
313384GS2  06/10/15  06/23/14      99.863                 1.37
313384GT0  06/11/15  06/11/14      99.873                 1.27
313384GU7  06/12/15  12/09/14      99.954                 0.46
313384GX1  06/15/15  12/08/14      99.953                 0.47
313384GY9  06/16/15  06/30/14      99.864                 1.37
313384GZ6  06/17/15  07/23/14      99.881                 1.19
313384HA0  06/18/15  08/26/14      99.901                 0.99
313384HB8  06/19/15  09/02/14      99.895                 1.05
313384HE2  06/22/15  07/23/14      99.870                 1.30
313384HF9  06/23/15  07/24/14      99.879                 1.21
313384HG7  06/24/15  06/26/14      99.859                 1.41
313384HH5  06/25/15  09/03/14      99.902                 0.98
313384HJ1  06/26/15  06/27/14      99.864                 1.36
313384HM4  06/29/15  07/21/14      99.876                 1.24
313384HN2  06/30/15  06/30/14      99.899                 1.01
313384HP7  07/01/15  07/24/14      99.877                 1.24
313384HQ5  07/02/15  01/30/15      99.966                 0.34
313384HU6  07/06/15  01/27/15      99.964                 0.36
313384HV4  07/07/15  07/08/14      99.879                 1.21
313384HW2  07/08/15  08/11/14      99.880                 1.20
313384HX0  07/09/15  07/16/14      99.861                 1.39
313384HY8  07/10/15  07/11/14      99.848                 1.52
313384JB6  07/13/15  07/17/14      99.880                 1.20
313384JC4  07/14/15  07/15/14      99.869                 1.31
313384JD2  07/15/15  07/17/14      99.859                 1.41
313384JE0  07/16/15  07/16/14      99.848                 1.52
313384JF7  07/17/15  07/21/14      99.880                 1.20
313384JJ9  07/20/15  07/25/14      99.860                 1.40
313384JK6  07/21/15  07/25/14      99.860                 1.40
313384JL4  07/22/15  07/23/14      99.858                 1.42
313384JM2  07/23/15  07/24/14      99.858                 1.42





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384JN0  07/24/15  07/28/14      99.860                 1.40
313384JR1  07/27/15  08/01/14      99.850                 1.50
313384JS9  07/28/15  07/30/14      99.847                 1.53
313384JT7  07/29/15  07/30/14      99.848                 1.52
313384JU4  07/30/15  07/31/14      99.843                 1.57
313384JV2  07/31/15  07/31/14      99.829                 1.71
313384JY6  08/03/15  08/04/14      99.833                 1.67
313384JZ3  08/04/15  08/06/14      99.844                 1.56
313384KA6  08/05/15  08/06/14      99.843                 1.57
313384KB4  08/06/15  08/08/14      99.844                 1.56
313384KC2  08/07/15  08/07/14      99.843                 1.57
313384KF5  08/10/15  02/06/15      99.959                 0.41
313384KG3  08/11/15  08/12/14      99.843                 1.57
313384KH1  08/12/15  08/12/14      99.843                 1.57
313384KJ7  08/13/15  10/03/14      99.878                 1.22
313384KK4  08/14/15  08/14/14      99.846                 1.54
313384KN8  08/17/15  11/17/14      99.917                 0.83
313384KP3  08/18/15  08/19/14      99.858                 1.42
313384KQ1  08/19/15  08/21/14      99.859                 1.41
313384KR9  08/20/15  08/20/14      99.858                 1.42
313384KS7  08/21/15  08/21/14      99.858                 1.42
313384KV0  08/24/15  08/26/14      99.839                 1.61
313384KW8  08/25/15  08/27/14      99.839                 1.61
313384KX6  08/26/15  08/26/14      99.838                 1.62
313384KY4  08/27/15  08/27/14      99.838                 1.62
313384KZ1  08/28/15  08/28/14      99.830                 1.70
313384LC1  08/31/15  09/02/14      99.839                 1.61
313384LD9  09/01/15  12/30/14      99.898                 1.02
313384LE7  09/02/15  09/02/14      99.838                 1.62
313384LF4  09/03/15  09/18/14      99.844                 1.56
313384LG2  09/04/15  09/04/14      99.828                 1.72
313384LL1  09/08/15  09/09/14      99.828                 1.72
313384LM9  09/09/15  09/09/14      99.832                 1.68
313384LN7  09/10/15  09/10/14      99.828                 1.72
313384LP2  09/11/15  09/11/14      99.823                 1.77
313384LS6  09/14/15  03/17/15      99.925                 0.75
313384LT4  09/15/15  09/15/14      99.838                 1.62
313384LU1  09/16/15  09/25/14      99.847                 1.53
313384LV9  09/17/15  09/26/14      99.847                 1.53
313384LW7  09/18/15  09/22/14      99.830                 1.70
313384LZ0  09/21/15  09/24/14      99.839                 1.61
313384MA4  09/22/15  09/22/14      99.828                 1.72
313384MB2  09/23/15  03/25/15      99.925                 0.75
313384MC0  09/24/15  09/25/14      99.838                 1.62
313384MD8  09/25/15  03/27/15      99.923                 0.77
313384MG1  09/28/15  09/30/14      99.849                 1.51
313384MH9  09/29/15  03/24/15      99.958                 0.42
313384MJ5  09/30/15  03/05/15      99.956                 0.44





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384MK2  10/01/15  10/03/14      99.839                 1.61
313384ML0  10/02/15  10/15/14      99.858                 1.42
313384MP1  10/05/15  10/07/14      99.849                 1.51
313384MQ9  10/06/15  10/06/14      99.838                 1.62
313384MR7  10/07/15  04/08/15      99.918                 0.82
313384MS5  10/08/15  04/29/15      99.969                 0.32
313384MT3  10/09/15  10/10/14      99.853                 1.47
313384MX4  10/13/15  10/14/14      99.853                 1.47
313384MY2  10/14/15  10/14/14      99.853                 1.47
313384MZ9  10/15/15  04/23/15      99.966                 0.34
313384NA3  10/16/15  04/17/15      99.922                 0.78
313384ND7  10/19/15  11/18/14      99.884                 1.16
313384NE5  10/20/15  05/04/15      99.967                 0.33
313384NF2  10/21/15  04/22/15      99.924                 0.76
313384NG0  10/22/15  04/28/15      99.953                 0.47
313384NH8  10/23/15  01/22/15      99.871                 1.29
313384NL9  10/26/15  12/03/14      99.846                 1.54
313384NM7  10/27/15  05/06/15      99.937                 0.63
313384NN5  10/28/15  10/29/14      99.848                 1.52
313384NP0  10/29/15  04/22/15      99.963                 0.37
313384NQ8  10/30/15  04/06/15      99.937                 0.63
313384NT2  11/02/15  11/06/14      99.840                 1.60
313384NU9  11/03/15  11/05/14      99.839                 1.61
313384NV7  11/04/15  05/06/15      99.927                 0.73
313384NW5  11/05/15  02/05/15      99.882                 1.18
313384NX3  11/06/15  11/06/14      99.838                 1.62
313384PA1  11/09/15  01/02/15      99.801                 1.99
313384PB9  11/10/15  11/21/14      99.828                 1.72
313384PD5  11/12/15  02/03/15      99.883                 1.17
313384PE3  11/13/15  11/14/14      99.833                 1.67
313384PH6  11/16/15  01/20/15      99.817                 1.83
313384PJ2  11/17/15  11/18/14      99.828                 1.72
313384PK9  11/18/15  11/18/14      99.829                 1.71
313384PL7  11/19/15  11/24/14      99.820                 1.80
313384PM5  11/20/15  11/21/14      99.818                 1.82
313384PQ6  11/23/15  12/23/14      99.730                 2.70
313384PR4  11/24/15  11/24/14      99.818                 1.82
313384PS2  11/25/15  02/12/15      99.845                 1.55
313384PU7  11/27/15  12/23/14      99.727                 2.73
313384PX1  11/30/15  12/23/14      99.725                 2.76
313384PY9  12/01/15  12/01/14      99.818                 1.82
313384PZ6  12/02/15  12/04/14      99.815                 1.85
313384QA0  12/03/15  12/04/14      99.813                 1.87
313384QB8  12/04/15  12/04/14      99.812                 1.88
313384QE2  12/07/15  03/05/15      99.877                 1.23
313384QF9  12/08/15  12/08/14      99.807                 1.93
313384QG7  12/09/15  12/09/14      99.797                 2.03





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384QH5  12/10/15  12/10/14      99.807                 1.93
313384QJ1  12/11/15  12/11/14      99.797                 2.03
313384QM4  12/14/15  01/20/15      99.790                 2.10
313384QN2  12/15/15  12/17/14      99.738                 2.62
313384QP7  12/16/15  06/17/15      99.906                 0.94
313384QQ5  12/17/15  12/22/14      99.720                 2.80
313384QR3  12/18/15  06/17/15      99.964                 0.36
313384QU6  12/21/15  06/25/15      99.935                 0.65
313384QV4  12/22/15  07/02/15      99.966                 0.34
313384QW2  12/23/15  06/24/15      99.917                 0.83
313384QX0  12/24/15  03/25/15      99.833                 1.67
313384RB7  12/28/15  12/30/14      99.728                 2.72
313384RC5  12/29/15  09/15/15      99.931                 0.69
313384RD3  12/30/15  12/31/14      99.717                 2.83
313384RE1  12/31/15  05/01/15      99.932                 0.68





                                 Section III-C



                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2015

                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588AB1  01/02/15  05/29/14      99.958                 0.42
313588AE5  01/05/15  02/05/14      99.879                 1.21
313588AF2  01/06/15  07/24/14      99.965                 0.35
313588AG0  01/07/15  07/09/14      99.957                 0.43
313588AH8  01/08/15  05/30/14      99.957                 0.43
313588AJ4  01/09/15  02/11/14      99.871                 1.29
313588AM7  01/12/15  03/28/14      99.928                 0.72
313588AN5  01/13/15  04/28/14      99.946                 0.54
313588AP0  01/14/15  07/02/14      99.959                 0.41
313588AQ8  01/15/15  03/28/14      99.927                 0.73
313588AR6  01/16/15  04/25/14      99.945                 0.55
313588AV7  01/20/15  05/29/14      99.954                 0.46
313588AW5  01/21/15  05/22/14      99.956                 0.44
313588AX3  01/22/15  07/03/14      99.955                 0.45
313588AY1  01/23/15  08/22/14      99.970                 0.30
313588BB0  01/26/15  07/09/14      99.953                 0.47
313588BC8  01/27/15  09/16/14      99.985                 0.15
313588BD6  01/28/15  07/14/14      99.959                 0.41
313588BE4  01/29/15  07/14/14      99.959                 0.41
313588BF1  01/30/15  03/28/14      99.923                 0.77
313588BJ3  02/02/15  04/24/14      99.937                 0.63
313588BK0  02/03/15  06/23/14      99.944                 0.56
313588BL8  02/04/15  06/17/14      99.945                 0.55
313588BM6  02/05/15  09/05/14      99.981                 0.19
313588BN4  02/06/15  06/16/14      99.948                 0.52
313588BR5  02/09/15  03/21/14      99.919                 0.81
313588BS3  02/10/15  04/29/14      99.936                 0.64
313588BT1  02/11/15  07/11/14      99.946                 0.54
313588BV6  02/13/15  05/09/14      99.946                 0.54
313588BZ7  02/17/15  04/29/14      99.935                 0.65
313588CA1  02/18/15  07/14/14      99.942                 0.58
313588CB9  02/19/15  08/13/14      99.953                 0.47
313588CC7  02/20/15  05/19/14      99.946                 0.54
313588CF0  02/23/15  07/23/14      99.946                 0.54
313588CH6  02/25/15  08/27/14      99.956                 0.44
313588CJ2  02/26/15  05/15/14      99.944                 0.56
313588CK9  02/27/15  05/16/14      99.944                 0.56
313588CN3  03/02/15  05/19/14      99.936                 0.64
313588CP8  03/03/15  07/15/14      99.936                 0.64
313588CQ6  03/04/15  08/07/14      99.954                 0.46
313588CR4  03/05/15  06/16/14      99.938                 0.62
313588CS2  03/06/15  05/12/14      99.934                 0.66
313588CV5  03/09/15  09/25/14      99.977                 0.23





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588CW3  03/10/15  06/13/14      99.936                 0.64
313588CX1  03/11/15  08/12/14      99.944                 0.56
313588CZ6  03/13/15  06/05/14      99.930                 0.70
313588DC6  03/16/15  06/10/14      99.934                 0.66
313588DD4  03/17/15  08/01/14      99.934                 0.66
313588DE2  03/18/15  06/25/14      99.934                 0.66
313588DF9  03/19/15  05/20/14      99.933                 0.67
313588DG7  03/20/15  10/01/14      99.986                 0.14
313588DK8  03/23/15  08/15/14      99.948                 0.52
313588DM4  03/25/15  07/21/14      99.935                 0.65
313588DN2  03/26/15  08/15/14      99.947                 0.53
313588DP7  03/27/15  05/20/14      99.931                 0.69
313588DS1  03/30/15  09/15/14      99.967                 0.33
313588DT9  03/31/15  05/22/14      99.930                 0.70
313588DU6  04/01/15  05/15/14      99.929                 0.71
313588DV4  04/02/15  05/14/14      99.919                 0.81
313588DW2  04/03/15  05/14/14      99.919                 0.81
313588DZ5  04/06/15  09/17/14      99.961                 0.39
313588EA9  04/07/15  09/18/14      99.961                 0.39
313588EB7  04/08/15  07/02/14      99.911                 0.89
313588EC5  04/09/15  07/07/14      99.923                 0.77
313588ED3  04/10/15  05/30/14      99.930                 0.70
313588EG6  04/13/15  10/01/14      99.984                 0.16
313588EH4  04/14/15  09/17/14      99.959                 0.41
313588EJ0  04/15/15  07/16/14      99.913                 0.87
313588EK7  04/16/15  07/17/14      99.913                 0.87
313588EL5  04/17/15  06/25/14      99.926                 0.74
313588EP6  04/20/15  07/14/14      99.914                 0.86
313588EQ4  04/21/15  12/17/14      99.965                 0.35
313588ER2  04/22/15  08/19/14      99.932                 0.68
313588ES0  04/23/15  06/03/14      99.914                 0.86
313588ET8  04/24/15  08/11/14      99.918                 0.82
313588EW1  04/27/15  08/27/14      99.939                 0.61
313588EX9  04/28/15  08/22/14      99.931                 0.69
313588EY7  04/29/15  06/16/14      99.921                 0.79
313588EZ4  04/30/15  05/22/14      99.924                 0.76
313588FA8  05/01/15  07/14/14      99.903                 0.97
313588FD2  05/04/15  06/30/14      99.914                 0.86
313588FE0  05/05/15  12/04/14      99.966                 0.34
313588FF7  05/06/15  09/18/14      99.946                 0.54
313588FG5  05/07/15  08/04/14      99.908                 0.92
313588FH3  05/08/15  07/23/14      99.912                 0.88
313588FL4  05/11/15  08/11/14      99.905                 0.95
313588FN0  05/13/15  10/30/14      99.965                 0.35
313588FP5  05/14/15  07/30/14      99.904                 0.96
313588FQ3  05/15/15  08/05/14      99.906                 0.94
313588FT7  05/18/15  09/17/14      99.943                 0.57
313588FU4  05/19/15  12/10/14      99.951                 0.49





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588FV2  05/20/15  07/11/14      99.887                 1.13
313588FW0  05/21/15  09/23/14      99.967                 0.33
313588FX8  05/22/15  07/30/14      99.893                 1.07
313588GB5  05/26/15  10/22/14      99.952                 0.48
313588GC3  05/27/15  10/31/14      99.962                 0.38
313588GD1  05/28/15  07/30/14      99.891                 1.09
313588GE9  05/29/15  06/30/14      99.908                 0.92
313588GH2  06/01/15  07/01/14      99.870                 1.30
313588GJ8  06/02/15  07/10/14      99.886                 1.14
313588GK5  06/03/15  09/15/14      99.931                 0.69
313588GL3  06/04/15  07/02/14      99.869                 1.31
313588GM1  06/05/15  09/24/14      99.958                 0.42
313588GQ2  06/08/15  10/31/14      99.960                 0.40
313588GR0  06/09/15  12/30/14      99.955                 0.45
313588GS8  06/10/15  10/23/14      99.949                 0.51
313588GT6  06/11/15  07/07/14      99.887                 1.13
313588GU3  06/12/15  08/11/14      99.881                 1.19
313588GX7  06/15/15  07/01/14      99.864                 1.36
313588GY5  06/16/15  10/17/14      99.946                 0.54
313588GZ2  06/17/15  10/03/14      99.961                 0.39
313588HA6  06/18/15  07/25/14      99.882                 1.18
313588HB4  06/19/15  07/01/14      99.863                 1.37
313588HE8  06/22/15  07/15/14      99.872                 1.28
313588HF5  06/23/15  01/07/15      99.949                 0.51
313588HG3  06/24/15  07/22/14      99.878                 1.22
313588HH1  06/25/15  07/10/14      99.878                 1.22
313588HJ7  06/26/15  07/25/14      99.869                 1.31
313588HM0  06/29/15  07/08/14      99.862                 1.38
313588HN8  06/30/15  07/07/14      99.861                 1.39
313588HP3  07/01/15  07/11/14      99.862                 1.38
313588HQ1  07/02/15  07/14/14      99.863                 1.37
313588HR9  07/03/15  07/22/14      99.865                 1.35
313588HU2  07/06/15  07/22/14      99.864                 1.36
313588HV0  07/07/15  10/29/14      99.948                 0.52
313588HW8  07/08/15  07/22/14      99.864                 1.36
313588HX6  07/09/15  09/30/14      99.949                 0.51
313588HY4  07/10/15  07/17/14      99.856                 1.44
313588JB2  07/13/15  12/15/14      99.924                 0.76
313588JC0  07/14/15  08/18/14      99.881                 1.19
313588JD8  07/15/15  10/02/14      99.944                 0.56
313588JE6  07/16/15  12/31/14      99.943                 0.57
313588JF3  07/17/15  08/13/14      99.859                 1.41
313588JJ5  07/20/15  12/31/14      99.939                 0.61
313588JK2  07/21/15  12/16/14      99.919                 0.81
313588JL0  07/22/15  01/21/15      99.935                 0.65
313588JM8  07/23/15  10/08/14      99.936                 0.64
313588JN6  07/24/15  03/19/15      99.968                 0.32





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588JR7  07/27/15  01/12/15      99.929                 0.71
313588JS5  07/28/15  08/21/14      99.877                 1.23
313588JT3  07/29/15  01/12/15      99.928                 0.72
313588JU0  07/30/15  11/18/14      99.929                 0.71
313588JV8  07/31/15  08/28/14      99.888                 1.12
313588JY2  08/03/15  09/25/14      99.931                 0.69
313588JZ9  08/04/15  12/12/14      99.909                 0.91
313588KA2  08/05/15  02/04/15      99.942                 0.58
313588KB0  08/06/15  11/14/14      99.919                 0.81
313588KC8  08/07/15  01/13/15      99.928                 0.72
313588KF1  08/10/15  03/10/15      99.962                 0.38
313588KH7  08/12/15  02/11/15      99.942                 0.58
313588KJ3  08/13/15  01/14/15      99.927                 0.73
313588KK0  08/14/15  10/10/14      99.923                 0.77
313588KN4  08/17/15  10/09/14      99.905                 0.95
313588KP9  08/18/15  03/25/15      99.955                 0.45
313588KQ7  08/19/15  01/20/15      99.918                 0.82
313588KR5  08/20/15  12/02/14      99.928                 0.72
313588KS3  08/21/15  03/03/15      99.962                 0.38
313588KW4  08/25/15  04/07/15      99.955                 0.45
313588KX2  08/26/15  10/29/14      99.925                 0.75
313588KY0  08/27/15  01/20/15      99.915                 0.85
313588KZ7  08/28/15  09/29/14      99.908                 0.92
313588LC7  08/31/15  09/29/14      99.907                 0.93
313588LD5  09/01/15  09/30/14      99.888                 1.12
313588LE3  09/02/15  01/12/15      99.884                 1.16
313588LF0  09/03/15  11/12/14      99.918                 0.82
313588LG8  09/04/15  03/26/15      99.942                 0.58
313588LL7  09/08/15  11/14/14      99.901                 0.99
313588LM5  09/09/15  01/23/15      99.924                 0.76
313588LN3  09/10/15  01/09/15      99.898                 1.02
313588LP8  09/11/15  01/22/15      99.923                 0.77
313588LS2  09/14/15  10/21/14      99.882                 1.18
313588LT0  09/15/15  10/02/14      99.894                 1.06
313588LU7  09/16/15  01/22/15      99.918                 0.82
313588LW3  09/18/15  03/27/15      99.937                 0.63
313588LZ6  09/21/15  11/19/14      99.898                 1.02
313588MA0  09/22/15  12/02/14      99.910                 0.90
313588MB8  09/23/15  10/16/14      99.877                 1.23
313588MC6  09/24/15  11/26/14      99.908                 0.92
313588MD4  09/25/15  10/28/14      99.899                 1.01
313588MG7  09/28/15  02/25/15      99.946                 0.54
313588MH5  09/29/15  11/05/14      99.900                 1.00
313588MJ1  09/30/15  01/20/15      99.895                 1.05
313588MK8  10/01/15  10/16/14      99.854                 1.46
313588ML6  10/02/15  10/15/14      99.883                 1.17
313588MP7  10/05/15  10/21/14      99.855                 1.45
313588MQ5  10/06/15  10/17/14      99.853                 1.47





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588MR3  10/07/15  04/08/15      99.929                 0.71
313588MS1  10/08/15  10/22/14      99.854                 1.46
313588MT9  10/09/15  10/17/14      99.851                 1.49
313588MY8  10/14/15  04/15/15      99.931                 0.69
313588MZ5  10/15/15  10/21/14      99.850                 1.50
313588NA9  10/16/15  08/12/15      99.984                 0.16
313588ND3  10/19/15  08/12/15      99.979                 0.21
313588NE1  10/20/15  08/13/15      99.979                 0.21
313588NF8  10/21/15  04/22/15      99.934                 0.66
313588NH4  10/23/15  08/14/15      99.979                 0.21
313588NL5  10/26/15  08/12/15      99.975                 0.25
313588NM3  10/27/15  08/13/15      99.975                 0.25
313588NN1  10/28/15  04/29/15      99.936                 0.64
313588NP6  10/29/15  08/14/15      99.975                 0.25
313588NQ4  10/30/15  08/13/15      99.974                 0.26
313588NT8  11/02/15  11/14/14      99.863                 1.37
313588NU5  11/03/15  03/31/15      99.895                 1.05
313588NV3  11/04/15  01/08/15      99.825                 1.75
313588NW1  11/05/15  03/30/15      99.893                 1.07
313588NX9  11/06/15  12/17/14      99.847                 1.53
313588PA7  11/09/15  12/17/14      99.846                 1.54
313588PB5  11/10/15  03/27/15      99.889                 1.11
313588PD1  11/12/15  01/27/15      99.912                 0.88
313588PE9  11/13/15  12/02/14      99.875                 1.25
313588PH2  11/16/15  01/09/15      99.832                 1.68
313588PJ8  11/17/15  01/16/15      99.873                 1.27
313588PK5  11/18/15  02/26/15      99.890                 1.10
313588PL3  11/19/15  05/11/15      99.928                 0.72
313588PM1  11/20/15  03/27/15      99.881                 1.19
313588PQ2  11/23/15  01/20/15      99.847                 1.53
313588PR0  11/24/15  12/17/14      99.839                 1.61
313588PS8  11/25/15  12/17/14      99.838                 1.62
313588PU3  11/27/15  12/17/14      99.837                 1.63
313588PX7  11/30/15  12/31/14      99.838                 1.62
313588PY5  12/01/15  01/12/15      99.803                 1.97
313588PZ2  12/02/15  02/25/15      99.868                 1.32
313588QA6  12/03/15  03/03/15      99.874                 1.26
313588QB4  12/04/15  02/20/15      99.853                 1.47
313588QE8  12/07/15  04/06/15      99.881                 1.19
313588QF5  12/08/15  03/26/15      99.872                 1.28
313588QG3  12/09/15  12/18/14      99.812                 1.88
313588QH1  12/10/15  12/18/14      99.812                 1.88
313588QJ7  12/11/15  12/18/14      99.811                 1.89
313588QM0  12/14/15  01/26/15      99.843                 1.57
313588QN8  12/15/15  12/31/14      99.816                 1.84
313588QP3  12/16/15  01/22/15      99.841                 1.59
313588QQ1  12/17/15  02/20/15      99.842                 1.58





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588QR9  12/18/15  01/14/15      99.793                 2.07
313588QU2  12/21/15  01/07/15      99.778                 2.22
313588QV0  12/22/15  04/06/15      99.866                 1.34
313588QW8  12/23/15  03/27/15      99.846                 1.54
313588QX6  12/24/15  03/31/15      99.847                 1.53
313588RB3  12/28/15  04/14/15      99.885                 1.15
313588RC1  12/29/15  06/01/15      99.915                 0.85
313588RD9  12/30/15  03/27/15      99.842                 1.58
313588RE7  12/31/15  01/07/15      99.771                 2.29





                                 Section III-D



                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2015

                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312AE0  01/05/15  01/06/14      99.798                 2.02
313312AF7  01/06/15  12/09/14      99.995                 0.05
313312AG5  01/07/15  12/10/14      99.994                 0.06
313312AH3  01/08/15  06/27/14      99.935                 0.65
313312AJ9  01/09/15  06/09/14      99.929                 0.71
313312AM2  01/12/15  12/15/14      99.995                 0.05
313312AN0  01/13/15  10/14/14      99.982                 0.18
313312AP5  01/14/15  05/08/14      99.916                 0.84
313312AQ3  01/15/15  07/25/14      99.937                 0.63
313312AR1  01/16/15  11/17/14      99.983                 0.17
313312AV2  01/20/15  04/28/14      99.904                 0.96
313312AW0  01/21/15  04/16/14      99.891                 1.09
313312AX8  01/22/15  08/22/14      99.949                 0.51
313312AY6  01/23/15  11/03/14      99.982                 0.18
313312BB5  01/26/15  11/12/14      99.981                 0.19
313312BC3  01/27/15  09/08/14      99.961                 0.39
313312BD1  01/28/15  04/24/14      99.899                 1.01
313312BE9  01/29/15  08/15/14      99.944                 0.56
313312BF6  01/30/15  03/10/14      99.846                 1.54
313312BJ8  02/02/15  04/16/14      99.878                 1.22
313312BK5  02/03/15  10/15/14      99.975                 0.25
313312BL3  02/04/15  06/09/14      99.913                 0.87
313312BN9  02/06/15  04/16/14      99.877                 1.23
313312BR0  02/09/15  08/27/14      99.949                 0.51
313312BS8  02/10/15  07/21/14      99.926                 0.74
313312BT6  02/11/15  11/19/14      99.977                 0.23
313312BU3  02/12/15  12/24/14      99.988                 0.13
313312BV1  02/13/15  01/02/15      99.987                 0.13
313312BZ2  02/17/15  05/08/14      99.905                 0.95
313312CA6  02/18/15  07/25/14      99.919                 0.81
313312CB4  02/19/15  06/17/14      99.911                 0.89
313312CC2  02/20/15  05/28/14      99.903                 0.97
313312CF5  02/23/15  08/15/14      99.931                 0.69
313312CG3  02/24/15  11/03/14      99.972                 0.28
313312CH1  02/25/15  08/04/14      99.920                 0.80
313312CJ7  02/26/15  11/06/14      99.969                 0.31
313312CK4  02/27/15  12/29/14      99.983                 0.17
313312CN8  03/02/15  05/08/14      99.892                 1.08
313312CP3  03/03/15  02/10/15      99.997                 0.04
313312CQ1  03/04/15  07/10/14      99.908                 0.92
313312CV0  03/09/15  07/29/14      99.913                 0.87
313312CW8  03/10/15  08/28/14      99.930                 0.70
313312CX6  03/11/15  07/21/14      99.909                 0.91





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312CY4  03/12/15  05/12/14      99.882                 1.18
313312CZ1  03/13/15  07/22/14      99.909                 0.91
313312DC1  03/16/15  12/22/14      99.960                 0.40
313312DD9  03/17/15  07/25/14      99.902                 0.98
313312DE7  03/18/15  04/16/14      99.851                 1.49
313312DF4  03/19/15  06/25/14      99.896                 1.04
313312DG2  03/20/15  12/26/14      99.963                 0.37
313312DK3  03/23/15  10/30/14      99.956                 0.44
313312DL1  03/24/15  08/20/14      99.922                 0.78
313312DM9  03/25/15  12/19/14      99.952                 0.48
313312DN7  03/26/15  09/30/14      99.961                 0.39
313312DP2  03/27/15  04/24/14      99.860                 1.40
313312DS6  03/30/15  05/12/14      99.875                 1.25
313312DT4  03/31/15  08/18/14      99.913                 0.88
313312DU1  04/01/15  07/18/14      99.907                 0.93
313312DV9  04/02/15  07/28/14      99.897                 1.03
313312DW7  04/03/15  02/20/15      99.993                 0.07
313312DZ0  04/06/15  04/24/14      99.846                 1.54
313312EA4  04/07/15  05/29/14      99.878                 1.22
313312EB2  04/08/15  10/07/14      99.954                 0.46
313312EC0  04/09/15  10/15/14      99.956                 0.44
313312ED8  04/10/15  07/25/14      99.892                 1.08
313312EG1  04/13/15  05/13/14      99.870                 1.30
313312EH9  04/14/15  09/03/14      99.913                 0.87
313312EJ5  04/15/15  02/13/15      99.986                 0.14
313312EK2  04/16/15  08/27/14      99.910                 0.90
313312EL0  04/17/15  04/21/14      99.840                 1.60
313312EP1  04/20/15  08/21/14      99.906                 0.94
313312EQ9  04/21/15  10/03/14      99.944                 0.56
313312ER7  04/22/15  09/30/14      99.949                 0.51
313312ET3  04/24/15  12/18/14      99.944                 0.56
313312EW6  04/27/15  10/21/14      99.948                 0.52
313312EX4  04/28/15  08/28/14      99.906                 0.95
313312EY2  04/29/15  12/23/14      99.937                 0.64
313312EZ9  04/30/15  04/02/15      99.994                 0.06
313312FD7  05/04/15  11/14/14      99.938                 0.62
313312FE5  05/05/15  07/08/14      99.858                 1.42
313312FF2  05/06/15  07/30/14      99.883                 1.17
313312FG0  05/07/15  10/15/14      99.943                 0.57
313312FH8  05/08/15  06/26/14      99.851                 1.49
313312FL9  05/11/15  05/12/14      99.838                 1.62
313312FM7  05/12/15  05/29/14      99.855                 1.45
313312FN5  05/13/15  11/14/14      99.935                 0.65
313312FP0  05/14/15  03/16/15      99.985                 0.15
313312FQ8  05/15/15  01/30/15      99.971                 0.29
313312FT2  05/18/15  11/12/14      99.933                 0.68
313312FU9  05/19/15  08/14/14      99.876                 1.24
313312FV7  05/20/15  09/04/14      99.893                 1.08





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312FW5  05/21/15  08/04/14      99.871                 1.29
313312FX3  05/22/15  09/03/14      99.891                 1.09
313312GB0  05/26/15  11/17/14      99.931                 0.69
313312GC8  05/27/15  11/05/14      99.927                 0.73
313312GD6  05/28/15  09/08/14      99.891                 1.09
313312GE4  05/29/15  08/19/14      99.874                 1.26
313312GH7  06/01/15  08/29/14      99.877                 1.23
313312GJ3  06/02/15  08/29/14      99.877                 1.23
313312GK0  06/03/15  10/02/14      99.912                 0.88
313312GL8  06/04/15  10/31/14      99.922                 0.78
313312GM6  06/05/15  11/03/14      99.923                 0.77
313312GQ7  06/08/15  10/21/14      99.923                 0.77
313312GR5  06/09/15  10/14/14      99.921                 0.79
313312GS3  06/10/15  12/12/14      99.925                 0.75
313312GT1  06/11/15  09/04/14      99.876                 1.24
313312GU8  06/12/15  10/22/14      99.916                 0.84
313312GX2  06/15/15  05/14/15      99.993                 0.07
313312GY0  06/16/15  05/15/15      99.993                 0.07
313312GZ7  06/17/15  12/23/14      99.892                 1.08
313312HA1  06/18/15  11/04/14      99.918                 0.82
313312HB9  06/19/15  08/29/14      99.861                 1.39
313312HE3  06/22/15  03/23/15      99.970                 0.30
313312HF0  06/23/15  03/24/15      99.972                 0.28
313312HG8  06/24/15  03/26/15      99.975                 0.25
313312HH6  06/25/15  11/28/14      99.907                 0.93
313312HJ2  06/26/15  12/31/14      99.912                 0.89
313312HM5  06/29/15  11/14/14      99.905                 0.95
313312HN3  06/30/15  12/10/14      99.905                 0.95
313312HP8  07/01/15  09/03/14      99.858                 1.42
313312HQ6  07/02/15  07/10/14      99.831                 1.69
313312HU7  07/06/15  06/15/15      99.997                 0.04
313312HV5  07/07/15  06/09/15      99.995                 0.05
313312HW3  07/08/15  10/22/14      99.899                 1.01
313312HX1  07/09/15  11/18/14      99.903                 0.97
313312HY9  07/10/15  07/10/14      99.828                 1.72
313312JB7  07/13/15  11/03/14      99.902                 0.98
313312JC5  07/14/15  10/15/14      99.902                 0.98
313312JD3  07/15/15  07/16/14      99.828                 1.72
313312JE1  07/16/15  10/03/14      99.889                 1.11
313312JF8  07/17/15  10/09/14      99.891                 1.09
313312JJ0  07/20/15  10/28/14      99.897                 1.03
313312JK7  07/21/15  09/15/14      99.854                 1.46
313312JL5  07/22/15  10/29/14      99.889                 1.11
313312JM3  07/23/15  09/18/14      99.855                 1.45
313312JN1  07/24/15  09/15/14      99.853                 1.47
313312JR2  07/27/15  09/16/14      99.852                 1.48
313312JS0  07/28/15  10/15/14      99.897                 1.03





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312JT8  07/29/15  12/11/14      99.885                 1.15
313312JU5  07/30/15  10/24/14      99.899                 1.01
313312JV3  07/31/15  08/15/14      99.825                 1.75
313312JY7  08/03/15  04/02/15      99.956                 0.44
313312JZ4  08/04/15  09/30/14      99.872                 1.28
313312KA7  08/05/15  10/28/14      99.883                 1.17
313312KB5  08/06/15  11/03/14      99.885                 1.15
313312KC3  08/07/15  08/15/14      99.822                 1.79
313312KF6  08/10/15  11/10/14      99.879                 1.21
313312KG4  08/11/15  08/11/14      99.807                 1.93
313312KH2  08/12/15  11/10/14      99.878                 1.22
313312KJ8  08/13/15  05/04/15      99.972                 0.28
313312KN9  08/17/15  11/14/14      99.870                 1.30
313312KP4  08/18/15  08/19/14      99.818                 1.82
313312KQ2  08/19/15  11/25/14      99.881                 1.19
313312KR0  08/20/15  11/12/14      99.867                 1.33
313312KS8  08/21/15  07/17/15      99.993                 0.07
313312KV1  08/24/15  10/30/14      99.859                 1.41
313312KW9  08/25/15  10/23/14      99.873                 1.28
313312KX7  08/26/15  10/29/14      99.866                 1.34
313312KY5  08/27/15  09/30/14      99.853                 1.47
313312KZ2  08/28/15  10/27/14      99.864                 1.36
313312LC2  08/31/15  12/01/14      99.864                 1.37
313312LD0  09/01/15  12/01/14      99.863                 1.37
313312LE8  09/02/15  05/14/15      99.966                 0.34
313312LF5  09/03/15  05/18/15      99.967                 0.33
313312LG3  09/04/15  05/18/15      99.967                 0.33
313312LL2  09/08/15  11/13/14      99.851                 1.50
313312LM0  09/09/15  09/10/14      99.808                 1.92
313312LN8  09/10/15  09/11/14      99.808                 1.92
313312LP3  09/11/15  07/16/15      99.987                 0.13
313312LS7  09/14/15  05/15/15      99.959                 0.41
313312LT5  09/15/15  09/15/14      99.807                 1.93
313312LU2  09/16/15  05/11/15      99.961                 0.39
313312LV0  09/17/15  04/30/15      99.957                 0.43
313312LW8  09/18/15  12/31/14      99.812                 1.89
313312LZ1  09/21/15  10/28/14      99.845                 1.55
313312MA5  09/22/15  08/25/15      99.994                 0.06
313312MC1  09/24/15  03/02/15      99.903                 0.97
313312MD9  09/25/15  05/29/15      99.964                 0.36
313312MG2  09/28/15  10/14/14      99.835                 1.65
313312MH0  09/29/15  03/03/15      99.913                 0.88
313312MJ6  09/30/15  06/12/15      99.966                 0.34
313312MK3  10/01/15  09/03/15      99.993                 0.07
313312ML1  10/02/15  12/16/14      99.807                 1.93
313312MP2  10/05/15  10/06/14      99.808                 1.92





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312MQ0  10/06/15  12/16/14      99.804                 1.96
313312MR8  10/07/15  09/02/15      99.990                 0.10
313312MS6  10/08/15  07/20/15      99.980                 0.20
313312MT4  10/09/15  03/03/15      99.896                 1.04
313312MX5  10/13/15  09/08/15      99.990                 0.10
313312MY3  10/14/15  10/16/14      99.839                 1.61
313312MZ0  10/15/15  04/17/15      99.915                 0.86
313312NA4  10/16/15  07/01/15      99.961                 0.39
313312ND8  10/19/15  10/21/14      99.819                 1.82
313312NE6  10/20/15  11/14/14      99.821                 1.79
313312NF3  10/21/15  09/09/15      99.986                 0.14
313312NG1  10/22/15  09/17/15      99.985                 0.15
313312NH9  10/23/15  10/24/14      99.818                 1.82
313312NL0  10/26/15  07/24/15      99.971                 0.29
313312NM8  10/27/15  07/10/15      99.964                 0.36
313312NN6  10/28/15  08/05/15      99.970                 0.30
313312NP1  10/29/15  04/29/15      99.914                 0.86
313312NQ9  10/30/15  07/13/15      99.964                 0.36
313312NT3  11/02/15  09/28/15      99.992                 0.08
313312NU0  11/03/15  11/17/14      99.795                 2.05
313312NV8  11/04/15  11/04/14      99.818                 1.83
313312NW6  11/05/15  08/28/15      99.964                 0.36
313312NX4  11/06/15  11/07/14      99.808                 1.92
313312PA2  11/09/15  03/18/15      99.836                 1.64
313312PB0  11/10/15  07/23/15      99.960                 0.40
313312PD6  11/12/15  03/23/15      99.851                 1.50
313312PE4  11/13/15  03/30/15      99.854                 1.46
313312PH7  11/16/15  07/20/15      99.960                 0.40
313312PJ3  11/17/15  07/06/15      99.940                 0.60
313312PK0  11/18/15  10/21/15      99.995                 0.05
313312PL8  11/19/15  08/03/15      99.958                 0.42
313312PM6  11/20/15  03/26/15      99.847                 1.53
313312PQ7  11/23/15  02/20/15      99.839                 1.61
313312PR5  11/24/15  11/25/14      99.788                 2.12
313312PS3  11/25/15  10/19/15      99.994                 0.06
313312PU8  11/27/15  09/11/15      99.955                 0.45
313312PX2  11/30/15  08/17/15      99.936                 0.64
313312PY0  12/01/15  07/21/15      99.956                 0.44
313312PZ7  12/02/15  05/11/15      99.892                 1.08
313312QA1  12/03/15  06/26/15      99.916                 0.84
313312QB9  12/04/15  04/10/15      99.848                 1.52
313312QE3  12/07/15  08/24/15      99.939                 0.61
313312QF0  12/08/15  12/11/14      99.729                 2.72
313312QG8  12/09/15  11/04/15      99.993                 0.07
313312QH6  12/10/15  05/12/15      99.894                 1.06
313312QJ2  12/11/15  04/16/15      99.861                 1.39
313312QM5  12/14/15  09/08/15      99.943                 0.57





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312QN3  12/15/15  05/12/15      99.892                 1.09
313312QP8  12/16/15  08/14/15      99.921                 0.79
313312QQ6  12/17/15  11/12/15      99.991                 0.09
313312QR4  12/18/15  03/17/15      99.808                 1.92
313312QU7  12/21/15  06/11/15      99.898                 1.02
313312QV5  12/22/15  08/25/15      99.931                 0.69
313312QW3  12/23/15  03/20/15      99.799                 2.01
313312QX1  12/24/15  04/08/15      99.834                 1.66
313312RB8  12/28/15  04/08/15      99.831                 1.69
313312RC6  12/29/15  09/29/15      99.957                 0.43
313312RD4  12/30/15  12/02/15      99.983                 0.17
313312RE2  12/31/15  06/29/15      99.908                 0.93





                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312AB6  01/02/15  12/31/14      99.9998                0.002
313312BM1  02/05/15  02/04/15      99.9999                0.001
313312ES5  04/23/15  04/22/15      99.9999                0.001
313312FA3  05/01/15  04/30/15      99.9999                0.001
313312KK5  08/14/15  08/13/15      99.9999                0.001
313312MB3  09/23/15  09/22/15      99.9999                0.001






                                Section III-E



                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2015

                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396AB9  01/02/15  02/21/14      99.913                 0.87 
313396AE3  01/05/15  07/07/14      99.956                 0.44 
313396AF0  01/06/15  01/06/14      99.838                 1.62 
313396AG8  01/07/15  01/07/14      99.838                 1.62 
313396AH6  01/08/15  01/09/14      99.828                 1.72 
313396AJ2  01/09/15  01/13/14      99.860                 1.40 
313396AM5  01/12/15  07/14/14      99.957                 0.43 
313396AN3  01/13/15  05/15/14      99.953                 0.47 
313396AP8  01/14/15  03/17/14      99.907                 0.93 
313396AQ6  01/15/15  02/04/14      99.875                 1.25 
313396AR4  01/16/15  03/05/14      99.894                 1.06 
313396AV5  01/20/15  02/04/14      99.874                 1.26 
313396AW3  01/21/15  03/17/14      99.897                 1.03 
313396AX1  01/22/15  02/04/14      99.873                 1.27 
313396AY9  01/23/15  03/04/14      99.901                 0.99 
313396BB8  01/26/15  01/27/14      99.848                 1.52 
313396BC6  01/27/15  03/07/14      99.891                 1.09 
313396BD4  01/28/15  05/21/14      99.951                 0.49 
313396BE2  01/29/15  05/15/14      99.950                 0.50 
313396BF9  01/30/15  03/28/14      99.897                 1.03 
313396BJ1  02/02/15  03/25/14      99.895                 1.05 
313396BK8  02/03/15  02/06/14      99.849                 1.51 
313396BL6  02/04/15  03/05/14      99.888                 1.12 
313396BM4  02/05/15  02/05/14      99.858                 1.42 
313396BN2  02/06/15  02/06/14      99.848                 1.52 
313396BR3  02/09/15  02/10/14      99.833                 1.67 
313396BS1  02/10/15  02/18/14      99.881                 1.19 
313396BT9  02/11/15  02/20/14      99.881                 1.19 
313396BU6  02/12/15  02/24/14      99.882                 1.18 
313396BV4  02/13/15  03/05/14      99.875                 1.25 
313396BZ5  02/17/15  02/24/14      99.881                 1.19 
313396CA9  02/18/15  02/24/14      99.880                 1.20 
313396CB7  02/19/15  02/26/14      99.881                 1.19 
313396CC5  02/20/15  12/05/14      99.985                 0.15 
313396CF8  02/23/15  08/25/14      99.955                 0.45 
313396CG6  02/24/15  02/25/14      99.879                 1.21 
313396CH4  02/25/15  08/20/14      99.953                 0.47 
313396CJ0  02/26/15  07/09/14      99.936                 0.64 
313396CK7  02/27/15  03/04/14      99.870                 1.30 
313396CN1  03/02/15  08/15/14      99.953                 0.47 
313396CP6  03/03/15  03/14/14      99.862                 1.38 
313396CQ4  03/04/15  03/19/14      99.864                 1.36 
313396CR2  03/05/15  04/30/14      99.914                 0.86 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396CS0  03/06/15  03/07/14      99.858                 1.42 
313396CV3  03/09/15  03/10/14      99.858                 1.42 
313396CW1  03/10/15  03/10/14      99.858                 1.42 
313396CX9  03/11/15  03/13/14      99.859                 1.41 
313396CY7  03/12/15  03/14/14      99.859                 1.41 
313396CZ4  03/13/15  04/25/14      99.911                 0.89 
313396DC4  03/16/15  06/13/14      99.931                 0.69 
313396DD2  03/17/15  03/17/14      99.858                 1.42 
313396DE0  03/18/15  03/24/14      99.860                 1.40 
313396DF7  03/19/15  03/24/14      99.860                 1.40 
313396DG5  03/20/15  03/21/14      99.858                 1.42 
313396DK6  03/23/15  03/24/14      99.858                 1.42 
313396DL4  03/24/15  03/25/14      99.858                 1.42 
313396DM2  03/25/15  03/27/14      99.859                 1.41 
313396DN0  03/26/15  06/18/14      99.930                 0.70 
313396DP5  03/27/15  04/01/14      99.890                 1.10 
313396DS9  03/30/15  04/21/14      99.905                 0.95 
313396DT7  03/31/15  04/09/14      99.891                 1.09 
313396DU4  04/01/15  08/21/14      99.938                 0.62 
313396DV2  04/02/15  10/21/14      99.968                 0.32 
313396DZ3  04/06/15  08/26/14      99.941                 0.59 
313396EA7  04/07/15  04/24/14      99.894                 1.06 
313396EB5  04/08/15  04/24/14      99.893                 1.07 
313396EC3  04/09/15  04/24/14      99.893                 1.07 
313396ED1  04/10/15  04/23/14      99.892                 1.08 
313396EG4  04/13/15  04/24/14      99.892                 1.08 
313396EH2  04/14/15  04/24/14      99.892                 1.08 
313396EJ8  04/15/15  04/23/14      99.891                 1.09 
313396EK5  04/16/15  04/24/14      99.891                 1.09 
313396EL3  04/17/15  05/07/14      99.895                 1.05 
313396EP4  04/20/15  05/07/14      99.894                 1.06 
313396EQ2  04/21/15  04/25/14      99.870                 1.30 
313396ER0  04/22/15  04/25/14      99.869                 1.31 
313396ES8  04/23/15  04/28/14      99.873                 1.27 
313396ET6  04/24/15  04/25/14      99.869                 1.31 
313396EW9  04/27/15  05/07/14      99.892                 1.08 
313396EX7  04/28/15  09/05/14      99.945                 0.55 
313396EY5  04/29/15  05/09/14      99.906                 0.94 
313396EZ2  04/30/15  05/02/14      99.899                 1.01 
313396FA6  05/01/15  09/10/14      99.945                 0.55 
313396FD0  05/04/15  11/03/14      99.957                 0.43 
313396FE8  05/05/15  05/23/14      99.904                 0.96 
313396FF5  05/06/15  05/07/14      99.884                 1.16 
313396FG3  05/07/15  05/08/14      99.894                 1.06 
313396FH1  05/08/15  05/09/14      99.899                 1.01 
313396FL2  05/11/15  05/19/14      99.901                 0.99 
313396FM0  05/12/15  05/29/14      99.903                 0.97 
313396FN8  05/13/15  05/29/14      99.903                 0.97 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396FP3  05/14/15  05/29/14      99.903                 0.97 
313396FQ1  05/15/15  05/20/14      99.900                 1.00 
313396FT5  05/18/15  10/27/14      99.958                 0.42 
313396FU2  05/19/15  05/29/14      99.901                 0.99 
313396FV0  05/20/15  06/02/14      99.902                 0.98 
313396FW8  05/21/15  05/28/14      99.901                 0.99 
313396FX6  05/22/15  05/29/14      99.901                 0.99 
313396GB3  05/26/15  05/29/14      99.899                 1.01 
313396GC1  05/27/15  05/29/14      99.899                 1.01 
313396GD9  05/28/15  05/29/14      99.899                 1.01 
313396GE7  05/29/15  06/06/14      99.891                 1.09 
313396GH0  06/01/15  06/24/14      99.886                 1.14 
313396GJ6  06/02/15  06/13/14      99.882                 1.18 
313396GK3  06/03/15  06/13/14      99.882                 1.18 
313396GL1  06/04/15  06/23/14      99.889                 1.11 
313396GM9  06/05/15  06/18/14      99.868                 1.32 
313396GQ0  06/08/15  12/08/14      99.934                 0.66 
313396GR8  06/09/15  06/11/14      99.884                 1.16 
313396GS6  06/10/15  06/16/14      99.860                 1.40 
313396GT4  06/11/15  06/12/14      99.869                 1.31 
313396GU1  06/12/15  06/16/14      99.860                 1.40 
313396GX5  06/15/15  06/27/14      99.877                 1.23 
313396GY3  06/16/15  06/18/14      99.854                 1.46 
313396GZ0  06/17/15  06/20/14      99.854                 1.46 
313396HA4  06/18/15  06/19/14      99.853                 1.47 
313396HB2  06/19/15  06/26/14      99.876                 1.24 
313396HE6  06/22/15  06/30/14      99.876                 1.24 
313396HF3  06/23/15  06/30/14      99.876                 1.24 
313396HG1  06/24/15  06/26/14      99.871                 1.29 
313396HH9  06/25/15  07/21/14      99.878                 1.22 
313396HJ5  06/26/15  07/07/14      99.872                 1.28 
313396HM8  06/29/15  10/07/14      99.956                 0.44 
313396HN6  06/30/15  07/31/14      99.870                 1.30 
313396HP1  07/01/15  07/09/14      99.861                 1.39 
313396HQ9  07/02/15  07/10/14      99.866                 1.34 
313396HR7  07/03/15  09/29/14      99.950                 0.50 
313396HU0  07/06/15  02/20/15      99.985                 0.15 
313396HV8  07/07/15  07/11/14      99.855                 1.45 
313396HW6  07/08/15  07/11/14      99.854                 1.46 
313396HX4  07/09/15  07/11/14      99.854                 1.46 
313396HY2  07/10/15  07/16/14      99.850                 1.50 
313396JB0  07/13/15  01/12/15      99.934                 0.66 
313396JC8  07/14/15  07/30/14      99.855                 1.45 
313396JD6  07/15/15  07/17/14      99.849                 1.51 
313396JJ3  07/20/15  01/20/15      99.935                 0.65 
313396JK0  07/21/15  07/29/14      99.846                 1.54 
313396JL8  07/22/15  07/29/14      99.846                 1.54 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396JM6  07/23/15  07/29/14      99.845                 1.55 
313396JN4  07/24/15  07/29/14      99.845                 1.55 
313396JR5  07/27/15  01/26/15      99.935                 0.65 
313396JS3  07/28/15  02/23/15      99.972                 0.28 
313396JT1  07/29/15  09/22/14      99.905                 0.95 
313396JU8  07/30/15  01/14/15      99.945                 0.55 
313396JV6  07/31/15  08/04/14      99.860                 1.40 
313396JY0  08/03/15  03/03/15      99.966                 0.34 
313396JZ7  08/04/15  08/08/14      99.840                 1.60 
313396KA0  08/05/15  08/07/14      99.839                 1.61 
313396KB8  08/06/15  08/11/14      99.850                 1.50 
313396KC6  08/07/15  08/15/14      99.851                 1.49 
313396KF9  08/10/15  08/18/14      99.846                 1.54 
313396KG7  08/11/15  08/18/14      99.846                 1.54 
313396KH5  08/12/15  08/18/14      99.845                 1.55 
313396KJ1  08/13/15  08/18/14      99.845                 1.55 
313396KK8  08/14/15  08/18/14      99.845                 1.55 
313396KN2  08/17/15  01/08/15      99.917                 0.83 
313396KP7  08/18/15  08/21/14      99.834                 1.66 
313396KQ5  08/19/15  08/26/14      99.831                 1.69 
313396KR3  08/20/15  08/22/14      99.834                 1.66 
313396KS1  08/21/15  08/27/14      99.835                 1.65 
313396KV4  08/24/15  01/29/15      99.945                 0.55 
313396KW2  08/25/15  08/28/14      99.834                 1.66 
313396KX0  08/26/15  09/10/14      99.854                 1.46 
313396KY8  08/27/15  08/27/14      99.828                 1.72 
313396KZ5  08/28/15  03/02/15      99.941                 0.59 
313396LC5  08/31/15  04/28/15      99.979                 0.21 
313396LD3  09/01/15  09/08/14      99.841                 1.59 
313396LE1  09/02/15  09/08/14      99.840                 1.60 
313396LF8  09/03/15  09/12/14      99.847                 1.53 
313396LG6  09/04/15  01/09/15      99.904                 0.96 
313396LL5  09/08/15  10/23/14      99.902                 0.98 
313396LM3  09/09/15  01/12/15      99.920                 0.80 
313396LN1  09/10/15  12/10/14      99.886                 1.14 
313396LP6  09/11/15  09/24/14      99.868                 1.32 
313396LS0  09/14/15  09/18/14      99.850                 1.50 
313396LT8  09/15/15  11/20/14      99.880                 1.20 
313396LU5  09/16/15  02/26/15      99.944                 0.56 
313396LV3  09/17/15  10/24/14      99.895                 1.05 
313396LW1  09/18/15  02/23/15      99.943                 0.57 
313396LZ4  09/21/15  02/04/15      99.943                 0.57 
313396MA8  09/22/15  09/30/14      99.871                 1.29 
313396MB6  09/23/15  10/27/14      99.890                 1.10 
313396MC4  09/24/15  12/17/14      99.883                 1.17 
313396MD2  09/25/15  10/02/14      99.871                 1.29 
313396MG5  09/28/15  01/02/15      99.892                 1.08 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396MH3  09/29/15  11/20/14      99.874                 1.26 
313396MJ9  09/30/15  10/06/14      99.870                 1.30 
313396MK6  10/01/15  10/06/14      99.870                 1.30 
313396ML4  10/02/15  10/06/14      99.870                 1.30 
313396MP5  10/05/15  10/07/14      99.869                 1.31 
313396MQ3  10/06/15  12/17/14      99.862                 1.38 
313396MR1  10/07/15  01/08/15      99.883                 1.17 
313396MS9  10/08/15  12/17/14      99.861                 1.39 
313396MT7  10/09/15  12/17/14      99.860                 1.40 
313396MX8  10/13/15  12/17/14      99.858                 1.42 
313396MY6  10/14/15  12/17/14      99.858                 1.42 
313396MZ3  10/15/15  10/17/14      99.844                 1.56 
313396NA7  10/16/15  10/20/14      99.845                 1.55 
313396ND1  10/19/15  01/14/15      99.884                 1.16 
313396NE9  10/20/15  10/23/14      99.859                 1.41 
313396NF6  10/21/15  12/17/14      99.846                 1.54 
313396NG4  10/22/15  11/19/14      99.841                 1.59 
313396NH2  10/23/15  12/17/14      99.845                 1.55 
313396NL3  10/26/15  10/27/14      99.843                 1.57 
313396NM1  10/27/15  11/26/14      99.865                 1.35 
313396NN9  10/28/15  01/20/15      99.895                 1.05 
313396NP4  10/29/15  01/16/15      99.893                 1.07 
313396NQ2  10/30/15  11/24/14      99.839                 1.61 
313396NT6  11/02/15  01/30/15      99.893                 1.07 
313396NU3  11/03/15  11/07/14      99.830                 1.70 
313396NV1  11/04/15  11/07/14      99.829                 1.71 
313396NW9  11/05/15  11/10/14      99.830                 1.70 
313396NX7  11/06/15  11/07/14      99.828                 1.72 
313396PB3  11/10/15  12/11/14      99.810                 1.90 
313396PD9  11/12/15  11/14/14      99.819                 1.81 
313396PE7  11/13/15  11/14/14      99.818                 1.82 
313396PH0  11/16/15  11/17/14      99.808                 1.92 
313396PK3  11/18/15  12/11/14      99.801                 1.99 
313396PL1  11/19/15  12/11/14      99.800                 2.00 
313396PM9  11/20/15  12/12/14      99.800                 2.00 
313396PQ0  11/23/15  11/24/14      99.809                 1.91 
313396PR8  11/24/15  01/26/15      99.874                 1.26 
313396PS6  11/25/15  05/27/15      99.949                 0.51 
313396PU1  11/27/15  05/18/15      99.930                 0.70 
313396PX5  11/30/15  12/01/14      99.809                 1.91 
313396PY3  12/01/15  12/17/14      99.777                 2.23 
313396PZ0  12/02/15  03/11/15      99.874                 1.26 
313396QA4  12/03/15  05/20/15      99.932                 0.68 
313396QB2  12/04/15  04/24/15      99.919                 0.81 
313396QE6  12/07/15  12/08/14      99.757                 2.43 
313396QF3  12/08/15  12/29/14      99.809                 1.91 
313396QG1  12/09/15  06/04/15      99.950                 0.50 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396QH9  12/10/15  05/21/15      99.932                 0.68 
313396QJ5  12/11/15  05/21/15      99.932                 0.68 
313396QM8  12/14/15  12/15/14      99.723                 2.77 
313396QN6  12/15/15  03/04/15      99.857                 1.43 
313396QP1  12/16/15  01/13/15      99.822                 1.78 
313396QQ9  12/17/15  01/13/15      99.822                 1.78 
313396QR7  12/18/15  01/13/15      99.821                 1.79 
313396QU0  12/21/15  04/01/15      99.853                 1.47 
313396QV8  12/22/15  01/13/15      99.819                 1.81 
313396QW6  12/23/15  01/13/15      99.818                 1.82 
313396QX4  12/24/15  01/13/15      99.818                 1.82 
313396RB1  12/28/15  01/13/15      99.816                 1.84 
313396RC9  12/29/15  01/13/15      99.815                 1.85 
313396RD7  12/30/15  01/22/15      99.848                 1.52 
313396RE5  12/31/15  01/13/15      99.814                 1.86 






                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------  
313396JE4  07/16/15  07/15/15      99.99997                0.0003
313396JF1  07/17/15  07/16/15      99.99997                0.0003
313396PA5  11/09/15  11/06/15      99.99992                0.0008
313396PJ6  11/17/15  11/16/15      99.99997                0.0003





                               Section III-F



                FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                    Short-Term Obligations Issued at a
                      Discount and Maturing in 2015

                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KAB6  01/02/15  06/27/14      99.937                 0.63
31315KAE0  01/05/15  09/29/14      99.985                 0.15
31315KAF7  01/06/15  01/09/14      99.809                 1.91
31315KAH3  01/08/15  01/08/14      99.803                 1.97
31315KAJ9  01/09/15  01/10/14      99.808                 1.92
31315KAP5  01/14/15  01/14/14      99.813                 1.87
31315KAQ3  01/15/15  01/16/14      99.811                 1.89
31315KAR1  01/16/15  10/09/14      99.980                 0.20
31315KAV2  01/20/15  12/10/14      99.989                 0.11
31315KAW0  01/21/15  12/18/14      99.991                 0.09
31315KAY6  01/23/15  10/10/14      99.979                 0.21
31315KBB5  01/26/15  04/24/14      99.908                 0.92
31315KBC3  01/27/15  10/16/14      99.979                 0.21
31315KBF6  01/30/15  11/13/14      99.976                 0.24
31315KBJ8  02/02/15  10/30/14      99.976                 0.24
31315KBK5  02/03/15  01/31/14      99.797                 2.03
31315KBL3  02/04/15  02/04/14      99.803                 1.97
31315KBM1  02/05/15  01/07/15      99.993                 0.07
31315KBN9  02/06/15  01/26/15      99.998                 0.02
31315KBR0  02/09/15  01/07/15      99.991                 0.09
31315KBT6  02/11/15  08/07/14      99.932                 0.68
31315KBV1  02/13/15  08/04/14      99.930                 0.70
31315KCC2  02/20/15  02/28/14      99.826                 1.74
31315KCF5  02/23/15  11/26/14      99.973                 0.27
31315KCG3  02/24/15  12/01/14      99.973                 0.27
31315KCH1  02/25/15  11/19/14      99.966                 0.34
31315KCK4  02/27/15  11/12/14      99.963                 0.37
31315KCP3  03/03/15  08/27/14      99.932                 0.68
31315KCR9  03/05/15  02/05/15      99.995                 0.05
31315KCV0  03/09/15  10/30/14      99.962                 0.38
31315KCW8  03/10/15  09/12/14      99.941                 0.59
31315KCZ1  03/13/15  03/13/14      99.818                 1.82
31315KDC1  03/16/15  11/10/14      99.958                 0.42
31315KDE7  03/18/15  10/15/14      99.966                 0.34
31315KDF4  03/19/15  03/04/15      99.998                 0.02
31315KDM9  03/25/15  03/24/14      99.818                 1.82
31315KDS6  03/30/15  03/04/15      99.997                 0.03
31315KDT4  03/31/15  02/26/15      99.994                 0.06
31315KDU1  04/01/15  05/21/14      99.887                 1.13
31315KDV9  04/02/15  11/12/14      99.945                 0.55
31315KDZ0  04/06/15  12/29/14      99.973                 0.27
31315KEA4  04/07/15  10/06/14      99.949                 0.51
31315KEB2  04/08/15  04/07/14      99.828                 1.72





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KED8  04/10/15  04/14/14      99.840                 1.60
31315KEG1  04/13/15  04/06/15      99.999                 0.01
31315KEJ5  04/15/15  01/15/15      99.973                 0.27
31315KEK2  04/16/15  10/14/14      99.949                 0.51
31315KEL0  04/17/15  04/21/14      99.840                 1.60
31315KEP1  04/20/15  04/13/15      99.999                 0.01
31315KEQ9  04/21/15  01/23/15      99.972                 0.28
31315KET3  04/24/15  04/24/14      99.838                 1.62
31315KEW6  04/27/15  03/25/15      99.995                 0.05
31315KEY2  04/29/15  04/29/14      99.838                 1.62
31315KFA3  05/01/15  04/30/14      99.838                 1.62
31315KFD7  05/04/15  05/16/14      99.863                 1.37
31315KFE5  05/05/15  02/03/15      99.975                 0.25
31315KFF2  05/06/15  06/06/14      99.861                 1.39
31315KFL9  05/11/15  08/07/14      99.877                 1.23
31315KFN5  05/13/15  04/24/15      99.996                 0.04
31315KFP0  05/14/15  05/14/14      99.848                 1.52
31315KFQ8  05/15/15  05/15/14      99.848                 1.52
31315KFT2  05/18/15  04/15/15      99.992                 0.08
31315KFU9  05/19/15  05/19/14      99.858                 1.42
31315KFV7  05/20/15  02/19/15      99.975                 0.25
31315KFX3  05/22/15  02/24/15      99.975                 0.25
31315KGB0  05/26/15  04/23/15      99.993                 0.07
31315KGC8  05/27/15  05/27/14      99.848                 1.52
31315KGD6  05/28/15  03/03/15      99.979                 0.21
31315KGH7  06/01/15  10/24/14      99.925                 0.75
31315KGK0  06/03/15  02/24/15      99.970                 0.30
31315KGM6  06/05/15  02/26/15      99.973                 0.28
31315KGQ7  06/08/15  02/27/15      99.973                 0.27
31315KGS3  06/10/15  03/11/15      99.972                 0.28
31315KGU8  06/12/15  03/12/15      99.974                 0.26
31315KGX2  06/15/15  03/16/15      99.974                 0.26
31315KHF0  06/23/15  05/26/15      99.994                 0.06
31315KHH6  06/25/15  03/25/15      99.976                 0.24
31315KHP8  07/01/15  09/30/14      99.886                 1.14
31315KHQ6  07/02/15  03/27/15      99.973                 0.27
31315KHU7  07/06/15  06/03/15      99.994                 0.06
31315KHV5  07/07/15  04/02/15      99.969                 0.31
31315KHY9  07/10/15  10/08/14      99.893                 1.07
31315KJB7  07/13/15  06/24/15      99.998                 0.02
31315KJC5  07/14/15  04/14/15      99.973                 0.28
31315KJF8  07/17/15  04/10/15      99.969                 0.31
31315KJJ0  07/20/15  06/23/15      99.996                 0.04
31315KJL5  07/22/15  04/17/15      99.969                 0.31
31315KJN1  07/24/15  07/24/14      99.823                 1.77
31315KJR2  07/27/15  01/30/15      99.926                 0.74
31315KJS0  07/28/15  02/02/15      99.924                 0.76





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KJT8  07/29/15  06/23/15      99.994                 0.06
31315KJY7  08/03/15  10/03/14      99.865                 1.35
31315KJZ4  08/04/15  08/01/14      99.808                 1.92
31315KKA7  08/05/15  06/04/15      99.985                 0.15
31315KKF6  08/10/15  07/09/15      99.993                 0.07
31315KKG4  08/11/15  03/31/15      99.937                 0.63
31315KKK5  08/14/15  07/10/15      99.993                 0.07
31315KKN9  08/17/15  01/30/15      99.916                 0.84
31315KKP4  08/18/15  08/11/15      99.999                 0.01
31315KKR0  08/20/15  05/15/15      99.970                 0.30
31315KKS8  08/21/15  01/30/15      99.913                 0.87
31315KKW9  08/25/15  02/17/15      99.906                 0.94
31315KKX7  08/26/15  07/29/15      99.994                 0.06
31315KKY5  08/27/15  06/04/15      99.976                 0.25
31315KLD0  09/01/15  09/29/14      99.860                 1.40
31315KLE8  09/02/15  06/04/15      99.973                 0.28
31315KLF5  09/03/15  06/05/15      99.975                 0.25
31315KLN8  09/10/15  03/10/15      99.916                 0.84
31315KLS7  09/14/15  06/15/15      99.975                 0.25
31315KLT5  09/15/15  12/11/14      99.846                 1.54
31315KLU2  09/16/15  06/17/15      99.972                 0.28
31315KLV0  09/17/15  06/19/15      99.975                 0.25
31315KLW8  09/18/15  06/16/15      99.971                 0.29
31315KMB3  09/23/15  09/23/14      99.797                 2.03
31315KMC1  09/24/15  09/24/14      99.797                 2.03
31315KMD9  09/25/15  02/10/15      99.890                 1.10
31315KMG2  09/28/15  06/29/15      99.974                 0.26
31315KMJ6  09/30/15  11/13/14      99.822                 1.78
31315KMK3  10/01/15  09/30/14      99.797                 2.03
31315KML1  10/02/15  06/24/15      99.967                 0.33
31315KMP2  10/05/15  06/25/15      99.966                 0.34
31315KMQ0  10/06/15  10/08/14      99.798                 2.02
31315KMS6  10/08/15  10/08/14      99.797                 2.03
31315KMX5  10/13/15  01/06/15      99.829                 1.71
31315KMZ0  10/15/15  04/16/15      99.919                 0.81
31315KNA4  10/16/15  07/14/15      99.965                 0.35
31315KND8  10/19/15  09/16/15      99.986                 0.14
31315KNH9  10/23/15  11/13/14      99.799                 2.01
31315KNL0  10/26/15  02/19/15      99.869                 1.31
31315KNM8  10/27/15  07/29/15      99.970                 0.30
31315KNP1  10/29/15  06/25/15      99.955                 0.45
31315KNT3  11/02/15  04/22/15      99.919                 0.81
31315KNU0  11/03/15  01/07/15      99.792                 2.08
31315KNW6  11/05/15  11/04/14      99.807                 1.93
31315KNX4  11/06/15  12/30/14      99.767                 2.33
31315KPB0  11/10/15  11/10/14      99.798                 2.02
31315KPD6  11/12/15  11/14/14      99.786                 2.14





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KPH7  11/16/15  01/16/15      99.813                 1.88
31315KPJ3  11/17/15  01/20/15      99.824                 1.76
31315KPL8  11/19/15  11/05/15      99.997                 0.03
31315KPM6  11/20/15  02/18/15      99.810                 1.90
31315KPQ7  11/23/15  08/18/15      99.945                 0.55
31315KPR5  11/24/15  11/09/15      99.997                 0.03
31315KPX2  11/30/15  11/12/15      99.996                 0.04
31315KPY0  12/01/15  12/17/14      99.739                 2.61
31315KQA1  12/03/15  11/19/15      99.997                 0.03
31315KQB9  12/04/15  11/25/15      99.997                 0.03
31315KQE3  12/07/15  08/26/15      99.934                 0.66
31315KQG8  12/09/15  12/02/15      99.998                 0.02
31315KQH6  12/10/15  03/16/15      99.821                 1.79
31315KQJ2  12/11/15  09/11/15      99.939                 0.61
31315KQM5  12/14/15  01/16/15      99.783                 2.17
31315KQN3  12/15/15  03/12/15      99.807                 1.93
31315KQP8  12/16/15  09/15/15      99.936                 0.64
31315KQU7  12/21/15  11/20/15      99.992                 0.08
31315KQV5  12/22/15  12/22/14      99.645                 3.55
31315KQW3  12/23/15  08/24/15      99.928                 0.72
31315KRB8  12/28/15  09/11/15      99.930                 0.70
31315KRD4  12/30/15  01/22/15      99.754                 2.46





                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KAG5  01/07/15  01/06/15      99.9999                0.001
31315KAM2  01/12/15  01/09/15      99.9997                0.003
31315KAN0  01/13/15  01/12/15      99.9999                0.001
31315KAX8  01/22/15  01/21/15      99.9999                0.001
31315KBD1  01/28/15  01/27/15      99.9999                0.001
31315KBE9  01/29/15  01/28/15      99.9999                0.001
31315KBS8  02/10/15  02/09/15      99.9999                0.001
31315KBU3  02/12/15  02/11/15      99.9999                0.001
31315KBZ2  02/17/15  02/13/15      99.9996                0.004
31315KCA6  02/18/15  02/17/15      99.9999                0.001
31315KCB4  02/19/15  02/18/15      99.9999                0.001
31315KCJ7  02/26/15  02/25/15      99.9999                0.001
31315KCN8  03/02/15  02/27/15      99.9997                0.003
31315KCQ1  03/04/15  03/03/15      99.9999                0.001
31315KCS7  03/06/15  03/04/15      99.9998                0.002
31315KCX6  03/11/15  03/10/15      99.9999                0.001




                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KCY4  03/12/15  03/11/15      99.9999                0.001
31315KDD9  03/17/15  03/16/15      99.9999                0.001
31315KDG2  03/20/15  03/19/15      99.9999                0.001
31315KDK3  03/23/15  03/20/15      99.9997                0.003
31315KDL1  03/24/15  03/23/15      99.9999                0.001
31315KDN7  03/26/15  03/25/15      99.9999                0.001
31315KEC0  04/09/15  04/08/15      99.9999                0.001
31315KEH9  04/14/15  04/13/15      99.9999                0.001
31315KER7  04/22/15  04/21/15      99.9998                0.002
31315KES5  04/23/15  04/22/15      99.9999                0.001
31315KEX4  04/28/15  04/27/15      99.9999                0.001
31315KEZ9  04/30/15  04/29/15      99.9999                0.001
31315KFG0  05/07/15  05/06/15      99.9999                0.001
31315KFH8  05/08/15  05/07/15      99.9999                0.001
31315KFM7  05/12/15  05/11/15      99.9999                0.001
31315KFW5  05/21/15  05/20/15      99.9999                0.001
31315KGE4  05/29/15  05/28/15      99.9999                0.001
31315KGJ3  06/02/15  06/01/15      99.9999                0.001
31315KGL8  06/04/15  06/03/15      99.9999                0.001
31315KGR5  06/09/15  06/08/15      99.9999                0.001
31315KGT1  06/11/15  06/10/15      99.9999                0.001
31315KGY0  06/16/15  06/15/15      99.9999                0.001
31315KGZ7  06/17/15  06/16/15      99.9999                0.001
31315KHA1  06/18/15  06/17/15      99.9999                0.001
31315KHB9  06/19/15  06/17/15      99.9999                0.001
31315KHE3  06/22/15  06/19/15      99.9997                0.003
31315KHG8  06/24/15  06/23/15      99.9999                0.001
31315KHJ2  06/26/15  06/25/15      99.9999                0.001
31315KHM5  06/29/15  06/26/15      99.9997                0.003
31315KHN3  06/30/15  06/29/15      99.9999                0.001
31315KHW3  07/08/15  07/07/15      99.9999                0.001
31315KHX1  07/09/15  07/08/15      99.9999                0.001
31315KJD3  07/15/15  07/14/15      99.9999                0.001
31315KJE1  07/16/15  07/15/15      99.9999                0.001
31315KJK7  07/21/15  07/20/15      99.9999                0.001
31315KJM3  07/23/15  07/22/15      99.9999                0.001
31315KJU5  07/30/15  07/29/15      99.9999                0.001
31315KJV3  07/31/15  07/30/15      99.9999                0.001
31315KKB5  08/06/15  08/05/15      99.9999                0.001
31315KKC3  08/07/15  08/06/15      99.9999                0.001
31315KKH2  08/12/15  08/11/15      99.9999                0.001
31315KKJ8  08/13/15  08/12/15      99.9999                0.001
31315KKQ2  08/19/15  08/18/15      99.9999                0.001
31315KKV1  08/24/15  08/21/15      99.9997                0.003
31315KKZ2  08/28/15  08/27/15      99.9999                0.001
31315KLC2  08/31/15  08/28/15      99.9997                0.003
31315KLG3  09/04/15  09/03/15      99.9999                0.001





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2015
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KLL2  09/08/15  09/04/15      99.9996                0.004
31315KLM0  09/09/15  09/08/15      99.9999                0.001
31315KLP3  09/11/15  09/10/15      99.9999                0.001
31315KLZ1  09/21/15  09/18/15      99.9997                0.003
31315KMA5  09/22/15  09/21/15      99.9999                0.001
31315KMH0  09/29/15  09/28/15      99.9999                0.001
31315KMR8  10/07/15  10/06/15      99.9999                0.001
31315KMT4  10/09/15  10/08/15      99.9999                0.001
31315KMY3  10/14/15  10/13/15      99.9999                0.001
31315KNE6  10/20/15  10/19/15      99.9999                0.001
31315KNF3  10/21/15  10/20/15      99.9999                0.001
31315KNG1  10/22/15  10/21/15      99.9999                0.001
31315KNN6  10/28/15  10/27/15      99.9999                0.001
31315KNQ9  10/30/15  10/29/15      99.9999                0.001
31315KNV8  11/04/15  11/03/15      99.9999                0.001
31315KPA2  11/09/15  11/06/15      99.9997                0.003
31315KPE4  11/13/15  11/12/15      99.9999                0.001
31315KPK0  11/18/15  11/17/15      99.9999                0.001
31315KPS3  11/25/15  11/24/15      99.9999                0.001
31315KPZ7  12/02/15  12/01/15      99.9999                0.001
31315KQF0  12/08/15  12/07/15      99.9999                0.001
31315KQQ6  12/17/15  12/16/15      99.9999                0.001
31315KQR4  12/18/15  12/17/15      99.9995                0.005
31315KRC6  12/29/15  12/17/15      99.9910                0.090












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