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 2016 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     2016 1st    2016 2nd   2017 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/16      Period     2017 1st    Period        2016       2017          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Fannie Mae                   313586RC5   10/09/84   10/09/19       3.200      0.000      658.78     0.190526    0.210791   0.232575      71.43      78.77          
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      500.53     0.139874    0.154193   0.169512      52.48      57.66          






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 2016 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES    4.7500              0.133066   0.133162   0.133261   0.133106  0.132948     47.95    47.89
American Medical Systems 02744MAA6 06/27/06 07/01/36    100.000    VARIES    9.1005              0.464313   0.480829   0.497983   0.515917              170.13   182.50
American Medical Systems 02744MAB4 09/21/09 09/15/41    103.658    VARIES   14.0090              0.768246   0.814276   0.863529   0.912693  0.965302    294.95   330.51
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES    4.4729              0.144220   0.147445   0.150743   0.153952  0.157232     53.28    55.62
Anoka CNTY HSG & REDEV   03622CAA3 12/15/10 05/01/17     97.561     8.000    8.5032    18.18     0.012337   0.012861   0.013408                           4.60     1.61
Anoka City, MN           03633CAA0 11/30/11 11/01/16     97.000     6.750    7.4901    24.14     0.019102   0.019817                                      5.86         
Ardagh MP Holdings Inc.  03968XAA9 01/26/12 10/15/20*    96.356     9.125    9.7549    12.80     0.010869   0.011399                                      1.81*        
Ares Capital Corporation 04010LAK9 07/19/13 01/15/19     98.500     4.375    4.6881     6.23     0.007395   0.007569   0.007746   0.007928  0.008114      2.75     2.88
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875    N/A                 0.025158   0.025156   0.025152   0.025149  0.025145      9.06     9.05
Republic of Argentina    040114GB0 07/21/00 07/21/30     80.144    10.250   12.8669    28.30     0.011198   0.011919   0.012685   0.013502  0.014370      4.40     4.98
Republic of Argentina    040114GG9 06/19/01 06/19/18     75.375     0.000    N/A                 0.715301   0.575262   0.436206   0.290875  0.147112    232.54   128.86
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250    12.000    N/A                 0.600628   0.601595   0.605943   0.603742  0.608257    220.08   220.80
Armstrong Cnty Ind Dev   04233KAB2 07/29/99 08/20/34      6.955     0.000    7.7498   172.93     0.050767   0.052734   0.054778   0.056901  0.059105     19.16    20.67
BRE Properties, Inc.     05564EBM7 04/04/14 01/15/23     94.166     3.375    4.1753     9.96     0.016308   0.016648   0.016996   0.017351  0.017713      6.05     6.30
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES    8.7499                                    0.243053   0.243660  0.244295     39.37    87.81
Banco Macro S.A.         05963GAA6 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833                                     93.98         
Banco Macro S.A.         05963GAB4 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833                                     93.98         
Bank of America Corp.    06048WAU4 02/22/10 02/22/17    100.000    VARIES    4.7710              0.134002   0.133662   0.133102                          48.06     6.79
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES    5.5724              0.157520   0.157379   0.157083   0.156779  0.156531     56.64    56.44
Bank of America Corp.    06048WBN9 04/13/10 04/13/17    100.000    VARIES    5.0917              0.143566   0.142954   0.142206                          51.47    14.50
Bank of America Corp.    06048WBQ2 05/03/10 05/03/17    100.000     5.020    5.0199              0.139444   0.139444   0.139444                          50.20    17.01
Bank of America Corp.    06048WBT6 05/03/10 05/03/17    100.000    VARIES    4.8505              0.136302   0.135890   0.135321                          48.94    16.51
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES    5.5513              0.133270   0.133750   0.134242   0.134749  0.135269     48.10    48.45
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES    5.2405              0.147847   0.147718   0.147564   0.147407  0.147122     53.19    53.08
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30    100.000    VARIES    5.5091              0.140565   0.140852   0.141146   0.141448  0.141759     50.66    50.87
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES    5.5309              0.156141   0.155998   0.155821   0.155640  0.155315     56.18    56.06
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES    5.8002              0.149469   0.149718   0.149974   0.150237  0.150509     53.94    54.13
Bank of America Corp.    06048WCU2 06/28/10 06/28/30    100.000    VARIES    5.8695              0.154407   0.154600   0.154798   0.155003  0.155213     55.62    55.77
Bank of America Corp.    06048WCY4 08/12/10 08/12/30    100.000    VARIES    5.3993              0.138680   0.138929   0.139185   0.139448  0.139718     50.04    50.23
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES    2.4229              0.007954   0.008050   0.008148   0.008247  0.008346      2.91     2.98
Bank of America Corp.    06048WDJ6 08/18/10 08/18/17    100.000    VARIES    2.2826              0.007502   0.007588   0.007674   0.007762                2.74     1.76
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES    2.3834              0.008228   0.008326   0.008426   0.008526  0.008628      3.00     3.08
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES    2.5928              0.013500   0.013675   0.013852   0.014032  0.014214      4.93     5.06
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.    06048WDT4 09/23/10 09/23/30    100.000    VARIES    5.3198              0.137844   0.138065   0.138291   0.138524  0.138762     49.71    49.87
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES    2.4733              0.014330   0.014507   0.014687   0.014868  0.015052      5.23     5.36
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES    2.6604              0.014858   0.015056   0.015256   0.015459  0.015667      5.42     5.57
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES    2.4632              0.010400   0.010530   0.010659   0.010791  0.010923      3.79     3.89
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES    2.6493              0.014840   0.015036   0.015236   0.015437  0.015642      5.41     5.56
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES    5.2016              0.131635   0.131923   0.132219   0.132522  0.132833     47.48    47.70
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES    5.6998              0.145611   0.145885   0.146167   0.146456  0.146754     52.49    52.70
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES    2.5529              0.013284   0.013454   0.013626   0.013800  0.013976      4.83     4.95
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES    2.4291              0.018936   0.019166   0.019399   0.019635  0.019873      6.88     7.05
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES    1.9846              0.009680   0.009777   0.009874   0.009972  0.010070      3.51     3.58
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES    2.5893              0.009997   0.010127   0.010258   0.010391  0.010525      3.63     3.72
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES    5.9911              0.150768   0.151098   0.151437   0.151786  0.152146     54.35    54.59
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES    2.5961              0.009916   0.010045   0.010175   0.010307  0.010441      3.60     3.69
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES    5.1716              0.136190   0.136350   0.136514   0.136682  0.136855     49.11    49.23
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES    5.4019              0.149447   0.149495   0.149545   0.149595  0.149647     53.83    53.86
Bank of America Corp.    06048WFC9 01/31/11 01/31/17    100.000     0.000    4.4000              0.148667   0.151937   0.155280                          55.11     4.50
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES    5.5089              0.152516   0.152557   0.152598   0.152640  0.152684     54.92    54.95
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES    5.9293              0.158658   0.158780   0.158905   0.159034  0.159166     57.17    57.26
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES    5.6398              0.149123   0.149278   0.149438   0.149603  0.149772     53.75    53.87
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES    5.2649              0.145524   0.145582   0.145641   0.145702  0.145764     52.41    52.46
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES    5.0284              0.141854   0.141680   0.141501   0.141318  0.141131     51.00    50.87
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES    5.2101              0.145739   0.145659   0.145576   0.145491  0.145404     52.44    52.38
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES    2.3129              0.009373   0.009481   0.009591   0.009702  0.009814      3.41     3.49
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES    5.3401              0.149104   0.149043   0.148981   0.148917  0.148850     53.66    53.61
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES    5.1374              0.133977   0.134165   0.134357   0.134555  0.134757     48.28    48.42
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES    2.2369              0.060566   0.060701   0.060837   0.060975  0.061115     21.83    21.93
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES    4.8973              0.135875   0.135884   0.135893   0.135903  0.135913     48.92    48.92
Bank of America Corp.    06048WGG9 06/27/11 06/27/31    100.000    VARIES    5.5241              0.144541   0.144726   0.144917   0.145112  0.145314     52.07    52.21
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES    5.1061              0.141947   0.141939   0.141931   0.141922  0.141914     51.10    51.09
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES    2.3482              0.014722   0.014894   0.015069   0.015246  0.015425      5.33     5.46
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES    5.5581              0.145293   0.145473   0.145658   0.145848  0.146044     52.40    52.54
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES    5.1475              0.142360   0.142392   0.142425   0.142459  0.142494     51.27    51.29
Bank of America Corp.    06048WGU8 07/14/11 07/14/26    100.000    VARIES    5.3899              0.143822   0.144022   0.144227   0.144438  0.144654     51.88    52.03
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES    5.2773              0.137606   0.137788   0.137975   0.138167  0.138364     49.62    49.76
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES    4.7456              0.131410   0.131431   0.131454   0.131476  0.131499     47.32    47.33
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES    5.0293              0.130218   0.130414   0.130616   0.130822  0.131034     46.96    47.11
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES    5.3141              0.137266   0.137475   0.137690   0.137910  0.138137     49.49    49.65
Bank of America Corp.    06048WJA9 11/04/11 11/04/31    100.000    VARIES    5.9879              0.157133   0.157309   0.157489   0.157676  0.157867     56.62    56.75
Bank of America Corp.    06048WKG4 01/31/12 01/31/32    100.000    VARIES    5.8092              0.153537   0.153682   0.153832   0.153985  0.154144     55.34    55.45
Bank of America Corp.    06048WKR0 02/23/12 02/23/32    100.000    VARIES    5.1903              0.141754   0.141801   0.141850   0.141900  0.141951     51.05    51.09
Bank of America Corp.    06048WKU3 03/08/12 03/08/32    100.000    VARIES    5.6026              0.149243   0.149363   0.149486   0.149613  0.149744     53.78    53.87
Bank of America Corp.    06048WLF5 03/30/12 03/30/32    100.000    VARIES    5.3816              0.145846   0.145916   0.145988   0.146062  0.146138     52.53    52.58
Bank of America Corp.    06048WLN8 04/16/12 04/16/32    100.000    VARIES    5.1652              0.137037   0.137163   0.137292   0.137425  0.137561     49.38    49.47
Bank of America Corp.    06048WLP3 04/27/12 04/27/16    100.000    VARIES    2.7773              0.022119                                                 2.57         
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WLQ1 04/16/12 04/16/30    100.000    VARIES    5.4873              0.145774   0.145927   0.146085   0.146246  0.146412     52.53    52.64
Bank of America Corp.    06048WLX6 05/04/12 05/04/32    100.000    VARIES    5.6985              0.150086   0.150239   0.150396   0.150558  0.150725     54.08    54.19
Bank of America Corp.    06048WLY4 05/03/12 05/03/16    100.000    VARIES    2.6957              0.019892                                                 2.43         
Bank of America Corp.    06048WME7 05/18/12 05/18/16    100.000    VARIES    2.4625              0.013516                                                 1.85         
Bank of America Corp.    06048WMF4 05/17/12 05/17/17    100.000    VARIES    2.0467              0.015540   0.015700   0.015860                           5.64     2.16
Bank of America Corp.    06048WMN7 06/15/12 06/15/16    100.000    VARIES    3.0325              0.022316                                                 3.66         
Bank of America Corp.    06048WMT4 06/28/12 06/28/16    100.000    VARIES    2.6529              0.021737                                                 3.85         
Bank of America Corp.    06048WNA4 08/22/12 08/22/19    100.000    VARIES    2.0565              0.009613   0.009712   0.009812   0.009913  0.010015      3.50     3.58
Bank of America Corp.    06048WNB2 08/22/12 08/22/18    100.000     0.000    3.2065              0.097988   0.099559   0.101156   0.102777  0.104425     35.97    37.13
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES    1.6065              0.008781   0.008852   0.008923   0.008994  0.009066      3.18     3.23
Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES    1.4138              0.037543   0.037661   0.037780   0.037899  0.038020     13.54    13.63
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES    5.0043              0.131866   0.131991   0.132118   0.132249  0.132383     47.54    47.63
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES    4.8452              0.127802   0.127922   0.128045   0.128172  0.128301     46.07    46.16
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES    4.9958              0.129808   0.129924   0.130759   0.130167  0.131009     47.65    47.65
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES    4.8734              0.128249   0.128375   0.128504   0.128636  0.128772     46.22    46.31
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES    4.7033              0.123883   0.124005   0.124129   0.124257  0.124387     44.64    44.73
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES    4.8648              0.128344   0.128464   0.128587   0.128713  0.128842     46.23    46.32
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES    3.7878              0.099846   0.098971   0.100829   0.099403  0.101277     36.50    36.60
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES    4.4526              0.116866   0.116987   0.117110   0.117236  0.117365     42.12    42.21
Bank of America Corp.    06048WPP9 07/03/14 07/03/17    100.000     0.000    1.1927              0.033528   0.033728   0.033929   0.034132               12.18     6.21
Bank of America Corp.    06048WQJ2 02/20/15 02/20/18    109.390     0.250    1.4839              0.045376   0.045661   0.045948   0.046238  0.046529     16.46    16.67
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES    2.8047              0.020409   0.019943   0.019471   0.018992  0.018507      7.18     6.84
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES    2.4485              0.009959   0.009707   0.009452   0.009194  0.008932      3.51     3.32
Bank of America Corp.    06048WSA9 11/13/15 11/13/45*   100.000     0.000    5.0560              0.140447   0.143997                                     44.46*        
Bank of America Corp.    06050R122 04/01/11 03/29/16    100.000     0.000    3.4400              0.111387                                                 9.80         
Bank of America Corp.    06050R197 04/01/11 03/29/16    100.000     0.000    3.4499              0.111758                                                 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                          39.58    10.22
Bank of America Corp.    06050R296 05/05/11 04/29/16    100.000     0.000    3.4948              0.113392                                                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                          39.79    13.71
Bank of America Corp.    06050R544 06/03/11 05/27/16    100.000     0.000    3.0781              0.098056                                                14.32         
Bank of America Corp.    06050R585 06/03/11 06/01/16    100.000     0.000    3.1878              0.102077                                                15.31         
Bank of America Corp.    06050R718 07/06/11 06/24/16    100.000     0.000    3.3893              0.109400                                                18.93         
Bank of America Corp.    06050R783 07/01/11 06/30/17    100.000     3.855    3.8549              0.105907   0.104755   0.106492                          38.55    19.17
Bank of America Corp.    06050R833 07/06/11 06/28/16    100.000     0.000    3.4408              0.111355                                                19.71         
Bank of America Corp.    06051N112 07/01/11 06/30/17    100.000     0.000    3.8314              0.124852   0.125861   0.130398                          45.89    23.47
Bank of America Corp.    06051N153 08/04/11 07/28/17    100.000     0.000    3.7886              0.122213   0.124528   0.126887   0.129291               45.13    26.70
Bank of America Corp.    06051N179 08/04/11 08/01/16    100.000     0.000    3.3768              0.107217   0.109027                                     22.84         
Bank of America Corp.    06051N427 09/16/11 09/29/17    100.000     0.000    4.4513              0.147695   0.150983   0.154343   0.157778               54.37    41.98
Bank of America Corp.    06051N443 09/16/11 09/01/16    100.000     0.000    4.1772              0.136667   0.139521                                     33.31         
Bank of America Corp.    06051N518 10/06/11 09/29/17    100.000     0.000    5.1703              0.175982   0.180532   0.185199   0.189986               65.02    50.50
Bank of America Corp.    06051N658 11/03/11 10/27/17    100.000     0.000    4.7610              0.159515   0.163313   0.167200   0.171181               58.60    50.21
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06051P273 01/11/12 12/23/16    100.000     0.000    5.0677              0.171546   0.175893                                     61.17         
Bank of America Corp.    06051P448 02/02/12 01/27/17    100.000     0.000    4.0038              0.127702   0.130258   0.132866                          47.23     3.45
Bank of America Corp.    06051P513 03/01/12 02/24/17    100.000     0.000    3.8487              0.122081   0.124430   0.126825                          44.97     6.72
Bank of America Corp.    06051P521 03/01/12 02/23/17    100.000     0.000    3.8617              0.122534   0.124900   0.127312                          45.15     6.62
Bank of America Corp.    06051P760 04/05/12 04/02/18    100.000     0.000    3.7915              0.120081   0.122357   0.124677   0.127041  0.129449     44.05    45.73
Bank of America Corp.    06051R345 07/06/12 06/29/18    100.000     0.000    3.5614              0.111864   0.113856   0.115884   0.117947  0.120048     40.64    42.10
Bank of America Corp.    06051R527 08/02/12 07/27/18    100.000     0.000    3.0742              0.093541   0.094978   0.096438   0.097921  0.099426     34.38    35.44
Bank of America Corp.    06051R774 05/03/12 04/27/18    100.000     0.000    3.9751              0.126650   0.129167   0.131735   0.134353  0.137024     46.37    48.23
Bank of America Corp.    06051R881 06/01/12 05/25/18    100.000     0.000    4.1954              0.134676   0.137501   0.140385   0.143330  0.146337     49.20    51.28
Bank of America Corp.    06052K703 10/01/10 09/30/16    100.000     4.040    4.0399              0.110383   0.110383                                     30.13         
Bank of America Corp.    06052R120 11/04/10 11/04/16    100.000     3.694    3.6939              0.102611   0.102611                                     31.09         
Bank of America Corp.    06052R278 12/01/10 12/01/16    100.000     4.030    4.0299              0.111944   0.111944                                     36.94         
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              0.130207                                                 3.65         
Bank of America Corp.    06052R575 02/04/11 02/02/16    100.000     0.000    3.9799              0.131975                                                 4.09         
Bank of America Corp.    06052R625 01/18/11 01/18/23*   100.000     5.240    5.2399              0.145556   0.145556                                      2.62*        
Bank of America Corp.    06052R633 02/04/11 02/02/16    100.000     0.000    3.7599              0.123479                                                 3.83         
Bank of America Corp.    06052R658 01/31/11 01/31/23*   100.000     5.390    5.3899              0.149722                                                 4.34*        
Bank of America Corp.    06052R666 02/03/11 02/02/18    100.000     0.000    4.4999              0.152693   0.156128   0.159641   0.163233  0.166906     56.62    59.20
Bank of America Corp.    06052R757 03/04/11 02/26/16    100.000     0.000    3.7898              0.124548                                                 6.85         
Bank of America Corp.    06052R781 02/17/11 02/17/23*   100.000     5.630    5.6299              0.156389                                                 7.19*        
Bank of America Corp.    06052R807 02/17/11 02/17/16    100.000     4.091    4.0909              0.113639                                                 5.23         
Bank of America Corp.    06052R872 03/04/11 03/04/16    100.000     3.673    3.6729              0.102028                                                 6.43         
Bank of America Corp.    06053D195 09/07/12 08/31/18    100.000     0.000    2.8935              0.086600   0.086898   0.089616   0.089430  0.092228     32.12    33.00
Bank of America Corp.    06053D559 11/02/12 10/26/18    100.000     0.000    2.2130              0.065644   0.066370   0.067105   0.067847  0.068598     23.86    24.39
Bank of America Corp.    06053D872 01/10/13 12/26/18    100.000     0.000    2.0975              0.061980   0.062630   0.063287   0.063951  0.064622     22.44    22.91
Bank of America Corp.    06053E219 01/31/13 02/02/16    100.000     0.000    1.2331              0.035325                                                 1.10         
Bank of America Corp.    06053E391 02/28/13 02/22/19    100.000     0.000    2.1319              0.062417   0.063083   0.063755   0.064435  0.065122     22.76    23.25
Bank of America Corp.    06053E599 04/05/13 03/29/19    100.000     0.000    2.2115              0.064880   0.065597   0.066323   0.067056  0.067797     23.62    24.14
Bank of America Corp.    06053E755 06/06/13 05/31/19    100.000     0.000    2.3275              0.068480   0.069277   0.070083   0.070899  0.071724     24.85    25.43
Bank of America Corp.    06053E888 06/20/13 06/26/20    100.000     0.000    3.0532              0.091535   0.092933   0.094351   0.095792  0.097254     33.22    34.24
Bank of America Corp.    06053F638 10/04/13 09/24/19    100.000     0.000    2.9627              0.087214   0.088506   0.089817   0.091147  0.092497     31.88    32.83
Bank of America Corp.    06053M385 07/31/14 07/29/16    100.000     0.000    0.7052              0.019728   0.019798                                      4.12         
Bank of America Corp.    06053M427 09/05/14 08/27/21    100.000     0.000    2.9178              0.083379   0.084596   0.085830   0.087082  0.088353     30.54    31.44
Bank of America Corp.    06053M518 10/02/14 09/24/21    100.000     0.000    3.1046              0.088877   0.090257   0.091658   0.093081  0.094526     32.51    33.53
Bank of America Corp.    06053M534 11/06/14 10/29/21    100.000     0.000    2.9615              0.084673   0.085927   0.087199   0.088490  0.089801     30.86    31.79
Bank of America Corp.    06053M674 12/03/14 11/24/21    100.000     0.000    2.8707              0.081992   0.083168   0.084362   0.085573  0.086801     29.82    30.68
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000    3.3491              0.094714   0.096300   0.097913   0.099553  0.101220     34.78    35.96
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000    2.5377              0.071352   0.072257   0.073174   0.074102  0.075043     26.13    26.80
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000    2.7072              0.076179   0.077210   0.078255   0.079315  0.080388     27.81    28.57
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000    2.8843              0.081231   0.082402   0.083591   0.084796  0.086019     29.53    30.39
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000    3.1925              0.090034   0.091471   0.092931   0.094415  0.095922     32.69    33.74
Bank of America Corp.    06053W631 08/10/15 08/27/21    100.000     0.000    2.7829              0.077406   0.078483   0.079575   0.080683  0.081805     28.33    29.12
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000    3.0324              0.084349   0.085628   0.086926   0.088244  0.089582     30.92    31.86
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000    2.9205              0.079797   0.080956   0.082590   0.083338  0.085019     29.68    30.51
Bank of America Corp.    06053W888 10/23/15 10/28/22    100.000     0.000    2.9888              0.083058   0.084299   0.085559   0.086838  0.088136     30.28    31.19
Bank of America Corp.    06053Y330 12/02/15 11/30/18    100.000     0.000    1.8674              0.051023   0.051494   0.052260   0.052460  0.053241     18.80    19.14
Bank of Montreal         06366RVF9 07/08/14 09/30/16    100.000     0.000    0.8381              0.023522   0.023621                                      6.35         
Barclays Bank PLC        067387HP8 02/28/14 02/29/20    100.000     0.000    2.6300              0.075142   0.075302   0.077557   0.077296  0.079610     27.83    28.51
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000    3.5500              0.103957   0.105802   0.107680   0.109591  0.111537     38.10    39.47
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000    3.6100              0.105806   0.107716   0.109661   0.111640  0.113655     38.75    40.16
Barclays Bank PLC        06738CZX0 03/09/07 03/09/17    100.000     0.000    5.5899              0.248103   0.255038   0.262166                          92.14    17.83
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES    3.8890              0.110046   0.110228   0.110414   0.110400  0.110386     39.67    39.75
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES    4.0513              0.116478   0.116406   0.116333   0.116040  0.115741     41.91    41.77
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES    4.2146              0.121907   0.122129   0.122356   0.122114  0.121867     43.96    43.97
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES    4.0416              0.116864   0.116737   0.116608   0.116243  0.115870     42.03    41.85
Barclays Bank PLC        06738JL28 03/24/11 03/24/21    100.000    VARIES    4.4415              0.126057   0.126389   0.126574   0.126764  0.126957     45.49    45.64
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25    100.000    VARIES    4.5900              0.132310   0.132713   0.133125   0.133547  0.133602     47.75    48.03
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES    4.0316              0.116565   0.116452   0.116336   0.115987  0.115630     41.93    41.77
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES    4.2148              0.121951   0.122177   0.122407   0.122163  0.121914     43.98    43.98
Barclays Bank PLC        06738K3N9 04/25/12 04/25/17    100.000     0.000    3.1700              0.098305   0.099863   0.101446                          35.88    11.56
Barclays Bank PLC        06738K3V1 05/16/12 05/16/16    100.000     0.000    2.8499              0.087409                                                11.80         
Barclays Bank PLC        06738K5P2 05/29/12 11/29/16    100.000    VARIES    1.8279              0.050613   0.050695                                     16.62         
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES    5.5650              0.123147   0.122208   0.122786   0.123380  0.123991     44.12    44.46
Barclays Bank PLC        06738KAP6 02/02/11 02/02/16    100.000     1.000    3.3894              0.104990                                                 3.25         
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES    4.8413              0.137157   0.137147   0.137013   0.136876  0.136649     49.35    49.25
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES    4.8210              0.136519   0.136538   0.136421   0.136301  0.136087     49.14    49.05
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES    5.1730              0.154419   0.153964   0.153498   0.152733  0.151949     55.41    54.95
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES    5.0806              0.144349   0.144472   0.144366   0.144257  0.143956     51.99    51.92
Barclays Bank PLC        06738KGC9 04/07/11 04/12/16    100.000     0.000    3.5299              0.114832                                                11.60         
Barclays Bank PLC        06738KGD7 04/07/11 04/12/17    100.000     0.000    3.8999              0.128966   0.131481   0.134044                          47.28    13.54
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES    4.6808              0.132362   0.132378   0.132303   0.132226  0.132046     47.65    47.60
Barclays Bank PLC        06738KK75 01/25/12 01/25/19    100.000     0.000    4.4000              0.142335   0.145467   0.148667   0.151938  0.155280     52.79    55.14
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES    4.8716              0.139863   0.140017   0.139958   0.139896  0.139674     50.38    50.37
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES    4.8122              0.137893   0.137798   0.137701   0.137448  0.137190     49.59    49.45
Barclays Bank PLC        06738KN56 02/29/12 02/28/18    100.000     0.000    3.1970              0.098143   0.098628   0.101866   0.101807  0.105149     36.47    37.57
Barclays Bank PLC        06738KN72 02/29/12 02/29/16    100.000     0.000    2.5881              0.077801                                                 4.59         
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES    4.0103              0.110696   0.109670   0.111537   0.109768  0.111555     40.43    40.39
Barclays Bank PLC        06738KNF4 07/29/11 07/31/17    100.000     0.000    3.5900              0.114999   0.117063   0.119165   0.121304               42.40    25.29
Barclays Bank PLC        06738KNJ6 07/29/11 07/29/16    100.000     0.000    3.2800              0.103775   0.105477                                     21.89         
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500    4.1087              0.129467   0.131841   0.134264   0.136737  0.139261     47.69    49.46
Barclays Bank PLC        06738KQF1 08/31/11 08/31/17    100.000     0.000    3.9281              0.126084   0.127163   0.131810   0.132207               47.05    31.97
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES    6.1335              0.142052   0.139291   0.140323   0.139063  0.142445     51.27    51.25
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES    4.6123              0.133423   0.133617   0.133816   0.133672  0.133526     48.12    48.11
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KQU8 08/03/11 08/03/16    100.000     0.000    3.0700              0.096331   0.097809                                     20.69         
Barclays Bank PLC        06738KR78 03/16/12 03/30/17    100.000     0.000    4.4000              0.142580   0.145716   0.148922                          52.47    13.25
Barclays Bank PLC        06738KRA1 09/08/11 09/08/16    100.000     0.000    3.5399              0.113148   0.115151                                     28.31         
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES    5.4569              0.135506   0.134875   0.134226   0.135188  0.136177     48.55    48.67
Barclays Bank PLC        06738KU33 03/06/12 03/06/17    100.000     0.000    2.8900              0.088760   0.090043   0.091344                          32.48     5.94
Barclays Bank PLC        06738KUD1 09/30/11 09/29/17    100.000     0.000    3.9799              0.129416   0.131992   0.134618   0.137297               47.53    36.56
Barclays Bank PLC        06738KUK5 09/16/11 09/16/16    100.000    VARIES    3.6494              0.100598   0.100996                                     25.72         
Barclays Bank PLC        06738KUQ2 10/12/11 10/12/16    100.000     0.000    3.6299              0.116436   0.118549                                     33.10         
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES    5.2986              0.133535   0.133142   0.132738   0.133534  0.134351     47.93    48.08
Barclays Bank PLC        06738KW98 05/09/12 04/14/17    100.000     0.000    2.0400              0.060754   0.061373   0.061999                          22.08     6.39
Barclays Bank PLC        06738KWV9 09/30/11 10/03/17    100.000     0.000    3.9899              0.129851   0.132442   0.135084   0.137779               47.67    37.23
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES    4.5597              0.114437   0.113436   0.115569   0.114637  0.117526     41.77    42.13
Barclays Bank PLC        06738KXV8 10/28/11 10/28/16    100.000    VARIES    3.8804              0.107512   0.107668                                     31.96         
Barclays Bank PLC        06738KYG0 12/01/11 12/01/16    100.000     0.000    4.3799              0.144689   0.147857                                     48.32         
Barclays Bank PLC        06739FJA0 12/18/15 12/19/22    100.000     0.125    2.3108              0.064194   0.064896   0.065605   0.066323  0.067049     23.25    23.76
Barclays Bank PLC        06739FJF9 03/11/16 03/13/23    100.000     0.125    2.2607              0.062799   0.062807   0.063477   0.064156  0.064842     18.29    23.12
Barclays Bank PLC        06739JYA5 09/30/09 09/30/19    100.000    VARIES    5.0571              0.131814   0.132668   0.133544   0.134398  0.135274     47.76    48.39
Barclays Bank PLC        06740AC49 09/30/13 09/27/19    100.000     0.000    2.5799              0.074591   0.074732   0.076950   0.076672  0.078948     27.55    28.23
Barclays Bank PLC        06740AE21 10/31/13 10/30/19    100.000     0.000    2.5111              0.072116   0.073021   0.074344   0.074867  0.076223     26.70    27.35
Barclays Bank PLC        06740AF38 11/29/13 11/26/19    100.000     0.000    2.5599              0.073983   0.074115   0.076308   0.076025  0.078274     27.19    27.87
Barclays Bank PLC        06740AH69 12/30/13 12/27/19    100.000     0.000    2.8198              0.081466   0.082614   0.084240   0.084960  0.086632     30.04    30.89
Barclays Bank PLC        06740AL80 02/28/14 02/27/20    100.000     0.000    2.6775              0.075715   0.077572   0.077756   0.080103  0.079852     28.31    29.07
Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES    3.2528              0.092058   0.091681   0.093474   0.092224  0.093716     33.80    33.92
Barclays Bank PLC        06740AWF2 10/31/12 10/30/19    100.000     0.000    2.2608              0.066078   0.066825   0.067952   0.068345  0.069497     24.44    24.97
Barclays Bank PLC        06740AYA1 02/28/13 02/27/20    100.000     0.000    2.1582              0.061879   0.063234   0.063222   0.064963  0.064594     23.06    23.57
Barclays Bank PLC        06740AYT0 04/30/13 04/29/20    100.000     0.000    2.0499              0.058938   0.059542   0.060483   0.060769  0.061729     21.78    22.21
Barclays Bank PLC        06740AZZ5 07/31/13 07/30/19    100.000     0.000    2.6011              0.074428   0.076224   0.076376   0.078652  0.078376     27.87    28.60
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000    2.2499              0.063199   0.063910   0.064629   0.065356  0.066091     23.09    23.61
Barclays Bank PLC        06740H286 05/21/10 05/24/17    100.000     2.500    4.9967              0.160465   0.162739   0.165070                          58.35    23.61
Barclays Bank PLC        06740JEY2 01/29/10 01/29/16    100.000     0.000    4.2199              0.147488                                                 4.13         
Barclays Bank PLC        06740JEZ9 01/29/10 01/29/16    100.000     0.000    4.2199              0.147488                                                 4.13         
Barclays Bank PLC        06740JFA3 01/29/10 01/29/16    100.000     0.000    4.2199              0.147488                                                 4.13         
Barclays Bank PLC        06740JL73 03/31/10 03/31/16    100.000     0.000    4.1299              0.143643                                                12.78         
Barclays Bank PLC        06740JL81 03/31/10 03/31/16    100.000     0.000    4.1299              0.143643                                                12.78         
Barclays Bank PLC        06740JL99 03/31/10 03/31/16    100.000     0.000    4.1299              0.143643                                                12.78         
Barclays Bank PLC        06740JM98 03/10/10 03/10/17    100.000    VARIES    4.4514              0.124920   0.124588   0.124125                          44.82     8.56
Barclays Bank PLC        06740JQW3 01/29/10 01/29/16    100.000     0.000    4.2199              0.147488                                                 4.13         
Barclays Bank PLC        06740JRD4 01/27/10 01/27/17    100.000     5.000    4.3944              0.127060   0.125771   0.123940                          45.03     3.22
Barclays Bank PLC        06740JSM3 02/26/10 02/29/16    100.000     0.000    4.3199              0.150167                                                 8.86         
Barclays Bank PLC        06740JSN1 02/26/10 02/29/16    100.000     0.000    4.3199              0.150167                                                 8.86         
Barclays Bank PLC        06740JSP6 02/26/10 02/29/16    100.000     0.000    4.3199              0.150167                                                 8.86         
Barclays Bank PLC        06740JSY7 02/26/10 02/29/16    100.000     0.000    4.3199              0.150167                                                 8.86         
Barclays Bank PLC        06740JTK6 02/08/10 02/08/17    100.000    VARIES    4.5812              0.128327   0.128040   0.127654                          46.05     4.72
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740LBJ3 04/30/10 04/29/16    100.000     0.000    4.4899              0.159201                                                18.79         
Barclays Bank PLC        06740LBK0 04/30/10 04/29/16    100.000     0.000    4.4899              0.159201                                                18.79         
Barclays Bank PLC        06740LBL8 04/30/10 04/29/16    100.000     0.000    4.4899              0.159201                                                18.79         
Barclays Bank PLC        06740LNW1 05/28/10 05/31/16    100.000     0.000    4.7600              0.168527                                                25.45         
Barclays Bank PLC        06740LNY7 05/28/10 05/31/16    100.000     0.000    4.7600              0.168527                                                25.45         
Barclays Bank PLC        06740LP90 06/30/10 06/30/16    100.000     0.000    4.3499              0.153101                                                27.41         
Barclays Bank PLC        06740LQ24 06/30/10 06/30/16    100.000     0.000    4.3499              0.153101                                                27.41         
Barclays Bank PLC        06740LQH1 05/28/10 05/31/16    100.000     0.000    4.7600              0.168527                                                25.45         
Barclays Bank PLC        06740PA30 10/28/10 06/01/16    100.000     0.000    3.0699              0.099588                                                14.94         
Barclays Bank PLC        06740PBC9 06/24/10 06/26/18    100.000     0.000    4.9699              0.180898   0.185394   0.190001   0.194722  0.199561     65.98    69.30
Barclays Bank PLC        06740PBE5 06/25/10 06/25/17    100.000     1.000    4.7051              0.160699   0.163826   0.167027                          58.45    29.06
Barclays Bank PLC        06740PBF2 07/28/10 07/28/16    100.000     0.000    3.6099              0.119921   0.122085                                     25.21         
Barclays Bank PLC        06740PBG0 07/28/10 07/28/16    100.000     0.000    3.6099              0.119921   0.122085                                     25.21         
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES    5.0546              0.152866   0.152056   0.151224   0.150127  0.149002     54.60    53.85
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES    4.9295              0.105805   0.105795   0.105784   0.105773  0.105761     38.09    38.08
Barclays Bank PLC        06740PHD1 08/31/10 08/31/16    100.000     0.000    3.3169              0.107416   0.108010                                     26.21         
Barclays Bank PLC        06740PHE9 08/31/10 08/31/16    100.000     0.000    3.3169              0.107416   0.108010                                     26.21         
Barclays Bank PLC        06740PHQ2 07/28/10 05/26/16    100.000     0.000    3.6099              0.121339                                                17.59         
Barclays Bank PLC        06740PKG0 08/16/10 08/16/17    100.000    VARIES    3.6631              0.106831   0.105741   0.104631   0.103206               37.97    23.29
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES    4.6823              0.135213   0.135136   0.135058   0.134690  0.134312     48.66    48.53
Barclays Bank PLC        06740PMM5 08/27/10 08/29/18    100.000     0.000    3.8100              0.125064   0.128847   0.130584   0.133802  0.135606     47.15    48.88
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES    4.4379              0.105499   0.105913   0.106337   0.106769  0.107212     38.14    38.45
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES    4.3098              0.126984   0.126762   0.126535   0.125831  0.125112     45.62    45.25
Barclays Bank PLC        06740PQH2 09/30/10 09/29/17    100.000     0.000    3.3900              0.111394   0.113282   0.115202   0.117155               40.79    31.23
Barclays Bank PLC        06740PSZ0 10/13/10 10/13/17    100.000     0.750    3.3000              0.104263   0.105639   0.107039   0.108461               38.00    30.44
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES    5.2624              0.124497   0.124997   0.125511   0.126037  0.126578     44.91    45.28
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES    4.6202              0.128844   0.128956   0.129070   0.129188  0.129307     46.42    46.50
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES    4.7398              0.107193   0.107416   0.107645   0.107879  0.108119     38.67    38.84
Barclays Bank PLC        06740PX43 12/17/10 12/19/18    100.000     0.000    4.6599              0.163013   0.166812   0.170698   0.174676  0.178745     59.46    62.26
Barclays Bank PLC        06740PX50 12/17/10 12/19/18    100.000     0.000    4.6599              0.163013   0.166812   0.170698   0.174676  0.178745     59.46    62.26
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES    5.6002              0.121319   0.122173   0.123050   0.123952  0.124879     43.83    44.46
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES    4.9824              0.143660   0.143805   0.143657   0.143506  0.143143     51.74    51.60
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES    5.5228              0.133053   0.133449   0.133856   0.134274  0.134704     48.09    48.39
Barclays Bank PLC        06741JS59 05/20/14 05/20/21    100.000     0.000    2.7399              0.079282   0.080368   0.081469   0.082585  0.083716     28.83    29.62
Barclays Bank PLC        06741JV30 07/23/14 07/23/21    100.000     0.000    2.8399              0.081144   0.082296   0.083465   0.084650  0.085852     29.79    30.64
Barclays Bank PLC        06741JV89 08/18/14 08/18/21    100.000     0.000    2.7999              0.079971   0.081090   0.082226   0.083377  0.084544     29.29    30.12
Barclays Bank PLC        06741L427 03/02/12 03/05/18    100.000     0.000    3.1999              0.099360   0.100950   0.102565   0.104206  0.105874     36.43    37.60
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES    3.0512              0.087054   0.087534   0.087810   0.088091  0.088375     31.48    31.70
Barclays Bank PLC        06741T2A4 11/29/13 11/29/18    100.000     0.000    2.1200              0.061426   0.062077   0.062735   0.063400  0.064072     22.27    22.75
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES    4.3876              0.101169   0.098756   0.096290   0.093770  0.091194     35.95    34.17
Barclays Bank PLC        06741T3M7 12/27/13 12/27/28    100.000    VARIES    4.2828              0.102741   0.100653   0.098520   0.096341  0.094116     36.59    35.06
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES    4.0796              0.100146   0.094961   0.095055   0.092019  0.092003     35.07    33.76
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES    4.1532              0.105038   0.101451   0.097789   0.094051  0.090236     36.49    33.83
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250    3.4336              0.100014   0.101612   0.103237   0.104890  0.106572     36.67    37.85
Barclays Bank PLC        06741TCJ4 07/11/12 07/11/16    100.000     0.000    2.4399              0.072892   0.073782                                     14.01         
Barclays Bank PLC        06741TEH6 08/20/12 08/22/17    100.000     0.000    2.7099              0.081621   0.082727   0.083848   0.084984               29.87    19.57
Barclays Bank PLC        06741TFL6 10/30/12 10/30/17    100.000     0.000    1.7609              0.051557   0.052011   0.052469   0.052931               18.70    15.77
Barclays Bank PLC        06741TGD3 09/20/12 09/20/19    100.000     0.000    2.6499              0.079659   0.080714   0.081784   0.082867  0.083965     29.08    29.86
Barclays Bank PLC        06741TL70 09/19/13 09/21/20    100.000     0.000    3.1924              0.094494   0.096002   0.097535   0.099092  0.100673     34.59    35.71
Barclays Bank PLC        06741TM79 09/27/13 09/27/19    100.000     0.000    2.7612              0.081026   0.082145   0.083279   0.084428  0.085594     29.58    30.40
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES    3.9299              0.068841   0.063372   0.060301   0.059203  0.059718     22.94    21.45
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES    3.9299              0.068365   0.062937   0.059958   0.059008  0.059718     22.85    21.39
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES    3.5337              0.082839   0.080462   0.078043   0.075581  0.075382     29.00    27.43
Barclays Bank PLC        06741TRW9 04/30/13 04/30/20    100.000     0.000    2.1700              0.063620   0.064310   0.065008   0.065713  0.066426     23.11    23.62
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES    3.7861              0.083666   0.080344   0.076959   0.073510  0.072874     29.04    26.79
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES    3.2563              0.068452   0.065503   0.063992   0.063716  0.064436     23.88    23.01
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES    3.4200              0.064194   0.059687   0.057023   0.055944  0.056163     21.88    20.28
Barclays Bank PLC        06741TV38 10/31/13 10/31/18    100.000     0.000    2.1199              0.061425   0.062076   0.062734   0.063399  0.064071     22.31    22.79
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES    3.5100              0.065048   0.060437   0.057715   0.056619  0.056856     22.36    20.55
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES    3.6856              0.075478   0.071534   0.067517   0.063426  0.063275     26.35    23.51
Barclays Bank PLC        06741TXA0 06/28/13 06/30/20    100.000     0.000    2.9922              0.089539   0.090878   0.092238   0.093618  0.095019     32.48    33.46
Barclays Bank PLC        06741TXZ5 07/31/13 07/30/20    100.000     0.250    2.9338              0.084093   0.086163   0.086377   0.088996  0.088729     31.51    32.37
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES    3.9812              0.093560   0.087914   0.082156   0.079401  0.076591     30.87    28.21
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES    4.2111              0.095986   0.088689   0.081237   0.078918  0.076550     31.24    28.19
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250    3.5547              0.105445   0.107196   0.108977   0.110791  0.112637     38.81    40.11
Barclays Bank PLC        06741U2A1 12/31/15 12/31/21    100.000     0.000    2.5800              0.071667   0.072591   0.073528   0.074476  0.075437     25.97    26.64
Barclays Bank PLC        06741UAU8 03/28/14 06/30/20    100.000     0.000    2.8996              0.084722   0.085951   0.087197   0.088461  0.089744     30.72    31.62
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES    3.4516              0.084834   0.081025   0.077360   0.073633  0.069841     29.36    26.68
Barclays Bank PLC        06741UBK9 04/30/14 04/30/29    100.000    VARIES    3.9398              0.100148   0.096927   0.096052   0.095159  0.094249     35.22    34.31
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES    3.4911              0.099245   0.099801   0.100041   0.100285  0.100310     35.88    36.08
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES    3.8794              0.097676   0.094183   0.091595   0.088957  0.086268     34.35    32.33
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES    3.8226              0.099562   0.096155   0.092684   0.089146  0.085541     34.18    31.64
Barclays Bank PLC        06741UFL3 07/08/14 09/30/16    100.000     0.000    0.9000              0.025278   0.025392                                      6.82         
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES    3.8918              0.101440   0.098008   0.094510   0.092684  0.090822     34.85    33.14
Barclays Bank PLC        06741UFY5 07/30/14 07/29/21    100.000     0.000    2.8199              0.080551   0.081687   0.082839   0.084007  0.085192     29.55    30.39
Barclays Bank PLC        06741UGX6 08/29/14 08/28/29    100.000    VARIES    3.7703              0.100273   0.097974   0.095631   0.094219  0.092780     35.11    33.82
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES    3.7463              0.098548   0.095711   0.092821   0.091281  0.089713     34.44    32.85
Barclays Bank PLC        06741UKH6 09/26/14 09/28/16    100.000     0.000    1.0997              0.030888   0.031058                                      8.28         
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES    3.5915              0.093314   0.091382   0.089414   0.087412  0.085373     33.01    31.58
Barclays Bank PLC        06741UMK7 12/04/14 12/06/21    100.000     0.000    2.6299              0.075000   0.075986   0.076986   0.077998  0.079024     27.23    27.95
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000    2.6399              0.074327   0.075308   0.076302   0.077309  0.078330     27.18    27.91
Barclays Bank PLC        06741UVZ4 05/19/15 02/18/20    100.000     0.000    2.2396              0.062557   0.063258   0.063966   0.064683  0.065407     22.83    23.35
Barclays Bank PLC        06741VAN2 09/30/16 09/29/23    100.000     0.000    2.2199                                    0.061667   0.062347  0.063039      5.61    22.45
Barclays Bank PLC        06741VAY8 09/30/16 09/30/21    100.000     0.000    2.0499                                    0.056944   0.057528  0.058118      5.18    20.71
Barclays Bank PLC        06742B329 03/17/14 03/18/19    100.000     0.000    2.2099              0.063450   0.064151   0.064860   0.065577  0.066302     23.11    23.63
Barclays Bank PLC        06742B634 03/05/14 03/05/21    100.000     0.000    2.8400              0.082298   0.083466   0.084652   0.085854  0.087073     30.11    30.97
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06742B808 02/06/14 01/29/16    100.000     0.000    0.7201              0.020219                                                  .57         
Barclays Bank PLC        06742W208 07/15/14 06/24/16    100.000     0.000    0.8700              0.024471                                                 4.23         
Barclays Bank PLC        06742W737 06/25/14 06/25/20    100.000     0.000    2.6600              0.076877   0.077900   0.078936   0.079986  0.081050     27.87    28.62
Barclays Bank PLC        06742W752 06/25/14 06/25/21    100.000     0.000    2.8299              0.081995   0.083155   0.084331   0.085525  0.086735     29.74    30.59
Barclays Bank PLC        06742W760 06/25/14 06/25/20    100.000     0.000    2.6600              0.076877   0.077900   0.078936   0.079986  0.081050     27.87    28.62
Bear Stearns Co., Inc.   073928G23 08/31/04 07/01/19     51.530     1.000    N/A                 0.111783   0.115119   0.118555   0.122093  0.125736     41.05    43.53
BellSouth Telecomm       079867AS6 12/13/95 12/15/95     25.235    VARIES    6.8500              0.184748   0.184749   0.184749   0.184750  0.184751     66.51    66.51
Bexar Cnty Hsg Fin Corp  08837EAB7 09/28/05 04/01/22     39.225     0.000    5.7500   309.48     0.110494   0.113671   0.116939   0.120301  0.123760     40.93    43.32
Bond & Fayette CNTYS, IL 097850CR0 05/07/14 12/01/16    106.598    VARIES    1.3824              0.039395   0.038900                                     12.91         
Bond & Fayette CNTYS, IL 097850CS8 05/07/14 12/01/17    107.812    VARIES    1.7340              0.050305   0.049778   0.049246   0.048710               17.98    16.15
Boston, MA               100853GH7 11/04/09 09/15/24     89.556     6.050    7.2062    30.63     0.016984   0.017596   0.018230   0.018887  0.019568      6.36     6.82
Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18     98.138     9.625   10.0006              0.275538   0.275947   0.276376   0.276827  0.277300     99.36    99.67
Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18     98.138     9.625   10.0006              0.275538   0.275947   0.276376   0.276827  0.277300     99.36    99.67
Bumble Bee Holdco S.C.A. 12046QAC7 03/10/11 03/15/18     98.138     9.625   10.0006              0.275538   0.275947   0.276376   0.276827  0.277300     99.36    99.67
Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16    106.150    VARIES    4.6174              0.129666   0.128972                                     42.66         
Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17    105.324    VARIES    4.8691              0.137499   0.136958   0.136404   0.135836               49.37    44.91
Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18    105.836    VARIES    5.1194              0.145650   0.145112   0.144560   0.143994  0.143414     52.30    51.91
Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19    106.299    VARIES    5.3692              0.153820   0.153288   0.152743   0.152182  0.151607     55.25    54.85
Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20    104.349    VARIES    5.6693              0.161415   0.161069   0.160713   0.160348  0.159972     58.03    57.77
Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21    104.162    VARIES    5.9680              0.170173   0.169863   0.169544   0.169215  0.168877     61.19    60.96
Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22    104.788    VARIES    6.1675              0.176926   0.176600   0.176263   0.175917  0.175560     63.61    63.37
Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16    107.815    VARIES    4.0822              0.114956   0.114184                                     37.80         
Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17    106.920    VARIES    4.4822              0.127141   0.126504   0.125853   0.125188               45.62    41.41
Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18    106.252    VARIES    4.8319              0.137625   0.137091   0.136545   0.135985  0.135411     49.42    49.02
Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19    107.871    VARIES    5.0816              0.146554   0.145937   0.145305   0.144656  0.143991     52.61    52.15
Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20    108.435    VARIES    5.2817              0.153524   0.152920   0.152301   0.151664  0.151011     55.12    54.68
Bureau County SD #502,IL 121133CK6 10/10/13 12/01/23    100.125    VARIES    4.9873              0.138652   0.138647   0.138640   0.138634  0.138628     49.91    49.91
Bureau County SD #205,IL 121133CL4 10/10/13 12/01/29    100.148    VARIES    5.8866              0.163724   0.163719   0.163714   0.163709  0.163704     58.94    58.94
Bureau CNTYS SD #340, IL 121158BN8 08/14/12 12/01/16    106.028    VARIES    2.3387              0.065897   0.065433                                     21.66         
Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17    106.030    VARIES    2.6392              0.075032   0.074611   0.074184   0.073752               26.91    24.40
Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18    105.273    VARIES    2.9397              0.083778   0.083438   0.083092   0.082741  0.082386     30.08    29.83
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES    8.9994              0.458461   0.474580   0.491425   0.509027  0.527292    168.94   181.16
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES    8.9994              0.458461   0.474580   0.491425   0.509027  0.527292    168.94   181.16
Caesars Entertainment    127693AC3 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Caesars Entertainment    127693AF6 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Caesars Entertainment    127693AG4 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Caesars Entertainment    127693AH2 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
California Resources     13057QAG2 12/16/15 12/15/22     63.250     8.000   17.2411     1.21     0.080694   0.087612   0.095165   0.103369  0.112280     30.53    36.01
Carol Stream, IL         143735LM8 07/15/08 10/01/27     93.383     5.750    6.3510    16.93     0.007884   0.008135   0.008393   0.008660  0.008935      2.93     3.12
Carol Stream, IL         143735TQ1 12/30/11 11/01/16     83.951     0.000    3.6494   130.84     0.097773   0.099557                                     29.65         
Carol Stream, IL         143735TR9 12/30/11 11/01/17     79.136     0.000    4.0492   137.82     0.103813   0.105915   0.108059   0.110247               38.01    32.81
Carol Stream, IL         143735TS7 12/30/11 11/01/18     74.017     0.000    4.4492   142.66     0.108306   0.110715   0.113178   0.115696  0.118270     39.72    41.50
Carol Stream, IL         143735TT5 12/30/11 11/01/19     68.693     0.000    4.8492   145.33     0.111208   0.113905   0.116667   0.119495  0.122393     40.85    42.85
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Carol Stream, IL         143735TU2 12/30/11 11/01/20     63.533     0.000    5.1992   145.02     0.111732   0.114637   0.117617   0.120674  0.123812     41.10    43.26
Carol Stream, IL         143735TV0 12/30/11 11/01/21     59.208     0.000    5.3992   140.85     0.108945   0.111886   0.114906   0.118008  0.121194     40.11    42.30
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000    5.5992   136.09     0.105669   0.108627   0.111669   0.114795  0.118009     38.93    41.14
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000    5.7993   130.81     0.101965   0.104922   0.107964   0.111095  0.114316     37.60    39.81
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000    6.0492   125.47     0.098279   0.101251   0.104314   0.107469  0.110719     36.28    38.51
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000    6.1993   119.05     0.093519   0.096417   0.099406   0.102487  0.105664     34.54    36.72
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000    6.3492   112.56     0.088678   0.091493   0.094398   0.097395  0.100487     32.77    34.89
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000    6.4493   105.96     0.083639   0.086336   0.089120   0.091994  0.094960     30.92    32.95
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000    6.5994    99.56     0.078818   0.081419   0.084106   0.086881  0.089748     29.16    31.12
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000    6.6993    93.26     0.073973   0.076451   0.079012   0.081659  0.084394     27.38    29.24
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000    6.7994    87.18     0.069277   0.071632   0.074068   0.076586  0.079189     25.65    27.42
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000    6.8495    81.43     0.064770   0.066988   0.069282   0.071655  0.074109     23.99    25.66
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES    9.9395              1.063203   1.112854   1.164973   1.219682  1.277109    402.48   441.12
Central Euro Media ENT   153443AJ5 05/02/14 12/01/17*    55.350    15.000    N/A                 0.840665                                                81.54*        
Central Euro Media ENT   153443AK2 05/02/14 12/01/17*    55.350    15.000    N/A                 0.840665                                                81.54*        
Centrus Energy Corp.     15643UAA2 09/30/14 09/30/24     56.492     8.000    N/A                 0.252966   0.266702   0.281328   0.296909  0.313512     96.12   107.01
Champaign & Piatt CNTYS  158087RN8 09/12/13 10/01/19    100.000    VARIES    3.7423              0.103984   0.103981   0.103977   0.103974  0.103970     37.43    37.43
Champaign County, IL     158199AZ2 11/04/15 12/01/19     99.418    VARIES    2.3671              0.065487   0.066262   0.067046   0.067265  0.067486     23.76    24.19
Champaign County, IL     158199BA6 11/04/15 12/01/23    124.115    VARIES    N/A                 0.134793   0.134793   0.131294   0.129598  0.127868     48.42    46.86
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES    4.1631              0.113993   0.116366   0.113443   0.113318  0.113190     41.45    40.81
Cheniere Energy, Inc.    16411RAF6 11/28/14 05/28/21    100.000     4.875    N/A                 0.142099   0.145562   0.149110   0.152745  0.156468     52.01    54.58
Cheniere Energy, Inc.    16411RAG4 03/09/15 03/15/45     80.000     4.250    5.6396     2.15     0.007401   0.007527   0.007867   0.007957  0.008317      2.78     2.94
Cheniere Energy, Inc.    16411RAH2 11/28/14 05/28/21    100.000     4.875    N/A                 0.142099   0.145562   0.149110   0.152745  0.156468     52.01    54.58
Chesapeake Energy Corp.  165167BZ9 05/15/07 05/15/37    100.000    VARIES    6.7505              0.277047   0.284054   0.291298   0.298786  0.305911    101.65   106.89
Chesapeake Energy Corp.  165167CA3 08/14/07 05/15/37     97.625    VARIES    8.0008              0.351359   0.362637   0.374366   0.386564  0.398382    129.58   138.07
Chesapeake Energy Corp.  165167CB1 05/27/08 12/15/38    100.000    VARIES    8.0007              0.351356   0.362912   0.374929   0.387428  0.400426    128.95   137.63
Chesapeake Energy Corp.  165167CQ8 12/23/15 12/15/22     48.000     8.000   23.5158      .81     0.089825   0.099925   0.112288   0.124805  0.140246     35.11    43.75
Christian & Sangamon CNT 170592BC2 03/28/13 12/01/16    110.501    VARIES    1.9725              0.056361   0.055581                                     18.46         
Christian & Sangamon CNT 170592BD0 03/28/13 12/01/17    111.388    VARIES    2.2261              0.064874   0.064127   0.063372   0.062609               23.18    20.78
Christian & Sangamon CNT 170592BE8 03/28/13 12/01/18    110.855    VARIES    2.4787              0.072855   0.072208   0.071554   0.070892  0.070221     26.07    25.60
Christian & Sangamon CNT 170592BF5 03/28/13 12/01/19    110.619    VARIES    2.7793              0.082199   0.081605   0.081002   0.080390  0.079770     29.45    29.01
Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20    109.831    VARIES    3.0795              0.091134   0.090613   0.090083   0.089546  0.089000     32.68    32.30
Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21    107.041    VARIES    3.3308              0.097115   0.096766   0.096412   0.096051  0.095685     34.88    34.62
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES    3.5341              0.097662   0.097695   0.097728   0.097761  0.097795     35.17    35.19
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES    3.6840              0.101744   0.101776   0.101809   0.101842  0.101876     36.64    36.66
Citigroup Inc.           17298C2B3 09/30/15 09/29/22    100.000     0.000    3.0163              0.083787   0.085044   0.086327   0.087629  0.088950     30.62    31.55
Citigroup Inc.           17298C2C1 09/30/15 09/29/22    100.000     0.000    3.0163              0.083787   0.085044   0.086327   0.087629  0.088950     30.62    31.55
Citigroup Inc.           17298C2N7 10/02/15 10/02/20    100.000     0.000    2.5622              0.071173   0.072085   0.073009   0.073944  0.074891     25.95    26.62
Citigroup Inc.           17298C2U1 11/03/15 05/04/21    100.000     0.250    2.7771              0.077147   0.078122   0.079111   0.080113  0.081129     28.06    28.78
Citigroup Inc.           17298C2Z0 10/30/15 11/01/22    100.000     0.000    2.9688              0.082475   0.083699   0.084941   0.086202  0.087482     30.06    30.96
Citigroup Inc.           17298C3A4 10/30/15 11/01/22    100.000     0.000    2.9688              0.082475   0.083699   0.084941   0.086202  0.087482     30.06    30.96
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           17298C3F3 10/28/15 10/28/25    100.000    VARIES    2.3916              0.009850   0.009606   0.009359   0.009109  0.008856      3.47     3.29
Citigroup Inc.           17298C3R7 11/05/15 11/05/20    100.000     0.000    2.6408              0.073356   0.074325   0.075306   0.076300  0.077308     26.69    27.40
Citigroup Inc.           17298C3Z9 11/30/15 05/27/21    100.000     0.250    2.8049              0.077917   0.078895   0.079905   0.080928  0.081965     28.29    29.02
Citigroup Inc.           17298C4A3 11/30/15 11/30/22    100.000     0.000    3.0605              0.085014   0.086315   0.087636   0.088977  0.090339     30.92    31.87
Citigroup Inc.           17298C4B1 11/30/15 11/30/22    100.000     0.000    3.0605              0.085014   0.086315   0.087636   0.088977  0.090339     30.92    31.87
Citigroup Inc.           17298C4W5 12/31/15 01/05/23    100.000     0.000    3.1984              0.088845   0.088885   0.090306   0.091750  0.093218     32.25    33.28
Citigroup Inc.           17298C4Z8 12/28/15 06/25/21    100.000     0.250    2.8488              0.079133   0.080144   0.081187   0.082245  0.083317     28.68    29.43
Citigroup Inc.           17298C5L8 02/01/16 07/30/21    100.000     0.250    2.9079                         0.080778   0.081845   0.082934  0.084039     26.82    29.99
Citigroup Inc.           17298C5U8 01/29/16 01/31/23    100.000     0.000    3.1492              0.087478   0.087493   0.088871   0.090270  0.091692     29.34    32.67
Citigroup Inc.           17298C6K9 01/29/16 01/29/26    100.000    VARIES    2.4179                         0.014942   0.014568   0.014189  0.013806      4.90     5.06
Citigroup Inc.           17298C6X1 02/29/16 03/01/23    100.000     0.000    2.8955              0.080431   0.080439   0.081603   0.082784  0.083983     24.35    29.88
Citigroup Inc.           17298C6Y9 02/29/16 08/27/21    100.000     0.250    2.7864                         0.077401   0.078367   0.079362  0.080371     23.42    28.64
Citigroup Inc.           17298C6Z6 02/29/16 03/01/23    100.000     0.000    2.8955              0.080431   0.080439   0.081603   0.082784  0.083983     24.35    29.88
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES    2.6421              0.011471   0.011212   0.010951   0.010685  0.010417      4.06     3.87
Citigroup Inc.           17298CAP3 05/28/15 05/26/22    100.000     0.000    3.0094              0.084840   0.086117   0.087413   0.088728  0.090063     30.86    31.80
Citigroup Inc.           17298CAQ1 05/28/15 05/26/22    100.000     0.000    3.0094              0.084840   0.086117   0.087413   0.088728  0.090063     30.86    31.80
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES    4.3834              0.118343   0.114849   0.111278   0.107629  0.106171     41.74    39.23
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES    2.5639              0.007787   0.007573   0.007357   0.007138  0.006919      2.75     2.59
Citigroup Inc.           17298CBM9 06/30/15 12/30/20    100.000     0.250    2.7899              0.078484   0.079482   0.080494   0.081520  0.082560     28.44    29.16
Citigroup Inc.           17298CBT4 06/30/15 06/30/22    100.000     0.000    3.2000              0.090311   0.091756   0.093224   0.094716  0.096231     32.78    33.83
Citigroup Inc.           17298CBV9 06/30/15 06/30/22    100.000     0.000    3.2000              0.090311   0.091756   0.093224   0.094716  0.096231     32.78    33.83
Citigroup Inc.           17298CDH8 09/02/15 03/04/21    100.000     0.300    1.6119              0.044781   0.045074   0.045370   0.045669  0.045970     16.24    16.46
Citigroup Inc.           17298CDJ4 08/31/15 08/31/22    100.000     0.000    3.1498              0.086535   0.086943   0.089776   0.089703  0.092626     32.15    33.11
Citigroup Inc.           17298CDK1 08/31/15 08/31/22    100.000     0.000    3.1498              0.086535   0.086943   0.089776   0.089703  0.092626     32.15    33.11
Citigroup Inc.           17298CDV7 10/02/15 04/01/21    100.000     0.250    2.6649              0.074028   0.074917   0.075822   0.076740  0.077670     26.97    27.63
Citigroup Global Markets 17307EBE2 07/01/04 09/07/16     51.400     0.000    5.5371   449.45     0.145635   0.149667                                     36.55         
Citigroup Funding, Inc.  17308CPQ3 05/24/10 05/24/16    100.000     0.000    4.5502              0.161886                                                23.15         
Citigroup Funding, Inc.  17308CRW8 06/29/11 12/21/16    100.000     0.500    3.5733              0.113933   0.115721                                     40.20         
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES    4.5064              0.119182   0.116081   0.112911   0.112713  0.112511     41.96    40.59
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES    4.0094              0.105759   0.102867   0.099918   0.098686  0.097429     37.20    35.60
Citigroup Inc.           1730T02E8 10/31/14 05/01/20    100.000     0.000    2.5468              0.072564   0.073488   0.074424   0.075372  0.076331     26.40    27.08
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES    4.7455              0.127321   0.124992   0.122607   0.121536  0.120440     45.13    43.81
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES    4.2545              0.111320   0.107779   0.104163   0.102418  0.100635     39.19    37.06
Citigroup Inc.           1730T02X6 11/26/14 11/26/29    100.000    VARIES    4.1216              0.111093   0.109342   0.107555   0.106972  0.106377     39.55    38.57
Citigroup Inc.           1730T03C1 11/28/14 05/29/20    100.000     0.000    2.6204              0.074716   0.075695   0.076687   0.077691  0.078709     27.14    27.85
Citigroup Inc.           1730T03G2 12/01/14 12/02/19    100.000     0.000    2.4381              0.069391   0.070237   0.071093   0.071960  0.072837     25.18    25.80
Citigroup Inc.           1730T03J6 12/29/14 12/29/34    100.000    VARIES    4.3207              0.114345   0.113361   0.112355   0.111327  0.110277     40.98    40.26
Citigroup Inc.           1730T03V9 01/30/15 02/01/22    100.000     0.000    2.8403              0.080027   0.081163   0.082316   0.083485  0.084671     29.36    30.20
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES    3.9694              0.106937   0.103546   0.102549   0.101533  0.100496     37.22    36.42
Citigroup Inc.           1730T03Z0 01/30/15 02/01/22    100.000     0.000    2.8403              0.080027   0.081163   0.082316   0.083485  0.084671     29.36    30.20
Citigroup Inc.           1730T04J5 02/26/15 02/28/22    100.000     0.000    2.2326              0.062028   0.062039   0.063771   0.063431  0.065203     22.92    23.39
Citigroup Inc.           1730T04L0 02/26/15 02/28/22    100.000     0.000    2.2326              0.062028   0.062039   0.063771   0.063431  0.065203     22.92    23.39
Citigroup Inc.           1730T05X3 03/30/15 03/30/22    100.000     0.000    2.9237              0.082403   0.083607   0.084830   0.086070  0.087328     30.10    30.99
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T05Y1 03/30/15 03/30/22    100.000     0.000    2.9237              0.082403   0.083607   0.084830   0.086070  0.087328     30.10    30.99
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES    3.1774              0.089461   0.090678   0.091124   0.091578  0.091611     32.58    32.93
Citigroup Inc.           1730T06L8 03/23/15 03/23/22    100.000     0.000    2.8171              0.079355   0.080473   0.081607   0.082756  0.083922     28.99    29.81
Citigroup Inc.           1730T06V6 04/29/15 04/28/22    100.000     0.000    2.7394              0.077134   0.078190   0.079261   0.080347  0.081447     28.09    28.87
Citigroup Inc.           1730T06X2 04/29/15 04/28/22    100.000     0.000    2.7394              0.077134   0.078190   0.079261   0.080347  0.081447     28.09    28.87
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES    2.3817              0.065914   0.065666   0.065414   0.065160  0.064903     23.65    23.47
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES    4.1098              0.110800   0.107369   0.106553   0.105721  0.104871     39.01    38.11
Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES    4.6764              0.115579   0.112780   0.109916   0.106984  0.103984     40.71    38.63
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES    4.5367              0.112315   0.110856   0.109364   0.107838  0.106278     40.04    38.95
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES    4.6216              0.114146   0.112270   0.110350   0.108385  0.106375     40.52    39.13
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000    7.3199   115.50     0.046575   0.048279   0.050046   0.051878  0.053777     17.23    18.52
Citigroup Inc.           1730T0B99 11/14/13 11/14/23    100.000    VARIES    4.0135              0.102329   0.100934   0.099511   0.098059  0.096578     36.45    35.42
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES    5.8403              0.156719   0.156785   0.156853   0.156923  0.156994     56.45    56.50
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES    4.7620              0.120661   0.118010   0.115297   0.112518  0.109674     42.70    40.73
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES    4.7711              0.118168   0.116224   0.114234   0.112197  0.110111     42.05    40.61
Citigroup Inc.           1730T0E88 01/29/14 01/29/29    100.000    VARIES    4.3351              0.109964   0.106326   0.104402   0.102435  0.100427     38.09    36.63
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES    4.6110              0.115526   0.111144   0.108170   0.105127  0.102013     39.68    37.46
Citigroup Inc.           1730T0F38 01/31/14 08/01/19    100.000     0.000    2.5874              0.074704   0.075670   0.076649   0.077641  0.078645     27.36    28.07
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES    4.7123              0.119265   0.115203   0.113433   0.111621  0.109767     41.43    40.03
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES    8.1831              0.201253   0.202345   0.203482   0.204666  0.205897     72.79    73.62
Citigroup Inc.           1730T0H36 02/28/14 08/29/19    100.000     0.000    2.6153              0.073894   0.075683   0.076254   0.077676  0.078261     27.67    28.34
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES    5.9941              0.139676   0.139845   0.140020   0.140200  0.140540     50.34    50.47
Citigroup Inc.           1730T0J83 02/28/14 02/28/19    100.000    VARIES    1.6995              0.045593   0.045079   0.045935   0.045293  0.046247     16.63    16.69
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES    5.3515              0.151610   0.151381   0.151046   0.150702  0.150351     54.53    54.31
Citigroup Inc.           1730T0K99 03/31/14 10/01/19    100.000     0.000    2.7120              0.078448   0.079512   0.080590   0.081683  0.082790     28.63    29.41
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES    4.7845              0.142176   0.141938   0.141296   0.140637  0.139737     51.04    50.57
Citigroup Funding, Inc.  1730T0KG3 09/14/10 09/14/17    100.000    VARIES    2.5063              0.018879   0.019115   0.019355   0.019597                6.89     4.94
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES    2.4350              0.022030   0.022298   0.022569   0.022844  0.023122      8.01     8.21
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES    2.5364              0.024402   0.024712   0.025025   0.025343  0.025664      8.88     9.10
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES    5.1245              0.129517   0.129806   0.130103   0.130407  0.130720     46.70    46.92
Citigroup Funding, Inc.  1730T0KW8 11/30/10 11/28/16    100.000     0.000    3.8990              0.131344   0.133905                                     43.41         
Citigroup Funding, Inc.  1730T0KX6 11/23/10 11/23/16    100.000    VARIES    1.4929              0.019404   0.019548                                      6.27         
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES    4.7108              0.131080   0.130913   0.130743   0.130668  0.130591     47.14    47.05
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES    5.5698              0.124492   0.124405   0.124315   0.125122  0.125952     44.79    44.98
Citigroup Inc.           1730T0L23 03/28/14 03/28/29    100.000    VARIES    4.3742              0.111579   0.108124   0.107036   0.105923  0.104787     39.12    38.12
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES    4.6421              0.118344   0.114643   0.112911   0.111138  0.109325     41.43    40.00
Citigroup Inc.           1730T0L49 03/10/14 03/10/19    100.000    VARIES    1.8993              0.051573   0.051498   0.051601   0.051705  0.051942     18.56    18.63
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES    4.7152              0.119343   0.115280   0.112435   0.109522  0.106541     41.48    39.31
Citigroup Inc.           1730T0L72 03/28/14 03/28/21    100.000    VARIES    3.3141              0.091798   0.091708   0.091715   0.091722  0.091729     33.02    33.02
Citigroup Inc.           1730T0L98 03/21/14 03/21/24    100.000    VARIES    3.2460              0.082672   0.080370   0.079267   0.078146  0.077931     29.01    28.20
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES    2.2798              0.018449   0.018660   0.018872   0.019087  0.019305      6.70     6.85
Citigroup Funding, Inc.  1730T0LU1 03/30/11 09/21/16    100.000     0.500    3.9296              0.127283   0.129511                                     33.49         
Citigroup Inc.           1730T0M63 03/26/14 03/26/29    100.000    VARIES    4.3729              0.114530   0.112114   0.110429   0.108707  0.106948     40.41    39.11
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0M97 04/30/14 10/30/19    100.000     0.000    2.7618              0.079940   0.081044   0.082163   0.083297  0.084447     29.11    29.92
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES    5.0031              0.138824   0.138836   0.138849   0.138861  0.138875     49.98    49.99
Citigroup Funding, Inc.  1730T0MB2 04/28/11 10/26/16    100.000     0.500    3.6902              0.118337   0.120264                                     35.26         
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES    1.9784              0.017411   0.017584   0.017758   0.017933  0.018111      6.32     6.45
Citigroup Funding, Inc.  1730T0MQ9 06/29/11 06/27/18    100.000     0.000    3.9199              0.129645   0.132186   0.134777   0.137418  0.140112     47.15    49.02
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES    4.6545              0.128996   0.129020   0.129044   0.129070  0.129095     46.44    46.46
Citigroup Funding, Inc.  1730T0MU0 07/28/11 01/25/17    100.000     0.500    3.3819              0.105411   0.106959   0.108533                          38.71     2.60
Citigroup Inc.           1730T0N39 04/29/14 04/29/29    100.000    VARIES    4.2731              0.108647   0.105153   0.103977   0.102776  0.101550     38.19    37.07
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES    4.5422              0.115609   0.111926   0.109734   0.107493  0.105201     40.59    38.82
Citigroup Funding, Inc.  1730T0NH8 08/30/11 02/24/17    100.000     0.500    3.8048              0.120564   0.122593   0.124661                          44.29     6.61
Citigroup Funding, Inc.  1730T0NK1 08/26/11 08/26/16    100.000    VARIES    1.7275              0.011346   0.011444                                      2.68         
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES    2.3031              0.016551   0.016559   0.017028   0.016943  0.017422      6.18     6.25
Citigroup Funding, Inc.  1730T0NS4 09/29/11 09/27/17    100.000     0.500    4.1394              0.132962   0.135426   0.137942   0.140509               48.78    37.15
Citigroup Inc.           1730T0P78 05/30/14 05/30/29    100.000    VARIES    4.1424              0.105006   0.101512   0.100176   0.098812  0.097420     37.02    35.73
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES    4.4254              0.112420   0.108761   0.106175   0.103531  0.100829     39.62    37.58
Citigroup Funding, Inc.  1730T0PD5 10/28/11 10/27/17    100.000     0.500    3.9008              0.124131   0.126282   0.128474   0.130709               45.35    38.43
Citigroup Funding, Inc.  1730T0QC6 11/28/11 11/28/17    100.000     0.500    4.2510              0.137178   0.139799   0.142475   0.145208               50.03    47.08
Citigroup Funding, Inc.  1730T0QM4 12/05/11 12/05/16    100.000    VARIES    2.9298              0.081065   0.081223                                     27.10         
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES    4.4513              0.113126   0.109461   0.107337   0.105166  0.102947     39.99    38.19
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES    4.4526              0.113341   0.109739   0.108283   0.106794  0.105272     40.13    38.70
Citigroup Inc.           1730T0R92 07/02/14 01/02/20    100.000     0.000    2.5296              0.072056   0.072968   0.073891   0.074825  0.075772     26.43    27.11
Citigroup Inc.           1730T0RJ0 02/28/13 02/28/33*   100.000    VARIES    4.1678              0.112054   0.110506                                     16.45*        
Citigroup Inc.           1730T0RM3 02/22/13 02/22/33*   100.000    VARIES    4.2776              0.116229   0.115874                                     16.36*        
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES    3.2574              0.080364   0.078370   0.077582   0.076781  0.075967     28.23    27.59
Citigroup Inc.           1730T0S67 06/19/14 06/19/19    100.000    VARIES    0.8119              0.009056   0.009001   0.009037   0.009074  0.009111      3.25     3.26
Citigroup Inc.           1730T0SE0 03/27/13 03/27/18    100.000    VARIES    0.8304              0.008121   0.008155   0.008190   0.008223  0.008257      2.94     2.96
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES    3.4969              0.086174   0.084589   0.084239   0.083882  0.083520     30.62    30.22
Citigroup Inc.           1730T0SX8 04/22/13 04/22/23    100.000    VARIES    1.4141              0.007198   0.007249   0.007300   0.007352  0.007404      2.61     2.64
Citigroup Inc.           1730T0T41 06/19/14 12/19/17    100.000    VARIES    1.7691              0.048395   0.048378   0.048592   0.048807               17.42    16.95
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES    4.3618              0.111661   0.108355   0.107666   0.106963  0.106244     39.59    38.63
Citigroup Inc.           1730T0TE9 05/30/13 05/30/33*   100.000    VARIES    4.1969              0.113793   0.113368                                     27.16*        
Citigroup Inc.           1730T0TH2 05/30/13 05/30/33    100.000    VARIES    4.1915              0.105364   0.103178   0.102080   0.100958  0.099813     37.44    36.48
Citigroup Inc.           1730T0TK5 05/30/13 05/30/33    100.000    VARIES    4.1925              0.101153   0.098414   0.097941   0.097459  0.096966     35.82    35.14
Citigroup Inc.           1730T0TN9 06/28/13 06/28/33*   100.000    VARIES    4.5765              0.113456                                                20.08*        
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES    4.2944              0.107595   0.105552   0.105145   0.104728  0.104303     38.32    37.76
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES    4.5397              0.110427   0.108847   0.107231   0.105579  0.106117     39.46    38.30
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES    4.6404              0.116170   0.114901   0.113603   0.112274  0.112679     41.58    40.65
Citigroup Inc.           1730T0U23 07/31/14 01/31/20    100.000     0.000    2.5817              0.073578   0.074528   0.075490   0.076464  0.077451     26.95    27.65
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES    4.3416              0.114431   0.111244   0.107988   0.107330  0.106658     39.65    38.56
Citigroup Inc.           1730T0U56 07/30/14 07/30/29    100.000    VARIES    4.2647              0.114797   0.112903   0.110970   0.110268  0.109552     40.41    39.61
Citigroup Inc.           1730T0U64 07/09/14 09/30/16    100.000     0.000    1.1704              0.032982   0.033175                                      8.91         
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0U98 07/30/14 07/30/34    100.000    VARIES    4.5842              0.122654   0.120230   0.117750   0.116651  0.115527     42.98    41.86
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES    4.7564              0.121532   0.119677   0.117778   0.117829  0.117882     42.77    42.43
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES    4.4998              0.113009   0.112128   0.111227   0.110306  0.109364     40.22    39.56
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES    4.8332              0.122239   0.120017   0.117742   0.115411  0.113024     42.93    41.26
Citigroup Inc.           1730T0UP2 08/28/13 08/28/18    100.000    VARIES    0.9242              0.011140   0.011192   0.011244   0.011296  0.011348      4.03     4.07
Citigroup Inc.           1730T0V71 08/28/14 02/29/20    100.000     0.000    2.4723              0.069627   0.069721   0.071753   0.071456  0.073538     25.76    26.35
Citigroup Inc.           1730T0V89 08/29/14 08/29/34    100.000    VARIES    4.6276              0.120851   0.119616   0.116355   0.116073  0.114502     43.44    42.19
Citigroup Inc.           1730T0VC0 09/27/13 09/27/20    100.000    VARIES    3.3025              0.092306   0.092461   0.092619   0.092647  0.092677     33.29    33.35
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES    5.1092              0.127502   0.125247   0.122935   0.120565  0.118133     45.02    43.34
Citigroup Inc.           1730T0VK2 10/08/13 10/08/23    100.000    VARIES    3.9666              0.101597   0.100536   0.099453   0.098350  0.097224     36.21    35.42
Citigroup Funding, Inc.  1730T0VR7 01/23/12 01/23/16    100.000    VARIES    3.3341              0.021125                                                  .46         
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES    4.2432              0.113245   0.110860   0.108423   0.108234  0.108041     39.75    38.95
Citigroup Inc.           1730T0W70 08/28/14 08/30/19    100.000     0.000    2.4762              0.069351   0.070210   0.071469   0.071959  0.073250     25.80    26.40
Citigroup Funding, Inc.  1730T0WC9 02/15/12 02/14/16    100.000    VARIES    2.0055              0.009612                                                  .41         
Citigroup Funding, Inc.  1730T0WF2 02/24/12 02/24/20    100.000    VARIES    2.8625              0.009032   0.009161   0.009292   0.009425  0.009560      3.31     3.40
Citigroup Funding, Inc.  1730T0WK1 03/29/12 03/30/16    100.000     1.000    2.5858              0.075978                                                 6.76         
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES    3.8302              0.106824   0.107066   0.107207   0.107352  0.107393     38.53    38.64
Citigroup Funding, Inc.  1730T0WU9 04/02/12 04/02/16    100.000    VARIES    1.4378              0.010047                                                  .91         
Citigroup Funding, Inc.  1730T0XG9 05/30/12 06/07/18    100.000     0.500    3.6727              0.114067   0.115906   0.117780   0.119688  0.121631     41.48    42.84
Citigroup Funding, Inc.  1730T0XX2 08/06/12 08/04/16    100.000     0.000    2.5430              0.076192   0.077161                                     16.40         
Citigroup Inc.           1730T0Y37 10/02/14 04/02/20    100.000     0.000    2.8849              0.082466   0.083656   0.084862   0.086086  0.087328     30.12    30.99
Citigroup Funding, Inc.  1730T0YD5 08/30/12 03/02/18    100.000     0.750    2.7849              0.082259   0.083114   0.083981   0.084861  0.085752     29.97    30.60
Citigroup Inc.           1730T0Z28 10/07/14 10/07/21    100.000     1.000    3.1429              0.089191   0.090156   0.091137   0.092132  0.093144     32.45    33.16
Citigroup Inc.           1730T0Z85 10/08/14 10/07/21    100.000     1.000    3.0937              0.087746   0.088673   0.089615   0.090572  0.091543     31.91    32.60
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES    1.5728              0.015754   0.015877   0.016002   0.016128  0.016255      5.70     5.79
Citigroup Funding, Inc.  1730T0ZV4 12/20/12 12/20/32*   100.000    VARIES    4.2025              0.113279                                                19.14*        
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES    4.4143              0.121272   0.116604   0.115056   0.110167  0.108863     42.76    40.33
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES    4.4099              0.121153   0.116487   0.114938   0.110796  0.110276     42.72    40.62
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES    4.3723              0.121453   0.118036   0.114543   0.110975  0.107328     42.48    39.94
Citigroup Inc.           1730T3AY9 10/30/15 10/30/35    100.000    VARIES    4.3036              0.119545   0.116141   0.112662   0.109109  0.105480     42.00    39.48
Citigroup Inc.           1730T3AZ6 11/30/15 11/30/35    100.000    VARIES    4.3523              0.120898   0.117649   0.114329   0.110936  0.107470     42.73    40.33
Citigroup Funding, Inc.  17314V346 05/27/10 05/26/16    100.000     0.000    4.4491              0.157409                                                22.82         
Citigroup Funding, Inc.  17316G784 10/28/10 10/27/16    100.000     0.000    3.6054              0.119733   0.121892                                     35.83         
Citigroup Funding, Inc.  17317U717 08/30/11 11/23/16    100.000     0.000    3.7251              0.120969   0.123222                                     39.36         
Citigroup Funding, Inc.  17318Q574 10/02/12 09/27/18    100.000     0.000    2.4948              0.074626   0.075557   0.076499   0.077453  0.078420     27.21    27.89
Citigroup Inc.           17321F755 11/05/13 11/03/22    100.000     0.000    3.6499              0.108974   0.110962   0.112987   0.115049  0.117149     39.82    41.29
Citigroup Inc.           17323P140 03/03/16 09/01/23    100.000     0.000    3.0321                         0.084227   0.085490   0.086786  0.088102     25.25    31.32
Citigroup Inc.           17323P249 02/03/16 08/03/23    100.000     0.000    2.9606                         0.082240   0.083457   0.084693  0.085946     27.15    30.64
Citigroup Inc.           17323P314 11/24/15 11/26/21    100.000     0.000    2.8521              0.079240   0.080370   0.081516   0.082678  0.083857     28.81    29.64
Citigroup Inc.           17323P363 02/03/16 08/03/23    100.000     0.000    2.9606                         0.082240   0.083457   0.084693  0.085946     27.15    30.64
Citigroup Inc.           17323P496 01/05/16 07/06/23    100.000     0.000    3.1941              0.088725   0.088734   0.090151   0.091591  0.093054     31.84    33.22
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           17323Q643 10/05/15 04/04/23    100.000     0.000    3.1922              0.088674   0.090081   0.091519   0.092980  0.094464     32.42    33.47
Citigroup Inc.           17323Q692 09/18/15 03/20/23    100.000     0.000    3.1459              0.087402   0.088776   0.090173   0.091591  0.093032     31.99    33.01
Citigroup Global Markets 17324C2F2 04/29/16 10/29/21    100.000     0.025    N/A                            0.072951   0.073817   0.074696  0.075585     17.71    26.84
Citigroup Global markets 17324C2G0 04/29/16 10/29/21    100.000     0.250    2.6262                         0.072950   0.073817   0.074695  0.075585     17.71    26.84
Citigroup Global Markets 17324C2J4 05/24/16 05/24/21    100.000    VARIES    2.5076                         0.069656   0.069050   0.068435  0.068500     15.09    24.73
Citigroup Global Markets 17324C2U9 04/28/16 04/28/31    100.000    VARIES    4.2284                         0.117457   0.117240   0.117018  0.116791     28.53    42.14
Citigroup Global Markets 17324C2W5 04/28/16 04/28/26    100.000    VARIES    3.4898                         0.095350   0.096239   0.096082  0.097032     23.70    35.15
Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21    100.000     0.000    2.4477              0.067993   0.067998   0.068831   0.069673  0.070526     16.51    25.03
Citigroup Global Markets 17324C3D6 05/31/16 12/01/21    100.000     0.400    2.6322              0.073118   0.073123   0.073940   0.074767  0.075604     15.45    26.82
Citigroup Global Markets 17324C3E4 05/27/16 05/27/21    100.000     0.000    2.5424                         0.070625   0.071523   0.072432  0.073353     15.14    25.97
Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22    100.000     0.400    2.3786                                    0.066075   0.066721  0.067383     11.63    24.14
Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21    100.000     0.000    2.2350                                    0.062085   0.062767  0.063469     10.93    22.72
Citigroup Global Markets 17324C6F8 06/27/16 06/27/36    100.000    VARIES    4.1313                         0.114760   0.114171   0.113570  0.112956     21.11    40.99
Citigroup Global Markets 17324C6L5 08/30/16 08/30/21    100.000     0.000    2.1695                                    0.059602   0.059919  0.060902      7.39    21.97
Citigroup Global Markets 17324C6M3 08/02/16 02/02/22    100.000     0.300    2.3124                                    0.064233   0.064880  0.065534      9.57    23.43
Citigroup Global Markets 17324CA55 09/02/16 03/03/22    100.000     0.300    2.2649                         0.062916   0.062920   0.063538  0.064163      7.49    22.91
Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22    100.000     0.250    2.2317                                    0.061992   0.062606  0.063227      5.64    22.54
Citigroup Global Markets 17324P156 05/05/16 11/03/23    100.000     0.000    2.9323                         0.081455   0.082636   0.083848  0.085077     19.29    30.11
Citigroup Global Markets 17324P248 06/03/16 12/05/23    100.000     0.000    2.8709              0.079748   0.079761   0.080906   0.082067  0.083246     16.62    29.40
Citigroup Global Markets 17324P396 08/03/16 02/05/24    100.000     0.000    2.5904                         0.071956   0.071967   0.072899  0.073843     10.65    26.35
Citigroup Global Markets 17324P784 10/05/16 04/03/24    100.000     0.000    2.6554                                    0.073763   0.074731  0.075723      6.34    26.90
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510    6.4444    24.91     0.015140   0.015628   0.016131   0.016651  0.017188      5.55     5.92
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510    6.1946    23.94     0.014452   0.014899   0.015361   0.015836  0.016327      5.30     5.63
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510    6.1946    23.94     0.014452   0.014899   0.015361   0.015836  0.016327      5.30     5.63
Clinton Counties, IL     187327AX9 09/10/15 12/01/18    100.000    VARIES    2.4410              0.068179   0.069011   0.067818   0.067815  0.067812     24.68    24.41
Kaskaskia Comm Colle, IL 187350EV1 02/19/16 12/01/17    103.892     3.875    1.6518              0.047672   0.047391   0.046893   0.046392               14.80    15.38
Kaskaskia Comm Colle, IL 187350EW9 02/19/16 12/01/18    105.525     4.000    1.9513              0.057199   0.056900   0.056372   0.055837  0.055298     17.77    20.17
Kaskaskia Comm Colle, IL 187350EX7 02/19/16 12/01/19    106.497     4.000    2.2011              0.065114   0.064828   0.064318   0.063803  0.063283     20.24    23.03
Coles Counties, IL       193792ER5 11/26/13 12/01/18     99.308    VARIES    N/A                 0.087128   0.087188   0.087248   0.087310  0.087373     31.38    31.42
Coles Counties, IL       193792ET1 11/26/13 12/01/20     99.346    VARIES    N/A                 0.106625   0.106673   0.106721   0.106770  0.106821     38.40    38.43
Coles Counties, IL       193792EU8 11/26/13 12/01/21    105.395    VARIES    4.2403              0.122484   0.122136   0.121781   0.121418  0.121048     44.01    43.75
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES    4.3908              0.126405   0.126131   0.125851   0.125564  0.125272     45.44    45.24
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES    4.5918              0.126352   0.126415   0.126479   0.126545  0.126612     45.50    45.55
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES    4.7528              0.130693   0.130762   0.130833   0.130906  0.130980     47.07    47.12
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES    4.9627              0.136388   0.136464   0.136541   0.136621  0.136703     49.12    49.17
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES    5.1716              0.142059   0.142141   0.142225   0.142311  0.142400     51.16    51.22
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES    5.3301              0.146342   0.146429   0.146519   0.146611  0.146706     52.70    52.77
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES    5.4215              0.149423   0.149483   0.149544   0.149607  0.149671     53.81    53.85
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES    5.5264              0.152270   0.152333   0.152397   0.152464  0.152532     54.83    54.88
Coles Counties, IL       193792FD5 11/26/13 12/01/23     99.293    VARIES    5.6307              0.155108   0.155173   0.155241   0.155310  0.155381     55.85    55.90
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES    5.9329              0.163424   0.163493   0.163564   0.163636  0.163711     58.85    58.90
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES    6.2343              0.171728   0.171799   0.171873   0.171948  0.172027     61.84    61.89
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES    6.5351              0.180022   0.180096   0.180171   0.180249  0.180330     64.83    64.88
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES    6.4777              0.207373   0.206037   0.204659   0.203235  0.201765     74.33    73.33
Coles Counties, IL       193792FQ6 11/03/15 12/01/16    100.478     0.000    1.5418              0.043087   0.043419                                     14.28         
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000   10.5154              1.274631   1.338726   1.406191   1.477204  1.551950    480.40   530.09
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000   10.3810              1.231136   1.292155   1.356341   1.423859  1.494882    459.95   506.81
CompuCredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES    9.1300              0.482258   0.493750   0.519721   0.529475  0.557627    179.82   192.71
CompuCredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES    9.1300              0.482258   0.493750   0.519721   0.529475  0.557627    179.82   192.71
CompuCredit Corporation  20478NAC4 11/23/05 01/31/36    100.000     5.875    N/A                 0.361050   0.373492   0.378172   0.393700  0.396777    137.05   143.71
CompuCredit Corporation  20478NAD2 11/23/05 01/31/36    100.000     5.875    N/A                 0.361050   0.373492   0.378172   0.399370  0.396777    137.05   143.71
Convergys Corporation    212485AE6 10/13/09 09/15/29    114.396    VARIES   14.1017              0.806241   0.851826   0.900626   0.952866  1.008789    308.46   345.09
Cook County, Illinois    213309KR7 04/28/05 12/01/16     52.896     0.000    5.5696   421.98     0.146442   0.150520                                     49.06         
Cook County, Illinois    213309KS5 04/28/05 12/01/17     49.824     0.000    5.6095   401.20     0.139500   0.143413   0.147435   0.151571               51.16    49.40
Cook County, Illinois    213309KT3 04/28/05 12/01/18     46.339     0.000    5.7396   384.51     0.134541   0.138402   0.142373   0.146459  0.150662     49.36    52.24
Cook County, Illinois    213309KU0 04/28/05 12/01/19     43.603     0.000    5.7697   364.30     0.127656   0.131338   0.135127   0.139026  0.143036     46.84    49.58
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000    5.8197   345.47     0.121347   0.124878   0.128512   0.132252  0.136100     44.54    47.17
Cook County, IL SD #88   214183KP9 06/15/10 06/01/30     25.818     0.000    6.8998   117.93     0.071674   0.074147   0.076705   0.079351  0.082088     26.40    28.25
Cook County, IL SD #88   214183KR5 06/15/10 12/01/26     33.796     0.000    6.6997   149.12     0.090144   0.093164   0.096285   0.099510  0.102844     33.18    35.44
Cook County, IL SD #88   214183KS3 06/15/10 12/01/27     31.374     0.000    6.7498   139.65     0.084533   0.087386   0.090335   0.093384  0.096536     31.12    33.26
Cook County, IL SD #88   214183KT1 06/15/10 12/01/28     29.098     0.000    6.7998   130.65     0.079190   0.081882   0.084666   0.087545  0.090522     29.16    31.17
Cook County, IL SD #88   214183KU8 06/15/10 12/01/29     26.961     0.000    6.8498   122.10     0.074109   0.076647   0.079273   0.081988  0.084796     27.29    29.19
Cook County, IL SD #89   214201GD1 12/13/07 12/01/16     59.629     0.000    5.8497   352.28     0.153389   0.157875                                     51.43         
Cook County, IL SD #89   214201GE9 12/13/07 12/01/17     55.745     0.000    5.9498   336.31     0.146987   0.151360   0.155863   0.160500               53.97    52.27
Cook County, IL SD #89   214201GF6 12/13/07 12/01/18     52.014     0.000    6.0498   320.34     0.140536   0.144787   0.149167   0.153679  0.158328     51.62    54.79
Cook County, IL SD #89   214201GG4 12/13/07 12/01/19     48.439     0.000    6.1497   304.46     0.134071   0.138193   0.142443   0.146823  0.151337     49.26    52.33
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000    6.2498   288.74     0.127623   0.131611   0.135724   0.139965  0.144339     46.91    49.88
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000    6.3498   273.23     0.121220   0.125068   0.129039   0.133136  0.137363     44.57    47.44
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000    6.3998   257.33     0.114381   0.118041   0.121819   0.125717  0.129739     42.06    44.79
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000    6.4498   242.12     0.107819   0.111296   0.114885   0.118590  0.122414     39.65    42.25
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000    6.4698   227.36     0.101324   0.104602   0.107986   0.111479  0.115085     37.27    39.72
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000    7.7796   162.54     0.108728   0.112958   0.117352   0.121916  0.126659     40.04    43.22
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000    7.9996   150.78     0.101418   0.105475   0.109694   0.114081  0.118644     37.37    40.42
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES    7.6950              0.230285   0.229793   0.229283   0.228753  0.228203     82.80    82.43
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000    8.2496   139.15     0.094176   0.098060   0.102105   0.106317  0.110702     34.73    37.65
Cook County, IL SD #104  214471HQ0 12/30/02 12/01/22     21.989     0.000    7.7496   371.20     0.126426   0.131324   0.136413   0.141699  0.147189     46.69    50.38
Cook County, IL SD #123  214651JY8 10/15/07 12/01/16     58.297     0.000    5.9991   364.35     0.157078   0.161790                                     52.68         
Cook County, IL SD #123  214651JZ5 10/15/07 12/01/17     54.681     0.000    6.0492   345.30     0.149153   0.153665   0.158312   0.163101               54.78    53.10
Cook County, IL SD #123  214651KA8 10/15/07 12/01/18     51.240     0.000    6.0992   326.91     0.141479   0.145794   0.150240   0.154822  0.159543     51.97    55.19
Cook County, IL SD #123  214651KB6 10/15/07 12/01/19     48.025     0.000    6.1392   308.92     0.133897   0.138007   0.142243   0.146609  0.151110     49.19    52.26
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000    6.2294   292.77     0.127332   0.131298   0.135388   0.139605  0.143953     46.80    49.76
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000    6.2694   276.05     0.120245   0.124015   0.127902   0.131911  0.136046     44.20    47.01
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000    6.2794   259.66     0.113150   0.116703   0.120367   0.124146  0.128044     41.59    44.24
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000    6.2895   244.20     0.106454   0.109801   0.113254   0.116816  0.120489     39.13    41.63
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000    6.2995   229.62     0.100133   0.103287   0.106540   0.109896  0.113357     36.81    39.16
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000    6.3095   215.86     0.094170   0.097140   0.100205   0.103366  0.106627     34.62    36.84
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000    6.3195   202.88     0.088543   0.091341   0.094227   0.097204  0.100275     32.55    34.64
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000    6.3295   196.69     0.085871   0.088589   0.091392   0.094285  0.097269     31.57    33.60
Cook County, IL SD #127  214723CV8 09/07/05 12/01/19     46.971     0.000    5.3794   342.61     0.120841   0.124092   0.127429   0.130857  0.134377     44.29    46.70
Cook County, IL SD #127  214723CW6 09/07/05 12/01/20     44.082     0.000    5.4494   326.93     0.115692   0.118844   0.122082   0.125408  0.128826     42.41    44.75
Cook County, IL SD #127  214723CX4 09/07/05 12/01/21     41.315     0.000    5.5194   311.48     0.110591   0.113643   0.116779   0.120002  0.123313     40.55    42.82
Cook County, IL SD #127  214723CY2 09/07/05 12/01/22     38.734     0.000    5.5794   296.13     0.105437   0.108378   0.111402   0.114510  0.117704     38.67    40.85
Cook County, IL SD #127  214723CZ9 09/07/05 12/01/23     36.271     0.000    5.6395   281.17     0.100396   0.103227   0.106138   0.109131  0.112208     36.82    38.93
Cook County, IL SD #127  214723DA3 09/07/05 12/01/24     33.990     0.000    5.6895   266.52     0.095388   0.098101   0.100892   0.103762  0.106714     34.99    37.01
Cook County, IL SD #133  214813BZ9 06/26/12 12/15/16     97.998     4.250    4.7524    15.38     0.013316   0.013633                                      4.64         
Cook County, IL SD #133  214813CA3 06/26/12 12/15/20     97.998     5.000    5.2964     7.25     0.006340   0.006508   0.006680   0.006857  0.007038      2.32     2.44
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000    6.6229              0.011704   0.012091   0.012492   0.012905  0.013333      4.31     4.60
Cook County, IL SD #153  215183GM0 05/14/08 12/15/16     59.694     0.000    6.0984   347.42     0.156909   0.161693                                     55.64         
Cook County, IL SD #153  215183GN8 05/14/08 12/15/17     55.331     0.000    6.2694   333.01     0.153924   0.158749   0.163726   0.168858               56.44    57.25
Cook County, IL SD #153  215183GP3 05/14/08 12/15/18     51.329     0.000    6.3994   316.87     0.147153   0.151862   0.156721   0.161736  0.166911     53.98    57.49
Cook County, IL SD #153  215183GQ1 05/14/08 12/15/19     47.338     0.000    6.5593   301.34     0.140748   0.145364   0.150131   0.155055  0.160141     51.65    55.09
Cook County, IL SD #155  215219FN1 06/30/03 12/01/18     44.637     0.000    5.2998   412.17     0.125836   0.129171   0.132594   0.136107  0.139714     46.10    48.58
Cook County, IL SD #155  215219FP6 06/30/03 12/01/19     41.690     0.000    5.3998   394.79     0.121204   0.124476   0.127837   0.131288  0.134833     44.42    46.85
Cook County, IL SD #155  215219FQ4 06/30/03 12/01/20     39.193     0.000    5.4498   375.80     0.115697   0.118849   0.122088   0.125415  0.128832     42.41    44.75
Cook County, IL SD #155  215219FR2 06/30/03 12/01/21     36.482     0.000    5.5497   358.55     0.111001   0.114081   0.117246   0.120500  0.123843     40.70    42.99
Cook County, IL SD #155  215219FS0 06/30/03 12/01/22     33.892     0.000    5.6497   341.32     0.106256   0.109257   0.112344   0.115517  0.118780     38.97    41.21
Cook County, IL SD #155  215219GB6 06/02/05 12/01/16     55.669     0.000    5.1601   397.73     0.136217   0.139731                                     45.58         
Cook County, IL SD #155  215219GC4 06/02/05 12/01/17     52.327     0.000    5.2501   382.22     0.131478   0.134929   0.138471   0.142106               48.16    46.35
Cook County, IL SD #155  215219GD2 06/02/05 12/01/18     49.294     0.000    5.3100   365.35     0.126043   0.129389   0.132825   0.136351  0.139971     46.18    48.67
Cook County, IL SD #155  215219GE0 06/02/05 12/01/19     46.448     0.000    5.3600   348.44     0.120498   0.123728   0.127044   0.130449  0.133945     44.16    46.56
Cook County, IL SD #155  215219GF7 06/02/05 12/01/20     43.922     0.000    5.3801   331.08     0.114606   0.117689   0.120854   0.124106  0.127444     42.00    44.29
Cook County, IL SD #155  215219GG5 06/02/05 12/01/21     41.054     0.000    5.4700   316.16     0.109917   0.112923   0.116012   0.119184  0.122444     40.29    42.53
Cook County, IL SD #155  215219GH3 06/02/05 12/01/22     38.699     0.000    5.5000   300.14     0.104500   0.107373   0.110326   0.113360  0.116478     38.31    40.45
Cook County, IL SD #155  215219GQ3 06/02/05 12/01/23     36.261     0.000    5.5600   285.23     0.099595   0.102364   0.105210   0.108135  0.111141     36.52    38.58
Cook County, IL SD #155  215219GR1 06/02/05 12/01/24     34.002     0.000    5.6100   270.59     0.094712   0.097369   0.100100   0.102908  0.105795     34.74    36.71
Cook County, IL SD #155  215219HB5 06/29/06 12/01/16     54.002     0.000    5.9995   407.29     0.157088   0.161801                                     52.69         
Cook County, IL SD #155  215219HC3 06/29/06 12/01/17     50.621     0.000    6.0495   385.90     0.149160   0.153672   0.158320   0.163109               54.78    53.11
Cook County, IL SD #155  215219HD1 06/29/06 12/01/18     47.405     0.000    6.0996   365.25     0.141487   0.145802   0.150249   0.154831  0.159553     51.97    55.19
Cook County, IL SD #155  215219HE9 06/29/06 12/01/19     44.524     0.000    6.1196   344.52     0.133571   0.137658   0.141870   0.146211  0.150685     49.07    52.12
Cook County, IL SD #155  215219HF6 06/29/06 12/01/20     41.744     0.000    6.1496   325.06     0.126189   0.130069   0.134069   0.138191  0.142440     46.36    49.26
Cook County, IL SD #155  215219HG4 06/29/06 12/01/21     39.173     0.000    6.1696   306.32     0.119021   0.122692   0.126477   0.130379  0.134401     43.73    46.47
Cook County, IL SD #155  215219HH2 06/29/06 12/01/22     36.688     0.000    6.1996   288.70     0.112319   0.115801   0.119390   0.123091  0.126907     41.27    43.87
Cook County, IL SD #155  215219HJ8 06/29/06 12/01/23     34.398     0.000    6.2197   271.82     0.105844   0.109136   0.112530   0.116029  0.119638     38.90    41.35
Cook County, IL SD #155  215219HK5 06/29/06 12/01/24     32.181     0.000    6.2498   255.90     0.099775   0.102893   0.106108   0.109424  0.112843     36.67    39.00
Cook County, IL SD #155  215219HL3 06/29/06 12/01/25     30.147     0.000    6.2697   240.72     0.093937   0.096882   0.099919   0.103051  0.106282     34.53    36.73
Cook County, IL SD #155  215219HM1 06/29/06 06/01/26     29.062     0.000    6.2996   233.50     0.091238   0.094112   0.097076   0.100134  0.103288     33.54    35.68
Cook County, IL SD #155  215219JK3 06/29/06 12/01/16     54.002     0.000    5.9995   407.29     0.157088   0.161801                                     52.69         
Cook County, IL SD #155  215219JL1 06/29/06 12/01/17     50.621     0.000    6.0495   385.90     0.149160   0.153672   0.158320   0.163109               54.78    53.11
Cook County, IL SD #155  215219JM9 06/29/06 12/01/18     47.405     0.000    6.0996   365.25     0.141487   0.145802   0.150249   0.154831  0.159553     51.97    55.19
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219JN7 06/29/06 12/01/19     44.524     0.000    6.1196   344.52     0.133571   0.137658   0.141870   0.146211  0.150685     49.07    52.12
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000    6.7493   200.36     0.110238   0.113958   0.117804   0.121780  0.125889     40.58    43.37
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000    6.7993   187.78     0.103471   0.106989   0.110626   0.114387  0.118276     38.10    40.73
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000    6.8493   175.82     0.097021   0.100343   0.103780   0.107334  0.111010     35.73    38.22
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000    6.8993   164.44     0.090879   0.094014   0.097257   0.100612  0.104083     33.47    35.82
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000    6.9993   153.64     0.085157   0.088137   0.091221   0.094414  0.097718     31.37    33.61
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000    7.0994   143.23     0.079625   0.082451   0.085378   0.088409  0.091547     29.35    31.47
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000    7.1494   138.19     0.076934   0.079684   0.082533   0.085483  0.088539     28.36    30.42
Cook County, IL SD #162  215291LG8 06/30/11 12/01/16     78.988     0.000    4.3994   171.05     0.117003   0.119577                                     39.07         
Cook County, IL SD #162  215291LH6 06/30/11 12/01/17     73.981     0.000    4.7494   174.19     0.120108   0.122960   0.125880   0.128869               43.93    42.08
Cook County, IL SD #162  215291LJ2 06/30/11 12/01/18     69.321     0.000    4.9995   172.69     0.119755   0.122749   0.125817   0.128962  0.132186     43.83    46.05
Cook County, IL SD #162  215291LK9 06/30/11 12/01/19     64.641     0.000    5.2494   169.94     0.118521   0.121632   0.124825   0.128101  0.131464     43.42    45.73
Cook County, IL SD #162  215291LL7 06/30/11 12/01/20     59.985     0.000    5.4994   166.06     0.116469   0.119672   0.122963   0.126344  0.129818     42.70    45.08
Cook County, IL SD #162  215291LM5 06/30/11 12/01/21     55.395     0.000    5.7496   161.15     0.113665   0.116933   0.120294   0.123753  0.127310     41.71    44.14
Cook County, IL SD #162  215291LP8 06/30/11 12/01/23     47.270     0.000    6.1246   147.61     0.104998   0.108213   0.111527   0.114942  0.118462     38.57    40.97
Cook County, IL SD #162  215291LQ6 06/30/11 12/01/24     43.785     0.000    6.2495   139.88     0.099773   0.102890   0.106105   0.109421  0.112840     36.67    39.00
Cook County, IL SD #162  215291LT0 06/30/11 12/01/27     33.620     0.000    6.7497   117.20     0.084533   0.087386   0.090335   0.093383  0.096535     31.12    33.26
Cook County, IL SD #162  215291LU7 06/30/11 12/01/28     30.805     0.000    6.8747   109.65     0.079312   0.082038   0.084858   0.087775  0.090792     29.21    31.25
Cook County, IL SD #162  215291LV5 06/30/11 12/01/29     28.410     0.000    6.9496   102.39     0.074180   0.076758   0.079425   0.082185  0.085041     27.33    29.26
Cook County, IL SD #162  215291LW3 06/30/11 12/01/30     26.286     0.000    6.9996    95.51     0.069276   0.071701   0.074210   0.076808  0.079496     25.52    27.34
Corvallie, Benton County 2208855M5 03/12/02 01/01/17     37.109     0.000    6.8092   564.14     0.176895   0.182918                                     64.77         
Corvallie, Benton County 2208855N3 03/12/02 01/01/18     34.442     0.000    6.8591   529.40     0.166489   0.172199   0.178105   0.184213               60.96    65.22
Corvallie, Benton County 2208855P8 03/12/02 01/01/19     31.935     0.000    6.9091   496.30     0.156540   0.161948   0.167542   0.173330               57.33    61.36
Corvallie, Benton County 2208855Q6 03/12/02 01/01/20     29.582     0.000    6.9592   464.79     0.147034   0.152151   0.157445   0.162923               53.85    57.67
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000    6.9893   434.53     0.137707   0.142519   0.147500   0.152654               50.44    54.03
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000    7.0193   406.00     0.128891   0.133415   0.138097   0.142944               47.22    50.59
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000    7.0594   379.17     0.120658   0.124917   0.129326   0.133891               44.20    47.38
Costco Companies, Inc.   22160QAA0 08/19/97 08/19/17     49.960     0.000    3.5000   445.33     0.090705   0.092292   0.093907   0.095550               33.36    21.71
Costco Companies, Inc.   22160QAB8 08/19/97 08/19/17     49.960     0.000    3.5000   445.33     0.090705   0.092292   0.093907   0.095550               33.36    21.71
Costco Companies, Inc.   22160QAC6 08/19/97 08/19/17     49.960     0.000    3.5000   445.33     0.090705   0.092292   0.093907   0.095550               33.36    21.71
Crawford CNTY, IL        224759EU0 10/30/14 12/01/16    109.531    VARIES    1.3393              0.038920   0.038065                                     12.69         
Crawford CNTY, IL        224759EV8 10/30/14 12/01/17    113.034    VARIES    1.6409              0.049476   0.048514   0.047545   0.046568               17.58    15.51
Crawford CNTY, IL        224759EW6 10/30/14 12/01/18    114.429    VARIES    2.0418              0.062807   0.061817   0.060818   0.059808  0.058788     22.37    21.65
Crawford CNTY, IL        224759EX4 10/30/14 12/01/19    115.947    VARIES    2.3920              0.074909   0.073895   0.072869   0.071830  0.070779     26.72    25.98
Crawford CNTY, IL        224759EY2 10/30/14 12/01/20     99.160    VARIES    2.6464              0.073010   0.073058   0.073105   0.073154  0.073203     26.30    26.33
Crawford CNTY, IL        224759EZ9 10/30/14 12/01/21     99.043    VARIES    2.8962              0.079808   0.079857   0.079908   0.079959  0.080010     28.74    28.78
Crawford CNTY, IL        224759FB1 10/30/14 12/01/23     98.821    VARIES    2.9354              0.080514   0.080473   0.080431   0.080388  0.080345     28.98    28.94
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000    1.9373              0.054307   0.054833   0.055364   0.055900  0.056441     19.78    20.16
Credit Suisse USA, Inc.  22541HCU4 03/04/11 03/01/16    100.000     0.000    3.0020              0.095332                                                 5.72         
Credit Suisse USA, Inc.  22541HCW0 06/23/11 06/22/18    100.000     0.000    3.6401              0.118927   0.121091   0.123295   0.125539  0.127824     43.24    44.83
Credit Suisse USA, Inc.  22541HDC3 01/18/13 01/21/20    100.000     0.000    1.3160              0.037780   0.038029   0.038279   0.038531  0.038784     13.73    13.91
Credit Suisse USA, Inc.  22541HDD1 07/03/13 07/06/20    100.000     0.125    2.1480              0.062131   0.062761   0.063398   0.064041  0.064692     22.70    23.17
Credit Suisse USA, Inc.  22545F136 01/02/15 12/28/21    100.000     0.000    2.1699              0.061577   0.062245   0.062920   0.063603  0.064293     22.29    22.78
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22546E4R2 04/29/11 04/29/16    100.000     0.000    3.1146              0.099427                                                11.73         
Credit Suisse USA, Inc.  22546E6C3 05/31/11 05/31/16    100.000     0.000    2.8780              0.090918                                                13.55         
Credit Suisse USA, Inc.  22546E6E9 05/31/11 05/31/16    100.000     0.000    2.7670              0.086979                                                12.96         
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30    100.000    VARIES    3.9512              0.112465   0.112218   0.111965   0.111708  0.111445     40.41    40.23
Credit Suisse USA, Inc.  22546TAL5 06/30/11 06/30/16    100.000     0.000    3.0499              0.097084                                                17.38         
Credit Suisse USA, Inc.  22546TNB3 03/26/12 03/24/17    100.000     0.000    1.3843              0.040352   0.040632   0.040913                          14.63     3.40
Credit Suisse USA, Inc.  22546TQX2 05/07/12 05/05/17    100.000     0.000    1.1036              0.031860   0.032036   0.032212                          11.52     3.99
Credit Suisse USA, Inc.  22546TRE3 04/26/12 04/25/16    100.000     0.000    0.9090              0.026065                                                 2.97         
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500    2.5532              0.070146   0.069749   0.071282   0.070494  0.072049     25.67    25.92
Credit Suisse USA, Inc.  22546VP42 10/29/15 10/29/21    100.000     0.000    1.6599              0.046109   0.046492   0.046878   0.047267  0.047659     16.72    16.99
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500    2.5441              0.070672   0.071037   0.071410   0.071788  0.072172     25.53    25.80
Credit Suisse USA, Inc.  22546VPR1 11/30/15 11/28/23    100.000     0.000    1.9529              0.054248   0.054772   0.055307   0.055847  0.056392     19.66    20.04
Credit Suisse USA, Inc.  22546VPW0 11/30/15 05/30/23    100.000     0.000    1.9020              0.052834   0.053336   0.053843   0.054355  0.054872     19.14    19.51
Credit Suisse USA, Inc.  22546VQM1 11/24/15 11/19/20    100.000     0.000    1.6254              0.045153   0.045510   0.045879   0.046252  0.046628     16.35    16.62
Credit Suisse USA, Inc.  22546VR73 12/31/15 07/02/20    100.000     0.000    1.6700              0.046389   0.046393   0.046781   0.047171  0.047565     16.77    17.05
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES    2.4835              0.009543   0.009123   0.008698   0.008268  0.007833      3.35     3.05
Credit Suisse USA, Inc.  22546VRM0 12/28/15 12/27/22    100.000     0.500    1.9027              0.052855   0.053224   0.053598   0.053976  0.054357     19.10    19.37
Credit Suisse USA, Inc.  22546VTS5 01/29/16 01/29/21    100.000     0.000    1.7999                         0.049998   0.050448   0.050902  0.051360     16.67    18.38
Credit Suisse USA, Inc.  22546VTT3 01/29/16 07/30/20    100.000     0.000    1.7999              0.049998   0.050001   0.050451   0.050905  0.051363     16.67    18.38
Credit Suisse USA, Inc.  22546VTU0 02/05/16 11/01/19    100.000     0.000    1.8097              0.050270   0.050487   0.050944   0.051405  0.051870     16.47    18.48
Credit Suisse USA, Inc.  22546VU79 01/22/16 04/22/21    100.000     0.000    1.7997              0.049992   0.050217   0.050669   0.051125  0.051585     17.03    18.39
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES    2.2723                         0.017823   0.017401   0.016974  0.016542      5.66     6.07
Credit Suisse USA, Inc.  22546VW77 02/26/16 02/26/21    100.000     0.000    1.8100                         0.050280   0.050735   0.051194  0.051657     15.39    18.46
Credit Suisse USA, Inc.  22546VY91 03/28/16 03/25/21    100.000     0.000    1.4700                         0.040834   0.041129   0.041432  0.041736     11.18    14.92
Credit Suisse USA, Inc.  22546VYY6 03/18/16 03/18/21    100.000    VARIES    1.9747                         0.009299   0.008950   0.008596  0.008681      2.60     3.13
Credit Suisse USA, Inc.  22547QER3 12/27/13 12/28/21    100.000     0.000    2.6360              0.077167   0.078184   0.079214   0.080259  0.081316     27.97    28.71
Credit Suisse USA, Inc.  22547QQF6 07/08/14 07/08/19    100.000     0.000    1.7799              0.050328   0.050776   0.051228   0.051684  0.052144     18.35    18.68
Credit Suisse USA, Inc.  22547QXM3 01/30/15 01/29/21    100.000     0.000    1.5401              0.043110   0.043442   0.043777   0.044114  0.044454     15.68    15.92
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000    2.2049              0.062602   0.063292   0.063990   0.064695  0.065409     22.67    23.17
Credit Suisse USA, Inc.  22547QZ66 12/31/14 12/31/20    100.000     0.000    1.9589              0.055486   0.056030   0.056579   0.057133  0.057692     20.07    20.47
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000    2.1597              0.061304   0.061966   0.062635   0.063312  0.063995     22.21    22.69
Credit Suisse USA, Inc.  22547W5D1 02/07/14 02/05/21    100.000     0.000    2.0912              0.059924   0.060551   0.061184   0.061823  0.062470     21.87    22.33
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000    2.2645              0.063625   0.064346   0.065074   0.065811  0.066556     23.06    23.58
Credit Suisse USA, Inc.  22547WPN7 12/29/15 12/29/22    100.000     0.000    1.9233              0.053425   0.053939   0.054458   0.054981  0.055510     19.33    19.70
Credit Suisse USA, Inc.  22547WQ22 02/11/16 02/10/23    100.000     0.000    1.8032                         0.050089   0.050539   0.050994  0.051454     16.09    18.40
Credit Suisse USA, Inc.  22547WQ89 04/27/16 05/01/23    100.000     0.000    1.5174              0.042151   0.042159   0.042478   0.042801  0.043126     10.31    15.39
Credit Suisse USA, Inc.  22547WQA4 06/20/16 06/16/21    100.000     0.000    1.8619                         0.051720   0.052191   0.052677  0.053167      9.89    18.89
Credit Suisse USA, Inc.  22547WQB2 06/23/16 06/21/21    100.000     0.000    2.0800                         0.056831   0.057731   0.058012  0.058938     10.92    21.14
Credit Suisse USA, Inc.  22547WQE6 08/12/16 08/14/23    100.000    VARIES    N/A                            0.010453   0.010453   0.010568  0.010685      1.45     3.82
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES    2.7488                         0.027356   0.026590   0.025813  0.025025      6.60     9.33
Credit Suisse USA, Inc.  22548Q5R2 05/27/16 05/27/21    100.000     0.000    2.5649                         0.071250   0.072164   0.073089  0.074026     15.28    26.21
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES    3.7259                         0.103498   0.103499   0.103500  0.103501     22.87    37.26
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000    1.3289                                    0.036915   0.037158  0.037405      3.43    13.38
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22548QKG9 10/28/16 10/30/23    100.000     0.000    1.6003                         0.044454   0.044458   0.044813  0.045172      2.80    16.11
Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES    2.2704                                    0.018902   0.018455  0.018002      1.34     6.66
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES    2.0492              0.010869   0.010980   0.011093   0.011206  0.011321      3.96     4.04
Credit Suisse USA, Inc.  2254M0GM2 07/29/11 07/29/16    100.000    VARIES    0.9093              0.001658   0.001653                                       .34         
Credit Suisse USA, Inc.  2254M0H58 08/17/11 08/17/17    100.000    VARIES    1.2913              0.026819   0.026784   0.026749                           9.64     6.04
Credit Suisse USA, Inc.  2254M0HK5 08/18/11 08/18/16    100.000    VARIES    1.4617              0.004812   0.004847                                      1.10         
Credit Suisse USA, Inc.  2254M0HP4 09/06/11 09/06/18    100.000    VARIES    1.6149              0.000079   0.000079   0.000080   0.000081  0.000081       .29      .29
Credit Suisse USA, Inc.  2254M0HV1 09/13/11 09/13/16    100.000    VARIES    1.4720              0.003917   0.003946                                       .99         
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23     94.618     4.800    5.4004    17.86     0.011185   0.011487   0.011797   0.012115  0.012443      4.12     4.34
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000    1.6453              0.048007   0.048402   0.048800   0.049201  0.049606     17.36    17.65
Deutsche Bank AG         25152RKC6 05/14/14 11/15/17    100.000     0.000    1.6315              0.046442   0.046821   0.047203   0.047588               16.82    14.89
Deutsche Bank AG         25152RLC5 06/18/14 06/16/17    100.000     0.000    1.5017              0.042658   0.042979   0.043301                          15.42     7.14
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES    2.3744              0.060306   0.059538   0.059411   0.059282  0.059152     21.44    21.33
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES    2.5035              0.062951   0.062133   0.062040   0.061945  0.061849     22.42    22.30
Deutsche Bank AG         25152RUZ4 03/28/13 03/28/18    100.000    VARIES    1.5000              0.041870   0.041970   0.041962   0.041954  0.041811     15.10    15.09
Deutsche Bank AG         25152RVB6 05/23/13 05/23/18    100.000    VARIES    1.6237              0.045367   0.045487   0.045467   0.045447  0.045276     16.36    16.36
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES    2.0551              0.051887   0.051377   0.051386   0.051396  0.051405     18.59    18.50
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES    1.1015              0.026868   0.026170   0.025898   0.025624  0.025646      9.46     9.25
Deutsche Bank AG         25152RVV2 05/07/14 05/05/17    100.000     0.000    1.0113              0.028521   0.028665   0.028810                          10.31     3.57
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES    1.0463              0.025856   0.025253   0.024989   0.024725  0.024683      9.20     8.95
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES    0.8843              0.021768   0.021502   0.021235   0.021203  0.021171      7.72     7.63
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES    1.1688              0.030245   0.029690   0.029132   0.028938  0.028743     10.69    10.42
Deutsche Bank AG         2515A0FC2 09/05/07 09/05/17    100.000    VARIES    5.2125              0.136803   0.138724   0.140695   0.142718               50.05    34.69
Deutsche Bank AG         2515A1NH0 04/27/16 04/25/19    100.000     0.000    2.6295                         0.073044   0.073993   0.074966  0.075952     17.89    26.94
Deutsche Bank AG         2515A1NS6 05/04/16 05/07/19    100.000     0.000    2.4159              0.067110   0.067124   0.067935   0.068755  0.069586     15.95    24.69
Deutsche Bank AG         2515A1PE5 05/06/11 05/06/19    100.000    VARIES    4.4256              0.125892   0.125708   0.125521   0.125329  0.124750     45.27    45.11
Deutsche Bank AG         2515A1PH8 11/30/12 11/30/17    100.000    VARIES    1.3034              0.036333   0.036347   0.036360   0.036284               13.08    11.95
Domtar Corporation       257559AG9 06/09/09 06/01/17     96.157    10.750   11.4987    28.90     0.017588   0.018599   0.019668                           6.58     2.95
Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16    109.259    VARIES    3.5892              0.101314   0.100515                                     33.29         
Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16     59.688     0.000    5.9687   367.26     0.156329   0.160994                                     35.86         
Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17     55.746     0.000    6.0689   350.18     0.149583   0.154122   0.158799   0.163618               55.92    36.44
Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18     52.073     0.000    6.1490   332.50     0.142429   0.146808   0.151321   0.155974  0.160769     53.27    56.60
Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19     48.734     0.000    6.1989   314.34     0.134886   0.139067   0.143377   0.147821  0.152403     50.47    53.64
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000    6.2791   297.55     0.128039   0.132059   0.136205   0.140481  0.144892     47.93    50.98
DuPage County SD #12, IL 262777CU7 06/28/12 01/01/17    100.000    VARIES    1.9976              0.055491   0.055491                                     19.98         
DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18    100.000    VARIES    2.3971              0.066592   0.066591   0.066590   0.066589               23.97    23.97
DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19    100.000    VARIES    2.6969              0.074921   0.074920   0.074919   0.074918               26.97    26.97
DuPage County SD #12, IL 262777CX1 06/28/12 01/01/20    100.000    VARIES    2.8968              0.080478   0.080477   0.080475   0.080474               28.97    28.97
DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21    100.000    VARIES    3.2464              0.090193   0.090192   0.090191   0.090189               32.47    32.47
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES    3.7455              0.104069   0.104067   0.104065   0.104063               37.46    37.46
Dune Energy, Inc.        265338AD5 12/22/11 12/15/16    100.000    14.500    N/A                 0.578411   0.609453                                    204.56         
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000    6.4698   372.84     0.118808   0.122652   0.126619   0.130715  0.134944     44.17    47.07
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000    6.4999   350.14     0.111753   0.115385   0.119135   0.123007  0.127005     41.55    44.29
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000    6.5100   328.50     0.104904   0.108318   0.111844   0.115484  0.119243     39.00    41.59
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000    6.5300   308.17     0.098515   0.101731   0.105053   0.108483  0.112025     36.63    39.06
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000    6.5498   288.98     0.092478   0.095506   0.098634   0.101864  0.105200     34.39    36.68
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000    6.5600   270.91     0.086742   0.089587   0.092525   0.095560  0.098695     32.26    34.41
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000    6.5699   253.92     0.081345   0.084017   0.086777   0.089628  0.092572     30.25    32.27
Eclipse Resources Corp.  27890GAA8 07/06/15 07/15/23     97.903     8.875    9.2509      .89     0.005065   0.005299   0.005545   0.005801  0.006069      1.95     2.13
Eclipse Resources Corp.  27890GAB6 07/06/15 07/15/23     97.903     8.875    9.2509      .89     0.005065   0.005299   0.005545   0.005801  0.006069      1.95     2.13
Edgar Counties SD #3, IL 279713CK5 10/10/13 12/01/16    103.073    VARIES    2.9854              0.083752   0.083344                                     27.56         
Eksportfinans ASA        282645UV0 05/03/10 02/05/16    100.000     0.000    2.8500              0.091864                                                 3.12         
EL Paso Corporation      28336LBT5 02/09/09 02/15/16     95.535     8.250    9.1255    43.63     0.023260                                                 1.02         
Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21*    77.941    VARIES    N/A                 0.227959                                                 5.70*        
Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23*   100.000    VARIES    N/A                 0.208781   0.211029                                      5.24*        
Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23*   100.000    VARIES    N/A                 0.208781   0.211029                                      5.24*        
Euronet Worldwide, Inc.  298736AG4 10/30/14 10/01/44    100.000    VARIES    6.9990              0.204406   0.210101   0.215995   0.222096  0.228410     75.65    79.97
Euronet Worldwide, Inc.  298736AH2 10/30/14 10/01/44    100.000    VARIES    6.9990              0.204406   0.210101   0.215995   0.222096  0.228410     75.65    79.97
European Investment Bank 298785DW3 03/10/06 03/10/21     44.672     0.000    5.4449   309.96     0.112557   0.115621   0.118769   0.122002  0.125324     41.76    44.07
Exelon Corporation       30161N127 06/17/14 06/01/24    100.000    VARIES    4.8845              0.140504   0.142240   0.144017   0.145839  0.145222     51.00    52.21
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES    4.8845              0.140504   0.142240   0.144017   0.145839  0.145222     51.00    52.21
Freddie Mac              3128X0AZ2 10/03/02 01/02/34     19.160     0.000    5.3582   194.39     0.055960   0.057460   0.058999   0.060580  0.062203     20.96    22.10
Freddie Mac              3128X2SP1 01/30/04 04/01/16     54.741     0.000    5.0126   440.36     0.135835                                                12.23         
Freddie Mac              3128X2SQ9 01/30/04 10/01/16     52.987     0.000    5.0758   433.31     0.134102   0.137505                                     36.82         
Freddie Mac              3128X2SR7 01/30/04 04/01/17     51.299     0.000    5.1327   425.70     0.132140   0.135531   0.139009                          48.80    12.51
Freddie Mac              3128X2SS5 01/30/04 10/01/17     49.661     0.000    5.1861   417.76     0.130037   0.133409   0.136868   0.140417               48.04    37.59
Freddie Mac              3128X2ST3 01/30/04 04/01/18     48.064     0.000    5.2374   409.62     0.127844   0.131192   0.134628   0.138153  0.141771     47.24    49.74
Freddie Mac              3128X2SU0 01/30/04 10/01/18     46.530     0.000    5.2834   401.17     0.125509   0.128824   0.132227   0.135720  0.139306     46.38    48.87
Freddie Mac              3128X2SV8 01/30/04 04/01/19     45.040     0.000    5.3272   392.60     0.123108   0.126387   0.129753   0.133209  0.136758     45.51    47.96
Freddie Mac              3128X2SW6 01/30/04 10/01/19     43.600     0.000    5.3679   383.91     0.120638   0.123876   0.127200   0.130614  0.134120     44.60    47.03
Freddie Mac              3128X2SX4 01/30/04 04/01/20     42.215     0.000    5.4047   375.12     0.118099   0.121291   0.124569   0.127935  0.131392     43.67    46.06
Freddie Mac              3128X2SY2 01/30/04 10/01/20     40.880     0.000    5.4384   366.28     0.115519   0.118660   0.121887   0.125201  0.128606     42.73    45.08
Freddie Mac              3128X4AE1 04/19/05 04/15/17     56.285     0.000    4.8518   377.30     0.125422   0.128464   0.131581                          46.17    13.68
Freddie Mac              3128X4S77 03/24/06 06/20/16     59.540     0.000    5.1280   381.13     0.138886                                                23.47         
Freddie Mac              3128X52H0 04/03/07 04/02/37     21.177     0.000    5.2421   121.21     0.047867   0.049121   0.050409   0.051730  0.053086     17.68    18.62
Freddie Mac              3128X55E4 05/04/07 05/04/37     16.728     0.000    6.0499   113.01     0.046657   0.048069   0.049523   0.051021  0.052564     17.21    18.27
Freddie Mac              3128X5LK2 10/02/06 10/02/34     24.784     0.000    5.0446   145.06     0.054379   0.055750   0.057156   0.058598  0.060076     20.07    21.10
Freddie Mac              3128X6HU3 07/20/07 09/28/18     54.270     0.000    5.5370   318.31     0.130561   0.134176   0.137890   0.141708  0.145631     48.33    51.05
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000    4.9802   110.70     0.046875   0.048042   0.049238   0.050465  0.051721     17.11    17.97
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000    4.4860    98.65     0.044917   0.045925   0.046955   0.048008  0.049085     16.45    17.19
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000    4.3499    98.44     0.044909   0.045886   0.046884   0.047903  0.048945     16.43    17.16
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000    5.1394   101.10     0.045578   0.046749   0.047950   0.049182  0.050446     16.62    17.49
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000    2.9999    94.60     0.041392   0.042012   0.042643   0.043282  0.043931     15.18    15.64
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000    4.5438    95.16     0.049131   0.050247   0.051388   0.052556  0.053750     18.13    18.96
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000    4.5433    94.07     0.049130   0.050246   0.051388   0.052555  0.053749     17.92    18.75
Freddie Mac              312902LX5 12/17/99 12/17/29     14.255     0.000    6.6001   261.37     0.073864   0.076302   0.078820   0.081421  0.084108     27.10    28.92
Freddie Mac              312902VG1 04/25/00 01/04/21     25.643     0.000    6.6857   462.95     0.129348   0.133672   0.138141   0.142759  0.147531     48.90    52.22
Freddie Mac              312902VH9 04/25/00 01/04/22     24.042     0.000    6.6795   433.42     0.121051   0.125094   0.129271   0.133589  0.138050     45.76    48.87
Freddie Mac              312902VJ5 04/25/00 01/04/23     22.536     0.000    6.6749   405.82     0.113312   0.117094   0.121002   0.125041  0.129214     42.83    45.74
Freddie Mac              312902VK2 04/25/00 01/04/24     21.145     0.000    6.6664   380.01     0.106050   0.109585   0.113238   0.117012  0.120913     40.09    42.80
Freddie Mac              312902VL0 04/25/00 01/04/25     20.007     0.000    6.6235   355.93     0.099070   0.102351   0.105740   0.109242  0.112860     37.44    39.96
Freddie Mac              312902VM8 04/25/00 01/04/26     18.780     0.000    6.6160   333.50     0.092785   0.095855   0.099026   0.102301  0.105686     35.06    37.42
Freddie Mac              312902VN6 04/25/00 01/04/27     17.654     0.000    6.6033   312.57     0.086895   0.089764   0.092727   0.095789  0.098952     32.83    35.03
Freddie Mac              312902VV8 04/25/00 01/04/18     31.141     0.000    6.7034   564.57     0.157910   0.163203   0.168673   0.174326  0.180169     59.71    63.77
Freddie Mac              312902VW6 04/25/00 01/04/19     29.163     0.000    6.7017   528.50     0.147804   0.152757   0.157876   0.163166  0.168634     55.88    59.69
Freddie Mac              312902VX4 04/25/00 01/04/20     27.313     0.000    6.6997   494.74     0.138346   0.142981   0.147770   0.152720  0.157836     52.31    55.87
Freddie Mac              312902WL9 04/25/00 01/04/16     35.607     0.000    6.6893   643.39     0.179802                                                  .54         
Freddie Mac              312902WM7 04/25/00 01/04/17     33.256     0.000    6.7048   603.11     0.168704   0.174360   0.180205                          63.79      .54
Federal Home Loan Banks  3130A0JE1 01/07/14 01/07/19*   100.000    VARIES    1.6244              0.044550   0.044630                                      8.30*        
Federal Home Loan Banks  3130A0MR8 01/22/14 01/22/21    100.000    VARIES    2.3228              0.065932   0.066291   0.066474   0.066659  0.066665     23.89    23.99
Federal Home Loan Banks  3130A0N63 01/23/14 01/23/20    100.000    VARIES    1.9611              0.055370   0.055585   0.055660   0.055736  0.055671     20.02    20.05
Federal Home Loan Banks  3130A1DD7 03/26/14 03/26/21    100.000    VARIES    2.2862              0.064896   0.065250   0.065431   0.065614  0.065627     23.48    23.61
Federal Home Loan Banks  3130A1DV7 03/26/14 03/26/21    100.000    VARIES    2.3281              0.066088   0.066450   0.066635   0.066822  0.066831     23.91    24.04
Federal Home Loan Banks  3130A1RY6 05/15/14 05/15/19    100.000    VARIES    1.7090              0.046736   0.046838   0.046942   0.047046  0.047152     16.85    16.93
Federal Home Loan Banks  3130A1S25 05/07/14 05/07/19    100.000    VARIES    1.6633              0.045558   0.045648   0.045739   0.045830  0.045923     16.43    16.49
Federal Home Loan Banks  3130A1S90 05/13/14 05/13/19    100.000    VARIES    1.6985              0.046467   0.046567   0.046667   0.046769  0.046871     16.76    16.83
Federal Home Loan Banks  3130A1TH1 05/22/14 05/22/19*   100.000    VARIES    1.7677              0.048245                                                 6.80*        
Federal Home Loan Banks  3130A1UN6 05/22/14 05/22/19*   100.000    VARIES    1.7182              0.046972                                                 6.62*        
Federal Home Loan Banks  3130A2SK3 08/20/14 08/20/19*   100.000    VARIES    1.7102              0.046666   0.046768                                      6.50*        
Federal Home Loan Banks  3130A2ST4 08/27/14 08/28/19*   100.000    VARIES    1.7859              0.048684   0.048796                                      7.17*        
Federal Home Loan Banks  3130A2SV9 08/27/14 08/28/19    100.000    VARIES    1.7926              0.048852   0.048967   0.049082   0.049198  0.049315     17.64    17.72
Federal Home Loan Banks  3130A2XS0 10/02/14 10/02/19*   100.000    VARIES    1.7547              0.047798   0.047912                                      8.66*        
Federal Home Loan Banks  3130A2YR1 09/26/14 09/26/19    100.000    VARIES    1.7203              0.046886   0.046996   0.047106   0.047217  0.047330     16.92    17.00
Federal Home Loan Banks  3130A2ZS8 10/09/14 10/09/19*   100.000    VARIES    1.8004              0.048954   0.049082                                      9.21*        
Federal Home Loan Banks  3130A3NY6 12/30/14 12/30/19*   100.000    VARIES    1.7251              0.047275                                                 8.46*        
Federal Home Loan Banks  3130A3R63 12/23/14 12/23/19    100.000    VARIES    1.7764              0.048584   0.048676   0.048769   0.048863  0.048958     17.51    17.58
Federal Home Loan Banks  3130A4EV0 03/18/15 03/18/20    100.000    VARIES    1.7025              0.046883   0.046469   0.046569   0.046670  0.046772     16.77    16.80
Federal Home Loan Banks  3130A4JD5 03/30/15 03/30/20    100.000    VARIES    1.6373              0.045143   0.044802   0.044884   0.044968  0.045052     16.17    16.19
Federal Home Loan Banks  3130A4LE0 04/02/15 04/02/20    100.000    VARIES    1.6894              0.046533   0.046134   0.046230   0.046328  0.046426     16.65    16.68
Federal Home Loan Banks  3130A5CB3 05/27/15 05/27/20    100.000    VARIES    1.6121              0.044248   0.044156   0.044232   0.044309  0.044386     15.91    15.94
Federal Home Loan Banks  3130A5DC0 05/27/15 05/27/20    100.000    VARIES    1.7632              0.048797   0.048615   0.048432   0.048247  0.048366     17.52    17.40
Federal Home Loan Banks  3130A5LZ0 06/30/15 06/30/20    100.000    VARIES    1.7430              0.047570   0.047501   0.047612   0.047724  0.047838     17.11    17.16
Federal Home Loan Banks  3130A5M22 06/26/15 06/25/20    100.000    VARIES    1.7664              0.048312   0.048187   0.048293   0.048401  0.048509     17.37    17.41
Federal Home Loan Banks  3130A6XT9 01/08/16 01/08/21    100.000    VARIES    1.7928                         0.049802   0.049626   0.049449  0.049269     17.55    17.77
Federal Home Loan Banks  3130A6Y92 01/20/16 01/20/21    100.000    VARIES    1.8818                         0.052273   0.052112   0.051949  0.051784     17.80    18.68
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Federal Home Loan Banks  3133734F6 04/15/11 04/15/16    100.000    VARIES    2.5160              0.070512                                                 7.33         
Federal Home Loan Banks  3133736X5 03/30/11 03/30/16    100.000    VARIES    2.4313              0.068084                                                 6.06         
Federal Home Loan Banks  3133737L0 04/13/11 04/13/17    100.000    VARIES    2.7757              0.079121   0.078662   0.077888                          28.30     7.94
Federal Home Loan Banks  313373B84 04/13/11 04/13/17    100.000    VARIES    2.7757              0.079121   0.078662   0.077888                          28.30     7.94
Federal Home Loan Banks  313373D74 04/21/11 04/21/16    100.000    VARIES    2.4737              0.069298                                                 7.62         
Federal Home Loan Banks  313374CU2 07/06/11 07/06/18*   100.000    VARIES    2.0867              0.058758   0.058364                                     10.80*        
Federal Home Loan Banks  313379HU6 06/05/12 06/05/17    100.000    VARIES    0.8042              0.022240   0.022274   0.022307                           8.01     3.44
Federal Home Loan Banks  3133836A4 05/22/13 05/22/19    100.000    VARIES    1.0915              0.030018   0.030061   0.030104   0.030147  0.030190     10.82    10.85
Federal Home Loan Banks  313383JM4 06/27/13 06/27/19    100.000    VARIES    1.3128              0.036079   0.036134   0.036189   0.036244  0.036299     13.00    13.04
Federal Home Loan Banks  313383MU2 07/11/13 07/11/19*   100.000    VARIES    1.7140              0.046946   0.047027                                      4.70*        
Federal Home Loan Banks  313383NN7 07/17/13 07/17/19*   100.000    VARIES    1.7803              0.048635   0.048734                                      5.16*        
Freddie Mac              3134A1BU3 09/25/96 06/01/16     23.214     0.000    7.5580   737.51     0.202301                                                30.35         
Freddie Mac              3134A1CT5 10/21/96 09/15/16     23.550     0.000    7.3996   714.68     0.191140   0.198212                                     49.82         
Freddie Mac              3134A1DL1 11/01/96 02/01/16     25.038     0.000    7.3237   743.73     0.196250                                                 5.89         
Freddie Mac              3134A1FK1 11/20/96 09/03/19     20.641     0.000    7.0454   569.18     0.148361   0.153587   0.158997   0.164598  0.170397     55.61    59.59
Freddie Mac              3134A1H60 10/22/97 06/03/24     16.813     0.000    6.8126   400.71     0.107081   0.110729   0.114500   0.118401  0.122434     39.41    42.14
Freddie Mac              3134A1HU7 12/27/96 12/02/19     19.720     0.000    7.2067   560.54     0.150815   0.156249   0.161879   0.167712  0.173756     55.59    59.67
Freddie Mac              3134A1MY3 02/12/97 02/01/20     19.238     0.000    7.3061   553.70     0.146942   0.152309   0.157873   0.163641  0.169618     55.50    59.63
Freddie Mac              3134A1MZ0 02/12/97 03/01/16     25.716     0.000    7.2560   731.17     0.194501                                                11.67         
Freddie Mac              3134A1NA4 02/12/97 01/02/19     20.877     0.000    7.2857   597.87     0.157542   0.163281   0.169229   0.175394  0.181783     59.84    64.28
Freddie Mac              3134A2G77 12/28/98 11/15/28     20.230     0.000    5.4198   300.13     0.075121   0.077157   0.079248   0.081396  0.083601     27.60    29.12
Freddie Mac              3134A2HG6 06/30/98 12/11/25     19.896     0.000    5.9699   358.17     0.092086   0.094834   0.097665   0.100580  0.103583     33.76    35.80
Freddie Mac              3134A3D29 09/09/99 08/15/27     14.928     0.000    6.9258   304.02     0.084984   0.087927   0.090971   0.094122  0.097381     31.94    34.19
Freddie Mac              3134A3ZU3 08/02/99 12/14/29     15.469     0.000    6.2410   269.55     0.073332   0.075620   0.077980   0.080413  0.082923     26.89    28.59
Freddie Mac              3134G2CV2 04/01/11 04/01/16    100.000    VARIES    2.1989              0.061702                                                 5.55         
Freddie Mac              3134G2JE3 05/18/11 02/15/16     91.147     0.000    1.9642    86.15     0.054032                                                 2.38         
Freddie Mac              3134G35Q9 02/19/13 02/01/16     98.624     0.000    0.4702    13.37     0.013031                                                  .39         
Freddie Mac              3134G3D80 08/03/12 03/01/16     98.331     0.000    0.4709    15.91     0.013052                                                  .78         
Freddie Mac              3134G3D98 08/03/12 08/01/16     97.750     0.000    0.5705    19.18     0.015758   0.015803                                      3.32         
Freddie Mac              3134G3G87 09/05/12 02/01/16     97.910     0.000    0.6211    20.38     0.017201                                                  .52         
Freddie Mac              3134G3H60 08/29/12 02/12/16     98.330     0.000    0.4883    16.15     0.013532                                                  .55         
Freddie Mac              3134G3TF7 03/20/12 03/01/16     96.961     0.000    0.7833    29.09     0.021675                                                 1.30         
Freddie Mac              3134G3WS5 06/28/12 02/01/16     97.180     0.000    0.7979    27.54     0.022078                                                  .66         
Freddie Mac              3134G4HH4 10/02/13 09/30/16     97.752     0.000    0.7607    16.83     0.020627   0.020706                                      5.65         
Freddie Mac              3134G4JD1 11/07/13 04/29/16     98.527     0.000    0.5997    12.77     0.016611                                                 1.96         
Freddie Mac              3134G4JS8 10/18/13 03/01/16     98.742     0.000    0.5348    11.70     0.014654                                                  .88         
Freddie Mac              3134G4S25 12/20/13 01/29/16     99.140     0.000    0.4100     8.28     0.011368                                                  .32         
Freddie Mac              3134G4TJ7 01/07/14 11/09/16     97.897     0.000    0.7500    14.65     0.020679   0.020756                                      6.38         
Freddie Mac              3134G5PA7 11/06/14 01/30/17     98.473     0.000    0.6901     7.85     0.018973   0.019039   0.019104                           6.86      .55
Freddie Mac              3134G5R56 12/03/14 09/01/16     99.098     0.000    0.5200     5.56     0.014371   0.014408                                      3.46         
Freddie Mac              3134G5R64 12/03/14 09/01/17     97.435     0.000    0.9489    10.00     0.025865   0.025988   0.026111   0.026235                9.36     6.29
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G5R98 12/18/14 02/15/17     98.503     0.000    0.6999     7.16     0.019242   0.019309   0.019377                           6.96      .85
Freddie Mac              3134G5UK9 12/30/14 06/15/16     99.295     0.000    0.4857     4.84     0.013459                                                 2.21         
Freddie Mac              3134G5VS1 12/19/14 08/01/16     99.132     0.000    0.5399     5.54     0.014918   0.014958                                      3.14         
Freddie Mac              3134G5VZ5 12/19/14 07/01/16     99.222     0.000    0.5100     5.24     0.014131                                                 2.54         
Freddie Mac              3134G6JM6 03/12/15 05/01/17     98.351     0.000    0.7798     6.17     0.021411   0.021494   0.021578                           7.73     2.59
Freddie Mac              3134G6NP4 04/16/15 02/01/18     97.254     0.000    0.9997     6.90     0.027088   0.027223   0.027359   0.027496  0.027634      9.82     9.92
Freddie Mac              3134G6RW5 04/08/15 07/14/17     98.320     0.000    0.7487     5.38     0.020491   0.020568   0.020645   0.020722                7.42     4.00
Freddie Mac              3134G6RX3 04/08/15 07/13/18     96.583     0.000    1.0679     7.55     0.028732   0.028886   0.029040   0.029195  0.029351     10.42    10.53
Freddie Mac              3134G6X81 05/20/15 08/30/18     96.333     0.000    1.1425     6.81     0.030169   0.030342   0.030683   0.030689  0.031034     11.14    11.24
Freddie Mac              3134G8HU6 01/20/16 07/01/20*   100.000    VARIES    N/A                 0.017767                                                 2.86*        
Freddie Mac              3134G9D61 06/30/16 06/30/21    100.000    VARIES    1.3049                         0.036249   0.036123   0.036042  0.036050      6.56    12.99
Freddie Mac              3134G9E37 06/30/16 06/30/21    100.000    VARIES    1.3049                         0.036249   0.036123   0.036042  0.036050      6.56    12.99
Freddie Mac              3134G9XE2 06/30/16 06/30/21    100.000    VARIES    1.3815                         0.038377   0.038258   0.038138  0.038114      6.95    13.75
Freddie Mac              3134G9XF9 06/30/16 06/30/21    100.000    VARIES    1.4307                         0.039742   0.039629   0.039515  0.039524      7.19    14.25
Freddie Mac              3134G9XL6 06/29/16 06/29/21    100.000    VARIES    1.3914                         0.038652   0.038534   0.038416  0.038398      7.03    13.85
Freddie Mac              3134G9XM4 06/30/16 06/30/21    100.000    VARIES    1.3944                         0.038735   0.038606   0.038476  0.038453      7.01    13.87
Freddie Mac              3134G9XP7 06/30/16 06/30/21    100.000    VARIES    1.4320                         0.039780   0.039667   0.039553  0.039438      7.20    14.26
Freddie Mac              3134G9XQ5 06/30/16 06/30/21    100.000    VARIES    1.3944                         0.038735   0.038606   0.038476  0.038453      7.01    13.87
Freddie Mac              3134G9XT9 06/30/16 06/30/21    100.000    VARIES    1.4688                         0.040802   0.040681   0.040559  0.040561      7.39    14.62
Freddie Mac              3134G9XV4 06/30/16 06/30/21    100.000    VARIES    1.3871                         0.038533   0.038357   0.038238  0.038238      6.97    13.79
Freddie Mac              3134G9XX0 06/30/16 06/30/21    100.000    VARIES    1.5059                         0.041833   0.041730   0.041626  0.041626      7.57    15.00
Freddie Mac              3134G9ZG5 06/30/16 06/30/21    100.000    VARIES    1.4587                         0.040520   0.040411   0.040300  0.040189      7.33    14.53
Freddie Mac              3134G9ZM2 06/30/16 06/30/21    100.000    VARIES    1.4984                         0.041623   0.041519   0.041414  0.041308      7.53    14.93
Freddie Mac              3134G9ZP5 06/30/16 06/30/21    100.000    VARIES    1.4965                         0.041571   0.041456   0.041340  0.041338      7.52    14.90
Freddie Mac              3134GAQC1 09/30/16 09/30/21    100.000    VARIES    1.3156                                    0.036547   0.036376  0.036296      3.33    13.10
Freddie Mac              3134GAQE7 09/30/16 09/30/21    100.000    VARIES    1.3431                                    0.037310   0.037188  0.037111      3.40    13.39
Freddie Mac              3134GAQK3 09/30/16 09/30/21    100.000    VARIES    1.2929                                    0.035914   0.035789  0.035664      3.27    12.88
Fannie Mae               31359MEL3 01/29/99 06/01/17     34.790     0.000    5.8405   573.83     0.148815   0.153161   0.157634                          54.62    23.65
Fannie Mae               3136F1EQ9 12/27/01 03/17/31     16.751     0.000    6.2082   227.10     0.066851   0.068926   0.071066   0.073272  0.075546     24.88    26.45
Fannie Mae               3136F3LA2 04/04/03 10/03/33     20.285     0.000    5.2999   192.22     0.057418   0.058940   0.060502   0.062105  0.063751     21.22    22.36
Fannie Mae               3136F3ZC3 06/09/03 12/15/33     23.674     0.000    N/A                 0.057264   0.058640   0.060049   0.061492  0.062969     20.91    21.92
Fannie Mae               3136F4R55 01/07/04 12/15/34     18.268     0.000    5.5708   170.24     0.054478   0.055995   0.057555   0.059158  0.060806     19.93    21.06
Fannie Mae               3136F7NM5 11/15/05 11/15/30     26.938     0.000    5.3159   188.93     0.067220   0.069007   0.070841   0.072724  0.074657     24.69    26.02
Fannie Mae               3136G04C2 11/15/12 03/01/16     98.378     0.000    0.4969    15.39     0.013771                                                  .83         
Fannie Mae               3136G1SZ3 08/15/13 07/01/18     95.481     0.000    0.9502    21.77     0.025777   0.025900   0.026023   0.026147                9.30     9.39
Fannie Mae               3136G1ZJ1 03/21/14 01/26/19     97.874     0.000    N/A                 0.024750   0.024788   0.024863   0.024875  0.024954      8.93    89.67
First Data Corporation.  319963AZ7 12/17/10 01/15/22*    95.625    VARIES    N/A                 0.178401                                                 2.50*        
Forney Independent SD,TX 3464242U7 02/18/14 08/15/39     16.888     0.000    7.1001    23.55     0.036961   0.038273   0.039632   0.041039  0.042496     13.91    14.91
Forney Independent SD,TX 3464242V5 02/18/14 08/15/40     15.550     0.000    7.1500    21.85     0.034297   0.035523   0.036793   0.038108  0.039471     12.91    13.85
Forney Independent SD,TX 3464242W3 02/18/14 08/15/41     14.304     0.000    7.2000    20.24     0.031792   0.032937   0.034122   0.035351  0.036623     11.97    12.85
Forney Independent SD,TX 3464242X1 02/18/14 08/15/42     13.145     0.000    7.2501    18.74     0.029440   0.030508   0.031614   0.032760  0.033947     11.09    11.90
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Forney Independent SD,TX 3464242Y9 02/18/14 08/15/43     12.068     0.000    7.3002    17.33     0.027235   0.028229   0.029259   0.030327  0.031434     10.26    11.02
Forney Independent SD,TX 3464242Z6 02/18/14 08/15/44     11.069     0.000    7.3502    16.01     0.025170   0.026095   0.027054   0.028048  0.029079      9.48    10.19
Forney Independent SD,TX 3464243A0 02/18/14 08/15/45     10.143     0.000    7.4002    14.77     0.023237   0.024097   0.024989   0.025914  0.026872      8.76     9.42
Forney Independent SD,TX 3464243B8 02/18/14 08/15/46      9.141     0.000    7.5003    13.50     0.021256   0.022053   0.022880   0.023738  0.024628      8.02     8.63
Forney Independent SD,TX 3464243C6 02/18/14 08/15/47      8.223     0.000    7.6000    12.32     0.019403   0.020141   0.020906   0.021700  0.022525      7.32     7.89
Forney Independent SD,TX 3464243D4 02/18/14 08/15/48      7.382     0.000    7.7003    11.21     0.017674   0.018354   0.019061   0.019795  0.020557      6.67     7.20
Forney Independent SD,TX 3464243E2 02/18/14 08/15/49      6.615     0.000    7.8002    10.18     0.016066   0.016693   0.017344   0.018020  0.018723      6.07     6.55
Forney Independent SD,TX 3464243F9 02/18/14 08/15/50      6.021     0.000    7.8502     9.33     0.014728   0.015306   0.015907   0.016531  0.017180      5.57     6.01
Forney Independent SD,TX 3464243G7 02/18/14 08/15/51      5.475     0.000    7.9003     8.54     0.013487   0.014020   0.014574   0.015150  0.015748      5.10     5.51
Forney Independent SD,TX 3464243H5 02/18/14 08/15/52      4.974     0.000    7.9502     7.81     0.012339   0.012830   0.013340   0.013870  0.014422      4.67     5.04
Forney Independent SD,TX 3464243J1 02/18/14 08/15/53      4.514     0.000    8.0005     7.14     0.011277   0.011728   0.012198   0.012685  0.013193      4.27     4.61
Forney Independent SD,TX 346424X90 08/27/13 08/15/38     17.946     0.000    6.9999    31.44     0.039952   0.041351   0.042798   0.044296  0.045846     15.02    16.09
Forney Independent SD,TX 346424Y24 08/27/13 08/15/39     16.544     0.000    7.0499    29.21     0.037129   0.038438   0.039793   0.041196  0.042648     13.96    14.97
Forney Independent SD,TX 346424Y32 08/27/13 08/15/40     15.436     0.000    7.0500    27.25     0.034643   0.035865   0.037129   0.038438  0.039793     13.03    13.96
Forney Independent SD,TX 346424Y40 08/27/13 08/15/41     14.210     0.000    7.0999    25.28     0.032148   0.033289   0.034471   0.035695  0.036962     12.09    12.97
Forney Independent SD,TX 346424Y57 08/27/13 08/15/42     13.252     0.000    7.1000    23.57     0.029981   0.031045   0.032148   0.033289  0.034471     11.28    12.09
Forney Independent SD,TX 346424Y65 08/27/13 08/15/43     12.359     0.000    7.1000    21.98     0.027961   0.028953   0.029981   0.031046  0.032148     10.52    11.28
Franklin Cnty SD #47, IL 352730CJ2 02/15/07 12/01/16     57.942     0.000    5.6491   370.85     0.148418   0.152610                                     49.73         
College District #534 IL 360395FG7 07/22/10 12/01/16    105.839    VARIES    4.0773              0.114385   0.113829                                     37.65         
College District #534 IL 360395FH5 07/22/10 12/01/17    105.580    VARIES    4.4767              0.126409   0.125912   0.125404   0.124885               45.39    41.29
College District #534 IL 360395FJ1 07/22/10 12/01/18    103.358    VARIES    4.9260              0.138623   0.138343   0.138056   0.137761  0.137460     49.84    49.63
College District #534 IL 360395FK8 07/22/10 12/01/19    103.249    VARIES    5.2255              0.147353   0.147102   0.146845   0.146581  0.146310     52.99    52.80
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES    5.4261              0.152186   0.152057   0.151925   0.151789  0.151649     54.76    54.66
GS Finance Corp.         362273AG9 12/17/15 06/19/23    100.000     0.000    2.9198              0.081120   0.082305   0.083506   0.084725  0.085962     29.45    30.31
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES   12.5014              0.580130   0.608579   0.638806   0.670923  0.705047    216.67   238.80
Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17    100.000     0.000    5.8500              0.257743   0.265282   0.273042   0.281028               94.19    98.91
Goldman Sachs Group,Inc. 38141GGV0 10/30/12 10/30/27    100.000    VARIES    4.6427              0.118527   0.118102   0.117668   0.117224  0.116769     42.54    42.23
Goldman Sachs Group,Inc. 38141GGX6 11/30/12 12/04/19    100.000     0.000    3.2000              0.097806   0.099371   0.100961   0.102576  0.104218     35.58    36.72
Goldman Sachs Group,Inc. 38141GHQ0 11/19/12 11/19/27    100.000    VARIES    4.0948              0.104820   0.104512   0.104198   0.103878  0.103551     37.65    37.43
Goldman Sachs Group,Inc. 38141GJY1 12/10/12 12/10/17    100.000    VARIES    1.7365              0.008750   0.008826   0.008903   0.008980                3.17     3.03
Goldman Sachs Group,Inc. 38141GKC7 12/31/12 01/02/20    100.000     0.000    2.7999              0.083389   0.084556   0.085740   0.086940  0.088157     30.65    31.52
Goldman Sachs Group,Inc. 38141GLQ5 01/31/13 02/03/20    100.000     0.000    3.2298              0.097226   0.098796   0.100391   0.102012  0.103660     35.75    36.92
Goldman Sachs Group,Inc. 38141GMD3 01/23/13 01/23/28    100.000    VARIES    4.3420              0.110593   0.108913   0.108435   0.107947  0.107449     39.17    38.79
Goldman Sachs Group,Inc. 38141GMG6 01/25/13 01/24/20    100.000     0.000    3.1498              0.094598   0.096088   0.097602   0.099139  0.100700     34.80    35.90
Goldman Sachs Group,Inc. 38141GMR2 02/11/13 02/11/28    100.000    VARIES    4.2924              0.109085   0.107529   0.107165   0.106793  0.106414     38.72    38.41
Goldman Sachs Group,Inc. 38141GNB6 02/28/13 03/02/20    100.000     0.000    2.9677              0.088752   0.090069   0.091406   0.092762  0.094138     32.50    33.48
Goldman Sachs Group,Inc. 38141GPC2 02/28/13 02/29/28    100.000    VARIES    4.2914              0.107152   0.104221   0.105341   0.103014  0.104089     38.46    37.87
Goldman Sachs Group,Inc. 38141GPU2 03/06/13 03/06/28    100.000    VARIES    4.1925              0.105936   0.104348   0.103866   0.103373  0.102871     37.61    37.19
Goldman Sachs Group,Inc. 38141GPV0 03/28/13 03/31/20    100.000     0.000    3.1233              0.093774   0.095238   0.096726   0.098236  0.099770     34.29    35.37
Goldman Sachs Group,Inc. 38141GPW8 03/06/13 03/06/18    100.000    VARIES    1.3286              0.007912   0.007964   0.008017   0.008070  0.008124      2.87     2.91
Goldman Sachs Group,Inc. 38141GQL1 03/22/13 03/22/28    100.000    VARIES    4.6901              0.119659   0.118730   0.117780   0.116806  0.116759     42.72    42.12
Goldman Sachs Group,Inc. 38141GQW7 03/27/13 03/27/28    100.000    VARIES    4.6888              0.119338   0.118437   0.117514   0.116569  0.116547     42.63    42.04
Goldman Sachs Group,Inc. 38141GRR7 04/30/13 04/30/20    100.000     0.000    2.8400              0.084654   0.085856   0.087075   0.088312  0.089566     30.84    31.72
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38141GSM7 04/30/13 04/30/28    100.000    VARIES    4.3924              0.113163   0.111632   0.111279   0.110918  0.110549     40.35    39.95
Goldman Sachs Group,Inc. 38141GSQ8 04/30/13 04/30/20    100.000    VARIES    1.6754              0.003862   0.003894   0.003927   0.003956  0.003993      1.40     1.42
Goldman Sachs Group,Inc. 38141GST2 05/31/13 06/03/21    100.000     0.000    3.4201              0.103439   0.105208   0.107007   0.108837  0.110698     37.66    38.96
Goldman Sachs Group,Inc. 38141GTV6 05/21/13 05/21/20    100.000    VARIES    2.7012              0.077065   0.077249   0.077205   0.077160  0.076966     27.78    27.78
Goldman Sachs Group,Inc. 38141GTW4 05/30/13 05/30/28    100.000    VARIES    4.3919              0.112172   0.110515   0.110207   0.109893  0.109572     40.02    39.60
Goldman Sachs Group,Inc. 38141GTZ7 05/23/13 05/23/28    100.000    VARIES    4.4916              0.114094   0.112357   0.112009   0.111652  0.111288     40.68    40.23
Goldman Sachs Group,Inc. 38141GUF9 06/06/13 06/06/28    100.000    VARIES    4.4920              0.114468   0.112966   0.112719   0.112466  0.112208     40.89    40.52
Goldman Sachs Group,Inc. 38143ADM4 12/30/11 12/30/16    100.000     0.000    2.0503              0.060784   0.061407                                     22.24         
Goldman Sachs Group,Inc. 38143AFY6 01/31/12 01/29/16    100.000     0.000    1.4011              0.039979                                                 1.12         
Goldman Sachs Group,Inc. 38143AGB5 01/31/12 01/31/19    100.000     0.000    2.2999              0.067706   0.069237   0.069272   0.071230  0.070874     25.30    25.89
Goldman Sachs Group,Inc. 38143AJG1 02/29/12 02/28/19    100.000     0.000    2.2001              0.065254   0.065254   0.067066   0.066698  0.068549     24.11    24.59
Goldman Sachs Group,Inc. 38143ALM5 03/30/12 04/01/19    100.000     0.000    2.2483              0.066438   0.067185   0.068313   0.068704  0.069858     24.63    25.15
Goldman Sachs Group,Inc. 38143APY5 04/30/12 04/30/19    100.000     0.000    2.2498              0.066844   0.066861   0.068734   0.068374  0.070289     24.59    25.12
Goldman Sachs Group,Inc. 38143ARV9 05/31/12 05/31/19    100.000     0.000    2.2497              0.066475   0.067222   0.068352   0.068743  0.069898     24.53    25.07
Goldman Sachs Group,Inc. 38143AUA1 06/29/12 07/01/19    100.000     0.000    2.1501              0.063668   0.063653   0.065404   0.065029               23.30    23.80
Goldman Sachs Group,Inc. 38143AWH4 07/31/12 07/31/19    100.000     0.000    2.1499              0.062294   0.063656   0.063641   0.065391  0.065016     23.25    23.76
Goldman Sachs Group,Inc. 38143AXC4 08/30/12 08/31/17    100.000     0.000    1.6987              0.049101   0.048980   0.050215   0.049816               18.09    10.53
Goldman Sachs Group,Inc. 38143AYM1 08/31/12 09/03/19    100.000     0.000    2.1004              0.061448   0.061418   0.063092   0.062715  0.064424     22.68    23.12
Goldman Sachs Group,Inc. 38143AYN9 08/30/12 08/30/19    100.000     0.250    2.0903              0.060349   0.060908   0.061811   0.062045  0.062966     22.37    22.75
Goldman Sachs Group,Inc. 38143AYS8 08/23/12 08/23/17    100.000     0.000    1.7918              0.051367   0.052397   0.052292   0.053635               19.11    12.48
Goldman Sachs Group,Inc. 38143U2A8 04/30/12 01/31/18    100.000     0.000    4.2501              0.135359   0.138236   0.141173   0.144173  0.147237     50.12    52.28
Goldman Sachs Group,Inc. 38143U2S9 05/31/12 09/01/16    100.000     0.000    4.2500              0.135371   0.138248                                     33.01         
Goldman Sachs Group,Inc. 38143U3A7 05/31/12 06/02/17    100.000     0.000    4.6997              0.153638   0.157249   0.160944                          56.17    24.30
Goldman Sachs Group,Inc. 38143U3T6 05/14/12 05/14/17    100.000    VARIES    2.9895              0.013802   0.014009   0.014218                           5.03     1.89
Goldman Sachs Group,Inc. 38143U4D0 07/31/12 02/01/18    100.000     0.000    3.8502              0.119926   0.122235   0.124588   0.126987  0.129431     44.29    46.01
Goldman Sachs Group,Inc. 38143U5H0 08/31/12 09/04/18    100.000     0.000    3.4598              0.106565   0.108409   0.110284   0.112192  0.114133     39.13    40.50
Goldman Sachs Group,Inc. 38143U6M8 08/31/12 08/31/18    100.000     0.000    3.5002              0.106712   0.107399   0.111090   0.111191  0.115013     39.72    41.05
Goldman Sachs Group,Inc. 38143U6V8 09/28/12 12/31/18    100.000     0.000    3.1501              0.095815   0.096266   0.099403   0.099323  0.102559     35.15    36.27
Goldman Sachs Group,Inc. 38143U7M7 11/02/12 11/01/19    100.000     0.000    3.0101              0.091450   0.092826   0.094223   0.095641  0.097081     33.34    34.35
Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16    100.000    VARIES    2.6249              0.008280   0.008389                                      2.01         
Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16    100.000     0.000    4.3397              0.143135   0.146241                                     39.06         
Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16    100.000    VARIES    2.6408              0.008033   0.008139                                      2.10         
Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16    100.000     1.000    4.6747              0.162466   0.165615                                     48.98         
Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17    100.000     0.000    3.8999              0.126446   0.128912   0.131426                          46.26    15.77
Goldman Sachs Group,Inc. 38143UH53 12/30/11 07/03/17    100.000     0.000    4.7823              0.156801   0.160550   0.164389   0.168320               58.47    30.63
Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16    100.000     0.000    5.1358              0.188553                                                27.34         
Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16    100.000     0.000    4.3999              0.155274                                                26.86         
Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17    100.000     0.000    4.4059              0.150514   0.152158   0.158087   0.158935               56.32    38.41
Goldman Sachs Group,Inc. 38143UL25 01/31/12 07/31/17    100.000     0.000    4.0496              0.129438   0.132059   0.134733   0.137461               47.87    28.65
Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17    100.000    VARIES    2.6534              0.016904   0.017128   0.017355   0.017586                6.19     3.63
Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17    100.000    VARIES    2.6469              0.016733   0.016955   0.017179   0.017406                6.13     3.60
Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20    100.000    VARIES    2.8170              0.019926   0.020207   0.020491   0.020780  0.021073      7.31     7.51
Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20    100.000    VARIES    2.6793              0.021966   0.022260   0.022558   0.022861  0.023167      8.03     8.25
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UM65 01/20/12 03/28/16     99.500     0.000    4.2189              0.136031                                                11.83         
Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20    100.000    VARIES    2.6781              0.013767   0.013951   0.014138   0.014327  0.014519      5.04     5.17
Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17    100.000    VARIES    2.3458              0.014471   0.014640   0.014812   0.014986                5.28     3.69
Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20    100.000    VARIES    2.6543              0.023332   0.023642   0.023956   0.024274  0.024596      8.53     8.75
Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20    100.000    VARIES    2.6625              0.014956   0.015155   0.015357   0.015561  0.015769      5.46     5.61
Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17    100.000     0.000    4.0718              0.138347   0.141163   0.144037   0.146970               50.84    38.99
Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20    100.000    VARIES    2.7708              0.020016   0.020293   0.020574   0.020860  0.021149      7.31     7.52
Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17    100.000    VARIES    2.3116              0.019093   0.019313   0.019537   0.019762                6.96     5.12
Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17    100.000     2.000    3.7647              0.114637   0.115749   0.116882   0.118036               41.61    35.16
Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20    100.000    VARIES    2.0301              0.018633   0.018822   0.019013   0.019206  0.019401      6.77     6.90
Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20    100.000    VARIES    2.3763              0.023160   0.023435   0.023713   0.023995  0.024280      8.42     8.62
Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17    100.000    VARIES    1.9534              0.044094   0.044525   0.044960   0.045400                1.60     1.36
Goldman Sachs Group,Inc. 38143UP54 02/29/12 08/31/17    100.000     0.000    4.3504              0.138946   0.140426   0.145858   0.146601               51.98    35.43
Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17    100.000    VARIES    2.1778              0.013087   0.013229   0.013372   0.013519                4.75     4.23
Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16    100.000     0.000    3.4000              0.111787   0.113687                                     37.01         
Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17    100.000    VARIES    2.2520              0.012433   0.012573   0.012715   0.012858                4.51     4.21
Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16    100.000     0.000    3.5998              0.119525   0.121676                                     43.06         
Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20    100.000    VARIES    2.3885              0.023103   0.023379   0.023658   0.023940  0.024226      8.37     8.57
Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17    100.000     0.000    3.6501              0.119318   0.121496   0.123713                          44.01     3.59
Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18    100.000    VARIES    1.9815              0.017916   0.018093   0.018272   0.018453                6.54     6.67
Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16    100.000    VARIES    1.6251              0.008849                                                  .26         
Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17    100.000     0.000    4.0298              0.132483   0.133683   0.138637                          49.47     8.04
Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17    100.000     0.000    3.9998              0.132782   0.135437   0.138146                          48.77    12.30
Goldman Sachs Group,Inc. 38143US77 03/30/12 01/03/18    100.000     0.000    4.1997              0.133586   0.136391   0.139256   0.142180  0.145165     49.61    51.71
Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21    100.000    VARIES    5.2913              0.151831   0.151914   0.151732   0.151545  0.151161     54.66    54.53
Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16    100.000     1.000    3.6798              0.116003                                                 8.93         
Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16    100.000    VARIES    1.6343              0.008992                                                  .74         
Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16    100.000     0.000    3.6702              0.120117                                                10.45         
Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17    100.000     0.000    3.7497              0.123139   0.125448   0.127800                          45.03    15.34
Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21    100.000    VARIES    5.2207              0.148594   0.148531   0.148357   0.148178  0.147858     53.46    53.34
Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16    100.000    VARIES    1.6045              0.009165                                                 1.06         
Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21    100.000    VARIES    2.1672              0.015870   0.016042   0.016216   0.016392  0.016569      5.77     5.89
Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16    100.000     0.000    3.3748              0.108983                                                14.17         
Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17    100.000     0.000    3.9998              0.132782   0.135437   0.138146                          48.45    20.58
Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21    100.000     0.000    5.1298              0.174499   0.178975   0.183565   0.188274  0.193103     65.08    68.47
Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21    100.000    VARIES    2.2754              0.016469   0.016656   0.016846   0.017037  0.017231      5.97     6.11
Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17    100.000     0.000    3.7799              0.124269   0.126617   0.129010                          45.16    23.09
Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16    100.000     0.000    3.6198              0.118169                                                19.14         
Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17    100.000     0.000    4.0901              0.136320   0.139108   0.141953                          49.68    23.00
Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16    100.000    VARIES    2.0754              0.013071                                                 2.18         
Goldman Sachs Group,Inc. 38143UW23 06/29/12 06/30/17    100.000     0.000    4.0999              0.131285   0.133977   0.136723                          47.75    24.47
Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17    100.000     0.000    3.7994              0.119971   0.123593   0.124572   0.129043               45.28    27.09
Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17    100.000     0.000    3.7498              0.120479   0.122738   0.125039                          44.47     3.63
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UY47 06/18/12 06/18/17    100.000    VARIES    3.6370              0.011034   0.011235   0.011439                           4.01     1.91
Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17    100.000     0.000    5.4499              0.187770   0.192887   0.198143                          68.82    29.92
Goldman Sachs Group,Inc. 381470JN4 08/30/13 09/02/20    100.000     0.000    3.8497              0.115438   0.117660   0.119924   0.122233  0.124586     42.49    44.14
Goldman Sachs Group,Inc. 38147Q2D7 04/30/14 05/03/21    100.000     0.000    3.0001              0.087168   0.088475   0.089802   0.091149  0.092517     31.77    32.73
Goldman Sachs Group,Inc. 38147Q2G0 04/30/14 11/02/21    100.000     0.000    3.1299              0.091105   0.092531   0.093979   0.095449  0.096943     33.22    34.27
Goldman Sachs Group,Inc. 38147Q2H8 04/14/14 04/14/29    100.000    VARIES    4.5254              0.116691   0.113548   0.112749   0.111932  0.111096     41.14    40.32
Goldman Sachs Group,Inc. 38147Q2Z8 04/21/14 04/21/29    100.000    VARIES    4.5486              0.121612   0.119960   0.119370   0.118766  0.118148     43.33    42.78
Goldman Sachs Group,Inc. 38147Q4M5 05/30/14 12/02/21    100.000     0.000    2.9999              0.087154   0.088462   0.089788   0.091135  0.092502     31.69    32.64
Goldman Sachs Group,Inc. 38147Q5E2 12/13/13 12/13/28    100.000    VARIES    4.9490              0.124038   0.122314   0.120547   0.118736  0.116881     44.28    43.01
Goldman Sachs Group,Inc. 38147Q5K8 05/30/14 09/02/20    100.000     0.000    2.5499              0.073122   0.074055   0.074999   0.075955  0.076924     26.72    27.40
Goldman Sachs Group,Inc. 38147Q5M4 05/21/14 05/21/29    100.000    VARIES    4.4103              0.114901   0.112253   0.111881   0.111500  0.111111     40.77    40.18
Goldman Sachs Group,Inc. 38147Q5P7 05/16/14 05/16/17    100.000     0.000    1.5599              0.044353   0.044699   0.045048                          16.06     6.08
Goldman Sachs Group,Inc. 38147Q6D3 05/23/14 05/23/17    100.000     0.000    1.4896              0.042311   0.042626   0.042943                          15.31     6.10
Goldman Sachs Group,Inc. 38147Q6M3 05/28/14 05/28/19    100.000     0.000    2.3798              0.068495   0.069310   0.070134   0.070969  0.071813     24.86    25.45
Goldman Sachs Group,Inc. 38147Q6R2 06/02/14 06/02/17    100.000     0.000    1.6956              0.048310   0.048719   0.049132                          17.49     7.42
Goldman Sachs Group,Inc. 38147Q7D2 06/30/14 12/30/21    100.000     0.000    3.0000              0.087142   0.088450   0.089776   0.091123  0.092490     31.61    32.56
Goldman Sachs Group,Inc. 38147QA89 06/26/14 06/26/29    100.000    VARIES    4.3665              0.115169   0.113038   0.112736   0.112428  0.112113     41.06    40.53
Goldman Sachs Group,Inc. 38147QAH9 06/12/14 06/12/29    100.000    VARIES    4.2455              0.114951   0.113915   0.113648   0.113375  0.113096     41.17    40.85
Goldman Sachs Group,Inc. 38147QAK2 01/10/14 01/10/29    100.000    VARIES    4.9699              0.128471   0.125117   0.123464   0.121769  0.120033     44.79    43.56
Goldman Sachs Group,Inc. 38147QAS5 06/28/13 12/31/20    100.000     0.000    3.9899              0.122364   0.124805   0.127295   0.129834  0.132424     44.50    46.29
Goldman Sachs Group,Inc. 38147QB39 06/18/14 06/17/21    100.000     0.000    3.2499              0.094741   0.096281   0.097846   0.099436  0.101051     34.43    35.56
Goldman Sachs Group,Inc. 38147QB54 06/27/14 06/27/29    100.000    VARIES    4.0950              0.110893   0.109900   0.109633   0.109360  0.109081     39.74    39.42
Goldman Sachs Group,Inc. 38147QB96 06/27/14 06/27/17    100.000     0.000    1.6003              0.045529   0.045893   0.046260                          16.46     8.14
Goldman Sachs Group,Inc. 38147QBB1 01/31/14 02/03/21    100.000     0.000    3.2501              0.094782   0.096323   0.097888   0.099479  0.101095     34.86    36.00
Goldman Sachs Group,Inc. 38147QBC9 06/30/14 06/30/29    100.000    VARIES    4.3156              0.112950   0.110539   0.110260   0.109976  0.109685     40.23    39.64
Goldman Sachs Group,Inc. 38147QC20 10/25/13 10/25/28    100.000    VARIES    4.8589              0.123388   0.122470   0.121530   0.120567  0.119580     44.13    43.45
Goldman Sachs Group,Inc. 38147QC46 07/31/14 08/03/21    100.000     0.000    3.1496              0.090293   0.091715   0.093159   0.094626  0.096116     33.19    34.24
Goldman Sachs Group,Inc. 38147QCN4 06/19/13 06/19/28    100.000    VARIES    4.6926              0.120708   0.119324   0.119111   0.118893  0.118670     43.19    42.84
Goldman Sachs Group,Inc. 38147QDF0 01/23/14 01/23/29    100.000    VARIES    4.9793              0.129037   0.125789   0.125057   0.124307  0.123538     45.24    44.65
Goldman Sachs Group,Inc. 38147QDL7 08/18/14 08/18/29    100.000    VARIES    4.3046              0.114770   0.112290   0.109757   0.109443  0.109122     40.20    39.37
Goldman Sachs Group,Inc. 38147QDV5 08/29/14 09/01/21    100.000     0.000    3.0001              0.085870   0.087158   0.088465   0.089792  0.091139     31.46    32.41
Goldman Sachs Group,Inc. 38147QES1 07/31/13 08/03/20    100.000     0.000    3.9197              0.117711   0.120018   0.122370   0.124768  0.127214     43.48    45.20
Goldman Sachs Group,Inc. 38147QEX0 01/24/14 01/24/29    100.000    VARIES    4.8384              0.124602   0.121177   0.119771   0.118332  0.116857     43.48    42.40
Goldman Sachs Group,Inc. 38147QFG6 09/15/14 09/15/29    100.000    VARIES    4.2975              0.115798   0.113951   0.112064   0.111840  0.111612     40.96    40.25
Goldman Sachs Group,Inc. 38147QFL5 09/30/14 09/30/21    100.000     0.000    3.0001              0.085857   0.087145   0.088452   0.089779  0.091126     31.38    32.32
Goldman Sachs Group,Inc. 38147QFR2 06/04/14 06/04/29    100.000    VARIES    3.8461              0.104217   0.103310   0.103039   0.102762  0.102481     37.32    37.03
Goldman Sachs Group,Inc. 38147QGA8 07/22/13 07/22/28    100.000    VARIES    4.9006              0.127207   0.125509   0.123769   0.123588  0.123402     44.94    44.47
Goldman Sachs Group,Inc. 38147QGP5 02/05/14 02/05/29    100.000    VARIES    4.7103              0.122331   0.119358   0.118695   0.118017  0.117322     42.97    42.41
Goldman Sachs Group,Inc. 38147QGV2 09/23/14 12/19/19    100.000     0.000    2.8658              0.082467   0.083649   0.084847   0.086063  0.087296     29.93    30.79
Goldman Sachs Group,Inc. 38147QH58 10/10/14 02/10/22    100.000     0.000    3.4943              0.099913   0.101659   0.103435   0.105242  0.107081     36.78    38.08
Goldman Sachs Group,Inc. 38147QH74 10/10/14 02/10/22    100.000     0.000    3.4943              0.099913   0.101659   0.103435   0.105242  0.107081     36.78    38.08
Goldman Sachs Group,Inc. 38147QHH2 10/08/14 02/06/20    100.000     0.000    2.7915              0.079345   0.080453   0.081576   0.082714  0.083869     29.09    29.90
Goldman Sachs Group,Inc. 38147QHL3 09/30/14 09/30/29    100.000    VARIES    4.2677              0.115168   0.113423   0.111642   0.111517  0.111390     40.83    40.15
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38147QHS8 08/02/13 08/02/28    100.000    VARIES    4.8903              0.126797   0.125037   0.123235   0.123079  0.122920     44.80    44.29
Goldman Sachs Group,Inc. 38147QHT6 02/28/14 03/03/21    100.000     0.000    3.0000              0.087164   0.088471   0.089799   0.091146  0.092513     31.93    32.89
Goldman Sachs Group,Inc. 38147QHU3 10/30/14 11/01/21    100.000     2.000    3.0160              0.084640   0.085078   0.085524   0.085976  0.086434     30.60    30.92
Goldman Sachs Group,Inc. 38147QHX7 02/28/14 08/31/21    100.000     0.000    3.1499              0.090692   0.091119   0.094088   0.094012  0.097075     33.69    34.70
Goldman Sachs Group,Inc. 38147QHY5 10/30/14 11/01/21    100.000     0.000    3.0011              0.085895   0.087183   0.088492   0.089820  0.091167     31.31    32.26
Goldman Sachs Group,Inc. 38147QJU1 10/16/14 10/16/29    100.000    VARIES    3.7998              0.101583   0.099542   0.097462   0.097385  0.097305     35.89    35.06
Goldman Sachs Group,Inc. 38147QJW7 08/12/13 08/10/18    100.000     0.000    2.6999              0.079119   0.080187   0.081269   0.082366  0.083478     28.98    29.77
Goldman Sachs Group,Inc. 38147QK21 11/13/13 11/13/28    100.000    VARIES    4.9003              0.124205   0.123181   0.122132   0.121058  0.119957     44.43    43.67
Goldman Sachs Group,Inc. 38147QLJ3 08/15/13 08/15/28    100.000    VARIES    4.8879              0.125541   0.123166   0.120732   0.120216  0.119687     44.11    43.23
Goldman Sachs Group,Inc. 38147QLV6 11/28/14 05/27/22    100.000     0.000    3.1502              0.090279   0.091701   0.093145   0.094613  0.096103     32.85    33.90
Goldman Sachs Group,Inc. 38147QLX2 02/19/14 02/19/21    100.000     0.000    3.4636              0.101298   0.103052   0.104836   0.106652  0.108499     37.25    38.55
Goldman Sachs Group,Inc. 38147QM60 11/29/13 12/01/20    100.000     0.000    3.0003              0.088472   0.089800   0.091147   0.092514  0.093902     32.17    33.14
Goldman Sachs Group,Inc. 38147QM78 11/21/14 11/21/29    100.000    VARIES    3.9468              0.105737   0.103731   0.101685   0.101578  0.101469     37.54    36.58
Goldman Sachs Group,Inc. 38147QMB9 02/24/14 02/24/29    100.000    VARIES    4.6770              0.121440   0.118481   0.117267   0.116024  0.114752     42.66    41.67
Goldman Sachs Group,Inc. 38147QMC7 11/26/14 05/26/22    100.000     0.000    3.1498              0.090274   0.091696   0.093140   0.094607  0.096097     32.86    33.90
Goldman Sachs Group,Inc. 38147QME3 08/12/13 08/12/20    100.000     0.000    3.9699              0.119296   0.121664   0.124079   0.126542  0.129054     44.04    45.80
Goldman Sachs Group,Inc. 38147QMF0 02/13/14 02/16/21    100.000     0.000    3.4814              0.101875   0.103648   0.105453   0.107288  0.109156     37.48    38.79
Goldman Sachs Group,Inc. 38147QMJ2 08/15/13 08/15/28    100.000    VARIES    4.8903              0.126899   0.125191   0.123442   0.123154  0.122860     44.91    44.31
Goldman Sachs Group,Inc. 38147QNU6 12/30/14 06/29/22    100.000     0.000    2.9499              0.084373   0.085617   0.086880   0.088162  0.089462     30.60    31.51
Goldman Sachs Group,Inc. 38147QNV4 12/10/14 12/10/18    100.000     0.000    2.2404              0.063636   0.064349   0.065070   0.065798  0.066536     23.07    23.59
Goldman Sachs Group,Inc. 38147QNY8 12/29/14 06/28/22    100.000     0.000    2.9498              0.084370   0.085614   0.086877   0.088158  0.089458     30.60    31.51
Goldman Sachs Group,Inc. 38147QNZ5 11/28/14 11/29/19    100.000     1.000    2.5067              0.070691   0.071229   0.071774   0.072325  0.072883     25.58    25.97
Goldman Sachs Group,Inc. 38147QPN0 08/30/13 08/30/23    100.000    VARIES    4.5507              0.125925   0.126222   0.127220   0.126594  0.127360     46.30    46.34
Goldman Sachs Group,Inc. 38147QQ25 11/13/13 11/13/23    100.000    VARIES    4.2198              0.109050   0.108675   0.108293   0.107902  0.107503     39.15    38.88
Goldman Sachs Group,Inc. 38147QQJ8 09/05/13 09/05/28    100.000    VARIES    5.0554              0.128426   0.125845   0.123200   0.122787  0.122363     45.16    44.18
Goldman Sachs Group,Inc. 38147QQM1 01/30/15 08/01/22    100.000     0.000    2.4699              0.069461   0.070319   0.071187   0.072066  0.072956     25.42    26.05
Goldman Sachs Group,Inc. 38147QQQ2 12/31/14 12/29/17    100.000     0.000    2.1580              0.061243   0.061904   0.062572   0.063247               22.17    22.52
Goldman Sachs Group,Inc. 38147QQR0 01/30/15 08/01/22    100.000     0.000    2.5000              0.070320   0.071199   0.072089   0.072990  0.073902     25.74    26.39
Goldman Sachs Group,Inc. 38147QQV1 01/29/15 07/29/22    100.000     0.000    2.4698              0.069454   0.070312   0.071180   0.072059  0.072949     25.42    26.05
Goldman Sachs Group,Inc. 38147QRT5 03/12/14 03/12/29    100.000    VARIES    4.6443              0.125456   0.124216   0.123694   0.123160  0.122613     44.75    44.32
Goldman Sachs Group,Inc. 38147QS31 01/30/15 01/30/30    100.000    VARIES    3.6879              0.100234   0.097984   0.098000   0.098015  0.098031     35.34    35.29
Goldman Sachs Group,Inc. 38147QSE7 09/30/13 10/01/20    100.000     0.000    3.6699              0.109647   0.111659   0.113708   0.115794  0.117919     40.20    41.69
Goldman Sachs Group,Inc. 38147QST4 03/19/14 03/19/29    100.000    VARIES    4.6202              0.120114   0.117244   0.116656   0.116055  0.115439     42.37    41.76
Goldman Sachs Group,Inc. 38147QT89 02/27/15 02/28/23    100.000     0.000    2.9998              0.083658   0.083990   0.086662   0.086528  0.089282     31.05    31.93
Goldman Sachs Group,Inc. 38147QT97 02/26/15 02/28/23    100.000     0.000    3.0001              0.083672   0.084004   0.086677   0.086543  0.089297     31.05    31.93
Goldman Sachs Group,Inc. 38147QTP1 03/31/14 09/30/21    100.000     0.000    3.1500              0.091703   0.093147   0.094614   0.096104  0.097618     33.54    34.60
Goldman Sachs Group,Inc. 38147QTT3 03/31/14 04/01/21    100.000     0.000    2.9997              0.087141   0.088448   0.089774   0.091121  0.092487     31.84    32.81
Goldman Sachs Group,Inc. 38147QTV8 02/27/15 08/29/22    100.000     0.000    2.9999              0.082750   0.084914   0.085717   0.087481  0.088308     31.05    31.93
Goldman Sachs Group,Inc. 38147QTX4 03/21/14 03/21/29    100.000    VARIES    4.6241              0.117849   0.114151   0.113601   0.113039  0.112463     41.34    40.68
Goldman Sachs Group,Inc. 38147QU79 02/17/15 02/17/30    100.000    VARIES    3.4968              0.096416   0.095684   0.094938   0.094180  0.094074     34.38    33.93
Goldman Sachs Group,Inc. 38147QUR5 02/27/15 02/27/30    100.000    VARIES    3.6523              0.098995   0.096491   0.096479   0.096466  0.096454     34.88    34.73
Goldman Sachs Group,Inc. 38147QUW4 09/20/13 09/20/28    100.000    VARIES    5.0883              0.131962   0.129719   0.127419   0.126947  0.126462     46.64    45.69
Goldman Sachs Group,Inc. 38147QV45 02/27/15 02/27/30    100.000    VARIES    3.4810              0.094028   0.091313   0.091185   0.091054  0.090921     33.01    32.77
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38147QV78 03/30/15 03/30/23    100.000     0.000    2.8001              0.078870   0.079974   0.081094   0.082229  0.083380     28.79    29.61
Goldman Sachs Group,Inc. 38147QV86 02/27/15 02/28/25    100.000     0.000    2.9501              0.082249   0.082555   0.085162   0.085009  0.087692     30.52    31.37
Goldman Sachs Group,Inc. 38147QV94 03/27/15 03/27/23    100.000     0.000    3.1001              0.087450   0.088806   0.090182   0.091580  0.093000     31.98    32.98
Goldman Sachs Group,Inc. 38147QVJ2 09/27/13 09/27/19    100.000     0.000    3.0000              0.088448   0.089775   0.091121   0.092488  0.093875     32.33    33.31
Goldman Sachs Group,Inc. 38147QVM5 03/31/15 09/29/22    100.000     0.000    2.8501              0.080292   0.081436   0.082596   0.083774  0.084967     29.32    30.16
Goldman Sachs Group,Inc. 38147QVU7 03/12/15 03/12/21    100.000     0.000    2.7498              0.077436   0.078501   0.079580   0.080674  0.081783     28.30    29.09
Goldman Sachs Group,Inc. 38147QW77 03/31/15 04/01/21    100.000     0.000    2.1497              0.060362   0.061010   0.061666   0.062329  0.062999     21.96    22.44
Goldman Sachs Group,Inc. 38147QWX0 03/31/14 03/31/29    100.000    VARIES    4.5514              0.118949   0.116342   0.116035   0.115721  0.115400     42.09    41.66
Goldman Sachs Group,Inc. 38147QXA9 10/31/13 11/03/20    100.000     0.000    3.3502              0.098391   0.098951   0.102277   0.102294  0.105732     36.34    37.54
Goldman Sachs Group,Inc. 38147QXD3 04/24/15 04/24/23    100.000     0.000    3.0000              0.084585   0.085853   0.087141   0.088448  0.089775     30.85    31.78
Goldman Sachs Group,Inc. 38147QXF8 03/31/14 03/31/29    100.000    VARIES    4.5507              0.117508   0.114405   0.113627   0.112831  0.112017     41.39    40.62
Goldman Sachs Group,Inc. 38147QXK7 03/28/14 06/30/20    100.000     0.000    2.7498              0.080140   0.081242   0.082359   0.083491  0.084639     29.05    29.86
Goldman Sachs Group,Inc. 38147QXQ4 03/27/15 09/27/22    100.000     0.000    2.9998              0.084580   0.085848   0.087136   0.088443  0.089769     30.92    31.85
Goldman Sachs Group,Inc. 38147QXX9 03/31/15 03/31/25    100.000    VARIES    3.3914              0.094156   0.094104   0.094051   0.093997  0.093942     33.88    33.84
Goldman Sachs Group,Inc. 38147QXY7 04/30/15 05/02/23    100.000     0.000    2.5998              0.073168   0.074119   0.075083   0.076059  0.077048     26.62    27.32
Goldman Sachs Group,Inc. 38147QY34 04/30/15 11/02/22    100.000     0.000    2.9999              0.084597   0.085866   0.087154   0.088462  0.089788     30.83    31.77
Goldman Sachs Group,Inc. 38147QY59 04/03/15 04/03/20    100.000    VARIES    2.4873              0.069261   0.069431   0.069511   0.069592  0.069576     24.99    25.04
Goldman Sachs Group,Inc. 38147QYN0 10/17/13 10/17/23    100.000    VARIES    3.9815              0.111614   0.111921   0.112234   0.112369  0.112506     40.28    40.45
Goldman Sachs Group,Inc. 38147QYV2 05/08/15 05/08/23    100.000     0.000    2.9999              0.084582   0.085850   0.087138   0.088445  0.089772     30.81    31.74
Goldman Sachs Group,Inc. 38147QZ25 12/31/13 12/31/20    100.000     0.000    3.1011              0.091613   0.093033   0.094476   0.095941  0.097429     33.24    34.28
Goldman Sachs Group,Inc. 38147QZQ2 06/01/15 05/30/23    100.000     0.000    3.1501              0.088876   0.090276   0.091698   0.093142  0.094609     32.33    33.36
Goldman Sachs Group,Inc. 38147QZR0 04/30/15 04/30/30    100.000    VARIES    3.7833              0.010694   0.010464   0.010520   0.010231  0.010278      3.86     3.77
Goldman Sachs Group,Inc. 38148T2C2 05/29/15 06/01/23    100.000     0.000    3.2499              0.091760   0.093251   0.094766   0.096306  0.097871     33.39    34.49
Goldman Sachs Group,Inc. 38148T2E8 05/07/15 05/07/25    100.000    VARIES    3.7599              0.014430   0.014702   0.014978   0.015259  0.015546      5.27     5.47
Goldman Sachs Group,Inc. 38148T2H1 05/29/15 12/01/22    100.000     0.000    3.1002              0.087467   0.088823   0.090200   0.091598  0.093018     31.81    32.81
Goldman Sachs Group,Inc. 38148T2V0 05/11/15 05/11/30    100.000    VARIES    3.7442              0.102759   0.101487   0.100190   0.098870  0.098403     36.64    35.74
Goldman Sachs Group,Inc. 38148T3L1 05/29/15 05/30/25    100.000     0.000    3.4999              0.098932   0.100663   0.102425   0.104217  0.106041     36.04    37.31
Goldman Sachs Group,Inc. 38148T3N7 06/10/15 06/10/25    100.000    VARIES    3.9249              0.012036   0.012273   0.012514   0.012759  0.012909      4.39     4.56
Goldman Sachs Group,Inc. 38148T3V9 06/30/15 06/29/23    100.000     0.000    3.3498              0.094600   0.096185   0.097796   0.099434  0.101099     34.35    35.51
Goldman Sachs Group,Inc. 38148T3Z0 06/05/15 06/05/20    100.000     0.000    2.3999              0.067466   0.068275   0.069095   0.069924  0.070763     24.48    25.07
Goldman Sachs Group,Inc. 38148T4E6 06/30/15 12/30/22    100.000     0.000    3.2498              0.091739   0.093230   0.094745   0.096285  0.097849     33.30    34.39
Goldman Sachs Group,Inc. 38148T4F3 06/26/15 06/26/23    100.000     0.000    3.2499              0.091744   0.093235   0.094750   0.096290  0.097854     33.31    34.40
Goldman Sachs Group,Inc. 38148T4Y2 06/15/15 06/15/25    100.000    VARIES    4.3491              0.119207   0.117571   0.117158   0.116736  0.116801     42.59    42.10
Goldman Sachs Group,Inc. 38148T5T2 07/07/15 07/07/23    100.000     0.000    3.3501              0.093059   0.094618   0.096202   0.097814  0.099452     34.33    35.49
Goldman Sachs Group,Inc. 38148T5U9 07/07/15 07/08/25    100.000     0.000    3.6499              0.101398   0.103248   0.105133   0.107051  0.109005     37.48    38.86
Goldman Sachs Group,Inc. 38148T6A2 06/26/15 06/28/18    100.000     0.000    2.2506              0.063228   0.063940   0.064659   0.065387  0.066123     22.89    23.41
Goldman Sachs Group,Inc. 38148T6B0 06/26/15 06/27/19    100.000     0.000    2.5500              0.071743   0.072658   0.073584   0.074522  0.075472     26.00    26.67
Goldman Sachs Group,Inc. 38148T6Q7 07/31/15 01/31/23    100.000     0.000    3.2500              0.090279   0.091746   0.093236   0.094752  0.096291     33.21    34.30
Goldman Sachs Group,Inc. 38148T6S3 07/31/15 02/02/23    100.000     0.000    3.2488              0.090262   0.091729   0.093219   0.094733  0.096272     33.20    34.29
Goldman Sachs Group,Inc. 38148T7B9 07/30/15 08/01/23    100.000     0.000    3.3498              0.093059   0.094618   0.096202   0.097814  0.099452     34.25    35.41
Goldman Sachs Group,Inc. 38148T7C7 07/31/15 02/02/23    100.000     0.000    3.2488              0.090262   0.091729   0.093219   0.094733  0.096272     33.20    34.29
Goldman Sachs Group,Inc. 38148TA58 07/31/15 07/31/20    100.000     0.000    2.5001              0.069449   0.070317   0.071196   0.072086  0.072987     25.42    26.06
Goldman Sachs Group,Inc. 38148TAE9 07/31/15 07/31/25    100.000     0.000    3.7000              0.102778   0.104680   0.106616   0.108589  0.110597     37.92    39.34
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38148TAG4 07/22/15 07/21/22    100.000     0.000    3.1499              0.087499   0.088870   0.090269   0.091691  0.093135     32.19    33.21
Goldman Sachs Group,Inc. 38148TAK5 07/29/15 07/29/27    100.000    VARIES    3.9238              0.010189   0.010148   0.010105   0.010062  0.010018      3.65     3.62
Goldman Sachs Group,Inc. 38148TAY5 08/04/15 08/04/21    100.000     0.000    2.8500              0.079167   0.080295   0.081439   0.082600  0.083777     29.04    29.87
Goldman Sachs Group,Inc. 38148TB57 08/31/15 03/02/23    100.000     0.000    3.1988              0.088872   0.090293   0.091737   0.093204  0.094695     32.59    33.64
Goldman Sachs Group,Inc. 38148TB65 08/31/15 08/29/25    100.000     0.000    3.5990              0.099973   0.101762   0.104172   0.105457  0.107955     36.82    38.19
Goldman Sachs Group,Inc. 38148TB73 08/31/15 03/02/23    100.000     0.000    3.1988              0.088872   0.090293   0.091737   0.093204  0.094695     32.59    33.64
Goldman Sachs Group,Inc. 38148TB81 08/28/15 08/30/23    100.000     0.000    3.3013              0.090218   0.091707   0.093733   0.094759  0.096853     33.73    34.79
Goldman Sachs Group,Inc. 38148TBA6 08/28/15 02/28/23    100.000     0.000    3.1965              0.087839   0.088273   0.091170   0.091117  0.094108     32.64    33.63
Goldman Sachs Group,Inc. 38148TBN8 08/26/15 08/26/25    100.000    VARIES    3.9131              0.008003   0.008160   0.008320   0.008483  0.008648      2.95     3.07
Goldman Sachs Group,Inc. 38148TCH0 09/02/15 09/03/25    100.000     2.000    3.6170              0.100478   0.101290   0.102117   0.102959  0.103817     36.51    37.11
Goldman Sachs Group,Inc. 38148TCK3 09/30/15 10/11/22*   100.000     0.000    3.0986              0.086155   0.087490                                     24.36*        
Goldman Sachs Group,Inc. 38148TD63 09/25/15 09/25/23    100.000     0.000    3.2498              0.090274   0.091741   0.093232   0.094747  0.096287     33.05    34.13
Goldman Sachs Group,Inc. 38148TD89 09/30/15 07/03/23    100.000     0.000    3.2489              0.090249   0.091007   0.092485   0.093988  0.095515     33.02    34.10
Goldman Sachs Group,Inc. 38148TD97 09/30/15 09/28/23    100.000     0.000    3.2992              0.091644   0.093139   0.094676   0.096238  0.097825     33.54    34.66
Goldman Sachs Group,Inc. 38148TDA4 09/30/15 09/30/25    100.000     0.000    3.6000              0.100002   0.101803   0.103635   0.105501  0.107400     36.66    37.99
Goldman Sachs Group,Inc. 38148TDB2 09/29/15 09/28/23    100.000     0.000    3.3000              0.091667   0.093171   0.094708   0.096271  0.097860     33.55    34.67
Goldman Sachs Group,Inc. 38148TDE6 09/08/15 09/07/22    100.000     0.000    3.0999              0.086110   0.087438   0.088793   0.090169  0.091567     31.54    32.53
Goldman Sachs Group,Inc. 38148TEP0 09/30/15 09/30/25    100.000    VARIES    3.7871              0.009366   0.009544   0.009724   0.009909  0.010096      3.44     3.57
Goldman Sachs Group,Inc. 38148TF46 09/24/15 09/24/22    100.000     0.500    3.2798              0.091108   0.092375   0.093662   0.094970  0.096300     33.27    34.21
Goldman Sachs Group,Inc. 38148TFK0 10/30/15 10/30/23    100.000     0.000    3.1501              0.087505   0.088883   0.090283   0.091705  0.093150     31.92    32.93
Goldman Sachs Group,Inc. 38148TFN4 10/30/15 11/01/23    100.000     0.000    3.1490              0.087482   0.088859   0.090258   0.091680  0.093123     31.91    32.92
Goldman Sachs Group,Inc. 38148TFP9 10/30/15 10/30/25    100.000     0.000    3.4498              0.095829   0.097482   0.099163   0.100874  0.102614     35.00    36.22
Goldman Sachs Group,Inc. 38148TFQ7 10/30/15 11/10/22*   100.000     0.000    9.4859              0.264193   0.276724                                     83.89*        
Goldman Sachs Group,Inc. 38148TFV6 10/29/15 10/31/23    100.000     0.000    3.1500              0.087516   0.088895   0.090295   0.091717  0.093162     31.92    32.94
Goldman Sachs Group,Inc. 38148TGL7 10/30/15 10/30/25    100.000    VARIES    3.6654              0.007981   0.008040   0.008099   0.008160  0.008222      2.89     2.93
Goldman Sachs Group,Inc. 38148TGM5 10/22/15 10/22/27    100.000    VARIES    3.9046              0.013658   0.013471   0.013280   0.013085  0.012887      4.86     4.72
Goldman Sachs Group,Inc. 38148TGT0 11/30/15 11/28/25    100.000     0.000    3.4490              0.095806   0.097440   0.099120   0.100829  0.102568     34.89    36.10
Goldman Sachs Group,Inc. 38148TGU7 11/30/15 12/09/22    100.000     0.000    2.9488              0.081972   0.083181   0.084407   0.085652  0.086914     29.78    30.67
Goldman Sachs Group,Inc. 38148TGX1 11/10/15 11/10/26    100.000    VARIES    3.8760              0.010556   0.010544   0.010530   0.010517  0.010503      3.80     3.79
Goldman Sachs Group,Inc. 38148TGZ6 11/27/15 11/29/23    100.000     0.000    3.1499              0.087514   0.088892   0.090292   0.091714  0.093158     31.84    32.85
Goldman Sachs Group,Inc. 38148TH44 11/30/15 11/28/23    100.000     0.000    3.1488              0.087467   0.088829   0.090227   0.091648  0.093091     31.82    32.83
Goldman Sachs Group,Inc. 38148THG7 11/10/15 11/10/21    100.000     1.750    2.8620              0.079500   0.079942   0.080390   0.080845  0.081306     28.74    29.07
Goldman Sachs Group,Inc. 38148THX0 11/18/15 11/18/25    100.000    VARIES    3.7094              0.007124   0.007232   0.007342   0.007454  0.007568      2.59     2.67
Goldman Sachs Group,Inc. 38148TJ26 11/30/15 11/29/23    100.000     0.000    3.1488              0.087469   0.088839   0.090238   0.091658  0.093102     31.82    32.83
Goldman Sachs Group,Inc. 38148TJ59 11/27/15 11/27/30    100.000    VARIES    3.8941              0.108170   0.106952   0.105710   0.104444  0.103154     38.64    37.74
Goldman Sachs Group,Inc. 38148TJN0 12/31/15 07/03/24    100.000     0.000    3.2988              0.091634   0.091660   0.093172   0.094708  0.096270     33.27    34.37
Goldman Sachs Group,Inc. 38148TJP5 12/31/15 01/02/26    100.000     0.000    3.4990              0.097196   0.097215   0.098915   0.100646  0.102407     35.30    36.55
Goldman Sachs Group,Inc. 38148TJT7 12/31/15 01/12/23    100.000     0.000    2.7989              0.077749   0.077821   0.078910   0.080015  0.081134     28.20    28.98
Goldman Sachs Group,Inc. 38148TJU4 12/29/15 12/29/23    100.000     0.000    3.0000              0.083335   0.084585   0.085853   0.087141  0.088448     30.23    31.14
Goldman Sachs Group,Inc. 38148TJY6 12/28/15 12/26/23    100.000     0.000    3.1999              0.088888   0.090295   0.091739   0.093207  0.094699     32.27    33.31
Goldman Sachs Group,Inc. 38148TKG3 12/31/15 12/31/30    100.000    VARIES    3.9931              0.110922   0.109645   0.108342   0.107014  0.105659     39.70    38.76
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38148TLJ6 02/16/16 02/16/26    100.000    VARIES    3.7569                         0.018278   0.018151   0.018022  0.017890      5.74     6.48
Great Plains Energy,Inc. 391164AF7 03/22/12 06/15/22    103.480     5.292    4.8564              0.135878   0.135667   0.136194   0.135228  0.135743     49.70    49.53
Greene & Scott CUNTS, IL 394290CD0 06/01/16 12/01/18    104.620    VARIES    1.8303                         0.053191   0.053677   0.054169  0.051805     11.18    19.36
Greene & Scott CUNTS, IL 394290CE8 06/01/16 12/01/19    107.218    VARIES    N/A                            0.062000   0.062645   0.063297  0.060270     13.04    22.60
Grundy Counties, IL      400186AF9 06/30/16 12/01/17    100.000     0.000    1.9323                         0.053676   0.054111   0.054634                9.73    17.95
Grundy Counties, IL      400186AG7 06/30/16 12/01/18    100.000    VARIES    2.2360                         0.062112   0.062694   0.063395  0.062120     11.26    22.68
Grundy CNTY SD #72-C, IL 400292BE7 11/01/12 12/01/16    106.789    VARIES    2.2434              0.063393   0.062858                                     20.82         
Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17    107.117    VARIES    2.4939              0.071298   0.070802   0.070299   0.069790               25.55    23.11
Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18    108.347    VARIES    2.7441              0.079510   0.078981   0.078445   0.077901  0.077350     28.50    28.11
Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19    107.921    VARIES    2.9942              0.087083   0.086619   0.086149   0.085671  0.085186     31.24    30.90
GS Finance Corp.         40054CAB0 12/31/15 01/03/23    100.000     0.000    2.7988              0.077745   0.077764   0.078852   0.079955  0.081074     28.19    28.98
GS Finance Corp.         40054CAD6 01/29/16 07/31/24    100.000     0.000    3.3497              0.093049   0.093067   0.094625   0.096210  0.097822     31.23    34.83
GS Finance Corp.         40054CAE4 01/29/16 01/29/26    100.000     0.000    3.6000                         0.100002   0.101803   0.103635  0.105501     33.47    37.54
GS Finance Corp.         40054CAF1 01/29/16 01/29/24    100.000     0.000    3.0501                         0.084726   0.086018   0.087330  0.088662     28.33    31.60
GS Finance Corp.         40054CAH7 01/29/16 02/09/23    100.000     0.000    3.1497              0.087494   0.087571   0.088950   0.090351  0.091774     29.27    32.68
GS Finance Corp.         40054CAM6 01/28/16 07/28/23    100.000     0.000    2.9499                         0.081944   0.083153   0.084379  0.085624     27.47    30.53
GS Finance Corp.         40054CBT0 02/18/16 02/17/22    100.000     0.000    2.8500                         0.079168   0.080290   0.081434  0.082594     24.93    29.42
GS Finance Corp.         40054CBU7 02/26/16 02/28/23    100.000     0.000    2.7499              0.075549   0.074745   0.077028   0.076814  0.079161     23.45    28.34
GS Finance Corp.         40054CCA0 02/29/16 03/10/23    100.000     0.000    3.0996              0.086103   0.086177   0.087513   0.088869  0.090246     26.09    32.05
GS Finance Corp.         40054CCB8 02/29/16 02/29/24    100.000     0.000    3.3000                         0.089675   0.092666   0.092659  0.095749     27.90    34.20
GS Finance Corp.         40054K2A3 02/29/16 02/27/26    100.000     0.000    3.6001                         0.100005   0.101775   0.103607  0.105472     30.32    37.43
GS Finance Corp.         40054K2B1 02/29/16 03/01/22    100.000     0.000    2.8997              0.079665   0.078805   0.081273   0.081107  0.083647     24.50    29.92
GS Finance Corp.         40054K2C9 02/29/16 08/29/19    100.000     0.000    2.2479                         0.061756   0.062109   0.063152  0.063513     19.00    23.03
GS Finance Corp.         40054K2H8 02/26/16 08/28/23    100.000     0.000    3.1999              0.088888   0.088904   0.090327   0.091772  0.093240     27.29    33.14
GS Finance Corp.         40054K2W5 02/29/16 02/28/31    100.000    VARIES    3.9927                         0.108500   0.109096   0.106110  0.106618     33.38    38.97
GS Finance Corp.         40054K3B0 02/12/16 02/12/31    100.000    VARIES    4.0931                         0.113700   0.112341   0.110954  0.109538     36.08    39.80
GS Finance Corp.         40054K7D2 04/29/16 05/01/23    100.000     0.000    2.8501              0.079171   0.079183   0.080312   0.081456  0.082617     19.23    29.26
GS Finance Corp.         40054K7G5 04/29/16 07/30/20    100.000     0.000    2.1997                         0.061103   0.061443   0.062119  0.062802     14.84    22.45
GS Finance Corp.         40054K7H3 04/29/16 04/29/22    100.000     0.000    2.5999                         0.072222   0.073160   0.074112  0.075075     17.54    26.63
GS Finance Corp.         40054K7J9 04/29/16 05/01/24    100.000     0.000    3.0000              0.083334   0.083348   0.084598   0.085867  0.087155     20.25    30.84
GS Finance Corp.         40054K7K6 04/29/16 04/30/26    100.000     0.000    3.2998              0.091663   0.091672   0.093185   0.094722  0.096285     22.28    34.01
GS Finance Corp.         40054K7L4 04/28/16 04/30/24    100.000     0.000    3.0000              0.083334   0.083348   0.084598   0.085867  0.087155     20.33    30.84
GS Finance Corp.         40054KA89 04/29/16 05/10/23    100.000     0.000    2.8500              0.079168   0.079237   0.080366   0.081511  0.082673     19.23    29.26
GS Finance Corp.         40054KAB2 04/29/16 04/27/23    100.000     1.250    2.8316                         0.078656   0.079271   0.079902  0.080542     19.07    28.73
GS Finance Corp.         40054KAE6 04/28/16 01/28/22    100.000     0.000    2.5498                         0.070829   0.071281   0.072189  0.073110     17.28    26.10
GS Finance Corp.         40054KAG1 04/29/16 04/30/20    100.000     0.000    2.1495              0.059708   0.059712   0.060354   0.061002  0.061658     14.49    21.92
GS Finance Corp.         40054KB21 04/28/16 04/28/26    100.000    VARIES    3.2493                         0.090261   0.089574   0.088876  0.088550     21.89    32.06
GS Finance Corp.         40054KB62 05/31/16 05/31/23    100.000     0.000    2.8999                         0.080553   0.081721   0.082906  0.084108     17.03    29.71
GS Finance Corp.         40054KB70 05/31/16 05/28/21    100.000     0.000    2.4002                         0.066675   0.067466   0.068276  0.069095     14.09    24.49
GS Finance Corp.         40054KBA3 05/27/16 05/30/24    100.000     0.000    2.8997              0.080548   0.080568   0.081736   0.082921  0.084124     17.28    29.71
GS Finance Corp.         40054KBP0 05/27/16 05/30/23    100.000     0.000    2.8997              0.079664   0.078817   0.081285   0.081119  0.083659     17.34    29.71
GS Finance Corp.         40054KBQ8 05/31/16 12/01/20    100.000     0.000    2.2999              0.063887   0.063892   0.064627   0.065370  0.066122     13.50    23.44
GS Finance Corp.         40054KBR6 05/31/16 08/30/22    100.000     0.000    N/A                            0.074236   0.073914   0.076154  0.075925     15.92    27.64
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KBS4 05/31/16 05/31/24    100.000     0.000    3.0499                         0.084721   0.086013   0.087324  0.088656     17.92    31.28
GS Finance Corp.         40054KBT2 05/31/16 05/29/26    100.000     0.000    3.2988                         0.091636   0.093139   0.094675  0.096237     19.38    33.91
GS Finance Corp.         40054KBV7 05/31/16 06/09/23    100.000     0.000    2.9001              0.080561   0.080619   0.081788   0.082974  0.084177     17.04    29.71
GS Finance Corp.         40054KBW5 05/31/16 05/29/23    100.000     1.250    2.9087                         0.080799   0.081466   0.082145  0.082835     17.07    29.49
GS Finance Corp.         40054KCL8 05/19/16 05/19/31    100.000    VARIES    3.5943                         0.099844   0.098771   0.097678  0.096565     22.12    35.27
GS Finance Corp.         40054KD29 06/29/16 06/27/24    100.000     0.000    2.7999                         0.077776   0.078852   0.079956  0.081076     14.16    28.59
GS Finance Corp.         40054KD78 06/02/16 06/01/20    100.000     0.000    2.2000                         0.061113   0.061781   0.062461  0.063148     12.79    22.40
GS Finance Corp.         40054KD86 06/24/16 06/26/23    100.000     0.000    2.6498              0.073607   0.073618   0.074594   0.075582  0.076583     13.77    27.04
GS Finance Corp.         40054KD94 06/30/16 09/30/22    100.000     0.000    2.4487                         0.068021   0.068438   0.069276  0.070124     12.35    24.94
GS Finance Corp.         40054KDA1 06/03/16 06/05/23    100.000     0.000    3.0002              0.083339   0.083353   0.084604   0.085873  0.087161     17.37    30.75
GS Finance Corp.         40054KDD5 06/30/16 12/31/20    100.000     0.000    1.9908                         0.055302   0.055852   0.056408  0.056970     10.01    20.21
GS Finance Corp.         40054KDE3 06/30/16 07/02/24    100.000     0.000    2.7498                         0.076386   0.076398   0.077448  0.078513     13.83    28.07
GS Finance Corp.         40054KDF0 06/30/16 07/02/26    100.000     0.000    3.0000                         0.083333   0.083347   0.084598  0.085867     15.09    30.68
GS Finance Corp.         40054KDJ2 06/30/16 06/28/23    100.000     1.250    2.6030                         0.072307   0.072791   0.073286  0.073788     13.09    26.30
GS Finance Corp.         40054KDK9 06/30/16 07/01/21    100.000     0.000    2.1387              0.058758   0.058122   0.059718   0.059372               10.75    21.73
GS Finance Corp.         40054KDL7 06/30/16 09/30/22    100.000     0.000    2.4487                         0.068021   0.068438   0.069276  0.070124     12.35    24.94
GS Finance Corp.         40054KDM5 06/30/16 07/12/23    100.000     0.000    2.6002                         0.072230   0.072293   0.073233  0.074185     13.08    26.51
GS Finance Corp.         40054KDT0 06/09/16 06/09/23    100.000     0.000    2.9998                         0.083328   0.084578   0.085847  0.087134     16.86    30.73
GS Finance Corp.         40054KDV5 06/17/16 06/15/23    100.000     2.000    2.6612                         0.073924   0.074166   0.074414  0.074665     14.35    26.75
GS Finance Corp.         40054KDX1 06/30/16 07/02/20    100.000     0.000    1.9105                         0.053070   0.053076   0.053583  0.054095      9.61    19.38
GS Finance Corp.         40054KEY8 07/29/16 05/01/23    100.000     0.000    2.4799                         0.068887   0.069324   0.070183  0.071054     10.50    25.22
GS Finance Corp.         40054KEZ5 07/29/16 04/29/21    100.000     0.000    2.0499                         0.056944   0.057235   0.057822  0.058415      8.67    20.78
GS Finance Corp.         40054KF27 07/29/16 05/01/25    100.000     0.000    2.7700                         0.076945   0.077489   0.078563  0.079651     11.73    28.22
GS Finance Corp.         40054KF35 07/29/16 07/30/26    100.000     0.000    2.9298                         0.081383   0.081390   0.082582  0.083792     12.37    29.88
GS Finance Corp.         40054KF43 07/29/16 07/29/21    100.000     0.000    2.1199                                    0.057608   0.059183  0.058836      8.99    21.50
GS Finance Corp.         40054KF50 07/29/16 08/09/23    100.000     0.000    2.5300                         0.070280   0.070329   0.071219  0.072120     10.69    25.73
GS Finance Corp.         40054KF84 07/29/16 07/31/23    100.000     0.000    2.6502                         0.073617   0.073628   0.074604  0.075592     11.27    26.98
GS Finance Corp.         40054KFB7 07/28/16 07/30/24    100.000     0.000    2.6502                         0.073617   0.073628   0.074603  0.075592     11.27    26.98
GS Finance Corp.         40054KFC5 07/26/16 07/24/20    100.000     0.000    2.0961                                    0.058225   0.058829  0.059445      9.02    21.26
GS Finance Corp.         40054KG26 07/12/16 08/04/17    100.000     0.000    1.2497                         0.034716   0.034742   0.034959                5.87     7.44
GS Finance Corp.         40054KGJ9 08/31/16 06/01/21    100.000     0.000    1.9501                         0.054172   0.054439   0.054970  0.055506      6.56    19.73
GS Finance Corp.         40054KGK6 08/31/16 06/01/22    100.000     0.000    2.1998                         0.061106   0.061446   0.062122  0.062805      7.40    22.28
GS Finance Corp.         40054KGL4 08/31/16 06/01/23    100.000     0.000    2.3999                         0.066665   0.067069   0.067874  0.068688      8.08    24.34
GS Finance Corp.         40054KGM2 08/31/16 05/30/25    100.000     0.000    2.6499                         0.073608   0.074096   0.075078  0.076073      8.92    26.91
GS Finance Corp.         40054KGN0 08/31/16 09/12/23    100.000     0.000    2.4501                         0.068060   0.068116   0.068950  0.069795      8.24    24.85
GS Finance Corp.         40054KGP5 08/31/16 08/31/26    100.000     0.000    2.8001                                    0.077352   0.077156  0.079533      9.51    28.47
GS Finance Corp.         40054KGQ3 08/31/16 08/31/21    100.000     0.000    2.0001                                    0.055253   0.054895  0.056363      6.80    20.24
GS Finance Corp.         40054KGR1 08/04/16 08/06/26    100.000     0.000    2.8502                         0.079173   0.079186   0.080314  0.081459     11.64    29.04
GS Finance Corp.         40054KGT7 08/26/16 08/28/23    100.000     0.000    2.5001                         0.069448   0.069457   0.070326  0.071205      8.68    25.38
GS Finance Corp.         40054KH41 08/30/16 08/29/24    100.000     0.000    2.5993                                    0.071019   0.072332  0.072872      8.81    26.39
GS Finance Corp.         40054KHR0 08/24/16 08/24/26    100.000     0.000    2.8997                                    0.080550   0.081718  0.082903     10.23    29.51
HSBC USA, Inc.           4042K04V4 08/17/10 08/17/16    100.000     2.350    2.3499              0.065278   0.065278                                     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
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K0R49 03/31/10 03/31/16    100.000     3.250    3.2499              0.090278                                                 8.03         
HSBC USA, Inc.           4042K0W84 05/27/10 05/27/16    100.000     0.000    2.8554              0.092702                                                13.53         
HSBC USA, Inc.           4042K14V2 09/28/12 09/28/18    100.000     0.000    2.1876              0.064867   0.065576   0.066293   0.067019  0.067752     23.61    24.13
HSBC USA, Inc.           4042K14W0 09/28/12 09/28/18    100.000     0.000    2.1876              0.064867   0.065576   0.066293   0.067019  0.067752     23.61    24.13
HSBC USA, Inc.           4042K15X7 10/31/12 10/31/18    100.000     0.000    2.0692              0.061141   0.061774   0.062413   0.063059  0.063711     22.20    22.66
HSBC USA, Inc.           4042K15Y5 10/31/12 10/31/18    100.000     0.000    2.2257              0.066071   0.066807   0.067550   0.068302  0.069062     24.01    24.55
HSBC USA, Inc.           4042K1B28 03/27/12 03/27/19    100.000     0.000    3.6762              0.116003   0.118136   0.120307   0.122519  0.124771     42.55    44.13
HSBC USA, Inc.           4042K1BQ5 01/24/11 01/24/18    100.000     0.000    3.6480              0.119235   0.121410   0.123625   0.125880  0.128176     44.01    45.63
HSBC USA, Inc.           4042K1D59 04/05/12 04/05/18    100.000     0.000    3.2441              0.100860   0.102496   0.104158   0.105848  0.107565     36.89    38.09
HSBC USA, Inc.           4042K1E58 04/26/12 10/26/18    100.000     0.000    3.3063              0.103014   0.104717   0.106449   0.108208  0.109997     37.61    38.87
HSBC USA, Inc.           4042K1E66 04/26/12 04/27/17    100.000     0.000    2.7102              0.082730   0.083852   0.084988                          30.13     9.86
HSBC USA, Inc.           4042K1ED1 03/04/11 03/03/16    100.000     3.210    3.2099              0.089167                                                 5.53         
HSBC USA, Inc.           4042K1FE8 03/24/11 03/24/18    100.000    VARIES    3.9708              0.110411   0.110390   0.110369   0.110347  0.110324     39.74    39.72
HSBC USA, Inc.           4042K1GG2 05/04/11 05/04/18    100.000    VARIES    3.6984              0.102595   0.102622   0.102649   0.102677  0.102705     36.94    36.96
HSBC USA, Inc.           4042K1GP2 05/06/11 05/06/16    100.000     2.990    2.9899              0.083056                                                10.38         
HSBC USA, Inc.           4042K1HX4 06/10/11 06/10/19    100.000    VARIES    3.5773              0.099147   0.099178   0.099209   0.099240  0.099272     35.70    35.72
HSBC USA, Inc.           4042K1JT1 06/13/11 06/13/18    100.000    VARIES    3.3850              0.093248   0.093399   0.093552   0.093708  0.093867     33.60    33.71
HSBC USA, Inc.           4042K1K77 05/29/12 11/28/18    100.000     0.000    3.0538              0.094313   0.095753   0.097215   0.098700  0.100207     34.31    35.36
HSBC USA, Inc.           4042K1KE2 07/29/11 07/31/17    100.000     0.000    2.9725              0.092932   0.094313   0.095715   0.097138               34.12    20.26
HSBC USA, Inc.           4042K1KG7 07/29/11 07/31/17    100.000     0.000    2.9725              0.092932   0.094313   0.095715   0.097138               34.12    20.26
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES    4.1952              0.113368   0.113603   0.113842   0.114087  0.114337     40.87    41.04
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES    4.3009              0.116948   0.117135   0.117325   0.117520  0.117719     42.14    42.28
HSBC USA, Inc.           4042K1U43 06/29/12 06/29/18    100.000     0.000    2.6048              0.079218   0.080250   0.081295   0.082354  0.083427     28.71    29.46
HSBC USA, Inc.           4042K1XC2 02/29/12 03/01/18    100.000     0.000    3.1254              0.096781   0.098293   0.099829   0.101389  0.102974     35.48    36.60
HSBC USA, Inc.           4042K1XD0 02/29/12 03/01/17    100.000     0.000    2.9015              0.089157   0.090451   0.091763                          32.64     5.51
HSBC USA, Inc.           4042K1XE8 02/07/12 02/07/17    100.000     0.000    2.7410              0.083751   0.084899   0.086063                          30.69     3.10
HSBC USA, Inc.           4042K1XF5 02/29/12 03/01/19    100.000     0.000    3.4939              0.109574   0.111488   0.113436   0.115417  0.117434     40.25    41.67
HSBC USA, Inc.           4042K1Z30 08/30/12 08/30/18    100.000     0.000    2.4720              0.072707   0.073606   0.074925   0.075437  0.076789     27.05    27.67
HSBC USA, Inc.           4042K1Z48 08/30/12 02/28/18    100.000     0.000    2.2077              0.064785   0.064788   0.066589   0.066226  0.068067     23.93    24.42
HSBC USA, Inc.           4042K1Z63 08/08/12 08/08/19    100.000     0.000    2.6152              0.078535   0.079561   0.080602   0.081656  0.082724     28.75    29.51
HSBC USA, Inc.           4042K1ZD8 03/30/12 03/30/17    100.000     0.000    2.8298              0.086731   0.087958   0.089203                          31.67     7.94
HSBC USA, Inc.           4042K1ZE6 04/04/12 04/04/18    100.000     0.000    3.2440              0.100855   0.102491   0.104153   0.105843  0.107559     36.89    38.10
HSBC USA, Inc.           4042K1ZK2 04/02/12 04/02/19    100.000     0.000    3.4236              0.107101   0.108934   0.110799   0.112696  0.114625     39.22    40.57
HSBC USA, Inc.           40432X2M2 11/27/12 11/27/18    100.000     0.000    2.0105              0.059302   0.059898   0.060501   0.061109  0.061723     21.50    21.93
HSBC USA, Inc.           40432X2N0 11/27/12 11/27/18    100.000     0.000    2.1491              0.063653   0.064337   0.065028   0.065727  0.066433     23.08    23.58
HSBC USA, Inc.           40432X3T6 11/26/12 11/25/19    100.000     0.000    2.2776              0.067712   0.068483   0.069263   0.070052  0.070850     24.57    25.13
HSBC USA, Inc.           40432X4M0 12/24/12 12/24/18    100.000     0.000    2.0972              0.062019   0.062669   0.063326   0.063990  0.064661     22.45    22.93
HSBC USA, Inc.           40432X4N8 12/26/12 12/26/18    100.000     0.000    2.0970              0.062014   0.062664   0.063321   0.063985  0.064656     22.45    22.92
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES    1.3475              0.010558   0.010629   0.010701   0.010773  0.010845      3.82     3.87
HSBC USA, Inc.           40432X5M9 01/29/13 01/29/19    100.000     0.000    2.1341              0.062514   0.063181   0.063855   0.064537  0.065225     22.83    23.32
HSBC USA, Inc.           40432X5N7 01/30/13 01/30/19    100.000     0.000    2.1341              0.062514   0.063181   0.063855   0.064537  0.065225     22.83    23.32
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000    4.5776              0.142389   0.145648   0.148982   0.152392  0.155880     52.94    55.39
HSBC USA, Inc.           40432X5Z0 01/04/13 12/24/18    100.000     0.000    2.0803              0.061455   0.062094   0.062740   0.063393  0.064052     22.25    22.71
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000    4.6460              0.144760   0.148122   0.151563   0.155084  0.158687     53.75    56.28
HSBC USA, Inc.           40432XAC5 02/26/13 02/26/19    100.000     0.000    2.2385              0.065742   0.066478   0.067222   0.067974  0.068735     23.98    24.52
HSBC USA, Inc.           40432XAD3 02/27/13 02/27/19    100.000     0.000    2.2385              0.065742   0.066478   0.067222   0.067974  0.068735     23.98    24.52
HSBC USA, Inc.           40432XBQ3 02/28/13 08/28/18    100.000     0.000    1.9403              0.056565   0.057113   0.057667   0.058227  0.058792     20.60    21.00
HSBC USA, Inc.           40432XCD1 03/28/13 03/28/19    100.000     0.000    2.2310              0.065509   0.066239   0.066978   0.067725  0.068481     23.85    24.39
HSBC USA, Inc.           40432XGU9 06/26/13 06/26/19    100.000     0.000    2.6968              0.080102   0.081183   0.082277   0.083387  0.084511     29.04    29.83
HSBC USA, Inc.           40432XGZ8 07/08/13 07/08/20    100.000    VARIES    1.3420              0.007068   0.007115   0.007163   0.007211  0.007259      2.57     2.60
HSBC USA, Inc.           40432XHX2 07/23/13 07/23/18    100.000     0.000    2.1557              0.062506   0.063180   0.063861   0.064550  0.065245     22.84    23.33
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES    1.5824              0.007651   0.007712   0.007773   0.007834  0.007896      2.78     2.83
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES    1.6689              0.009945   0.010028   0.010112   0.010196  0.010282      3.62     3.68
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES    3.9578              0.109397   0.109426   0.109456   0.109486  0.109517     39.39    39.42
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES    1.6700              0.009971   0.010054   0.010138   0.010223  0.010308      3.62     3.68
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES    1.5393              0.007110   0.007165   0.007220   0.007276  0.007332      2.58     2.62
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES    3.4249              0.089186   0.089370   0.089557   0.089747  0.089940     32.15    32.28
HSBC USA, Inc.           40432XQU8 12/31/13 07/01/19    100.000     0.000    2.4756              0.072243   0.073137   0.074043   0.074959               26.17    26.82
HSBC USA, Inc.           40432XS69 02/03/14 02/03/17    100.000     0.000    1.1820              0.033421   0.033618   0.033817                          12.13     1.08
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES    3.9809              0.106216   0.106340   0.106466   0.106595  0.106726     38.27    38.36
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES    4.0230              0.108481   0.108573   0.108667   0.108763  0.108861     39.07    39.14
HSBC USA, Inc.           40433BH50 03/31/15 03/31/20    100.000     0.000    2.5278              0.071106   0.072005   0.072915   0.073837  0.074770     25.92    26.58
HSBC USA, Inc.           40433BKW7 08/28/14 08/30/19    100.000     0.000    2.1921              0.061223   0.061894   0.062916   0.063259  0.064303     22.74    23.20
HSBC USA, Inc.           40433BN61 04/08/15 04/08/20    100.000     0.000    1.6948              0.047479   0.047881   0.048287   0.048696  0.049109     17.23    17.53
HSBC USA, Inc.           40433BNR5 09/29/14 09/30/19    100.000     0.000    2.3491              0.066802   0.067586   0.068380   0.069183  0.069996     24.33    24.91
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000    2.9962              0.085748   0.087032   0.088336   0.089659  0.091003     31.17    32.11
HSBC USA, Inc.           40433BVF2 12/10/14 12/11/17    100.000     0.000    1.7132              0.048411   0.048825   0.049243   0.049665               17.52    16.82
HSBC USA, Inc.           40433UFF8 12/31/15 01/02/24    100.000     0.000    1.6730              0.046472   0.046477   0.046865   0.047257  0.047653     16.80    17.08
HSBC USA, Inc.           40433UQV1 07/29/16 07/31/23    100.000     0.000    2.6251                         0.072921   0.072932   0.073889  0.074859     11.16    26.72
HSBC USA, Inc.           40433UQZ2 07/29/16 07/31/23    100.000     0.000    2.6251                         0.072922   0.072932   0.073890  0.074860     11.16    26.72
HSBC USA, Inc.           40433UUA2 09/30/16 10/02/23    100.000     0.000    2.3971                         0.066588   0.066597   0.067395  0.068203      6.06    24.26
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000    3.8455              0.115301   0.117518   0.119778   0.122081  0.124428     42.52    44.17
HSBC USA, Inc.           40434B131 04/03/14 03/26/21    100.000     0.000    3.2029              0.093256   0.094749   0.096267   0.097808  0.099375     34.13    35.23
HSBC USA, Inc.           40434B545 02/06/14 01/29/21    100.000     0.000    3.0855              0.089685   0.091068   0.092473   0.093900  0.095349     32.96    33.98
HSBC USA, Inc.           40434B610 12/26/13 06/28/21    100.000     0.000    3.3584              0.099735   0.101410   0.103113   0.104845  0.106605     36.22    37.44
HSBC USA, Inc.           40434B636 12/31/13 01/04/21    100.000     0.000    3.4305              0.100319   0.102039   0.103790   0.105570  0.107381     37.04    38.32
HSBC USA, Inc.           40434B867 12/03/13 11/25/20    100.000     0.000    3.1082              0.091772   0.093198   0.094647   0.096117  0.097611     33.40    34.44
HSBC USA, Inc.           40434C188 07/31/14 07/30/21    100.000     0.000    2.8870              0.080727   0.082792   0.083075   0.085671  0.085490     30.29    31.17
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000    3.2385              0.094403   0.095931   0.097485   0.099063  0.100667     34.31    35.43
HSBC USA, Inc.           40434C659 06/05/14 05/28/21    100.000     0.000    2.9289              0.084941   0.086185   0.087447   0.088727  0.090027     30.89    31.80
HSBC USA, Inc.           40434E127 03/03/16 02/24/23    100.000     0.000    2.1214                         0.058929   0.059523   0.060155  0.060793     17.64    21.70
HSBC USA, Inc.           40434E267 02/04/16 01/27/23    100.000     0.000    1.8122                         0.050340   0.050778   0.051239  0.051703     16.53    18.51
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000    2.2886              0.064308   0.065044   0.065788   0.066541  0.067302     23.37    23.91
HSBC USA, Inc.           40434K354 12/30/15 12/23/22    100.000     0.000    1.6730              0.046475   0.046848   0.047240   0.047635  0.048034     16.80    17.08
HSBC USA, Inc.           40434N283 06/03/16 05/26/23    100.000     0.000    2.4858                         0.069050   0.069875   0.070744  0.071623     14.39    25.37
HSBC USA, Inc.           40434V780 07/13/16 06/30/23    100.000     0.000    2.5155                         0.069877   0.070697   0.071587  0.072487     11.81    25.61
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40435B304 10/06/16 09/29/23    100.000     0.000    2.5060                                    0.069613   0.070451  0.071334      5.92    25.37
Hancock County SD 316,IL 409792DJ4 05/01/14 12/01/16    105.570    VARIES    1.2858              0.036501   0.036111                                     11.98         
Hancock County SD 316,IL 409792DK1 05/01/14 12/01/17    107.276    VARIES    1.6361              0.047330   0.046865   0.046397   0.045924               16.93    15.23
Hancock County SD 316,IL 409792DL9 05/01/14 12/01/18    107.805    VARIES    2.1841              0.063855   0.063338   0.062817   0.062289  0.061756     22.86    22.49
Hancock County SD 316,IL 409792DM7 05/01/14 12/01/19    106.961    VARIES    2.6340              0.076938   0.076488   0.076032   0.075570  0.075102     27.59    27.26
Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20    105.881    VARIES    3.2316              0.093958   0.093568   0.093173   0.092771  0.092362     33.73    33.45
Hancock County SD 325,IL 409828AQ3 06/28/13 12/01/16    107.747    VARIES    1.7351              0.049276   0.048740                                     16.16         
Hancock County SD 325,IL 409828AR1 06/28/13 12/01/17    109.800    VARIES    1.9860              0.057606   0.057006   0.056399   0.055787               20.59    18.50
Caesars Entertainment    413626AR3 07/25/14 10/31/16     99.000    10.500   11.0098     6.07     0.012723   0.013423                                      3.93         
Caesars Entertainment    413626AS1 07/25/14 03/01/17     92.600     5.950    9.2133    38.74     0.079193   0.082841   0.086657                          30.06     5.20
Caesars Entertainment    413626AU6 07/25/14 03/01/17     93.100     6.950   10.0284    35.96     0.073838   0.077541   0.081429                          28.16     4.89
Caesars Entertainment    413626AV4 07/25/14 03/01/17     89.010     9.750   15.0047    55.68     0.117489   0.126303   0.135779                          46.08     8.15
Harrisburg, PA           414738NX8 12/28/95 04/01/16     24.047     0.000    7.1593   742.25     0.191997                                                17.28         
Harrisburg, PA           414738NY6 12/28/95 04/01/17     22.322     0.000    7.1792   692.53     0.179403   0.185843   0.192514                          66.92    17.33
Harrisburg, PA           414738NZ3 12/28/95 04/01/18     20.535     0.000    7.2393   646.92     0.168339   0.174433   0.180747   0.187289  0.194068     62.82    67.45
Harrisburg, PA           414738PA6 12/28/95 04/01/19     19.125     0.000    7.2394   602.52     0.156785   0.162461   0.168341   0.174435  0.180749     58.50    62.82
Hartford Life Insurance  41659LAS0 08/16/07 08/16/17    100.000     0.000    5.7021              0.248356   0.255437   0.262720   0.270210               92.62    60.46
Helix Energy Solutions   42330PAG2 03/12/12 03/15/32    100.000    VARIES    7.5037              0.243284   0.249025   0.254981   0.261160  0.267571     89.86    94.24
Hoboken, NJ              434110QH8 08/28/03 04/01/27     19.107     0.000    7.1397   263.20     0.088514   0.091674   0.094946   0.098336  0.101846     33.01    35.41
Hoboken, NJ              434110QJ4 08/28/03 04/01/28     17.813     0.000    7.1396   245.37     0.082517   0.085463   0.088514   0.091673  0.094946     30.78    33.01
Hoboken, NJ              434110QK1 08/28/03 04/01/29     16.606     0.000    7.1397   228.74     0.076927   0.079673   0.082517   0.085463  0.088514     28.69    30.78
Hoboken, NJ              434110QL9 08/28/03 04/01/30     15.481     0.000    7.1397   213.25     0.071715   0.074275   0.076927   0.079673  0.082517     26.75    28.69
Hoboken, NJ              434110QM7 08/28/03 04/01/31     14.432     0.000    7.1397   198.80     0.066856   0.069243   0.071715   0.074275  0.076927     24.94    26.75
Hoboken, NJ              434110QN5 08/28/03 04/01/32     13.454     0.000    7.1398   185.33     0.062327   0.064552   0.066856   0.069243  0.071715     23.25    24.94
Hoboken, NJ              434110QP0 08/28/03 04/01/33     12.543     0.000    7.1396   172.78     0.058105   0.060179   0.062327   0.064552  0.066856     21.67    23.25
Horizon Lines, Inc.      44044KAC5 10/05/11 04/15/17     92.470     6.000    N/A                 0.257541   0.267152   0.277121                          95.93    28.82
Horizon Lines, Inc.      44044KAG6 10/05/11 04/15/17     92.470     6.000    N/A                 0.257541   0.267152   0.277121                          95.93    28.82
Horizon Lines, Inc.      44044KAH4 04/26/12 04/15/17    100.000     6.000    N/A                 0.166667   0.166667   0.166667                          60.00    17.33
Hovnanian Enterprises    442488BL5 11/01/11 11/01/21     53.000     5.000   13.8062   125.05     0.109800   0.117380   0.125483   0.134145  0.143405     41.83    47.81
Hovnanian Enterprises    442488BM3 11/01/11 11/01/21     42.000     2.000   12.1926              0.194737   0.203222   0.212224   0.221775  0.231908     72.68    79.30
Hovnanian Enterprises    442488BP6 10/02/12 12/01/17     76.851     0.000    5.1630   138.45     0.129517   0.132860   0.136290   0.139808               47.43    45.61
Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23     95.305     1.200    N/A                 0.012927   0.013037   0.013148   0.013261  0.013374      4.69     4.77
Indiana Finance Auth     45506DVJ1 12/30/15 12/01/19*    98.304     6.500    7.0021      .01     0.010650                                                 1.36*        
Insignia Financing I     45766X304 11/01/96 09/30/16    100.000     6.500    6.4999              0.177596   0.177596                                     48.48         
Intl Bnk for Reconstr    459056HY6 01/07/86 02/15/16      5.299     0.000    9.9989   935.36     0.258773                                                11.64         
Irvington Township, NJ   464080JT8 12/21/06 07/15/16     60.176     0.000    5.3796   370.06     0.141709   0.145521                                     28.18         
Irvington Township, NJ   464080JU5 12/21/06 07/15/17     56.947     0.000    5.3997   351.83     0.134832   0.138472   0.142210   0.146050               50.42    28.28
Irvington Township, NJ   464080JV3 12/21/06 07/15/18     53.750     0.000    5.4396   335.14     0.128631   0.132129   0.135723   0.139414  0.143206     48.11    50.77
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES    4.4624              0.123957   0.122627   0.121268   0.119878  0.118457     43.98    42.98
JP Morgan Chase & Co.    46634X187 06/29/11 06/29/17    100.000     0.000    3.2582              0.104676   0.106382   0.108115                          38.00    19.24
Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16     57.808     0.000    5.8995   370.07     0.154620   0.159181                                     51.85         
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17     53.993     0.000    5.9995   353.01     0.148072   0.152514   0.157089   0.161802               54.38    52.69
Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18     50.612     0.000    6.0496   334.37     0.140532   0.144783   0.149163   0.153675  0.158323     51.62    54.79
Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19     47.112     0.000    6.1496   317.74     0.134069   0.138191   0.142440   0.146820  0.151335     49.26    52.33
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000    6.1997   300.17     0.126908   0.130842   0.134898   0.139079  0.143391     46.63    49.57
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000    6.2496   283.29     0.120004   0.123754   0.127621   0.131609  0.135721     44.10    46.90
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000    6.2497   266.38     0.112842   0.116369   0.120005   0.123755  0.127622     41.47    44.11
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000    6.2996   251.02     0.106542   0.109897   0.113359   0.116930  0.120613     39.16    41.67
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000    6.2996   235.92     0.100134   0.103288   0.106541   0.109897  0.113359     36.81    39.16
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000    6.2997   221.73     0.094112   0.097077   0.100134   0.103288  0.106542     34.59    36.81
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000    6.3497   208.52     0.088680   0.091496   0.094401   0.097398  0.100490     32.60    34.71
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000    6.3499   201.59     0.085952   0.088681   0.091497   0.094402  0.097399     31.52    33.56
Jefferson CNTYS #521, IL 474070HN2 05/30/13 12/01/16     99.746    VARIES    1.1968              0.033213   0.033229                                     10.96         
Jefferson CNTYS #521, IL 474070HP7 05/30/13 12/01/17     99.674    VARIES    1.4462              0.040097   0.040116   0.040134   0.040154               14.44    13.25
Jefferson CNTYS #521, IL 474070HQ5 05/30/13 12/01/18     99.605    VARIES    1.6956              0.046971   0.046992   0.047014   0.047036  0.047058     16.91    16.93
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES    2.8894              0.084612   0.084330   0.084043   0.083752  0.083457     30.39    30.19
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES    3.0399              0.088076   0.087874   0.087668   0.087460  0.087248     31.66    31.51
Johnson CNTYS, IL        478167HD4 07/03/14 10/01/16    105.492    VARIES    1.8348              0.052234   0.051604                                     13.99         
Johnson CNTYS, IL        478167HE2 07/03/14 10/01/17    106.717    VARIES    2.1873              0.063317   0.062687   0.062052   0.061409               22.57    16.64
Johnson CNTYS, IL        478167HF9 07/03/14 10/01/18    107.426    VARIES    2.4887              0.072828   0.072231   0.071626   0.071014  0.070394     26.00    25.56
Johnson CNTYS, IL        478167HG7 07/03/14 10/01/19    107.279    VARIES    2.8391              0.083342   0.082809   0.082270   0.081722  0.081167     29.81    29.42
Johnson CNTYS, IL        478167HH5 07/03/14 10/01/20    107.066    VARIES    3.0899              0.090808   0.090344   0.089873   0.089395  0.088909     32.52    32.18
Johnson CNTYS, IL        478167HJ1 07/03/14 10/01/21    105.766    VARIES    3.3403              0.097343   0.096997   0.096645   0.096288  0.095924     34.92    34.66
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES    3.5909              0.103786   0.103530   0.103269   0.103004  0.102734     37.27    37.08
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES    3.8407              0.109670   0.109509   0.109345   0.109178  0.109007     39.42    39.30
Josephine County, OR     480890AA0 10/30/01 06/01/17     36.621     0.000    6.5496   546.60     0.165170   0.170579   0.176165                          60.76    26.42
Josephine County, OR     480890AB8 10/30/01 06/01/18     33.518     0.000    6.6996   517.66     0.157835   0.163122   0.168586   0.174234  0.180070     58.09    62.05
Josephine County, OR     480890AR3 10/30/01 06/01/16     40.464     0.000    6.2995   569.91     0.169645                                                25.45         
J2 Global, Inc.          48123VAC6 06/17/14 06/15/29    100.000    VARIES    8.0003              0.238644   0.244579   0.250751   0.257170  0.263846     87.17    91.64
JP Morgan Chase & Co.    48124AD20 09/30/10 09/30/16    100.000     0.000    3.0410              0.098232   0.099726                                     26.69         
JP Morgan Chase & Co.    48124ASD0 05/28/10 05/31/16    100.000     0.000    3.9190              0.132599                                                20.02         
JP Morgan Chase & Co.    48124AV38 11/30/10 11/30/16    100.000     0.000    3.1390              0.101888   0.103487                                     33.81         
JP Morgan Chase & Co.    48124AV95 11/30/10 11/30/16    100.000     0.000    3.0404              0.098211   0.099704                                     32.58         
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25    100.000    VARIES    3.5831              0.087354   0.087749   0.088151   0.088560  0.088976     31.60    31.90
JP Morgan Chase & Co.    48124JAD0 04/04/12 04/04/32*   100.000    VARIES    2.6982              0.069441   0.069174                                     12.82*        
JP Morgan Chase & Co.    48125UCH3 02/27/15 02/27/30    100.000    VARIES    3.9804              0.110559   0.110548   0.110536   0.110525  0.110554     39.80    39.79
JP Morgan Chase & Co.    48125UCP5 03/31/15 03/29/30    100.000    VARIES    3.9445              0.107081   0.104605   0.104978   0.101902  0.103117     38.54    37.58
JP Morgan Chase & Co.    48125UDK5 03/30/15 03/30/25    100.000    VARIES    3.4192              0.093754   0.092507   0.092172   0.091831  0.091767     33.38    33.08
JP Morgan Chase & Co.    48125UDL3 04/22/15 04/22/30    100.000    VARIES    3.9342              0.108044   0.106779   0.105489   0.104174  0.103740     38.49    37.62
JP Morgan Chase & Co.    48125UKN1 03/31/15 12/31/20    100.000     0.000    2.9102              0.082613   0.083815   0.085034   0.086272  0.087527     29.96    30.84
JP Morgan Chase & Co.    48125UL59 08/17/15 02/18/21    100.000     1.000    2.8256              0.078493   0.079210   0.079936   0.080673  0.081421     28.58    29.11
JP Morgan Chase & Co.    48125URP9 05/14/15 05/16/19    100.000     0.000    2.2907              0.064370   0.065108   0.065853   0.066608  0.067371     23.37    23.91
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125UTC6 06/26/15 06/26/30    100.000    VARIES    4.4665              0.123121   0.122149   0.121154   0.120138  0.119479     44.14    43.42
JP Morgan Chase & Co.    48125UTF9 06/30/15 06/30/30    100.000    VARIES    4.4796              0.120999   0.117488   0.115745   0.113963  0.112141     42.92    41.34
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES    4.4809              0.121036   0.117525   0.116163   0.114770  0.113346     42.94    41.57
JP Morgan Chase & Co.    48125UTH5 06/30/15 06/30/30    100.000    VARIES    4.4852              0.123646   0.122682   0.121695   0.120687  0.119772     44.34    43.63
JP Morgan Chase & Co.    48125UTL6 06/30/15 06/30/30    100.000    VARIES    4.4865              0.124305   0.123978   0.123644   0.123302  0.122952     44.69    44.45
JP Morgan Chase & Co.    48125UTT9 07/31/15 07/31/30    100.000    VARIES    4.3052              0.119589   0.118576   0.117540   0.116483  0.115403     42.56    41.80
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES    4.2124              0.117666   0.115424   0.115080   0.112145  0.111695     41.64    40.49
JP Morgan Chase & Co.    48125UUN0 08/31/15 08/31/30    100.000    VARIES    4.2249              0.116070   0.113789   0.114617   0.111686  0.112434     41.88    41.03
JP Morgan Chase & Co.    48125UUS9 08/21/15 08/21/30    100.000    VARIES    4.2080              0.116890   0.116427   0.115955   0.115472  0.114979     41.88    41.53
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES    2.5711              0.009071   0.008736   0.008636   0.008252  0.008138      3.20     3.02
JP Morgan Chase & Co.    48125UY48 09/30/15 09/30/30    100.000    VARIES    4.2752              0.118756   0.117734   0.116690   0.115623  0.114534     42.38    41.62
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES    2.6024              0.013932   0.013632   0.013327   0.013019  0.012707      4.90     4.68
JP Morgan Chase & Co.    48125V2G4 08/31/12 08/31/18    100.000     0.000    2.4104              0.071157   0.071231   0.073285   0.072959  0.075062     26.32    26.91
JP Morgan Chase & Co.    48125V4Q0 09/28/12 09/29/17    100.000     0.000    1.9604              0.057742   0.058308   0.058879   0.059456               20.99    15.88
JP Morgan Chase & Co.    48125V5R7 09/28/12 09/28/18    100.000    VARIES    2.2733              0.065417   0.065911   0.066411   0.066933  0.067460     23.73    24.10
JP Morgan Chase & Co.    48125V7F1 09/18/12 09/18/19    100.000     0.500    2.6369              0.078103   0.078950   0.079807   0.080677  0.081557     28.45    29.07
JP Morgan Chase & Co.    48125V7G9 09/28/12 03/29/18    100.000     0.000    2.0907              0.061820   0.062466   0.063119   0.063779  0.064445     22.49    22.96
JP Morgan Chase & Co.    48125VA67 06/29/12 06/30/16    100.000     0.000    2.5495              0.077394                                                13.85         
JP Morgan Chase & Co.    48125VC40 06/20/12 12/20/17    100.000     0.000    3.2200              0.100026   0.101637   0.103273   0.104936               36.34    36.34
JP Morgan Chase & Co.    48125VC57 06/29/12 06/29/18    100.000     0.000    3.0497              0.094183   0.095619   0.097077   0.098557  0.100060     34.17    35.22
JP Morgan Chase & Co.    48125VEL0 12/30/11 12/29/17    100.000     0.000    3.8400              0.124184   0.126569   0.128999   0.131476               45.15    46.63
JP Morgan Chase & Co.    48125VHH6 01/31/12 01/31/18    100.000     0.000    3.5407              0.111209   0.113178   0.115181   0.117220  0.119296     40.99    42.45
JP Morgan Chase & Co.    48125VJ35 07/31/12 07/31/27*   100.000    VARIES    4.0733              0.105345   0.105468                                     12.44*        
JP Morgan Chase & Co.    48125VJ50 07/30/12 07/30/27    100.000    VARIES    4.0727              0.100085   0.099600   0.099105   0.098600  0.098085     35.80    35.43
JP Morgan Chase & Co.    48125VL24 07/05/12 01/04/18    100.000     0.000    2.9500              0.089464   0.090783   0.092123   0.093481  0.094860     32.92    33.89
JP Morgan Chase & Co.    48125VM72 06/29/12 06/28/19    100.000     0.000    3.2698              0.101741   0.103404   0.105095   0.106813  0.108559     36.94    38.15
JP Morgan Chase & Co.    48125VMA5 02/29/12 02/29/16    100.000     0.000    2.4510              0.073328                                                 4.33         
JP Morgan Chase & Co.    48125VMC1 02/29/12 02/28/18    100.000     0.000    3.1994              0.098224   0.098711   0.101952   0.101894  0.105240     36.50    37.61
JP Morgan Chase & Co.    48125VPV6 03/30/12 06/30/16    100.000     0.000    2.3101              0.069944                                                12.52         
JP Morgan Chase & Co.    48125VPZ7 03/30/12 09/28/18    100.000     0.000    3.1110              0.096261   0.097758   0.099279   0.100823  0.102391     35.20    36.31
JP Morgan Chase & Co.    48125VQ60 07/31/12 07/31/18    100.000    VARIES    2.6423              0.075786   0.076406   0.077035   0.077684  0.078342     27.58    28.05
JP Morgan Chase & Co.    48125VRA0 03/07/12 03/07/17    100.000     0.000    2.6907              0.082072   0.083176   0.084295                          30.00     5.56
JP Morgan Chase & Co.    48125VSN1 03/27/12 03/27/20    100.000     0.000    3.7709              0.119381   0.121631   0.123925   0.126261  0.128642     43.81    45.48
JP Morgan Chase & Co.    48125VTK6 04/30/12 07/29/16    100.000     0.000    2.3703              0.071080   0.071922                                     14.94         
JP Morgan Chase & Co.    48125VTP5 04/30/12 04/30/18    100.000     0.000    3.0309              0.093542   0.094960   0.096399   0.097860  0.099343     34.10    35.15
JP Morgan Chase & Co.    48125VUN8 05/21/12 05/21/27*   100.000    VARIES    4.5682              0.110778   0.108938                                     15.73*        
JP Morgan Chase & Co.    48125VWQ9 05/18/12 08/18/16    100.000     0.000    2.4102              0.072376   0.073248                                     16.59         
JP Morgan Chase & Co.    48125VY20 08/31/12 08/31/16    100.000     0.000    1.7203              0.049753   0.049636                                     12.07         
JP Morgan Chase & Co.    48125VYW4 06/13/12 06/13/27*   100.000    VARIES    4.6582              0.112708                                                 8.23*        
JP Morgan Chase & Co.    48125VYX2 07/05/12 07/05/27*   100.000    VARIES    4.3956              0.117026   0.116170                                     10.92*        
JP Morgan Chase & Co.    48125VZ52 08/31/12 08/31/18    100.000    VARIES    2.6679              0.077662   0.077912   0.079487   0.079324  0.080953     28.22    28.76
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125VZ94 08/31/12 08/31/17    100.000    VARIES    1.7166              0.048435   0.048142   0.049181   0.048794               17.77    11.83
JP Morgan Chase & Co.    48125X4L7 10/21/11 10/22/18    100.000     0.000    4.1614              0.136315   0.139152   0.142047   0.145003  0.148020     49.98    52.08
JP Morgan Chase & Co.    48125X4M5 10/21/11 10/22/18    100.000     0.000    4.1614              0.136315   0.139152   0.142047   0.145003  0.148020     49.98    52.08
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES    5.0718              0.146527   0.146366   0.146063   0.145753  0.145267     52.68    52.45
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES    5.1602              0.147661   0.147623   0.147447   0.147267  0.147001     53.13    53.01
JP Morgan Chase & Co.    48125XKS4 03/30/11 03/30/17    100.000     0.000    4.0116              0.133243   0.135915   0.138641                          48.94    12.34
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES    5.0712              0.144434   0.144465   0.144377   0.144288  0.144113     52.00    51.96
JP Morgan Chase & Co.    48126D3U1 05/31/13 05/31/19    100.000     0.000    2.4505              0.072346   0.073232   0.074129   0.075038  0.075957     26.26    26.91
JP Morgan Chase & Co.    48126D3W7 05/31/13 05/29/20    100.000    VARIES    2.8293              0.081369   0.081969   0.082593   0.083226  0.083894     29.44    29.89
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES    3.5785              0.101662   0.102201   0.102749   0.103308  0.103965     36.73    37.13
JP Morgan Chase & Co.    48126D6Y0 09/20/13 09/20/23    100.000    VARIES    4.4963              0.117286   0.116872   0.116449   0.116574  0.116702     42.06    41.97
JP Morgan Chase & Co.    48126D7M5 10/09/13 10/09/28*   100.000    VARIES    4.6916              0.115312   0.112659   0.109944                          31.80*        
JP Morgan Chase & Co.    48126DAQ2 10/05/12 10/05/17    100.000     0.000    1.9305              0.056808   0.057356   0.057910   0.058469               20.64    15.97
JP Morgan Chase & Co.    48126DBB4 11/02/12 10/31/18    100.000     0.000    2.2804              0.067797   0.068570   0.069352   0.070143  0.070942     24.64    25.21
JP Morgan Chase & Co.    48126DBC2 10/31/12 10/31/18    100.000    VARIES    2.2312              0.065268   0.065778   0.066293   0.066826  0.067364     23.65    24.03
JP Morgan Chase & Co.    48126DBJ7 10/31/12 10/31/17    100.000     0.000    2.0204              0.059612   0.060214   0.060823   0.061437               21.64    18.30
JP Morgan Chase & Co.    48126DF20 03/27/13 09/27/17    100.000     0.000    1.6905              0.048979   0.049393   0.049811   0.050232               17.79    13.33
JP Morgan Chase & Co.    48126DFM6 11/30/12 02/28/18    100.000     0.000    1.9910              0.057762   0.057703   0.059243   0.058858  0.060429     21.31    21.70
JP Morgan Chase & Co.    48126DFN4 11/30/12 11/30/18    100.000    VARIES    2.1918              0.063692   0.064194   0.064701   0.065221  0.065747     23.05    23.42
JP Morgan Chase & Co.    48126DGZ6 11/30/12 11/30/18    100.000     0.000    2.1501              0.063685   0.064370   0.065062   0.065762  0.066469     23.09    23.59
JP Morgan Chase & Co.    48126DH28 04/30/13 04/30/19    100.000    VARIES    2.0021              0.057828   0.058289   0.058761   0.059237  0.059717     20.96    21.30
JP Morgan Chase & Co.    48126DH36 04/30/13 04/30/19    100.000    VARIES    2.0723              0.059936   0.060431   0.060937   0.061448  0.061963     21.73    22.09
JP Morgan Chase & Co.    48126DJ83 04/30/13 10/31/18    100.000     0.000    1.9003              0.055344   0.055870   0.056401   0.056937  0.057478     20.08    20.47
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES    3.1389              0.088916   0.089337   0.089765   0.090199  0.090710     32.14    32.45
JP Morgan Chase & Co.    48126DKC2 12/31/12 12/31/18    100.000     0.000    2.1108              0.062448   0.063107   0.063773   0.064446  0.065127     22.60    23.08
JP Morgan Chase & Co.    48126DKD0 12/31/12 12/31/18    100.000    VARIES    2.0821              0.060416   0.060874   0.061338   0.061813  0.062293     21.83    22.17
JP Morgan Chase & Co.    48126DKE8 12/31/12 03/29/18    100.000     0.000    1.8649              0.054516   0.055024   0.055538   0.056055  0.056578     19.81    20.18
JP Morgan Chase & Co.    48126DLU1 12/14/12 12/14/27    100.000    VARIES    3.7338              0.097197   0.096778   0.096351   0.096400  0.096451     34.90    34.70
JP Morgan Chase & Co.    48126DLY3 12/21/12 12/21/27    100.000    VARIES    3.6432              0.089928   0.089440   0.088943   0.088437  0.087922     32.28    31.92
JP Morgan Chase & Co.    48126DMA4 12/27/12 12/27/27*   100.000    VARIES    3.6581              0.098950                                                17.42*        
JP Morgan Chase & Co.    48126DMB2 12/31/12 12/31/27    100.000    VARIES    3.7027              0.091925   0.091039   0.090136   0.089216  0.088279     32.93    32.28
JP Morgan Chase & Co.    48126DMD8 01/18/13 01/18/28*   100.000    VARIES    3.7931              0.097864   0.096754                                     19.08*        
JP Morgan Chase & Co.    48126DME6 01/18/13 01/18/28*   100.000    VARIES    3.7909              0.096167   0.094852                                     18.71*        
JP Morgan Chase & Co.    48126DMF3 01/30/13 01/30/28*   100.000    VARIES    3.7914              0.096043   0.094643   0.093217                          19.91*        
JP Morgan Chase & Co.    48126DMP1 02/13/13 02/13/28*   100.000    VARIES    3.7911              0.096048   0.094691   0.093309                          21.27*        
JP Morgan Chase & Co.    48126DMW6 02/27/13 02/27/28*   100.000    VARIES    3.9927              0.102456   0.101078                                     14.83*        
JP Morgan Chase & Co.    48126DNB1 03/13/13 03/13/28*   100.000    VARIES    3.8423              0.098236   0.096872                                     24.51*        
JP Morgan Chase & Co.    48126DNE5 03/27/13 03/27/28*   100.000    VARIES    3.9606              0.099921   0.098612                                     17.47*        
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES    3.1822              0.089764   0.090100   0.090471   0.090848  0.091272     32.48    32.76
JP Morgan Chase & Co.    48126DRL5 01/31/13 07/31/18    100.000     0.000    1.9802              0.057785   0.058357   0.058935   0.059519  0.060108     21.08    21.50
JP Morgan Chase & Co.    48126DRM3 01/31/13 01/31/19    100.000    VARIES    2.1525              0.062079   0.062559   0.063049   0.063544  0.064050     22.58    22.94
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126DRW1 01/31/13 01/31/19    100.000     0.000    2.1601              0.063314   0.063998   0.064689   0.065388  0.066094     23.12    23.63
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES    3.8927              0.099945   0.098651   0.097331   0.095986  0.095696     35.59    34.70
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES    3.8747              0.096685   0.095594   0.094481   0.093347  0.093449     34.51    33.76
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES    3.2856              0.091720   0.091058   0.092964   0.091845  0.093815     33.60    33.83
JP Morgan Chase & Co.    48126DVH9 02/28/13 02/28/19    100.000    VARIES    2.1918              0.062554   0.062358   0.063896   0.063355  0.064927     23.02    23.35
JP Morgan Chase & Co.    48126DVW6 02/28/13 02/28/19    100.000     0.000    2.1003              0.060796   0.060766   0.062422   0.062049  0.063740     22.45    22.88
JP Morgan Chase & Co.    48126DVX4 02/28/13 08/31/18    100.000     0.000    2.0204              0.058367   0.058316   0.059881   0.059500  0.061097     21.54    21.94
JP Morgan Chase & Co.    48126DVY2 02/11/13 02/10/20    100.000     0.000    2.6402              0.078306   0.079340   0.080387   0.081448  0.082523     28.67    29.43
JP Morgan Chase & Co.    48126DZF9 03/28/13 03/29/19    100.000    VARIES    2.2418              0.064869   0.065411   0.065966   0.066527  0.067100     23.55    23.95
JP Morgan Chase & Co.    48126DZG7 03/28/13 03/29/19    100.000     0.000    2.2503              0.066111   0.066855   0.067607   0.068368  0.069137     24.07    24.62
JP Morgan Chase & Co.    48126DZP7 03/28/13 09/28/18    100.000     0.000    2.0503              0.059933   0.060548   0.061169   0.061796  0.062429     21.80    22.25
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES    3.3453              0.095039   0.095522   0.096048   0.096584  0.097172     34.39    34.78
JP Morgan Chase & Co.    48126N3B1 02/28/14 02/29/20    100.000     0.000    2.8178              0.080733   0.080980   0.083483   0.083278  0.085852     29.93    30.72
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES    4.4199              0.118338   0.116793   0.116506   0.116212  0.115911     42.15    41.83
JP Morgan Chase & Co.    48126N6E2 05/07/14 05/05/17    100.000     0.000    1.5702              0.044649   0.044999   0.045352                          16.18     5.62
JP Morgan Chase & Co.    48126N6F9 05/07/14 05/05/17    100.000     0.150    1.5618              0.044308   0.044621   0.044937                          16.04     5.57
JP Morgan Chase & Co.    48126N6J1 05/14/14 05/12/17    100.000     0.000    1.4801              0.042032   0.042344   0.042657                          15.22     5.59
JP Morgan Chase & Co.    48126N6K8 05/14/14 05/12/17    100.000     0.150    1.4777              0.041870   0.042149   0.042429                          15.15     5.56
JP Morgan Chase & Co.    48126NCU9 06/28/13 06/28/19    100.000     0.000    3.2501              0.097861   0.099451   0.101067   0.102710  0.104379     35.53    36.69
JP Morgan Chase & Co.    48126NCV7 06/28/13 06/30/20    100.000    VARIES    3.6188              0.102997   0.103575   0.104212   0.104861  0.105576     37.18    37.63
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES    4.3048              0.121714   0.122442   0.123185   0.123944  0.124852     43.95    44.48
JP Morgan Chase & Co.    48126NGN1 07/02/13 07/03/19    100.000     0.000    3.2114              0.095086   0.096613   0.098164   0.099741  0.101342     35.05    36.19
JP Morgan Chase & Co.    48126NHE0 07/31/13 07/31/19    100.000    VARIES    2.9571              0.084835   0.085565   0.086306   0.087074  0.087853     30.89    31.44
JP Morgan Chase & Co.    48126NHH3 07/31/13 07/31/18    100.000     0.000    2.5902              0.075753   0.076734   0.077728   0.078735  0.079755     27.75    28.47
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES    3.9756              0.111766   0.112428   0.113104   0.113792  0.114495     40.56    41.05
JP Morgan Chase & Co.    48126NHK6 07/11/13 07/11/19    100.000     0.000    3.3903              0.100726   0.102434   0.104170   0.105936  0.107732     37.15    38.42
JP Morgan Chase & Co.    48126NJJ7 07/31/13 07/31/19    100.000     0.000    2.9705              0.087529   0.088829   0.090148   0.091487  0.092846     32.14    33.10
JP Morgan Chase & Co.    48126NLK1 08/05/13 08/03/17    100.000     0.000    2.1505              0.062340   0.063011   0.063688   0.064373               22.76    13.63
JP Morgan Chase & Co.    48126NMG9 08/30/13 08/30/19    100.000     0.000    3.2508              0.094739   0.096279   0.098381   0.099434  0.101606     35.41    36.50
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES    4.2968              0.118844   0.118268   0.120971   0.119745  0.122505     43.65    44.12
JP Morgan Chase & Co.    48126NNA1 08/30/13 08/30/19    100.000    VARIES    3.2354              0.091419   0.092234   0.093574   0.093926  0.095324     33.88    34.44
JP Morgan Chase & Co.    48126NQB6 08/29/13 08/31/20    100.000     0.000    3.7493              0.110972   0.111823   0.115808   0.116055  0.120191     41.37    42.85
JP Morgan Chase & Co.    48126NQX8 09/30/13 09/30/19    100.000    VARIES    2.9713              0.084451   0.084994   0.085545   0.086147  0.086758     30.60    31.02
JP Morgan Chase & Co.    48126NQZ3 09/30/13 09/28/18    100.000     0.000    2.5208              0.073611   0.074539   0.075478   0.076430  0.077393     26.84    27.52
JP Morgan Chase & Co.    48126NRP4 09/30/13 03/29/18    100.000     0.000    2.2910              0.066603   0.067366   0.068137   0.068918  0.069707     24.26    24.81
JP Morgan Chase & Co.    48126NSK4 09/18/13 09/18/20    100.000     0.000    3.8712              0.116106   0.118354   0.120645   0.122980  0.125360     42.67    44.34
JP Morgan Chase & Co.    48126NSW8 10/18/13 10/18/28*   100.000    VARIES    4.7118              0.115460   0.112911                                     32.68*        
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES    4.4384              0.113300   0.113047   0.112788   0.112523  0.112253     40.71    40.52
JP Morgan Chase & Co.    48126NT64 01/31/14 01/31/20    100.000     0.000    2.7907              0.080810   0.081938   0.083081   0.084241  0.085416     29.64    30.47
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES    4.6982              0.119871   0.119541   0.119204   0.118859  0.118505     43.07    42.82
JP Morgan Chase & Co.    48126NU21 01/14/14 01/12/18    100.000     0.000    2.0000              0.057234   0.057807   0.058385   0.058969  0.059558     20.90    21.32
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126NU96 01/24/14 01/26/21    100.000     0.000    3.3004              0.096312   0.097902   0.099517   0.101160  0.102829     35.46    36.64
JP Morgan Chase & Co.    48126NWU7 10/31/13 10/31/19    100.000     0.000    2.7408              0.080395   0.081496   0.082613   0.083745  0.084893     29.28    30.08
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES    3.8579              0.108287   0.108854   0.109431   0.110020  0.110620     39.16    39.57
JP Morgan Chase & Co.    48126NXS1 10/21/13 10/21/20    100.000     0.000    3.5611              0.106156   0.108047   0.109970   0.111929  0.113922     38.82    40.22
JP Morgan Chase & Co.    48126NZY6 11/29/13 11/29/19    100.000     0.000    2.8103              0.082545   0.083705   0.084881   0.086074  0.087283     30.00    30.85
JP Morgan Chase & Co.    48126NZZ3 11/29/13 11/29/19    100.000     0.000    2.8103              0.082545   0.083705   0.084881   0.086074  0.087283     30.00    30.85
JP Morgan Chase & Co.    48127A351 12/26/13 06/24/21    100.000     0.000    3.6699              0.109612   0.111623   0.113672   0.115757  0.117881     39.85    41.33
JP Morgan Chase & Co.    48127D3H9 12/17/14 12/17/20    100.000    VARIES    2.7852              0.077680   0.077922   0.078167   0.078468  0.078774     28.02    28.20
JP Morgan Chase & Co.    48127D4A3 12/31/14 12/31/20    100.000     0.000    1.7100              0.048318   0.048731   0.049148   0.049568  0.049992     17.47    17.77
JP Morgan Chase & Co.    48127DCY2 04/30/14 04/30/20    100.000     0.000    2.8708              0.083229   0.084423   0.085635   0.086864  0.088111     30.32    31.20
JP Morgan Chase & Co.    48127DFJ2 04/23/14 04/22/20    100.000    VARIES    2.8446              0.079686   0.079953   0.080281   0.080613  0.081001     28.78    29.01
JP Morgan Chase & Co.    48127DKP2 06/04/14 06/05/18    100.000     0.000    1.9100              0.053698   0.054211   0.055030   0.055252  0.056086     19.78    20.15
JP Morgan Chase & Co.    48127DMP0 06/30/14 09/30/20    100.000     0.000    2.7897              0.080226   0.081345   0.082480   0.083631  0.084797     29.29    30.11
JP Morgan Chase & Co.    48127DNW4 10/31/14 10/31/29    100.000    VARIES    2.8582              0.078604   0.078200   0.077789   0.077809  0.077830     28.18    28.01
JP Morgan Chase & Co.    48127DPA0 11/21/14 11/21/29    100.000    VARIES    4.0316              0.108685   0.106982   0.105245   0.104973  0.104697     38.68    37.82
JP Morgan Chase & Co.    48127DPG7 12/24/14 12/24/29    100.000    VARIES    4.0345              0.109991   0.108920   0.107827   0.107763  0.107698     39.39    38.81
JP Morgan Chase & Co.    48127DPH5 12/24/14 12/24/29    100.000    VARIES    2.8705              0.079778   0.079799   0.079821   0.079833  0.079847     28.72    28.74
JP Morgan Chase & Co.    48127DQH4 02/27/15 02/27/30    100.000    VARIES    4.0540              0.111275   0.109910   0.108517   0.107097  0.106583     39.47    38.57
JP Morgan Chase & Co.    48127DVW5 08/29/14 08/31/20    100.000     0.000    2.8192              0.079664   0.079909   0.082379   0.082178  0.084718     29.54    30.32
JP Morgan Chase & Co.    48127DYS1 09/30/14 09/30/20    100.000     0.000    2.9909              0.085586   0.086866   0.088165   0.089484  0.090822     31.28    32.22
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000    3.8108              0.112023   0.114158   0.116333   0.118550  0.120809     40.98    42.55
Justice Park Dist, IL    48214PAP0 06/07/11 12/01/16    102.404    VARIES    4.4687              0.124769   0.124454                                     41.12         
Justice Park Dist, IL    48214PAQ8 06/07/11 12/01/17    101.380    VARIES    4.7209              0.131829   0.131663   0.131492   0.131318               47.42    43.36
Justice Park Dist, IL    48214PAR6 06/07/11 12/01/18    100.000    VARIES    4.9723              0.138227   0.138210   0.138193   0.138176  0.138158     49.76    49.75
Justice Park Dist, IL    48214PAS4 06/07/11 12/01/19     97.305    VARIES    5.3724              0.147258   0.147483   0.147714   0.147951  0.148195     53.07    53.23
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES    5.7224              0.154024   0.154457   0.154902   0.155360  0.155831     55.55    55.88
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES    5.9725              0.157867   0.158434   0.159018   0.159619  0.160238     56.97    57.39
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300    4.9135      .10     0.004500   0.004596   0.004709   0.004824  0.004943      1.65     1.73
Kansas City Southern     485170AN4 12/09/15 05/15/20     97.300     2.350    3.0049      .35     0.015940   0.016148   0.016391   0.016637  0.016887      5.80     5.97
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000    3.7202      .33     0.015210   0.015456   0.015743   0.016036  0.016335      5.54     5.75
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300    4.9135      .10     0.004500   0.004596   0.004709   0.004824  0.004943      1.65     1.73
Kansas City Southern     485170AU8 12/09/15 05/15/20     97.300     2.350    3.0049      .35     0.015940   0.016148   0.016391   0.016637  0.016887      5.80     5.97
Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000    3.7202      .33     0.015210   0.015456   0.015743   0.016036  0.016335      5.54     5.75
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300    4.9135      .10     0.004500   0.004596   0.004709   0.004824  0.004943      1.65     1.73
Kansas City Southern     485170AZ7 12/09/15 05/15/20     97.300     2.350    3.0049      .35     0.015940   0.016148   0.016391   0.016637  0.016887      5.80     5.97
KFW                      500769BR4 04/19/06 04/18/36     19.778     0.000    5.4761   136.27     0.050256   0.051632   0.053045   0.054498  0.055990     18.54    19.57
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000    5.7800   112.86     0.047161   0.048524   0.049926   0.051369  0.052853     17.23    18.24
LaSalle CNTY SD #141, IL 504588FC3 06/01/12 12/01/16    106.786    VARIES    2.3843              0.067283   0.066761                                     22.11         
Lake County IL SD #187   509262CV1 04/09/03 01/01/21     35.244     0.000    5.9694   392.76     0.123568   0.127256   0.131054   0.134966               45.15    47.88
Lakewood Township, NJ    512678QV8 08/22/12 04/01/16     98.453     2.000    2.4505    14.36     0.012363                                                 1.11         
Lakewood Township, NJ    512678QW6 08/22/12 04/01/17     98.381     2.250    2.6252    11.61     0.010024   0.010155   0.010289                           3.66      .93
Lakewood Township, NJ    512678QX4 08/22/12 04/01/18     98.460     2.700    3.0003     8.91     0.007745   0.007861   0.007979   0.008099  0.008220      2.83     2.92
Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17    100.000     0.000    3.7493              0.121977   0.124263                                     44.32         
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18    100.000     0.000    3.9993              0.131477   0.134106   0.136788   0.139523               47.81    49.74
Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19    100.000     0.000    4.2492              0.141156   0.144155   0.147218   0.150345               51.36    53.56
Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20    117.427     0.000    4.4992              0.177340   0.181330   0.185409   0.189580               64.56    67.50
Liberty Interactive Corp 530610AA2 04/09/13 03/30/43    100.000     2.984    6.0292              0.180879   0.183833   0.186876   0.190011  0.193240     66.19    68.42
Liberty Interactive Corp 530610AB0 09/09/13 09/30/43    100.000     1.000    2.5054              0.071795   0.072346   0.072904   0.073470  0.074042     26.05    26.45
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750    5.2775                         0.146600   0.147131   0.149731  0.152399     18.81    53.91
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000    9.0689              0.692978   0.719363   0.746944   0.775776  0.805915    256.70   276.80
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000    9.0689              0.692978   0.719363   0.746944   0.775776  0.805915    256.70   276.80
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750    9.4298              0.763139   0.794209   0.826744   0.860813  0.896488    288.97   313.25
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750    9.4298              0.763139   0.794209   0.826744   0.860813  0.896488    288.97   313.25
Liberty Media Corp.      530715AM3 01/11/01 01/15/31    100.000     3.500    N/A                 0.586621   0.606880   0.627793   0.649355  0.671560    221.66   237.15
Liberty Media Corp.      530715AN1 01/11/01 01/15/31    100.000     3.500    N/A                 0.586621   0.606880   0.627793   0.649355  0.671560    221.66   237.15
Liberty Media Corp.      531229AC6 08/17/16 09/30/46    100.000     2.250    4.1930                         0.116474   0.116745   0.117882  0.119043     15.63    42.44
Lloyds TSB Bank PLC      5394E8AH2 07/28/11 07/28/16    100.000    VARIES    2.0468              0.008079   0.008162                                      1.69         
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES    4.6791              0.116504   0.115703   0.114882   0.114042  0.114409     41.69    41.18
Lloyds TSB Bank PLC      5394E8AP4 04/27/12 04/27/20    100.000    VARIES    2.7870              0.019303   0.019572   0.019845   0.020121  0.020402      7.03     7.23
Lloyds TSB Bank PLC      5394E8AV1 06/08/12 06/08/27     95.000     8.000    8.5995     6.90     0.006324   0.006596   0.006880   0.007175  0.007484      2.34     2.54
Lloyds TSB Bank PLC      5394E8AX7 06/29/12 06/29/32*   100.000    VARIES    4.7441              0.124602                                                22.18*        
Lloyds TSB Bank PLC      5394E8AY5 06/29/12 06/29/27     95.000     8.000    8.5995     6.77     0.006324   0.006596   0.006880   0.007175  0.007484      2.33     2.53
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES    2.8121              0.007131   0.007231   0.007332   0.007436  0.007540      2.62     2.69
Lloyds TSB Bank PLC      5394E8BC2 07/20/12 07/20/17     98.250    VARIES    2.8582              0.022524   0.022846   0.023173   0.023504                8.27     4.67
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000     4.200    4.6384     9.31     0.008060   0.008247   0.008439   0.008634  0.008835      3.00     3.14
Lloyds TSB Bank PLC      5394E8BG3 09/19/12 09/19/32    100.000    VARIES    4.3107              0.113551   0.113033   0.112502   0.111961  0.111408     40.68    40.29
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES    3.6033              0.090338   0.088851   0.088186   0.087510  0.086821     31.93    31.42
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES    3.6891              0.091094   0.089984   0.088853   0.087701  0.087045     32.30    31.55
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES    3.6254              0.080723   0.076934   0.075591   0.074225  0.072833     28.04    26.79
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES    4.1638              0.098158   0.094457   0.090679   0.090181  0.089672     33.35    32.38
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES    4.0718              0.096731   0.094519   0.092261   0.089957  0.087607     33.73    32.08
Lloyds TSB Bank PLC      5394E8BW8 07/26/13 07/26/28    100.000    VARIES    4.0225              0.105519   0.104046   0.102544   0.101897  0.101237     37.26    36.60
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES    4.1864              0.102695   0.099116   0.095463   0.091732  0.087924     35.23    32.55
Lloyds TSB Bank PLC      5394E8BZ1 08/28/13 08/28/33    100.000    VARIES    4.7627              0.123471   0.122038   0.120570   0.119068  0.117530     43.83    42.76
Lloyds TSB Bank PLC      5394E8CA5 09/26/13 09/26/33    100.000    VARIES    5.0069              0.125382   0.123759   0.122095   0.120390  0.118641     44.53    43.32
Lloyds TSB Bank PLC      5394E8CB3 10/17/13 10/17/33    100.000    VARIES    5.0356              0.126402   0.124942   0.123446   0.121913  0.120340     45.02    43.93
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES    5.0339              0.125410   0.123116   0.120764   0.118353  0.115881     44.43    42.72
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES    4.3735              0.118452   0.118613   0.118777   0.118945  0.119116     42.68    42.80
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES    4.4796              0.110345   0.108352   0.106315   0.104233  0.102104     39.23    37.76
Lloyds TSB Bank PLC      5394E8CF4 12/27/13 12/27/28    100.000    VARIES    4.0354              0.101526   0.100949   0.100361   0.099761  0.099149     36.44    36.02
Lloyds TSB Bank PLC      5394E8CG2 01/29/14 01/29/34    100.000    VARIES    4.7509              0.121245   0.117498   0.115951   0.114367  0.112745     42.17    40.97
Lloyds TSB Bank PLC      5394E8CK3 04/10/14 04/10/34    100.000    VARIES    4.6720              0.119856   0.116393   0.115347   0.114277  0.113182     42.16    41.16
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES    3.7158              0.093307   0.089880   0.087411   0.084896  0.082334     32.58    30.68
Macon CNTYS SD #11, IL   555495DQ0 05/06/15 12/01/16    104.270     0.000    0.9818              0.028598   0.028738                                      9.46         
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Macon CNTYS SD #11, IL   555495DR8 05/06/15 12/01/17    105.649    VARIES    1.4828              0.043884   0.044210   0.042113   0.041653               15.80    13.81
Macon CNTYS SD #11, IL   555495DS6 05/06/15 12/01/18    107.392    VARIES    1.8335              0.055267   0.055774   0.053088   0.052556  0.052019     19.92    18.98
Macon CNTYS SD #11, IL   555495DT4 05/06/15 12/01/19    109.091    VARIES    2.1340              0.065456   0.066155   0.062906   0.062318  0.061723     23.61    22.50
Macon CNTYS SD #11, IL   555495DU1 05/06/15 12/01/20    109.863    VARIES    2.3354              0.072220   0.073064   0.069590   0.069024  0.068451     26.07    24.92
Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16    106.138    VARIES    3.7230              0.104500   0.103963                                     34.39         
Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17    103.230    VARIES    4.2717              0.119850   0.119562   0.119267   0.118967               43.08    39.30
Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18    105.024    VARIES    4.2243              0.119720   0.119344   0.118961   0.118569  0.118169     43.01    42.73
Macon CNTYS SD #9, IL    555864AF4 05/24/13 12/01/16    106.008    VARIES    1.5380              0.043446   0.043086                                     14.27         
Macon CNTYS SD #9, IL    555864AG2 05/24/13 12/01/17    106.698    VARIES    1.7393              0.049743   0.049391   0.049035   0.048676               17.82    16.12
Macon CNTYS SD #9, IL    555864AH0 05/24/13 12/01/18    106.171    VARIES    2.0893              0.059985   0.059669   0.059349   0.059026  0.058700     21.52    21.29
Macon CNTYS SD #9, IL    555864AJ6 05/24/13 12/01/19    106.514    VARIES    2.4384              0.070460   0.070134   0.069803   0.069469  0.069131     25.29    25.05
Macon CNTYS SD #9, IL    555864AK3 05/24/13 12/01/20    105.634    VARIES    2.6887              0.077504   0.077239   0.076970   0.076698  0.076422     27.84    27.64
Marion County, IL        56884PAQ0 06/02/16 12/01/21    106.954     3.550    2.2000                         0.065362   0.064998   0.064628  0.064254     13.65    23.31
Marion CNTY SD #133, IL  568870BJ7 05/05/15 12/01/19    113.641    VARIES    2.7710              0.088863   0.090094   0.084081   0.082937  0.081777     32.07    29.99
Marion CNTY SD #133, IL  568870BK4 05/05/15 12/01/20    116.003    VARIES    3.0724              0.100747   0.102295   0.095480   0.094280  0.093061     36.39    34.08
Marion CNTY SD #133, IL  568870BL2 05/05/15 12/01/21    116.656    VARIES    3.3737              0.111440   0.113320   0.106023   0.104883  0.103723     40.29    37.89
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES    3.5754              0.119015   0.121142   0.113549   0.112475  0.111382     43.06    40.62
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES    3.7759              0.128154   0.130573   0.122320   0.121220  0.120100     46.40    43.77
Marion County, OR        56913RAQ1 03/28/02 06/01/16     36.142     0.000    7.3089   609.20     0.195869                                                29.38         
Marion County, OR        56913RAR9 03/28/02 06/01/17     33.393     0.000    7.3590   568.84     0.183416   0.190165   0.197162                          67.66    29.57
Marion County, OR        56913RAS7 03/28/02 06/01/18     31.307     0.000    7.3092   527.73     0.169679   0.175880   0.182308   0.188970  0.195876     62.58    67.24
Marion County, OR        56913RAT5 03/28/02 06/01/19     28.898     0.000    7.3592   492.29     0.158736   0.164577   0.170633   0.176912  0.183421     58.55    62.94
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000    7.4091   458.77     0.148349   0.153844   0.159544   0.165454  0.171583     54.73    58.86
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     7.350    N/A                 0.250448   0.255867   0.261637   0.267782  0.274332     92.15    96.45
Mashantucket Western     574754AM9 07/01/13 03/31/36     14.695     6.500    N/A                 0.120560   0.130065   0.140492   0.151935  0.164501     46.93    54.82
Mason CNTYS SD #191, IL  574816BW3 07/02/10 12/01/18    106.295    VARIES    4.3308              0.123381   0.122895   0.122398   0.121890  0.121372     44.30    43.94
Mason CNTYS SD #191, IL  574816BX1 07/02/10 12/01/19    105.637    VARIES    4.7793              0.136444   0.136020   0.135587   0.135143  0.134688     49.02    48.70
Mclean County, IL        582001FB4 06/30/14 12/01/18     99.601    VARIES    2.2167              0.060741   0.060643   0.060544   0.060671  0.060799     21.84    21.83
Mclean County, IL        582001FD0 06/30/14 12/01/20     99.401    VARIES    3.1536              0.086761   0.086706   0.086649   0.086592  0.086534     31.22    31.18
Mclean County, IL        582001FE8 06/30/14 12/01/21    112.369    VARIES    3.6289              0.110893   0.110133   0.109359   0.108571  0.107769     39.74    39.18
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES    3.8796              0.118384   0.117716   0.117036   0.116343  0.115636     42.46    41.97
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES    4.1299              0.125337   0.124770   0.124192   0.123602  0.122999     44.98    44.57
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES    4.3801              0.131715   0.131254   0.130783   0.130301  0.129809     47.31    46.97
Menard Cass Counties, IL 586362FC4 10/30/15 12/01/16    102.309     0.000    1.3375              0.038055   0.038309                                     12.60         
Menard Cass Counties, IL 586362FD2 10/30/15 12/01/17    104.287    VARIES    1.6414              0.047619   0.048010   0.046547   0.046074               17.18    15.28
Menard Cass Counties, IL 586362FE0 10/30/15 12/01/18    105.955    VARIES    1.9922              0.058737   0.059322   0.057509   0.056975  0.056436     21.21    20.57
Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32    100.000    VARIES    5.7132              0.339506   0.348390   0.356560   0.364963  0.373607    125.66   131.72
Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17    100.000    VARIES    5.5833              0.153522   0.154032   0.154555                          55.42    18.70
Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17    100.000    VARIES    5.6522              0.155938   0.156284   0.156640                          56.23    21.46
Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17    100.000    VARIES    5.9091              0.162893   0.163297   0.163714                          58.73    25.38
Mexican States           593048BN0 03/30/01 12/30/19     89.000     8.125    9.3823    68.88     0.024203   0.025338   0.026527   0.027771  0.029074      8.92     9.78
Miami Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760    8.7675    54.23     0.032508   0.033933   0.035421   0.036973  0.038594     12.01    13.08
Microchip Technology Inc 595017AA2 12/07/07 12/15/37    100.000    VARIES    9.1009              0.447282   0.464994   0.486168   0.502871  0.525986    167.61   181.18
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Microchip Technology Inc 595017AB0 12/07/07 12/15/37    100.000    VARIES    9.1009              0.447282   0.464994   0.486168   0.502871  0.525986    167.61   181.18
Milagro Oil & Gas, Inc.  59870WAA0 05/11/11 05/15/16     97.182    10.500   11.2509    25.53     0.019748                                                 2.65         
Milagro Oil & Gas, Inc.  59870WAB8 05/11/11 05/15/16     97.182    10.500   11.2509    25.53     0.019748                                                 2.65         
Molina Healthcare Inc.   60855RAD2 09/05/14 08/15/44    100.500    VARIES    7.5077              0.221459   0.228078   0.234945   0.242070  0.249463     82.75    87.84
Molina Healthcare Inc.   60855RAE0 09/05/14 08/15/44    100.500    VARIES    7.5077              0.221459   0.228078   0.234945   0.242070  0.249463     82.75    87.84
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935    4.6422              0.115141   0.115921   0.116719   0.117536  0.118372     41.75    42.33
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350     2.624    4.6439              0.112655   0.113578   0.114523   0.115490  0.116479     40.91    41.60
Morgan Stanley           617446H69 05/30/07 06/26/17    100.000     0.000    5.8001              0.263036   0.270665   0.278514                          96.14    48.74
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES    5.2661              0.147540   0.147614   0.147586   0.147558  0.147437     53.13    53.10
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES    5.5160              0.155292   0.155377   0.155465   0.155491  0.155517     55.95    55.98
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES    6.0157              0.140452   0.140603   0.140760   0.141719  0.142708     50.60    50.91
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES    5.7295              0.129519   0.129008   0.128483   0.127943  0.128482     46.37    46.16
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES    2.2423              0.012330   0.012469   0.012608   0.012750  0.012893      4.51     4.61
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES    6.5857              0.162500   0.161926   0.161334   0.160722  0.160090     58.36    57.93
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES    5.5541              0.139931   0.138777   0.137591   0.137093  0.136581     49.77    49.27
Morgan Stanley           61745E2Y6 07/15/11 07/15/17    100.000    VARIES    4.3803              0.122078   0.122054   0.122029   0.121855               43.94    23.64
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES    6.7333              0.159516   0.155535   0.151419   0.152087  0.152777     56.46    54.67
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES    6.0718              0.138421   0.137651   0.136858   0.136040  0.136306     49.48    49.05
Morgan Stanley           61745E3F6 11/30/11 12/01/16    100.000    VARIES    5.1660              0.011184   0.011107                                      3.68         
Morgan Stanley           61745E3J8 07/28/10 07/28/17    100.000    VARIES    2.9665              0.019420   0.019708   0.020000   0.020297                7.13     4.19
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES    5.7500              0.163004   0.162935   0.162676   0.162410  0.162045     58.62    58.43
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES    5.6230              0.139630   0.138534   0.137408   0.137036  0.136654     49.73    49.29
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES    6.9291              0.165761   0.161880   0.157864   0.159079  0.160336     58.94    57.06
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES    2.7071              0.020760   0.021041   0.021326   0.021615  0.021901      7.60     7.81
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES    5.4529              0.124899   0.123840   0.122752   0.123147  0.123553     44.45    44.38
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES    5.4932              0.133642   0.133361   0.133072   0.133541  0.134023     47.97    48.13
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES    2.8598              0.015826   0.016052   0.016282   0.016515  0.016751      5.80     5.97
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES    5.5117              0.127022   0.126339   0.125638   0.125975  0.126322     45.39    45.39
Morgan Stanley           61745E4M0 12/23/11 12/23/18    100.000    VARIES    4.9659              0.026324   0.026073   0.025815   0.025552  0.025281      9.43     9.24
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES    6.1786              0.146434   0.142376   0.138193   0.133881  0.134344     50.60    48.33
Morgan Stanley           61745E4U2 08/26/09 08/26/16    100.000    VARIES    5.1504              0.146769   0.144942                                     34.16         
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES    5.2217              0.146913   0.147151   0.147183   0.147216  0.147028     52.96    52.98
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES    5.6565              0.134934   0.134915   0.134896   0.135504  0.136130     48.57    48.83
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES    2.8095              0.012280   0.012318   0.012698   0.012666  0.013057      4.55     4.67
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES    5.8739              0.158666   0.158700   0.158735   0.158771  0.159019     57.13    57.18
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES    5.6271              0.134324   0.134342   0.134360   0.134379  0.134569     48.37    48.40
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES    5.5646              0.151876   0.151681   0.151907   0.152139  0.152377     54.64    54.77
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES    4.5799              0.128161   0.128294   0.128431   0.128503  0.128577     46.20    46.27
Morgan Stanley           61745E6M8 02/15/12 02/15/19    100.000    VARIES    5.4091              0.151413   0.151642   0.151594   0.151544  0.151306     54.57    54.53
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES    5.9463              0.141437   0.141639   0.141846   0.142059  0.142696     50.99    51.18
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES    5.5533              0.151859   0.151855   0.151850   0.151846  0.151911     54.67    54.67
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES    5.0167              0.140284   0.140324   0.140365   0.140387  0.140410     50.52    50.54
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES    5.5215              0.126883   0.124070   0.124628   0.122676  0.124792     45.64    45.15
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES    5.3224              0.150787   0.150824   0.150748   0.150669  0.150446     54.29    54.23
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES    5.9065              0.161253   0.161369   0.161614   0.161866  0.162126     58.10    58.27
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES    5.7612              0.151245   0.151279   0.151511   0.151750  0.151996     54.47    54.62
Morgan Stanley           61745EE98 09/22/10 09/22/19    100.000    VARIES    2.8227              0.019452   0.019726   0.020005   0.020287  0.020573      7.11     7.31
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES    5.8397              0.169112   0.169994   0.170044   0.170095  0.170148     61.11    61.23
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES    6.0398              0.163919   0.163822   0.163723   0.163620  0.163600     58.99    58.92
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES    2.2565              0.006917   0.006995   0.007074   0.007153  0.007234      2.52     2.57
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES    5.6734              0.134068   0.132571   0.134726   0.133024  0.135745     48.87    48.99
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES    5.6779              0.154495   0.154872   0.156005   0.155442  0.156417     56.72    56.87
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES    5.7524              0.130181   0.129481   0.130621   0.130346  0.131516     47.55    47.69
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES    5.7371              0.143133   0.142403   0.141653   0.140881  0.140913     51.30    50.81
Morgan Stanley           61745EJ77 09/30/10 09/30/17    100.000    VARIES    2.7147              0.015127   0.015332   0.015541   0.015752                5.52     4.22
Morgan Stanley           61745EJ85 04/28/11 04/28/17    100.000    VARIES    1.7167              0.012013   0.012117   0.012221                           4.36     1.43
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES    5.8527              0.140415   0.140480   0.140548   0.140618  0.140689     50.58    50.63
Morgan Stanley           61745EL33 09/30/10 09/30/19    100.000    VARIES    2.8240              0.028160   0.028558   0.028961   0.029370  0.029784     10.28    10.57
Morgan Stanley           61745EL41 04/29/11 04/29/18    100.000    VARIES    1.6125              0.010395   0.010479   0.010564   0.010649  0.010735      3.77     3.83
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES    5.8547              0.132734   0.133245   0.133771   0.134312  0.134870     47.99    48.37
Morgan Stanley           61745EL90 10/15/10 10/15/19    100.000    VARIES    2.5025              0.017943   0.018167   0.018394   0.018625  0.018858      6.53     6.70
Morgan Stanley           61745EM24 04/29/11 04/29/16    100.000    VARIES    1.5929              0.008816                                                 1.04         
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES    5.5347              0.131604   0.131569   0.131533   0.132210  0.132905     47.36    47.61
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES    5.1511              0.144240   0.144347   0.144378   0.144409  0.144378     51.95    51.98
Morgan Stanley           61745EM99 09/30/11 09/30/17    100.000    VARIES    3.3263              0.011756   0.011951   0.012150   0.012352                4.30     3.30
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES    5.5223              0.140493   0.137993   0.140062   0.137557  0.139606     50.94    50.64
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES    6.1251              0.140766   0.136570   0.132246   0.133193  0.134169     49.15    47.95
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES    1.9922              0.013239   0.013371   0.013504   0.013638  0.013774      4.80     4.90
Morgan Stanley           61745ER52 10/15/10 10/15/19    100.000    VARIES    2.6938              0.022581   0.022885   0.023193   0.023506  0.023822      8.23     8.45
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES    5.6682              0.140516   0.139708   0.138876   0.138021  0.137779     50.39    49.81
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES    5.8922              0.169698   0.169286   0.168861   0.168308  0.167739     61.01    60.68
Morgan Stanley           61745ES93 10/27/10 10/27/17    100.000    VARIES    2.4455              0.017397   0.017609   0.017825   0.018043                6.33     5.32
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES    5.5394              0.149884   0.149795   0.149750   0.149703  0.149655     53.94    53.90
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES    5.3578              0.148832   0.148715   0.148467   0.148212  0.147951     53.55    53.39
Morgan Stanley           61745EUH2 02/23/07 02/23/37*   100.000    VARIES    5.5058              0.132146   0.132312                                     30.69*        
Morgan Stanley           61745EV32 11/23/10 05/23/16    100.000    VARIES    1.4641              0.010471                                                 1.49         
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES    2.3141              0.013923   0.014084   0.014247   0.014412  0.014579      5.05     5.16
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES    5.9021              0.148405   0.149542   0.150713   0.151918  0.152923     54.00    54.83
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES    5.4880              0.126835   0.125602   0.125920   0.126248  0.126584     45.43    45.40
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES    6.4618              0.175692   0.175346   0.174989   0.175060  0.175134     63.14    63.02
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES    6.4553              0.163539   0.164863   0.166230   0.167450  0.168711     59.52    60.44
Morgan Stanley           61745EW72 11/23/10 11/23/19    100.000    VARIES    2.3593              0.017829   0.018040   0.018253   0.018468  0.018686      6.47     6.63
Morgan Stanley           61745EW98 11/17/11 11/17/17    100.000    VARIES    3.9291              0.011557   0.011784   0.012015   0.012252                4.22     3.84
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES    5.7758              0.141464   0.140543   0.139594   0.138619  0.138362     50.76    50.08
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES    3.4515              0.021697   0.022071   0.022452   0.022839  0.023234      8.00     8.28
Morgan Stanley           61745EY39 12/15/10 12/15/19    100.000    VARIES    5.6449              0.161469   0.161131   0.160785   0.160264  0.159728     58.06    57.77
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES    5.5719              0.136598   0.136503   0.137135   0.137785  0.138453     49.16    49.49
Morgan Stanley           61745EZ79 12/15/10 12/15/19    100.000    VARIES    2.6578              0.030890   0.031301   0.031717   0.032138  0.032566     11.21    11.51
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES    5.7788              0.139457   0.140262   0.141090   0.141943  0.142820     50.63    51.25
Morgan Stanley           61745EZ95 11/29/11 11/29/19    100.000    VARIES    5.8963              0.164999   0.164939   0.164877   0.164732  0.164582     59.38    59.32
Morgan Stanley           61746BDP8 02/04/14 02/04/19    100.000     0.000    2.5695              0.074162   0.075114   0.076079   0.077057  0.078047     27.15    27.85
Morgan Stanley           6174822B9 09/28/12 03/28/16    100.000     0.000    2.4304              0.072587                                                 6.32         
Morgan Stanley           6174822C7 09/28/12 09/28/27    100.000    VARIES    4.7924              0.132419   0.132735   0.133059   0.133426  0.133801     47.79    48.04
Morgan Stanley           6174822D5 09/28/12 09/28/32    100.000    VARIES    5.0081              0.136454   0.136394   0.136333   0.136455  0.136579     49.10    49.12
Morgan Stanley           6174822E3 09/28/12 09/28/32    100.000    VARIES    5.0051              0.133741   0.133404   0.133058   0.133016  0.132973     48.02    47.89
Morgan Stanley           6174822F0 09/28/12 09/28/32    100.000    VARIES    4.9982              0.128390   0.127312   0.126207   0.125653  0.125085     45.82    45.23
Morgan Stanley           6174822J2 09/28/12 09/28/32    100.000    VARIES    5.0415              0.135316   0.135142   0.134963   0.135106  0.135253     48.65    48.64
Morgan Stanley           6174822R4 10/31/12 10/31/19    100.000     0.000    3.3498              0.102805   0.104526   0.106277   0.108057  0.109867     37.53    38.80
Morgan Stanley           6174822S2 10/31/12 10/31/17    100.000     0.000    2.8337              0.085650   0.086864   0.088095   0.089343               31.20    26.56
Morgan Stanley           6174822X1 10/31/12 10/29/32    100.000    VARIES    4.6665              0.120202   0.119357   0.118493   0.118152  0.117803     43.01    42.55
Morgan Stanley           6174822Y9 10/31/12 10/29/32    100.000    VARIES    4.6741              0.125570   0.125398   0.125222   0.125417  0.125617     45.15    45.14
Morgan Stanley           6174823M4 11/30/12 11/29/19    100.000     0.000    3.2126              0.098187   0.099764   0.101367   0.102995  0.104650     35.73    36.89
Morgan Stanley           6174823N2 11/30/12 11/30/17    100.000     0.000    2.8394              0.085836   0.087055   0.088291   0.089544               31.20    29.27
Morgan Stanley           6174824H4 04/30/13 04/28/23    100.000    VARIES    3.0092              0.080376   0.080446   0.080603   0.080762  0.080935     28.96    29.07
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES    3.5683              0.094264   0.094358   0.094454   0.094552  0.094702     33.96    34.03
Morgan Stanley           6174824Z4 07/03/13 06/29/20    100.000     0.000    3.7328              0.113690   0.115812   0.117974   0.120175  0.122418     41.32    42.88
Morgan Stanley           617482D76 11/28/11 11/28/17    100.000     0.000    6.9072              0.251747   0.260442   0.269436   0.278742               92.78    89.78
Morgan Stanley           617482E59 12/28/11 12/28/16    100.000     0.000    5.6804              0.197418   0.203025                                     71.49         
Morgan Stanley           617482F41 01/30/12 01/30/18    100.000     0.000    4.7546              0.155682   0.159383   0.163172   0.167051  0.171022     57.84    60.63
Morgan Stanley           617482F66 01/31/12 01/29/27    100.000    VARIES    5.2919              0.139567   0.139060   0.138540   0.138006  0.137868     50.00    49.68
Morgan Stanley           617482F90 02/28/12 02/28/19    100.000     0.000    5.2371              0.172415   0.175006   0.182565   0.184292  0.192252     64.83    68.15
Morgan Stanley           617482G73 03/30/12 03/29/18    100.000     0.000    4.9522              0.163230   0.167271   0.171413   0.175658  0.180007     60.24    63.26
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES    6.4023              0.170130   0.169463   0.168775   0.168064  0.167741     60.98    60.52
Morgan Stanley           617482H56 03/30/12 03/30/27    100.000    VARIES    6.3037              0.163738   0.163175   0.162594   0.161995  0.161777     58.74    58.35
Morgan Stanley           617482H64 04/02/12 04/02/27    100.000    VARIES    6.2400              0.162804   0.162107   0.161389   0.160648  0.160532     58.36    57.89
Morgan Stanley           617482J62 04/30/12 04/28/17    100.000     0.000    4.8877              0.160727   0.164655   0.168679                          59.07    19.74
Morgan Stanley           617482J96 04/30/12 04/28/17    100.000     0.000    4.8877              0.160727   0.164655   0.168679                          59.07    19.74
Morgan Stanley           617482K45 04/25/12 04/26/27    100.000    VARIES    6.3672              0.165678   0.164664   0.164284   0.163893  0.163489     59.37    59.02
Morgan Stanley           617482K60 11/28/11 11/28/16    100.000     0.000    6.6454              0.239766   0.247732                                     79.84         
Morgan Stanley           617482KF0 01/25/10 01/25/16    100.000     0.000    4.0787              0.141471                                                 3.40         
Morgan Stanley           617482L69 01/30/12 01/30/17    100.000     0.000    4.4801              0.145326   0.148581   0.151910                          53.90     4.41
Morgan Stanley           617482L85 01/31/12 01/31/17    100.000     0.000    4.4376              0.143737   0.146926   0.150186                          53.29     4.36
Morgan Stanley           617482L93 01/31/12 01/31/18    100.000     0.000    4.6980              0.153534   0.157141   0.160832   0.164610  0.168477     57.02    59.73
Morgan Stanley           617482LA0 03/15/10 03/15/16    100.000     0.000    4.5963              0.163929                                                12.13         
Morgan Stanley           617482M27 02/28/12 02/28/18    100.000     0.000    5.1562              0.169282   0.171759   0.179108   0.180730  0.188462     63.62    66.82
Morgan Stanley           617482M68 03/30/12 03/29/18    100.000     0.000    4.9684              0.163855   0.167925   0.172097   0.176372  0.180753     60.48    63.52
Morgan Stanley           617482M84 03/30/12 03/27/17    100.000     0.000    4.7958              0.157194   0.160963   0.164823                          57.99    14.17
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482N26 04/30/12 04/30/18    100.000     0.000    5.1859              0.172327   0.176795   0.181380   0.186083  0.190908     63.39    66.72
Morgan Stanley           617482N83 07/05/12 07/03/19    100.000     0.000    5.1922              0.168158   0.172524   0.177003   0.181598  0.186312     62.90    66.21
Morgan Stanley           617482NM2 09/30/10 09/30/16    100.000     0.000    3.8819              0.130688   0.133225                                     35.61         
Morgan Stanley           617482P32 09/04/12 08/30/16    100.000     0.000    3.5949              0.109252   0.111216                                     26.80         
Morgan Stanley           617482P73 10/03/12 10/03/18    100.000     0.000    3.2792              0.100426   0.102073   0.103746   0.105447  0.107176     36.74    37.96
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES    6.2468              0.162902   0.162509   0.162103   0.162069  0.162034     58.57    58.35
Morgan Stanley           617482Q23 10/31/12 10/31/19    100.000     0.000    3.3724              0.103567   0.105314   0.107090   0.108895  0.110732     37.81    39.10
Morgan Stanley           617482Q72 05/30/12 11/30/17    100.000     0.000    5.8534              0.195749   0.201478   0.208514   0.213444               73.10    70.34
Morgan Stanley           617482QH0 01/28/11 01/27/17    100.000     0.000    4.1753              0.139668   0.142584   0.145561                          51.71     3.78
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES    N/A                 0.148551   0.148523   0.148559   0.148596  0.148804     53.47    53.52
Morgan Stanley           617482R55 05/31/12 05/28/32    100.000    VARIES    6.7095              0.165396   0.162891   0.160302   0.157627  0.156056     58.92    57.09
Morgan Stanley           617482R63 06/04/12 06/04/27    100.000    VARIES    6.4699              0.179393   0.179371   0.179307   0.179242  0.179175     64.58    64.54
Morgan Stanley           617482R71 06/15/12 06/15/27    100.000    VARIES    6.6026              0.181444   0.181871   0.182313   0.182768  0.183170     65.41    65.73
Morgan Stanley           617482R97 06/29/12 06/29/17    100.000     0.000    4.7647              0.156068   0.159787   0.163593                          56.87    29.12
Morgan Stanley           617482RB2 02/25/11 02/27/17    100.000     0.000    4.3449              0.146484   0.149667   0.152918                          54.10     8.56
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES    5.9550              0.158349   0.157814   0.157540   0.157259  0.156969     56.81    56.59
Morgan Stanley           617482RL0 03/30/11 09/29/17    100.000     0.000    4.3132              0.145162   0.148293   0.151491   0.154758               53.40    41.19
Morgan Stanley           617482S70 06/29/12 06/29/32    100.000    VARIES    6.4088              0.159905   0.157837   0.156711   0.155549  0.154349     57.19    56.20
Morgan Stanley           617482S88 06/29/12 06/29/27    100.000    VARIES    6.1368              0.169211   0.169532   0.169642   0.169755  0.169872     60.97    61.09
Morgan Stanley           617482T95 07/31/12 07/31/18    100.000     0.000    4.8288              0.154778   0.158515   0.162342   0.166262  0.170276     57.53    60.35
Morgan Stanley           617482TA2 04/28/11 07/28/17    100.000     0.000    4.1507              0.137302   0.140152   0.143061   0.146030               50.82    30.15
Morgan Stanley           617482TQ7 05/27/11 05/30/17    100.000     0.000    3.9013              0.128993   0.131509   0.134075                          47.05    19.98
Morgan Stanley           617482U36 07/31/12 07/29/16    100.000     0.000    4.2660              0.134483   0.137351                                     28.49         
Morgan Stanley           617482U44 07/31/12 07/30/27    100.000    VARIES    5.9206              0.160416   0.162491   0.161044   0.164306  0.162227     59.19    59.55
Morgan Stanley           617482U51 07/31/12 07/30/32    100.000    VARIES    6.0840              0.158727   0.160059   0.157900   0.160291  0.157449     58.21    58.00
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES    5.3835              0.146495   0.146211   0.145934   0.145650  0.145358     52.67    52.47
Morgan Stanley           617482UP7 06/29/11 06/29/17    100.000     0.000    3.6574              0.119593   0.121780   0.124007                          43.46    22.07
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES    5.5344              0.140881   0.140246   0.139594   0.138924  0.138631     50.58    50.12
Morgan Stanley           617482V50 07/31/12 07/30/32    100.000    VARIES    6.0491              0.148710   0.149183   0.146378   0.147565  0.143903     54.15    53.26
Morgan Stanley           617482V68 08/17/12 08/17/27    100.000    VARIES    5.8776              0.164373   0.165109   0.165866   0.166359  0.166867     59.51    59.93
Morgan Stanley           617482V76 08/31/12 08/31/32    100.000    VARIES    5.8050              0.154028   0.152047   0.154246   0.151571  0.153917     56.04    55.77
Morgan Stanley           617482V84 08/31/12 08/31/32    100.000    VARIES    5.7934              0.145347   0.142336   0.143198   0.140108  0.141640     52.38    51.51
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES    5.5330              0.141919   0.141196   0.140814   0.140422  0.140020     50.96    50.62
Morgan Stanley           617482VG6 06/14/11 09/14/17    100.000     0.000    3.8913              0.127335   0.129813   0.132339   0.134914               46.82    33.95
Morgan Stanley           617482VQ4 08/31/11 08/31/17    100.000     0.000    4.9901              0.166967   0.169273   0.176372   0.177825               62.69    42.95
Morgan Stanley           617482VU5 08/29/11 08/29/17    100.000     0.000    5.0291              0.166697   0.172767   0.176143   0.181565               63.30    43.26
Morgan Stanley           617482VX9 09/29/11 09/29/17    100.000     0.000    6.0377              0.212770   0.219194   0.225811   0.232628               78.95    61.74
Morgan Stanley           617482VZ4 10/28/11 10/28/16    100.000     0.000    5.1995              0.177351   0.181962                                     53.50         
Morgan Stanley           617482W75 08/31/12 08/31/18    100.000     0.000    4.3348              0.135440   0.136871   0.142155   0.142869  0.148384     50.66    52.78
Morgan Stanley           617482W91 08/31/12 08/31/16    100.000     0.000    3.6382              0.111369   0.112163                                     27.21         
Morgan Stanley           617482WA8 10/28/11 10/28/16    100.000     0.000    5.1995              0.177351   0.181962                                     53.50         
Morgan Stanley           617482WC4 07/28/11 07/28/17    100.000     0.000    4.3106              0.142012   0.145073   0.148200   0.151394               52.62    31.25
Morgan Stanley           617482WK6 07/28/11 07/28/17    100.000     0.000    4.3106              0.142012   0.145073   0.148200   0.151394               52.62    31.25
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482X25 08/31/12 08/31/27    100.000    VARIES    5.6218              0.153107   0.151657   0.154394   0.152397  0.155467     55.93    56.12
Morgan Stanley           617482X41 08/31/12 08/31/32    100.000    VARIES    5.8551              0.156877   0.155074   0.157541   0.155118  0.157842     57.17    57.09
Morgan Stanley           617482X90 09/28/12 09/28/18    100.000     0.000    3.2592              0.099754   0.101380   0.103032   0.104711  0.106417     36.51    37.71
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES    6.1188              0.154636   0.155533   0.153862   0.154256  0.152950     56.66    56.12
Morgan Stanley           617482XL3 08/26/11 08/25/17    100.000     0.000    4.9767              0.168261   0.172448   0.176739   0.181137               62.40    42.15
Morgan Stanley           617482XT6 08/31/11 08/31/17    100.000     1.000    5.0228              0.162250   0.163834   0.170039   0.170785               60.63    41.29
Morgan Stanley           617482XW9 09/29/11 09/29/17    100.000     0.000    6.0328              0.212554   0.218966   0.225571   0.232375               78.87    61.68
Morgan Stanley           617482Y99 11/30/12 11/30/27    100.000    VARIES    4.1468              0.113775   0.114029   0.114289   0.114569  0.114856     41.02    41.21
Morgan Stanley           617482YD0 09/16/11 09/14/18    100.000     0.000    5.1470              0.175153   0.179660   0.184284   0.189027  0.193891     64.84    68.22
Morgan Stanley           617482YU2 10/28/11 10/28/16    100.000     0.000    5.1961              0.177211   0.181816                                     53.46         
Morgan Stanley           617482Z23 11/30/12 11/30/32    100.000    VARIES    4.3509              0.112469   0.111691   0.110896   0.110593  0.110282     40.30    39.85
Morgan Stanley           617482Z31 11/30/12 11/30/32    100.000    VARIES    4.3570              0.117076   0.116908   0.116736   0.116902  0.117071     42.11    42.07
Morgan Stanley           617484381 03/09/10 01/07/16    100.000     0.000    4.4482              0.156209                                                  .94         
Morgan Stanley           61755S172 06/04/12 05/30/17    100.000     0.000    5.5376              0.186120   0.191274   0.196570                          68.25    29.29
Morgan Stanley           61755S354 07/03/12 02/27/17    100.000     0.000    4.7356              0.152450   0.156060   0.159755                          56.44     8.95
Morgan Stanley           61755S412 08/02/12 07/30/18    100.000     0.000    4.5511              0.144657   0.147949   0.151316   0.154759  0.158281     53.67    56.15
Morgan Stanley           61755S552 08/17/12 10/17/17    100.000     0.000    4.2529              0.134984   0.137854   0.140785   0.143779               49.54    40.80
Morgan Stanley           61758S260 09/04/14 02/28/22    100.000     0.000    3.2753              0.092921   0.093416   0.096520   0.096501  0.099707     34.54    35.62
Morgan Stanley           61758S559 09/02/14 07/03/23    100.000     0.000    3.4567              0.098815   0.100523   0.102260   0.104028  0.105826     36.49    37.77
Morgan Stanley           61758S625 10/03/14 03/31/22    100.000     0.000    3.6906              0.106314   0.108276   0.110274   0.112309  0.114382     38.99    40.44
Morgan Stanley           61759G588 07/23/10 07/22/16    100.000     0.000    4.6755              0.163619   0.167444                                     33.58         
Morgan Stanley           61759G612 08/30/10 08/25/16    100.000     0.000    4.0488              0.137351   0.140131                                     32.64         
Morgan Stanley           61759G653 07/30/10 03/30/17    100.000     0.000    5.0431              0.181214   0.185783   0.190468                          66.90    16.95
Morgan Stanley           61759G844 06/29/10 06/24/16    100.000     0.000    5.4889              0.205212                                                35.50         
Morgan Stanley           61760E226 08/31/11 08/31/17    100.000     0.000    5.0772              0.170460   0.172888   0.180215   0.181777               64.03    43.90
Morgan Stanley           61760E309 02/25/11 02/22/18    100.000     0.000    4.9086              0.169533   0.173694   0.177957   0.182325  0.186799     62.87    65.99
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000    5.3273              0.179957   0.184011   0.188172   0.192445  0.196831     65.57    68.57
Morgan Stanley           61760E366 06/30/11 06/30/17    100.000     0.000    3.7941              0.124815   0.127183   0.129596                          45.36    23.20
Morgan Stanley           61760E481 07/29/11 07/29/16    100.000     0.000    3.9112              0.126853   0.129333                                     26.83         
Morgan Stanley           61760E499 07/29/11 07/31/17    100.000     0.000    4.2685              0.140429   0.143426   0.146487   0.149614               52.01    31.18
Morgan Stanley           61760E630 05/27/11 05/24/17    100.000     0.000    3.9896              0.132343   0.134983   0.137675                          48.32    19.69
Morgan Stanley           61760P650 09/29/11 12/22/17    100.000     0.000    6.0586              0.216661   0.223224   0.229987   0.236954               79.30    81.98
Morgan Stanley           61760P692 09/30/11 09/29/17    100.000     1.000    6.0171              0.204412   0.209726   0.215200   0.220839               75.54    58.69
Morgan Stanley           61760P825 09/30/11 09/29/17    100.000     1.000    6.0418              0.205449   0.210817   0.216346   0.222043               75.93    59.01
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES    5.1013              0.117926   0.116374   0.118021   0.115813  0.118158     42.89    42.69
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES    5.1024              0.132355   0.130121   0.132024   0.129615  0.131497     47.99    47.68
Morgan Stanley           61760QAE4 02/28/12 02/28/17    100.000    VARIES    3.1265              0.016430   0.016505   0.017041                           6.10      .99
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES    5.5709              0.132058   0.131397   0.130717   0.130018  0.130174     47.28    46.87
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES    5.8740              0.137425   0.133302   0.133264   0.133224  0.133182     48.35    47.96
Morgan Stanley           61760QAM6 03/16/12 03/16/17    100.000    VARIES    3.6245              0.029600   0.030136   0.030683                          10.87     2.30
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES    6.0912              0.153420   0.151482   0.150727   0.149948  0.149147     54.64    53.98
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES    5.8450              0.139801   0.138010   0.138132   0.138258  0.138387     49.85    49.77
Morgan Stanley           61760QAR5 03/30/12 03/30/17    100.000    VARIES    3.2447              0.019711   0.020031   0.020356                           7.21     1.81
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QAU8 03/30/12 03/30/17    100.000    VARIES    3.2451              0.019723   0.020043   0.020368                           7.22     1.81
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES    5.9580              0.139888   0.135781   0.135845   0.135912  0.135980     49.37    48.92
Morgan Stanley           61760QAX2 04/16/12 04/16/16    100.000    VARIES    2.9299              0.019553                                                 2.05         
Morgan Stanley           61760QAY0 04/16/12 04/16/19    100.000    VARIES    3.3327              0.014418   0.014658   0.014903   0.015151  0.015404      5.27     5.45
Morgan Stanley           61760QBA1 04/30/12 04/30/17    100.000    VARIES    3.6147              0.029345   0.029875   0.030415                          10.73     3.62
Morgan Stanley           61760QBB9 04/30/12 04/30/32    100.000    VARIES    6.3756              0.153213   0.151111   0.148943   0.146705  0.146017     54.52    53.04
Morgan Stanley           61760QBC7 04/30/12 04/30/17    100.000    VARIES    3.3427              0.022275   0.022648   0.023026                           8.13     2.74
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES    3.6558              0.014928   0.015201   0.015479   0.015762  0.016050      5.45     5.65
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES    3.9370              0.020876   0.021287   0.021706   0.022133  0.022569      7.63     7.93
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES    6.1477              0.147715   0.145920   0.144070   0.142164  0.142144     52.74    51.46
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES    6.1477              0.147715   0.145920   0.144070   0.142164  0.142144     52.74    51.46
Morgan Stanley           61760QBK9 05/30/12 05/30/17    100.000    VARIES    3.9102              0.036963   0.037685   0.038422                          13.48     5.72
Morgan Stanley           61760QBM5 06/15/12 06/15/19    100.000    VARIES    4.3021              0.019967   0.020396   0.020835   0.021283  0.021741      7.28     7.60
Morgan Stanley           61760QBP8 06/20/12 06/20/17    100.000    VARIES    4.3857              0.010039   0.010259   0.010484                           3.66     1.77
Morgan Stanley           61760QBR4 08/02/12 08/02/19    100.000    VARIES    3.6421              0.015439   0.015720   0.016006   0.016297  0.016594      5.69     5.90
Morgan Stanley           61760QBS2 07/20/12 07/20/17    100.000    VARIES    3.6336              0.016379   0.016676   0.016979   0.017288                6.05     3.43
Morgan Stanley           61760QBU7 08/14/12 08/14/17    100.000    VARIES    3.5375              0.013922   0.014168   0.014419   0.014674                5.12     3.26
Morgan Stanley           61760QBV5 08/31/12 09/01/19    100.000    VARIES    3.6020              0.014499   0.014760   0.015026   0.015296  0.015572      5.33     5.52
Morgan Stanley           61760QBW3 08/28/12 02/29/16    100.000    VARIES    2.4781              0.028640                                                 1.69         
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES    4.4801              0.124374   0.124544   0.124717   0.124707  0.124696     44.83    44.89
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES    4.6394              0.128543   0.128694   0.128849   0.128866  0.128883     46.33    46.39
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES    4.4678              0.133540   0.135120   0.136735   0.137510  0.138302     48.46    49.42
Morgan Stanley           61760QCD4 12/28/12 12/28/22    100.000    VARIES    2.1576              0.008359   0.008449   0.008540   0.008632  0.008725      3.03     3.09
Morgan Stanley           61760QCG7 01/31/13 01/31/23    100.000    VARIES    2.1325              0.009064   0.009161   0.009259   0.009357  0.009457      3.31     3.38
Morgan Stanley           61760QCJ1 02/15/13 02/15/18    100.000    VARIES    1.6302              0.009070   0.009147   0.009222   0.009297  0.009373      3.30     3.35
Morgan Stanley           61760QCK8 02/28/13 03/01/23    100.000    VARIES    1.9098              0.008980   0.009065   0.009152   0.009328  0.009417      3.27     3.33
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES    3.9695              0.098231   0.097612   0.096981   0.096337  0.096577     35.25    34.80
Morgan Stanley           61760QCR3 06/07/13 06/07/20    100.000    VARIES    1.7753              0.011292   0.011392   0.011493   0.011595  0.011698      4.09     4.16
Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES    4.0271              0.099727   0.099041   0.098341   0.097627  0.097386     35.74    35.25
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES    4.5851              0.110969   0.110148   0.109309   0.108450  0.108749     39.80    39.19
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES    4.3010              0.109445   0.108351   0.108477   0.108605  0.108737     39.20    39.08
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES    4.2810              0.108923   0.107838   0.107978   0.108120  0.108266     39.01    38.90
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES    4.5083              0.115696   0.114361   0.112997   0.113040  0.113085     41.00    40.70
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES    4.4981              0.113676   0.111443   0.109159   0.108722  0.108275     39.84    39.09
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES    4.7352              0.119842   0.119378   0.118903   0.118416  0.117918     42.94    42.59
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES    4.5465              0.112042   0.110661   0.109248   0.107803  0.106325     39.72    38.68
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES    4.4981              0.110729   0.109099   0.107432   0.105728  0.103985     39.16    37.94
Morgan Stanley           61760QDH4 09/06/13 09/06/21    100.000    VARIES    2.3953              0.009519   0.009633   0.009749   0.009865  0.009983      3.47     3.56
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES    4.6879              0.115891   0.114692   0.113466   0.112210  0.110925     41.27    40.38
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES    4.4301              0.111010   0.108781   0.106503   0.104174  0.101794     39.41    37.76
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES    4.3148              0.113070   0.110709   0.109291   0.107842  0.106363     39.94    38.82
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES    2.6674              0.013538   0.012913   0.012280   0.011639  0.010988      4.63     4.17
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES    2.1051              0.056839   0.056007   0.055166   0.055357  0.055550     20.21    19.92
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES    2.7018              0.011222   0.010965   0.010704   0.010439  0.010171      3.98     3.79
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES    2.6352              0.008952   0.008700   0.008445   0.008187  0.007925      3.16     2.97
Morgan Stanley           61760QGM0 06/25/15 06/25/20    100.000     0.000    2.4626              0.069250   0.070103   0.070966   0.071840  0.072725     25.09    25.72
Morgan Stanley           61760QGP3 06/30/15 06/30/22    100.000    VARIES    1.5572              0.010785   0.010869   0.010954   0.011039  0.011125      3.90     3.96
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES    2.7159              0.011167   0.010779   0.010386   0.009987  0.009584      3.83     3.55
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES    2.7281              0.012467   0.012032   0.011592   0.011145  0.010693      4.28     3.96
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES    2.5292              0.008896   0.008665   0.008430   0.008192  0.007952      3.10     2.93
Morgan Stanley           61760QHQ0 09/30/15 09/30/22    100.000    VARIES    1.6929              0.010220   0.009920   0.009619   0.009315  0.009393      3.57     3.39
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES    2.4402              0.010952   0.010676   0.010396   0.010113  0.009826      3.85     3.64
Morgan Stanley           61760QHZ0 11/10/15 11/10/25    100.000    VARIES    2.5656              0.009907   0.009645   0.009381   0.009113  0.008841      3.49     3.30
Morgan Stanley           61760QJA3 11/25/15 11/25/25    100.000    VARIES    2.4581              0.009781   0.009533   0.009281   0.009027  0.008769      3.46     3.28
Morgan Stanley           61760QJJ4 01/28/16 01/28/23    100.000    VARIES    2.2364                         0.009874   0.009261   0.008641  0.008737      3.19     3.14
Morgan Stanley           61760QJK1 02/17/16 02/17/26    100.000    VARIES    2.3885                         0.019292   0.018814   0.018331  0.017841      5.99     6.56
Morgan Stanley           61760QKA1 09/30/16 09/30/26    100.000    VARIES    2.5378                                    0.020157   0.019630  0.019097      1.83     7.07
Morgan Stanley           61760S126 02/05/14 07/31/19    100.000     0.000    2.4498              0.070565   0.071430   0.072304   0.073190  0.074087     25.82    26.46
Morgan Stanley           61760S134 02/05/14 01/29/21    100.000     0.000    3.2801              0.095620   0.097188   0.098782   0.100402  0.102049     35.19    36.35
Morgan Stanley           61760S282 03/04/14 02/26/21    100.000     0.000    3.1843              0.092682   0.094158   0.095657   0.097180  0.098727     34.00    35.09
Morgan Stanley           61760S522 04/03/14 03/31/21    100.000     0.000    3.3224              0.096941   0.098551   0.100188   0.101852  0.103544     35.48    36.67
Morgan Stanley           61760S613 03/18/14 09/20/21    100.000     0.000    3.4353              0.100449   0.102175   0.103930   0.105715  0.107531     36.82    38.10
Morgan Stanley           61760S621 03/18/14 07/18/22    100.000     0.000    3.7451              0.109312   0.111359   0.113445   0.115569  0.117733     40.39    41.92
Morgan Stanley           61760S738 05/05/14 10/29/21    100.000     0.000    3.5626              0.104285   0.106142   0.108033   0.109957  0.111916     38.11    39.48
Morgan Stanley           61760T132 10/31/11 10/31/17    100.000     1.000    5.8164              0.196055   0.200949   0.205985   0.211168               72.07    62.52
Morgan Stanley           61760T173 11/28/11 11/24/17    100.000     0.000    6.9071              0.251558   0.260246   0.269233   0.278532               92.78    88.64
Morgan Stanley           61760T199 11/18/11 11/21/17    100.000     1.000    6.1790              0.211383   0.217055   0.222903   0.228931               77.58    72.41
Morgan Stanley           61760T439 02/21/12 02/21/18    100.000     0.000    4.6585              0.152035   0.155576   0.159200   0.162908  0.166703     56.30    58.95
Morgan Stanley           61760T488 03/02/12 02/27/18    100.000     0.000    5.0972              0.168749   0.173050   0.177460   0.181983  0.186621     62.60    65.84
Morgan Stanley           61760T512 04/03/12 03/30/16    100.000     0.000    4.2972              0.138471                                                12.32         
Morgan Stanley           61760T660 05/02/12 04/27/17    100.000     0.000    4.7658              0.156009   0.159727   0.163533                          57.31    18.97
Morgan Stanley           61761H764 12/04/12 12/05/16    100.000     0.000    2.5669              0.076980   0.077968                                     25.89         
Morgan Stanley           61761H806 12/04/12 07/03/18    100.000     0.000    2.8586              0.085443   0.086664   0.087903   0.089159  0.090434     31.42    32.32
Morgan Stanley           61761H822 01/03/13 02/27/17    100.000     0.000    2.2436              0.066121   0.066863   0.067613                          24.12     3.79
Morgan Stanley           61761JAG4 12/27/12 12/27/19    100.000     0.000    3.0561              0.092980   0.094401   0.095843   0.097308  0.098795     33.74    34.78
Morgan Stanley           61761JAL3 12/27/12 12/27/32    100.000    VARIES    4.4695              0.114688   0.113819   0.112931   0.112567  0.112195     41.12    40.59
Morgan Stanley           61761JAM1 12/27/12 12/27/32    100.000    VARIES    4.4777              0.122149   0.122286   0.122427   0.122714  0.123008     44.00    44.13
Morgan Stanley           61761JAY5 01/31/13 07/31/20    100.000     0.000    3.2934              0.099268   0.100903   0.102564   0.104253  0.105970     36.53    37.74
Morgan Stanley           61761JB24 07/06/15 07/06/22    100.000     0.000    3.3973              0.094371   0.095974   0.097604   0.099262  0.100948     34.83    36.02
Morgan Stanley           61761JBB4 01/31/13 01/31/33    100.000    VARIES    4.4962              0.117122   0.116371   0.115603   0.114817  0.114537     41.80    41.31
Morgan Stanley           61761JBC2 01/31/13 01/31/33    100.000    VARIES    4.5027              0.122223   0.122327   0.122433   0.122541  0.122748     44.05    44.14
Morgan Stanley           61761JBJ7 01/14/13 01/14/28    100.000    VARIES    4.1941              0.109461   0.108592   0.108224   0.107848  0.107465     39.04    38.77
Morgan Stanley           61761JBK4 01/30/13 01/28/33    100.000    VARIES    4.6735              0.119394   0.118413   0.117410   0.116383  0.115966     42.50    41.86
Morgan Stanley           61761JBZ1 02/28/13 02/28/33    100.000    VARIES    4.3576              0.116564   0.115323   0.117261   0.115376  0.117555     42.52    42.49
Morgan Stanley           61761JCA5 02/28/13 02/28/33    100.000    VARIES    4.3507              0.110788   0.108770   0.109727   0.107088  0.108550     40.05    39.42
Morgan Stanley           61761JCB3 02/28/13 02/28/33    100.000    VARIES    4.3518              0.112237   0.110333   0.111452   0.108921  0.110468     40.63    40.09
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761JCC1 02/28/13 08/28/20    100.000     0.000    2.9762              0.089010   0.090335   0.091679   0.093043  0.094428     32.61    33.59
Morgan Stanley           61761JCN7 02/21/13 02/18/33    100.000    VARIES    4.4837              0.117220   0.116465   0.115692   0.114902  0.114622     41.86    41.36
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES    4.5200              0.116754   0.116025   0.115279   0.114517  0.114220     41.70    41.22
Morgan Stanley           61761JEU9 04/30/13 04/29/33    100.000    VARIES    3.9393              0.102472   0.101812   0.101139   0.100454  0.100188     36.69    36.23
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES    3.9967              0.105668   0.105043   0.104405   0.103755  0.103478     37.86    37.42
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES    4.3438              0.112210   0.111596   0.111578   0.110327  0.110695     40.94    40.47
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES    4.1821              0.108552   0.107935   0.107305   0.106663  0.106440     38.92    38.48
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES    5.2916              0.137899   0.136961   0.135998   0.135010  0.134643     49.47    48.78
Morgan Stanley           61761JHJ1 06/28/13 06/28/21    100.000     0.000    4.0231              0.123456   0.125939   0.128473   0.131057  0.133693     44.91    46.73
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES    4.7372              0.125695   0.125057   0.124405   0.123737  0.123482     45.12    44.65
Morgan Stanley           61761JJF7 06/25/13 06/25/21    100.000     0.000    3.9339              0.120454   0.122824   0.125240   0.127703  0.130215     43.82    45.56
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES    4.8132              0.126816   0.126127   0.125421   0.124698  0.123958     45.32    44.80
Morgan Stanley           61761JJW0 07/31/13 01/29/21    100.000     0.000    3.5967              0.107283   0.109213   0.111177   0.113176  0.115211     39.56    41.00
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES    4.8838              0.129279   0.128776   0.128261   0.127733  0.127192     46.28    45.90
Morgan Stanley           61761JKJ7 08/30/13 02/26/21    100.000     0.000    3.7093              0.110852   0.112908   0.115002   0.117135  0.119308     40.80    42.32
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES    5.0532              0.131086   0.130374   0.130357   0.128896  0.128833     47.76    47.12
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES    4.8148              0.127018   0.126396   0.125759   0.125107  0.124439     45.50    45.04
Morgan Stanley           61761JLF4 09/30/13 09/30/20    100.000     0.000    3.4026              0.101116   0.102836   0.104586   0.106365  0.108175     37.03    38.30
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES    4.8741              0.130460   0.129966   0.129460   0.128942  0.128411     46.79    46.42
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES    4.7081              0.123744   0.122972   0.122181   0.121371  0.120543     44.31    43.74
Morgan Stanley           61761JMC0 10/31/13 10/29/21    100.000     0.000    3.4604              0.102940   0.104722   0.106533   0.108377  0.110252     37.60    38.91
Morgan Stanley           61761JMW6 11/29/13 03/29/22    100.000     0.000    3.7205              0.110579   0.112636   0.114732   0.116866  0.119040     40.56    42.08
Morgan Stanley           61761JMZ9 12/26/13 06/27/22    100.000     0.000    3.9456              0.118524   0.120862   0.123246   0.125678  0.128157     43.11    44.83
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES    4.7411              0.123492   0.122960   0.123088   0.121858  0.121954     45.10    44.70
Morgan Stanley           61761JQC6 04/30/14 10/30/20    100.000     0.000    3.2667              0.095261   0.096817   0.098399   0.100006  0.101639     34.77    35.91
Morgan Stanley           61761JQT9 05/30/14 11/30/20    100.000     0.000    3.1488              0.090171   0.091590   0.093543   0.094497  0.096512     33.37    34.41
Morgan Stanley           61761JRH4 06/30/14 06/30/21    100.000     0.000    3.0261              0.087932   0.089262   0.090613   0.091984  0.093376     31.90    32.87
Morgan Stanley           61761JUW7 11/25/14 11/25/20    100.000     0.000    3.1262              0.089576   0.090976   0.092398   0.093843  0.095309     32.60    33.63
Morgan Stanley           61761JVF3 12/31/14 12/31/20    100.000     0.000    3.0557              0.087494   0.088831   0.090188   0.091566  0.092965     31.74    32.72
Morgan Stanley           61761JVY2 01/30/15 01/29/21    100.000     0.000    2.7901              0.078579   0.079675   0.080787   0.081914  0.083057     28.82    29.63
Morgan Stanley           61761JWZ8 02/24/15 02/24/23    100.000     0.000    3.1503              0.088888   0.090289   0.091711   0.093155  0.094623     32.61    33.65
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000    3.5983              0.101752   0.103583   0.105446   0.107344  0.109275     37.40    38.75
Morgan Stanley           61761JZB8 06/03/15 06/03/22    100.000     0.000    3.2132              0.090692   0.092149   0.093629   0.095133  0.096662     32.99    34.06
Morgan Stanley           61761M201 01/04/13 01/02/18    100.000     0.000    2.5385              0.075095   0.076048   0.077013   0.077991  0.078981     27.55    28.25
Morgan Stanley           61761S125 06/04/14 11/29/19    100.000     0.000    2.7571              0.079768   0.080868   0.081983   0.083113  0.084259     28.99    29.79
Morgan Stanley           61761S331 07/03/14 12/31/21    100.000     0.000    3.3219              0.096932   0.098542   0.100179   0.101843  0.103534     35.19    36.37
Morgan Stanley           61761S562 07/03/14 07/03/19    100.000     0.000    2.3357              0.066406   0.067182   0.067966   0.068760  0.069563     24.32    24.89
Morgan Stanley           61761S661 08/05/14 04/30/20    100.000     0.000    2.9148              0.083926   0.085149   0.086390   0.087649  0.088926     30.58    31.48
Morgan Stanley           61761S679 08/05/14 01/31/22    100.000     0.000    3.4469              0.096879   0.099632   0.100247   0.103665  0.103733     36.48    37.75
Morgan Stanley           61762E190 05/03/13 08/03/18    100.000     0.000    2.0678              0.060164   0.060786   0.061414   0.062049  0.062691     21.96    22.41
Morgan Stanley           61762E299 06/05/13 05/29/20    100.000     0.000    3.0961              0.092824   0.094261   0.095720   0.097202  0.098707     33.77    34.82
Morgan Stanley           61762GAG9 11/05/13 04/29/19    100.000     0.000    2.4701              0.072040   0.072929   0.073830   0.074742  0.075665     26.21    26.86
Morgan Stanley           61762GAM6 11/27/13 05/27/21    100.000     0.000    3.3897              0.100708   0.102415   0.104151   0.105916  0.107711     36.68    37.93
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61762GAN4 12/04/13 12/07/20    100.000     0.000    3.3435              0.099272   0.100931   0.102619   0.104334  0.106078     36.12    37.33
Morgan Stanley           61762GAS3 01/03/14 12/31/20    100.000     0.000    3.4767              0.103441   0.105239   0.107069   0.108930  0.110824     37.57    38.88
Morgan Stanley           61762GAT1 12/26/13 06/28/19    100.000     0.000    2.5339              0.074033   0.074971   0.075921   0.076883  0.077857     26.83    27.51
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES    3.8517              0.109420   0.109962   0.110197   0.110436  0.110445     39.58    39.74
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES    4.2965              0.123138   0.124458   0.125120   0.125796  0.126487     44.75    45.29
Morgan Stanley           61762GFA7 10/30/15 10/30/23    100.000     0.000    3.5008              0.097246   0.098948   0.100680   0.102443  0.104236     35.52    36.78
Morgan Stanley           61762P146 08/05/13 06/29/18    100.000     0.000    2.9164              0.086843   0.088110   0.089394   0.090698  0.092021     31.50    32.42
Morgan Stanley           61762P286 08/05/13 08/05/20    100.000     0.000    3.6083              0.107662   0.109605   0.111582   0.113595  0.115645     39.68    41.13
Morgan Stanley           61762P443 09/05/13 08/31/18    100.000     0.000    3.0417              0.088729   0.089100   0.091954   0.091831  0.094772     32.94    33.89
Morgan Stanley           61762P476 08/09/13 08/09/23    100.000     0.000    4.3446              0.131518   0.134375   0.137294   0.140277  0.143324     48.68    50.82
Morgan Stanley           61762P807 10/03/13 09/28/18    100.000     0.000    2.7818              0.081631   0.082767   0.083918   0.085085  0.086269     29.80    30.64
Morgan Stanley           61762W265 11/05/13 04/30/19    100.000     0.000    2.9687              0.087437   0.088735   0.090052   0.091389  0.092746     31.87    32.82
Morgan Stanley           61762W505 12/04/13 08/30/19    100.000     0.000    2.9200              0.083905   0.085130   0.086847   0.087634  0.089402     31.30    32.16
Morgan Stanley           61762W539 11/20/13 11/20/20    100.000     0.000    3.3853              0.100569   0.102271   0.104002   0.105763  0.107553     36.65    37.90
Morgan Stanley           61762W604 12/04/13 12/04/20    100.000     0.000    3.3450              0.099291   0.100952   0.102640   0.104357  0.106102     36.13    37.35
Morgan Stanley           61762W703 01/03/14 12/31/19    100.000     0.000    3.0245              0.089193   0.090542   0.091911   0.093301  0.094712     32.36    33.34
Morgan Stanley           61764C275 11/05/14 04/29/22    100.000     0.000    3.5062              0.100783   0.102550   0.104347   0.106177  0.108038     36.82    38.12
Morgan Stanley           61764C622 12/03/14 05/31/22    100.000     0.000    3.3216              0.093769   0.095326   0.097442   0.098519  0.100705     34.72    35.87
Morgan Stanley           61764V364 04/06/15 04/05/22    100.000     0.000    2.9611              0.083465   0.084701   0.085955   0.087228  0.088519     30.48    31.39
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000    3.4094              0.096650   0.098298   0.099974   0.101678  0.103411     35.27    36.48
Morgan Stanley           61764V646 05/05/15 11/03/22    100.000     0.000    3.1619              0.089206   0.090616   0.092049   0.093504  0.094982     32.53    33.57
Morgan Stanley           61764V828 06/03/15 12/05/22    100.000     0.000    3.2130              0.090703   0.092160   0.093640   0.095145  0.096673     32.99    34.06
Morgan Stanley           61765G309 07/06/15 01/05/23    100.000     0.000    3.3973              0.094372   0.095966   0.097596   0.099254  0.100940     34.83    36.02
Morgan Stanley           61765G564 08/05/15 02/03/23    100.000     0.000    3.4449              0.095693   0.097323   0.098999   0.100704  0.102439     35.23    36.46
Morgan Stanley           61765G804 09/03/15 03/03/23    100.000     0.000    3.4968              0.097136   0.098834   0.100562   0.102320  0.104109     35.68    36.94
Morgan Stanley           61765R271 09/18/15 03/20/23    100.000     0.000    3.6136              0.100399   0.102213   0.104060   0.105940  0.107854     36.84    38.18
Morgan Stanley           61765R438 10/05/15 04/04/23    100.000     0.000    3.3206              0.092241   0.093764   0.095321   0.096903  0.098512     33.75    34.88
Morgan Stanley           61765R669 11/04/15 05/05/23    100.000     0.000    3.3209              0.091244   0.091751   0.094820   0.094823  0.097995     33.69    34.79
Morgan Stanley           61765U175 12/03/15 06/02/23    100.000     0.000    3.3915              0.094211   0.095799   0.097424   0.099076  0.100756     34.29    35.47
Morgan Stanley           61765U217 12/03/15 12/10/20    100.000     0.000    2.7610              0.076738   0.077797   0.078871   0.079960  0.081064     27.86    28.64
Morgan Stanley           61765U381 01/05/16 07/06/23    100.000     0.000    3.3684              0.093568   0.093578   0.095154   0.096757  0.098386     33.59    35.11
Morgan Stanley           61765U407 01/05/16 07/06/21    100.000     0.000    2.9923              0.083121   0.083128   0.084372   0.085635  0.086916     29.81    31.05
Morgan Stanley           61765U597 02/03/16 08/03/21    100.000     0.000    3.0505                         0.084738   0.086030   0.087342  0.088675     27.99    31.60
Morgan Stanley           61765U787 03/03/16 09/02/21    100.000     0.000    3.1366                         0.087130   0.088489   0.089876  0.091286     26.13    32.44
Morgan Stanley           61765U803 03/03/16 09/01/23    100.000     0.000    3.5888                         0.099689   0.101458   0.103279  0.105132     29.92    37.29
Morgan Stanley           61766B135 04/05/16 10/04/23    100.000     0.000    3.0621                         0.085060   0.086355   0.087677  0.089019     22.74    31.56
Morgan Stanley           61766B168 04/05/16 10/04/23    100.000     0.000    3.0621                         0.085060   0.086355   0.087677  0.089019     22.74    31.56
Morgan Stanley           61766B176 04/05/16 10/05/21    100.000     0.000    2.6206                         0.072796   0.073750   0.074716  0.075695     19.45    26.89
Morgan Stanley           61766B259 05/04/16 11/03/23    100.000     0.000    3.0362                         0.084340   0.085613   0.086913  0.088232     20.06    31.21
Morgan Stanley           61766B309 05/04/16 11/03/21    100.000     0.000    2.5127                         0.069799   0.070671   0.071559  0.072458     16.59    25.70
Morgan Stanley           61766B366 06/03/16 12/05/23    100.000     0.000    3.0194              0.083874   0.083888   0.085154   0.086440  0.087745     17.48    30.95
Morgan Stanley           61766B408 06/03/16 12/03/21    100.000     0.000    2.6239                         0.072889   0.073845   0.074814  0.075796     15.19    26.81
Morgan Stanley           61766B564 07/06/16 01/03/24    100.000     0.000    2.7557                                    0.076549   0.077586  0.078655     13.40    28.12
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61766B598 07/06/16 01/04/22    100.000     0.000    2.5837                                    0.071772   0.072689  0.073628     12.56    26.33
Morgan Stanley           61766F250 11/03/16 05/03/24    100.000     0.000    2.9895                                    0.083044   0.084285  0.085545      4.82    30.26
Morgan Stanley           61766F466 12/05/16 06/05/24    100.000     0.000    3.5038                                    0.097330   0.099036  0.100771      2.53    35.44
Morgan Stanley           61766YAB7 05/25/16 05/25/26    100.000    VARIES    2.2927                         0.010449   0.010021   0.009588  0.009150      2.24     3.50
Morgan Stanley           61766YAD3 05/25/16 05/25/23    100.000    VARIES    1.9635                         0.008248   0.008059   0.007868  0.007675      1.77     2.85
Morgan Stanley           61766YAN1 09/30/16 09/30/26    100.000    VARIES    2.2434                                    0.009883   0.009486  0.009084       .90     3.41
Morgan Stanley           61767BAA8 02/22/16 02/23/26    100.000    VARIES    3.7844              0.105122   0.105124   0.105274   0.105426  0.105581     32.50    37.97
Morgan Stanley           61768CAV9 10/31/16 10/31/23    100.000     0.000    2.9262                                    0.081286   0.082475  0.083682      4.96    29.62
Morris CNTY Improv Auth  618027AU0 02/18/10 08/15/16    100.000    VARIES    N/A                 0.104696   0.104687                                     23.45         
Morris CNTY Improv Auth  618027AV8 02/18/10 08/15/17    100.000    VARIES    N/A                 0.115238   0.115228   0.115218   0.115208               41.48    25.81
Morris CNTY Improv Auth  618027AW6 02/18/10 08/15/18    100.000    VARIES    N/A                 0.124508   0.124497   0.124486   0.124474  0.124462     44.82    44.81
Morris CNTY Improv Auth  618027AX4 02/18/10 08/15/19    100.000    VARIES    N/A                 0.127337   0.127327   0.127316   0.127306  0.127295     45.84    45.83
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000    VARIES    N/A                 0.130149   0.130140   0.130130   0.130120  0.130110     46.85    46.84
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21    100.000    VARIES    N/A                 0.132951   0.132941   0.132932   0.132923  0.132613     47.86    47.81
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22    100.000    VARIES    N/A                 0.135755   0.135746   0.135737   0.135728  0.135718     48.87    48.86
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23    100.000    VARIES    N/A                 0.138559   0.138550   0.138542   0.138533  0.138524     49.88    49.87
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24    100.000    VARIES    N/A                 0.141355   0.141347   0.141339   0.141330  0.141322     50.88    50.88
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25    100.000    VARIES    N/A                 0.144150   0.144142   0.144134   0.144126  0.144118     51.89    51.88
Multnomah County, OR     625506HL7 12/08/99 06/01/16     28.606     0.000    7.7399   682.89     0.206989                                                31.05         
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000    7.7400   504.00     0.152767   0.158679   0.164820   0.171199  0.177824     56.42    60.87
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000    7.7400   467.14     0.141596   0.147075   0.152767   0.158679  0.164820     52.30    56.42
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000    7.7400   432.98     0.131241   0.136320   0.141596   0.147075  0.152767     48.47    52.30
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000    7.7399   401.32     0.121643   0.126350   0.131240   0.136319  0.141595     44.93    48.47
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000    7.7399   371.97     0.112747   0.117110   0.121642   0.126350  0.131239     41.64    44.93
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000    7.7400   344.77     0.104503   0.108547   0.112748   0.117111  0.121643     38.60    41.64
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000    7.7400   319.56     0.096860   0.100609   0.104502   0.108547  0.112747     35.77    38.60
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000    7.7400   296.19     0.089777   0.093252   0.096860   0.100609  0.104503     33.16    35.77
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000    7.7399   274.53     0.083212   0.086432   0.089777   0.093251  0.096860     30.73    33.16
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000    7.7399   254.45     0.077127   0.080111   0.083212   0.086432  0.089777     28.49    30.73
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000    7.7401   235.84     0.071486   0.074253   0.077127   0.080112  0.083212     26.40    28.49
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000    0.8138    58.28     0.021184   0.021271   0.021357   0.021444  0.021531      7.64     7.71
National Rural Utilities 637432LE3 02/06/08 12/15/16     92.647     0.000    0.8640    65.33     0.023794   0.023897                                      8.20         
National Rural Utilities 637432LF0 02/06/08 12/15/17     92.124     0.000    0.8338    62.62     0.022780   0.022875   0.022971   0.023066                8.22     7.92
National Rural Utilities 637432LG8 02/06/08 12/15/18     91.459     0.000    0.8238    61.40     0.022328   0.022420   0.022513   0.022606  0.022699      8.06     8.12
National Rural Utilities 637432LH6 02/06/08 12/15/19     90.603     0.000    0.8339    61.59     0.022406   0.022499   0.022593   0.022687  0.022782      8.09     8.15
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000    0.8138    59.72     0.021708   0.021796   0.021885   0.021974  0.022063      7.83     7.90
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000    0.8238    59.90     0.021784   0.021873   0.021964   0.022054  0.022145      7.86     7.93
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000    0.8538    61.38     0.022346   0.022441   0.022537   0.022633  0.022730      8.06     8.13
Natixis US MTN LLC       63873HJP0 12/27/13 12/27/21    100.000     0.000    3.3519              0.099509   0.101177   0.102873   0.104597  0.106350     36.14    37.36
Natixis US MTN LLC       63873HJR6 09/09/14 09/09/24    100.000    VARIES    3.2415              0.088446   0.087178   0.085890   0.084956  0.084007     31.33    30.54
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES    4.8025              0.118882   0.117266   0.115611   0.115645  0.115680     42.49    41.63
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES    4.2419              0.107205   0.105788   0.104342   0.102864  0.102631     38.16    37.19
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES    4.2606              0.104325   0.104027   0.103722   0.103411  0.103093     37.41    37.19
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES    4.2409              0.108160   0.106530   0.104864   0.103164  0.102935     38.44    37.33
Natixis US MTN LLC       63873HKX1 01/30/14 01/31/22    100.000     0.000    3.4392              0.098371   0.101162   0.101783   0.105250  0.105314     37.04    38.32
Natixis US MTN LLC       63873HLN2 08/29/13 08/29/33    100.000    VARIES    4.5781              0.112841   0.113247   0.111779   0.112612  0.112219     41.24    41.01
Natixis US MTN LLC       63873HLS1 09/30/13 09/30/28    100.000    VARIES    4.4223              0.113549   0.112327   0.111078   0.111107  0.111137     40.43    40.00
Natixis US MTN LLC       63873HLU6 07/31/14 07/31/34    100.000    VARIES    3.9932              0.104194   0.103902   0.103604   0.103300  0.102990     37.37    37.15
Natixis US MTN LLC       63873HLX0 02/28/14 02/28/29    100.000    VARIES    4.1176              0.105144   0.102732   0.103118   0.100115  0.101726     37.79    36.91
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES    4.5707              0.114343   0.111587   0.108767   0.108048  0.107313     40.33    38.94
Natixis US MTN LLC       63873HMF8 03/31/14 03/31/34    100.000    VARIES    4.1471              0.106407   0.104388   0.102326   0.100222  0.099771     37.57    36.23
Natixis US MTN LLC       63873HMU5 08/29/14 08/29/29*   100.000    VARIES    3.5626              0.094724   0.094681                                     22.82*        
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES    4.5648              0.115758   0.113652   0.111498   0.111262  0.111020     41.15    40.08
NJ Econ Dev Auth         64578JAB2 12/22/05 07/01/16     56.811     0.000    5.4449   405.39     0.147241                                                26.50         
NJ Econ Dev Auth         64578JAC0 12/22/05 07/01/17     53.569     0.000    5.4898   386.28     0.140598   0.144458   0.148423                          51.31    26.72
NJ Econ Dev Auth         64578JAD8 12/22/05 07/01/18     50.436     0.000    5.5399   367.94     0.134238   0.137956   0.141777   0.145705               48.99    51.75
NJ Econ Dev Auth         64578JAE6 12/22/05 07/01/19     47.535     0.000    5.5748   349.58     0.127748   0.131308   0.134969   0.138731               46.63    49.27
NJ Econ Dev Auth         64578JAG1 09/07/07 07/01/16     59.024     0.000    6.0689   380.31     0.163617                                                29.45         
NJ Econ Dev Auth         64578JAH9 09/07/07 07/01/17     55.019     0.000    6.1789   362.57     0.156664   0.161504   0.166493                          57.27    29.97
NJ Econ Dev Auth         64578JAJ5 09/07/07 07/01/18     51.284     0.000    6.2689   344.16     0.149236   0.153913   0.158738   0.163713               54.57    58.04
NJ Econ Dev Auth         64578JAK2 09/07/07 07/01/19     47.828     0.000    6.3391   325.50     0.141535   0.146021   0.150650   0.155425               51.76    55.09
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000    6.4592   308.52     0.134784   0.139137   0.143631   0.148269               49.31    52.54
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000    6.5092   290.41     0.127123   0.131260   0.135532   0.139943               46.51    49.59
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000    6.4992   272.25     0.119128   0.122999   0.126996   0.131123               43.58    46.46
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000    6.5092   255.49     0.111837   0.115477   0.119235   0.123116               40.92    43.62
NJ Econ Dev Auth         645913AU8 06/30/97 02/15/16     25.082     0.000    7.5644   740.27     0.202466                                                 8.91         
NJ Econ Dev Auth         645913AV6 06/30/97 02/15/17     23.177     0.000    7.5895   688.15     0.188532   0.195686   0.203112                          71.14     8.94
NJ Econ Dev Auth         645913AW4 06/30/97 02/15/18     21.450     0.000    7.6043   639.13     0.175278   0.181942   0.188860   0.196041  0.203494     66.15    71.27
NJ Econ Dev Auth         645913AX2 06/30/97 02/15/19     19.886     0.000    7.6095   593.25     0.162754   0.168947   0.175375   0.182047  0.188974     61.42    66.19
NJ Econ Dev Auth         645913AY0 06/30/97 02/15/20     18.435     0.000    7.6144   550.62     0.151108   0.156861   0.162833   0.169033  0.175468     57.03    61.45
NJ Econ Dev Auth         645913AZ7 06/30/97 02/15/21     17.088     0.000    7.6194   511.00     0.140283   0.145627   0.151175   0.156934  0.162913     52.95    57.06
NJ Econ Dev Auth         645913BA1 06/30/97 02/15/22     15.838     0.000    7.6244   474.18     0.130220   0.135184   0.140337   0.145687  0.151241     49.15    52.97
NJ Econ Dev Auth         645913BB9 06/30/97 02/15/23     14.678     0.000    7.6294   439.97     0.120867   0.125478   0.130264   0.135233  0.140392     45.62    49.17
NJ Econ Dev Auth         645913BC7 06/30/97 02/15/24     13.601     0.000    7.6346   408.19     0.112176   0.116458   0.120904   0.125519  0.130311     42.34    45.64
NJ Econ Dev Auth         645913BD5 06/30/97 02/15/25     12.602     0.000    7.6397   378.67     0.104099   0.108076   0.112204   0.116490  0.120940     39.29    42.35
NJ Econ Dev Auth         645913BE3 06/30/97 02/15/26     11.676     0.000    7.6446   351.25     0.096594   0.100286   0.104119   0.108099  0.112231     36.46    39.30
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800    7.2575    35.93     0.019847   0.020568   0.021314   0.022087  0.022889      7.43     7.98
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000    6.4399   372.62     0.118481   0.122297   0.126234   0.130299  0.134495     44.04    46.92
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000    6.4699   350.04     0.111480   0.115086   0.118809   0.122652  0.126620     41.44    44.17
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000    6.4899   328.57     0.104753   0.108153   0.111662   0.115286  0.119027     38.94    41.51
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000    6.5099   308.29     0.098394   0.101596   0.104903   0.108318  0.111844     36.58    39.00
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000    6.5299   289.15     0.092383   0.095400   0.098514   0.101731  0.105052     34.35    36.63
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000    6.5498   271.09     0.086706   0.089545   0.092478   0.095506  0.098634     32.24    34.39
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000    6.5600   254.11     0.081320   0.083987   0.086742   0.089587  0.092525     30.24    32.26
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000    6.5700   238.15     0.076253   0.078758   0.081345   0.084017  0.086777     28.36    30.25
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000    6.5799   223.15     0.071488   0.073840   0.076269   0.078779  0.081370     26.59    28.37
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000    6.5900   209.06     0.067008   0.069216   0.071496   0.073852  0.076286     24.92    26.59
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000    6.5899   195.93     0.062801   0.064870   0.067008   0.069216  0.071496     23.36    24.92
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000    6.5899   183.63     0.058858   0.060798   0.062801   0.064870  0.067008     21.89    23.36
Newark, NJ               650367KA2 01/29/13 07/15/16     99.221     2.000    2.2351     6.54     0.006388   0.006459                                      1.25         
Newark, NJ               650367KB0 01/29/13 07/15/17     97.756     2.000    2.5351    14.41     0.014135   0.014314   0.014495   0.014679                5.18     2.85
Newark, NJ               650367KC8 01/29/13 07/15/18     97.007     2.340    2.9371    15.42     0.015199   0.015422   0.015648   0.015878  0.016111      5.59     5.75
Newark, NJ               650367KH7 01/29/13 04/01/17     97.893     2.000    2.5352    14.53     0.014318   0.014499   0.014683                           5.22     1.32
Newark, NJ               650367KJ3 01/29/13 04/01/18     97.000     2.308    2.9373    16.40     0.016253   0.016491   0.016734   0.016979  0.017229      5.94     6.11
Newark, NJ               650367KK0 01/29/13 04/01/19     97.003     2.698    3.2375    13.46     0.013393   0.013610   0.013831   0.014054  0.014282      4.90     5.06
Newark, NJ               650367KL8 01/29/13 04/01/20     97.004     3.057    3.5334    11.31     0.011306   0.011505   0.011709   0.011916  0.012126      4.14     4.29
Newark, NJ               650367KM6 01/29/13 04/01/21     97.005     3.305    3.7335     9.69     0.009713   0.009895   0.010079   0.010267  0.010459      3.56     3.70
Nextera Energy, Inc.     65339KAB6 05/04/12 06/01/17     95.000    VARIES    2.3952              0.064940   0.065465   0.065996                          23.50     9.90
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES    4.5378              0.111807   0.108659   0.105440   0.102148  0.098782     39.68    37.36
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES    5.5491              0.122490   0.121873   0.121238   0.121732  0.122240     43.94    43.77
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES    5.9586              0.130594   0.130518   0.130438   0.130357  0.130273     47.00    46.94
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES    2.3554              0.014877   0.015052   0.015230   0.015409  0.015590      5.39     5.52
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES    4.5091              0.113444   0.108614   0.107371   0.102559  0.101076     39.88    37.53
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES    3.7542              0.095968   0.093090   0.092482   0.091863  0.091232     33.92    33.14
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES    4.2953              0.109843   0.104954   0.099959   0.095717  0.091383     37.16    33.92
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES    2.8014              0.074074   0.072162   0.070223   0.070468  0.070716     26.30    25.33
Nomura America Finance   65539ABR0 02/19/15 02/19/20    110.000     0.125    2.3793              0.073525   0.074359   0.075202   0.076055  0.076919     26.84    27.45
Nomura America Finance   65539ABS8 02/25/15 02/25/20    100.000    VARIES    1.9119              0.011553   0.011664   0.011775   0.011888  0.011816      4.21     4.26
Nomura America Finance   65539ABW9 05/22/15 11/22/16    100.000     1.720    1.1791              0.032667   0.032578                                     10.47         
Nomura America Finance   65539ABY5 06/30/15 06/30/22    105.000     0.000    3.4999              0.103869   0.105687   0.107536   0.109418  0.111333     37.72    39.06
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125    3.0300                         0.086692   0.087953   0.089232  0.090532     29.59    32.30
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES    8.1004              0.290586   0.299402   0.308575   0.318120  0.328051    107.03   113.70
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES    8.1004              0.290586   0.299402   0.308575   0.318120  0.328051    107.03   113.70
Nuverra Environmental    67091KAA2 04/15/16 04/15/21     36.385    VARIES    N/A                            0.370188   0.437983   0.491168  0.553418     99.92   176.02
Orange County, CA        68428LBB9 06/12/96 09/01/16     19.464     0.000    8.2591   753.01     0.211586   0.220323                                     52.35         
Orange County, CA        68428LBY9 01/17/97 09/01/16     22.492     0.000    7.7493   725.81     0.199500   0.207230                                     49.27         
Orange County, CA        68428LBZ6 01/17/97 09/01/17     20.762     0.000    7.7695   673.22     0.185304   0.192503   0.199981   0.207750               69.77    49.39
Orange County, CA        68428LCA0 01/17/97 09/01/18     19.198     0.000    7.7795   624.00     0.171877   0.178562   0.185508   0.192724  0.200220     64.71    69.85
Orange County, CA        68428LCB8 01/17/97 09/01/19     17.826     0.000    7.7696   578.03     0.159104   0.165285   0.171706   0.178376  0.185306     59.90    64.65
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000    7.7796   535.67     0.147546   0.153285   0.159248   0.165442  0.171878     55.55    59.96
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000    7.7694   496.30     0.136605   0.141912   0.147425   0.153152  0.159102     51.43    55.51
Oregon Community College 68583RAN2 04/23/03 06/30/16     47.583     0.000    5.7117   496.56     0.154254                                                27.61         
Oregon Community College 68583RAP7 04/23/03 06/30/17     44.239     0.000    5.8317   475.15     0.148610   0.152944   0.157403                          54.29    28.18
Oregon Community College 68583RAQ5 04/23/03 06/30/18     40.975     0.000    5.9616   453.81     0.142982   0.147244   0.151633   0.156153  0.160807     52.25    55.41
Oregon Community College 68583RAR3 04/23/03 06/30/19     37.976     0.000    6.0714   431.50     0.136797   0.140949   0.145228   0.149637  0.154179     50.00    53.08
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000    6.1514   408.52     0.130097   0.134099   0.138223   0.142475  0.146857     47.56    50.53
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000    6.2213   385.91     0.123379   0.127217   0.131174   0.135254  0.139462     45.11    47.97
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000    6.2613   363.58     0.116499   0.120146   0.123908   0.127787  0.131787     42.60    45.31
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000    6.2713   341.94     0.109628   0.113066   0.116611   0.120268  0.124039     40.09    42.65
Oregon Sch Brds Assoc    686053AP4 10/31/02 06/30/16     46.574     0.000    5.6694   506.85     0.153143                                                27.41         
Oregon Sch Brds Assoc    686053AQ2 10/31/02 06/30/17     43.110     0.000    5.8193   486.60     0.148321   0.152637   0.157078                          54.18    28.12
Oregon Sch Brds Assoc    686053AR0 10/31/02 06/30/18     40.030     0.000    5.9294   463.93     0.142322   0.146541   0.150886   0.155359  0.159965     52.00    55.13
Oregon Sch Brds Assoc    686053AS8 10/31/02 06/30/19     37.212     0.000    6.0194   440.57     0.135865   0.139954   0.144166   0.148505  0.152975     49.66    52.69
Oregon Sch Brds Assoc    686053AT6 10/31/02 06/30/20     34.591     0.000    6.0995   417.31     0.129291   0.133235   0.137298   0.141485  0.145800     47.26    50.19
Oregon Sch Brds Assoc    686053CF4 04/21/03 06/30/16     47.583     0.000    5.7092   496.57     0.154190                                                27.60         
Oregon Sch Brds Assoc    686053CG2 04/21/03 06/30/17     44.239     0.000    5.8294   475.18     0.148556   0.152886   0.157342                          54.27    28.16
Oregon Sch Brds Assoc    686053CH0 04/21/03 06/30/18     40.975     0.000    5.9593   453.85     0.142936   0.147195   0.151581   0.156098  0.160749     52.23    55.39
Oregon Sch Brds Assoc    686053CJ6 04/21/03 06/30/19     37.976     0.000    6.0693   431.55     0.136759   0.140909   0.145185   0.149591  0.154130     49.99    53.07
Oregon Sch Brds Assoc    686053CK3 04/21/03 06/30/20     35.297     0.000    6.1494   408.59     0.130066   0.134065   0.138187   0.142436  0.146816     47.55    50.52
Oregon Sch Brds Assoc    686053CL1 04/21/03 06/30/21     32.815     0.000    6.2193   385.99     0.123353   0.127189   0.131144   0.135222  0.139427     45.11    47.95
Oregon Sch Brds Assoc    686053CM9 04/21/03 06/30/22     30.636     0.000    6.2594   363.66     0.116478   0.120124   0.123883   0.127760  0.131759     42.60    45.30
Oregon Sch Brds Assoc    686053CN7 04/21/03 06/30/23     28.748     0.000    6.2695   342.02     0.109612   0.113048   0.116591   0.120246  0.124016     40.09    42.64
Paterson, NJ             7031302B9 04/11/03 04/01/16     47.811     0.000    5.7699   507.87     0.155781                                                14.02         
Paterson, NJ             7031302C7 04/11/03 04/01/17     44.317     0.000    5.9099   486.71     0.150430   0.154876   0.159452                          55.77    14.35
Paterson, NJ             7031303Z5 03/30/12 03/15/18     98.496     3.625    3.9103     9.07     0.007196   0.007337   0.007480   0.007627  0.007776      2.65     2.75
Peoria CNTYS SD #327, IL 712746DS2 05/05/15 12/01/16    100.776     0.000    1.1894              0.033522   0.033722                                     11.10         
Peoria CNTYS SD #327, IL 712746DT0 05/05/15 12/01/17    101.129    VARIES    1.5403              0.043653   0.043989   0.042983   0.042886               15.76    14.17
Peoria CNTYS SD #327, IL 712746DU7 05/05/15 12/01/18    100.343    VARIES    1.8910              0.053281   0.053784   0.052641   0.052614  0.052586     19.25    18.94
Peoria CNTYS SD #322, IL 712762CN1 05/14/15 12/01/19    100.000    VARIES    1.9926              0.055955   0.056513   0.055363   0.055361  0.055359     20.23    19.93
Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20    100.000    VARIES    2.2422              0.063050   0.063757   0.062303   0.062301  0.062299     22.80    22.43
Peoria CNTY SD #325, IL  713165FF0 09/04/13 12/01/16    109.532    VARIES    2.1847              0.062518   0.061608                                     20.47         
Peoria CNTY SD #325, IL  713165FG8 09/04/13 12/01/17    110.617    VARIES    2.5859              0.075537   0.074629   0.073708   0.072775               26.97    24.16
Peoria CNTY SD #325, IL  713165FH6 09/04/13 12/01/18    111.133    VARIES    2.9367              0.086958   0.086094   0.085217   0.084326  0.083423     31.10    30.46
Peoria CNTY SD #325, IL  713165FJ2 09/04/13 12/01/19    110.068    VARIES    3.4365              0.101877   0.101122   0.100354   0.099572  0.098777     36.49    35.94
Peoria CNTY SD #325, IL  713165FK9 09/04/13 12/01/20    108.812    VARIES    3.8364              0.113363   0.112740   0.112105   0.111458  0.110799     40.66    40.20
Peoria CNTY SD #325, IL  713165FL7 09/04/13 12/01/21    107.288    VARIES    4.1864              0.122794   0.122311   0.121819   0.121316  0.120803     44.09    43.73
Peoria County, IL        713168AX0 10/05/11 12/01/16    105.823    VARIES    3.9840              0.112029   0.111356                                     36.85         
Peoria County, IL        713168AY8 10/05/11 12/01/17    106.762    VARIES    4.2347              0.120458   0.119774   0.119075   0.118362               43.20    39.17
Peoria County, IL        713168AZ5 10/05/11 12/01/18    106.114    VARIES    4.4856              0.128112   0.127558   0.126993   0.126414  0.125823     45.99    45.58
Peoria County, IL        713168BA9 10/05/11 12/01/19    106.753    VARIES    4.7356              0.136356   0.135803   0.135237   0.134657  0.134064     48.96    48.55
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES    4.9860              0.143132   0.142719   0.142295   0.141860  0.141415     51.43    51.12
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000    6.6895   389.22     0.106216   0.109768   0.113440   0.117234  0.121155     39.43    42.11
Philadelphia Authority   71781LAU3 02/03/99 04/15/16     32.784     0.000    6.5893   653.73     0.177200                                                18.43         
Philadelphia Authority   71781LAV1 02/03/99 04/15/17     30.618     0.000    6.6093   613.54     0.166532   0.172035   0.177720                          61.79    18.48
Philadelphia Authority   71781LAW9 02/03/99 04/15/18     28.637     0.000    6.6193   575.26     0.156246   0.161418   0.166760   0.172279  0.177981     57.98    61.88
Philadelphia Authority   71781LAX7 02/03/99 04/15/19     26.727     0.000    6.6393   539.53     0.146738   0.151609   0.156642   0.161842  0.167214     54.46    58.13
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000    6.6494   505.62     0.137609   0.142184   0.146911   0.151796  0.156843     51.07    54.52
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000    6.6494   473.60     0.128895   0.133181   0.137609   0.142184  0.146911     47.84    51.07
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000    6.6594   443.70     0.120839   0.124863   0.129020   0.133317  0.137756     44.85    47.88
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000    6.6695   415.61     0.113265   0.117042   0.120945   0.124978  0.129146     42.04    44.89
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000    6.6796   364.47     0.099395   0.102714   0.106145   0.109690  0.113353     36.89    39.40
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000    6.6896   341.22     0.093119   0.096233   0.099452   0.102779  0.106216     34.56    36.92
Piatt & Champa CNTYS, IL 719457BT9 02/25/16 12/01/17    101.730     2.750    1.7515              0.049496   0.049370   0.049133   0.048895               15.11    16.17
Piatt & Champa CNTYS, IL 719457BU6 02/25/16 12/01/18    102.007     2.750    2.0008              0.056695   0.056590   0.056392   0.056192  0.055990     17.32    20.25
Piatt & Champa CNTYS, IL 719457BV4 02/25/16 12/01/19    102.692     3.000    2.2507              0.064203   0.064088   0.063871   0.063652  0.063431     19.62    22.94
Piatt & Champa CNTYS, IL 719457BW2 02/25/16 12/01/20    102.231     3.000    2.5006              0.071013   0.070931   0.070775   0.070618  0.070460     21.71    25.44
Piatt & Champa CNTYS, IL 719457BX0 02/25/16 12/01/21    102.646     3.250    2.7507              0.078431   0.078344   0.078180   0.078014  0.077845     23.98    28.10
Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23    111.543    VARIES    4.2340              0.128317   0.127652   0.126973   0.126280  0.125572     46.03    45.54
Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24    110.329    VARIES    4.3835              0.131703   0.131089   0.130461   0.129820  0.129164     47.27    46.81
Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25    109.132    VARIES    4.5327              0.135015   0.134455   0.133883   0.133297  0.132698     48.47    48.06
Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26    108.343    VARIES    4.6321              0.137187   0.136665   0.136131   0.135585  0.135026     49.26    48.88
Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27    106.399    VARIES    4.8808              0.142497   0.142076   0.141646   0.141204  0.140752     51.20    50.89
Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28    106.016    VARIES    4.9305              0.143536   0.143137   0.142728   0.142309  0.141879     51.58    51.28
Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29    104.498    VARIES    5.1294              0.147630   0.147320   0.147002   0.146676  0.146341     53.07    52.84
Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25    100.000    VARIES    7.7502              0.373571   0.384410   0.395608   0.407240  0.419323    138.77   147.03
Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25    100.000    VARIES    7.7502              0.373571   0.384410   0.395608   0.407240  0.419323    138.77   147.03
Presidio ISD             741020EA5 05/14/98 02/15/16     28.486     0.000    7.1992   706.65     0.193031                                                 8.49         
Presidio ISD             741020EB3 05/14/98 02/15/17     26.541     0.000    7.1992   658.39     0.179849   0.186323   0.193030                          67.70     8.49
Presidio ISD             741020EC1 05/14/98 02/15/18     24.728     0.000    7.1993   613.44     0.167571   0.173603   0.179852   0.186327  0.193034     63.08    67.70
Presidio ISD             741020ED9 05/14/98 02/15/19     22.810     0.000    7.2493   572.64     0.156947   0.162636   0.168531   0.174639  0.180970     59.10    63.46
Presidio ISD             741020EE7 05/14/98 02/15/20     21.242     0.000    7.2493   533.28     0.146160   0.151458   0.156948   0.162636  0.168532     55.04    59.10
Presidio ISD             741020EF4 05/14/98 02/15/21     19.782     0.000    7.2493   496.63     0.136114   0.141047   0.146160   0.151458  0.156947     51.26    55.04
Presidio ISD             741020EG2 05/14/98 02/15/22     18.422     0.000    7.2494   462.49     0.126759   0.131353   0.136114   0.141048  0.146161     47.73    51.26
Pride International Inc. 741932AE7 01/16/01 01/16/21     60.841     0.000    2.5000   273.86     0.060575   0.061333   0.062099   0.062876  0.063662     22.19    22.75
Providian Financial Corp 74406AAD4 03/19/04 03/15/16    100.000    VARIES    9.4998              0.619486                                                45.84         
Quicksilver Resources    74837RAA2 11/01/04 11/01/24     98.500    VARIES    6.7504              0.325271   0.334123   0.343273   0.352732  0.362469    119.77   126.43
Quicksilver Resources    74837RAB0 11/01/04 11/01/24     98.500    VARIES    6.7504              0.325271   0.334123   0.343273   0.352732  0.362469    119.77   126.43
Randolph & Perry CNTYS   752368AW0 05/16/13 12/01/16    106.110    VARIES    1.9823              0.056025   0.055548                                     18.40         
Randolph & Perry CNTYS   752368AX8 05/16/13 12/01/17    106.596    VARIES    2.2344              0.063899   0.063449   0.062994   0.062534               22.90    20.71
Randolph & Perry CNTYS   752368AY6 05/16/13 12/01/18    106.586    VARIES    2.4855              0.071551   0.071145   0.070735   0.070320  0.069899     25.66    25.36
Randolph & Perry CNTYS   752368AZ3 05/16/13 12/01/19    107.293    VARIES    2.7850              0.080896   0.080476   0.080049   0.079616  0.079178     29.02    28.71
Randolph & Perry CNTYS   752368BA7 05/16/13 12/01/20    107.856    VARIES    3.0845              0.090275   0.089847   0.089412   0.088970  0.088521     32.40    32.08
Randolph & Perry CNTYS   752368BB5 05/16/13 12/01/21    108.667    VARIES    3.3340              0.098440   0.097997   0.097547   0.097089  0.096624     35.33    35.01
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES    3.5343              0.104011   0.103640   0.103262   0.102878  0.102487     37.35    37.08
Randolph County, IL      752535DK7 01/30/13 12/01/17     89.744     0.000    2.2497    60.59     0.059760   0.060432   0.061112   0.061799               21.68    20.29
Randolph County, IL      752535DL5 01/30/13 12/01/18     85.511     0.000    2.6997    69.67     0.069196   0.070130   0.071076   0.072036  0.073008     25.13    25.82
Randolph County, IL      752535DM3 01/30/13 12/01/19     81.034     0.000    3.0997    76.17     0.076135   0.077315   0.078514   0.079730  0.080966     27.69    28.56
Randolph County, IL      752535DN1 01/30/13 12/01/20     76.487     0.000    3.4496    80.36     0.080762   0.082155   0.083572   0.085014  0.086480     29.41    30.43
Randolph County, IL      752535DP6 01/30/13 12/01/21     72.328     0.000    3.6996    81.75     0.082478   0.084004   0.085558   0.087140  0.088752     30.06    31.18
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000    3.8997    81.68     0.082664   0.084276   0.085919   0.087595  0.089302     30.15    31.33
Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17     97.340     9.500   10.0374    21.04     0.012890   0.013537   0.014217                           4.94      .63
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES    8.7503              0.513517   0.531997   0.551286   0.571419  0.592432    192.20   206.45
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES    8.7503              0.513517   0.531997   0.551286   0.571419  0.592432    192.20   206.45
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000    9.8183              1.060558   1.109895   1.161654   1.215955  1.272921    401.40   439.76
City of Reno, NV         759830AQ5 09/22/16 06/01/20     99.117     2.000    2.2505                         0.006407   0.006436   0.006508  0.006581       .64     2.33
City of Reno, NV         759830AR3 09/22/16 06/01/21     98.102     2.000    2.4304                         0.010674   0.010725   0.010855  0.010987      1.06     3.89
City of Reno, NV         759830AS1 09/22/16 06/01/22     98.689     2.500    2.7503                         0.005953   0.005985   0.006067  0.006151       .59     2.17
City of Reno, NV         759830AT9 09/22/16 06/01/25     97.746     3.000    3.3003                         0.006277   0.006318   0.006422  0.006528       .62     2.30
Rock Island Counties, IL 772283CY1 10/02/15 12/01/16    102.590     0.000    1.2370              0.035324   0.035543                                     11.70         
Rock Island Counties, IL 772283CZ8 10/02/15 12/01/17    104.132    VARIES    1.5410              0.043957   0.044296   0.043157   0.042516               16.13    14.30
Rock Island Counties, IL 772283DA2 10/02/15 12/01/18    105.489    VARIES    1.9914              0.057586   0.058160   0.056642   0.055859  0.055686     21.15    20.50
Rockford Park DS, IL     773182UG3 06/10/15 12/15/16    106.229     0.000    0.8299              0.024595   0.024697                                      8.48         
Roper Industries, Inc.   776696AA4 12/29/03 01/15/34     39.502     1.482    7.0003              0.142143   0.146953   0.151931   0.157083  0.162385     53.66    57.36
Royal Bank of Canada     78008G5R9 08/12/09 08/12/16    100.000    VARIES    4.2505              0.120284   0.119189                                     26.39         
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES    4.5517              0.136334   0.135331   0.134305   0.133255  0.132182     48.59    47.84
Royal Bank of Canada     78008HWF3 02/16/10 02/16/17    100.000    VARIES    3.8707              0.109678   0.108973   0.108254                          39.16     4.87
Royal Bank of Canada     78008K3K7 04/20/11 04/20/16    100.000     0.000    2.7665              0.086961                                                 9.48         
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES    4.1702              0.116737   0.116664   0.116589   0.116513  0.116435     42.00    41.94
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31    100.000    VARIES    4.9792              0.133365   0.133473   0.133584   0.133697  0.133813     48.06    48.15
Royal Bank of Canada     78008SJY3 11/05/12 11/04/19    100.000     0.000    0.6002              0.016976   0.017027   0.017078   0.017129  0.017180      6.13     6.16
Royal Bank of Canada     78008SMC7 11/05/12 11/04/19    100.000     0.000    0.6002              0.016976   0.017027   0.017078   0.017129  0.017180      6.13     6.16
Royal Bank of Canada     78008SVM5 02/04/13 02/04/20    100.000     0.000    2.2564              0.066297   0.067045   0.067802   0.068567  0.069340     24.22    24.77
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES    4.0299              0.107958   0.108048   0.108140   0.108234  0.108329     38.91    38.97
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              0.133066   0.133162   0.133261   0.133106  0.132948     47.95    47.89
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES    4.9855              0.142035   0.142113   0.142193   0.141930  0.141659     51.17    51.07
Royal Bank of Scotland   78009KMB5 08/19/10 08/19/17    100.000    VARIES    2.6315              0.020868   0.021142   0.021421   0.021703                7.63     4.93
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES    3.6714              0.020806   0.021188   0.021577   0.021973  0.022376      7.64     7.92
Royal Bank of Scotland   78009KMF6 09/20/10 09/20/17    100.000    VARIES    2.5212              0.019319   0.019563   0.019810   0.020059                7.05     5.18
Royal Bank of Scotland   78009KMG4 09/30/10 09/28/18    100.000    VARIES    2.6902              0.017473   0.017708   0.018045   0.018188  0.018534      6.49     6.66
Royal Bank of Scotland   78009KNB4 10/27/10 10/27/17    100.000    VARIES    2.4218              0.023398   0.023681   0.023968   0.024258                8.51     7.15
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES    5.5208              0.147328   0.147460   0.147595   0.147734  0.147877     53.07    53.17
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES    4.5134              0.128939   0.129341   0.129752   0.129546  0.129335     46.53    46.65
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES    5.3208              0.137950   0.138217   0.138492   0.138774  0.139064     49.72    49.92
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES    5.7103              0.151234   0.151393   0.151557   0.151725  0.151898     54.47    54.59
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES    5.4493              0.142492   0.142678   0.142869   0.143065  0.143267     51.38    51.52
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES    5.5246              0.152969   0.153008   0.153048   0.153090  0.153132     55.08    55.11
Royal Bank of Scotland   78009KRL8 03/15/11 03/15/16    100.000    VARIES    4.1566              0.115487                                                 8.55         
Royal Bank of Scotland   78009KRY0 03/31/11 03/31/18    100.000    VARIES    4.3799              0.121323   0.121388   0.121455   0.121524  0.121594     43.70    43.75
Royal Bank of Scotland   78009PAF8 04/29/11 04/29/16    100.000     0.000    3.8637              0.127498                                                15.04         
Royal Bank of Scotland   78009PAG6 05/16/11 08/16/16    100.000     0.000    3.5178              0.113334   0.115328                                     25.86         
Royal Bank of Scotland   78009PAL5 05/31/11 11/30/16    100.000     0.000    3.6087              0.117746   0.119870                                     39.12         
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES    4.4728              0.125729   0.125805   0.125755   0.125705  0.125579     45.28    45.26
Royal Bank of Scotland   78009PAN1 06/15/11 12/15/16    100.000     0.000    3.5863              0.116901   0.118997                                     40.59         
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES    2.5504              0.014510   0.014695   0.014883   0.015072  0.015265      5.26     5.40
Royal Bank of Scotland   78009PAX9 07/29/11 07/29/16    100.000     0.000    3.8218              0.123519   0.125880                                     26.12         
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES    2.8321              0.019527   0.019804   0.020084   0.020368  0.020657      7.16     7.37
Royal Bank of Scotland   78009PBG5 08/31/11 02/28/17    100.000     0.000    4.0027              0.128857   0.130007   0.134807                          48.11     7.82
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES    4.7434              0.118883   0.119483   0.120098   0.121534  0.123004     43.06    43.86
Royal Bank of Scotland   78009PBM2 08/31/11 03/01/16    100.000     0.000    3.5003              0.111721                                                 6.70         
Royal Bank of Scotland   78009PBR1 09/30/11 03/30/17    100.000     0.000    3.8461              0.124425   0.126818   0.129256                          45.66    11.50
Royal Bank of Scotland   78009PBV2 09/30/11 09/30/16    100.000    VARIES    2.7074              0.009125   0.009248                                      2.48         
Royal Bank of Scotland   78009PCD1 12/06/11 06/07/17    100.000     0.000    5.2976              0.181415   0.186221   0.191153                          66.41    29.82
Royal Bank of Scotland   78009PCG4 12/30/11 07/03/17    100.000     0.000    5.2550              0.175111   0.179712   0.184434   0.189281               65.53    34.44
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000    3.5770              0.106663   0.108571   0.110512   0.112489  0.114501     39.11    40.52
Royal Bank of Canada     78010UDH7 12/30/13 12/30/20    100.000    VARIES    1.1630              0.006978   0.007018   0.007059   0.007100  0.007141      2.52     2.55
Royal Bank of Canada     78010UDK0 01/30/14 01/30/19    100.000    VARIES    0.9099              0.007398   0.007432   0.007465   0.007450  0.007534      2.68     2.70
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              0.101664   0.097075   0.098947   0.097597  0.099488     36.03    35.93
Royal Bank of Canada     78010UVV6 05/30/14 11/30/17    100.000    VARIES    0.5883              0.007016   0.007000   0.007060   0.007042                2.57     2.35
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES    3.5596              0.095543   0.095641   0.095740   0.095840  0.095943     34.41    34.48
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES    3.6300              0.095371   0.095472   0.095575   0.095680  0.095786     34.37    34.45
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES    3.3499              0.087753   0.087854   0.087957   0.088061  0.088167     31.62    31.69
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES    2.8500              0.078250   0.078295   0.078341   0.078387  0.078434     28.18    28.21
Royal Bank of Scotland   78011PAA5 11/30/11 11/30/26*   100.000    VARIES    5.2303              0.140494                                                20.93*        
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES    3.4099              0.092784   0.090814   0.088810   0.086773  0.086934     33.04    31.60
SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31    100.000    VARIES    3.8135              0.080355   0.079423   0.078473   0.077994  0.077505     28.47    28.02
SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31    100.000    VARIES    3.8227              0.082202   0.081621   0.081030   0.080427  0.079812     29.31    28.88
SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31    100.000    VARIES    3.8133              0.082907   0.081780   0.080632   0.079948  0.079251     29.30    28.69
SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31    100.000    VARIES    3.8090              0.081737   0.081489   0.079883   0.079647  0.078528     29.64    28.94
SG Structured Prods,Inc. 78423AC42 12/31/10 12/31/30    100.000    VARIES    4.1615              0.097408   0.096170   0.094907   0.093617  0.092300     34.84    33.93
SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31    100.000    VARIES    4.1899              0.093627   0.092776   0.091907   0.091020  0.090115     33.29    32.66
SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26    100.000    VARIES    4.0467              0.095675   0.095004   0.095047   0.095092  0.095137     34.24    34.24
SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31    100.000    VARIES    4.1578              0.095469   0.093692   0.094477   0.092167  0.092895     34.49    33.86
SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21    100.000    VARIES    4.1693              0.115144   0.115313   0.115438   0.115565  0.115665     41.51    41.60
SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16    100.000     0.000    2.4340              0.075390                                                 5.13         
SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26    100.000    VARIES    3.9820              0.091348   0.091318   0.091288   0.091257  0.091687     32.87    32.89
SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31    100.000    VARIES    4.2878              0.099709   0.099207   0.098688   0.098159  0.097618     35.71    35.34
SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31    100.000    VARIES    4.1591              0.095222   0.094817   0.094292   0.093755  0.093208     34.15    33.78
SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26    100.000    VARIES    4.1342              0.099721   0.099166   0.099233   0.099301  0.099371     35.77    35.74
SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31    100.000    VARIES    4.0970              0.094433   0.092804   0.093790   0.091706  0.092651     34.24    33.81
SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23    100.000    VARIES    4.1099              0.110178   0.109066   0.110991   0.109300  0.111234     40.15    40.21
SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31    100.000    VARIES    4.0953              0.090681   0.088756   0.089741   0.087789  0.088736     32.80    32.36
SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26    100.000    VARIES    4.1202              0.098326   0.096903   0.098142   0.096718  0.098504     35.72    35.57
SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17    100.000     0.000    2.1964              0.067312   0.068051   0.068799                          24.39    11.35
SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31    100.000    VARIES    4.0039              0.087757   0.086615   0.086055   0.085483  0.084900     31.39    30.88
SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31    100.000    VARIES    4.0072              0.089411   0.087655   0.088479   0.086406  0.087184     32.40    31.91
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23    100.000    VARIES    3.9769              0.109074   0.109340   0.109526   0.109716  0.109909     39.32    39.46
SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26    100.000    VARIES    3.9853              0.096062   0.094191   0.095520   0.093730  0.095042     34.81    34.53
SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25    100.000     7.380    3.6971              0.080373   0.079010   0.076303   0.074393  0.075354     28.66    27.38
SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16    100.000     0.000    1.7220              0.052118                                                 6.15         
SG Structured Prods,Inc. 78423EBE3 06/29/12 06/30/32    100.000    VARIES    2.6183              0.063061   0.062583   0.062099   0.061608  0.061598     22.61    22.27
SG Structured Prods,Inc. 78423EBR4 07/31/12 07/30/32    100.000    VARIES    2.2858              0.054117   0.054393   0.053482   0.054041  0.052834     19.76    19.52
SG Structured Prods,Inc. 78423ECC6 07/31/12 07/31/32    100.000    VARIES    4.4772              0.118244   0.118404   0.118567   0.118734  0.118904     42.65    42.77
SG Structured Prods,Inc. 78423ECE2 08/31/12 08/31/32    100.000    VARIES    2.2189              0.052062   0.051313   0.051976   0.050942  0.051595     18.91    18.73
SG Structured Prods,Inc. 78423ECF9 08/31/12 08/31/27    100.000    VARIES    2.2060              0.056038   0.055045   0.055563   0.054545  0.055334     20.27    20.07
SG Structured Prods,Inc. 78423ECS1 08/31/12 08/31/32    100.000    VARIES    4.3609              0.116059   0.114930   0.116974   0.115205  0.117259     42.38    42.41
SG Structured Prods,Inc. 78423EDB7 09/28/12 09/28/32    100.000    VARIES    3.8987              0.104453   0.104323   0.104190   0.104326  0.104465     37.56    37.56
SG Structured Prods,Inc. 78423EDJ0 09/28/12 09/30/32    100.000    VARIES    2.1721              0.051054   0.050927   0.050800   0.050671  0.050540     18.33    18.24
SG Structured Prods,Inc. 78423EDN1 10/31/12 10/29/27    100.000    VARIES    2.3465              0.058019   0.058000   0.057981   0.057961  0.057941     20.88    20.87
SG Structured Prods,Inc. 78423EDQ4 10/31/12 10/31/32    100.000    VARIES    3.4706              0.093211   0.093142   0.093071   0.092999  0.092926     33.53    33.48
SG Structured Prods,Inc. 78423EEA8 12/31/12 12/31/32    100.000    VARIES    2.3863              0.058308   0.058001   0.057690   0.057376  0.057058     20.93    20.71
SG Structured Prods,Inc. 78423EEJ9 10/31/12 10/29/32    100.000    VARIES    2.3462              0.057862   0.057769   0.057676   0.057581  0.057486     20.80    20.73
SG Structured Prods,Inc. 78423EES9 11/30/12 11/30/32    100.000    VARIES    2.3877              0.059044   0.058908   0.058771   0.058632  0.058492     21.22    21.12
SG Structured Prods,Inc. 78423EJF2 11/27/13 11/27/23    100.000    VARIES    3.9019              0.101616   0.101510   0.101401   0.101290  0.101177     36.56    36.48
SG Structured Prods,Inc. 78423EJG0 12/18/13 12/18/23    100.000    VARIES    3.8786              0.101175   0.101131   0.101087   0.101042  0.100996     36.41    36.38
SLM Corporation.         78442FEM6 01/27/12 01/25/17     98.942     6.000    6.2498     8.04     0.006329   0.006527   0.006731                           2.38      .16
SM Energy Company        78454LAM2 08/09/16 07/01/21     86.000     1.500    4.7378                         0.071515   0.072852   0.074578               10.16    26.54
Sabine Pass LNG, LP      785583AG0 09/15/08 11/30/16     79.000     7.500   11.5231   176.09     0.099911   0.105667                                     33.91         
Sabine Pass LNG, LP      785583AH8 09/15/08 11/30/16     79.000     7.500   11.5231   176.09     0.099911   0.105667                                     33.91         
Saddle Brook TWP NJ SD   786225GD8 08/23/12 08/15/16     99.040     1.750    2.0022     8.05     0.006870   0.006938                                      1.55         
SCH DIST Clair CNTY, IL  788550JL6 06/15/11 01/01/17    103.641    VARIES    4.4873              0.125568   0.125113                                     45.12         
SCH DIST Clair CNTY, IL  788550JM4 06/15/11 01/01/18    102.758    VARIES    4.9870              0.139865   0.139543   0.139213   0.138875               50.29    50.06
SCH DIST Clair CNTY, IL  788550JQ5 06/20/12 01/01/21    107.017     5.500    4.5003              0.130550   0.130050   0.129539   0.129016               46.91    46.54
St. Clair County, IL     788550JU6 06/25/15 01/01/21     79.080     0.000    4.3000    17.58     0.095497   0.096490   0.100198   0.100684               35.13    36.66
St. Clair County, IL     788550JV4 06/25/15 01/01/22     74.588     0.000    4.5500    17.54     0.095428   0.096538   0.100371   0.100981               35.13    36.75
St. Clair County, IL     788550JW2 06/25/15 01/01/23     70.267     0.000    4.7499    17.25     0.093945   0.095131   0.099004   0.099703               34.60    36.27
St. Clair County, IL     788550JX0 06/25/15 01/01/24     65.665     0.000    5.0000    16.97     0.092531   0.093813   0.097752   0.098563               34.10    35.83
San Luis Obispo County   798703AQ7 07/02/03 09/01/18     45.439     0.000    5.2695   416.16     0.125229   0.128528   0.131915   0.135390  0.138958     46.48    48.96
San Luis Obispo County   798703AR5 07/02/03 09/01/19     42.462     0.000    5.3695   398.87     0.120667   0.123906   0.127233   0.130649  0.134157     44.81    47.25
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000    5.4695   381.42     0.116005   0.119177   0.122437   0.125785  0.129225     43.10    45.49
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000    5.5395   363.16     0.110864   0.113934   0.117090   0.120333  0.123666     41.21    43.53
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000    5.5995   345.06     0.105672   0.108631   0.111672   0.114799  0.118013     39.29    41.53
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000    5.6397   327.13     0.100397   0.103228   0.106139   0.109132  0.112210     37.34    39.48
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000    5.6796   309.89     0.095305   0.098012   0.100795   0.103658  0.106601     35.46    37.50
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000    5.6997   293.16     0.090256   0.092828   0.095474   0.098195  0.100993     33.58    35.52
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000    5.7297   277.26     0.085498   0.087948   0.090467   0.093059  0.095725     31.82    33.67
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000    5.7297   262.03     0.080802   0.083117   0.085498   0.087948  0.090467     30.07    31.82
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000    5.7296   247.64     0.076364   0.078551   0.080802   0.083117  0.085498     28.42    30.07
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000    5.7297   234.04     0.072170   0.074237   0.076364   0.078552  0.080802     26.86    28.42
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000    5.7298   221.18     0.068206   0.070160   0.072170   0.074237  0.076364     25.38    26.86
Seacor Holdings, Inc.    81170YAA7 11/13/13 11/15/28    100.000    VARIES    8.2503              0.254850   0.261926   0.269293   0.276964  0.284952     93.68    99.05
Seacor Holdings, Inc.    81170YAB5 11/13/13 11/15/28    100.000    VARIES    8.2503              0.254850   0.261926   0.269293   0.276964  0.284952     93.68    99.05
Seacor Holdings, Inc.    811904AL5 12/11/12 12/15/27    100.000    VARIES    7.1503              0.229057   0.234763   0.240674   0.246796  0.253136     83.67    87.94
Seacor Holdings, Inc.    811904AM3 12/11/12 12/15/27    100.000    VARIES    7.1503              0.229057   0.234763   0.240674   0.246796  0.253136     83.67    87.94
Sears Holdings Corp.     812350AF3 11/21/14 12/15/19     82.600     8.000   12.7675    29.49     0.080722   0.085875   0.091357   0.097189  0.103394     30.16    34.13
Shelby Christi CNTYS, IL 821510AX2 02/24/16 12/01/17    103.912     3.750    1.5019              0.043352   0.043106   0.042647   0.042185               13.24    13.99
Shelby Christi CNTYS, IL 821510AY0 02/24/16 12/01/18    105.242     3.750    1.8014              0.052664   0.052414   0.051948   0.051477  0.051003     16.10    18.59
Shelby Christi CNTYS, IL 821510AZ7 02/24/16 12/01/19    105.947     3.750    2.1010              0.061832   0.061593   0.061146   0.060694  0.060237     18.92    21.90
Shelby Christi CNTYS, IL 821510BA1 02/24/16 12/01/20    106.279     3.750    2.3507              0.069400   0.069180   0.068769   0.068353  0.067932     21.25    24.66
Shelby Christi CNTYS, IL 821510BB9 02/24/16 12/01/21    106.397     3.750    2.5507              0.075387   0.075189   0.074819   0.074445  0.074066     23.09    26.85
SG Structured Prods,Inc. 83367TAN9 09/28/12 09/28/27    100.000    VARIES    4.2451              0.108756   0.108258   0.107749   0.107230  0.106699     38.97    38.60
SG Structured Prods,Inc. 83368W2F7 07/28/15 07/28/21    100.000     0.000    3.0305              0.084181   0.085456   0.086751   0.088066  0.089400     30.93    31.87
SG Structured Prods,Inc. 83368W2V2 08/31/15 09/03/30    100.000    VARIES    3.4213              0.094987   0.091860   0.088679   0.088572  0.088464     32.89    31.88
SG Structured Prods,Inc. 83368WB59 01/30/15 01/30/30    100.000    VARIES    2.8760              0.079802   0.079711   0.079756   0.079801  0.079847     28.71    28.73
SG Structured Prods,Inc. 83368WBD2 01/31/13 01/31/33    100.000    VARIES    3.8966              0.101394   0.101333   0.101926   0.102531  0.103147     36.57    36.99
SG Structured Prods,Inc. 83368WBG5 01/31/13 01/31/33    100.000    VARIES    3.8942              0.100035   0.098769   0.098466   0.098156  0.097841     35.55    35.30
SG Structured Prods,Inc. 83368WBT7 02/28/13 02/28/33    100.000    VARIES    3.4646              0.085026   0.083970   0.085226   0.083700  0.085494     30.95    30.86
SG Structured Prods,Inc. 83368WBX8 03/28/13 03/31/33    100.000    VARIES    2.9028              0.072823   0.072419   0.072541   0.072665  0.072790     26.12    26.16
SG Structured Prods,Inc. 83368WCB5 04/12/13 04/12/33    100.000    VARIES    3.9684              0.099662   0.099096   0.099222   0.099351  0.099482     35.74    35.76
SG Structured Prods,Inc. 83368WCG4 04/30/13 04/29/33    100.000    VARIES    3.9499              0.099449   0.098985   0.099228   0.099476  0.099729     35.70    35.80
SG Structured Prods,Inc. 83368WCQ2 04/30/13 05/01/23    100.000    VARIES    1.6707              0.009751   0.009832   0.009914   0.009997  0.010081      3.53     3.59
SG Structured Prods,Inc. 83368WCY5 05/03/13 05/03/23    100.000    VARIES    3.1496              0.086839   0.086787   0.086773   0.086759  0.086780     31.25    31.24
SG Structured Prods,Inc. 83368WDL2 06/28/13 06/28/33    100.000    VARIES    4.7629              0.127697   0.128537   0.129985   0.131469  0.132987     46.13    47.07
SG Structured Prods,Inc. 83368WDM0 06/28/13 06/28/33    100.000    VARIES    4.7593              0.119325   0.119144   0.119666   0.120200  0.120748     42.93    43.18
SG Structured Prods,Inc. 83368WDR9 07/31/13 07/31/33    100.000    VARIES    4.5906              0.115990   0.115765   0.115535   0.115300  0.115060     41.65    41.48
SG Structured Prods,Inc. 83368WDT5 07/31/13 07/31/33    100.000    VARIES    4.5832              0.113612   0.114111   0.114622   0.115144  0.115678     41.14    41.52
SG Structured Prods,Inc. 83368WDV0 07/31/13 07/31/33    100.000    VARIES    4.5941              0.115033   0.113838   0.112617   0.111367  0.110088     40.83    39.94
SG Structured Prods,Inc. 83368WDW8 08/30/13 08/31/33    100.000    VARIES    4.6389              0.115853   0.113532   0.114310   0.112778  0.114993     41.79    41.53
SG Structured Prods,Inc. 83368WDX6 08/30/13 08/31/33    100.000    VARIES    4.6413              0.117698   0.116268   0.118039   0.116792  0.119433     42.86    43.03
SG Structured Prods,Inc. 83368WDZ1 08/30/13 08/31/28    100.000    VARIES    4.5930              0.116878   0.116025   0.118382   0.117381  0.120293     42.81    43.26
SG Structured Prods,Inc. 83368WEL1 09/30/13 09/30/33    100.000    VARIES    4.5116              0.114617   0.114600   0.114583   0.114565  0.114547     41.26    41.24
SG Structured Prods,Inc. 83368WFA4 10/31/13 10/31/33    100.000    VARIES    4.2945              0.108773   0.108279   0.107775   0.107260  0.106733     39.01    38.64
SG Structured Prods,Inc. 83368WFL0 10/31/13 10/31/33    100.000    VARIES    4.2911              0.109466   0.109578   0.109692   0.109809  0.109928     39.44    39.52
SG Structured Prods,Inc. 83368WG47 03/31/15 03/31/35    100.000    VARIES    2.8488              0.079474   0.079817   0.080165   0.080518  0.081472     28.74    29.04
SG Structured Prods,Inc. 83368WGF2 11/29/13 11/30/33    100.000    VARIES    4.4027              0.112459   0.112253   0.112043   0.111828  0.111609     40.44    40.28
SG Structured Prods,Inc. 83368WGG0 11/29/13 11/29/28    100.000    VARIES    4.2430              0.111679   0.110454   0.109202   0.107924  0.106619     39.90    39.00
SG Structured Prods,Inc. 83368WGM7 11/29/13 11/29/32     90.000    VARIES    4.3778              0.096616   0.096775   0.096936   0.097102  0.097271     34.82    34.94
SG Structured Prods,Inc. 83368WGR6 11/29/13 11/29/32     90.000    VARIES    4.3777              0.096615   0.096773   0.096935   0.097100  0.097269     34.82    34.94
SG Structured Prods,Inc. 83368WGZ8 12/30/13 12/30/33    100.000    VARIES    4.4480              0.114402   0.113901   0.113389   0.113894  0.114411     41.09    40.91
SG Structured Prods,Inc. 83368WHA2 12/30/13 12/30/32     93.000    VARIES    4.4186              0.103183   0.103596   0.104019   0.104451  0.104893     37.22    37.53
SG Structured Prods,Inc. 83368WHD6 12/30/13 12/30/33    100.000    VARIES    4.4457              0.113664   0.112169   0.110641   0.110731  0.110823     40.65    39.85
SG Structured Prods,Inc. 83368WHS3 01/31/14 01/31/34    100.000    VARIES    4.0888              0.105566   0.102785   0.103081   0.103383  0.103691     37.13    37.26
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 83368WJB8 01/31/14 01/31/33     91.000    VARIES    4.0761              0.095636   0.093069   0.093638   0.094218  0.094810     33.67    33.99
SG Structured Prods,Inc. 83368WKA8 02/21/14 02/21/24    100.000     0.000    3.6892              0.108256   0.110253   0.112287   0.114358  0.116468     39.86    41.34
SG Structured Prods,Inc. 83368WKB6 02/28/14 02/28/34     91.000    VARIES    4.0372              0.093801   0.090334   0.092503   0.091667  0.093885     33.53    33.78
SG Structured Prods,Inc. 83368WKC4 02/28/14 02/28/34    100.000    VARIES    4.0411              0.104542   0.101182   0.103184   0.101828  0.103854     37.48    37.49
SG Structured Prods,Inc. 83368WKZ3 03/31/14 03/31/34    100.000    VARIES    4.4730              0.116446   0.113726   0.113298   0.112861  0.112413     41.14    40.63
SG Structured Prods,Inc. 83368WL58 04/17/15 04/17/25    100.000    VARIES    2.7150              0.075465   0.075511   0.075517   0.075523  0.075507     27.18    27.19
SG Structured Prods,Inc. 83368WLG4 03/31/14 03/31/34     91.000    VARIES    4.4571              0.100095   0.095716   0.096430   0.097159  0.097905     34.91    34.98
SG Structured Prods,Inc. 83368WLH2 03/31/14 03/31/34    100.000    VARIES    4.4742              0.115616   0.112597   0.111738   0.110859  0.109961     40.73    39.91
SG Structured Prods,Inc. 83368WMW8 05/14/14 05/14/21    100.000    VARIES    2.9301              0.081725   0.081778   0.081776   0.081774  0.081735     29.43    29.44
SG Structured Prods,Inc. 83368WNR8 05/22/14 05/22/34     91.000    VARIES    3.6947              0.086666   0.084340   0.084612   0.084888  0.085170     30.70    30.53
SG Structured Prods,Inc. 83368WP21 05/20/15 05/21/35    100.000    VARIES    3.3761              0.092614   0.091431   0.090229   0.089007  0.089207     33.03    32.22
SG Structured Prods,Inc. 83368WPM7 06/26/14 06/26/34    100.000    VARIES    3.6332              0.095016   0.092974   0.093051   0.093130  0.093210     33.83    33.51
SG Structured Prods,Inc. 83368WRU7 08/29/14 08/29/34    100.000    VARIES    3.4029              0.089394   0.088780   0.086681   0.087472  0.087313     32.27    31.86
SG Structured Prods,Inc. 83368WSX0 08/29/14 08/29/34    100.000    VARIES    3.4025              0.089305   0.088651   0.086512   0.087122  0.086782     32.22    31.72
SG Structured Prods,Inc. 83368WTC5 09/30/14 09/30/29    100.000    VARIES    3.5292              0.097074   0.096912   0.096747   0.096578  0.096407     34.89    34.77
SG Structured Prods,Inc. 83368WTS0 09/30/14 09/30/24    100.000    VARIES    3.2997              0.087316   0.087309   0.087301   0.087505  0.087712     31.43    31.50
SG Structured Prods,Inc. 83368WU58 06/30/15 06/30/35    100.000    VARIES    3.7086              0.099519   0.095956   0.095518   0.095071  0.094616     35.18    34.31
SG Structured Prods,Inc. 83368WUJ8 09/30/14 09/30/34    100.000    VARIES    3.5842              0.093117   0.093058   0.092998   0.092937  0.092874     33.50    33.46
SG Structured Prods,Inc. 83368WUL3 09/30/14 09/30/34    100.000    VARIES    3.5615              0.095254   0.093365   0.091442   0.091707  0.091976     33.60    33.02
SG Structured Prods,Inc. 83368WVM0 10/31/14 10/31/34    100.000    VARIES    3.4502              0.089267   0.089319   0.089372   0.089425  0.089480     32.15    32.19
SG Structured Prods,Inc. 83368WXN6 11/26/14 11/26/34    100.000    VARIES    3.3122              0.088504   0.086708   0.084883   0.085207  0.085535     31.41    30.64
SG Structured Prods,Inc. 83368WXV8 11/14/14 11/16/21    100.000     0.000    2.6925              0.076833   0.077867   0.078915   0.079978  0.081054     27.94    28.70
SG Structured Prods,Inc. 83368WZJ3 12/31/14 12/31/34    100.000    VARIES    3.0161              0.081776   0.080750   0.079708   0.080218  0.080736     29.25    28.79
SG Structured Prods,Inc. 83368WZV6 12/16/14 11/16/21    101.640     0.000    2.4785              0.071577   0.072464   0.073362   0.074271  0.075192     26.01    26.66
SG Structured Prods,Inc. 83369ECH1 10/30/15 11/01/27    100.000    VARIES    3.1961              0.088780   0.088267   0.087746   0.087217  0.086679     31.81    31.43
SG Structured Prods,Inc. 83369ECY4 11/17/15 12/14/16    100.000     0.000    1.1502              0.031978   0.032162                                     11.00         
SG Structured Prods,Inc. 83369EEM8 01/29/16 01/29/36    100.000    VARIES    3.1195                         0.086655   0.084433   0.082176  0.082036     28.43    29.63
SG Structured Prods,Inc. 83369EGC8 02/26/16 02/26/21    100.000    VARIES    1.8853                         0.008339   0.008226   0.008113  0.007998      2.53     2.91
SG Structured Prods,Inc. 83369EGU8 03/23/16 03/23/26    100.000    VARIES    1.6325                         0.027847   0.027357   0.026864  0.026367      7.69     9.66
SG Structured Prods,Inc. 83369EKC3 06/24/16 06/26/23    100.000     0.000    1.8500              0.051390   0.051395   0.051870   0.052350  0.052835      9.61    18.76
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000    2.7499   308.81     0.067553   0.068482   0.069424   0.070378  0.071346     24.59    25.27
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600   10.4989              0.313264   0.312794   0.312299   0.311778  0.311230    112.60   112.24
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES    8.8000              0.223215   0.233037   0.233146   0.233260  0.233379     83.77    83.99
Toll Brothers Finance    88947EAL4 09/11/12 09/15/32    100.000    VARIES    5.9844              0.195838   0.201282   0.206889   0.212665  0.218612     72.65    76.76
Toll Brothers Finance    88947EAM2 09/11/12 09/15/32    100.000    VARIES    5.9844              0.195838   0.201282   0.206889   0.212665  0.218612     72.65    76.76
Tornillo Indpt SCH DIST  891084NY7 12/06/12 02/01/20     83.718     0.000    2.4998    66.36     0.062095   0.062871   0.063657   0.064453  0.065258     22.73    23.30
Tornillo Indpt SCH DIST  891084NZ4 12/06/12 02/01/21     80.360     0.000    2.6997    68.97     0.064710   0.065583   0.066468   0.067366  0.068275     23.72    24.36
Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16    100.000     0.000    4.9609              0.214194   0.219507                                     74.00         
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000    4.8000   107.23     0.045861   0.046961   0.048088   0.049243  0.050424     16.92    17.74
Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16    100.000    VARIES    6.2020              0.170245   0.171247                                     50.06         
Transportadora Gas Norte 893871AS2 08/22/12 08/22/19     25.000    VARIES    N/A                 0.516331   0.576778   0.621916   0.670984  0.727408    196.87   232.83
Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19     25.000    VARIES    N/A                 0.516331   0.576778   0.621916   0.670984  0.727408    196.87   232.83
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000    6.1698   369.86     0.115461   0.119022   0.122694   0.126479  0.130381     42.86    45.54
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36    100.000    VARIES    8.5854              0.398035   0.410501   0.423502   0.437061  0.451202    146.30   155.73
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES    4.6496              0.132296   0.132366   0.132261   0.132153  0.131858     47.64    47.56
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES    2.4224              0.066085   0.066178   0.066273   0.066370  0.066467     23.83    23.90
UBS AG                   90261JHQ9 09/23/11 09/23/19    100.000    VARIES    2.3047              0.004936   0.004993   0.005051   0.005109  0.005168      1.80     1.84
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES    2.5378              0.009977   0.010104   0.010232   0.010362  0.010493      3.64     3.73
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES    5.7801              0.113736   0.112034   0.110283   0.109777  0.109256     40.08    39.45
UBS AG                   90261XEU2 03/06/08 03/06/18    100.000    VARIES    4.6051              0.122761   0.123365   0.124307   0.125270  0.126581     44.48    45.19
Union CNTY SD #531, IL   904842CU3 05/17/11 12/01/16     99.662    VARIES    3.6779              0.102087   0.102126                                     33.70         
Union CNTY SD #531, IL   904842CV1 05/17/11 12/01/17    108.762    VARIES    4.1179              0.117720   0.116912   0.116088   0.115247               42.18    38.16
Union CNTY SD #531, IL   904842CW9 05/17/11 12/01/18    107.234    VARIES    4.3707              0.125226   0.124624   0.124008   0.123380  0.122737     44.94    44.49
Union City, NJ           905734MF3 02/07/07 11/01/16     58.640     0.000    5.5586   369.02     0.146169   0.150231                                     44.58         
Union City, NJ           905734MG1 02/07/07 11/01/17     55.340     0.000    5.5882   350.57     0.139028   0.142912   0.146905   0.151010               51.22    44.81
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000    5.4000      .98     0.027263   0.027999   0.028756   0.029532  0.030329      9.99    10.54
United Technologies Corp 913017AR0 11/13/89 11/15/19     98.974     8.875    8.9741     7.08     0.001918   0.001983   0.002106   0.002164  0.002299       .72      .79
Uruguay, Republic        917288AX0 05/29/03 01/20/17     73.000     7.625   11.6165   231.53     0.093602   0.099039   0.104791                          36.48     1.99
Uruguay, Republic        917288BA9 05/29/03 01/15/33    100.000     7.875    N/A                 0.140381   0.141445   0.142576   0.143777  0.145052     51.09    51.95
VeriSign, Inc.           92343EAC6 08/20/07 08/15/37    100.000    VARIES    8.5008              0.373864   0.385918   0.397516   0.409608  0.422213    139.98   148.64
VeriSign, Inc.           92343EAD4 08/20/07 08/15/37    100.000    VARIES    8.5008              0.373864   0.385918   0.397516   0.409608  0.422213    139.98   148.64
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    22.48     0.012439   0.012874   0.013325   0.013792  0.014275      4.65     4.98
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES    2.3691              0.011103   0.010760   0.010413   0.010062  0.009706      3.91     3.66
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES    2.3797              0.010297   0.009861   0.009420   0.008973  0.008522      3.62     3.30
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES    2.4985              0.011086   0.010727   0.010364   0.009996  0.009624      3.92     3.66
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES    2.5508              0.012537   0.012006   0.011469   0.010924  0.010373      4.41     4.02
Wells Fargo & Company    94986RBC4 11/05/10 05/06/16    100.000     0.000    1.7322              0.052454                                                 6.56         
Wells Fargo & Company    94986RBH3 11/05/10 11/05/17    100.000    VARIES    2.5030              0.071583   0.071128   0.070668   0.070101               25.64    21.38
Wells Fargo & Company    94986RBP5 12/07/10 12/07/16    100.000     0.000    2.2309              0.069240   0.070012                                     23.40         
Wells Fargo & Company    94986RBQ3 12/07/10 06/07/17    100.000     0.000    2.4501              0.076873   0.077815   0.078768                          27.89    12.29
Wells Fargo & Company    94986RBY6 01/05/11 01/06/17    100.000     0.000    2.6501              0.082880   0.083978   0.085091                          30.42      .43
Wells Fargo & Company    94986RBZ3 01/05/11 07/07/17    100.000     0.000    2.7699              0.087097   0.088303   0.089526   0.090766               31.99    16.87
Wells Fargo & Company    94986RCG4 02/07/11 02/07/17    100.000     1.250    2.5699              0.075852   0.076380   0.076916                          27.56     2.77
Wells Fargo & Company    94986RCP4 02/07/11 02/07/18    100.000     1.500    2.9500              0.087618   0.088296   0.088984   0.089682  0.090390     31.86    32.36
Wells Fargo & Company    94986RCW9 03/07/11 03/07/17    100.000     1.250    2.5500              0.075195   0.075711   0.076234                          27.28     5.03
Wells Fargo & Company    94986RCZ2 03/02/11 03/02/16     99.730     0.125    N/A                 0.007782                                                  .47         
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES    2.1764                         0.010818   0.010395   0.009967  0.009535      3.56     3.53
Wells Fargo & Company    94986RDD0 03/31/11 03/31/21    100.000    VARIES    4.1708              0.116475   0.116539   0.116571   0.116605  0.116587     41.95    41.97
Wells Fargo & Company    94986RDL2 04/29/11 04/30/21    100.000    VARIES    4.3018              0.120424   0.120459   0.120464   0.120469  0.120415     43.36    43.36
Wells Fargo & Company    94986RDU2 06/07/11 06/07/17    100.000     0.000    2.3099              0.071152   0.071974   0.072805                          25.80    11.36
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES    4.1140              0.116338   0.116357   0.116301   0.116244  0.116101     41.88    41.85
Wells Fargo & Company    94986RDX6 07/06/11 01/08/18    100.000     0.000    1.9900              0.059842   0.060438   0.061039   0.061646  0.062260     21.86    22.29
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES    1.9880                         0.012945   0.012601   0.012255  0.011905      3.93     4.39
Wells Fargo & Company    94986REQ0 08/05/11 02/07/18    100.000     0.000    2.4202              0.074031   0.074927   0.075833   0.076751  0.077680     27.07    27.73
Wells Fargo & Company    94986RF71 02/29/16 03/01/23    100.000    VARIES    1.9955              0.010069   0.010067   0.009833   0.009597  0.009358      3.00     3.44
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RFA4 09/08/11 03/07/18    100.000     0.000    2.2999              0.070004   0.070809   0.071624   0.072447  0.073281     25.53    26.12
Wells Fargo & Company    94986RFL0 10/05/11 10/05/18    100.000     0.000    2.4700              0.075691   0.076625   0.077572   0.078530  0.079500     27.58    28.26
Wells Fargo & Company    94986RFS5 10/05/11 04/06/18    100.000     0.000    2.3000              0.070014   0.070820   0.071634   0.072458  0.073291     25.49    26.08
Wells Fargo & Company    94986RFX4 11/08/11 05/07/18    100.000     0.000    2.3199              0.070668   0.071488   0.072317   0.073156  0.074005     25.68    26.28
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES    2.2004                         0.012042   0.011566   0.011085  0.010599      3.30     3.98
Wells Fargo & Company    94986RGE5 12/07/11 06/07/18    100.000     0.000    2.3299              0.071005   0.071832   0.072669   0.073516  0.074372     25.75    26.35
Wells Fargo & Company    94986RGS4 01/04/12 07/06/18    100.000     0.000    2.3699              0.071499   0.072346   0.073203   0.074071  0.074948     26.19    26.81
Wells Fargo & Company    94986RH53 03/16/16 03/16/22    100.000     0.000    2.2404                         0.062236   0.062933   0.063638  0.064351     17.81    22.93
Wells Fargo & Company    94986RHA2 02/07/12 08/07/18    100.000     0.000    2.0501              0.061162   0.061789   0.062422   0.063062  0.063709     22.31    22.77
Wells Fargo & Company    94986RHB0 01/27/12 01/27/17    100.000    VARIES    1.6991              0.015683   0.015817   0.015951                           5.71      .41
Wells Fargo & Company    94986RHC8 01/27/12 01/28/19    100.000    VARIES    1.7471              0.015371   0.015505   0.015641   0.015778  0.015915      5.60     5.70
Wells Fargo & Company    94986RHG9 03/07/12 09/10/18    100.000     0.000    1.9799              0.058933   0.059517   0.060106   0.060701  0.061302     21.45    21.88
Wells Fargo & Company    94986RHH7 02/15/12 02/15/17    100.000    VARIES    1.4532              0.010798   0.010876   0.010955                           3.92      .48
Wells Fargo & Company    94986RHM6 03/07/12 09/08/16    100.000     0.000    1.0799              0.031151   0.031319                                      7.72         
Wells Fargo & Company    94986RHQ7 03/05/12 03/05/19    100.000    VARIES    1.4012              0.010677   0.010635   0.010887   0.010785  0.011040      3.92     3.97
Wells Fargo & Company    94986RHR5 03/07/12 09/10/18    100.000     0.000    2.1000              0.062769   0.063428   0.064094   0.064767  0.065447     22.86    23.35
Wells Fargo & Company    94986RHX2 04/04/12 10/05/18    100.000     0.000    1.9801              0.058933   0.059517   0.060106   0.060701  0.061302     21.42    21.85
Wells Fargo & Company    94986RHY0 04/04/12 10/07/16    100.000     0.000    1.1500              0.033258   0.033449                                      9.21         
Wells Fargo & Company    94986RHZ7 03/21/12 03/21/19    100.000    VARIES    1.3789              0.010721   0.010795   0.010869   0.010944  0.011012      3.94     3.94
Wells Fargo & Company    94986RJ28 03/29/16 03/29/21    100.000     0.125    2.5923                         0.072008   0.072897   0.073797  0.074708     19.67    26.57
Wells Fargo & Company    94986RJK8 04/24/12 04/24/19    100.000    VARIES    1.3828              0.011033   0.011110   0.011187   0.011264  0.011342      4.00     4.05
Wells Fargo & Company    94986RJR3 06/07/12 12/07/18    100.000     0.000    1.9898              0.059240   0.059829   0.060425   0.061026  0.061633     21.46    21.89
Wells Fargo & Company    94986RJW2 05/29/12 05/29/19    100.000     0.000    2.2699              0.068238   0.069013   0.069796   0.070588  0.071390     24.76    25.32
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES    2.1557                         0.011272   0.011017   0.010759  0.010499      2.80     3.88
Wells Fargo & Company    94986RKE0 07/05/12 07/08/19    100.000     0.000    1.8098              0.053074   0.053554   0.054039   0.054528  0.055022     19.36    19.71
Wells Fargo & Company    94986RKN0 08/07/12 08/07/19    100.000     0.000    1.6999              0.049681   0.050103   0.050529   0.050959  0.051392     18.08    18.39
Wells Fargo & Company    94986RKY6 08/17/12 08/19/19    100.000    VARIES    1.2319              0.007807   0.007855   0.007903   0.007952  0.008001      2.83     2.87
Wells Fargo & Company    94986RLH2 09/21/12 09/23/19    100.000    VARIES    1.1737              0.007812   0.007858   0.007904   0.007950  0.007997      2.83     2.86
Wells Fargo & Company    94986RLK5 10/03/12 10/07/19    100.000     0.000    1.5699              0.045713   0.046072   0.046434   0.046798  0.047165     16.58    16.84
Wells Fargo & Company    94986RLM1 10/03/12 10/07/19    100.000     0.000    1.7300              0.050615   0.051053   0.051495   0.051940  0.052389     18.37    18.69
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES    1.2945              0.011050   0.011122   0.011194   0.011266  0.011339      4.00     4.06
Wells Fargo & Company    94986RLU3 11/07/12 11/07/19    100.000     0.000    1.7201              0.050302   0.050734   0.051171   0.051611  0.052055     18.23    18.55
Wells Fargo & Company    94986RLV1 10/19/12 10/19/20    100.000    VARIES    1.1744              0.009155   0.009209   0.009263   0.009317  0.009372      3.31     3.35
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES    1.1530              0.008715   0.008765   0.008816   0.008867  0.008918      3.15     3.19
Wells Fargo & Company    94986RMD0 11/16/12 11/16/20    100.000    VARIES    1.0417              0.007414   0.007453   0.007492   0.007531  0.007570      2.68     2.71
Wells Fargo & Company    94986RME8 12/07/12 12/06/19    100.000     0.000    1.3599              0.039343   0.039610   0.039880   0.040151  0.040424     14.22    14.42
Wells Fargo & Company    94986RMF5 12/07/12 12/06/19    100.000     0.000    1.6200              0.047230   0.047613   0.047999   0.048387  0.048779     17.09    17.37
Wells Fargo & Company    94986RMH1 01/03/13 01/08/20    100.000     0.000    1.0001              0.028487   0.028630   0.028773   0.028917  0.029061     10.33    10.43
Wells Fargo & Company    94986RMJ7 01/03/13 01/08/20    100.000     0.000    1.6997              0.049268   0.049686   0.050109   0.050535  0.050964     17.96    18.26
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES    1.2832              0.010751   0.010820   0.010890   0.010960  0.011030      3.88     3.93
Wells Fargo & Company    94986RMT5 02/07/13 02/07/20    100.000     0.000    1.3701              0.039381   0.039651   0.039923   0.040196  0.040471     14.30    14.50
Wells Fargo & Company    94986RMU2 02/07/13 02/07/20    100.000     0.000    1.6097              0.046543   0.046918   0.047296   0.047676  0.048060     16.93    17.20
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES    1.1862              0.009540   0.009597   0.009653   0.009711  0.009768      3.46     3.50
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RNF4 03/06/13 03/06/20    100.000     0.000    1.5599              0.045049   0.045400   0.045754   0.046111  0.046471     16.36    16.62
Wells Fargo & Company    94986RNG2 03/06/13 03/06/20    100.000     0.000    1.3399              0.038483   0.038741   0.039001   0.039262  0.039525     13.96    14.15
Wells Fargo & Company    94986RNJ6 02/22/13 02/22/21    100.000    VARIES    1.0349              0.011446   0.011632   0.011565   0.011817  0.011685      4.24     4.28
Wells Fargo & Company    94986RNU1 04/03/13 04/07/20    100.000     0.000    1.4905              0.042977   0.043297   0.043620   0.043945  0.044273     15.58    15.82
Wells Fargo & Company    94986RNV9 04/03/13 04/07/20    100.000     0.000    1.5698              0.045353   0.045709   0.046068   0.046430  0.046794     16.45    16.71
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES    1.1811              0.010123   0.010183   0.010243   0.010364  0.010426      3.67     3.71
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES    1.3586              0.010358   0.010428   0.010499   0.010570  0.010642      3.75     3.81
Wells Fargo & Company    94986RPA3 03/20/13 03/20/20    100.000    VARIES    1.1706              0.007580   0.007625   0.007670   0.007714  0.007759      2.75     2.78
Wells Fargo & Company    94986RPF2 05/08/13 05/07/20    100.000     0.000    1.5101              0.043554   0.043883   0.044214   0.044548  0.044884     15.77    16.01
Wells Fargo & Company    94986RPG0 05/08/13 05/07/20    100.000     0.000    1.4898              0.042949   0.043269   0.043591   0.043916  0.044243     15.55    15.79
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES    1.3234              0.007469   0.007518   0.007568   0.007618  0.007669      2.70     2.74
Wells Fargo & Company    94986RPJ4 04/10/13 01/24/20     95.000     0.000    1.9489              0.053766   0.054290   0.054819   0.055353  0.055893     19.62    20.00
Wells Fargo & Company    94986RPS4 06/07/13 06/05/20    100.000     0.000    1.8198              0.052888   0.053369   0.053855   0.054345  0.054839     19.15    19.50
Wells Fargo & Company    94986RPT2 06/07/13 06/05/20    100.000     0.000    1.8598              0.054103   0.054606   0.055114   0.055627  0.056144     19.59    19.96
Wells Fargo & Company    94986RQA2 07/02/13 07/08/20    100.000     0.000    2.4199              0.070561   0.071415   0.072279   0.073153  0.074039     25.85    26.48
Wells Fargo & Company    94986RQB0 07/02/13 07/08/20    100.000     0.000    2.2502              0.065392   0.066128   0.066872   0.067624  0.068385     23.93    24.47
Wells Fargo & Company    94986RQF1 06/12/13 06/05/20    100.000     0.000    2.3333              0.068655   0.069456   0.070266   0.071086  0.071915     24.90    25.49
Wells Fargo & Company    94986RQH7 06/17/13 06/10/20    100.000     0.000    2.4816              0.073284   0.074194   0.075114   0.076046  0.076990     26.58    27.25
Wells Fargo & Company    94986RQJ3 06/17/13 01/24/20     93.099     0.000    2.3704              0.064418   0.065181   0.065954   0.066735  0.067526     23.57    24.13
Wells Fargo & Company    94986RQR5 08/08/13 08/07/20    100.000     0.000    2.4500              0.071448   0.072323   0.073209   0.074106  0.075014     26.13    26.78
Wells Fargo & Company    94986RQS3 08/08/13 08/07/20    100.000     0.000    2.3798              0.069305   0.070130   0.070964   0.071809  0.072663     25.34    25.94
Wells Fargo & Company    94986RQZ7 09/09/13 09/08/20    100.000     0.000    2.0800              0.060216   0.060843   0.061476   0.062115  0.062761     21.93    22.39
Wells Fargo & Company    94986RRG8 10/03/13 10/07/19    100.000     0.000    1.9198              0.055418   0.055950   0.056487   0.057029  0.057577     20.14    20.52
Wells Fargo & Company    94986RRH6 10/03/13 10/07/20    100.000     0.000    1.9198              0.055419   0.055951   0.056488   0.057030  0.057577     20.14    20.52
Wells Fargo & Company    94986RRS2 11/07/13 05/07/20    100.000     0.000    1.7498              0.050332   0.050772   0.051216   0.051665  0.052117     18.25    18.57
Wells Fargo & Company    94986RSM4 01/03/14 01/04/19    100.000     0.000    1.7402              0.049614   0.050046   0.050481   0.050921  0.051364     18.09    18.41
Wells Fargo & Company    94986RTK7 03/13/14 03/13/19    110.000     0.125    2.1760              0.068569   0.069278   0.069994   0.070717  0.071449     24.97    25.49
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000    3.5788              0.104847   0.106723   0.108632   0.110576  0.112555     38.44    39.83
Wells Fargo & Company    94986RUS8 08/25/14 08/25/21    100.000    VARIES    1.0018              0.027653   0.027563   0.027473   0.027508  0.027543      9.92     9.91
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES    2.5650              0.006422   0.006504   0.006587   0.006672  0.006758      2.34     2.40
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES    2.5155              0.006453   0.006534   0.006616   0.006700  0.006784      2.35     2.41
Wells Fargo & Company    94986RVY4 02/23/15 02/21/20    110.000     0.125    2.3384              0.072240   0.073044   0.073858   0.074681  0.075513     26.36    26.95
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES    2.1820              0.011063   0.010802   0.010537   0.010270  0.009999      3.87     3.68
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000    2.0103              0.056405   0.056972   0.057544   0.058123  0.058707     20.50    20.92
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES    2.0658              0.057156   0.056925   0.056691   0.056454  0.056215     20.49    20.32
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES    2.2225              0.061351   0.060961   0.060567   0.060168  0.059765     21.96    21.68
Wells Fargo & Company    94986RWU1 04/30/15 03/29/17    100.000    VARIES    N/A                 0.013135   0.013023   0.012988   0.012978                4.69     1.14
Wells Fargo & Company    94986RWV9 04/29/15 01/27/17    100.000    VARIES    0.4793              0.013142   0.013016   0.012966                           4.68      .34
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES    2.2895              0.011426   0.011068   0.010707   0.010341  0.009971      4.02     3.76
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES    2.2447                                    0.010098   0.009861  0.009622       .74     3.56
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES    2.5016              0.011208   0.010957   0.010704   0.010447  0.010188      3.99     3.81
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250    2.4236              0.068057   0.068797   0.069547   0.070305  0.071073     24.64    25.18
Wells Fargo & Company    94986RXS5 06/22/15 12/21/16    100.000    VARIES    0.4285              0.011578   0.011481                                      4.03         
                                                                                                                                                                       



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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES    2.4665              0.010583   0.010244   0.009902   0.009555  0.009203      3.65     3.40
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES    2.4322              0.010191   0.009869   0.009543   0.009213  0.008879      3.53     3.30
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES    2.2262                                    0.013896   0.013572  0.013245       .99     4.90
Wells Fargo & Company    94986RZ79 11/04/16 11/06/23    100.000     0.250    2.8284                         0.078568   0.078580   0.079593  0.080620      4.48    28.58
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES    2.2451              0.012165   0.011806   0.011444   0.011077  0.010706      4.25     3.99
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES    2.2546              0.010529   0.010282   0.010031   0.009777  0.009521      3.71     3.52
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES    2.3810              0.014041   0.013606   0.013165   0.012718  0.012267      4.90     4.59
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES    2.3226              0.064517   0.064165   0.063809   0.063448  0.063084     23.12    22.86
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES    2.4454              0.010876   0.010432   0.009981   0.009526  0.009064      3.79     3.47
Wesco International,Inc. 95082PAH8 08/27/09 09/15/29*   100.000    VARIES    5.9999              0.166667   0.166667                                     42.33*        
White CNTYS SD #533, IL  963806DH4 08/04/10 12/01/16    108.932    VARIES    3.8808              0.109497   0.108657                                     35.98         
White CNTYS SD #533, IL  963806DJ0 08/04/10 12/01/17    108.163    VARIES    4.1816              0.119067   0.118362   0.117643   0.116908               42.69    38.69
White CNTYS SD #533, IL  963806DK7 08/04/10 12/01/18    105.851    VARIES    4.6311              0.131740   0.131253   0.130755   0.130245  0.129723     47.31    46.95
White CNTYS SD #533, IL  963806DL5 08/04/10 12/01/19    102.631    VARIES    4.8822              0.137410   0.137204   0.136993   0.136778  0.136557     49.42    49.27
Whiteside County, IL     965772CW4 07/01/15 12/01/16    101.661     0.000    2.2652              0.064572   0.065304                                     21.44         
Will County SD #88, IL   968794ED5 03/03/09 10/01/28     93.191     5.500    6.1005    15.41     0.007638   0.007871   0.008111   0.008358  0.008613      2.83     3.01
Will County SD #122, IL  968852FG3 11/19/97 11/01/16     23.888     0.000    7.6998   700.25     0.198320   0.205955                                     60.87         
Will County SD #122, IL  968852FH1 11/19/97 11/01/17     22.150     0.000    7.6997   649.29     0.183887   0.190966   0.198318   0.205953               68.34    60.87
Will County SD #122, IL  968852TN3 03/15/07 10/01/25     34.635     0.000    5.7999   226.37     0.090953   0.093591   0.096305   0.099098  0.101971     33.70    35.68
Will County SD #122, IL  968852TP8 03/15/07 10/01/26     32.402     0.000    5.8498   214.07     0.086177   0.088697   0.091291   0.093962  0.096710     31.94    33.83
Will County SD #122, IL  968852WL3 04/02/09 10/01/23     92.349     5.250    6.2550              0.021822   0.022505   0.023208   0.023934  0.024683      8.10     8.62
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000    7.3750   153.59     0.079905   0.082851   0.085907   0.089074  0.092359     29.84    32.08
Will County SD #365, IL  969078QM9 03/17/09 11/01/27     23.731     0.000    7.8743   163.70     0.086579   0.089987   0.093530   0.097213  0.101040     32.20    34.78
Will County SD #365, IL  969078QN7 03/17/09 11/01/28     21.864     0.000    7.8992   151.43     0.080147   0.083312   0.086603   0.090024  0.093579     29.81    32.21
Williamson Jackson, IL   970013EG9 11/20/14 12/01/16    102.004    VARIES    0.9978              0.027992   0.027855                                      9.21         
Williamson Jackson, IL   970013EH7 11/20/14 12/01/17    101.326    VARIES    1.5475              0.043368   0.043274   0.043179   0.043083               15.59    14.23
Williamson Jackson, IL   970013EJ3 11/20/14 12/01/18    103.853    VARIES    1.9960              0.057060   0.056798   0.056533   0.056265  0.055995     20.48    20.29
Williamson Jackson, IL   970013EK0 11/20/14 12/01/19    103.306    VARIES    2.2963              0.065494   0.065290   0.065082   0.064873  0.064661     23.53    23.38
Williamson Jackson, IL   970013EL8 11/20/14 12/01/20    102.500    VARIES    2.5464              0.072231   0.072090   0.071947   0.071802  0.071655     25.97    25.87
Williamson Jackson, IL   970013EM6 11/20/14 12/01/21    101.267    VARIES    2.7966              0.078551   0.078484   0.078417   0.078348  0.078278     28.26    28.21
Williamson Jackson, IL   970013EN4 11/20/14 12/01/22    100.000    VARIES    2.9965              0.083255   0.083254   0.083253   0.083252  0.083251     29.97    29.97
Woodford CNTYS SD #21,IL 979293BE6 06/06/13 12/01/16    105.457    VARIES    1.4904              0.042059   0.041731                                     13.82         
Woodford CNTYS SD #21,IL 979293BF3 06/06/13 12/01/17    106.065    VARIES    1.6914              0.048280   0.047960   0.047637   0.047312               17.30    15.66
Woodford CNTYS SD #21,IL 979293BG1 06/06/13 12/01/18    105.731    VARIES    1.9916              0.057099   0.056811   0.056519   0.056224  0.055926     20.49    20.28
Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16    105.573    VARIES    4.2263              0.118565   0.117988                                     39.02         
Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17    104.694    VARIES    4.4776              0.126197   0.125757   0.125308   0.124848               45.32    41.27
York County, PA          986812MB8 12/28/95 02/01/16     24.378     0.000    7.1496   750.47     0.191746                                                 5.75         
York County, PA          986812MC6 12/28/95 02/01/17     22.586     0.000    7.1795   700.65     0.179410   0.185850   0.192522                          67.71     5.78
York County, PA          986812MD4 12/28/95 02/01/18     20.780     0.000    7.2396   654.57     0.168344   0.174438   0.180752   0.187295  0.194075     63.56    68.25
York County, PA          986812ME2 12/28/95 02/01/19     19.353     0.000    7.2397   609.64     0.156790   0.162466   0.168347   0.174441  0.180755     59.20    63.56
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000    7.2396   567.78     0.146025   0.151311   0.156788   0.162463  0.168344     55.13    59.20
    -----------------------------                                                                                                                                      
    *  Called in 2016; 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     2016 1st   2016 2nd   2016 3rd   2017 2nd  2017 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/16      Period     Period    2017 1st    Period    Period      2016     2017 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000    7.2397   528.81     0.136003   0.140926   0.146027   0.151313  0.156791     51.35    55.14
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000    7.2396   492.51     0.126665   0.131251   0.136002   0.140925  0.146026     47.83    51.35
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000    7.2398   458.70     0.117972   0.122242   0.126667   0.131252  0.136004     44.54    47.83
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000    7.2396   427.21     0.109872   0.113849   0.117970   0.122241  0.126666     41.48    44.54
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000    7.2396   567.78     0.146025   0.151311   0.156788   0.162463  0.168344     55.13    59.20
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000    7.2396   567.78     0.146025   0.151311   0.156788   0.162463  0.168344     55.13    59.20
Zions Bancorporation     989701BB2 03/27/12 03/27/17     94.250     4.500    5.8427    41.70     0.034212   0.035211   0.036240                          12.69     3.12
Zions Bancorporation     989701BC0 06/20/12 06/20/16     97.500     4.000    4.6927    21.82     0.018803                                                 3.18         
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000    2.6249   255.17     0.061547   0.062355   0.063173   0.064002  0.064842     22.43    23.02
Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18     98.138     9.625   10.0006              0.275538   0.275947   0.276376   0.276827  0.277300     99.36    99.67
Banco de Galicia         P0R66CAA6 07/19/16 07/19/26    100.000    VARIES    8.7499                                    0.243053   0.243660  0.244295     39.37    87.81
Transportadora Gas Norte P93081AL4 08/22/12 08/22/19     25.000    VARIES    N/A                 0.516331   0.576778   0.621916   0.670984  0.727408    196.87   232.83
Bank of America Corp.    U0662KBL4 03/18/02 01/04/17     38.300     0.000    6.5924   553.70     0.166147   0.171624   0.177281                          62.77      .53
Caesars Entertainment    U1229TAB2 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Caesars Entertainment    U1229TAC0 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Caesars Entertainment    U1229TAD8 02/15/13 02/15/20     97.500     9.000    9.4970     8.37     0.009094   0.009526   0.009978   0.010452  0.010948      3.47     3.81
Cheniere Energy, Inc.    U16344AB6 11/28/14 05/28/21    100.000     4.875    4.8749              0.142099   0.145562   0.149110   0.152745  0.156468     52.01    54.58
Chesapeake Energy Corp.  U16450AT2 12/23/15 12/15/22     48.000     8.000   23.5158      .81     0.089825   0.099925   0.112288   0.124805  0.140246     35.11    43.75
Ardargh MP Holdings Inc. U22154AA3 01/26/12 10/15/20*    96.356     9.125    9.7549    12.80     0.010869   0.011399                                      1.81*        
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300    4.9135      .10     0.004500   0.004596   0.004709   0.004824  0.004943      1.65     1.73
Kansas City Southern     U24468AE7 12/09/15 05/15/20     97.300     2.350    3.0049      .35     0.015940   0.016148   0.016391   0.016637  0.016887      5.80     5.97
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000    3.7202      .33     0.015210   0.015456   0.015743   0.016036  0.016335      5.54     5.75
Eclipse Resources Corp.  U2779QAA2 07/06/15 07/15/23     97.903     8.875    9.2509      .89     0.005065   0.005299   0.005545   0.005801  0.006069      1.95     2.13
First Data Corporation.  U3198DAG9 12/17/10 01/15/22*    95.625    VARIES    N/A                 0.178401                                                 2.50*        
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000   13.8062   125.05     0.109800   0.117380   0.125483   0.134145  0.143405     41.83    47.81
Hovnanian Enterprises    U48654AN4 11/01/11 11/01/21     42.000     2.000   12.1926              0.194737   0.203222   0.212224   0.221775  0.231908     72.68    79.30
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31    100.000     3.500    N/A                 0.586621   0.606880   0.627793   0.649355  0.671560    221.66   237.15
Milagro Oil & Gas, Inc.  U6004KAA3 05/11/11 05/15/16     97.182    10.500   11.2509    25.53     0.019748                                                 2.65         
Sabine Pass LNG, LP      U8596QAC6 09/15/08 11/30/16     79.000     7.500   11.5231   176.09     0.099911   0.105667                                     33.91         
    -----------------------------                                                                                                                                      
    *  Called in 2016; reportable OID is computed to call date.                                                                                                        






SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2016 1st   2016 2nd   2016 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/16     Period     Period     Period         2016
______________       _________   ________  _________    ___________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98  04/15/28      100.000       3.625%     470.50     -0.048932   0.126123   0.078392      24.06
U.S. Treasury        912810FH6   04/15/99  04/15/29      100.000       3.875%     446.76     -0.048142   0.124087   0.077126      23.67
U.S. Treasury        912810FQ6   10/15/01  04/15/32      100.000       3.375%     339.93     -0.044588   0.114924   0.071431      21.92
U.S. Treasury        912810FR4   07/15/04  01/15/25      100.000       2.375%     261.76     -0.085909   0.060922   0.063277      20.64
U.S. Treasury        912810FS2   01/15/06  01/15/26      100.000       2.000%     198.31     -0.081589   0.057859   0.060095      19.60
U.S. Treasury        912828ET3   01/15/06  01/15/16      100.000       2.000%     198.31     -0.081589                            -1.14
U.S. Treasury        912828FL9   07/15/06  07/15/16      100.000       2.500%     177.70     -0.080185   0.056864                  9.23
U.S. Treasury        912810PS1   01/15/07  01/15/27      100.000       2.375%     179.37     -0.080299   0.056945   0.059145      19.29
U.S. Treasury        912828GD6   01/15/07  01/15/17      100.000       2.375%     179.37     -0.080299   0.056945   0.059145      19.29
U.S. Treasury        912828GX2   07/15/07  07/15/17      100.000       2.625%     147.55     -0.078133   0.055408   0.057550      18.77
U.S. Treasury        912828JE1   07/15/08  07/15/18      100.000       0.375%     102.94     -0.075095   0.053254   0.055312      18.04
U.S. Treasury        912828HN3   01/15/08  01/15/18      100.000       1.625%     135.28     -0.077297   0.054816   0.056934      18.57
U.S. Treasury        912810PV4   01/15/08  01/15/28      100.000       1.750%     135.28     -0.077297   0.054816   0.056934      18.57
U.S. Treasury        912810PZ5   01/15/09  01/15/29      100.000       2.500%     107.77     -0.075424   0.053487   0.055554      18.12
U.S. Treasury        912828JX9   01/15/09  01/15/19      100.000       2.125%     107.77     -0.075424   0.053487   0.055554      18.12
U.S. Treasury        912828LA6   07/15/09  07/15/19      100.000       1.875%     113.90     -0.075842   0.053783   0.055862      18.22
U.S. Treasury        912828MF4   01/15/10  01/15/20      100.000       1.375%      99.85     -0.074885   0.053105   0.055157      17.99
U.S. Treasury        912810QF8   02/15/10  02/15/40      100.000       2.125%     100.39     -0.091866   0.092881   0.037639      18.00
U.S. Treasury        912828NM8   07/15/10  07/15/20      100.000       1.250%      90.57     -0.074253   0.052657   0.054692      17.84
U.S. Treasury        912828PP9   01/15/11  01/15/21      100.000       1.125%      87.25     -0.074027   0.052496   0.054525      17.79
U.S. Treasury        912810QP6   02/15/11  02/15/41      100.000       2.125%      86.06     -0.090670   0.091672   0.037149      17.77
U.S. Treasury        912828QD5   04/15/11  04/15/16      100.000       0.125%      77.51     -0.035855                            -3.76
U.S. Treasury        912828QV5   07/15/11  07/15/21      100.000       0.625%      55.26     -0.071849   0.050952   0.052921      17.26
U.S. Treasury        912828SA9   01/15/12  01/15/22      100.000       0.125%      50.82     -0.071547   0.050738   0.052699      17.19
U.S. Treasury        912810QV3   02/15/12  02/15/42      100.000       0.750%      52.56     -0.087873   0.088844   0.036003      17.22
U.S. Treasury        912828SQ4   04/15/12  04/15/17      100.000       0.125%      47.14     -0.034845   0.089812   0.055823      17.13
U.S. Treasury        912828TE0   07/15/12  07/15/22      100.000       0.125%      34.24     -0.070418   0.049937   0.051867      16.92
U.S. Treasury        912828UH1   01/15/13  01/15/23      100.000       0.125%      30.40     -0.070156   0.049751   0.051674      16.86
U.S. Treasury        912810RA8   02/15/13  02/15/43      100.000       0.625%      34.48     -0.086364   0.087318   0.035385      16.92
U.S. Treasury        912828UX6   04/15/13  04/15/18      100.000       0.125%      28.89     -0.034237   0.088247   0.054850      16.83
U.S. Treasury        912828VM9   07/15/13  07/15/23      100.000       0.375%      22.00     -0.069584   0.049346   0.051253      16.72
U.S. Treasury        912828B25   01/15/14  01/15/24      100.000       0.625%      19.32     -0.069402   0.049216   0.051119      16.68
U.S. Treasury        912810RF7   02/15/14  02/15/44      100.000       1.375%      20.51     -0.085197   0.086138   0.034907      16.70
U.S. Treasury        912828C99   04/15/14  04/15/19      100.000       0.125%      15.02     -0.033776   0.087057   0.054110      16.61
U.S. Treasury        912828WU0   07/15/14  07/15/24      100.000       0.125%       1.65     -0.068199   0.048363   0.050233      16.39
U.S. Treasury        912828H45   01/15/15  01/15/25      100.000       0.250%       4.15     -0.068369   0.048484   0.050358      16.43
U.S. Treasury        912810RL4   02/15/15  02/15/45      100.000       0.750%      10.01     -0.084321   0.085252   0.034548      16.52
U.S. Treasury        912828K33   04/15/15  04/15/20      100.000       0.125%      15.62     -0.033796   0.087108   0.054142      16.62
U.S. Treasury        912828XL9   07/15/15  07/15/25      100.000       0.375%       2.93     -0.068286   0.048425   0.050297      16.41
U.S. Treasury        912828N71   01/15/16  01/15/26      100.000       0.625%                            0.048330   0.050198      17.33
U.S. Treasury        912810RR1   02/15/16  02/15/46      100.000       1.000%                            0.084726   0.034334      20.19
U.S. Treasury        912828Q60   04/15/16  04/15/21      100.000       0.125%                            0.086070   0.053497      19.92
U.S. Treasury        912828S50   07/15/16  07/15/26      100.000       0.125%                                       0.049760       8.46



                                    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 2016).
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/16    03/31/16      0.40           07/01/27    09/30/27      18.42
     04/01/16    06/30/16      2.44           10/01/27    12/31/27      18.36
     07/01/16    09/30/16      4.18           01/01/28    03/31/28      18.31
     10/01/16    12/31/16      6.47           04/01/28    06/30/28      18.32
     01/01/17    03/31/17      7.55           07/01/28    09/30/28      18.26
     04/01/17    06/30/17      8.62           10/01/28    12/31/28      18.26
     07/01/17    09/30/17      9.68           01/01/29    03/31/29      18.20
     10/01/17    12/31/17     10.43           04/01/29    06/30/29      18.14
     01/01/18    03/31/18     11.08           07/01/29    09/30/29      18.08
     04/01/18    06/30/18     11.72           10/01/29    12/31/29      18.02
     07/01/18    09/30/18     12.26           01/01/30    03/31/30      18.01
     10/01/18    12/31/18     12.69           04/01/30    06/30/30      17.94
     01/01/19    03/31/19     13.21           07/01/30    09/30/30      17.82
     04/01/19    06/30/19     13.72           10/01/30    12/31/30      17.76
     07/01/19    09/30/19     14.13           01/01/31    03/31/31      17.69
     10/01/19    12/31/19     14.63           04/01/31    06/30/31      17.62
     01/01/20    03/31/20     15.03           07/01/31    09/30/31      17.56
     04/01/20    06/30/20     15.51           10/01/31    12/31/31      17.49
     07/01/20    09/30/20     15.88           01/01/32    03/31/32      17.37
     10/01/20    12/31/20     16.34           04/01/32    06/30/32      17.30
     01/01/21    03/31/21     16.70           07/01/32    09/30/32      17.23
     04/01/21    06/30/21     17.06           10/01/32    12/31/32      17.11
     07/01/21    09/30/21     17.40           01/01/33    03/31/33      17.04
     10/01/21    12/31/21     17.73           04/01/33    06/30/33      16.92
     01/01/22    03/31/22     17.97           07/01/33    09/30/33      16.85
     04/01/22    06/30/22     18.21           10/01/33    12/31/33      16.78
     07/01/22    09/30/22     18.35           01/01/34    03/31/34      16.66
     10/01/22    12/31/22     18.41           04/01/34    06/30/34      16.59
     01/01/23    03/31/23     18.47           07/01/34    09/30/34      16.47
     04/01/23    06/30/23     18.52           10/01/34    12/31/34      16.40
     07/01/23    09/30/23     18.49           01/01/35    03/31/35      16.33
     10/01/23    12/31/23     18.54           04/01/35    06/30/35      16.21
     01/01/24    03/31/24     18.51           07/01/35    09/30/35      16.14
     04/01/24    06/30/24     18.55           10/01/35    12/31/35      16.06
     07/01/24    09/30/24     18.52           01/01/36    03/31/36      15.99
     10/01/24    12/31/24     18.56           04/01/36    06/30/36      15.91
     01/01/25    03/31/25     18.52           07/01/36    09/30/36      15.83
     04/01/25    06/30/25     18.55           10/01/36    12/31/36      15.75
     07/01/25    09/30/25     18.51           01/01/37    03/31/37      15.67
     10/01/25    12/31/25     18.47           04/01/37    06/30/37      15.59
     01/01/26    03/31/26     18.50           07/01/37    09/30/37      15.51
     04/01/26    06/30/26     18.46           10/01/37    12/31/37      15.43





                                     (continued)
 
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     07/01/26    09/30/26     18.48           01/01/38    03/31/38      15.35
     10/01/26    12/31/26     18.43           04/01/38    06/30/38      15.26
     01/01/27    03/31/27     18.45           07/01/38    09/30/38      15.18
     04/01/27    06/30/27     18.40           10/01/38    12/31/38      15.09
     01/01/39    03/31/39     15.03           01/01/48    03/31/48      11.59
     04/01/39    06/30/39     14.95           04/01/48    06/30/48      11.49
     07/01/39    09/30/39     14.86           07/01/48    09/30/48      11.40
     10/01/39    12/31/39     14.77           10/01/48    12/31/48      11.31
     01/01/40    03/31/40     14.68           01/01/49    03/31/49      11.22
     04/01/40    06/30/40     14.61           04/01/49    06/30/49      11.14
     07/01/40    09/30/40     14.52           07/01/49    09/30/49      11.05
     10/01/40    12/31/40     14.43           10/01/49    12/31/49      10.96
     01/01/41    03/31/41     14.34           01/01/50    03/31/50      10.88
     04/01/41    06/30/41     14.24           04/01/50    06/30/50      10.79
     07/01/41    09/30/41     14.15           07/01/50    09/30/50      10.70
     10/01/41    12/31/41     14.05           10/01/50    12/31/50      10.62
     01/01/42    03/31/42     13.94           01/01/51    03/31/51      10.54
     04/01/42    06/30/42     13.85           04/01/51    06/30/51      10.45
     07/01/42    09/30/42     13.75           07/01/51    09/30/51      10.37
     10/01/42    12/31/42     13.66           10/01/51    12/31/51      10.29
     01/01/43    03/31/43     13.55           01/01/52    03/31/52      10.21
     04/01/43    06/30/43     13.45           04/01/52    06/30/52      10.13
     07/01/43    09/30/43     13.36           07/01/52    09/30/52      10.05
     10/01/43    12/31/43     13.25           10/01/52    12/31/52       9.97
     01/01/44    03/31/44     13.16           01/01/53    03/31/53       9.90
     04/01/44    06/30/44     13.05           04/01/53    06/30/53       9.82
     07/01/44    09/30/44     12.95           07/01/53    09/30/53       9.74
     10/01/44    12/31/44     12.85           10/01/53    12/31/53       9.67
     01/01/45    03/31/45     12.75           01/01/54    03/31/54       9.59
     04/01/45    06/30/45     12.65           04/01/54    06/30/54       9.52
     07/01/45    09/30/45     12.55           07/01/54    09/30/54       9.44
     10/01/45    12/31/45     12.45           10/01/54    12/31/54       9.37
     01/01/46    03/31/46     12.35           01/01/55    03/31/55       9.30
     04/01/46    06/30/46     12.25           04/01/55    06/30/55       9.22
     07/01/46    09/30/46     12.15           07/01/55    09/30/55       9.15
     10/01/46    12/31/46     12.06           10/01/55    12/31/55       9.08
     01/01/47    03/31/47     11.96           01/01/56    03/31/56       9.01
     04/01/47    06/30/47     11.87           04/01/56    06/30/56       8.94
     07/01/47    09/30/47     11.77           07/01/56    09/30/56       8.87
     10/01/47    12/31/47     11.68           10/01/56    12/31/56       8.80



       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 2016,
    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 2016 - December 2017
                                                   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  07/09/15      99.957                 0.43
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  08/06/15      99.917                 0.83
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  09/03/15      99.864                 1.36
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  10/01/15      99.947                 0.53
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
912796HR3  05/12/16  11/12/15      99.828                 1.72
912796HS1  05/19/16  11/19/15      99.833                 1.67
912796GN3  05/26/16  05/28/15      99.742                 2.58
912796HT9  06/02/16  12/03/15      99.790                 2.10
912796HW2  06/09/16  12/10/15      99.730                 2.70
912796HX0  06/16/16  12/17/15      99.704                 2.96
912796GS2  06/23/16  06/25/15      99.707                 2.93
912796HY8  06/30/16  12/31/15      99.722                 2.78
912796HZ5  07/07/16  01/07/16      99.747                 2.53
912796JB6  07/14/16  01/14/16      99.762                 2.38
912796GW3  07/21/16  07/23/15      99.666                 3.34
912796JC4  07/28/16  01/28/16      99.790                 2.10
912796JD2  08/04/16  02/04/16      99.765                 2.35
912796JF7  08/11/16  02/11/16      99.788                 2.12
912796HA0  08/18/16  08/20/15      99.585                 4.15
912796CP2  08/24/16  08/17/16      99.996                 0.04
912796JG5  08/25/16  02/25/16      99.770                 2.30
912796JH3  09/01/16  03/03/16      99.757                 2.43
912796JK6  09/08/16  03/10/16      99.760                 2.40
912796HE2  09/15/16  09/17/15      99.555                 4.45
912796JL4  09/22/16  03/24/16      99.778                 2.22
912796JM2  09/29/16  03/31/16      99.760                 2.40
912796JN0  10/06/16  04/07/16      99.805                 1.95
912796HJ1  10/13/16  10/15/15      99.793                 2.07
912796JQ3  10/20/16  04/21/16      99.823                 1.77
912796JR1  10/27/16  04/28/16      99.798                 2.02
912796JS9  11/03/16  05/05/16      99.800                 2.00
912796HQ5  11/10/16  11/12/15      99.494                 5.06
912796JU4  11/17/16  05/19/16      99.813                 1.87





                         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)
---------  --------  --------  ---------------   -------------------
912796JV2  11/25/16  05/26/16      99.756                 2.44
912796JW0  12/01/16  06/02/16      99.760                 2.40
912796HU6  12/08/16  12/10/15      99.252                 7.48
912796JY6  12/15/16  06/16/16      99.798                 2.02
912796JZ3  12/22/16  06/23/16      99.798                 2.02
912796KA6  12/29/16  06/30/16      99.828                 1.72





                                                   Discount to be
                                 Issue Price      Reported as 2017
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796HV4  01/05/17  01/07/16      99.323                 6.77
912796KC2  01/12/17  07/14/16      99.803                 1.97
912796KD0  01/19/17  07/21/16      99.783                 2.17
912796KE8  01/26/17  07/28/16      99.785                 2.15
912796JA8  02/02/17  02/04/16      99.464                 5.36
912796KG3  02/09/17  08/11/16      99.778                 2.22
912796KH1  02/16/17  08/18/16      99.775                 2.25
912796KJ7  02/23/17  08/25/16      99.773                 2.27
912796JE0  03/02/17  03/03/16      99.333                 6.67
912796KM0  03/09/17  09/08/16      99.762                 2.38
912796KN8  03/16/17  09/15/16      99.727                 2.73
912796KP3  03/23/17  09/22/16      99.747                 2.53
912796JJ9  03/30/17  03/31/16      99.333                 6.67
912796KQ1  04/06/17  10/06/16      99.752                 2.48
912796JP5  04/27/17  04/28/16      99.388                 6.12
912796KU2  05/04/17  11/03/16      99.747                 2.53
912796KY4  05/11/17  11/10/16      99.730                 2.70
912796KZ1  05/18/17  11/17/16      99.684                 3.16
912796JT7  05/25/17  05/26/16      99.307                 6.93
912796LA5  06/01/17  12/01/16      99.692                 3.08
912796LD9  06/08/17  12/08/16      99.689                 3.11
912796LE7  06/15/17  12/15/16      99.674                 3.26
912796JX8  06/22/17  06/23/16      99.434                 5.66
912796LF4  06/29/17  12/29/16      99.666                 3.34
912796KB4  07/20/17  07/21/16      99.444                 5.56
912796KF5  08/17/17  08/18/16      99.424                 5.76
912796KL2  09/14/17  09/15/16      99.363                 6.37
912796KX6  11/09/17  11/10/16      99.297                 7.03
912796LB3  12/07/17  12/08/16      99.161                 8.39





                                 Section III-B



                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2016

                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384RJ0  01/04/16  04/07/15      99.868                 1.32
313384RK7  01/05/16  01/05/15      99.708                 2.92
313384RL5  01/06/16  01/06/15      99.696                 3.04
313384RM3  01/07/16  01/07/15      99.696                 3.04
313384RN1  01/08/16  01/08/15      99.696                 3.04
313384RR2  01/11/16  01/20/15      99.773                 2.27
313384RS0  01/12/16  09/25/15      99.955                 0.45
313384RT8  01/13/16  07/08/15      99.932                 0.68
313384RU5  01/14/16  04/23/15      99.867                 1.33
313384RV3  01/15/16  01/26/15      99.789                 2.11
313384RZ4  01/19/16  01/21/15      99.768                 2.32
313384SA8  01/20/16  01/21/15      99.767                 2.33
313384SB6  01/21/16  01/21/15      99.767                 2.33
313384SC4  01/22/16  01/22/15      99.764                 2.36
313384SF7  01/25/16  01/27/15      99.778                 2.22
313384SG5  01/26/16  01/26/15      99.757                 2.43
313384SH3  01/27/16  01/29/15      99.778                 2.22
313384SJ9  01/28/16  01/28/15      99.767                 2.33
313384SK6  01/29/16  01/29/15      99.767                 2.33
313384SN0  02/01/16  02/03/15      99.778                 2.22
313384SP5  02/02/16  02/02/15      99.767                 2.33
313384SQ3  02/03/16  02/06/15      99.737                 2.63
313384SR1  02/04/16  02/09/15      99.760                 2.40
313384SS9  02/05/16  02/05/15      99.757                 2.43
313384SV2  02/08/16  02/09/15      99.747                 2.53
313384SW0  02/09/16  02/09/15      99.730                 2.70
313384SX8  02/10/16  02/10/15      99.706                 2.94
313384SY6  02/11/16  02/11/15      99.706                 2.94
313384SZ3  02/12/16  02/12/15      99.696                 3.04
313384TD1  02/16/16  06/26/15      99.869                 1.31
313384TE9  02/17/16  02/18/15      99.707                 2.93
313384TF6  02/18/16  02/19/15      99.717                 2.83
313384TG4  02/19/16  02/19/15      99.696                 3.04
313384TK5  02/22/16  08/19/15      99.860                 1.40
313384TL3  02/23/16  02/23/15      99.716                 2.84
313384TM1  02/24/16  03/02/15      99.731                 2.69
313384TN9  02/25/16  02/25/15      99.696                 3.04
313384TP4  02/26/16  02/27/15      99.727                 2.73
313384TS8  02/29/16  06/04/15      99.835                 1.65
313384TT6  03/01/16  03/02/15      99.726                 2.74
313384TU3  03/02/16  03/05/15      99.729                 2.71
313384TV1  03/03/16  03/03/15      99.722                 2.78
313384TW9  03/04/16  03/06/15      99.727                 2.73
313384TZ2  03/07/16  03/11/15      99.698                 3.02





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384UA5  03/08/16  03/09/15      99.699                 3.01
313384UB3  03/09/16  04/27/15      99.789                 2.11
313384UC1  03/10/16  03/12/15      99.697                 3.03
313384UD9  03/11/16  03/11/15      99.695                 3.05
313384UG2  03/14/16  09/15/15      99.832                 1.68
313384UH0  03/15/16  03/20/15      99.719                 2.81
313384UJ6  03/16/16  03/17/15      99.686                 3.14
313384UK3  03/17/16  10/14/15      99.918                 0.82
313384UL1  03/18/16  03/20/15      99.707                 2.93
313384UP2  03/21/16  07/06/15      99.835                 1.65
313384UQ0  03/22/16  09/24/15      99.885                 1.15
313384UR8  03/23/16  09/23/15      99.874                 1.26
313384US6  03/24/16  04/24/15      99.763                 2.37
313384UW7  03/28/16  09/25/15      99.874                 1.26
313384UX5  03/29/16  04/24/15      99.759                 2.41
313384UY3  03/30/16  09/29/15      99.878                 1.22
313384UZ0  03/31/16  03/31/15      99.726                 2.74
313384VA4  04/01/16  04/02/15      99.726                 2.74
313384VD8  04/04/16  04/14/15      99.713                 2.87
313384VE6  04/05/16  10/02/15      99.886                 1.14
313384VF3  04/06/16  10/07/15      99.881                 1.19
313384VG1  04/07/16  04/10/15      99.728                 2.72
313384VH9  04/08/16  04/10/15      99.727                 2.73
313384VL0  04/11/16  10/13/15      99.889                 1.11
313384VM8  04/12/16  04/13/15      99.711                 2.89
313384VN6  04/13/16  10/14/15      99.874                 1.26
313384VP1  04/14/16  08/14/15      99.783                 2.17
313384VQ9  04/15/16  04/16/15      99.716                 2.84
313384VT3  04/18/16  07/23/15      99.813                 1.87
313384VU0  04/19/16  11/06/15      99.849                 1.51
313384VV8  04/20/16  04/23/15      99.728                 2.72
313384VW6  04/21/16  08/24/15      99.786                 2.14
313384VX4  04/22/16  04/23/15      99.747                 2.53
313384WA3  04/25/16  10/20/15      99.898                 1.02
313384WB1  04/26/16  08/24/15      99.781                 2.19
313384WC9  04/27/16  10/28/15      99.869                 1.31
313384WD7  04/28/16  04/28/15      99.715                 2.85
313384WE5  04/29/16  04/30/15      99.716                 2.84
313384WH8  05/02/16  05/11/15      99.722                 2.78
313384WJ4  05/03/16  09/04/15      99.785                 2.15
313384WK1  05/04/16  11/04/15      99.849                 1.51
313384WL9  05/05/16  05/05/15      99.705                 2.95
313384WM7  05/06/16  05/07/15      99.736                 2.64
313384WQ8  05/09/16  11/17/15      99.821                 1.79
313384WR6  05/10/16  12/07/15      99.806                 1.94
313384WS4  05/11/16  11/12/15      99.801                 1.99
313384WT2  05/12/16  05/12/15      99.711                 2.89
313384WU9  05/13/16  11/13/15      99.798                 2.02
313384WX3  05/16/16  09/15/15      99.744                 2.56





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384WY1  05/17/16  12/17/15      99.780                 2.20
313384WZ8  05/18/16  05/19/15      99.696                 3.04
313384XA2  05/19/16  12/04/15      99.852                 1.48
313384XB0  05/20/16  05/21/15      99.701                 2.99
313384XE4  05/23/16  07/29/15      99.734                 2.66
313384XF1  05/24/16  11/20/15      99.809                 1.91
313384XG9  05/25/16  05/26/15      99.696                 3.04
313384XH7  05/26/16  05/26/15      99.695                 3.05
313384XJ3  05/27/16  05/28/15      99.696                 3.04
313384XN4  05/31/16  11/23/15      99.794                 2.06
313384XP9  06/01/16  06/01/15      99.705                 2.95
313384XQ7  06/02/16  06/02/15      99.695                 3.05
313384XR5  06/03/16  06/03/15      99.685                 3.15
313384XU8  06/06/16  06/08/15      99.687                 3.13
313384XV6  06/07/16  06/10/15      99.652                 3.48
313384XW4  06/08/16  06/08/15      99.665                 3.35
313384XX2  06/09/16  06/09/15      99.665                 3.35
313384XY0  06/10/16  06/10/15      99.649                 3.51
313384YB9  06/13/16  06/15/15      99.646                 3.54
313384YC7  06/14/16  06/15/15      99.635                 3.65
313384YD5  06/15/16  06/15/15      99.634                 3.66
313384YE3  06/16/16  06/19/15      99.647                 3.53
313384YF0  06/17/16  06/17/15      99.634                 3.66
313384YJ2  06/20/16  09/02/15      99.696                 3.04
313384YK9  06/21/16  12/04/15      99.689                 3.11
313384YL7  06/22/16  06/23/15      99.655                 3.45
313384YM5  06/23/16  01/25/16      99.854                 1.46
313384YN3  06/24/16  06/25/15      99.655                 3.45
313384YR4  06/27/16  08/28/15      99.713                 2.87
313384YS2  06/28/16  06/30/15      99.697                 3.03
313384YT0  06/29/16  12/04/15      99.676                 3.24
313384YU7  06/30/16  09/03/15      99.686                 3.14
313384YV5  07/01/16  07/22/15      99.665                 3.35
313384YZ6  07/05/16  07/22/15      99.661                 3.39
313384ZA0  07/06/16  07/06/15      99.654                 3.46
313384ZB8  07/07/16  09/09/15      99.673                 3.27
313384ZC6  07/08/16  07/22/15      99.658                 3.42
313384ZF9  07/11/16  01/05/16      99.695                 3.05
313384ZG7  07/12/16  07/20/15      99.662                 3.38
313384ZH5  07/13/16  07/13/15      99.644                 3.56
313384ZJ1  07/14/16  12/17/15      99.673                 3.27
313384ZK8  07/15/16  07/16/15      99.645                 3.55
313384ZN2  07/18/16  07/20/15      99.636                 3.64
313384ZP7  07/19/16  07/22/15      99.647                 3.53
313384ZQ5  07/20/16  07/20/15      99.634                 3.66
313384ZR3  07/21/16  07/22/15      99.645                 3.55
313384ZS1  07/22/16  07/24/15      99.646                 3.54





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384ZV4  07/25/16  07/31/15      99.650                 3.50
313384ZW2  07/26/16  12/23/15      99.670                 3.30
313384ZX0  07/27/16  07/29/15      99.656                 3.44
313384ZY8  07/28/16  01/06/16      99.683                 3.17
313384ZZ5  07/29/16  07/30/15      99.635                 3.65
313384A41  08/01/16  08/03/15      99.636                 3.64
313384A58  08/02/16  08/04/15      99.626                 3.74
313384A66  08/03/16  08/03/15      99.624                 3.76
313384A74  08/04/16  08/04/15      99.624                 3.76
313384A82  08/05/16  08/06/15      99.594                 4.06
313384B32  08/08/16  01/13/16      99.653                 3.47
313384B40  08/09/16  08/17/15      99.592                 4.08
313384B57  08/10/16  01/13/16      99.650                 3.50
313384B65  08/11/16  08/19/15      99.553                 4.47
313384B73  08/12/16  08/13/15      99.584                 4.16
313384C23  08/15/16  08/27/15      99.617                 3.83
313384C31  08/16/16  01/14/16      99.648                 3.52
313384C49  08/17/16  02/17/16      99.762                 2.38
313384C56  08/18/16  03/23/16      99.819                 1.81
313384C64  08/19/16  12/31/15      99.575                 4.25
313384C98  08/22/16  12/31/15      99.569                 4.31
313384D22  08/23/16  08/25/15      99.596                 4.04
313384D30  08/24/16  02/24/16      99.750                 2.50
313384D48  08/25/16  04/01/16      99.878                 1.22
313384D55  08/26/16  08/27/15      99.605                 3.95
313384D89  08/29/16  10/06/15      99.626                 3.74
313384D97  08/30/16  12/31/15      99.568                 4.32
313384E21  08/31/16  01/22/16      99.661                 3.39
313384E39  09/01/16  09/04/15      99.566                 4.34
313384E47  09/02/16  09/03/15      99.564                 4.36
313384E88  09/06/16  09/08/15      99.545                 4.55
313384E96  09/07/16  12/04/15      99.575                 4.25
313384F20  09/08/16  09/09/15      99.544                 4.56
313384F38  09/09/16  09/10/15      99.544                 4.56
313384F61  09/12/16  09/18/15      99.590                 4.10
313384F79  09/13/16  10/15/15      99.685                 3.15
313384F87  09/14/16  09/15/15      99.544                 4.56
313384F95  09/15/16  09/15/15      99.532                 4.68
313384G29  09/16/16  09/16/15      99.522                 4.78
313384G52  09/19/16  09/23/15      99.578                 4.22
313384G60  09/20/16  10/14/15      99.677                 3.23
313384G78  09/21/16  12/29/15      99.488                 5.12
313384G86  09/22/16  02/22/16      99.763                 2.37
313384G94  09/23/16  09/23/15      99.573                 4.27
313384H44  09/26/16  12/29/15      99.486                 5.14
313384H51  09/27/16  09/28/15      99.574                 4.26
313384H69  09/28/16  10/07/15      99.564                 4.36
313384H77  09/29/16  10/06/15      99.571                 4.29





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384H85  09/30/16  10/01/15      99.594                 4.06
313384J34  10/03/16  12/04/15      99.476                 5.24
313384J42  10/04/16  10/09/15      99.649                 3.51
313384J59  10/05/16  10/23/15      99.691                 3.09
313384J67  10/06/16  10/06/15      99.644                 3.56
313384J75  10/07/16  10/07/15      99.644                 3.56
313384K32  10/11/16  10/28/15      99.690                 3.10
313384K40  10/12/16  10/15/15      99.647                 3.53
313384K57  10/13/16  01/25/16      99.607                 3.93
313384K65  10/14/16  01/22/16      99.601                 3.99
313384K99  10/17/16  01/25/16      99.601                 3.99
313384L23  10/18/16  04/14/16      99.777                 2.23
313384L31  10/19/16  03/30/16      99.746                 2.54
313384L49  10/20/16  01/29/16      99.573                 4.27
313384L56  10/21/16  10/22/15      99.635                 3.65
313384L80  10/24/16  01/25/16      99.575                 4.25
313384L98  10/25/16  01/25/16      99.574                 4.26
313384M22  10/26/16  10/29/15      99.627                 3.73
313384M30  10/27/16  10/29/15      99.626                 3.74
313384M48  10/28/16  04/07/16      99.762                 2.38
313384M71  10/31/16  12/31/15      99.424                 5.76
313384M89  11/01/16  11/02/15      99.594                 4.06
313384M97  11/02/16  12/31/15      99.403                 5.97
313384N21  11/03/16  01/28/16      99.557                 4.43
313384N39  11/04/16  11/09/15      99.453                 5.47
313384N62  11/07/16  04/06/16      99.749                 2.51
313384N70  11/08/16  02/16/16      99.704                 2.96
313384N88  11/09/16  11/12/15      99.546                 4.54
313384N96  11/10/16  11/10/15      99.441                 5.59
313384P52  11/14/16  05/10/16      99.791                 2.09
313384P60  11/15/16  11/16/15      99.513                 4.87
313384P78  11/16/16  04/15/16      99.743                 2.57
313384P86  11/17/16  05/23/16      99.748                 2.52
313384P94  11/18/16  11/20/15      99.393                 6.07
313384Q44  11/21/16  11/30/15      99.355                 6.45
313384Q51  11/22/16  02/26/16      99.700                 3.00
313384Q69  11/23/16  12/09/15      99.339                 6.61
313384Q85  11/25/16  05/27/16      99.708                 2.92
313384R35  11/28/16  12/29/15      99.349                 6.51
313384R43  11/29/16  05/18/16      99.762                 2.38
313384R50  11/30/16  12/31/15      99.330                 6.70
313384R68  12/01/16  12/04/15      99.294                 7.06
313384R76  12/02/16  12/03/15      99.331                 6.69
313384S26  12/05/16  12/16/15      99.211                 7.89
313384S34  12/06/16  12/07/15      99.341                 6.59
313384S42  12/07/16  12/09/15      99.272                 7.28
313384S59  12/08/16  03/21/16      99.643                 3.57





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384S67  12/09/16  12/10/15      99.209                 7.91
313384S91  12/12/16  12/14/15      99.227                 7.73
313384T25  12/13/16  12/14/15      99.229                 7.71
313384T33  12/14/16  12/14/15      99.238                 7.62
313384T41  12/15/16  12/17/15      99.272                 7.28
313384T58  12/16/16  12/17/15      99.199                 8.01
313384T82  12/19/16  01/20/16      99.364                 6.36
313384T90  12/20/16  04/21/16      99.730                 2.70
313384U23  12/21/16  12/31/15      99.308                 6.92
313384U31  12/22/16  05/03/16      99.741                 2.59
313384U49  12/23/16  02/24/16      99.525                 4.75
313384U80  12/27/16  12/29/15      99.272                 7.28
313384U98  12/28/16  12/31/15      99.294                 7.06
313384V22  12/29/16  12/29/15      99.268                 7.32
313384V30  12/30/16  02/29/16      99.619                 3.81





                                 Section III-C



                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2016

                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588RJ6  01/04/16  01/12/15      99.772                 2.28 
313588RK3  01/05/16  01/14/15      99.797                 2.03 
313588RL1  01/06/16  01/20/15      99.800                 2.00 
313588RM9  01/07/16  01/14/15      99.796                 2.04 
313588RN7  01/08/16  01/20/15      99.799                 2.01 
313588RR8  01/11/16  04/02/15      99.826                 1.74 
313588RS6  01/12/16  08/31/15      99.920                 0.80 
313588RT4  01/13/16  07/15/15      99.927                 0.73 
313588RU1  01/14/16  01/22/15      99.817                 1.83 
313588RV9  01/15/16  01/21/15      99.816                 1.84 
313588RZ0  01/19/16  02/05/15      99.836                 1.64 
313588SA4  01/20/16  02/24/15      99.798                 2.02 
313588SB2  01/21/16  05/12/15      99.880                 1.20 
313588SC0  01/22/16  08/03/15      99.926                 0.74 
313588SF3  01/25/16  03/25/15      99.822                 1.78 
313588SG1  01/26/16  04/06/15      99.824                 1.76 
313588SH9  01/27/16  07/29/15      99.909                 0.91 
313588SJ5  01/28/16  08/18/15      99.896                 1.04 
313588SK2  01/29/16  03/27/15      99.808                 1.92 
313588SN6  02/01/16  02/10/15      99.743                 2.57 
313588SP1  02/02/16  02/18/15      99.738                 2.62 
313588SQ9  02/03/16  02/24/15      99.771                 2.29 
313588SR7  02/04/16  02/24/15      99.770                 2.30 
313588SS5  02/05/16  02/18/15      99.736                 2.64 
313588SV8  02/08/16  03/31/15      99.791                 2.09 
313588SW6  02/09/16  06/03/15      99.881                 1.19 
313588SX4  02/10/16  04/13/15      99.832                 1.68 
313588SY2  02/11/16  09/02/15      99.883                 1.17 
313588SZ9  02/12/16  03/02/15      99.778                 2.22 
313588TD7  02/16/16  02/24/15      99.757                 2.43 
313588TE5  02/17/16  02/25/15      99.767                 2.33 
313588TF2  02/18/16  02/26/15      99.767                 2.33 
313588TG0  02/19/16  03/12/15      99.771                 2.29 
313588TK1  02/22/16  03/26/15      99.778                 2.22 
313588TL9  02/23/16  03/20/15      99.783                 2.17 
313588TM7  02/24/16  03/20/15      99.782                 2.18 
313588TN5  02/25/16  05/01/15      99.850                 1.50 
313588TP0  02/26/16  09/03/15      99.892                 1.08 
313588TS4  02/29/16  04/28/15      99.838                 1.62 
313588TT2  03/01/16  03/10/15      99.703                 2.98 
313588TU9  03/02/16  09/02/15      99.857                 1.43 
313588TV7  03/03/16  03/11/15      99.702                 2.98 
313588TW5  03/04/16  03/26/15      99.742                 2.58 





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588TZ8  03/07/16  03/17/15      99.693                 3.07 
313588UA1  03/08/16  03/07/16      99.999                 0.01 
313588UB9  03/09/16  03/17/15      99.692                 3.08 
313588UC7  03/10/16  03/26/15      99.728                 2.72 
313588UD5  03/11/16  03/17/15      99.690                 3.10 
313588UG8  03/14/16  03/27/15      99.725                 2.75 
313588UH6  03/15/16  04/08/15      99.753                 2.47 
313588UJ2  03/16/16  09/16/15      99.828                 1.72 
313588UK9  03/17/16  10/08/15      99.928                 0.72 
313588UL7  03/18/16  03/26/15      99.732                 2.69 
313588UP8  03/21/16  04/08/15      99.729                 2.71 
313588UQ6  03/22/16  03/31/15      99.722                 2.78 
313588UR4  03/23/16  09/23/15      99.889                 1.11 
313588US2  03/24/16  03/23/16      99.999                 0.01 
313588UT0  03/25/16  04/09/15      99.766                 2.34 
313588UW3  03/28/16  10/07/15      99.923                 0.77 
313588UX1  03/29/16  03/28/16      99.999                 0.01 
313588UY9  03/30/16  09/30/15      99.884                 1.16 
313588UZ6  03/31/16  10/07/15      99.922                 0.78 
313588VA0  04/01/16  04/15/15      99.741                 2.59 
313588VD4  04/04/16  08/18/15      99.815                 1.85 
313588VE2  04/05/16  06/05/15      99.805                 1.95 
313588VF9  04/06/16  07/01/15      99.829                 1.71 
313588VG7  04/07/16  04/14/15      99.751                 2.49 
313588VH5  04/08/16  04/16/15      99.736                 2.64 
313588VL6  04/11/16  05/06/15      99.773                 2.27 
313588VM4  04/12/16  08/28/15      99.810                 1.90 
313588VN2  04/13/16  06/10/15      99.803                 1.97 
313588VP7  04/14/16  05/06/15      99.771                 2.29 
313588VQ5  04/15/16  05/14/15      99.761                 2.39 
313588VT9  04/18/16  05/12/15      99.744                 2.57 
313588VU6  04/19/16  11/16/15      99.901                 0.99 
313588VV4  04/20/16  08/19/15      99.789                 2.11 
313588VW2  04/21/16  05/11/15      99.750                 2.50 
313588VX0  04/22/16  05/11/15      99.749                 2.51 
313588WA9  04/25/16  05/21/15      99.773                 2.27 
313588WB7  04/26/16  05/21/15      99.773                 2.27 
313588WC5  04/27/16  05/21/15      99.772                 2.28 
313588WD3  04/28/16  05/21/15      99.771                 2.29 
313588WE1  04/29/16  05/21/15      99.771                 2.29 
313588WH4  05/02/16  05/12/15      99.733                 2.67 
313588WJ0  05/03/16  05/21/15      99.749                 2.51 
313588WK7  05/04/16  05/11/15      99.731                 2.69 
313588WL5  05/05/16  08/28/15      99.791                 2.09 
313588WM3  05/06/16  06/05/15      99.767                 2.33 
313588WQ4  05/09/16  08/25/15      99.792                 2.08 
313588WR2  05/10/16  05/26/15      99.747                 2.53 
313588WS0  05/11/16  05/26/15      99.747                 2.54 





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588WT8  05/12/16  05/28/15      99.757                 2.43 
313588WU5  05/13/16  07/28/15      99.811                 1.89 
313588WX9  05/16/16  06/25/15      99.760                 2.40 
313588WY7  05/17/16  01/06/16      99.864                 1.36 
313588WZ4  05/18/16  10/09/15      99.855                 1.45 
313588XA8  05/19/16  08/27/15      99.771                 2.29 
313588XB6  05/20/16  06/11/15      99.752                 2.48 
313588XE0  05/23/16  08/03/15      99.775                 2.25 
313588XF7  05/24/16  08/03/15      99.775                 2.25 
313588XG5  05/25/16  10/08/15      99.853                 1.47 
313588XH3  05/26/16  08/26/15      99.764                 2.36 
313588XJ9  05/27/16  06/26/15      99.762                 2.38 
313588XN0  05/31/16  06/15/15      99.742                 2.58 
313588XP5  06/01/16  06/25/15      99.720                 2.80 
313588XQ3  06/02/16  07/01/15      99.757                 2.43 
313588XR1  06/03/16  07/01/15      99.756                 2.44 
313588XU4  06/06/16  07/01/15      99.754                 2.46 
313588XV2  06/07/16  06/23/15      99.738                 2.63 
313588XW0  06/08/16  06/26/15      99.715                 2.85 
313588XX8  06/09/16  07/01/15      99.752                 2.48 
313588XY6  06/10/16  07/01/15      99.751                 2.49 
313588YB5  06/13/16  07/01/15      99.739                 2.61 
313588YC3  06/14/16  07/01/15      99.738                 2.62 
313588YD1  06/15/16  07/01/15      99.738                 2.63 
313588YE9  06/16/16  08/11/15      99.681                 3.19 
313588YF6  06/17/16  06/30/15      99.740                 2.60 
313588YJ8  06/20/16  10/19/15      99.837                 1.63 
313588YK5  06/21/16  07/07/15      99.757                 2.43 
313588YL3  06/22/16  08/18/15      99.700                 3.00 
313588YM1  06/23/16  06/30/15      99.736                 2.64 
313588YN9  06/24/16  07/01/15      99.726                 2.74 
313588YR0  06/27/16  07/31/15      99.723                 2.77 
313588YS8  06/28/16  08/25/15      99.726                 2.74 
313588YT6  06/29/16  07/16/15      99.748                 2.52 
313588YU3  06/30/16  07/15/15      99.747                 2.54 
313588YV1  07/01/16  07/14/15      99.735                 2.65 
313588YZ2  07/05/16  07/28/15      99.695                 3.05 
313588ZA6  07/06/16  08/27/15      99.686                 3.14 
313588ZB4  07/07/16  07/15/15      99.732                 2.68 
313588ZC2  07/08/16  07/31/15      99.686                 3.14 
313588ZF5  07/11/16  02/10/16      99.835                 1.65 
313588ZG3  07/12/16  02/10/16      99.839                 1.62 
313588ZH1  07/13/16  11/18/15      99.812                 1.88 
313588ZJ7  07/14/16  10/07/15      99.805                 1.95 
313588ZK4  07/15/16  07/27/15      99.685                 3.15 
313588ZN8  07/18/16  08/19/15      99.629                 3.71 
313588ZP3  07/19/16  10/08/15      99.790                 2.10 





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588ZQ1  07/20/16  07/31/15      99.684                 3.16 
313588ZR9  07/21/16  08/28/15      99.672                 3.28 
313588ZS7  07/22/16  10/29/15      99.815                 1.85 
313588ZV0  07/25/16  08/11/15      99.632                 3.68 
313588ZW8  07/26/16  02/29/16      99.836                 1.64 
313588ZX6  07/27/16  01/27/16      99.757                 2.43 
313588ZY4  07/28/16  08/14/15      99.622                 3.78 
313588ZZ1  07/29/16  08/13/15      99.630                 3.71 
313588A47  08/01/16  08/10/15      99.603                 3.97 
313588A54  08/02/16  08/14/15      99.597                 4.03 
313588A62  08/03/16  08/17/15      99.609                 3.91 
313588A70  08/04/16  08/13/15      99.603                 3.97 
313588A88  08/05/16  08/13/15      99.602                 3.98 
313588B38  08/08/16  08/17/15      99.603                 3.97 
313588B46  08/09/16  09/11/15      99.639                 3.61 
313588B53  08/10/16  08/26/15      99.631                 3.69 
313588B61  08/11/16  10/21/15      99.779                 2.21 
313588B79  08/12/16  08/20/15      99.592                 4.08 
313588C29  08/15/16  08/26/15      99.625                 3.75 
313588C37  08/16/16  08/27/15      99.625                 3.75 
313588C45  08/17/16  10/07/15      99.764                 2.36 
313588C52  08/18/16  08/26/15      99.622                 3.78 
313588C60  08/19/16  08/27/15      99.622                 3.78 
313588C94  08/22/16  11/09/15      99.705                 2.95 
313588D28  08/23/16  11/04/15      99.760                 2.40 
313588D36  08/24/16  11/20/15      99.730                 2.70 
313588D44  08/25/16  09/17/15      99.619                 3.81 
313588D51  08/26/16  10/26/15      99.767                 2.33 
313588D85  08/29/16  02/04/16      99.730                 2.70 
313588D93  08/30/16  02/22/16      99.773                 2.27 
313588E27  08/31/16  09/15/15      99.610                 3.90 
313588E35  09/01/16  09/22/15      99.713                 2.88 
313588E43  09/02/16  11/04/15      99.748                 2.52 
313588E84  09/06/16  02/17/16      99.748                 2.52 
313588E92  09/07/16  09/17/15      99.585                 4.15 
313588F26  09/08/16  01/28/16      99.689                 3.11 
313588F34  09/09/16  11/13/15      99.686                 3.14 
313588F67  09/12/16  10/13/15      99.730                 2.70 
313588F75  09/13/16  03/31/16      99.825                 1.75 
313588F83  09/14/16  02/17/16      99.738                 2.63 
313588F91  09/15/16  02/22/16      99.748                 2.52 
313588G25  09/16/16  02/10/16      99.714                 2.86 
313588G58  09/19/16  10/05/15      99.747                 2.53 
313588G66  09/20/16  11/06/15      99.725                 2.75 
313588G74  09/21/16  11/09/15      99.657                 3.43 
313588G82  09/22/16  01/28/16      99.663                 3.37 
313588G90  09/23/16  10/09/15      99.708                 2.92 
313588H40  09/26/16  10/16/15      99.702                 2.98 





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588H57  09/27/16  11/13/15      99.654                 3.46 
313588H65  09/28/16  02/18/16      99.712                 2.88 
313588H73  09/29/16  02/22/16      99.725                 2.75 
313588H81  09/30/16  10/23/15      99.695                 3.05 
313588J30  10/03/16  10/16/15      99.686                 3.14 
313588J48  10/04/16  11/17/15      99.656                 3.44 
313588J55  10/05/16  11/30/15      99.634                 3.66 
313588J63  10/06/16  10/23/15      99.670                 3.30 
313588J71  10/07/16  10/19/15      99.685                 3.15 
313588K38  10/11/16  10/27/15      99.679                 3.21 
313588K46  10/12/16  11/18/15      99.644                 3.56 
313588K53  10/13/16  10/26/15      99.667                 3.33 
313588K61  10/14/16  10/27/15      99.676                 3.24 
313588K95  10/17/16  02/17/16      99.683                 3.17 
313588L29  10/18/16  10/26/15      99.672                 3.28 
313588L37  10/19/16  11/03/15      99.669                 3.32 
313588L45  10/20/16  10/26/15      99.670                 3.30 
313588L52  10/21/16  11/19/15      99.635                 3.65 
313588L86  10/24/16  12/23/15      99.456                 5.44 
313588L94  10/25/16  05/27/16      99.820                 1.80 
313588M28  10/26/16  12/30/15      99.490                 5.10 
313588M36  10/27/16  06/28/16      99.918                 0.82 
313588M44  10/28/16  12/30/15      99.470                 5.30 
313588M77  10/31/16  02/18/16      99.659                 3.41 
313588M85  11/01/16  11/20/15      99.586                 4.14 
313588M93  11/02/16  12/03/15      99.553                 4.47 
313588N27  11/03/16  06/10/16      99.846                 1.54 
313588N35  11/04/16  11/12/15      99.572                 4.28 
313588N68  11/07/16  12/23/15      99.422                 5.78 
313588N76  11/08/16  12/04/15      99.528                 4.72 
313588N84  11/09/16  06/29/16      99.887                 1.13 
313588N92  11/10/16  12/08/15      99.437                 5.63 
313588P58  11/14/16  12/02/15      99.555                 4.45 
313588P66  11/15/16  12/08/15      99.419                 5.81 
313588P74  11/16/16  02/04/16      99.579                 4.21 
313588P82  11/17/16  05/19/16      99.757                 2.43 
313588P90  11/18/16  12/28/15      99.402                 5.98 
313588Q40  11/21/16  12/23/15      99.388                 6.12 
313588Q57  11/22/16  01/12/16      99.493                 5.07 
313588Q65  11/23/16  12/08/15      99.405                 5.95 
313588Q81  11/25/16  10/05/16      99.965                 0.35 
313588R31  11/28/16  04/27/16      99.779                 2.21 
313588R49  11/29/16  12/22/15      99.371                 6.29 
313588R56  11/30/16  12/31/15      99.414                 5.86 
313588R64  12/01/16  12/21/15      99.346                 6.54 
313588R72  12/02/16  12/23/15      99.348                 6.52 
313588S22  12/05/16  12/22/15      99.341                 6.59 





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588S30  12/06/16  12/23/15      99.341                 6.59 
313588S48  12/07/16  12/23/15      99.339                 6.61 
313588S55  12/08/16  12/21/15      99.333                 6.67 
313588S63  12/09/16  12/24/15      99.337                 6.63 
313588S97  12/12/16  06/01/16      99.760                 2.40 
313588T21  12/13/16  06/01/16      99.759                 2.41 
313588T39  12/14/16  03/23/16      99.697                 3.03 
313588T47  12/15/16  12/28/15      99.333                 6.67 
313588T54  12/16/16  12/29/15      99.333                 6.67 
313588T88  12/19/16  01/06/16      99.391                 6.09 
313588T96  12/20/16  01/08/16      99.402                 5.98 
313588U29  12/21/16  01/12/16      99.408                 5.92 
313588U37  12/22/16  06/01/16      99.745                 2.55 
313588U45  12/23/16  01/21/16      99.448                 5.52 
313588U86  12/27/16  02/18/16      99.570                 4.30 
313588U94  12/28/16  03/14/16      99.583                 4.17 
313588V28  12/29/16  02/29/16      99.586                 4.14 
313588V36  12/30/16  01/05/16      99.370                 6.30 





                                 Section III-D



                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2016

                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312RJ1  01/04/16  04/16/15      99.839                 1.61
313312RK8  01/05/16  04/17/15      99.839                 1.61
313312RL6  01/06/16  04/21/15      99.841                 1.59
313312RM4  01/07/16  01/26/15      99.750                 2.50
313312RN2  01/08/16  04/09/15      99.817                 1.83
313312RR3  01/11/16  05/13/15      99.852                 1.48
313312RS1  01/12/16  03/17/15      99.766                 2.34
313312RT9  01/13/16  04/17/15      99.834                 1.66
313312RU6  01/14/16  03/20/15      99.767                 2.33
313312RV4  01/15/16  09/01/15      99.898                 1.02
313312RZ5  01/19/16  02/23/15      99.753                 2.47
313312SA9  01/20/16  05/01/15      99.846                 1.54
313312SB7  01/21/16  05/27/15      99.861                 1.39
313312SC5  01/22/16  05/19/15      99.842                 1.58
313312SF8  01/25/16  08/17/15      99.875                 1.25
313312SG6  01/26/16  08/18/15      99.875                 1.25
313312SH4  01/27/16  07/06/15      99.892                 1.08
313312SJ0  01/28/16  04/24/15      99.830                 1.70
313312SK7  01/29/16  03/30/15      99.763                 2.37
313312SN1  02/01/16  12/14/15      99.961                 0.39
313312SP6  02/02/16  05/05/15      99.826                 1.74
313312SQ4  02/03/16  10/05/15      99.936                 0.64
313312SR2  02/04/16  05/29/15      99.840                 1.60
313312SS0  02/05/16  05/01/15      99.821                 1.79
313312SV3  02/08/16  03/11/15      99.731                 2.69
313312SW1  02/09/16  03/17/15      99.717                 2.83
313312SX9  02/10/16  05/22/15      99.824                 1.76
313312SY7  02/11/16  06/30/15      99.843                 1.57
313312SZ4  02/12/16  05/01/15      99.817                 1.83
313312TD2  02/16/16  08/18/15      99.848                 1.52
313312TE0  02/17/16  07/06/15      99.849                 1.51
313312TF7  02/18/16  07/08/15      99.863                 1.37
313312TG5  02/19/16  08/31/15      99.857                 1.43
313312TK6  02/22/16  04/13/15      99.746                 2.54
313312TL4  02/23/16  10/08/15      99.943                 0.57
313312TM2  02/24/16  12/18/15      99.936                 0.64
313312TN0  02/25/16  06/16/15      99.810                 1.90
313312TP5  02/26/16  10/20/15      99.939                 0.61
313312TS9  02/29/16  03/26/15      99.698                 3.02
313312TT7  03/01/16  01/26/16      99.970                 0.30
313312TU4  03/02/16  03/04/15      99.697                 3.03
313312TV2  03/03/16  10/09/15      99.927                 0.73
313312TW0  03/04/16  06/05/15      99.788                 2.12





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312TZ3  03/07/16  07/16/15      99.837                 1.63
313312UA6  03/08/16  03/25/15      99.680                 3.20
313312UB4  03/09/16  05/15/15      99.784                 2.16
313312UC2  03/10/16  05/05/15      99.776                 2.24
313312UD0  03/11/16  05/29/15      99.785                 2.15
313312UG3  03/14/16  05/01/15      99.770                 2.30
313312UH1  03/15/16  09/16/15      99.809                 1.91
313312UJ7  03/16/16  07/06/15      99.817                 1.83
313312UK4  03/17/16  09/02/15      99.814                 1.86
313312UL2  03/18/16  03/20/15      99.676                 3.24
313312UP3  03/21/16  06/11/15      99.748                 2.52
313312UQ1  03/22/16  05/11/15      99.789                 2.11
313312UR9  03/23/16  06/29/15      99.814                 1.86
313312US7  03/24/16  03/25/15      99.655                 3.45
313312UW8  03/28/16  01/29/16      99.944                 0.56
313312UX6  03/29/16  02/23/16      99.969                 0.31
313312UY4  03/30/16  02/24/16      99.970                 0.30
313312UZ1  03/31/16  08/10/15      99.779                 2.21
313312VA5  04/01/16  05/13/15      99.730                 2.70
313312VD9  04/04/16  04/15/15      99.694                 3.06
313312VE7  04/05/16  04/06/15      99.686                 3.14
313312VF4  04/06/16  10/30/15      99.872                 1.28
313312VG2  04/07/16  08/21/15      99.757                 2.43
313312VH0  04/08/16  04/16/15      99.702                 2.98
313312VL1  04/11/16  05/15/15      99.733                 2.67
313312VM9  04/12/16  05/22/15      99.737                 2.63
313312VN7  04/13/16  06/01/15      99.727                 2.73
313312VP2  04/14/16  06/16/15      99.714                 2.86
313312VQ0  04/15/16  08/03/15      99.772                 2.28
313312VT4  04/18/16  12/21/15      99.841                 1.59
313312VU1  04/19/16  10/19/15      99.883                 1.17
313312VV9  04/20/16  05/01/15      99.694                 3.06
313312VW7  04/21/16  10/22/15      99.874                 1.26
313312VX5  04/22/16  10/09/15      99.853                 1.47
313312WA4  04/25/16  05/29/15      99.714                 2.86
313312WB2  04/26/16  06/29/15      99.748                 2.52
313312WC0  04/27/16  08/03/15      99.762                 2.38
313312WD8  04/28/16  06/10/15      99.695                 3.05
313312WE6  04/29/16  08/13/15      99.740                 2.60
313312WH9  05/02/16  09/21/15      99.807                 1.93
313312WJ5  05/03/16  05/05/15      99.687                 3.13
313312WK2  05/04/16  09/30/15      99.789                 2.11
313312WL0  05/05/16  10/07/15      99.836                 1.64
313312WM8  05/06/16  12/04/15      99.778                 2.22
313312WQ9  05/09/16  09/28/15      99.776                 2.24
313312WR7  05/10/16  07/06/15      99.717                 2.83
313312WS5  05/11/16  05/12/15      99.686                 3.14
313312WT3  05/12/16  06/30/15      99.709                 2.91





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312WU0  05/13/16  06/02/15      99.692                 3.08
313312WX4  05/16/16  03/18/16      99.946                 0.54
313312WY2  05/17/16  07/16/15      99.728                 2.72
313312WZ9  05/18/16  09/22/15      99.754                 2.46
313312XA3  05/19/16  03/04/16      99.924                 0.76
313312XB1  05/20/16  06/10/15      99.655                 3.45
313312XE5  05/23/16  06/10/15      99.652                 3.48
313312XF2  05/24/16  06/23/15      99.683                 3.17
313312XG0  05/25/16  09/28/15      99.747                 2.53
313312XH8  05/26/16  08/31/15      99.694                 3.06
313312XJ4  05/27/16  08/07/15      99.698                 3.02
313312XN5  05/31/16  08/12/15      99.699                 3.01
313312XP0  06/01/16  03/22/16      99.929                 0.71
313312XQ8  06/02/16  12/30/15      99.772                 2.28
313312XR6  06/03/16  10/19/15      99.810                 1.90
313312XU9  06/06/16  08/14/15      99.670                 3.30
313312XV7  06/07/16  08/18/15      99.665                 3.35
313312XW5  06/08/16  06/09/15      99.635                 3.65
313312XX3  06/09/16  07/10/15      99.712                 2.88
313312XY1  06/10/16  06/12/15      99.626                 3.74
313312YB0  06/13/16  06/23/15      99.624                 3.76
313312YC8  06/14/16  07/24/15      99.683                 3.17
313312YD6  06/15/16  09/30/15      99.712                 2.88
313312YE4  06/16/16  08/25/15      99.663                 3.37
313312YF1  06/17/16  03/18/16      99.904                 0.96
313312YJ3  06/20/16  12/21/15      99.682                 3.18
313312YK0  06/21/16  04/07/16      99.938                 0.62
313312YL8  06/22/16  09/30/15      99.697                 3.03
313312YM6  06/23/16  02/23/16      99.859                 1.41
313312YN4  06/24/16  05/20/16      99.971                 0.29
313312YR5  06/27/16  07/08/15      99.645                 3.55
313312YS3  06/28/16  05/24/16      99.972                 0.28
313312YT1  06/29/16  09/28/15      99.687                 3.13
313312YU8  06/30/16  05/26/16      99.973                 0.27
313312YV6  07/01/16  07/02/15      99.615                 3.85
313312YZ7  07/05/16  07/24/15      99.624                 3.76
313312ZA1  07/06/16  07/27/15      99.636                 3.64
313312ZB9  07/07/16  07/31/15      99.611                 3.89
313312ZC7  07/08/16  12/21/15      99.633                 3.67
313312ZF0  07/11/16  09/22/15      99.674                 3.26
313312ZG8  07/12/16  02/12/16      99.820                 1.80
313312ZH6  07/13/16  12/31/15      99.664                 3.36
313312ZJ2  07/14/16  01/04/16      99.664                 3.36
313312ZK9  07/15/16  08/03/15      99.605                 3.95
313312ZN3  07/18/16  03/23/16      99.864                 1.36
313312ZP8  07/19/16  02/19/16      99.820                 1.80
313312ZQ6  07/20/16  07/24/15      99.598                 4.02





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312ZR4  07/21/16  07/28/15      99.611                 3.89
313312ZS2  07/22/16  10/09/15      99.737                 2.63
313312ZV5  07/25/16  08/10/15      99.572                 4.28
313312ZW3  07/26/16  09/16/15      99.581                 4.19
313312ZX1  07/27/16  09/28/15      99.638                 3.62
313312ZY9  07/28/16  11/04/15      99.689                 3.11
313312ZZ6  07/29/16  09/30/15      99.638                 3.62
313312A42  08/01/16  09/18/15      99.629                 3.71
313312A59  08/02/16  09/29/15      99.624                 3.76
313312A67  08/03/16  08/28/15      99.574                 4.26
313312A75  08/04/16  08/05/15      99.574                 4.26
313312A83  08/05/16  10/19/15      99.717                 2.83
313312B33  08/08/16  09/30/15      99.609                 3.91
313312B41  08/09/16  07/05/16      99.973                 0.27
313312B58  08/10/16  09/03/15      99.573                 4.27
313312B66  08/11/16  09/03/15      99.571                 4.29
313312B74  08/12/16  08/14/15      99.545                 4.55
313312C24  08/15/16  08/19/15      99.527                 4.73
313312C32  08/16/16  10/30/15      99.685                 3.15
313312C40  08/17/16  09/01/15      99.561                 4.39
313312C57  08/18/16  12/10/15      99.475                 5.25
313312C65  08/19/16  09/21/15      99.612                 3.88
313312C99  08/22/16  04/21/16      99.874                 1.26
313312D23  08/23/16  01/27/16      99.681                 3.19
313312D31  08/24/16  04/27/16      99.884                 1.16
313312D49  08/25/16  08/27/15      99.525                 4.75
313312D56  08/26/16  10/15/15      99.684                 3.16
313312D80  08/29/16  10/14/15      99.680                 3.20
313312D98  08/30/16  09/29/15      99.571                 4.29
313312E22  08/31/16  11/25/15      99.588                 4.12
313312E30  09/01/16  09/02/15      99.523                 4.77
313312E48  09/02/16  09/18/15      99.572                 4.28
313312E89  09/06/16  10/16/15      99.665                 3.35
313312E97  09/07/16  10/20/15      99.668                 3.32
313312F21  09/08/16  01/19/16      99.592                 4.08
313312F39  09/09/16  04/19/16      99.829                 1.71
313312F62  09/12/16  10/14/15      99.657                 3.43
313312F70  09/13/16  10/09/15      99.632                 3.68
313312F88  09/14/16  05/18/16      99.864                 1.36
313312F96  09/15/16  09/16/15      99.473                 5.27
313312G20  09/16/16  10/27/15      99.657                 3.43
313312G53  09/19/16  10/05/15      99.640                 3.60
313312G61  09/20/16  01/19/16      99.558                 4.42
313312G79  09/21/16  11/27/15      99.485                 5.15
313312G87  09/22/16  03/31/16      99.767                 2.33
313312G95  09/23/16  08/22/16      99.974                 0.26
313312H45  09/26/16  10/21/15      99.631                 3.69
313312H52  09/27/16  09/29/15      99.545                 4.55





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312H60  09/28/16  10/09/15      99.606                 3.94
313312H78  09/29/16  10/05/15      99.610                 3.90
313312H86  09/30/16  10/28/15      99.643                 3.57
313312J35  10/03/16  10/05/15      99.606                 3.94
313312J43  10/04/16  10/20/15      99.611                 3.89
313312J50  10/05/16  10/06/15      99.594                 4.06
313312J68  10/06/16  03/30/16      99.731                 2.69
313312J76  10/07/16  10/08/15      99.594                 4.06
313312K33  10/11/16  10/13/15      99.596                 4.04
313312K41  10/12/16  10/27/15      99.610                 3.90
313312K58  10/13/16  11/04/15      99.532                 4.68
313312K66  10/14/16  10/15/15      99.594                 4.06
313312K90  10/17/16  01/15/16      99.479                 5.21
313312L24  10/18/16  10/19/15      99.594                 4.06
313312L32  10/19/16  10/23/15      99.588                 4.12
313312L40  10/20/16  01/29/16      99.551                 4.49
313312L57  10/21/16  11/02/15      99.548                 4.52
313312L81  10/24/16  04/12/16      99.756                 2.44
313312L99  10/25/16  05/24/16      99.773                 2.27
313312M23  10/26/16  12/30/15      99.348                 6.52
313312M31  10/27/16  10/29/15      99.555                 4.45
313312M49  10/28/16  07/29/16      99.906                 0.94
313312M72  10/31/16  06/14/16      99.838                 1.62
313312M80  11/01/16  11/02/15      99.523                 4.77
313312M98  11/02/16  11/04/15      99.474                 5.26
313312N22  11/03/16  11/04/15      99.473                 5.27
313312N30  11/04/16  11/12/15      99.364                 6.36
313312N63  11/07/16  05/06/16      99.779                 2.21
313312N71  11/08/16  11/17/15      99.385                 6.15
313312N89  11/09/16  02/12/16      99.586                 4.14
313312N97  11/10/16  02/23/16      99.587                 4.13
313312P53  11/14/16  04/04/16      99.670                 3.30
313312P61  11/15/16  11/16/15      99.371                 6.29
313312P79  11/16/16  03/07/16      99.541                 4.59
313312P87  11/17/16  11/18/15      99.371                 6.29
313312P95  11/18/16  11/25/15      99.372                 6.28
313312Q45  11/21/16  03/28/16      99.570                 4.30
313312Q52  11/22/16  04/13/16      99.684                 3.16
313312Q60  11/23/16  04/14/16      99.684                 3.16
313312Q86  11/25/16  07/13/16      99.850                 1.50
313312R36  11/28/16  04/26/16      99.676                 3.24
313312R44  11/29/16  01/29/16      99.449                 5.51
313312R51  11/30/16  12/02/15      99.312                 6.88
313312R69  12/01/16  12/02/15      99.290                 7.10
313312R77  12/02/16  04/18/16      99.664                 3.36
313312S27  12/05/16  12/11/15      99.200                 8.00





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312S35  12/06/16  02/29/16      99.532                 4.68
313312S43  12/07/16  04/14/16      99.645                 3.55
313312S50  12/08/16  03/15/16      99.486                 5.14
313312S68  12/09/16  06/10/16      99.737                 2.63
313312S92  12/12/16  03/03/16      99.464                 5.36
313312T26  12/13/16  04/15/16      99.637                 3.63
313312T34  12/14/16  02/01/16      99.428                 5.72
313312T42  12/15/16  07/14/16      99.825                 1.75
313312T59  12/16/16  05/31/16      99.663                 3.37
313312T83  12/19/16  07/12/16      99.809                 1.91
313312T91  12/20/16  02/19/16      99.492                 5.08
313312U24  12/21/16  03/24/16      99.486                 5.14
313312U32  12/22/16  05/27/16      99.640                 3.60
313312U40  12/23/16  02/22/16      99.509                 4.91
313312U81  12/27/16  04/15/16      99.616                 3.84
313312U99  12/28/16  05/17/16      99.681                 3.19
313312V23  12/29/16  04/19/16      99.605                 3.95
313312V31  12/30/16  04/28/16      99.617                 3.83





                                Section III-E



                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2016

                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396RJ4  01/04/16  01/08/15      99.794                 2.06 
313396RK1  01/05/16  01/23/15      99.827                 1.73 
313396RL9  01/06/16  01/09/15      99.794                 2.06 
313396RM7  01/07/16  01/26/15      99.827                 1.73 
313396RN5  01/08/16  03/05/15      99.820                 1.80 
313396RR6  01/11/16  06/15/15      99.918                 0.82 
313396RS4  01/12/16  01/16/15      99.814                 1.86 
313396RT2  01/13/16  01/21/15      99.817                 1.83 
313396RU9  01/14/16  01/21/15      99.816                 1.84 
313396RV7  01/15/16  02/02/15      99.836                 1.64 
313396RZ8  01/19/16  01/15/16      99.999                 0.01 
313396SA2  01/20/16  02/20/15      99.787                 2.13 
313396SB0  01/21/16  02/27/15      99.804                 1.96 
313396SC8  01/22/16  02/19/15      99.785                 2.15 
313396SF1  01/25/16  05/01/15      99.880                 1.20 
313396SG9  01/26/16  02/26/15      99.805                 1.95 
313396SH7  01/27/16  07/09/15      99.933                 0.67 
313396SJ3  01/28/16  03/04/15      99.798                 2.02 
313396SK0  01/29/16  03/04/15      99.798                 2.02 
313396SN4  02/01/16  04/24/15      99.855                 1.45 
313396SP9  02/02/16  02/19/15      99.778                 2.22 
313396SQ7  02/03/16  05/15/15      99.861                 1.39 
313396SR5  02/04/16  08/07/15      99.907                 0.93 
313396SS3  02/05/16  04/22/15      99.851                 1.49 
313396SV6  02/08/16  02/23/15      99.757                 2.43 
313396SW4  02/09/16  03/11/15      99.777                 2.23 
313396SX2  02/10/16  03/11/15      99.776                 2.24 
313396SY0  02/11/16  03/05/15      99.776                 2.24 
313396SZ7  02/12/16  02/25/15      99.756                 2.44 
313396TD5  02/16/16  07/16/15      99.919                 0.81 
313396TE3  02/17/16  02/24/15      99.751                 2.49 
313396TF0  02/18/16  02/17/16      99.999                 0.01 
313396TG8  02/19/16  03/04/15      99.756                 2.44 
313396TK9  02/22/16  03/04/15      99.753                 2.47 
313396TL7  02/23/16  09/21/15      99.916                 0.84 
313396TM5  02/24/16  03/13/15      99.739                 2.61 
313396TN3  02/25/16  03/12/15      99.747                 2.53 
313396TP8  02/26/16  08/05/15      99.898                 1.02 
313396TS2  02/29/16  03/13/15      99.735                 2.65 
313396TT0  03/01/16  03/13/15      99.735                 2.65 
313396TU7  03/02/16  03/26/15      99.744                 2.56 
313396TV5  03/03/16  07/09/15      99.898                 1.02 
313396TW3  03/04/16  04/22/15      99.824                 1.76 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396TZ6  03/07/16  08/13/15      99.871                 1.29 
313396UA9  03/08/16  03/11/15      99.728                 2.72 
313396UB7  03/09/16  08/18/15      99.853                 1.47 
313396UC5  03/10/16  04/29/15      99.833                 1.67 
313396UD3  03/11/16  06/18/15      99.848                 1.52 
313396UG6  03/14/16  04/29/15      99.827                 1.73 
313396UH4  03/15/16  06/25/15      99.850                 1.50 
313396UJ0  03/16/16  03/18/15      99.676                 3.24 
313396UK7  03/17/16  03/19/15      99.676                 3.24 
313396UL5  03/18/16  04/08/15      99.780                 2.20 
313396UP6  03/21/16  04/08/15      99.778                 2.22 
313396UQ4  03/22/16  04/08/15      99.777                 2.23 
313396UR2  03/23/16  03/23/15      99.705                 2.95 
313396US0  03/24/16  03/26/15      99.707                 2.93 
313396UT8  03/25/16  04/08/15      99.775                 2.25 
313396UW1  03/28/16  04/08/15      99.773                 2.27 
313396UX9  03/29/16  04/08/15      99.773                 2.27 
313396UY7  03/30/16  05/13/15      99.808                 1.92 
313396UZ4  03/31/16  04/02/15      99.727                 2.73 
313396VA8  04/01/16  04/02/15      99.726                 2.74 
313396VD2  04/04/16  04/21/15      99.764                 2.36 
313396VE0  04/05/16  04/06/15      99.757                 2.43 
313396VF7  04/06/16  04/28/15      99.771                 2.29 
313396VG5  04/07/16  04/30/15      99.767                 2.33 
313396VH3  04/08/16  04/14/15      99.760                 2.40 
313396VL4  04/11/16  07/10/15      99.858                 1.42 
313396VM2  04/12/16  05/06/15      99.772                 2.28 
313396VN0  04/13/16  04/20/15      99.761                 2.39 
313396VP5  04/14/16  05/18/15      99.783                 2.17 
313396VQ3  04/15/16  04/24/15      99.752                 2.48 
313396VT7  04/18/16  04/15/16      99.998                 0.02 
313396VU4  04/19/16  04/22/15      99.738                 2.62 
313396VV2  04/20/16  04/22/15      99.737                 2.63 
313396VW0  04/21/16  04/29/15      99.741                 2.59 
313396VX8  04/22/16  04/22/15      99.736                 2.64 
313396WA7  04/25/16  10/26/15      99.889                 1.11 
313396WB5  04/26/16  12/03/15      99.859                 1.41 
313396WC3  04/27/16  04/30/15      99.738                 2.62 
313396WD1  04/28/16  04/30/15      99.727                 2.73 
313396WE9  04/29/16  04/30/15      99.726                 2.74 
313396WH2  05/02/16  06/24/15      99.770                 2.30 
313396WJ8  05/03/16  05/08/15      99.759                 2.41 
313396WK5  05/04/16  07/02/15      99.800                 2.00 
313396WL3  05/05/16  05/05/15      99.720                 2.80 
313396WM1  05/06/16  05/11/15      99.759                 2.41 
313396WQ2  05/09/16  05/18/15      99.732                 2.68 
313396WR0  05/10/16  08/18/15      99.767                 2.33 
313396WS8  05/11/16  08/20/15      99.768                 2.32 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396WT6  05/12/16  05/13/15      99.716                 2.84 
313396WU3  05/13/16  05/12/16      99.999                 0.01 
313396WX7  05/16/16  06/25/15      99.769                 2.31 
313396WY5  05/17/16  05/19/15      99.707                 2.93 
313396WZ2  05/18/16  05/19/15      99.710                 2.90 
313396XA6  05/19/16  05/20/15      99.711                 2.89 
313396XB4  05/20/16  05/28/15      99.741                 2.59 
313396XE8  05/23/16  05/28/15      99.739                 2.61 
313396XF5  05/24/16  05/27/15      99.718                 2.82 
313396XG3  05/25/16  05/29/15      99.749                 2.51 
313396XH1  05/26/16  05/28/15      99.737                 2.63 
313396XJ7  05/27/16  05/26/16      99.999                 0.01 
313396XN8  05/31/16  09/04/15      99.779                 2.21 
313396XP3  06/01/16  06/16/15      99.708                 2.92 
313396XQ1  06/02/16  06/09/15      99.721                 2.79 
313396XR9  06/03/16  07/16/15      99.767                 2.33 
313396XU2  06/06/16  01/06/16      99.823                 1.77 
313396XV0  06/07/16  06/11/15      99.718                 2.82 
313396XW8  06/08/16  06/11/15      99.718                 2.82 
313396XX6  06/09/16  12/08/15      99.737                 2.63 
313396XY4  06/10/16  06/22/15      99.710                 2.90 
313396YB3  06/13/16  09/23/15      99.809                 1.91 
313396YC1  06/14/16  11/23/15      99.836                 1.64 
313396YD9  06/15/16  09/22/15      99.807                 1.93 
313396YE7  06/16/16  06/23/15      99.691                 3.09 
313396YF4  06/17/16  11/24/15      99.817                 1.83 
313396YJ6  06/20/16  12/16/15      99.727                 2.73 
313396YK3  06/21/16  11/13/15      99.847                 1.53 
313396YL1  06/22/16  09/24/15      99.804                 1.96 
313396YM9  06/23/16  11/25/15      99.807                 1.93 
313396YN7  06/24/16  07/14/15      99.760                 2.40 
313396YR8  06/27/16  07/07/15      99.753                 2.47 
313396YS6  06/28/16  07/07/15      99.752                 2.48 
313396YT4  06/29/16  06/30/15      99.706                 2.94 
313396YU1  06/30/16  06/30/15      99.705                 2.95 
313396YV9  07/01/16  12/21/15      99.732                 2.68 
313396YZ0  07/05/16  07/15/15      99.713                 2.87 
313396ZA4  07/06/16  12/16/15      99.696                 3.04 
313396ZB2  07/07/16  07/14/15      99.711                 2.89 
313396ZC0  07/08/16  07/14/15      99.710                 2.90 
313396ZF3  07/11/16  09/01/15      99.708                 2.92 
313396ZG1  07/12/16  07/14/15      99.707                 2.93 
313396ZH9  07/13/16  07/20/15      99.701                 2.99 
313396ZJ5  07/14/16  07/21/15      99.671                 3.29 
313396ZK2  07/15/16  07/21/15      99.670                 3.30 
313396ZN6  07/18/16  07/15/16      99.998                 0.02 
313396ZP1  07/19/16  06/20/16      99.983                 0.17 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396ZQ9  07/20/16  01/14/16      99.744                 2.56 
313396ZR7  07/21/16  09/09/15      99.697                 3.03 
313396ZS5  07/22/16  09/24/15      99.765                 2.35 
313396ZV8  07/25/16  09/23/15      99.762                 2.38 
313396ZW6  07/26/16  07/25/16      99.999                 0.01 
313396ZX4  07/27/16  12/31/15      99.710                 2.90 
313396ZY2  07/28/16  12/31/15      99.708                 2.92 
313396ZZ9  07/29/16  12/10/15      99.639                 3.61 
313396A45  08/01/16  08/17/15      99.611                 3.89 
313396A52  08/02/16  01/25/16      99.752                 2.48 
313396A60  08/03/16  08/14/15      99.606                 3.94 
313396A78  08/04/16  08/28/15      99.658                 3.42 
313396A86  08/05/16  08/17/15      99.607                 3.93 
313396B36  08/08/16  09/24/15      99.734                 2.66 
313396B44  08/09/16  08/12/15      99.607                 3.93 
313396B51  08/10/16  08/14/15      99.598                 4.02 
313396B69  08/11/16  09/28/15      99.748                 2.52 
313396B77  08/12/16  08/18/15      99.600                 4.00 
313396C27  08/15/16  09/28/15      99.745                 2.55 
313396C35  08/16/16  10/01/15      99.742                 2.58 
313396C43  08/17/16  08/16/16      99.999                 0.01 
313396C50  08/18/16  07/18/16      99.979                 0.21 
313396C68  08/19/16  02/22/16      99.757                 2.43 
313396C92  08/22/16  09/22/15      99.716                 2.84 
313396D26  08/23/16  09/22/15      99.715                 2.85 
313396D34  08/24/16  08/25/15      99.615                 3.85 
313396D42  08/25/16  09/22/15      99.714                 2.86 
313396D59  08/26/16  09/01/15      99.610                 3.90 
313396D83  08/29/16  09/03/15      99.622                 3.78 
313396D91  08/30/16  09/04/15      99.639                 3.61 
313396E25  08/31/16  09/02/15      99.606                 3.94 
313396E33  09/01/16  12/22/15      99.601                 3.99 
313396E41  09/02/16  09/04/15      99.636                 3.64 
313396E82  09/06/16  09/11/15      99.592                 4.08 
313396E90  09/07/16  03/03/16      99.749                 2.51 
313396F24  09/08/16  09/11/15      99.588                 4.12 
313396F32  09/09/16  01/22/16      99.673                 3.27 
313396F65  09/12/16  11/20/15      99.720                 2.80 
313396F73  09/13/16  11/13/15      99.746                 2.54 
313396F81  09/14/16  11/13/15      99.745                 2.55 
313396F99  09/15/16  09/25/15      99.689                 3.11 
313396G23  09/16/16  11/30/15      99.656                 3.44 
313396G56  09/19/16  09/23/15      99.663                 3.37 
313396G64  09/20/16  11/19/15      99.703                 2.97 
313396G72  09/21/16  09/24/15      99.662                 3.38 
313396G80  09/22/16  09/23/15      99.660                 3.40 
313396G98  09/23/16  02/22/16      99.733                 2.67 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396H48  09/26/16  11/13/15      99.726                 2.74 
313396H55  09/27/16  02/23/16      99.729                 2.71 
313396H63  09/28/16  01/20/16      99.636                 3.64 
313396H71  09/29/16  11/13/15      99.724                 2.76 
313396H89  09/30/16  10/15/15      99.737                 2.63 
313396J38  10/03/16  11/25/15      99.635                 3.65 
313396J46  10/04/16  04/13/16      99.841                 1.59 
313396J53  10/05/16  12/22/15      99.520                 4.80 
313396J61  10/06/16  11/30/15      99.611                 3.89 
313396J79  10/07/16  11/30/15      99.610                 3.90 
313396K36  10/11/16  03/16/16      99.710                 2.90 
313396K44  10/12/16  11/30/15      99.604                 3.96 
313396K51  10/13/16  10/20/15      99.731                 2.69 
313396K69  10/14/16  12/17/15      99.480                 5.20 
313396K93  10/17/16  04/11/16      99.791                 2.09 
313396L27  10/18/16  10/17/16      99.999                 0.01 
313396L35  10/19/16  10/23/15      99.698                 3.02 
313396L43  10/20/16  11/25/15      99.606                 3.94 
313396L50  10/21/16  01/12/16      99.548                 4.52 
313396L84  10/24/16  12/02/15      99.541                 4.59 
313396L92  10/25/16  11/05/15      99.606                 3.94 
313396M26  10/26/16  11/06/15      99.606                 3.94 
313396M34  10/27/16  12/02/15      99.537                 4.63 
313396M42  10/28/16  02/10/16      99.652                 3.48 
313396M75  10/31/16  11/06/15      99.600                 4.00 
313396M83  11/01/16  08/01/16      99.921                 0.79 
313396M91  11/02/16  04/13/16      99.794                 2.06 
313396N25  11/03/16  06/08/16      99.819                 1.81 
313396N33  11/04/16  11/25/15      99.559                 4.41 
313396N66  11/07/16  12/03/15      99.471                 5.29 
313396N74  11/08/16  03/30/16      99.737                 2.63 
313396N82  11/09/16  12/07/15      99.418                 5.82 
313396N90  11/10/16  01/07/16      99.504                 4.96 
313396P56  11/14/16  12/10/15      99.367                 6.33 
313396P64  11/15/16  01/20/16      99.525                 4.75 
313396P72  11/16/16  12/11/15      99.365                 6.35 
313396P80  11/17/16  12/15/15      99.394                 6.06 
313396P98  11/18/16  12/15/15      99.393                 6.07 
313396Q48  11/21/16  12/15/15      99.387                 6.13 
313396Q55  11/22/16  12/18/15      99.391                 6.09 
313396Q63  11/23/16  12/18/15      99.389                 6.11 
313396Q89  11/25/16  12/18/15      99.385                 6.15 
313396R39  11/28/16  12/18/15      99.380                 6.20 
313396R47  11/29/16  06/16/16      99.829                 1.71 
313396R54  11/30/16  12/02/15      99.474                 5.26 
313396R62  12/01/16  12/07/15      99.364                 6.36 
313396R70  12/02/16  12/04/15      99.378                 6.22 
313396S20  12/05/16  01/07/16      99.427                 5.73 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396S38  12/06/16  12/08/15      99.353                 6.47 
313396S46  12/07/16  02/25/16      99.627                 3.73 
313396S53  12/08/16  12/10/15      99.302                 6.98 
313396S61  12/09/16  12/16/15      99.337                 6.63 
313396S95  12/12/16  12/09/16      99.998                 0.02
313396T29  12/13/16  01/26/16      99.481                 5.19 
313396T37  12/14/16  01/19/16      99.464                 5.36 
313396T45  12/15/16  01/27/16      99.480                 5.20 
313396T52  12/16/16  01/26/16      99.476                 5.24 
313396T86  12/19/16  02/25/16      99.607                 3.93 
313396T94  12/20/16  01/26/16      99.470                 5.30 
313396U27  12/21/16  02/25/16      99.604                 3.96 
313396U35  12/22/16  05/13/16      99.746                 2.54 
313396U43  12/23/16  04/19/16      99.724                 2.76 
313396U84  12/27/16  05/31/16      99.749                 2.51 
313396U92  12/28/16  12/30/15      99.353                 6.47 
313396V26  12/29/16  04/21/16      99.731                 2.69 
313396V34  12/30/16  01/25/16      99.448                 5.52 






                               Section III-F



                FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                    Short-Term Obligations Issued at a
                      Discount and Maturing in 2016

                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KRJ1  01/04/16  06/23/15      99.892                 1.08
31315KRK8  01/05/16  09/23/15      99.939                 0.61
31315KRL6  01/06/16  07/06/15      99.898                 1.02
31315KRM4  01/07/16  12/02/15      99.979                 0.21
31315KRR3  01/11/16  01/16/15      99.740                 2.60
31315KRS1  01/12/16  12/15/15      99.977                 0.23
31315KRT9  01/13/16  12/08/15      99.973                 0.27
31315KRU6  01/14/16  01/16/15      99.741                 2.59
31315KRV4  01/15/16  03/12/15      99.785                 2.15
31315KRZ5  01/19/16  01/23/15      99.729                 2.71
31315KSA9  01/20/16  12/22/15      99.979                 0.21
31315KSB7  01/21/16  01/20/16      99.999                 0.01
31315KSC5  01/22/16  04/07/15      99.799                 2.01
31315KSF8  01/25/16  04/20/15      99.830                 1.71
31315KSG6  01/26/16  01/26/15      99.726                 2.74
31315KSH4  01/27/16  01/11/16      99.991                 0.09
31315KSJ0  01/28/16  02/18/15      99.705                 2.95
31315KSK7  01/29/16  01/21/16      99.994                 0.06
31315KSN1  02/01/16  02/27/15      99.736                 2.64
31315KSP6  02/02/16  02/01/16      99.999                 0.01
31315KSQ4  02/03/16  02/03/15      99.727                 2.73
31315KSR2  02/04/16  01/06/16      99.978                 0.22
31315KSS0  02/05/16  04/29/15      99.813                 1.87
31315KSV3  02/08/16  02/24/15      99.720                 2.80
31315KSW1  02/09/16  01/13/16      99.980                 0.20
31315KSX9  02/10/16  02/10/15      99.670                 3.29
31315KSY7  02/11/16  02/10/16      99.999                 0.01
31315KSZ4  02/12/16  02/18/15      99.652                 3.48
31315KTD2  02/16/16  08/12/15      99.847                 1.53
31315KTE0  02/17/16  02/17/15      99.645                 3.55
31315KTF7  02/18/16  02/18/15      99.647                 3.53
31315KTG5  02/19/16  01/20/16      99.975                 0.25
31315KTK6  02/22/16  08/25/15      99.845                 1.55
31315KTL4  02/23/16  02/12/16      99.991                 0.09
31315KTM2  02/24/16  02/12/16      99.993                 0.07
31315KTN0  02/25/16  01/11/16      99.970                 0.30
31315KTP5  02/26/16  02/11/16      99.992                 0.08
31315KTS9  02/29/16  02/02/16      99.978                 0.22
31315KTT7  03/01/16  10/13/15      99.907                 0.93
31315KTU4  03/02/16  02/01/16      99.973                 0.27
31315KTV2  03/03/16  02/04/16      99.976                 0.24
31315KTW0  03/04/16  12/01/15      99.916                 0.84





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KTZ3  03/07/16  01/14/16      99.954                 0.46
31315KUA6  03/08/16  12/09/15      99.871                 1.29
31315KUB4  03/09/16  02/05/16      99.973                 0.27
31315KUC2  03/10/16  03/11/15      99.645                 3.55
31315KUD0  03/11/16  03/04/16      99.995                 0.05
31315KUG3  03/14/16  02/18/16      99.979                 0.21
31315KUH1  03/15/16  10/06/15      99.888                 1.12
31315KUJ7  03/16/16  12/17/15      99.880                 1.20
31315KUK4  03/17/16  12/07/15      99.889                 1.11
31315KUL2  03/18/16  03/09/16      99.994                 0.06
31315KUP3  03/21/16  12/14/15      99.876                 1.24
31315KUQ1  03/22/16  12/16/15      99.879                 1.21
31315KUR9  03/23/16  10/13/15      99.892                 1.08
31315KUS7  03/24/16  03/16/16      99.994                 0.06
31315KUW8  03/28/16  02/16/16      99.965                 0.35
31315KUX6  03/29/16  03/28/16      99.999                 0.01
31315KUY4  03/30/16  03/18/16      99.990                 0.10
31315KUZ1  03/31/16  03/30/16      99.999                 0.01
31315KVA5  04/01/16  06/18/15      99.784                 2.16
31315KVD9  04/04/16  09/24/15      99.845                 1.55
31315KVE7  04/05/16  03/24/16      99.994                 0.06
31315KVF4  04/06/16  10/02/15      99.870                 1.30
31315KVG2  04/07/16  03/29/16      99.994                 0.06
31315KVH0  04/08/16  03/30/16      99.996                 0.04
31315KVL1  04/11/16  10/13/15      99.889                 1.11
31315KVM9  04/12/16  04/11/16      99.999                 0.01
31315KVN7  04/13/16  10/13/15      99.888                 1.12
31315KVP2  04/14/16  04/13/16      99.999                 0.01
31315KVQ0  04/15/16  10/13/15      99.887                 1.13
31315KVT4  04/18/16  04/29/15      99.709                 2.91
31315KVU1  04/19/16  04/11/16      99.996                 0.04
31315KVV9  04/20/16  10/13/15      99.884                 1.16
31315KVW7  04/21/16  04/08/16      99.993                 0.07
31315KVX5  04/22/16  04/11/16      99.993                 0.07
31315KWA4  04/25/16  01/20/16      99.893                 1.07
31315KWB2  04/26/16  03/15/16      99.963                 0.37
31315KWC0  04/27/16  03/18/16      99.965                 0.35
31315KWD8  04/28/16  04/19/16      99.994                 0.06
31315KWE6  04/29/16  10/13/15      99.830                 1.71
31315KWH9  05/02/16  05/11/15      99.703                 2.98
31315KWJ5  05/03/16  05/27/15      99.721                 2.79
31315KWK2  05/04/16  02/03/16      99.891                 1.09
31315KWL0  05/05/16  05/04/16      99.999                 0.01
31315KWM8  05/06/16  08/14/15      99.730                 2.70
31315KWQ9  05/09/16  04/07/16      99.976                 0.24
31315KWR7  05/10/16  05/12/15      99.687                 3.13
31315KWS5  05/11/16  08/06/15      99.722                 2.78
31315KWT3  05/12/16  05/13/15      99.686                 3.14





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KWU0  05/13/16  04/22/16      99.985                 0.15
31315KWX4  05/16/16  02/18/16      99.900                 1.00
31315KWY2  05/17/16  04/14/16      99.978                 0.22
31315KWZ9  05/18/16  04/15/16      99.977                 0.23
31315KXA3  05/19/16  05/18/16      99.999                 0.01
31315KXB1  05/20/16  04/04/16      99.962                 0.38
31315KXE5  05/23/16  05/20/16      99.998                 0.02
31315KXF2  05/24/16  03/04/16      99.906                 0.95
31315KXG0  05/25/16  10/15/15      99.814                 1.86
31315KXH8  05/26/16  05/25/16      99.999                 0.01
31315KXJ4  05/27/16  05/18/16      99.994                 0.06
31315KXN5  05/31/16  11/19/15      99.784                 2.16
31315KXP0  06/01/16  06/02/15      99.665                 3.35
31315KXQ8  06/02/16  04/25/16      99.973                 0.27
31315KXR6  06/03/16  07/07/15      99.696                 3.04
31315KXU9  06/06/16  10/05/15      99.790                 2.10
31315KXV7  06/07/16  06/08/15      99.625                 3.75
31315KXW5  06/08/16  06/07/16      99.999                 0.01
31315KXX3  06/09/16  06/08/16      99.999                 0.01
31315KXY1  06/10/16  05/03/16      99.972                 0.28
31315KYB0  06/13/16  11/19/15      99.764                 2.36
31315KYC8  06/14/16  03/16/16      99.894                 1.06
31315KYD6  06/15/16  06/30/15      99.630                 3.71
31315KYE4  06/16/16  06/15/16      99.999                 0.01
31315KYF1  06/17/16  06/25/15      99.612                 3.88
31315KYJ3  06/20/16  06/13/16      99.996                 0.04
31315KYK0  06/21/16  06/02/16      99.985                 0.15
31315KYL8  06/22/16  06/01/16      99.984                 0.16
31315KYM6  06/23/16  09/22/15      99.702                 2.98
31315KYN4  06/24/16  11/20/15      99.729                 2.71
31315KYR5  06/27/16  06/14/16      99.990                 0.10
31315KYS3  06/28/16  06/27/16      99.999                 0.01
31315KYT1  06/29/16  06/16/16      99.990                 0.10
31315KYU8  06/30/16  02/19/16      99.846                 1.54
31315KYV6  07/01/16  07/02/15      99.609                 3.91
31315KYZ7  07/05/16  03/28/16      99.887                 1.13
31315KZA1  07/06/16  06/20/16      99.988                 0.12
31315KZB9  07/07/16  06/22/16      99.988                 0.12
31315KZC7  07/08/16  06/07/16      99.974                 0.26
31315KZF0  07/11/16  06/27/16      99.989                 0.11
31315KZG8  07/12/16  07/05/16      99.995                 0.05
31315KZH6  07/13/16  07/12/16      99.999                 0.01
31315KZJ2  07/14/16  07/13/16      99.999                 0.01
31315KZK9  07/15/16  07/16/15      99.615                 3.85
31315KZN3  07/18/16  06/10/16      99.970                 0.30
31315KZP8  07/19/16  07/18/16      99.999                 0.01
31315KZQ6  07/20/16  06/07/16      99.969                 0.31





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KZR4  07/21/16  10/15/15      99.732                 2.68
31315KZS2  07/22/16  06/24/16      99.976                 0.24
31315KZV5  07/25/16  03/16/16      99.833                 1.67
31315KZW3  07/26/16  06/23/16      99.972                 0.28
31315KZX1  07/27/16  07/26/16      99.999                 0.01
31315KZY9  07/28/16  08/18/15      99.570                 4.30
31315KZZ6  07/29/16  04/21/16      99.893                 1.07
31315KA42  08/01/16  08/06/15      99.549                 4.51
31315KA59  08/02/16  06/30/16      99.979                 0.21
31315KA67  08/03/16  10/28/15      99.720                 2.80
31315KA75  08/04/16  07/28/16      99.994                 0.06
31315KA83  08/05/16  10/30/15      99.689                 3.11
31315KB33  08/08/16  06/30/16      99.975                 0.25
31315KB41  08/09/16  08/08/16      99.999                 0.01
31315KB58  08/10/16  08/09/16      99.999                 0.01
31315KB66  08/11/16  10/30/15      99.666                 3.34
31315KB74  08/12/16  08/01/16      99.991                 0.09
31315KC24  08/15/16  02/09/16      99.723                 2.77
31315KC32  08/16/16  08/04/16      99.992                 0.08
31315KC40  08/17/16  08/18/15      99.535                 4.65
31315KC57  08/18/16  02/16/16      99.744                 2.56
31315KC65  08/19/16  02/11/16      99.727                 2.73
31315KC99  08/22/16  08/19/16      99.998                 0.02
31315KD23  08/23/16  02/18/16      99.735                 2.65
31315KD31  08/24/16  05/16/16      99.892                 1.08
31315KD49  08/25/16  10/14/15      99.672                 3.28
31315KD56  08/26/16  06/16/16      99.927                 0.73
31315KD80  08/29/16  08/26/16      99.998                 0.02
31315KD98  08/30/16  12/09/15      99.463                 5.37
31315KE22  08/31/16  01/07/16      99.566                 4.35
31315KE30  09/01/16  02/22/16      99.739                 2.61
31315KE48  09/02/16  10/20/15      99.682                 3.18
31315KE89  09/06/16  05/03/16      99.874                 1.26
31315KE97  09/07/16  09/06/16      99.999                 0.01
31315KF21  09/08/16  09/09/15      99.545                 4.55
31315KF39  09/09/16  10/07/15      99.681                 3.19
31315KF62  09/12/16  09/07/16      99.997                 0.03
31315KF70  09/13/16  09/14/15      99.523                 4.77
31315KF88  09/14/16  09/15/15      99.515                 4.85
31315KF96  09/15/16  09/16/15      99.500                 5.00
31315KG20  09/16/16  09/07/16      99.994                 0.06
31315KG53  09/19/16  09/16/16      99.998                 0.02
31315KG61  09/20/16  09/22/15      99.545                 4.55
31315KG79  09/21/16  09/20/16      99.999                 0.01
31315KG87  09/22/16  09/21/16      99.999                 0.01
31315KG95  09/23/16  10/08/15      99.669                 3.31
31315KH45  09/26/16  10/23/15      99.661                 3.39





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KH52  09/27/16  09/26/16      99.999                 0.01
31315KH60  09/28/16  09/27/16      99.999                 0.01
31315KH78  09/29/16  09/28/16      99.999                 0.01
31315KH86  09/30/16  10/22/15      99.680                 3.20
31315KJ35  10/03/16  11/02/15      99.589                 4.11
31315KJ43  10/04/16  10/06/15      99.617                 3.83
31315KJ50  10/05/16  08/10/16      99.960                 0.40
31315KJ68  10/06/16  10/05/16      99.999                 0.01
31315KJ76  10/07/16  10/08/15      99.625                 3.75
31315KK33  10/11/16  05/05/16      99.824                 1.76
31315KK41  10/12/16  10/11/16      99.999                 0.01
31315KK58  10/13/16  10/12/16      99.999                 0.01
31315KK66  10/14/16  07/08/16      99.905                 0.95
31315KK90  10/17/16  10/23/15      99.648                 3.52
31315KL24  10/18/16  01/13/16      99.475                 5.25
31315KL32  10/19/16  10/20/15      99.615                 3.85
31315KL40  10/20/16  10/19/16      99.999                 0.01
31315KL57  10/21/16  10/22/15      99.625                 3.75
31315KL81  10/24/16  09/22/16      99.980                 0.20
31315KL99  10/25/16  10/26/15      99.616                 3.84
31315KM23  10/26/16  10/27/15      99.616                 3.84
31315KM31  10/27/16  04/08/16      99.753                 2.47
31315KM49  10/28/16  10/29/15      99.565                 4.35
31315KM72  10/31/16  02/09/16      99.604                 3.96
31315KM80  11/01/16  05/03/16      99.767                 2.33
31315KM98  11/02/16  05/03/16      99.766                 2.34
31315KN22  11/03/16  11/05/15      99.496                 5.04
31315KN30  11/04/16  01/07/16      99.413                 5.87
31315KN63  11/07/16  03/02/16      99.576                 4.24
31315KN71  11/08/16  11/07/16      99.999                 0.01
31315KN89  11/09/16  11/08/16      99.999                 0.01
31315KN97  11/10/16  11/12/15      99.373                 6.27
31315KP53  11/14/16  10/13/16      99.976                 0.24
31315KP61  11/15/16  11/17/15      99.385                 6.15
31315KP79  11/16/16  11/18/15      99.387                 6.13
31315KP87  11/17/16  11/16/16      99.999                 0.01
31315KP95  11/18/16  02/18/16      99.568                 4.32
31315KQ45  11/21/16  10/21/16      99.977                 0.23
31315KQ52  11/22/16  11/23/15      99.363                 6.37
31315KQ60  11/23/16  04/29/16      99.772                 2.28
31315KR36  11/28/16  11/22/16      99.997                 0.03
31315KR44  11/29/16  11/21/16      99.994                 0.06
31315KR51  11/30/16  12/07/15      99.274                 7.26
31315KR69  12/01/16  12/01/15      99.331                 6.69
31315KR77  12/02/16  12/03/15      99.321                 6.79
31315KS27  12/05/16  12/02/16      99.998                 0.02
31315KS35  12/06/16  02/24/16      99.541                 4.59





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KS43  12/07/16  11/07/16      99.978                 0.22
31315KS68  12/09/16  03/09/16      99.498                 5.02
31315KS92  12/12/16  12/09/16      99.999                 0.01
31315KT26  12/13/16  12/12/16      99.999                 0.01
31315KT34  12/14/16  12/13/16      99.999                 0.01
31315KT42  12/15/16  12/16/15      99.240                 7.60
31315KT59  12/16/16  06/13/16      99.742                 2.58
31315KT91  12/20/16  12/19/16      99.999                 0.01
31315KU40  12/23/16  09/22/16      99.929                 0.71
31315KU81  12/27/16  03/17/16      99.517                 4.83
31315KV23  12/29/16  12/29/15      99.250                 7.50
31315KV31  12/30/16  06/28/16      99.794                 2.06






                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2016
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KRN2  01/08/16  01/07/16      99.9995                 0.005
31315KS50  12/08/16  12/07/16      99.9995                 0.005










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