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 2017 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     2017 1st    2017 2nd   2018 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/17      Period     2018 1st    Period        2017       2018          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Fannie Mae                   313586RC5   10/09/84   10/09/19       3.200      0.000      730.21     0.210791    0.232575   0.256609       78.77      86.91         
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      553.01     0.154193    0.169512   0.186353       57.66      63.39          






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 2017 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES     4.7500             0.133261   0.133106   0.132948   0.132785  0.132583     47.89    47.77
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES     4.4730             0.150743   0.153952   0.157232   0.160587  0.163999     55.62    58.02
Anoka CNTY HSG & REDEV   03622CAA3 12/15/10 05/01/17     97.561     8.000     8.5032     22.78   0.013408                                                 1.61         
Ares Capital Corporation 04010LAK9 07/19/13 01/15/19     98.500     4.375     4.6881      8.98   0.007746   0.007928   0.008114   0.008304  0.008498      2.88     3.02
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875        N/A             0.025152   0.025149   0.025145   0.025141  0.025137      9.05     9.05
Argentina, Republic      040114GB0 07/21/00 07/21/30     80.144    10.250    12.8670     32.70   0.012685   0.013502   0.014370   0.015295  0.016279      4.98     5.65
Republic of Argentina    040114GG9 06/19/01 06/19/18     75.375     0.000        N/A             0.436206   0.290875   0.147112                         128.86    24.86
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250     0.000        N/A             0.605943   0.603742   0.608256   0.606209  0.610915    220.80   221.67
BRE Properties, Inc.     05564EBM7 04/04/14 01/15/23     94.166     3.375     4.1754     16.01   0.016996   0.017351   0.017713   0.018083  0.018460      6.30     6.57
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES     8.7499     39.37   0.243053   0.243660   0.244295   0.244956  0.245647     87.81    88.28
Bank of America Corp.    06048WAU4 02/22/10 02/22/17    100.000    VARIES     4.7710             0.133102                                                 6.79         
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES     5.5724             0.157083   0.156779   0.156531   0.156275  0.155972     56.44    56.25
Bank of America Corp.    06048WBN9 04/13/10 04/13/17    100.000    VARIES     5.0918             0.142206                                                14.50         
Bank of America Corp.    06048WBQ2 05/03/10 05/03/17    100.000    VARIES     5.0200             0.139444                                                17.01         
Bank of America Corp.    06048WBT6 05/03/10 05/03/17    100.000    VARIES     4.8506             0.135321                                                16.51         
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES     5.5514             0.134242   0.134749   0.135269   0.135804  0.136353     48.45    48.83
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES     5.2406             0.147564   0.147406   0.147122   0.146829  0.146496     53.08    52.89
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30    100.000    VARIES     5.5092             0.141146   0.141448   0.141759   0.142078  0.142406     50.87    51.10
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES     5.5310             0.155821   0.155640   0.155315   0.154982  0.154634     56.06    55.85
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES     5.8002             0.149974   0.150237   0.150509   0.150788  0.151075     54.13    54.33
Bank of America Corp.    06048WCU2 06/28/10 06/28/30    100.000    VARIES     5.8695             0.154798   0.155003   0.155213   0.155430  0.155653     55.77    55.92
Bank of America Corp.    06048WCY4 08/12/10 08/12/30    100.000    VARIES     5.3993             0.139185   0.139448   0.139718   0.139996  0.140280     50.23    50.43
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES     2.4230             0.008148   0.008246   0.008346   0.008447  0.008550      2.98     3.05
Bank of America Corp.    06048WDJ6 08/18/10 08/18/17    100.000    VARIES     2.2826             0.007674   0.007762                                      1.76         
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES     2.3835             0.008426   0.008526   0.008628   0.008730  0.008834      3.08     3.15
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES     2.5928             0.013852   0.014032   0.014214   0.014398  0.014584      5.06     5.19
Bank of America Corp.    06048WDQ0 10/01/10 10/01/20    100.000    VARIES     5.0520             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     5.3199             0.138291   0.138524   0.138762   0.139007  0.139258     49.87    50.05
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES     2.4734             0.014687   0.014868   0.015052   0.015238  0.015427      5.36     5.49
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES     2.6605             0.015256   0.015459   0.015665   0.015873  0.016084      5.57     5.72
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES     2.4632             0.010659   0.010790   0.010923   0.011058  0.011194      3.89     3.98
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES     2.6494             0.015236   0.015437   0.015642   0.015849  0.016059      5.56     5.71
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES     5.2017             0.132219   0.132522   0.132833   0.133153  0.133480     47.70    47.93
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES     5.6999             0.146166   0.146456   0.146754   0.147061  0.147376     52.70    52.91
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES     2.5529             0.013626   0.013800   0.013976   0.014154  0.014335      4.95     5.08
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES     2.4292             0.019399   0.019635   0.019873   0.020115  0.020359      7.05     7.22
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES     1.9847             0.009873   0.009971   0.010070   0.010170  0.010271      3.58     3.65
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES     2.5893             0.010258   0.010391   0.010525   0.010661  0.010799      3.72     3.82
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES     5.9911             0.151437   0.151786   0.152146   0.152516  0.152898     54.59    54.85
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES     2.5961             0.010175   0.010307   0.010441   0.010577  0.010714      3.69     3.79
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES     5.1717             0.136514   0.136682   0.136855   0.137033  0.137214     49.23    49.36
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES     5.4019             0.149545   0.149595   0.149647   0.149701  0.149756     53.86    53.90
Bank of America Corp.    06048WFC9 01/31/11 01/31/17    100.000     0.000     4.4000             0.155280                                                 4.50         
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES     5.5089             0.152598   0.152640   0.152684   0.152729  0.152775     54.95    54.99
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES     5.9293             0.158905   0.159034   0.159166   0.159303  0.159444     57.26    57.36
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES     5.6399             0.149438   0.149603   0.149772   0.149945  0.150124     53.87    53.99
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES     5.2650             0.145641   0.145702   0.145764   0.145828  0.145894     52.46    52.50
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES     5.0284             0.141501   0.141318   0.141131   0.140938  0.140741     50.87    50.73
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES     5.2102             0.145576   0.145491   0.145404   0.145315  0.145223     52.38    52.31
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES     2.3129             0.009591   0.009702   0.009814   0.009927  0.010042      3.49     3.57
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES     5.3401             0.148981   0.148916   0.148850   0.148783  0.148713     53.61    53.56
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES     5.1375             0.134357   0.134555   0.134757   0.134965  0.135178     48.42    48.56
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES     2.2369             0.060837   0.060975   0.061115   0.061256  0.061399     21.93    22.03
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES     4.8974             0.135893   0.135903   0.135913   0.135923  0.135933     48.92    48.93
Bank of America Corp.    06048WGG9 06/27/11 06/27/31    100.000    VARIES     5.5242             0.144917   0.145112   0.145314   0.145520  0.145733     52.21    52.35
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES     5.1062             0.141931   0.141922   0.141914   0.141905  0.141896     51.09    51.08
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES     2.3483             0.015069   0.015246   0.015425   0.015606  0.015790      5.46     5.59
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES     5.5582             0.145658   0.145848   0.146044   0.146245  0.146452     52.54    52.68
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES     5.1475             0.142425   0.142459   0.142494   0.142529  0.142566     51.29    51.32
Bank of America Corp.    06048WGU8 07/14/11 07/14/26    100.000    VARIES     5.3900             0.144227   0.144438   0.144654   0.144877  0.145105     52.03    52.19
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES     5.2773             0.137975   0.138167   0.138364   0.138566  0.138774     49.76    49.90
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES     4.7457             0.131454   0.131476   0.131499   0.131523  0.131547     47.33    47.35
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES     5.0293             0.130616   0.130822   0.131034   0.131251  0.131473     47.11    47.27
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES     5.3142             0.137690   0.137910   0.138136   0.138369  0.138607     49.65    49.81
Bank of America Corp.    06048WJA9 11/04/11 11/04/31    100.000    VARIES     5.9880             0.157489   0.157675   0.157867   0.158064  0.158268     56.75    56.89
Bank of America Corp.    06048WKG4 01/31/12 01/31/32    100.000    VARIES     5.8093             0.153832   0.153985   0.154143   0.154306  0.154474     55.45    55.57
Bank of America Corp.    06048WKR0 02/23/12 02/23/32    100.000    VARIES     5.1904             0.141850   0.141900   0.141951   0.142003  0.142057     51.09    51.13
Bank of America Corp.    06048WKU3 03/08/12 03/08/32    100.000    VARIES     5.6026             0.149486   0.149613   0.149744   0.149878  0.150016     53.87    53.96
Bank of America Corp.    06048WLF5 03/30/12 03/30/32    100.000    VARIES     5.3816             0.145988   0.146062   0.146138   0.146215  0.146295     52.58    52.64
Bank of America Corp.    06048WLN8 04/16/12 04/16/32    100.000    VARIES     5.1652             0.137292   0.137425   0.137561   0.137701  0.137844     49.47    49.57
Bank of America Corp.    06048WLQ1 04/16/12 04/16/30    100.000    VARIES     5.4874             0.146085   0.146246   0.146412   0.146583  0.146758     52.64    52.77
Bank of America Corp.    06048WLX6 05/04/12 05/04/32    100.000    VARIES     5.6986             0.150396   0.150558   0.150725   0.150896  0.151073     54.19    54.31
Bank of America Corp.    06048WMF4 05/17/12 05/17/17    100.000    VARIES     2.0468             0.015860                                                 2.16         
Bank of America Corp.    06048WNA4 08/22/12 08/22/19    100.000    VARIES     2.0566             0.009812   0.009913   0.010015   0.010118  0.010222      3.58     3.65
Bank of America Corp.    06048WNB2 08/22/12 08/22/18    100.000     0.000     3.2065             0.101156   0.102777   0.104425   0.106099               37.13    24.42
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES     1.6066             0.008923   0.008994   0.009067   0.009139  0.009213      3.23     3.28
Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES     1.4139             0.037780   0.037899   0.038020   0.038142  0.038264     13.63    13.71
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES     5.0043             0.132118   0.132249   0.132383   0.132521  0.132662     47.63    47.73
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES     4.8453             0.128045   0.128172   0.128301   0.128433  0.128569     46.16    46.25
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES     4.9958             0.130759   0.130167   0.131008   0.130421  0.131271     47.65    47.74
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES     4.8735             0.128504   0.128636   0.128772   0.128910  0.129052     46.31    46.41
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES     4.7034             0.124129   0.124257   0.124387   0.124520  0.124657     44.73    44.83
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES     4.8649             0.128587   0.128713   0.128842   0.128974  0.129109     46.32    46.41
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES     3.7879             0.100829   0.099403   0.101277   0.099852  0.101742     36.60    36.76
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES     4.4527             0.117110   0.117236   0.117365   0.117497  0.117631     42.21    42.30
Bank of America Corp.    06048WPP9 07/03/14 07/03/17    100.000     0.000     1.1927             0.033929   0.034132                                      6.21         
Bank of America Corp.    06048WQJ2 02/20/15 02/20/18    109.390     0.250     1.4840             0.045948   0.046238   0.046529                          16.67     2.28
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES     2.8047             0.019471   0.018992   0.018506   0.018014  0.017515      6.84     6.48
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES     2.4485             0.009452   0.009194   0.008932   0.008667  0.008399      3.32     3.14
Bank of America Corp.    06048WTR1 10/28/16 10/28/26    100.000    VARIES     2.1950      0.53   0.008471   0.008137   0.007800   0.007459  0.007114      2.95     2.70
BANK OF AMERICA CORP     06048WUR9 08/25/17 08/25/29    100.000    VARIES     1.6609                                   0.008636   0.008311  0.007983      1.09     2.97
BANK OF AMERICA CORP     06048WUT5 08/28/17 08/28/27    100.000    VARIES     1.7157                                   0.010992   0.010645  0.010296      1.35     3.81
BANK OF AMERICA CORPORAT 06050R205 04/01/11 04/04/17    100.000    VARIES     3.9581    227.59   0.109948                                                10.23         
BANK OF AMERICA CORPORAT 06050R403 05/05/11 05/05/17    100.000    VARIES     3.9790    225.03   0.110528                                                13.71         
BANK OF AMERICA CORPORAT 06050R783 07/01/11 06/30/17    100.000    VARIES     3.8553    212.02   0.107086                                                19.17         
Bank of America Corp.    06051N112 07/01/11 06/30/17    100.000     0.000     3.8315             0.130398                                                23.47         
Bank of America Corp.    06051N153 08/04/11 07/28/17    100.000     0.000     3.7887             0.126887   0.129291                                     26.70         
Bank of America Corp.    06051N427 09/16/11 09/29/17    100.000     0.000     4.4514             0.154343   0.157778                                     41.98         
Bank of America Corp.    06051N518 10/06/11 09/29/17    100.000     0.000     5.1704             0.185199   0.189986                                     50.50         
Bank of America Corp.    06051N658 11/03/11 10/27/17    100.000     0.000     4.7611             0.167200   0.171181                                     50.21         
Bank of America Corp.    06051P448 02/02/12 01/27/17    100.000     0.000     4.0039             0.132866                                                 3.45         
Bank of America Corp.    06051P513 03/01/12 02/24/17    100.000     0.000     3.8488             0.126825                                                 6.72         
Bank of America Corp.    06051P521 03/01/12 02/23/17    100.000     0.000     3.8618             0.127312                                                 6.62         
Bank of America Corp.    06051P760 04/05/12 04/02/18    100.000     0.000     3.7916             0.124677   0.127041   0.129449                          45.73    11.78
Bank of America Corp.    06051R345 07/06/12 06/29/18    100.000     0.000     3.5615             0.115884   0.117947   0.120048                          42.10    21.37
Bank of America Corp.    06051R527 08/02/12 07/27/18    100.000     0.000     3.0742             0.096438   0.097921   0.099426   0.100954               35.44    20.76
Bank of America Corp.    06051R774 05/03/12 04/27/18    100.000     0.000     3.9752             0.131735   0.134353   0.137023                          48.23    15.89
Bank of America Corp.    06051R881 06/01/12 05/25/18    100.000     0.000     4.1954             0.140385   0.143330   0.146337                          51.28    21.07
Bank of America Corp.    06052R666 02/03/11 02/02/18    100.000     0.000     4.4999             0.159641   0.163233   0.166906                          59.20     5.17
Bank of America Corp.    06053D195 09/07/12 08/31/18    100.000     0.000     2.8935             0.089616   0.089430   0.092228   0.092037               33.00    22.28
Bank of America Corp.    06053D559 11/02/12 10/26/18    100.000     0.000     2.2130             0.067105   0.067847   0.068598   0.069357               24.39    20.37
Bank of America Corp.    06053D872 01/10/13 12/26/18    100.000     0.000     2.0976             0.063287   0.063951   0.064622   0.065299               22.91    23.06
Bank of America Corp.    06053E391 02/28/13 02/22/19    100.000     0.000     2.1320             0.063755   0.064435   0.065122   0.065816  0.066517     23.25    23.75
Bank of America Corp.    06053E599 04/05/13 03/29/19    100.000     0.000     2.2115             0.066323   0.067056   0.067797   0.068547  0.069305     24.14    24.68
Bank of America Corp.    06053E755 06/06/13 05/31/19    100.000     0.000     2.3276             0.070083   0.070899   0.071724   0.072559  0.073403     25.43    26.02
Bank of America Corp.    06053F638 10/04/13 09/24/19    100.000     0.000     2.9627             0.089817   0.091147   0.092497   0.093868  0.095258     32.83    33.81
Bank of America Corp.    06053M427 09/05/14 08/27/21    100.000     0.000     2.9178             0.085830   0.087082   0.088353   0.089642  0.090949     31.44    32.36
Bank of America Corp.    06053M518 10/02/14 09/24/21    100.000     0.000     3.1046             0.091658   0.093081   0.094526   0.095993  0.097483     33.53    34.58
Bank of America Corp.    06053M534 11/06/14 10/29/21    100.000     0.000     2.9616             0.087199   0.088490   0.089801   0.091130  0.092480     31.79    32.73
Bank of America Corp.    06053M674 12/03/14 11/24/21    100.000     0.000     2.8708             0.084362   0.085573   0.086801   0.088047  0.089311     30.68    31.57
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000     3.3492             0.097913   0.099552   0.101220   0.102915  0.104638     35.96    37.17
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000     2.5377             0.073174   0.074102   0.075043   0.075995  0.076959     26.80    27.48
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000     2.7072             0.078255   0.079315   0.080388   0.081476  0.082579     28.57    29.35
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000     2.8843             0.083591   0.084796   0.086019   0.087259  0.088518     30.39    31.28
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000     3.1925             0.092931   0.094415   0.095922   0.097453  0.099008     33.74    34.83
Bank of America Corp.    06053W631 08/10/15 08/27/21    100.000     0.000     2.7830             0.079575   0.080683   0.081805   0.082944  0.084098     29.12    29.94
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000     3.0325             0.086926   0.088244   0.089582   0.090940  0.092319     31.86    32.84
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000     2.9206             0.082590   0.083338   0.085019   0.085790  0.087521     30.51    31.41
Bank of America Corp.    06053W888 10/23/15 10/28/22    100.000     0.000     2.9889             0.085559   0.086838   0.088136   0.089453  0.090789     31.19    32.13
Bank of America Corp.    06053Y330 12/02/15 11/30/18    100.000     0.000     1.8674             0.052260   0.052460   0.053241   0.053444               19.14    17.77
Barclays Bank PLC        067387HP8 02/28/14 02/29/20    100.000     0.000     2.6300             0.077557   0.077296   0.079610   0.079342  0.081718     28.51    29.27
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000     3.5500             0.107680   0.109591   0.111536   0.113516  0.115531     39.47    40.88
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000     3.6100             0.109661   0.111640   0.113655   0.115706  0.117795     40.16    41.62
Barclays Bank PLC        06738CZX0 03/09/07 03/09/17    100.000     0.000     5.5900             0.262166                                                17.83         
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES     3.8891             0.110414   0.110400   0.110386   0.110372  0.110358     39.75    39.74
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES     4.0513             0.116333   0.116040   0.115741   0.115308  0.114866     41.77    41.51
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES     4.2147             0.122356   0.122114   0.121867   0.121614  0.121356     43.97    43.79
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES     4.0417             0.116608   0.116243   0.115870   0.115370  0.114860     41.85    41.54
Barclays Bank PLC        06738JL28 03/24/11 03/24/21    100.000    VARIES     4.4416             0.126574   0.126763   0.126957   0.127155  0.127357     45.64    45.78
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25**  100.000    VARIES     3.9434             0.000000   0.000000   0.000000   0.000000  0.000000      0.00**   0.00
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES     4.0317             0.116336   0.115987   0.115630   0.115151  0.114662     41.77    41.47
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES     4.2148             0.122407   0.122163   0.121914   0.121660  0.121400     43.98    43.80
Barclays Bank PLC        06738JMB7 08/19/10 08/19/22    100.000    VARIES     4.2846    275.18   0.121004   0.121067   0.121132   0.121049  0.120964     43.59    43.57
Barclays Bank PLC        06738K3N9 04/25/12 04/25/17    100.000     0.000     3.1701             0.101446                                                11.56         
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES     5.5651             0.122786   0.123380   0.123991   0.124618  0.125640     44.46    44.96
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES     4.8413             0.137013   0.136876   0.136649   0.136418  0.136129     49.25    49.08
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES     4.8210             0.136421   0.136301   0.136087   0.135867  0.135582     49.05    48.90
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES     5.1731             0.153498   0.152733   0.151949   0.150859  0.149740     54.95    54.26
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES     5.0807             0.144366   0.144257   0.143956   0.143647  0.143245     51.92    51.71
Barclays Bank PLC        06738KGD7 04/07/11 04/12/17    100.000     0.000     3.8999             0.134044                                                13.54         
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES     4.6809             0.132303   0.132226   0.132046   0.131861  0.131599     47.60    47.48
Barclays Bank PLC        06738KK75 01/25/12 01/25/19    100.000     0.000     4.4001             0.148667   0.151938   0.155280   0.158697  0.162188     55.14    57.59
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES     4.8717             0.139958   0.139896   0.139674   0.139446  0.139109     50.37    50.24
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES     4.8123             0.137701   0.137448   0.137189   0.136847  0.136497     49.45    49.22
Barclays Bank PLC        06738KN56 02/29/12 02/28/18    100.000     0.000     3.1971             0.101866   0.101807   0.105148                          37.57     6.10
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES     4.0104             0.111537   0.109768   0.111555   0.109704  0.111448     40.39    40.36
Barclays Bank PLC        06738KNF4 07/29/11 07/31/17    100.000     0.000     3.5900             0.119165   0.121304                                     25.29         
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500     4.1087             0.134264   0.136737   0.139261   0.141837  0.144465     49.46    51.31
Barclays Bank PLC        06738KQF1 08/31/11 08/31/17    100.000     0.000     3.9281             0.131810   0.132207                                     31.97         
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES     6.1336             0.140323   0.139063   0.142445   0.141214  0.144698     51.25    52.04
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES     4.6124             0.133815   0.133672   0.133526   0.133100  0.132664     48.11    47.87
Barclays Bank PLC        06738KR78 03/16/12 03/30/17    100.000     0.000     4.4001             0.148922                                                13.25         
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES     5.4570             0.134226   0.135188   0.136177   0.137192  0.138235     48.67    49.39
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KU33 03/06/12 03/06/17    100.000     0.000     2.8900             0.091344                                                 5.94         
Barclays Bank PLC        06738KUD1 09/30/11 09/29/17    100.000     0.000     3.9800             0.134618   0.137297                                     36.56         
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES     5.2986             0.132738   0.133534   0.134351   0.135189  0.136050     48.08    48.67
Barclays Bank PLC        06738KW98 05/09/12 04/14/17    100.000     0.000     2.0400             0.061999                                                 6.39         
Barclays Bank PLC        06738KWV9 09/30/11 10/03/17    100.000     0.000     3.9900             0.135084   0.137779                                     37.23         
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES     4.5597             0.115569   0.114637   0.117526   0.116606  0.119574     42.13    42.85
BARCLAYS BANK PLC        06739FJA0 12/18/15 12/19/22    100.000     0.125     2.3109     24.09   0.065606   0.066323   0.067050   0.067784  0.068527     23.76    24.29
BARCLAYS BANK PLC        06739FJF9 03/11/16 03/13/23    100.000     0.125     2.2608     18.29   0.063478   0.064156   0.064842   0.065536  0.066237     23.12    23.62
Barclays Bank PLC        06739JYA5 09/30/09 09/30/19    100.000    VARIES     5.0571             0.133544   0.134398   0.135274   0.136337  0.137426     48.39    49.09
Barclays Bank PLC        06740AC49 09/30/13 09/27/19    100.000     0.000     2.5800             0.076950   0.076672   0.078948   0.078663  0.080998     28.23    28.96
Barclays Bank PLC        06740AE21 10/31/13 10/30/19    100.000     0.000     2.5111             0.074344   0.074867   0.076223   0.076758  0.078149     27.35    28.04
Barclays Bank PLC        06740AF38 11/29/13 11/26/19    100.000     0.000     2.5599             0.076308   0.076025   0.078274   0.077983  0.080291     27.87    28.59
Barclays Bank PLC        06740AH69 12/30/13 12/27/19    100.000     0.000     2.8199             0.084240   0.084960   0.086632   0.087373  0.089092     30.89    31.77
Barclays Bank PLC        06740AL80 02/28/14 02/27/20    100.000     0.000     2.6775             0.077756   0.080103   0.079852   0.082262  0.082004     29.07    29.86
Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES     3.2529             0.093474   0.092224   0.093716   0.092152  0.093394     33.92    33.88
Barclays Bank PLC        06740AWF2 10/31/12 10/30/19    100.000     0.000     2.2609             0.067952   0.068345   0.069497   0.069898  0.071077     24.97    25.54
Barclays Bank PLC        06740AYA1 02/28/13 02/27/20    100.000     0.000     2.1583             0.063222   0.064963   0.064594   0.066373  0.065995     23.57    24.08
Barclays Bank PLC        06740AYT0 04/30/13 04/29/20    100.000     0.000     2.0500             0.060483   0.060769   0.061729   0.062021  0.063001     22.21    22.67
Barclays Bank PLC        06740AZZ5 07/31/13 07/30/19    100.000     0.000     2.6012             0.076376   0.078652   0.078376   0.080711  0.080428     28.60    29.35
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000     2.2500             0.064629   0.065356   0.066091   0.066835  0.067587     23.61    24.15
Barclays Bank PLC        06740H286 05/21/10 05/24/17    100.000     2.500     4.9968             0.165070                                                23.61         
Barclays Bank PLC        06740JM98 03/10/10 03/10/17    100.000    VARIES     4.4514             0.124125                                                 8.56         
Barclays Bank PLC        06740JRD4 01/27/10 01/27/17    100.000    VARIES     4.3945             0.123940                                                 3.22         
Barclays Bank PLC        06740JTK6 02/08/10 02/08/17    100.000    VARIES     4.5813             0.127653                                                 4.72         
Barclays Bank PLC        06740PBC9 06/24/10 06/26/18    100.000     0.000     4.9700             0.190001   0.194722   0.199561                          69.30    34.92
Barclays Bank PLC        06740PBE5 06/25/10 06/25/17    100.000     1.000     4.7052             0.167027                                                29.06         
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES     5.0547             0.151224   0.150127   0.149002   0.147753  0.146473     53.85    52.97
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES     4.9296             0.105784   0.105773   0.105761   0.106462  0.107180     38.08    38.25
Barclays Bank PLC        06740PKG0 08/16/10 08/16/17    100.000    VARIES     3.6632             0.104631   0.103206                                     23.29         
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES     4.6824             0.135058   0.134689   0.134312   0.133740  0.133154     48.53    48.21
Barclays Bank PLC        06740PMM5 08/27/10 08/29/18    100.000     0.000     3.8101             0.130584   0.133802   0.135606   0.138949               48.88    33.15
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES     4.4380             0.106337   0.106769   0.107212   0.107898  0.108599     38.45    38.87
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES     4.3098             0.126535   0.125831   0.125112   0.124378  0.123628     45.25    44.72
Barclays Bank PLC        06740PQH2 09/30/10 09/29/17    100.000     0.000     3.3901             0.115202   0.117155                                     31.23         
Barclays Bank PLC        06740PSZ0 10/13/10 10/13/17    100.000     0.750     3.3000             0.107039   0.108461                                     30.44         
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES     5.2624             0.125510   0.126037   0.126578   0.127647  0.128744     45.28    45.76
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES     4.6203             0.129070   0.129188   0.129307   0.129430  0.129555     46.50    46.59
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES     4.7399             0.107645   0.107879   0.108119   0.109067  0.110037     38.84    39.27
Barclays Bank PLC        06740PX43 12/17/10 12/19/18    100.000     0.000     4.6600             0.170698   0.174675   0.178745   0.182910               62.26    62.95
Barclays Bank PLC        06740PX50 12/17/10 12/19/18    100.000     0.000     4.6600             0.170698   0.174675   0.178745   0.182910               62.26    62.95
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES     5.6003             0.123050   0.123952   0.124879   0.126582  0.128333     44.46    45.27
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES     4.9825             0.143657   0.143506   0.143143   0.142770  0.142190     51.60    51.31
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES     5.5228             0.133856   0.134274   0.134703   0.135145  0.135822     48.39    48.74
Barclays Bank PLC        06741JS59 05/20/14 05/20/21    100.000     0.000     2.7400             0.081469   0.082585   0.083716   0.084863  0.086026     29.62    30.44
Barclays Bank PLC        06741JV30 07/23/14 07/23/21    100.000     0.000     2.8400             0.083465   0.084650   0.085852   0.087071  0.088308     30.64    31.51
Barclays Bank PLC        06741JV89 08/18/14 08/18/21    100.000     0.000     2.8000             0.082226   0.083377   0.084544   0.085728  0.086928     30.12    30.97
Barclays Bank PLC        06741L427 03/02/12 03/05/18    100.000     0.000     3.2000             0.102565   0.104206   0.105874                          37.60     6.78
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES     3.0513             0.087810   0.088091   0.088375   0.088664  0.088851     31.70    31.90
Barclays Bank PLC        06741T2A4 11/29/13 11/29/18    100.000     0.000     2.1200             0.062735   0.063400   0.064072   0.064751               22.75    21.14
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES     4.3876             0.096290   0.093769   0.091194   0.091235  0.091278     34.17    32.84
Barclays Bank PLC        06741T3M7 12/27/13 12/27/28    100.000    VARIES     4.2827             0.098517   0.096339   0.094114   0.094346  0.094582     35.06    33.92
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES     4.0797             0.095055   0.092019   0.092003   0.088956  0.090612     33.76    32.85
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES     4.1532             0.097789   0.094051   0.090236   0.086341  0.082366     33.83    31.05
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250     3.4337             0.103237   0.104891   0.106572   0.108283  0.110022     37.85    39.08
Barclays Bank PLC        06741TEH6 08/20/12 08/22/17    100.000     0.000     2.7100             0.083848   0.084984                                     19.57         
Barclays Bank PLC        06741TFL6 10/30/12 10/30/17    100.000     0.000     1.7610             0.052469   0.052931                                     15.77         
Barclays Bank PLC        06741TGD3 09/20/12 09/20/19    100.000     0.000     2.6499             0.081784   0.082867   0.083965   0.085078  0.086205     29.86    30.65
Barclays Bank PLC        06741TL70 09/19/13 09/21/20    100.000     0.000     3.1924             0.097535   0.099092   0.100673   0.102280  0.103913     35.71    36.86
Barclays Bank PLC        06741TM79 09/27/13 09/27/19    100.000     0.000     2.7613             0.083279   0.084428   0.085594   0.086776  0.087974     30.40    31.25
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES     3.9299             0.060301   0.059203   0.059718   0.060891  0.062087     21.45    21.95
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES     3.9300             0.059958   0.059008   0.059718   0.060891  0.062088     21.39    21.93
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES     3.5338             0.078042   0.075581   0.075381   0.075178  0.074972     27.43    27.07
Barclays Bank PLC        06741TRW9 04/30/13 04/30/20    100.000     0.000     2.1700             0.065008   0.065713   0.066426   0.067147  0.067875     23.62    24.13
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES     3.7861             0.076959   0.073510   0.072874   0.072226  0.071565     26.79    26.02
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES     3.2563             0.063992   0.063716   0.064436   0.065486  0.066552     23.01    23.49
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES     3.4200             0.057023   0.055944   0.056163   0.057123  0.058100     20.28    20.50
Barclays Bank PLC        06741TV38 10/31/13 10/31/18    100.000     0.000     2.1200             0.062734   0.063399   0.064071   0.064750               22.79    19.28
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES     3.5100             0.057715   0.056619   0.056856   0.057854  0.058869     20.55    20.71
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES     3.6856             0.067517   0.063426   0.063275   0.063121  0.062964     23.51    22.75
Barclays Bank PLC        06741TXA0 06/28/13 06/30/20    100.000     0.000     2.9922             0.092238   0.093618   0.095019   0.096440  0.097883     33.46    34.47
BARCLAYS BANK PLC        06741TXZ5 07/31/13 07/30/20    100.000     0.250     2.9327    104.32   0.088266   0.089459   0.090669   0.091896  0.093142     32.35    33.24
BARCLAYS BANK PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES     3.9848    122.04   0.082228   0.078746   0.076647   0.075691  0.075670     28.10    27.27
BARCLAYS BANK PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES     4.2320    123.59   0.081564   0.077533   0.074705   0.072871  0.071855     27.70    26.18
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250     3.5547             0.108977   0.110791   0.112637   0.114515  0.116427     40.11    41.46
Barclays Bank PLC        06741U2A1 12/31/15 12/31/21    100.000     0.000     2.5800             0.073528   0.074476   0.075437   0.076410  0.077396     26.64    27.33
Barclays Bank PLC        06741UAU8 03/28/14 06/30/20    100.000     0.000     2.8996             0.087197   0.088461   0.089744   0.091045  0.092365     31.62    32.54
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES     3.4516             0.077360   0.073633   0.069841   0.065983  0.065846     26.68    24.18
Barclays Bank PLC        06741UBK9 04/30/14 04/30/29    100.000    VARIES     3.9399             0.096052   0.095159   0.094249   0.093321  0.093568     34.31    33.72
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES     3.4912             0.100041   0.100285   0.100310   0.100336  0.100221     36.08    36.11
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES     3.8795             0.091595   0.088957   0.086268   0.083526  0.083329     32.33    30.47
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES     3.8226             0.092684   0.089146   0.085541   0.081867  0.078122     31.64    29.00
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES     3.8919             0.094510   0.092684   0.090822   0.088924  0.086989     33.14    31.78
Barclays Bank PLC        06741UFY5 07/30/14 07/29/21    100.000     0.000     2.8200             0.082839   0.084007   0.085191   0.086393  0.087611     30.39    31.25
Barclays Bank PLC        06741UGX6 08/29/14 08/28/29    100.000    VARIES     3.7703             0.095631   0.094219   0.092780   0.091314  0.089821     33.82    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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES     3.7464             0.092821   0.091281   0.089713   0.088115  0.086487     32.85    31.71
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES     3.5915             0.089414   0.087412   0.085373   0.085114  0.084851     31.58    30.66
Barclays Bank PLC        06741UMK7 12/04/14 12/06/21    100.000     0.000     2.6300             0.076986   0.077998   0.079024   0.080063  0.081116     27.95    28.69
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000     2.6399             0.076302   0.077309   0.078330   0.079364  0.080411     27.91    28.65
Barclays Bank PLC        06741UVZ4 05/19/15 02/18/20    100.000     0.000     2.2397             0.063966   0.064683   0.065407   0.066139  0.066880     23.35    23.87
Barclays Bank PLC        06741VAN2 09/30/16 09/29/23    100.000     0.000     2.2200      5.61   0.061667   0.062347   0.063039   0.063739  0.064447     22.45    22.95
Barclays Bank PLC        06741VAY8 09/30/16 09/30/21    100.000     0.000     2.0500      5.18   0.056944   0.057528   0.058118   0.058713  0.059315     20.71    21.14
Barclays Bank PLC        06741VCG5 10/31/16 10/31/23    100.000     0.000     2.5499      4.32   0.070832   0.071735   0.072649   0.073576  0.074514     25.77    26.43
Barclays Bank PLC        06741VCH3 10/31/16 10/29/21    100.000     0.000     2.2199      3.76   0.061665   0.062345   0.063037   0.063737  0.064445     22.41    22.91
Barclays Bank PLC        06741VDS8 11/28/16 11/24/23    100.000     0.000     3.0999      2.84   0.086109   0.087414   0.088769   0.090145  0.091542     31.33    32.31
Barclays Bank PLC        06741VE40 11/28/16 11/26/21    100.000     0.000     2.6500      2.43   0.073611   0.074575   0.075564   0.076565  0.077579     26.74    27.45
Barclays Bank PLC        06741VE65 11/28/16 11/26/21    100.000     0.000     2.6500      2.43   0.073611   0.074575   0.075564   0.076565  0.077579     26.74    27.45
Barclays Bank PLC        06741VEJ7 12/30/16 12/29/23    100.000     0.000     3.3400      0.09   0.092778   0.094319   0.095894   0.097495  0.099123     33.68    34.82
Barclays Bank PLC        06741VF64 12/30/16 06/30/20    100.000     0.000     2.6600      0.07   0.073890   0.074873   0.075869   0.076878  0.077900     26.78    27.50
Barclays Bank PLC        06741VFP2 12/30/16 12/30/21    100.000     0.000     2.9701      0.08   0.082502   0.083727   0.084970   0.086232  0.087512     29.92    30.82
Barclays Bank PLC        06741VFX5 12/30/16 12/31/21    100.000     0.000     2.9684      0.16   0.082007   0.081867   0.084459   0.084316  0.086985     29.91    30.80
Barclays Bank PLC        06741VG22 01/31/17 07/30/20    100.000     0.000     2.6421                        0.072985   0.072739   0.074921  0.074673     24.41    27.24
Barclays Bank PLC        06741VG30 01/27/17 01/25/23    100.000     0.000     3.1501                        0.087502   0.088865   0.090264  0.091686     29.44    32.68
Barclays Bank PLC        06741VG55 01/31/17 07/31/19    100.000     0.000     2.1999                        0.061108   0.061780   0.062459  0.063146     20.33    22.57
Barclays Bank PLC        06741VG63 01/31/17 01/31/22    100.000     0.000     2.9201                        0.081113   0.082298   0.083499  0.084718     27.03    30.21
Barclays Bank PLC        06741VHH8 01/27/17 01/27/27    100.000    VARIES     2.3799                        0.009891   0.009472   0.009048  0.008619      3.24     3.20
Barclays Bank PLC        06741VHQ8 02/10/17 02/08/23    100.000     0.000     3.1499                        0.087498   0.088861   0.090260  0.091682     28.28    32.65
Barclays Bank PLC        06741VJB9 02/02/17 02/03/21    100.000     0.000     2.7601             0.076668   0.076674   0.077732   0.078805  0.079892     25.38    28.50
Barclays Bank PLC        06741VJG8 03/03/17 09/03/19    100.000     0.000     2.4698                        0.068607   0.069454   0.070312  0.071180     20.54    25.36
Barclays Bank PLC        06741VJH6 03/03/17 03/03/22    100.000     0.000     2.9401                        0.081669   0.082870   0.084088  0.085324     24.48    30.34
Barclays Bank PLC        06741VJJ2 02/28/17 08/28/23    100.000     0.000     3.1900                        0.088611   0.090024   0.091460  0.092919     27.02    33.02
Barclays Bank PLC        06741VJK9 02/28/17 08/27/20    100.000     0.000     2.6240                        0.072890   0.073830   0.074799  0.075780     22.06    27.00
Barclays Bank PLC        06741VLU4 03/31/17 09/29/20    100.000     0.000     2.6600                        0.073890   0.074868   0.075863  0.076872     20.11    27.32
Barclays Bank PLC        06741VLW0 03/31/17 03/28/24    100.000     0.000     3.2600                        0.090554   0.092014   0.093514  0.095038     24.68    33.68
Barclays Bank PLC        06741VLY6 03/31/17 09/29/23    100.000     0.000     3.2100                        0.089168   0.090591   0.092045  0.093523     24.30    33.14
Barclays Bank PLC        06741VLZ3 04/05/17 04/05/22    100.000     0.000     2.8900                        0.080279   0.081439   0.082616  0.083810     21.45    29.73
Barclays Bank PLC        06741VQP0 04/28/17 10/29/20    100.000     0.000     2.6001             0.072225   0.072230   0.073169   0.074121  0.075084     17.61    26.63
Barclays Bank PLC        06741VQQ8 04/28/17 04/25/24    100.000     0.000     3.0900                        0.085834   0.087138   0.088484  0.089851     20.94    31.79
Barclays Bank PLC        06741VQR6 04/28/17 10/30/23    100.000     0.000     3.1299             0.086942   0.086957   0.088318   0.089700  0.091104     21.21    32.21
Barclays Bank PLC        06741VQS4 05/03/17 05/03/22    100.000     0.000     2.9001                        0.080557   0.081725   0.082910  0.084113     19.24    29.77
Barclays Bank PLC        06741VTV4 05/31/17 11/30/20    100.000     0.000     2.5101                        0.069724   0.070599   0.071485  0.072382     14.74    25.63
Barclays Bank PLC        06741VTW2 05/31/17 05/30/24    100.000     0.000     3.0612                        0.083184   0.085850   0.085743  0.088498     17.97    31.40
Barclays Bank PLC        06741VU83 05/26/17 05/23/24    100.000     0.000     3.0400                        0.084445   0.085707   0.087009  0.088332     18.20    31.19
BARCLAYS BANK PLC        06741VUR1 05/19/17 05/19/27    100.000    VARIES     2.5708                        0.011661   0.011132   0.010597  0.010055      2.57     3.87
BARCLAYS BANK PLC        06741VXA5 06/30/17 06/27/24    100.000     0.000     2.9300                        0.081390   0.082562   0.083772  0.084999     14.74    29.95
BARCLAYS BANK PLC        06741VXB3 06/30/17 06/28/23    100.000     0.000     2.8299                        0.078609   0.079709   0.080837  0.081981     14.23    28.91
BARCLAYS BANK PLC        06741VXC1 06/30/17 12/31/20    100.000     0.000     2.4501                        0.068058   0.068892   0.069736  0.070590     12.32    24.95
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
BARCLAYS BANK PLC        06741VXF4 07/06/17 07/06/22    100.000     0.000     2.7400                                   0.076110   0.077153  0.078210     13.32    27.95
Barclays Bank PLC        06741WCC2 12/30/16 06/28/19    100.000     0.000     2.3902      0.07   0.066393   0.067178   0.067981   0.068793  0.069615     24.05    24.62
Barclays Bank PLC        06741WCJ7 06/05/17 06/03/22    100.000     0.000     2.6701                        0.074169   0.075148   0.076152  0.077168     15.31    27.29
Barclays Bank PLC        06742B329 03/17/14 03/18/19    100.000     0.000     2.2100             0.064860   0.065577   0.066302   0.067034  0.067775     23.63    24.15
Barclays Bank PLC        06742B634 03/05/14 03/05/21    100.000     0.000     2.8400             0.084652   0.085854   0.087073   0.088309  0.089563     30.97    31.86
Barclays Bank PLC        06742W737 06/25/14 06/25/20    100.000     0.000     2.6600             0.078936   0.079986   0.081049   0.082127  0.083220     28.62    29.38
Barclays Bank PLC        06742W752 06/25/14 06/25/21    100.000     0.000     2.8300             0.084331   0.085525   0.086735   0.087962  0.089207     30.59    31.46
Barclays Bank PLC        06742W760 06/25/14 06/25/20    100.000     0.000     2.6600             0.078936   0.079986   0.081049   0.082127  0.083220     28.62    29.38
BARCLAYS BANK PLC        06744C3B5 09/29/17 09/30/24    100.000     0.000     3.1200                                   0.086674   0.088026  0.089399      7.97    31.69
BARCLAYS BANK PLC        06744C3C3 09/29/17 03/31/21    100.000     0.000     2.6100                                   0.072505   0.073451  0.074410      6.67    26.45
BARCLAYS BANK PLC        06744C3D1 10/04/17 10/05/22    100.000     0.000     2.7800                                   0.077228   0.078302  0.079390      6.72    28.18
BARCLAYS BANK PLC        06744C4C2 09/15/17 09/15/27    100.000    VARIES     2.4839                                   0.009665   0.009240  0.008810      1.02     3.31
BARCLAYS BANK PLC        06744C4X6 10/20/17 10/20/37    100.000    VARIES     3.4599                                   0.096109   0.094288  0.092435      6.82    34.01
BARCLAYS BANK PLC        06744C6P1 11/03/17 11/03/22    100.000     0.000     2.6500                                   0.073611   0.074586  0.075575      4.27    26.79
BARCLAYS BANK PLC        06744CAL5 07/31/17 07/31/24    100.000     0.000     3.0701                                   0.085279   0.086588  0.087917     12.88    31.33
BARCLAYS BANK PLC        06744CAM3 07/31/17 01/29/21    100.000     0.000     2.5600                                   0.071112   0.072018  0.072939     10.74    26.04
BARCLAYS BANK PLC        06744CAN1 08/03/17 08/04/22    100.000     0.000     2.6899                                   0.074725   0.075730  0.076749     11.06    27.38
BARCLAYS BANK PLC        06744CBB6 07/28/17 07/25/24    100.000     0.000     3.0200                                   0.083889   0.085135  0.086420     12.84    30.82
BARCLAYS BANK PLC        06744CBC4 07/28/17 07/27/22    100.000     0.000     2.6601                                   0.073891   0.074868  0.075864     11.31    27.08
BARCLAYS BANK PLC        06744CEV9 08/31/17 08/30/24    100.000     0.000     2.9100                                   0.080833   0.081996  0.083202      9.78    29.60
BARCLAYS BANK PLC        06744CEX5 08/31/17 02/26/21    100.000     0.000     2.4699                                   0.068608   0.069436  0.070294      8.30    25.06
BARCLAYS BANK PLC        06744CGK1 08/25/17 08/22/24    100.000     0.000     2.9600                                   0.082221   0.083418  0.084652     10.36    30.13
BARCLAYS BANK PLC        06744CHA2 08/17/17 08/19/21    100.000     0.000     2.5199                        0.069998   0.070007   0.070889  0.071783      9.38    25.60
Bear Stearns Co., Inc.   073928G23 08/31/04 07/01/19     51.530     1.000        N/A             0.118554   0.122092   0.125736   0.129488  0.133353     43.53    46.17
BellSouth                079867AS6 12/13/95 12/15/95     25.235    VARIES     6.8500             0.184749   0.184750   0.184751   0.184752  0.184753     66.51    66.51
Bexar County Housing     08837EAB7 09/28/05 04/01/22     39.225     0.000     5.7501    350.41   0.116939   0.120301   0.123760   0.127318  0.130978     43.32    45.84
BIOMARIN PHARMACEUTICAL  09061GAH4 08/11/17 08/01/24     98.000     0.599     0.8955                                   0.007740   0.007772  0.007807      1.08     2.80
Bond & Fayette CNTYS, IL 097850CS8 05/07/14 12/01/17    107.812    VARIES     1.7341             0.049247   0.048710                                     16.15         
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050     7.2063     36.99   0.018230   0.018887   0.019568   0.020273  0.021003      6.82     7.32
Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18*    98.138     9.625    10.0007             0.276376   0.276827                                     69.73*        
Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18*    98.138     9.625    10.0007             0.276376   0.276827                                     69.73*        
Bumble Bee Holdco S. C.  12046QAC7 03/10/11 03/15/18*    98.138     9.625    10.0007             0.276376   0.276827                                     69.73*        
Burea County SD #84, IL  121012AN8 06/04/10 12/01/17    105.324    VARIES     4.8692             0.136404   0.135836                                     44.91         
Burea County SD #84, IL  121012AP3 06/04/10 12/01/18    105.836    VARIES     5.1195             0.144560   0.143994   0.143414   0.142819               51.91    47.22
Burea County SD #84, IL  121012AQ1 06/04/10 12/01/19    106.299    VARIES     5.3693             0.152743   0.152182   0.151607   0.151016  0.150410     54.85    54.44
Burea County SD #84, IL  121012AR9 06/04/10 12/01/20    104.349    VARIES     5.6693             0.160713   0.160348   0.159972   0.159585  0.159187     57.77    57.50
Burea County SD #84, IL  121012AS7 06/04/10 12/01/21    104.162    VARIES     5.9681             0.169544   0.169215   0.168877   0.168528  0.168169     60.96    60.71
Burea County SD #84, IL  121012AT5 06/04/10 12/01/22    104.788    VARIES     6.1676             0.176263   0.175917   0.175560   0.175191  0.174812     63.37    63.11
Bureau County SD #175, I 121088AP3 09/15/10 12/01/17    106.920    VARIES     4.4822             0.125853   0.125188                                     41.41         
Bureau County SD #175, I 121088AQ1 09/15/10 12/01/18    106.252    VARIES     4.8320             0.136545   0.135985   0.135411   0.134824               49.02    44.58
Bureau County SD #175, I 121088AR9 09/15/10 12/01/19    107.871    VARIES     5.0816             0.145305   0.144656   0.143991   0.143309  0.142609     52.15    51.67
Bureau County SD #175, I 121088AS7 09/15/10 12/01/20    108.435    VARIES     5.2818             0.152301   0.151664   0.151011   0.150341  0.149653     54.68    54.20
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bureau County SD #502, I 121133CK6 10/10/13 12/01/23    100.125    VARIES     4.9874             0.138640   0.138634   0.138628   0.138621  0.138615     49.91    49.90
Bureau County, SD #205,  121133CL4 10/10/13 12/01/29    100.148    VARIES     5.8866             0.163714   0.163709   0.163704   0.163699  0.163693     58.94    58.93
Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17    106.030    VARIES     2.6393             0.074184   0.073752                                     24.40         
Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18    105.273    VARIES     2.9397             0.083092   0.082741   0.082386   0.082025               29.83    27.12
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES     8.9994             0.491425   0.509027   0.527292   0.546378  0.566323    181.16   194.43
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES     8.9994             0.491425   0.509027   0.527292   0.546378  0.566323    181.16   194.43
Caesars Entertainment    127693AC3 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
Caesars Entertainment    127693AF6 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
Caesars Entertainment    127693AG4 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
CaesarsEntertainment     127693AH2 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
California Resources Cor 13057QAG2 12/16/15 12/15/22     63.250     8.000    17.2411     31.74   0.095165   0.103369   0.112280   0.121959  0.132473     36.01    42.49
Carol Stream PK DT, IL   143735LM8 07/15/08 10/01/27     93.383     5.750     6.3511     19.86   0.008393   0.008660   0.008935   0.009218                3.12     3.32
Carol Stream, IL         143735TR9 12/30/11 11/01/17     79.136     0.000     4.0492    175.83   0.108059   0.110247                                     32.81         
Carol Stream, IL         143735TS7 12/30/11 11/01/18     74.017     0.000     4.4493    182.37   0.113178   0.115696   0.118270   0.120901               41.50    35.95
Carol Stream, IL         143735TT5 12/30/11 11/01/19     68.693     0.000     4.8493    186.18   0.116667   0.119495   0.122393   0.125360  0.128400     42.85    44.96
Carol Stream, IL         143735TU2 12/30/11 11/01/20     63.533     0.000     5.1992    186.12   0.117617   0.120674   0.123811   0.127030  0.130332     43.26    45.54
Carol Stream, IL         143735TV0 12/30/11 11/01/21     59.208     0.000     5.3993    180.96   0.114906   0.118008   0.121194   0.124466  0.127826     42.30    44.62
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000     5.5993    175.02   0.111669   0.114795   0.118009   0.121313  0.124709     41.14    43.48
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000     5.7993    168.41   0.107964   0.111095   0.114316   0.117631  0.121042     39.81    42.15
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000     6.0492    161.75   0.104314   0.107469   0.110719   0.114068  0.117518     38.51    40.87
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000     6.1994    153.59   0.099406   0.102487   0.105664   0.108940  0.112316     36.72    39.03
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000     6.3493    145.33   0.094398   0.097395   0.100487   0.103677  0.106968     34.89    37.14
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000     6.4493    136.88   0.089120   0.091994   0.094960   0.098023  0.101183     32.95    35.11
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000     6.5994    128.72   0.084106   0.086881   0.089748   0.092709  0.095768     31.12    33.20
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000     6.6994    120.64   0.079012   0.081659   0.084394   0.087221  0.090143     29.24    31.24
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000     6.7995    112.83   0.074068   0.076586   0.079190   0.081882  0.084666     27.42    29.32
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000     6.8495    105.41   0.069282   0.071655   0.074109   0.076647  0.079272     25.66    27.45
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES     9.9395             1.164973   1.219682   1.277109   1.337391  1.400669    441.12   483.71
Centrus Energy Corp.     15643UAA2 09/30/14 09/30/24     56.492     5.000        N/A             0.281328   0.296909   0.313512   0.331210  0.350082    107.01   119.38
Champaign & Piatt CNTYS, 158087RN8 09/12/13 10/01/19    100.000    VARIES     3.7424             0.103977   0.103974   0.103970   0.103966  0.103963     37.43    37.43
Champaign County, IL     158199AZ2 11/04/15 12/01/19     99.418    VARIES     2.3671             0.067046   0.067265   0.067486   0.067898  0.068316     24.19    24.39
Champaign County, IL     158199BA6 11/04/15 12/01/23    124.115    VARIES        N/A             0.131294   0.129598   0.127868   0.126105  0.124308     46.86    45.61
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES     4.1631             0.113443   0.113318   0.113190   0.113060  0.112927     40.81    40.72
Cheniere Energy, Inc.    16411RAF6 11/28/14 05/28/21    100.000     0.000        N/A             0.149110   0.152745   0.156468   0.160282  0.164189     54.58    57.27
Cheniere Energy, Inc.    16411RAG4 03/09/15 03/15/45     80.000     4.250     5.6397      4.93   0.007867   0.007957   0.008317   0.008412  0.008793      2.94     3.10
Cheniere Energy, Inc.    16411RAH2 11/28/14 05/28/21    100.000     0.000        N/A             0.149110   0.152745   0.156468   0.160282  0.164189     54.58    57.27
Chesapeake Energy Corp.  165167BZ9 05/15/07 05/15/37*   100.000    VARIES     6.7506             0.291298   0.298786                                     59.65*        
Chesapeake Energy Corp.  165167CA3 08/14/07 05/15/37*    97.625    VARIES     8.0009             0.374366   0.386564                                     76.84*        
Chesapeake Energy Corp.  165167CB1 05/27/08 12/15/38    100.000    VARIES     8.0008             0.374929   0.387428   0.400426   0.413945  0.428004    137.63   147.03
Chesapeake Energy Corp.  165167CQ8 12/23/15 12/15/22     48.000     8.000    23.5159     35.91   0.112288   0.124805   0.140246   0.155880  0.175165     43.75    54.64
Christian & Sangamon CNT 170592BD0 03/28/13 12/01/17    111.388    VARIES     2.2261             0.063372   0.062609                                     20.78         
Christian & Sangamon CNT 170592BE8 03/28/13 12/01/18    110.855    VARIES     2.4788             0.071554   0.070892   0.070221   0.069542               25.60    23.05
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Christian & Sangamon CNT 170592BF5 03/28/13 12/01/19    110.619    VARIES     2.7793             0.081002   0.080390   0.079770   0.079142  0.078504     29.01    28.57
Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20    109.831    VARIES     3.0795             0.090083   0.089546   0.089000   0.088445  0.087882     32.30    31.91
Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21    107.041    VARIES     3.3309             0.096412   0.096051   0.095685   0.095312  0.094933     34.62    34.36
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES     3.5341             0.097728   0.097761   0.097795   0.097830  0.097865     35.19    35.21
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES     3.6841             0.101809   0.101842   0.101876   0.101910  0.101946     36.66    36.68
CHRISTIAN SHELBY & MONTG 170790DG1 06/06/17 12/01/18    102.037     3.500     2.0656                        0.058546   0.059134   0.059745               12.02    19.62
CHRISTIAN SHELBY & MONTG 170790DH9 06/06/17 12/01/19    103.005     3.500     2.2277                        0.063739   0.064429   0.065147  0.062654     13.09    23.27
CHRISTIAN SHELBY & MONTG 170790DJ5 06/06/17 12/01/20    104.148     3.750     2.4806                        0.071765   0.072631   0.073531  0.070603     14.74    26.25
CHRISTIAN SHELBY & MONTG 170790DK2 06/06/17 12/01/21    101.259     3.000     2.6866                        0.075567   0.076554   0.077582  0.075297     15.52    27.71
Citigroup Inc.           17298C2B3 09/30/15 09/29/22    100.000     0.000     3.0163             0.086327   0.087629   0.088950   0.090292  0.091653     31.55    32.51
Citigroup Inc.           17298C2C1 09/30/15 09/29/22    100.000     0.000     3.0163             0.086327   0.087629   0.088950   0.090292  0.091653     31.55    32.51
Citigroup Inc.           17298C2N7 10/02/15 10/02/20    100.000     0.000     2.5622             0.073009   0.073944   0.074891   0.075851  0.076823     26.62    27.31
Citigroup Inc.           17298C2U1 11/03/15 05/04/21    100.000     0.250     2.7771             0.079111   0.080113   0.081129   0.082159  0.083203     28.78    29.51
Citigroup Inc.           17298C2Z0 10/30/15 11/01/22    100.000     0.000     2.9688             0.084941   0.086202   0.087482   0.088780  0.090098     30.96    31.88
Citigroup Inc.           17298C3A4 10/30/15 11/01/22    100.000     0.000     2.9688             0.084941   0.086202   0.087482   0.088780  0.090098     30.96    31.88
Citigroup Inc.           17298C3F3 10/28/15 10/28/25    100.000    VARIES     2.3916             0.009359   0.009109   0.008856   0.008599  0.008340      3.29     3.11
Citigroup Inc.           17298C3R7 11/05/15 11/05/20    100.000     0.000     2.6408             0.075306   0.076300   0.077308   0.078328  0.079363     27.40    28.13
Citigroup Inc.           17298C3Z9 11/30/15 05/27/21    100.000     0.250     2.8050             0.079905   0.080928   0.081965   0.083018  0.084085     29.02    29.77
Citigroup Inc.           17298C4A3 11/30/15 11/30/22    100.000     0.000     3.0605             0.087636   0.088977   0.090339   0.091721  0.093125     31.87    32.86
Citigroup Inc.           17298C4B1 11/30/15 11/30/22    100.000     0.000     3.0605             0.087636   0.088977   0.090339   0.091721  0.093125     31.87    32.86
Citigroup Inc.           17298C4W5 12/31/15 01/05/23    100.000     0.000     3.1984             0.090306   0.091750   0.093218   0.094708  0.096223     33.28    34.36
Citigroup Inc.           17298C4Z8 12/28/15 06/25/21    100.000     0.250     2.8488             0.081187   0.082245   0.083317   0.084405  0.085508     29.43    30.20
Citigroup Inc.           17298C5L8 02/01/16 07/30/21    100.000     0.250     2.9080     26.82   0.081845   0.082934   0.084039   0.085160  0.086297     29.99    30.80
Citigroup Inc.           17298C5U8 01/29/16 01/31/23    100.000     0.000     3.1492     29.34   0.088871   0.090270   0.091692   0.093135  0.094602     32.67    33.71
Citigroup Inc.           17298C6K9 01/29/16 01/29/26    100.000    VARIES     2.4179      4.90   0.014568   0.014189   0.013806   0.013418  0.013026      5.06     4.78
Citigroup Inc.           17298C6X1 02/29/16 03/01/23    100.000     0.000     2.8956     24.35   0.081603   0.082784   0.083983   0.085199  0.086432     29.88    30.75
Citigroup Inc.           17298C6Y9 02/29/16 08/27/21    100.000     0.250     2.7865     23.42   0.078367   0.079362   0.080371   0.081394  0.082431     28.64    29.37
Citigroup Inc.           17298C6Z6 02/29/16 03/01/23    100.000     0.000     2.8956     24.35   0.081603   0.082784   0.083983   0.085199  0.086432     29.88    30.75
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES     2.6421             0.010951   0.010685   0.010417   0.010144  0.009868      3.87     3.68
Citigroup Inc.           17298CAP3 05/28/15 05/26/22    100.000     0.000     3.0095             0.087413   0.088728   0.090063   0.091418  0.092794     31.80    32.76
Citigroup Inc.           17298CAQ1 05/28/15 05/26/22    100.000     0.000     3.0095             0.087413   0.088728   0.090063   0.091418  0.092794     31.80    32.76
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES     4.3835             0.111278   0.107629   0.106171   0.104681  0.103158     39.23    37.85
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES     2.5639             0.007357   0.007138   0.006916   0.006691  0.006777      2.59     2.44
Citigroup Inc.           17298CB56 04/04/16 10/05/21    100.000     0.250     2.6050     19.39   0.073217   0.074080   0.074955   0.075840  0.076738     26.66    27.30
Citigroup Inc.           17298CB64 04/04/16 04/05/21    100.000     0.000     2.4511     18.25   0.068927   0.069771   0.070626   0.071492  0.072368     25.11    25.73
Citigroup Inc.           17298CBM9 06/30/15 12/30/20    100.000     0.250     2.7900             0.080494   0.081520   0.082560   0.083615  0.084685     29.16    29.91
Citigroup Inc.           17298CBT4 06/30/15 06/30/22    100.000     0.000     3.2000             0.093224   0.094716   0.096231   0.097771  0.099335     33.83    34.92
Citigroup Inc.           17298CBV9 06/30/15 06/30/22    100.000     0.000     3.2000             0.093224   0.094716   0.096231   0.097771  0.099335     33.83    34.92
Citigroup Inc.           17298CDH8 09/02/15 03/04/21    100.000     0.300     1.6120             0.045370   0.045669   0.045970   0.046273  0.046579     16.46    16.68
Citigroup Inc.           17298CDJ4 08/31/15 08/31/22    100.000     0.000     3.1499             0.089776   0.089703   0.092626   0.092551  0.095567     33.11    34.16
Citigroup Inc.           17298CDK1 08/31/15 08/31/22    100.000     0.000     3.1499             0.089776   0.089703   0.092626   0.092551  0.095567     33.11    34.16
Citigroup Inc.           17298CDV7 10/02/15 04/01/21    100.000     0.250     2.6650             0.075822   0.076740   0.077670   0.078613  0.079568     27.63    28.30
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES     4.5064             0.112911   0.112713   0.112511   0.112304  0.112093     40.59    40.44
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES     4.0094             0.099918   0.098686   0.097429   0.096148  0.094840     35.60    34.69
CItigroup Inc.           1730T02E8 10/31/14 05/01/20    100.000     0.000     2.5468             0.074424   0.075372   0.076331   0.077303  0.078288     27.08    27.77
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES     4.7455             0.122607   0.121536   0.120440   0.119317  0.118168     43.81    43.02
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES     4.2546             0.104163   0.102418   0.100635   0.098815  0.096956     37.06    35.77
Citigroup Inc.           1730T02X6 11/26/14 11/26/29    100.000    VARIES     4.1216             0.107555   0.106972   0.106377   0.105770  0.105151     38.57    38.14
Citigroup Inc.           1730T03C1 11/28/14 05/29/20    100.000     0.000     2.6205             0.076687   0.077691   0.078709   0.079741  0.080785     27.85    28.59
Citigroup Inc.           1730T03G2 12/01/14 12/02/19    100.000     0.000     2.4381             0.071093   0.071960   0.072837   0.073725  0.074624     25.80    26.43
Citigroup Funding, Inc.  1730T03J6 12/29/14 12/29/34    100.000    VARIES     4.3208             0.112354   0.111327   0.110277   0.110833  0.111401     40.26    39.80
Citigroup Inc.           1730T03V9 01/30/15 02/01/22    100.000     0.000     2.8404             0.082316   0.083485   0.084671   0.085873  0.087093     30.20    31.06
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES     3.9694             0.102549   0.101533   0.100496   0.099439  0.101209     36.42    36.10
Citigroup Inc.           1730T03Z0 01/30/15 02/01/22    100.000     0.000     2.8404             0.082316   0.083485   0.084671   0.085873  0.087093     30.20    31.06
Citigroup Inc.           1730T04J5 02/26/15 02/28/22    100.000     0.000     2.2326             0.063771   0.063431   0.065202   0.064855  0.066666     23.39    23.92
Citigroup Inc.           1730T04L0 02/26/15 02/28/22    100.000     0.000     2.2326             0.063771   0.063431   0.065202   0.064855  0.066666     23.39    23.92
Citigroup Inc.           1730T05X3 03/30/15 03/30/22    100.000     0.000     2.9238             0.084830   0.086070   0.087328   0.088605  0.089900     30.99    31.90
Citigroup Inc.           1730T05Y1 03/30/15 03/30/22    100.000     0.000     2.9238             0.084830   0.086070   0.087328   0.088605  0.089900     30.99    31.90
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES     3.1775             0.091124   0.091578   0.091611   0.091644  0.091585     32.93    32.98
Citigroup Inc.           1730T06L8 03/23/15 03/23/22    100.000     0.000     2.8171             0.081607   0.082756   0.083922   0.085104  0.086302     29.81    30.66
Citigroup Inc.           1730T06V6 04/29/15 04/28/22    100.000     0.000     2.7395             0.079261   0.080347   0.081447   0.082563  0.083694     28.87    29.66
Citigroup Inc.           1730T06X2 04/29/15 04/28/22    100.000     0.000     2.7395             0.079261   0.080347   0.081447   0.082563  0.083694     28.87    29.66
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES     2.3818             0.065414   0.065160   0.064902   0.064642  0.064742     23.47    23.31
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES     4.1098             0.106553   0.105721   0.104871   0.104004  0.103541     38.11    37.52
Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES     4.6765             0.109916   0.106984   0.103984   0.103690  0.103389     38.63    37.34
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES     4.5367             0.109364   0.107838   0.106278   0.106442  0.106610     38.95    38.30
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES     4.6216             0.110349   0.108385   0.106375   0.106370  0.106365     39.13    38.29
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000     7.3200    132.73   0.050046   0.051878   0.053777   0.055745  0.057785     18.52    19.90
Citigroup Inc.           1730T0B99 11/14/13 11/14/23    100.000    VARIES     4.0136             0.099511   0.098059   0.096578   0.097104  0.097640     35.42    34.91
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES     5.8404             0.156853   0.156922   0.156994   0.157068  0.157144     56.50    56.55
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES     4.7621             0.115297   0.112518   0.109674   0.109227  0.108769     40.73    39.36
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES     4.7711             0.114234   0.112196   0.110110   0.110261  0.110415     40.61    39.68
Citigroup Inc.           1730T0E88 01/29/14 01/29/29    100.000    VARIES     4.3351             0.104402   0.102435   0.100427   0.098374  0.098479     36.63    35.49
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES     4.6111             0.108170   0.105127   0.102013   0.098828  0.098639     37.46    35.64
Citigroup Inc.           1730T0F38 01/31/14 08/01/19    100.000     0.000     2.5874             0.076649   0.077641   0.078645   0.079663  0.080693     28.07    28.80
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES     4.7124             0.113433   0.111621   0.109767   0.107869  0.108428     40.03    39.00
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES     8.1832             0.203482   0.204665   0.205897   0.207180  0.208515     73.62    74.52
Citigroup Inc.           1730T0H36 02/28/14 08/29/19    100.000     0.000     2.6154             0.076254   0.077676   0.078261   0.079720  0.080322     28.34    29.09
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES     5.9942             0.140020   0.140200   0.140540   0.140891  0.141252     50.47    50.70
Citigroup Inc.           1730T0J83 02/28/14 02/28/19    100.000    VARIES     1.6995             0.045935   0.045293   0.046247   0.045694  0.046699     16.69    16.83
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES     5.3516             0.151046   0.150702   0.150351   0.149990  0.149647     54.31    54.06
Citigroup Inc.           1730T0K99 03/31/14 10/01/19    100.000     0.000     2.7121             0.080590   0.081683   0.082790   0.083913  0.085051     29.41    30.21
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES     4.7846             0.141295   0.140637   0.139737   0.138815  0.137747     50.57    49.92
Citigroup Funding, Inc.  1730T0KG3 09/14/10 09/14/17    100.000    VARIES     2.5063             0.019355   0.019597                                      4.94         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES     2.4351             0.022569   0.022844   0.023122   0.023404  0.023689      8.21     8.41
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES     2.5365             0.025025   0.025343   0.025664   0.025990  0.026319      9.10     9.33
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES     5.1246             0.130103   0.130407   0.130720   0.131040  0.131368     46.92    47.14
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES     4.7109             0.130743   0.130668   0.130591   0.130492  0.130390     47.05    46.99
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES     5.5699             0.124315   0.125122   0.125952   0.126805  0.127681     44.98    45.59
Citigroup Inc.           1730T0L23 03/28/14 03/28/29    100.000    VARIES     4.3743             0.107036   0.105923   0.104787   0.103625  0.103992     38.12    37.44
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES     4.6422             0.112911   0.111138   0.109324   0.107469  0.107784     40.00    38.88
Citigroup Inc.           1730T0L49 03/10/14 03/10/19    100.000    VARIES     1.8994             0.051601   0.051705   0.051942   0.052181  0.052469     18.63    18.80
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES     4.7152             0.112435   0.109522   0.106541   0.103490  0.103291     39.31    37.45
Citigroup Inc.           1730T0L72 03/28/14 03/28/21    100.000    VARIES     3.3141             0.091714   0.091721   0.091728   0.091735  0.091794     33.02    33.03
Citigroup Funding, Inc.  1730T0L98 03/21/14 03/21/24    100.000    VARIES     3.2460             0.079267   0.078146   0.077930   0.077711  0.078082     28.20    28.03
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES     2.2799             0.018872   0.019087   0.019305   0.019525  0.019748      6.85     7.01
Citigroup Inc.           1730T0M63 03/26/14 03/26/29    100.000    VARIES     4.3729             0.110429   0.108707   0.106948   0.105150  0.105164     39.11    38.01
Citigroup Inc.           1730T0M97 04/30/14 10/30/19    100.000     0.000     2.7618             0.082163   0.083297   0.084447   0.085614  0.086796     29.92    30.75
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES     5.0032             0.138849   0.138861   0.138875   0.138888  0.138902     49.99    50.00
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES     1.9785             0.017758   0.017933   0.018111   0.018290  0.018471      6.45     6.58
Citigroup Funding, Inc.  1730T0MQ9 06/29/11 06/27/18    100.000     0.000     3.9200             0.134777   0.137418   0.140112                          49.02    24.66
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES     4.6546             0.129044   0.129070   0.129095   0.129122  0.129149     46.46    46.48
Citigroup Funding, Inc.  1730T0MU0 07/28/11 01/25/17    100.000     0.500     3.3820             0.108533                                                 2.60         
Citigroup Inc.           1730T0N39 04/29/14 04/29/29    100.000    VARIES     4.2731             0.103977   0.102776   0.101550   0.100297  0.100626     37.07    36.28
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES     4.5423             0.109734   0.107493   0.105201   0.102856  0.103038     38.82    37.32
Citigroup Funding, Inc.  1730T0NH8 08/30/11 02/24/17    100.000     0.500     3.8049             0.124661                                                 6.61         
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES     2.3032             0.017028   0.016943   0.017422   0.017335  0.017826      6.25     6.39
Citigroyp Funding, Inc.  1730T0NS4 09/29/11 09/27/17    100.000     0.500     4.1395             0.137942   0.140509                                     37.15         
Citigroup Inc.           1730T0P78 05/30/14 05/30/29    100.000    VARIES     4.1425             0.100176   0.098812   0.097420   0.096000  0.096146     35.73    34.78
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES     4.4254             0.106175   0.103531   0.100829   0.098067  0.097911     37.58    35.71
Citigroup Funding, Inc.  1730T0PD5 10/28/11 10/27/17    100.000     0.500     3.9008             0.128474   0.130709                                     38.43         
Citigroup Funding, Inc.  1730T0QC6 11/28/11 11/28/17    100.000     0.500     4.2510             0.142475   0.145208                                     47.08         
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES     4.4513             0.107337   0.105166   0.102947   0.100678  0.101249     38.19    36.63
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES     4.4526             0.108283   0.106794   0.105272   0.103716  0.103792     38.70    37.61
Citigroup Inc.           1730T0R92 07/02/14 01/02/20    100.000     0.000     2.5296             0.073891   0.074825   0.075772   0.076730  0.077700     27.11    27.80
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES     3.2574             0.077582   0.076781   0.075967   0.075140  0.075285     27.59    27.11
Citigroup Inc.           1730T0S67 06/19/14 06/19/19    100.000    VARIES     0.8120             0.009037   0.009074   0.009111   0.009148  0.009185      3.26     3.29
Citigroup Inc.           1730T0SE0 03/27/13 03/27/18    100.000    VARIES     0.8305             0.008189   0.008223   0.008257                           2.96     0.71
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES     3.4970             0.084239   0.083882   0.083520   0.083151  0.083667     30.22    30.01
Citigroup Inc.           1730T0SX8 04/22/13 04/22/23    100.000    VARIES     1.4141             0.007300   0.007352   0.007404   0.007456  0.007509      2.64     2.68
Citigroup Inc.           1730T0T41 06/19/14 12/19/17    100.000    VARIES     1.7691             0.048592   0.048807                                     16.95         
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES     4.3618             0.107666   0.106962   0.106244   0.105509  0.105201     38.63    38.11
Citigroup Funding, Inc.  1730T0TK5 05/30/13 05/30/33    100.000    VARIES     4.1925             0.097941   0.097459   0.096966   0.096463  0.097320     35.14    34.83
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES     4.2945             0.105145   0.104728   0.104303   0.103868  0.104464     37.76    37.47
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES     4.5398             0.107231   0.105579   0.106117   0.106668  0.107231     38.30    38.30
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES     4.6405             0.113603   0.112274   0.112679   0.113094  0.113518     40.65    40.64
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0U23 07/31/14 01/31/20    100.000     0.000     2.5817             0.075490   0.076464   0.077451   0.078451  0.079464     27.65    28.37
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES     4.3417             0.107988   0.107330   0.106658   0.105972  0.105270     38.56    38.06
Citigroup Inc.           1730T0U56 07/30/14 07/30/29    100.000    VARIES     4.2648             0.110970   0.110268   0.109552   0.108820  0.108073     39.61    39.08
Citigroup Inc.           1730T0U98 07/30/14 07/30/34    100.000    VARIES     4.5843             0.117750   0.116651   0.115527   0.114377  0.113200     41.86    41.03
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES     4.7565             0.117778   0.117829   0.117882   0.117936  0.117991     42.43    42.47
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES     4.4999             0.111227   0.110306   0.109364   0.109712  0.110067     39.56    39.55
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES     4.8333             0.117742   0.115411   0.113024   0.113006  0.112988     41.26    40.68
Citigroup Inc.           1730T0UP2 08/28/13 08/28/18    100.000    VARIES     0.9243             0.011243   0.011295   0.011348   0.011400                4.07     2.70
Citigroup Inc.           1730T0V71 08/28/14 02/29/20    100.000     0.000     2.4724             0.071753   0.071456   0.073538   0.073233  0.075367     26.35    27.01
Citigroup Inc.           1730T0V89 08/29/14 08/29/34    100.000    VARIES     4.6276             0.116355   0.116073   0.114502   0.114167  0.112562     42.19    41.49
Citigroup Inc.           1730T0VC0 09/27/13 09/27/20    100.000    VARIES     3.3025             0.092619   0.092647   0.092676   0.092595  0.092513     33.35    33.33
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES     5.1093             0.122935   0.120565   0.118133   0.118398  0.118670     43.34    42.63
Citigroup Inc.           1730T0VK2 10/08/13 10/08/23    100.000    VARIES     3.9667             0.099453   0.098350   0.097224   0.097665  0.098115     35.42    35.15
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES     4.2433             0.108423   0.108234   0.108041   0.107844  0.107643     38.95    38.81
Citigroup Inc.           1730T0W70 08/28/14 08/30/19    100.000     0.000     2.4762             0.071469   0.071959   0.073250   0.073752  0.075075     26.40    27.05
Citigroup Funding, Inc.  1730T0WF2 02/24/12 02/24/20    100.000    VARIES     2.8625             0.009292   0.009425   0.009560   0.009697  0.009836      3.40     3.50
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES     3.8303             0.107207   0.107352   0.107393   0.107436  0.107382     38.64    38.67
Citigroup Funding, Inc.  1730T0XG9 05/30/12 06/07/18    100.000     0.500     3.6728             0.117780   0.119688   0.121630                          42.84    18.97
Citigroup Inc.           1730T0Y37 10/02/14 04/02/20    100.000     0.000     2.8849             0.084862   0.086086   0.087328   0.088588  0.089866     30.99    31.89
Citigroup Funding, Inc.  1730T0YD5 08/30/12 03/02/18    100.000     0.750     2.7849             0.083981   0.084861   0.085752                          30.60     5.23
Citigroup Inc.           1730T0Z28 10/07/14 10/07/21    100.000     1.000     3.1430             0.091136   0.092132   0.093143   0.094171  0.095214     33.16    33.89
CITIGROUP INC            1730T0Z85 10/08/14 10/07/21    100.000     1.000     3.0942     70.30   0.089625   0.090582   0.091554   0.092541  0.093543     32.60    33.30
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES     1.5729             0.016002   0.016128   0.016255   0.016383  0.016512      5.79     5.88
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES     4.4143             0.115056   0.110167   0.108863   0.103941  0.102394     40.33    38.03
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES     4.4100             0.114937   0.110796   0.110276   0.106110  0.105407     40.62    38.89
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES     4.3723             0.114544   0.110976   0.107329   0.105541  0.103714     39.94    37.99
Citigroup Inc.           1730T3AY9 10/30/15 10/30/35    100.000    VARIES     4.3036             0.112662   0.109109   0.105480   0.104071  0.102632     39.48    37.55
Citigroup Inc.           1730T3AZ6 11/30/15 11/30/35    100.000    VARIES     4.3523             0.114329   0.110936   0.107470   0.106581  0.105673     40.34    38.47
Citigroup Funding, Inc.  17318Q574 10/02/12 09/27/18    100.000     0.000     2.4948             0.076499   0.077453   0.078419   0.079398               27.89    21.04
Citigroup Inc.           17321F755 11/05/13 11/03/22    100.000     0.000     3.6500             0.112987   0.115049   0.117149   0.119287  0.121464     41.29    42.81
Citigroup Inc.           17323P140 03/03/16 09/01/23    100.000     0.000     3.0322     25.25   0.085490   0.086786   0.088102   0.089437  0.090793     31.32    32.28
Citigroup Inc.           17323P249 02/03/16 08/03/23    100.000     0.000     2.9606     27.15   0.083457   0.084693   0.085946   0.087219  0.088510     30.64    31.55
Citigroup Inc.           17323P314 11/24/15 11/26/21    100.000     0.000     2.8522             0.081516   0.082678   0.083857   0.085053  0.086266     29.64    30.49
Citigroup Inc.           17323P363 02/03/16 08/03/23    100.000     0.000     2.9606     27.15   0.083457   0.084693   0.085946   0.087219  0.088510     30.64    31.55
Citigroup Inc.           17323P496 01/05/16 07/06/23    100.000     0.000     3.1941     31.84   0.090151   0.091591   0.093054   0.094540  0.096050     33.22    34.29
Citigroup Inc.           17323Q643 10/05/15 04/04/23    100.000     0.000     3.1923             0.091519   0.092980   0.094464   0.095971  0.097503     33.47    34.54
Citigroup Inc.           17323Q692 09/18/15 03/20/23    100.000     0.000     3.1459             0.090173   0.091591   0.093032   0.094495  0.095982     33.01    34.05
Citigroup Global Markets 17324C2F2 04/29/16 10/29/21    100.000     0.250        N/A     17.71   0.073817   0.074695   0.075585   0.076486  0.077400     26.84    27.49
Citigroup Global Markets 17324C2G0 04/29/16 10/29/21    100.000     0.250     2.6262     17.71   0.073817   0.074695   0.075585   0.076486  0.077399     26.84    27.49
Citigroup Global Markets 17324C2J4 05/24/16 05/24/21    100.000    VARIES     2.5076     15.09   0.069050   0.068435   0.068500   0.068565  0.068685     24.73    24.68
Citigroup Global Markets 17324C2U9 04/28/16 04/28/31    100.000    VARIES     4.2285     28.53   0.117240   0.117018   0.116791   0.116559  0.116508     42.14    41.99
Citigroup Global Markets 17324C2W5 04/28/16 04/28/26    100.000    VARIES     3.4898     23.70   0.096239   0.096082   0.097032   0.096929  0.097535     35.15    35.43
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21    100.000     0.000     2.4478     16.51   0.068831   0.069673   0.070526   0.071389  0.072263     25.03    25.65
Citigroup Global Markets 17324C3D6 05/31/16 12/01/21    100.000     0.400     2.6323     15.45   0.073940   0.074766   0.075604   0.076453  0.077313     26.82    27.42
Citigroup Global Markets 17324C3E4 05/27/16 05/27/21    100.000     0.000     2.5425     15.14   0.071523   0.072432   0.073353   0.074285  0.075229     25.97    26.64
Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22    100.000     0.400     2.3787     11.63   0.066075   0.066721   0.067383   0.068052  0.068729     24.14    24.62
Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21    100.000     0.000     2.2351     10.93   0.062085   0.062767   0.063469   0.064178  0.064895     22.72    23.23
Citigroup Global Markets 17324C6F8 06/27/16 06/27/36    100.000    VARIES     4.1314     21.11   0.114171   0.113570   0.112956   0.112329  0.111894     40.99    40.55
Citigroup Global Markets 17324C6L5 08/30/16 08/30/21    100.000     0.000     2.1695      7.39   0.059602   0.059919   0.060902   0.061226  0.062231     21.97    22.45
Citigroup Global Markets 17324C6M3 08/02/16 02/02/22    100.000     0.300     2.3124      9.57   0.064233   0.064880   0.065534   0.066195  0.066864     23.43    23.91
Citigroup Global Markets 17324CA55 09/02/16 03/03/22    100.000     0.300     2.2650      7.49   0.062920   0.063538   0.064163   0.064796  0.065435     22.91    23.36
Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22    100.000     0.250     2.2317      5.64   0.061992   0.062606   0.063227   0.063855  0.064490     22.54    22.99
Citigroup Global Markets 17324CBD7 11/02/16 05/03/22    100.000     0.250     2.4155      3.96   0.067101   0.067828   0.068563   0.069307  0.070060     24.37    24.90
Citigroup Global Markets 17324CBN5 11/02/16 11/02/21    100.000     0.000     2.3120      3.79   0.064221   0.064964   0.065715   0.066474  0.067243     23.34    23.88
Citigroup Global Markets 17324CC53 11/28/16 05/26/22    100.000     0.250     2.7754      2.54   0.077094   0.078057   0.079044   0.080045  0.081059     28.00    28.71
Citigroup Global Markets 17324CCV6 12/13/16 12/13/46    100.000    VARIES     0.8469      0.23   0.012885   0.012940   0.012995   0.013050  0.013105      4.65     4.69
Citigroup Global Markets 17324CD29 12/28/16 06/27/22    100.000     0.500     3.0613      0.26   0.085036   0.086119   0.087224   0.088347  0.089487     30.82    31.61
Citigroup Global Markets 17324CD52 12/09/16 12/09/36    100.000     0.000     4.5664      2.79   0.126846   0.126173   0.125484   0.124780  0.124059     45.51    45.02
Citigroup Global Markets 17324CDA1 12/30/16 01/02/24    100.000     0.000     3.3300      0.09   0.092500   0.092517   0.094058   0.095624  0.097216     33.58    34.71
Citigroup Global Markets 17324CDP8 01/30/17 07/28/22    100.000     0.500     3.0985                        0.086070   0.087175   0.088311  0.089464     28.66    31.94
Citigroup Global Markets 17324CDY9 01/31/17 01/31/24    100.000     0.000     3.3783                        0.093840   0.095425   0.097037  0.098676     31.30    35.13
Citigroup Global Markets 17324CED4 02/16/17 02/16/27    100.000    VARIES     2.9107                        0.014963   0.014523   0.014076  0.013623      4.65     5.03
Citigroup Global Markets 17324CEW2 02/28/17 08/26/22    100.000     0.750     2.9987                        0.083298   0.084214   0.085164  0.086129     25.19    30.73
Citigroup Global Markets 17324CFE1 03/10/17 03/10/27    100.000    VARIES     2.9100                        0.012389   0.012025   0.011655  0.011280      3.56     4.18
Citigroup Global Markets 17324CGS9 04/28/17 10/28/22    100.000     0.750     2.9296                        0.081378   0.082265   0.083164  0.084077     19.83    29.89
Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27    100.000    VARIES     2.7384                        0.012177   0.011739   0.011296  0.010847      2.87     4.09
Citigroup Global Markets 17324CHX7 05/31/17 05/31/22    100.000     0.000     2.7124                        0.075345   0.076367   0.077402  0.078452     15.93    27.74
Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27    100.000    VARIES     2.7213                        0.009258   0.008817   0.008370  0.007917      2.22     3.04
Citigroup Global Markets 17324CJ64 04/28/17 04/28/27    100.000    VARIES     2.8252                        0.014922   0.014494   0.014060  0.013620      3.60     5.08
CITIGROUP GLOBAL MARKETS 17324CJF4 06/01/17 12/01/22    100.000     0.750     2.8210                        0.078361   0.079173   0.079995  0.080830     16.48    28.70
Citigroup Global Markets 17324CJG2 05/15/17 05/15/37    100.000     5.695     4.4659                        0.124054   0.123292   0.122512  0.121716     28.00    44.17
CITIGROUP GLOBAL MARKETS 17324CJR8 06/30/17 12/30/22    100.000     0.600     2.7880                        0.077444   0.078291   0.079151  0.080022     14.02    28.34
CITIGROUP GLOBAL MARKETS 17324CKB1 07/06/17 07/06/27    100.000    VARIES     2.8475                                   0.016235   0.015766  0.015291      2.84     5.59
CITIGROUP GLOBAL MARKETS 17324CKF2 07/03/17 07/01/22    100.000     0.000     2.7294                        0.075817   0.076840   0.077889               13.50    27.85
CITIGROUP GLOBAL MARKETS 17324CKS4 07/28/17 01/30/23    100.000     0.500     2.8926                                   0.080350   0.081324  0.082300     12.29    29.40
CITIGROUP GLOBAL MARKETS 17324CKX3 08/01/17 08/01/22    100.000     0.000     2.7885                                   0.077458   0.078538  0.079633     11.62    28.41
CITIGROUP GLOBAL MARKETS 17324CLA2 08/02/17 08/02/27    100.000    VARIES     2.7689                                   0.013998   0.013603  0.013203      2.09     4.85
CITIGROUP GLOBAL MARKETS 17324CLB0 09/01/17 03/03/23    100.000     0.500     2.7655                                   0.076818   0.077698  0.078580      9.22    28.02
CITIGROUP GLOBAL MARKETS 17324CLG9 09/01/17 09/01/22    100.000     0.000     2.6788                                   0.074410   0.075407  0.076417      8.93    27.21
CITIGROUP GLOBAL MARKETS 17324CLR5 08/17/17 08/17/27    100.000    VARIES     2.6967                                   0.014604   0.014202  0.013794      1.96     5.08
CITIGROUP GLOBAL MARKETS 17324CLU8 08/25/17 08/25/29    100.000    VARIES     2.5876                                   0.008129   0.007677  0.007219      1.02     2.73
CITIGROUP GLOBAL MARKETS 17324CMJ2 09/21/17 09/21/27    100.000    VARIES     2.7273                                   0.014619   0.014212  0.013800      1.46     5.11
CITIGROUP GLOBAL MARKETS 17324CZZ2 08/31/17 02/28/23    100.000     0.000     2.7931                                   0.077585   0.078657  0.079755      9.39    28.39
Citigroup Global Markets 17324P156 05/05/16 11/03/23    100.000     0.000     2.9324     19.29   0.082636   0.083848   0.085077   0.086324  0.087590     30.11    31.00
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17324P248 06/03/16 12/05/23    100.000     0.000     2.8709     16.62   0.080906   0.082067   0.083246   0.084440  0.085653     29.40    30.25
Citigroup Global Markets 17324P396 08/03/16 02/05/24    100.000     0.000     2.5904     10.65   0.071967   0.072899   0.073843   0.074800  0.075768     26.35    27.04
Citigroup Global Markets 17324P784 10/05/16 04/03/24    100.000     0.000     2.6555      6.34   0.073763   0.074731   0.075723   0.076729  0.077747     26.90    27.62
Citigroup Global Markets 17325E242 01/05/17 07/03/24    100.000     0.000     3.3441                        0.092893   0.094429   0.096008  0.097613     33.34    34.85
Citigroup Global Market  17325E275 03/03/17 03/03/22    100.000     0.000     3.0465                        0.084624   0.085913   0.087222  0.088550     25.37    31.48
Citigroup Global Markets 17325E408 03/01/17 03/01/22    100.000     0.000     2.8923                        0.080342   0.081504   0.082683  0.083879     24.24    29.84
Citigroup Global Markets 17325E804 04/12/17 12/12/24    100.000     0.000     3.3138             0.092049   0.092557   0.094091   0.095650  0.097235     23.97    34.21
Citigroup Global Markets 17325K156 05/24/17 05/24/22    100.000     0.000     2.7177                        0.075490   0.076516   0.077556  0.078610     16.42    27.81
CITIGROUP GLOBAL MARKETS 17325K263 07/06/17 01/03/24    100.000     0.000     3.1136                                   0.086490   0.087814  0.089181     15.14    31.85
CITIGROUP GLOBAL MARKETS 17325K776 08/03/17 02/05/24    100.000     0.000     3.0276                        0.084099   0.084113   0.085386  0.086679     12.45    30.88
CITIGROUP GLOBAL MARKETS 17325K792 09/14/17 09/14/23    100.000     0.000     2.8890                                   0.080251   0.081411  0.082587      8.59    29.35
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510     6.4445     30.46   0.016131   0.016651   0.017188   0.017742  0.018313      5.92     6.31
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510     6.1946     29.24   0.015361   0.015836   0.016327   0.016833  0.017354      5.63     5.99
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510     6.1946     29.24   0.015361   0.015836   0.016327   0.016833  0.017354      5.63     5.99
Clinton Counties, IL     187327AX9 09/10/15 12/01/18    100.000    VARIES     2.4410             0.067818   0.067815   0.067812   0.067809               24.41    22.38
Clinton & Wash CNTYS, IL 187327AY7 09/30/16 12/01/21    110.588     4.750     2.5511      7.12   0.078134   0.077448   0.076753   0.076049  0.075336     27.96    27.46
Clinton & Wash CNTYS, IL 187327AZ4 09/30/16 12/01/20     99.603     2.200     2.3004      5.79   0.063656   0.063685   0.063715   0.063745  0.063775     22.92    22.94
Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22    112.683     5.000     2.7510      7.83   0.085863   0.085134   0.084394   0.083645  0.082885     30.74    30.20
Kaskaskia COMMU College, 187350EV1 02/19/16 12/01/17    103.892     3.875     1.6519     14.80   0.046893   0.046392                                     15.38         
Kaskaskia Community Coll 187350EW9 02/19/16 12/01/18    105.525     4.000     1.9513     17.77   0.056372   0.055838   0.055298   0.054754               20.17    18.15
Kaskaskia Community Coll 187350EX7 02/19/16 12/01/19    106.497     4.000     2.2011     20.24   0.064318   0.063803   0.063283   0.062756  0.062224     23.03    22.66
Coles Counties, IL       193792ER5 11/26/13 12/01/18     99.308    VARIES        N/A             0.087248   0.087310   0.087373   0.087436               31.42    28.84
Coles Counties, IL       193792ET1 11/26/13 12/01/20     99.346    VARIES        N/A             0.106721   0.106770   0.106821   0.106872  0.106924     38.43    38.47
Coles Counties, IL       193792EU8 11/26/13 12/01/21    105.395    VARIES     4.2404             0.121781   0.121418   0.121048   0.120670  0.120283     43.75    43.49
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES     4.3909             0.125850   0.125564   0.125272   0.124973  0.124667     45.24    45.03
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES     4.5919             0.126479   0.126545   0.126612   0.126681  0.126751     45.55    45.60
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES     4.7528             0.130833   0.130906   0.130980   0.131056  0.131134     47.12    47.17
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES     4.9628             0.136541   0.136621   0.136703   0.136786  0.136872     49.17    49.23
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES     5.1717             0.142225   0.142311   0.142399   0.142490  0.142583     51.22    51.29
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES     5.3302             0.146519   0.146611   0.146706   0.146803  0.146903     52.77    52.84
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES     5.4215             0.149544   0.149607   0.149671   0.149738  0.149806     53.85    53.90
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES     5.5264             0.152397   0.152464   0.152532   0.152602  0.152674     54.88    54.93
Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23     99.293    VARIES     5.6308             0.155241   0.155310   0.155381   0.155455  0.155530     55.90    55.95
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES     5.9329             0.163564   0.163636   0.163711   0.163788  0.163868     58.90    58.95
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES     6.2344             0.171873   0.171948   0.172027   0.172107  0.172190     61.89    61.95
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES     6.5352             0.180171   0.180249   0.180330   0.180414  0.180500     64.88    64.94
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES     6.4777             0.204659   0.203235   0.201765   0.200248  0.198682     73.33    72.27
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000    10.5154             1.406191   1.477204   1.551950   1.630626  1.713439    530.09   585.14
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000    10.3811             1.356341   1.423859   1.494882   1.569590  1.648177    506.81   558.66
Compucredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES     9.1299             0.519709   0.529487   0.557639   0.568453  0.599008    192.71   206.85
Compucredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES     9.1299             0.519709   0.529487   0.557639   0.568453  0.599008    192.71   206.85
CompuCredit Corporation  20478NAC4 11/23/05 11/15/35    100.000     5.786        N/A             0.378172   0.393700   0.396777   0.413417  0.416997    143.71   150.95
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
CompuCredit Corporation  20478NAD2 11/23/05 11/15/35    100.000     5.786        N/A             0.378172   0.393700   0.396777   0.413417  0.416997    143.71   150.95
Convergys Corporation    212485AE6 10/13/09 09/15/29    114.396    VARIES    14.1017             0.900626   0.952866   1.008789   1.068656  1.132744    345.09   387.08
Cook County, Illinois    213309KS5 04/28/05 12/01/17     49.824     0.000     5.6096    452.36   0.147435   0.151571                                     49.40         
Cook County, Illinois    213309KT3 04/28/05 12/01/18     46.339     0.000     5.7396    433.87   0.142373   0.146459   0.150662   0.154986               52.24    50.50
Cook County, Illinois    213309KU0 04/28/05 12/01/19     43.603     0.000     5.7697    411.15   0.135127   0.139026   0.143036   0.147163  0.151408     49.58    52.49
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000     5.8197    390.00   0.128512   0.132252   0.136100   0.140061  0.144136     47.17    49.95
COOK CNTY ILL SCH DIST N 214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    144.33   0.076705   0.079351   0.082088   0.084920  0.087850     28.25    30.23
COOK CNTY ILL SCH DIST N 214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    182.30   0.096285   0.099510   0.102844   0.106289  0.109849     35.44    37.85
COOK CNTY ILL SCH DIST N 214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    170.77   0.090335   0.093384   0.096535   0.099793  0.103161     33.26    35.54
COOK CNTY ILL SCH DIST N 214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    159.80   0.084666   0.087545   0.090521   0.093599  0.096781     31.17    33.33
COOK CNTY ILL SCH DIST N 214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    149.39   0.079272   0.081987   0.084795   0.087700  0.090703     29.19    31.23
Cook County, IL SD #89   214201GE9 12/13/07 12/01/17     55.745     0.000     5.9499    390.28   0.155863   0.160500                                     52.27         
Cook County, IL SD #89   214201GF6 12/13/07 12/01/18     52.014     0.000     6.0498    371.96   0.149167   0.153679   0.158328   0.163117               54.79    53.11
Cook County, IL SD #89   214201GG4 12/13/07 12/01/19     48.439     0.000     6.1498    353.72   0.142443   0.146823   0.151337   0.155991  0.160787     52.33    55.60
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000     6.2498    335.64   0.135724   0.139965   0.144339   0.148850  0.153501     49.88    53.05
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000     6.3499    317.79   0.129039   0.133136   0.137363   0.141724  0.146224     47.44    50.50
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000     6.3998    299.39   0.121819   0.125717   0.129740   0.133891  0.138176     44.79    47.71
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000     6.4499    281.77   0.114885   0.118590   0.122414   0.126362  0.130437     42.25    45.02
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000     6.4699    264.63   0.107986   0.111479   0.115085   0.118808  0.122651     39.72    42.33
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000     7.7796    202.58   0.117352   0.121916   0.126659   0.131585  0.136704     43.22    46.64
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000     7.9997    188.16   0.109694   0.114081   0.118645   0.123390  0.128326     40.42    43.72
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES     7.6950             0.229283   0.228753   0.228203   0.227631  0.227038     82.43    82.03
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000     8.2497    173.88   0.102105   0.106317   0.110702   0.115269  0.120023     37.65    40.82
Cook County, Illinois    214471HQ0 12/30/02 12/01/22     21.989     0.000     7.7497    417.89   0.136413   0.141699   0.147189   0.152893  0.158817     50.38    54.36
Cook County, IL SD #123  214651JZ5 10/15/07 12/01/17     54.681     0.000     6.0492    400.09   0.158312   0.163101                                     53.10         
Cook County, IL SD #123  214651KA8 10/15/07 12/01/18     51.240     0.000     6.0992    378.88   0.150240   0.154822   0.159543   0.164409               55.19    53.53
Cook County, IL SD #123  214651KB6 10/15/07 12/01/19     48.025     0.000     6.1393    358.11   0.142243   0.146609   0.151110   0.155748  0.160529     52.26    55.52
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000     6.2294    339.56   0.135388   0.139605   0.143953   0.148437  0.153061     49.76    52.90
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000     6.2695    320.25   0.127902   0.131912   0.136047   0.140311  0.144710     47.01    50.00
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000     6.2794    301.25   0.120367   0.124146   0.128044   0.132064  0.136210     44.24    47.06
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000     6.2895    283.33   0.113254   0.116816   0.120490   0.124279  0.128187     41.63    44.29
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000     6.2995    266.42   0.106540   0.109896   0.113357   0.116928  0.120611     39.16    41.67
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000     6.3096    250.48   0.100205   0.103366   0.106627   0.109991  0.113461     36.84    39.20
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000     6.3195    235.43   0.094227   0.097204   0.100276   0.103444  0.106713     34.64    36.86
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000     6.3296    228.26   0.091392   0.094285   0.097269   0.100347  0.103523     33.60    35.76
Cook County, Illinois    214723CV8 09/07/05 12/01/19     46.971     0.000     5.3794    386.90   0.127430   0.130857   0.134377   0.137991  0.141703     46.70    49.25
Cook County, Illinois    214723CW6 09/07/05 12/01/20     44.082     0.000     5.4495    369.33   0.122082   0.125408   0.128826   0.132336  0.135942     44.75    47.22
Cook County, Illinois    214723CX4 09/07/05 12/01/21     41.315     0.000     5.5195    352.03   0.116779   0.120002   0.123314   0.126717  0.130214     42.82    45.21
Cook County, Illinois    214723CY2 09/07/05 12/01/22     38.734     0.000     5.5795    334.79   0.111402   0.114510   0.117704   0.120988  0.124363     40.85    43.16
Cook County, Illinois    214723CZ9 09/07/05 12/01/23     36.271     0.000     5.6396    318.00   0.106138   0.109131   0.112208   0.115372  0.118625     38.93    41.16
Cook County, Illinois    214723DA3 09/07/05 12/01/24     33.990     0.000     5.6895    301.52   0.100892   0.103762   0.106714   0.109750  0.112872     37.01    39.15
Cook County, SD #133, IL 214813CA3 06/26/12 12/15/20     97.998     5.000     5.2964      9.57   0.006680   0.006857   0.007038   0.007225  0.007416      2.44     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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000     6.5008             0.012492   0.012906   0.013333   0.013775  0.014231      4.60     4.91
Cook County, IL SD #153  215183GN8 05/14/08 12/15/17     55.331     0.000     6.2694    389.44   0.163726   0.168858                                     57.25         
Cook County, IL SD #153  215183GP3 05/14/08 12/15/18     51.329     0.000     6.3995    370.85   0.156721   0.161736   0.166911   0.172252               57.49    58.38
Cook County, IL SD #153  215183GQ1 05/14/08 12/15/19     47.338     0.000     6.5594    352.99   0.150131   0.155055   0.160141   0.165393  0.170817     55.09    58.77
Cook County, IL          215219FN1 06/30/03 12/01/18     44.637     0.000     5.2998    458.28   0.132594   0.136108   0.139714   0.143417               48.58    46.77
Cook County, Illinois    215219FP6 06/30/03 12/01/19     41.690     0.000     5.3998    439.21   0.127837   0.131288   0.134833   0.138473  0.142212     46.85    49.42
Cook County, Illinois    215219FQ4 06/30/03 12/01/20     39.193     0.000     5.4498    418.21   0.122088   0.125415   0.128832   0.132343  0.135949     44.75    47.23
Cook County, Illinois    215219FR2 06/30/03 12/01/21     36.482     0.000     5.5497    399.25   0.117246   0.120500   0.123843   0.127280  0.130812     42.99    45.41
Cook County, Illinois    215219FS0 06/30/03 12/01/22     33.892     0.000     5.6497    380.30   0.112344   0.115517   0.118780   0.122136  0.125586     41.21    43.57
Cook County, Illinois    215219GC4 06/02/05 12/01/17     52.327     0.000     5.2501    430.38   0.138471   0.142106                                     46.35         
Cook County, Illinois    215219GD2 06/02/05 12/01/18     49.294     0.000     5.3101    411.53   0.132825   0.136351   0.139971   0.143688               48.67    46.86
Cook County, Illinois    215219GE0 06/02/05 12/01/19     46.448     0.000     5.3601    392.60   0.127044   0.130449   0.133945   0.137535  0.141221     46.56    49.08
Cook County, Illinois    215219GF7 06/02/05 12/01/20     43.922     0.000     5.3801    373.08   0.120854   0.124106   0.127444   0.130872  0.134393     44.29    46.71
Cook County, Illinois    215219GG5 06/02/05 12/01/21     41.054     0.000     5.4700    356.45   0.116012   0.119184   0.122444   0.125793  0.129233     42.53    44.89
Cook County, Illinois    215219GH3 06/02/05 12/01/22     38.699     0.000     5.5000    338.45   0.110326   0.113360   0.116478   0.119681  0.122972     40.45    42.70
Cook County Illinios     215219GQ3 06/02/05 12/01/23     36.261     0.000     5.5601    321.75   0.105210   0.108135   0.111141   0.114231  0.117406     38.58    40.75
Cook County Illinois     215219GR1 06/02/05 12/01/24     34.002     0.000     5.6101    305.33   0.100100   0.102908   0.105795   0.108762  0.111813     36.71    38.80
Cook County, IL          215219HC3 06/29/06 12/01/17     50.621     0.000     6.0495    440.68   0.158320   0.163109                                     53.11         
Cook County, IL          215219HD1 06/29/06 12/01/18     47.405     0.000     6.0996    417.23   0.150249   0.154831   0.159553   0.164419               55.19    53.53
Cook County, IL          215219HE9 06/29/06 12/01/19     44.524     0.000     6.1197    393.59   0.141870   0.146211   0.150685   0.155295  0.160047     52.12    55.36
Cook County, IL          215219HF6 06/29/06 12/01/20     41.744     0.000     6.1497    371.42   0.134069   0.138191   0.142440   0.146820  0.151334     49.26    52.33
Cook County, IL          215219HG4 06/29/06 12/01/21     39.173     0.000     6.1697    350.06   0.126477   0.130379   0.134401   0.138547  0.142821     46.47    49.38
Cook County, IL          215219HH2 06/29/06 12/01/22     36.688     0.000     6.1997    329.98   0.119390   0.123091   0.126907   0.130841  0.134897     43.87    46.63
Cook County, IL          215219HJ8 06/29/06 12/01/23     34.398     0.000     6.2198    310.72   0.112530   0.116029   0.119638   0.123358  0.127194     41.35    43.97
Cook County, IL          215219HK5 06/29/06 12/01/24     32.181     0.000     6.2498    292.57   0.106108   0.109424   0.112843   0.116369  0.120006     39.00    41.47
Cook County, IL          215219HL3 06/29/06 12/01/25     30.147     0.000     6.2697    275.25   0.099919   0.103051   0.106282   0.109613  0.113050     36.73    39.06
Cook County, IL          215219HM1 06/29/06 06/01/26     29.062     0.000     6.2997    267.04   0.097076   0.100134   0.103288   0.106542  0.109897     35.68    37.97
Cook County, IL          215219JL1 06/29/06 12/01/17     50.621     0.000     6.0495    440.68   0.158320   0.163109                                     53.11         
Cook County, IL          215219JM9 06/29/06 12/01/18     47.405     0.000     6.0996    417.23   0.150249   0.154831   0.159553   0.164419               55.19    53.53
Cook County, IL          215219JN7 06/29/06 12/01/19     44.524     0.000     6.1197    393.59   0.141870   0.146211   0.150685   0.155295  0.160047     52.12    55.36
Cook County, IL SD # 155 215219JR8 10/08/09 12/01/23     39.094     0.000     6.7493    240.94   0.117804   0.121780   0.125889   0.130138  0.134529     43.37    46.34
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000     6.7994    225.88   0.110626   0.114387   0.118276   0.122297  0.126455     40.73    43.55
Cook County, IL SD#155   215219JT4 10/08/09 12/01/25     33.703     0.000     6.8494    211.55   0.103780   0.107334   0.111010   0.114811  0.118743     38.22    40.88
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000     6.8993    197.92   0.097257   0.100612   0.104083   0.107674  0.111388     35.82    38.34
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000     6.9993    185.01   0.091221   0.094414   0.097718   0.101138  0.104677     33.61    36.00
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000     7.0995    172.58   0.085378   0.088409   0.091547   0.094797  0.098162     31.47    33.74
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000     7.1494    166.55   0.082533   0.085483   0.088539   0.091704  0.094982     30.42    32.64
Cook County SD #162, IL  215291LH6 06/30/11 12/01/17     73.981     0.000     4.7495    218.11   0.125880   0.128869                                     42.08         
Cook County SD #162, IL  215291LJ2 06/30/11 12/01/18     69.321     0.000     4.9996    216.52   0.125817   0.128962   0.132186   0.135491               46.05    44.22
Cook County SD #162, IL  215291LK9 06/30/11 12/01/19     64.641     0.000     5.2495    213.36   0.124825   0.128101   0.131464   0.134914  0.138455     45.73    48.16
Cook County SD #162, IL  215291LL7 06/30/11 12/01/20     59.985     0.000     5.4995    208.76   0.122963   0.126344   0.129818   0.133388  0.137055     45.08    47.59
Cook County SD #162, IL  215291LM5 06/30/11 12/01/21     55.395     0.000     5.7496    202.86   0.120294   0.123753   0.127310   0.130970  0.134735     44.14    46.71
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County SD #162, IL  215291LP8 06/30/11 12/01/23     47.270     0.000     6.1247    186.19   0.111527   0.114942   0.118462   0.122090  0.125829     40.97    43.52
Cook County SD #162, IL  215291LQ6 06/30/11 12/01/24     43.785     0.000     6.2495    176.55   0.106105   0.109421   0.112840   0.116366  0.120002     39.00    41.47
Cook County SD #162, IL  215291LT0 06/30/11 12/01/27     33.620     0.000     6.7497    148.32   0.090335   0.093383   0.096535   0.099793  0.103161     33.26    35.54
Cook County SD #162, IL  215291LU7 06/30/11 12/01/28     30.805     0.000     6.8747    138.86   0.084858   0.087775   0.090792   0.093913  0.097141     31.25    33.44
Cook County SD #162, IL  215291LV5 06/30/11 12/01/29     28.410     0.000     6.9497    129.71   0.079425   0.082185   0.085041   0.087996  0.091054     29.26    31.33
Cook County SD #162, IL  215291LW3 06/30/11 12/01/30     26.286     0.000     6.9997    121.04   0.074210   0.076808   0.079496   0.082278  0.085158     27.34    29.29
Carvallie, Benton County 2208855N3 03/12/02 01/01/18     34.442     0.000     6.8591    590.36   0.178105   0.184213                                     65.22         
Corvallie, Benton County 2208855P8 03/12/02 01/01/19     31.935     0.000     6.9092    553.62   0.167542   0.173330   0.179318   0.185513               61.36    65.67
Corvallie, Benton County 2208855Q6 03/12/02 01/01/20     29.582     0.000     6.9592    518.64   0.157445   0.162923   0.168593   0.174459               57.67    61.75
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000     6.9894    484.97   0.147500   0.152654   0.157989   0.163510               54.03    57.87
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000     7.0194    453.22   0.138097   0.142944   0.147961   0.153154               50.59    54.20
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000     7.0594    423.38   0.129326   0.133891   0.138617   0.143510               47.38    50.78
Costco Companies, Inc.   22160QAA0 08/19/97 08/19/17     49.960     0.000     3.5000    478.69   0.093907   0.095550                                     21.71         
Costco Companies, Inc.   22160QAB8 08/19/97 08/19/17     49.960     0.000     3.5000    478.69   0.093907   0.095550                                     21.71         
Costco Companies, Inc.   22160QAC6 08/19/97 08/19/17     49.960     0.000     3.5000    478.69   0.093907   0.095550                                     21.71         
Crawford CNTY, IL        224759EV8 10/30/14 12/01/17    113.034    VARIES     1.6510             0.047833   0.046852                                     15.61         
Crawford CNTY, IL        224759EW6 10/30/14 12/01/18    114.429    VARIES     2.0510             0.061081   0.060069   0.059047   0.058015               21.75    19.30
Crawford CNTY, IL        224759EX4 10/30/14 12/01/19    115.947    VARIES     2.4008             0.073116   0.072077   0.071025   0.069960  0.068882     26.07    25.31
Crawford CNTY, IL        224759EY2 10/30/14 12/01/20     99.160    VARIES     2.6504             0.073203   0.073253   0.073304   0.073355  0.073407     26.37    26.40
Crawford CNTY, IL        224759EZ9 10/30/14 12/01/21     99.043    VARIES     2.9004             0.080006   0.080058   0.080111   0.080165  0.080220     28.81    28.85
Crawford CNTY, IL        224759FB1 10/30/14 12/01/23**   98.821    VARIES     3.1502             0.086686   0.086739   0.086793   0.086847  0.086902     31.22**  31.26
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000     1.9373             0.055364   0.055900   0.056441   0.056988  0.057540     20.16    20.56
Credit Suisse USA, Inc.  22539TAB6 02/22/17 02/19/20    100.000    VARIES     1.7619                        0.048940   0.049364   0.049799  0.050238     15.18    17.96
Credit Suisse USA, Inc.  22541HCW0 06/23/11 06/22/18    100.000    VARIES     3.6402             0.123295   0.125539   0.127824                          44.83    21.86
Credit Suisse USA, Inc.  22541HDC3 01/18/13 01/21/20    100.000     0.000     1.3161             0.038279   0.038531   0.038784   0.039039  0.039296     13.91    14.09
Credit Suisse USA, Inc.  22542DFF2 02/28/17 02/28/24    103.000     0.125     2.1990                        0.062916   0.063569   0.064230  0.064898     19.14    23.17
Credit Suisse USA, Inc.  22545F136 01/02/15 12/28/21    100.000     0.000     2.1699             0.062920   0.063603   0.064293   0.064990  0.065695     22.78    23.28
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30    100.000    VARIES     4.9714             0.111965   0.111708   0.111445   0.111177  0.110904     40.23    40.04
Credit Suisse USA, Inc.  22546TNB3 03/26/12 03/24/17    100.000    VARIES     1.3843             0.040913                                                 3.40         
Credit Suisse USA, Inc.  22546TQX2 05/07/12 05/05/17    100.000    VARIES     1.1037             0.032212                                                 3.99         
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500     2.5533             0.071282   0.070494   0.072048   0.071258  0.072835     25.92    26.20
Credit Suisse USA, Inc.  22546VP42 10/29/15 10/29/21    100.000     0.000     1.6599             0.046878   0.047267   0.047659   0.048054  0.048453     16.99    17.28
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500     2.5442             0.071410   0.071788   0.072172   0.072560  0.072953     25.80    26.08
Credit Suisse USA, Inc.  22546VPR1 11/30/15 11/28/23    100.000     0.000     1.9529             0.055307   0.055847   0.056392   0.056943  0.057499     20.04    20.44
Credit Suisse USA, Inc.  22546VPW0 11/30/15 05/30/23    100.000     0.000     1.9020             0.053843   0.054355   0.054872   0.055394  0.055921     19.51    19.88
Credit Suisse USA, Inc.  22546VQM1 11/24/15 11/19/20    100.000     0.000     1.6255             0.045879   0.046252   0.046628   0.047007  0.047389     16.62    16.89
Credit Suisse USA, Inc.  22546VR73 12/31/15 07/02/20    100.000     0.000     1.6700             0.046781   0.047171   0.047565   0.047963  0.048363     17.05    17.34
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES     2.4835             0.008698   0.008268   0.007833   0.007930  0.008029      3.05     2.84
Credit Suisse USA, Inc.  22546VRM0 12/28/15 12/27/22    100.000     0.500     1.9028             0.053598   0.053976   0.054357   0.054742  0.055131     19.37    19.64
Credit Suisse USA, Inc.  22546VTS5 01/29/16 01/29/21    100.000     0.000     1.7999     16.67   0.050448   0.050902   0.051360   0.051822  0.052289     18.38    18.71
Credit Suisse USA, Inc.  22546VTT3 01/29/16 07/30/20    100.000     0.000     1.8000     16.67   0.050451   0.050905   0.051363   0.051826  0.052292     18.38    18.71
Credit Suisse USA, Inc.  22546VTU0 02/05/16 11/01/19    100.000     0.000     1.8097     16.47   0.050944   0.051405   0.051870   0.052339  0.052813     18.48    18.81
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22546VU79 01/22/16 04/22/21    100.000     0.000     1.7997     17.03   0.050669   0.051125   0.051585   0.052049  0.052518     18.39    18.72
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES     2.2723      5.66   0.017401   0.016974   0.016542   0.016105  0.015663      6.07     5.75
Credit Suisse USA, Inc.  22546VW77 02/26/16 02/26/21    100.000     0.000     1.8101     15.39   0.050735   0.051194   0.051657   0.052125  0.052597     18.46    18.80
Credit Suisse USA, Inc.  22546VY91 03/28/16 03/25/21    100.000     0.000     1.4700     11.18   0.041129   0.041432   0.041736   0.042043  0.042352     14.92    15.14
Credit Suisse USA, Inc.  22546VYY6 03/18/16 03/18/21    100.000    VARIES     1.9748      2.60   0.008950   0.008596   0.008681   0.008767  0.008854      3.13     3.16
Credit Suisse USA, Inc.  22547QER3 12/27/13 12/28/21    100.000     0.000     2.6361             0.079214   0.080258   0.081316   0.082388  0.083474     28.71    29.47
Credit Suisse USA, Inc.  22547QQF6 07/08/14 07/08/19    100.000     0.000     1.7800             0.051228   0.051684   0.052144   0.052608  0.053076     18.68    19.02
Credit Suisse USA, Inc.  22547QXM3 01/30/15 01/29/21    100.000     0.000     1.5402             0.043777   0.044114   0.044454   0.044796  0.045141     15.92    16.17
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000     2.2049             0.063990   0.064695   0.065409   0.066130  0.066859     23.17    23.68
Credit Suisse USA, Inc.  22547QZ66 12/31/14 12/31/20    100.000     0.000     1.9589             0.056579   0.057133   0.057692   0.058258  0.058828     20.47    20.87
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000     2.1598             0.062635   0.063312   0.063995   0.064687  0.065385     22.69    23.19
Credit Suisse USA, Inc.  22547W5D1 02/07/14 02/05/21    100.000     0.000     2.0912             0.061184   0.061823   0.062470   0.063123  0.063783     22.33    22.80
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000     2.2646             0.065074   0.065811   0.066556   0.067310  0.068072     23.58    24.12
Credit Suisse USA, Inc.  22547WPN7 12/29/15 12/29/22    100.000     0.000     1.9233             0.054458   0.054981   0.055510   0.056044  0.056583     19.70    20.08
Creditt Suisse           22547WQ22 02/11/16 02/10/23    100.000     0.000     1.8032     16.09   0.050539   0.050994   0.051454   0.051918  0.052386     18.40    18.74
Credit Suisse USA, Inc.  22547WQ89 04/27/16 05/01/23    100.000     0.000     1.5175     10.31   0.042478   0.042801   0.043125   0.043453  0.043782     15.39    15.62
Credit Suisse USA, Inc.  22547WQA4 06/20/16 06/16/21    100.000     0.000     1.8619      9.89   0.052191   0.052677   0.053167   0.053662  0.054162     18.89    19.24
Credit Suisse USA, Inc.  22547WQB2 06/23/16 06/21/21    100.000     0.000     2.0800     10.92   0.057731   0.058012   0.058938   0.059225  0.060170     21.14    21.58
Credit Suisse USA, Inc.  22547WQE6 08/12/16 08/14/23    100.000    VARIES        N/A      1.45   0.010453   0.010568   0.010685   0.010803  0.010922      3.82     3.90
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES     2.7488      6.60   0.026590   0.025813   0.025025   0.024227  0.023418      9.33     8.76
Credit Suisse USA, Inc.  22548Q3E3 04/14/16 04/14/26    100.000    VARIES     2.5023      4.38   0.016522   0.015747   0.014963   0.014168  0.014346      5.69     5.20
Credit Suisse USA, Inc.  22548Q5R2 05/27/16 05/27/21    100.000     0.000     2.5650     15.28   0.072164   0.073089   0.074026   0.074976  0.075937     26.21    26.89
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES     3.7259     22.87   0.103499   0.103500   0.103501   0.103502  0.103501     37.26    37.26
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000     1.3289      3.43   0.036915   0.037158   0.037405   0.037653  0.037903     13.38    13.56
Credit Suisse USA, Inc.  22548QKG9 10/28/16 10/30/23    100.000     0.000     1.6003      2.80   0.044458   0.044813   0.045172   0.045533  0.045898     16.11    16.37
Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES     2.2705      1.34   0.018902   0.018455   0.018002   0.017544  0.017081      6.66     6.33
Credit Suisse USA, Inc.  22548QN35 11/28/16 11/28/23    100.000     0.000     1.9557      1.79   0.054325   0.054856   0.055393   0.055934  0.056481     19.69    20.07
Credit Suisse USA, Inc.  22548QV28 02/09/17 03/09/18    100.000     0.000     1.2460             0.034611   0.034647   0.034863                          11.18     2.37
Credit Suisse USA, Inc.  22548X2E9 12/05/16 12/05/23    100.000     0.125     2.0339      1.47   0.056496   0.057035   0.057580   0.058130  0.058686     20.46    20.86
CREDIT SUISSE AG NASSAU  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627                        0.054521   0.054926   0.055329  0.055737     10.25    19.85
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES     2.0492             0.011093   0.011206   0.011321   0.011437  0.011554      4.04     4.13
Credit Suisse USA, Inc.  2254M0H58 08/17/11 08/17/17    100.000    VARIES     1.2914             0.026748   0.026713                                      6.04         
Credit Suisse USA, Inc.  2254M0HP4 09/06/11 09/06/18**  100.000    VARIES     1.6150             0.000000   0.000000   0.000000   0.000000                0.00**   0.00
CREDIT SUISSE AG (NASSAU 22550BMY6 10/31/17 04/28/23    100.000     0.000     2.2940                                   0.063723   0.064446  0.065185      3.89    23.16
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23     94.618     4.800     5.4005     21.98   0.011797   0.012115   0.012443   0.012779  0.013124      4.34     4.58
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783     43.66   0.085361   0.085285   0.085208   0.085318  0.085430     30.69    30.73
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802     18.37   0.084901   0.084230   0.083548   0.082857  0.082154     30.40    29.90
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640      9.70   0.085107   0.084432   0.083747   0.083051  0.082345     30.36    29.87
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000     1.6453             0.048800   0.049201   0.049606   0.050014  0.050426     17.65    17.94
Deutsche Bank AG         25152RKC6 05/14/14 11/15/17    100.000     0.000     1.6316             0.047203   0.047588                                     14.89         
Deutsche Bank AG         25152RLC5 06/18/14 06/16/17    100.000     0.000     1.5017             0.043301                                                 7.14         
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745             0.059411   0.059282   0.059152   0.059020  0.059256     21.33    21.29
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035             0.062040   0.061945   0.061849   0.061753  0.062024     22.30    22.27
Deutsche Bank AG         25152RUZ4 03/28/13 03/28/18    100.000    VARIES     1.5000             0.041962   0.041954   0.041811                          15.09     3.64
Deutsche Bank AG         25152RVB6 05/23/13 05/23/18    100.000    VARIES     1.6238             0.045467   0.045447   0.045276                          16.36     6.43
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES     2.0551             0.051386   0.051396   0.051405   0.051415  0.051671     18.50    18.51
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES     1.1016             0.025898   0.025624   0.025646   0.025667  0.025809      9.25     9.25
Deutsche Bank AG         25152RVV2 05/07/14 05/05/17    100.000     0.000     1.0114             0.028810                                                 3.57         
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES     1.0463             0.024989   0.024725   0.024683   0.024641  0.024747      8.95     8.88
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES     0.8844             0.021235   0.021203   0.021171   0.021251  0.021331      7.63     7.66
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES     1.1689             0.029132   0.028938   0.028743   0.028730  0.028717     10.42    10.34
DEUTSCHE BANK AG (LONDON 25155MBP5 06/15/17 12/15/22     98.650     3.000     3.2702                        0.006279   0.006382   0.006486  0.006592      1.23     2.32
Deutsche Bank AG         2515A0FC2 09/05/07 09/05/17    100.000    VARIES     5.2126             0.140695   0.142718                                     34.69         
Deutsche Bank AG         2515A1NH0 04/27/16 04/25/19    100.000     0.000     2.6296     17.89   0.073993   0.074966   0.075952   0.076950  0.077962     26.94    27.66
Deutsche Bank AG         2515A1NS6 05/04/16 05/07/19    100.000     0.000     2.4160     15.95   0.067935   0.068755   0.069586   0.070427  0.071277     24.69    25.29
Deutsche Bank AG         2515A1PE5 05/06/11 05/06/19    100.000    VARIES     4.4257             0.125521   0.125329   0.124750   0.124158  0.123554     45.11    44.74
Deutsche Bank AG         2515A1PH8 11/30/12 11/30/17    100.000    VARIES     1.3035             0.036360   0.036284                                     11.95         
Domtar Corporation       257559AG9 06/09/09 06/01/17     96.157    10.750    11.4988     35.48   0.019668                                                 2.95         
Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17     55.746     0.000     6.0690    406.10   0.158799   0.163618                                     36.44         
Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18     52.073     0.000     6.1490    385.77   0.151321   0.155974   0.160769   0.165712               56.60    36.90
Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19     48.734     0.000     6.1990    364.81   0.143377   0.147821   0.152403   0.157126  0.161996     53.64    57.02
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000     6.2791    345.48   0.136205   0.140481   0.144892   0.149441  0.154133     50.98    54.24
DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18*   100.000    VARIES     2.3972             0.066590   0.066589                                     23.97*        
DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19    100.000    VARIES     2.6969             0.074919   0.074918   0.074917   0.074915               26.97    26.97
DU PAGE CNTY ILL SCH DIS 262777CX1 06/28/12 01/01/20    100.000     2.900     2.8969    130.83   0.080475   0.080474   0.080473   0.080472               28.97    28.97
DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21    100.000    VARIES     3.2464             0.090191   0.090189   0.090188   0.090186               32.47    32.47
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES     3.7456             0.104065   0.104063   0.104061   0.104059               37.46    37.46
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000     6.4699    417.01   0.126619   0.130715   0.134944   0.139309  0.143816     47.07    50.16
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000     6.5000    391.69   0.119135   0.123007   0.127005   0.131132  0.135394     44.29    47.22
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000     6.5100    367.51   0.111844   0.115484   0.119243   0.123125  0.127133     41.59    44.34
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000     6.5300    344.80   0.105053   0.108483   0.112025   0.115683  0.119460     39.06    41.66
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000     6.5499    323.37   0.098634   0.101864   0.105200   0.108645  0.112203     36.68    39.12
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000     6.5600    303.17   0.092525   0.095560   0.098695   0.101932  0.105275     34.41    36.71
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000     6.5700    284.17   0.086777   0.089628   0.092572   0.095613  0.098754     32.27    34.43
Eclipse Resources Corp.  27890GAA8 07/06/15 07/15/23     97.903     8.875     9.2509      2.83   0.005545   0.005801   0.006069   0.006350  0.006644      2.13     2.33
Eclipse Resources Corp.  27890GAB6 07/06/15 07/15/23     97.903     8.875     9.2509      2.83   0.005545   0.005801   0.006069   0.006350  0.006644      2.13     2.33
Euronet Worldwide, Inc.  298736AG4 10/30/14 10/01/44    100.000    VARIES     6.9991             0.215995   0.222096   0.228410   0.234945  0.241709     79.97    84.60
Euronet Worldwide, Inc.  298736AH2 10/30/14 10/01/44    100.000    VARIES     6.9991             0.215995   0.222096   0.228410   0.234945  0.241709     79.97    84.60
EUROPEAN INVT BK         298785DW3 03/10/16 03/10/21     44.672     0.000    16.7836    351.72   0.118769   0.122002   0.125324   0.128736  0.132240     44.07    46.50
Exelon Corporation       30161N127 06/17/14 06/01/24    100.000    VARIES     4.8846             0.144017                                                52.21    52.13
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES     4.8846             0.144017   0.145839   0.145221   0.144589  0.143941     52.21    52.13
Federal Home Loan        3128X0AZ2 10/03/02 01/02/34     19.160     0.000     5.3582    215.35   0.058999   0.060580   0.062203   0.063869  0.065580     22.10    23.30
Federal Home Loan        3128X2SR7 01/30/04 04/01/17     51.299     0.000     5.1328    474.50   0.139009                                                12.51         
Federal Home Loan        3128X2SS5 01/30/04 10/01/17     49.661     0.000     5.1861    465.80   0.136868   0.140417                                     37.59         
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Federal Home Loan        3128X2ST3 01/30/04 04/01/18     48.064     0.000     5.2374    456.86   0.134628   0.138153   0.141771                          49.74    12.76
Federal Home Loan        3128X2SU0 01/30/04 10/01/18     46.530     0.000     5.2835    447.56   0.132227   0.135721   0.139306   0.142986               48.87    38.28
Federal Home Loan        3128X2SV8 01/30/04 04/01/19     45.040     0.000     5.3273    438.11   0.129753   0.133210   0.136758   0.140401  0.144140     47.96    50.55
Federal Home Loan        3128X2SW6 01/30/04 10/01/19     43.600     0.000     5.3679    428.52   0.127200   0.130614   0.134120   0.137720  0.141416     47.03    49.59
Federal Home Loan        3128X2SX4 01/30/04 04/01/20     42.215     0.000     5.4047    418.79   0.124568   0.127935   0.131392   0.134943  0.138589     46.06    48.59
Federal Home Loan        3128X2SY2 01/30/04 10/01/20     40.880     0.000     5.4384    409.01   0.121887   0.125201   0.128606   0.132103  0.135695     45.08    47.57
Federal Home Loan        3128X4AE1 04/19/05 04/15/17     56.285     0.000     4.8518    423.47   0.131581                                                13.68         
Federal Home Loan        3128X52H0 04/03/07 04/02/37     21.177     0.000     5.2422    138.89   0.050409   0.051730   0.053086   0.054478  0.055905     18.62    19.61
Federal Home Loan        3128X55E4 05/04/07 05/04/37*    16.728     0.000     6.0500    130.22   0.049523                                                 6.09*        
Federal Home Loan        3128X5LK2 10/02/06 10/02/34     24.784     0.000     5.0446    165.13   0.057156   0.058598   0.060076   0.061591  0.063145     21.10    22.17
Freddie Mac              3128X6HU3 07/20/07 09/28/18     54.270     0.000     5.5370    366.64   0.137890   0.141708   0.145631   0.149663               51.05    39.61
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000     4.9803    127.81   0.049238   0.050464   0.051721   0.053009  0.054329     17.97    18.88
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000     4.4860    115.10   0.046955   0.048008   0.049085   0.050186  0.051311     17.19    17.97
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000     4.3499    114.87   0.046884   0.047903   0.048945   0.050010  0.051098     17.16    17.91
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000     5.1394    117.72   0.047950   0.049182   0.050446   0.051742  0.053072     17.49    18.40
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000     2.9999    109.78   0.042643   0.043282   0.043931   0.044590  0.045259     15.64    16.11
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000     4.5439    113.28   0.051388   0.052556   0.053750   0.054971  0.056220     18.96    19.83
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000     4.5434    112.00   0.051388   0.052555   0.053749   0.054970  0.056219     18.75    19.61
Federal Home Loan        312902LX5 12/17/99 12/17/29     14.255     0.000     6.6001    288.47   0.078820   0.081421   0.084108   0.086883  0.089750     28.92    30.86
Federal Home Loan        312902VG1 04/25/00 01/04/21     25.643     0.000     6.6857    511.85   0.138141   0.142759   0.147531   0.152463  0.157559     52.22    55.77
Federal Home Loan        312902VH9 04/25/00 01/04/22     24.042     0.000     6.6796    479.18   0.129272   0.133589   0.138050   0.142661  0.147426     48.87    52.19
Federal Home Loan        312902VJ5 04/25/00 01/04/23     22.536     0.000     6.6749    448.66   0.121002   0.125041   0.129214   0.133526  0.137983     45.74    48.85
Federal Home Loan        312902VK2 04/25/00 01/04/24     21.145     0.000     6.6664    420.10   0.113238   0.117012   0.120913   0.124943  0.129108     42.80    45.70
Federal Home Loan        312902VL0 04/25/00 01/04/25     20.007     0.000     6.6235    393.36   0.105740   0.109242   0.112860   0.116598  0.120459     39.96    42.65
Federal Home Loan        312902VM8 04/25/00 01/04/26     18.780     0.000     6.6160    368.56   0.099026   0.102301   0.105686   0.109182  0.112793     37.42    39.93
Federal Home Loan        312902VN6 04/25/00 01/04/27     17.654     0.000     6.6034    345.40   0.092727   0.095789   0.098952   0.102219  0.105594     35.03    37.39
Federal Home Loan        312902VV8 04/25/00 01/04/18     31.141     0.000     6.7035    624.27   0.168673   0.174326   0.180169                          63.77     0.54
Federal Home Loan        312902VW6 04/25/00 01/04/19     29.163     0.000     6.7018    584.38   0.157876   0.163166   0.168634   0.174284  0.180124     59.69    63.76
Federal Home Loan        312902VX4 04/25/00 01/04/20     27.313     0.000     6.6998    547.04   0.147770   0.152720   0.157836   0.163124  0.168588     55.87    59.68
Federal Home Loan        312902WM7 04/25/00 01/04/17     33.256     0.000     6.7049    666.90   0.180205                                                 0.54         
Federal Home Loan Banks  3130A0MR8 01/22/14 01/22/21    100.000    VARIES     2.3229             0.066474   0.066659   0.066665   0.066672  0.066498     23.99    23.97
Federal Home Loan Banks  3130A0N63 01/23/14 01/23/20    100.000    VARIES     1.9612             0.055660   0.055736   0.055671   0.055606  0.055398     20.05    19.99
Federal Home Loan Banks  3130A1DD7 03/26/14 03/26/21    100.000    VARIES     2.2862             0.065431   0.065614   0.065627   0.065641  0.065470     23.61    23.61
Federal Home Loan Banks  3130A1DV7 03/26/14 03/26/21    100.000    VARIES     2.3282             0.066635   0.066822   0.066831   0.066839  0.066666     24.04    24.04
Federal Home Loan Banks  3130A2SV9 08/27/14 08/28/19    100.000    VARIES     1.7926             0.049082   0.049198   0.049315   0.049434  0.049553     17.72    17.80
Federal Home Loan Banks  3130A2YR1 09/26/14 09/26/19    100.000    VARIES     1.7204             0.047106   0.047217   0.047329   0.047443  0.047557     17.00    17.08
Federal Home Loan Banks  3130A4EV0 03/18/15 03/18/20    100.000    VARIES     1.7026             0.046569   0.046670   0.046772   0.046874  0.046978     16.80    16.88
Federal Home Loan Banks  3130A4JD5 03/30/15 03/30/20    100.000    VARIES     1.6373             0.044884   0.044968   0.045052   0.045136  0.045221     16.19    16.25
Federal Home Loan Banks  3130A4LE0 04/02/15 04/02/20    100.000    VARIES     1.6894             0.046230   0.046328   0.046426   0.046524  0.046624     16.68    16.75
Federal Home Loan Banks  3130A5CB3 05/27/15 05/27/20    100.000    VARIES     1.6122             0.044232   0.044309   0.044386   0.044464  0.044543     15.94    16.00
Federal Home Loan Banks  3130A5LZ0 06/30/15 06/30/20    100.000    VARIES     1.7431             0.047612   0.047724   0.047838   0.047952  0.048067     17.16    17.24
Federal Home Loan Banks  3130A5M22 06/26/15 06/25/20    100.000    VARIES     1.7664             0.048293   0.048401   0.048509   0.048619  0.048729     17.41    17.48
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
FEDERAL HOME LOAN BANKS  3130AA4B1 12/02/16 12/02/21    100.000    VARIES     1.6625      0.33   0.011458   0.011150   0.010838   0.010871  0.010903      4.05     3.91
FEDERAL HOME LOAN BANKS  3130AAFH6 12/30/16 12/30/21    100.000    VARIES     1.8755      0.01   0.013901   0.013543   0.013442   0.013406  0.013369      4.94     4.83
FEDERAL HOME LOAN BANKS  3130AAFM5 12/28/16 12/28/21    100.000    VARIES     1.8759      0.04   0.013220   0.012960   0.012756   0.012654  0.012603      4.71     4.57
FEDERAL HOME LOAN BANKS  3130ACGH1 10/06/17 10/06/22    100.000    VARIES     1.8634                                   0.009925   0.009563  0.009450      0.84     3.47
FEDERAL HOME LOAN BANKS  3130ACGS7 10/12/17 10/12/22    100.000    VARIES     1.8634                                   0.009925   0.009563  0.009450      0.78     3.47
FEDERAL HOME LOAN BANKS  3130ACK86 10/18/17 10/18/22    100.000    VARIES     1.9419                                   0.012068   0.011560  0.011504      0.88     4.21
Federal Home Loan Banks  3133737L0 04/13/11 04/13/17    100.000    VARIES     2.7757             0.077888                                                 7.94         
Federal Home Loan Banks  313373B84 04/13/11 04/13/17    100.000    VARIES     2.7757             0.077888                                                 7.94         
Federal Home Loan Banks  313379HU6 06/05/12 06/05/17    100.000    VARIES     0.8043             0.022307                                                 3.44         
Federal Home Loan Banks  3133836A4 05/22/13 05/22/19    100.000    VARIES     1.0916             0.030104   0.030147   0.030190   0.030234  0.030277     10.85    10.88
Federal Home Loan Banks  313383JM4 06/27/13 06/27/19    100.000    VARIES     1.3129             0.036189   0.036244   0.036299   0.036355  0.036412     13.04    13.08
Federal Home Loan        3134A1FK1 11/20/96 09/03/19     20.641     0.000     7.0454    624.78   0.158997   0.164598   0.170397   0.176399  0.182613     59.59    63.86
Federal Home Loan        3134A1H60 10/22/97 06/03/24     16.813     0.000     6.8127    440.13   0.114501   0.118401   0.122434   0.126604  0.130917     42.14    45.06
Federal Home Loan        3134A1HU7 12/27/96 12/02/19     19.720     0.000     7.2067    616.14   0.161879   0.167713   0.173756   0.180017  0.186504     59.67    64.05
Federal Home Loan        3134A1MY3 02/12/97 02/01/20     19.238     0.000     7.3061    609.20   0.157873   0.163641   0.169618   0.175815  0.182237     59.63    64.07
Federal Home Loan        3134A1NA4 02/12/97 01/02/19     20.877     0.000     7.2858    657.71   0.169229   0.175394   0.181783   0.188406  0.195269     64.28    69.05
Federal Home Loan        3134A2G77 12/28/98 11/15/28     20.230     0.000     5.4199    327.73   0.079248   0.081396   0.083601   0.085867  0.088194     29.12    30.72
Federal Home Loan        3134A2HG6 06/30/98 12/11/25     19.896     0.000     5.9700    391.93   0.097665   0.100580   0.103583   0.106675  0.109859     35.80    37.97
Federal Home Loan        3134A3D29 09/09/99 08/15/27     14.928     0.000     6.9258    335.96   0.090971   0.094122   0.097381   0.100753  0.104242     34.19    36.60
Federal Home Loan        3134A3ZU3 08/02/99 12/14/29     15.469     0.000     6.2411    296.44   0.077980   0.080413   0.082923   0.085510  0.088179     28.59    30.41
Freddie Mac              3134G5PA7 11/06/14 01/30/17     98.473     0.000     0.6901     14.72   0.019104                                                 0.55         
Freddie Mac              3134G5R64 12/03/14 09/01/17     97.435     0.000     0.9490     19.36   0.026111   0.026235                                      6.29         
Freddie Mac              3134G5R98 12/18/14 02/15/17     98.503     0.000     0.7000     14.12   0.019377                                                 0.85         
Freddie Mac              3134G6JM6 03/12/15 05/01/17     98.351     0.000     0.7798     13.90   0.021578                                                 2.59         
Freddie Mac              3134G6NP4 04/16/15 02/01/18     97.254     0.000     0.9998     16.72   0.027359   0.027496   0.027634                           9.92     0.83
Freddie Mac              3134G6RW5 04/08/15 07/14/17     98.320     0.000     0.7488     12.80   0.020645   0.020722                                      4.00         
Freddie Mac              3134G6RX3 04/08/15 07/13/18     96.583     0.000     1.0679     17.97   0.029040   0.029195   0.029351   0.029508               10.53     5.66
Freddie Mac              3134G6X81 05/20/15 08/30/18     96.333     0.000     1.1426     17.95   0.030683   0.030689   0.031034   0.031041               11.24     7.48
Freddie Mac              3134G9D61 06/30/16 06/30/21    100.000    VARIES     1.3050      6.56   0.036123   0.036042   0.036050   0.036059  0.036068     12.99    12.98
Freddie Mac              3134G9E37 06/30/16 06/30/21    100.000    VARIES     1.3050      6.56   0.036123   0.036042   0.036050   0.036059  0.036068     12.99    12.98
Freddie Mac              3134G9XE2 06/30/16 06/30/21    100.000    VARIES     1.3816      6.95   0.038258   0.038138   0.038114   0.038089  0.038113     13.75    13.72
Freddie Mac              3134G9XF9 06/30/16 06/30/21    100.000    VARIES     1.4307      7.19   0.039629   0.039515   0.039524   0.039534  0.039543     14.25    14.23
Freddie Mac              3134G9XL6 06/29/16 06/29/21    100.000    VARIES     1.3915      7.03   0.038534   0.038416   0.038398   0.038380  0.038396     13.85    13.82
Freddie Mac              3134G9XM4 06/30/16 06/30/21    100.000    VARIES     1.3945      7.01   0.038606   0.038476   0.038453   0.038431  0.038457     13.87    13.84
Freddie Mac              3134G9XP7 06/30/16 06/30/21    100.000    VARIES     1.4321      7.20   0.039667   0.039553   0.039438   0.039472  0.039506     14.26    14.20
Freddie Mac              3134G9XQ5 06/30/16 06/30/21    100.000    VARIES     1.3945      7.01   0.038606   0.038476   0.038453   0.038431  0.038457     13.87    13.84
Freddie Mac              3134G9XT9 06/30/16 06/30/21    100.000    VARIES     1.4689      7.39   0.040681   0.040559   0.040561   0.040563  0.040575     14.62    14.60
Freddie Mac              3134G9XV4 06/30/16 06/30/21    100.000    VARIES     1.3872      6.97   0.038357   0.038238   0.038238   0.038238  0.038263     13.79    13.77
Freddie Mac              3134G9XX0 06/30/16 06/30/21    100.000    VARIES     1.5060      7.57   0.041730   0.041626   0.041626   0.041625  0.041625     15.00    14.99
Freddie Mac              3134GAN34 01/27/17 01/27/22    100.000    VARIES     1.9668                        0.054633   0.054214   0.053791  0.053842     18.18    19.38
Freddie Mac              3134GAQC1 09/30/16 09/30/21    100.000    VARIES     1.3157      3.33   0.036547   0.036376   0.036296   0.036306  0.036317     13.10    13.07
Freddie Mac              3134GAQE7 09/30/16 09/30/21    100.000    VARIES     1.3432      3.40   0.037310   0.037188   0.037111   0.037080  0.037073     13.39    13.35
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134GAQK3 09/30/16 09/30/21    100.000    VARIES     1.2929      3.27   0.035914   0.035789   0.035664   0.035679  0.035694     12.88    12.84
Freddie Mac              3134GAZM9 12/02/16 12/02/21    100.000    VARIES     1.5258      1.23   0.042383   0.042158   0.041931   0.041986  0.042042     15.20    15.11
Freddie Mac              3134GAZX5 12/02/16 12/02/21    100.000    VARIES     1.5968      1.29   0.044356   0.044103   0.043848   0.043910  0.043972     15.91    15.80
Freddie Mac              3134GBBQ4 03/28/17 03/28/22    100.000    VARIES     2.0636                        0.057323   0.056822   0.056548  0.056487     15.60    20.38
Freddie Mac              3134GBCA8 03/28/17 03/28/22    100.000    VARIES     2.0949                        0.058191   0.057564   0.057207  0.057224     15.83    20.63
Freddie Mac              3134GBER9 04/18/17 04/18/22    100.000    VARIES     1.9672                        0.054644   0.054020   0.053868  0.053886     13.78    19.41
Freddie Mac              3134GBFY3 04/19/17 04/19/22    100.000    VARIES     1.9997                        0.055548   0.054909   0.054729  0.054776     13.95    19.73
Freddie Mac              3134GBML3 05/16/17 05/16/22    100.000    VARIES     1.9154                        0.053206   0.052585   0.052490  0.052527     11.94    18.91
Freddie Mac              3134GBNR9 05/24/17 05/24/22    100.000    VARIES     1.8958                        0.052661   0.052058   0.051992  0.052024     11.41    18.73
FEDERAL HOME LOAN MORTGA 3134GBP22 10/11/17 10/11/22    100.000    VARIES     1.8895                                   0.010632   0.010190  0.010172      0.85     3.71
Freddie Mac              3134GBQD7 05/24/17 05/24/22    100.000    VARIES     1.9445                        0.054014   0.053337   0.053235  0.053205     11.70    19.18
Federal National         31359MEL3 01/29/99 06/01/17     34.790     0.000     5.8405    628.45   0.157634                                                23.65         
Federal National         3136F1EQ9 12/27/01 03/17/31     16.751     0.000     6.2082    251.97   0.071066   0.073272   0.075546   0.077891  0.080309     26.45    28.11
Federal National         3136F3LA2 04/04/03 10/03/33     20.285     0.000     5.2999    213.44   0.060502   0.062105   0.063751   0.065440  0.067174     22.36    23.56
Federal National         3136F3ZC3 06/09/03 12/15/33     23.674     0.000        N/A             0.060049   0.061492   0.062970   0.064483  0.066032     21.92    22.99
Federal National         3136F4R55 01/07/04 12/15/34     18.268     0.000     5.5708    190.18   0.057555   0.059158   0.060806   0.062500  0.064241     21.06    22.25
Federal National         3136F7NM5 11/15/05 11/15/30     26.938     0.000     5.3159    213.62   0.070841   0.072724   0.074657   0.076641  0.078678     26.02    27.42
Fannie Mae               3136G1SZ3 08/15/13 07/01/18     95.481     0.000     0.9502     31.07   0.026023   0.026147   0.026271                           9.39     4.73
Fannie Mae               3136G1ZJ1 03/21/14 01/26/19**   97.874     0.000        N/A             0.000000   0.000000   0.000000   0.000000  0.000000      0.00**   0.00
Forney Independent SD, T 3464242U7 02/18/14 08/15/39     16.888     0.000     7.1001     37.46   0.039632   0.041039   0.042496   0.044005  0.045567     14.91    15.99
Forney Independent SD, T 3464242V5 02/18/14 08/15/40     15.550     0.000     7.1501     34.75   0.036793   0.038108   0.039471   0.040882  0.042343     13.85    14.85
Forney Independent SD, T 3464242W3 02/18/14 08/15/41     14.304     0.000     7.2001     32.21   0.034122   0.035351   0.036623   0.037942  0.039308     12.85    13.79
Forney Independent SD, T 3464242X1 02/18/14 08/15/42     13.145     0.000     7.2501     29.82   0.031614   0.032760   0.033947   0.035178  0.036453     11.90    12.78
Forney Independent SD, T 3464242Y9 02/18/14 08/15/43     12.068     0.000     7.3002     27.59   0.029259   0.030327   0.031434   0.032582  0.033771     11.02    11.84
Forney Independent SD, T 3464242Z6 02/18/14 08/15/44     11.069     0.000     7.3502     25.49   0.027054   0.028048   0.029079   0.030147  0.031255     10.19    10.96
Forney Independent SD, T 3464243A0 02/18/14 08/15/45     10.143     0.000     7.4002     23.53   0.024989   0.025914   0.026872   0.027867  0.028898      9.42    10.13
Forney Independent SD, T 3464243B8 02/18/14 08/15/46      9.141     0.000     7.5003     21.52   0.022880   0.023738   0.024628   0.025552  0.026510      8.63     9.29
Forney Independent SD, T 3464243C6 02/18/14 08/15/47      8.223     0.000     7.6001     19.64   0.020906   0.021700   0.022525   0.023381  0.024269      7.89     8.50
Forney Independent SD, T 3464243D4 02/18/14 08/15/48      7.382     0.000     7.7003     17.89   0.019061   0.019795   0.020557   0.021349  0.022171      7.20     7.76
Forney Independent SD, T 3464243E2 02/18/14 08/15/49      6.615     0.000     7.8003     16.25   0.017344   0.018020   0.018723   0.019453  0.020212      6.55     7.07
Forney Independent SD, T 3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     14.90   0.015907   0.016531   0.017180   0.017854  0.018555      6.01     6.49
Forney Independent SD, T 3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     13.64   0.014574   0.015150   0.015748   0.016370  0.017017      5.51     5.95
Forney Independent SD, T 3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     12.48   0.013340   0.013870   0.014422   0.014995  0.015591      5.04     5.45
Forney Independent SD, T 3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     11.40   0.012197   0.012685   0.013193   0.013721  0.014269      4.61     4.99
Forney Independent SD, T 346424X90 08/27/13 08/15/38     17.946     0.000     7.0000     46.47   0.042798   0.044296   0.045846   0.047451  0.049111     16.09    17.24
Forney Independent SD, T 346424Y24 08/27/13 08/15/39     16.544     0.000     7.0499     43.17   0.039793   0.041196   0.042648   0.044151  0.045708     14.97    16.04
Forney Independent SD, T 346424Y32 08/27/13 08/15/40     15.436     0.000     7.0501     40.28   0.037129   0.038438   0.039793   0.041195  0.042647     13.96    14.97
Forney Independent SD, T 346424Y40 08/27/13 08/15/41     14.210     0.000     7.0999     37.37   0.034471   0.035695   0.036962   0.038274  0.039633     12.97    13.91
Forney Independent SD, T 346424Y57 08/27/13 08/15/42     13.252     0.000     7.1001     34.85   0.032148   0.033289   0.034471   0.035694  0.036961     12.09    12.97
Forney Independent SD, T 346424Y65 08/27/13 08/15/43     12.359     0.000     7.1000     32.50   0.029981   0.031046   0.032148   0.033289  0.034471     11.28    12.09
Franklin CNTYS, IL       352415EH2 09/30/16 12/01/18    102.407     3.750     2.6021      6.73   0.073886   0.073492   0.073093   0.072689               26.50    24.05
Franklin CNTYS, IL       352415EJ8 09/30/16 12/01/19    102.706     3.750     2.8512      7.40   0.081233   0.080906   0.080575   0.080238  0.079897     29.17    28.93
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Franklin CNTYS, IL       352415EK5 09/30/16 12/01/20    104.461     4.250     3.1014      8.18   0.089845   0.089407   0.088963   0.088512  0.088054     32.24    31.92
Franklin CNTYS, IL       352415EL3 09/30/16 12/01/21    106.144     4.500     3.2012      8.58   0.094219   0.093726   0.093225   0.092717  0.092200     33.80    33.44
College District #534 IL 360395FH5 07/22/10 12/01/17    105.580    VARIES     4.4767             0.125404   0.124885                                     41.29         
College District #534 IL 360395FJ1 07/22/10 12/01/18    103.358    VARIES     4.9260             0.138056   0.137761   0.137460   0.137151               49.63    45.31
College District #534 IL 360395FK8 07/22/10 12/01/19    103.249    VARIES     5.2256             0.146845   0.146581   0.146310   0.146032  0.145747     52.80    52.60
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES     5.4261             0.151925   0.151789   0.151649   0.151505  0.151357     54.66    54.56
FULTON MC DONOUGH & SCHU 360406BT8 09/19/17 12/01/19    100.000     2.500     2.4872                        0.069089   0.069433   0.070296  0.069098      7.06    25.14
GS Finance Corp.         362273AG9 12/17/15 06/19/23    100.000     0.000     2.9199             0.083506   0.084725   0.085962   0.087217  0.088490     30.31    31.20
GS FIN CORP              362273BK9 07/06/17 07/08/24    100.000     0.250     2.8998                        0.080550   0.080462   0.081528  0.082610     14.08    29.53
GS FINANCE CORP          36253M679 09/14/17 09/16/21    100.000     0.000     2.2324                        0.062012   0.062019   0.062712  0.063412      6.64    22.60
GS FINANCE CORP          36253M687 09/14/17 09/15/22    100.000     0.000     2.3683                                   0.065789   0.066568  0.067357      7.04    23.99
GS FINANCE CORP          36253M695 09/14/17 09/14/23    100.000     0.000     2.6628                                   0.073966   0.074950  0.075948      7.91    27.02
GS FINANCE CORP          36253M703 09/14/17 09/15/22    100.000     0.000     2.3683                                   0.065789   0.066568  0.067357      7.04    23.99
GS FINANCE CORP          36253M711 09/14/17 09/14/23    100.000     0.000     2.6628                                   0.073966   0.074950  0.075948      7.91    27.02
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES    12.5014             0.638806   0.670923   0.705046   0.741303  0.779827    238.80   263.78
Goldman Sachs Group, Inc 38141GFF6 12/28/07 12/28/17    100.000     0.000     5.8500             0.273042   0.281028                                     98.91         
Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27    100.000    VARIES     4.6427             0.117668   0.117224   0.116769   0.116993  0.117221     42.23    42.10
Goldman Sachs Group, Inc 38141GGX6 11/30/12 12/04/19    100.000     0.000     3.2000             0.100961   0.102576   0.104218   0.105885  0.107579     36.72    37.91
Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27    100.000    VARIES     4.0948             0.104198   0.103878   0.103551   0.103747  0.103946     37.43    37.33
Goldman Sachs Group, Inc 38141GJY1 12/10/12 12/10/17    100.000    VARIES     1.7366             0.008903   0.008980                                      3.03         
Goldman Sachs Group, Inc 38141GKC7 12/31/12 01/02/20    100.000     0.000     2.8000             0.085740   0.086940   0.088157   0.089391  0.090643     31.52    32.40
Goldman Sachs Group, Inc 38141GLQ5 01/31/13 02/03/20    100.000     0.000     3.2298             0.100391   0.102012   0.103660   0.105334  0.107035     36.92    38.12
Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28    100.000    VARIES     4.3421             0.108435   0.107947   0.107449   0.106940  0.107150     38.79    38.54
Goldman Sachs Group, Inc 38141GMG6 01/25/13 01/24/20    100.000     0.000     3.1499             0.097602   0.099139   0.100700   0.102286  0.103897     35.90    37.04
Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28    100.000    VARIES     4.2924             0.107165   0.106793   0.106414   0.106026  0.106272     38.41    38.22
Goldman Sachs Group, Inc 38141GNB6 02/28/13 03/02/20    100.000     0.000     2.9677             0.091406   0.092762   0.094138   0.095535  0.096953     33.48    34.48
Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28    100.000    VARIES     4.2915             0.105341   0.103014   0.104089   0.101755  0.103529     37.87    37.49
Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28    100.000    VARIES     4.1925             0.103865   0.103373   0.102871   0.102358  0.102484     37.19    36.90
Goldman Sachs Group, Inc 38141GPV0 03/28/13 03/31/20    100.000     0.000     3.1234             0.096726   0.098236   0.099770   0.101329  0.102911     35.37    36.48
Goldman Sachs Group, Inc 38141GPW8 03/06/13 03/06/18    100.000    VARIES     1.3286             0.008017   0.008070   0.008124                           2.91     0.53
Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28    100.000    VARIES     4.6902             0.117779   0.116806   0.116759   0.116711  0.116661     42.12    42.01
Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28    100.000    VARIES     4.6888             0.117514   0.116569   0.116547   0.116524  0.116501     42.04    41.95
Goldman Sachs Group, Inc 38141GRR7 04/30/13 04/30/20    100.000     0.000     2.8401             0.087075   0.088312   0.089566   0.090838  0.092128     31.72    32.63
Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28    100.000    VARIES     4.3925             0.111279   0.110918   0.110549   0.110172  0.110369     39.95    39.72
Goldman Sachs Group, Inc 38141GSQ8 04/30/13 04/30/20    100.000    VARIES     1.6755             0.003927   0.003960   0.003993   0.004026  0.004060      1.42     1.45
Goldman Sachs Group, Inc 38141GST2 05/31/13 06/03/21    100.000     0.000     3.4201             0.107007   0.108837   0.110698   0.112591  0.114517     38.96    40.30
Goldman Sachs Group, Inc 38141GTV6 05/21/13 05/21/20    100.000    VARIES     2.7012             0.077205   0.077160   0.076966   0.076769  0.076402     27.78    27.65
Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28    100.000    VARIES     4.3920             0.110207   0.109893   0.109571   0.109243  0.109498     39.60    39.38
Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28    100.000    VARIES     4.4916             0.112008   0.111652   0.111288   0.110916  0.111196     40.23    39.99
Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28    100.000    VARIES     4.4921             0.112719   0.112466   0.112208   0.111944  0.112233     40.52    40.35
Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27    100.000     4.250     3.6188                        0.012578   0.012261   0.011938  0.011609      2.64     4.34
Goldman Sachs Group, Inc 38143AGB5 01/31/12 01/31/19    100.000     0.000     2.2999             0.069272   0.071230   0.070874   0.072877  0.072514     25.89    26.48
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Bank USA   38143AJG1 02/29/12 02/28/19    100.000     0.000     2.2001             0.067066   0.066698   0.068549   0.068173  0.070066     24.59    25.14
Goldman Sachs Group, Inc 38143ALM5 03/30/12 04/01/19    100.000     0.000     2.2483             0.068313   0.068704   0.069858   0.070257  0.071437     25.15    25.72
Goldman Sachs Group, Inc 38143APY5 04/30/12 04/30/19    100.000     0.000     2.2499             0.068734   0.068374   0.070289   0.069921  0.071879     25.12    25.69
Goldman Sachs Group, Inc 38143ARV9 05/31/12 05/31/19    100.000     0.000     2.2497             0.068352   0.068743   0.069898   0.070298  0.071480     25.07    25.64
Goldman Sachs Group, Inc 38143AUA1 06/29/12 07/01/19    100.000     0.000     2.1501             0.065404   0.065029   0.066818   0.066435               23.80    24.32
Goldman Sachs Group, Inc 38143AWH4 07/31/12 07/31/19    100.000     0.000     2.1500             0.063641   0.065391   0.065016   0.066804  0.066422     23.76    24.27
Goldman Sachs Group, Inc 38143AXC4 08/30/12 08/31/17    100.000     0.000     1.6988             0.050215   0.049816                                     12.08         
Goldman Sachs Group, Inc 38143AYM1 08/31/12 09/03/19    100.000     0.000     2.1004             0.063092   0.062715   0.064424   0.064039  0.065784     23.12    23.61
GOLDMAN SACHS BANK USA   38143AYN9 08/30/12 08/30/19    100.000     0.250     2.0895     94.03   0.061612   0.062190   0.062763   0.063352  0.063937     22.74    23.16
Goldman Sachs Group, Inc 38143AYS8 08/23/12 08/23/17    100.000    VARIES     1.7918             0.052292   0.053635                                     12.48         
Goldman Sachs Group, Inc 38143U2A8 04/30/12 01/31/18    100.000     0.000     4.2502             0.141173   0.144173   0.147237                          52.28     4.27
Goldman Sachs Group, Inc 38143U3A7 05/31/12 06/02/17    100.000     0.000     4.6998             0.160944                                                24.30         
Goldman Sachs Group, Inc 38143U3T6 05/14/12 05/14/17    100.000    VARIES     2.9895             0.014218                                                 1.89         
Goldman Sachs Group, Inc 38143U4D0 07/31/12 02/01/18    100.000     0.000     3.8502             0.124588   0.126987   0.129431                          46.01     3.88
Goldman Sachs Group, Inc 38143U5H0 08/31/12 09/04/18    100.000     0.000     3.4599             0.110284   0.112192   0.114133   0.116107               40.50    28.09
Goldman Sachs Group, Inc 38143U6M8 08/31/12 08/31/18    100.000     0.000     3.5003             0.111090   0.111191   0.115013   0.115117               41.05    27.85
Goldman Sachs Group, Inc 38143U6V8 09/28/12 12/31/18    100.000     0.000     3.1502             0.099403   0.099323   0.102559   0.102476               36.27    37.32
Goldman Sachs Group, Inc 38143U7M7 11/02/12 11/01/19    100.000     0.000     3.0102             0.094223   0.095641   0.097081   0.098542  0.100025     34.35    35.39
Goldman Sachs Group, Inc 38143UF63 10/31/11 05/01/17    100.000     0.000     3.9000             0.131426                                                15.77         
Goldman Sachs Group, Inc 38143UH53 12/30/11 07/03/17    100.000     0.000     4.7823             0.164389   0.168320                                     30.63         
Goldman Sachs Group Inc. 38143UKX8 08/31/10 08/31/17    100.000     0.000     4.4060             0.158087   0.158935                                     38.41         
Goldman Sachs Group, Inc 38143UL25 01/31/12 07/31/17    100.000     0.000     4.0497             0.134733   0.137461                                     28.65         
Goldman Sachs Group, Inc 38143ULK5 07/28/10 07/28/17    100.000    VARIES     2.6535             0.017355   0.017585                                      3.63         
Goldman Sachs Group, Inc 38143ULM1 07/28/10 07/28/17    100.000    VARIES     2.6469             0.017179   0.017406                                      3.60         
Goldman Sachs Group, Inc 38143ULN9 08/06/10 08/06/20    100.000    VARIES     2.8170             0.020491   0.020780   0.021073   0.021369  0.021670      7.51     7.73
Goldman Sachs Group, Inc 38143ULV1 08/26/10 08/26/20    100.000    VARIES     2.6793             0.022558   0.022860   0.023167   0.023477  0.023792      8.25     8.47
Goldman Sachs Group, Inc 38143UMA6 08/20/10 08/20/20    100.000    VARIES     2.6781             0.014138   0.014327   0.014519   0.014713  0.014910      5.17     5.31
Goldman Sachs Group, Inc 38143UME8 09/08/10 09/08/17    100.000    VARIES     2.3458             0.014812   0.014986                                      3.69         
Goldman Sachs Group, Inc 38143UMH1 09/08/10 09/08/20    100.000    VARIES     2.6543             0.023956   0.024273   0.024596   0.024922  0.025253      8.75     8.99
Goldman Sachs Group, Inc 38143UMJ7 09/10/10 09/10/20    100.000    VARIES     2.6625             0.015357   0.015561   0.015769   0.015979  0.016191      5.61     5.76
Goldman Sachs Group, Inc 38143UMQ1 09/29/10 09/28/17    100.000     0.000     4.0718             0.144037   0.146970                                     38.99         
Goldman Sachs Group, Inc 38143UMU2 09/21/10 09/21/20    100.000    VARIES     2.7709             0.020574   0.020859   0.021148   0.021441  0.021739      7.52     7.73
Goldman Sachs Group, Inc 38143UMW8 09/21/10 09/21/17    100.000    VARIES     2.3117             0.019537   0.019762                                      5.12         
Goldman Sachs Group, Inc 38143UNH0 10/29/10 10/31/17    100.000     2.000     3.7647             0.116882   0.118036                                     35.16         
Goldman Sachs Group, Inc 38143UNT4 10/29/10 10/29/20    100.000    VARIES     2.0302             0.019013   0.019206   0.019401   0.019598  0.019797      6.90     7.04
Goldman Sachs Group, Inc 38143UNU1 10/29/10 10/29/20    100.000    VARIES     2.3764             0.023713   0.023995   0.024280   0.024568  0.024860      8.62     8.83
Goldman Sachs Group, Inc 38143UNY3 11/01/10 11/01/17    100.000    VARIES     1.9534             0.004496   0.004540                                      1.36         
Goldman Sachs Group, Inc 38143UP54 02/29/12 08/31/17    100.000     0.000     4.3504             0.145858   0.146601                                     35.43         
Goldman Sachs Group, Inc 38143UPF2 11/15/10 11/15/17    100.000    VARIES     2.1779             0.013373   0.013519                                      4.23         
Goldman Sachs Group, Inc 38143UQC8 11/30/10 11/30/17    100.000    VARIES     2.2521             0.012715   0.012858                                      4.21         
Goldman Sachs Group, Inc 38143UQP9 12/22/10 12/22/20    100.000    VARIES     2.3885             0.023658   0.023940   0.024226   0.024515  0.024808      8.57     8.78
Goldman Sachs Group, Inc 38143UQQ7 01/31/11 01/31/17    100.000     0.000     3.6502             0.123713                                                 3.59         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38143UQZ7 01/31/11 01/31/18    100.000    VARIES     1.9815             0.018272   0.018453   0.018636                           6.67     0.54
Goldman Sachs Group, Inc 38143URD5 02/28/11 02/28/17    100.000     0.000     4.0298             0.138637                                                 8.04         
Goldman Sachs Group, Inc 38143URX1 03/31/11 03/31/17    100.000     0.000     3.9998             0.138146                                                12.29         
Goldman Sachs Group, Inc 38143US77 03/30/12 01/03/18    100.000     0.000     4.1998             0.139255   0.142180   0.145165                          51.71     0.29
Goldman Sachs Group, Inc 38143USM4 03/18/11 03/18/21    100.000    VARIES     5.2914             0.151732   0.151545   0.151161   0.150767  0.150236     54.53    54.25
Goldman Sachs Group, Inc 38143UTJ0 04/29/11 05/01/17    100.000     0.000     3.7498             0.127800                                                15.34         
Goldman Sachs Group, Inc 38143UTN1 04/13/11 04/13/21    100.000    VARIES     5.2208             0.148357   0.148178   0.147858   0.147530  0.147126     53.34    53.11
Goldman Sachs Group, Inc 38143UUA7 04/29/11 04/29/21    100.000    VARIES     2.1672             0.016216   0.016392   0.016569   0.016749  0.016930      5.89     6.02
Goldman Sachs Group, Inc 38143UUJ8 05/31/11 05/31/17    100.000     0.000     3.9998             0.138146                                                20.58         
Goldman Sachs Group, Inc 38143UUY5 07/20/11 07/20/21    100.000     0.000     5.1298             0.183565   0.188274   0.193103   0.198056  0.203136     68.47    72.02
Goldman Sachs Group, Inc 38143UVG3 06/07/11 06/07/21    100.000    VARIES     2.2754             0.016846   0.017037   0.017231   0.017427  0.017625      6.11     6.25
Goldman Sachs Group, Inc 38143UVH1 06/30/11 06/30/17    100.000     0.000     3.7799             0.129010                                                23.09         
Goldman Sachs Group, Inc 38143UVT5 06/13/11 06/13/17    100.000     0.000     4.0901             0.141953                                                23.00         
Goldman Sachs Group, Inc 38143UW23 06/29/12 06/30/17    100.000     0.000     4.1000             0.136723                                                24.47         
Goldman Sachs Group, Inc 38143UWM9 08/04/11 07/31/17    100.000     0.000     3.7994             0.124572   0.129043                                     27.09         
Goldman Sachs Group, Inc 38143UXG1 08/31/11 01/31/17    100.000     0.000     3.7498             0.125039                                                 3.63         
Goldman Sachs Group, Inc 38143UY47 06/18/12 06/18/17    100.000    VARIES     3.6371             0.011439                                                 1.91         
Goldman Sachs Group, Inc 38143UZJ3 11/30/11 06/02/17    100.000     0.000     5.4499             0.198143                                                29.92         
Goldman Sachs Group. Inc 381470JN4 08/30/13 09/02/20    100.000     0.000     3.8498             0.119924   0.122233   0.124586   0.126984  0.129428     44.14    45.86
Goldman Sachs Group, Inc 38147Q2D7 04/30/14 05/03/21    100.000     0.000     3.0002             0.089802   0.091149   0.092517   0.093905  0.095313     32.73    33.72
Goldman Sachs Group, Inc 38147Q2G0 04/30/14 11/02/21    100.000     0.000     3.1299             0.093979   0.095449   0.096943   0.098460  0.100001     34.27    35.35
Goldman Sachs Group, Inc 38147Q2H8 04/14/14 04/14/29    100.000    VARIES     4.5255             0.112749   0.111932   0.111096   0.110242  0.110442     40.32    39.79
Goldman Sachs Group, Inc 38147Q2Z8 04/21/14 04/21/29    100.000    VARIES     4.5486             0.119370   0.118766   0.118148   0.117517  0.117575     42.78    42.38
Goldman Sachs Group, Inc 38147Q4M5 05/30/14 12/02/21    100.000     0.000     3.0000             0.089788   0.091135   0.092502   0.093890  0.095298     32.64    33.63
Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28    100.000    VARIES     4.9491             0.120547   0.118736   0.116881   0.116913  0.116947     43.01    42.08
Goldman Sachs Group, Inc 38147Q5K8 05/30/14 09/02/20    100.000     0.000     2.5499             0.074999   0.075955   0.076923   0.077904  0.078897     27.40    28.10
Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29    100.000    VARIES     4.4103             0.111880   0.111500   0.111111   0.110713  0.110925     40.18    39.92
Goldman Sachs Group, Inc 38147Q5P7 05/16/14 05/16/17    100.000     0.000     1.5599             0.045048                                                 6.08         
Goldman Sachs Group,Inc. 38147Q6D3 05/23/14 05/23/17    100.000     0.000     1.4897             0.042943                                                 6.10         
Goldman Sachs Group, Inc 38147Q6M3 05/28/14 05/28/19    100.000    VARIES     2.3798             0.070134   0.070969   0.071813   0.072668  0.073533     25.45    26.06
Goldman Sachs Group, Inc 38147Q6R2 06/02/14 06/02/17    100.000     0.000     1.6957             0.049132                                                 7.42         
Goldman Sachs Group, Inc 38147Q7D2 06/30/14 12/30/21    100.000     0.000     3.0001             0.089776   0.091123   0.092490   0.093877  0.095286     32.56    33.55
Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29    100.000    VARIES     4.3665             0.112736   0.112428   0.112113   0.111792  0.111923     40.53    40.30
Goldman Sachs Group, Inc 38147QAH9 06/12/14 06/12/29*   100.000    VARIES     4.2455             0.113648                                                15.00*        
Goldman Sachs Group, Inc 38147QAK2 01/10/14 01/10/29    100.000    VARIES     4.9699             0.123464   0.121769   0.120033   0.118253  0.118268     43.56    42.59
Goldman Sachs Group, Inc 38147QAS5 06/28/13 12/31/20    100.000     0.000     3.9899             0.127295   0.129834   0.132424   0.135066  0.137761     46.29    48.15
Goldman Sachs Group, Inc 38147QB39 06/18/14 06/17/21    100.000     0.000     3.2500             0.097846   0.099436   0.101051   0.102693  0.104362     35.56    36.72
Goldman Sachs Group, Inc 38147QB54 06/27/14 06/27/29*   100.000    VARIES     4.0951             0.109633   0.109360                                     29.25*        
Goldman Sachs Group, Inc 38147QB96 06/27/14 06/27/17    100.000     0.000     1.6003             0.046260                                                 8.14         
Goldman Sachs Group, Inc 38147QBB1 01/31/14 02/03/21    100.000     0.000     3.2502             0.097888   0.099479   0.101095   0.102738  0.104408     36.00    37.18
Goldman Sachs Group, Inc 38147QBC9 06/30/14 06/30/29    100.000    VARIES     4.3157             0.110260   0.109976   0.109685   0.109388  0.109545     39.64    39.43
Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28    100.000    VARIES     4.8590             0.121529   0.120567   0.119580   0.119717  0.119857     43.45    43.09
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QC46 07/31/14 08/03/21    100.000     0.000     3.1497             0.093159   0.094626   0.096116   0.097630  0.099168     34.24    35.33
Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28    100.000    VARIES     4.6926             0.119111   0.118893   0.118670   0.118442  0.118694     42.84    42.68
Goldman Sachs Group, Inc 38147QDF0 01/23/14 01/23/29    100.000    VARIES     4.9794             0.125057   0.124307   0.123538   0.122749  0.123153     44.65    44.27
Goldman Sachs Group, Inc 38147QDL7 08/18/14 08/18/29    100.000    VARIES     4.3047             0.109757   0.109443   0.109122   0.108794  0.108459     39.37    39.14
Goldman Sachs Group, Inc 38147QDV5 08/29/14 09/01/21    100.000     0.000     3.0001             0.088465   0.089792   0.091139   0.092506  0.093894     32.41    33.39
Goldman Sachs Group, Inc 38147QES1 07/31/13 08/03/20    100.000     0.000     3.9198             0.122370   0.124768   0.127214   0.129707  0.132249     45.20    46.99
Goldman Sachs Group, Inc 38147QEX0 01/24/14 01/24/29    100.000    VARIES     4.8384             0.119771   0.118332   0.116857   0.115347  0.115411     42.40    41.57
Goldman Sachs Group, Inc 38147QFG6 09/15/14 09/15/29    100.000    VARIES     4.2975             0.112064   0.111840   0.111611   0.111378  0.111139     40.25    40.09
Goldman Sachs Group, Inc 38147QFL5 09/30/14 09/30/21    100.000     0.000     3.0002             0.088452   0.089779   0.091126   0.092493  0.093880     32.32    33.30
Goldman Sachs Group, Inc 38147QFR2 06/04/14 06/04/29*   100.000    VARIES     3.8461             0.103036   0.102760                                     22.03*        
Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28    100.000    VARIES     4.9007             0.123769   0.123588   0.123402   0.123212  0.123017     44.47    44.33
Goldman Sachs Group, Inc 38147QGP5 02/05/14 02/05/29    100.000    VARIES     4.7103             0.118695   0.118017   0.117322   0.116611  0.116833     42.41    42.04
Goldman Sachs Group, Inc 38147QGV2 09/23/14 12/19/19    100.000     0.000     2.8659             0.084847   0.086063   0.087296   0.088547  0.089816     30.79    31.68
Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22    100.000     0.000     3.4944             0.103435   0.105242   0.107081   0.108952  0.110855     38.08    39.42
Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22    100.000     0.000     3.4944             0.103435   0.105242   0.107081   0.108952  0.110855     38.08    39.42
Goldman Sachs Group, Inc 38147QHH2 10/08/14 02/06/20    100.000    VARIES     2.7916             0.081576   0.082714   0.083869   0.085039  0.086226     29.90    30.75
Goldman Sachs Group, Inc 38147QHL3 09/30/14 09/30/29    100.000    VARIES     4.2677             0.111642   0.111517   0.111390   0.111259  0.111127     40.15    40.05
Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28    100.000    VARIES     4.8903             0.123235   0.123079   0.122920   0.122757  0.122591     44.29    44.17
Goldman Sachs Group, Inc 38147QHT6 02/28/14 03/03/21    100.000     0.000     3.0001             0.089799   0.091146   0.092513   0.093900  0.095309     32.89    33.88
GOLDMAN SACHS GROUP INC  38147QHU3 10/30/14 11/01/21    100.000     2.000     3.0152     65.99   0.085503   0.085955   0.086413   0.086878  0.087350     30.92    31.25
Goldman Sachs Group, Inc 38147QHX7 02/28/14 08/31/21    100.000     0.000     3.1500             0.094088   0.094012   0.097075   0.096996  0.100157     34.70    35.80
Goldman Sachs Group, Inc 38147QHY5 10/30/14 11/01/21    100.000     0.000     3.0012             0.088492   0.089820   0.091167   0.092535  0.093924     32.26    33.23
Goldman Sachs Group, Inc 38147QJU1 10/16/14 10/16/29    100.000    VARIES     3.7998             0.097462   0.097385   0.097305   0.097225  0.097142     35.06    35.00
Goldman Sachs Group, Inc 38147QJW7 08/12/13 08/10/18    100.000     0.000     2.6999             0.081269   0.082366   0.083478   0.084605               29.77    18.48
Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28    100.000    VARIES     4.9004             0.122132   0.121058   0.119957   0.120156  0.120359     43.67    43.24
Goldman Sachs Group, Inc 38147QLJ3 08/15/13 08/15/28    100.000    VARIES     4.8879             0.120732   0.120216   0.119687   0.119145  0.118591     43.23    42.84
Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22    100.000     0.000     3.1503             0.093145   0.094613   0.096103   0.097617  0.099154     33.90    34.97
Goldman Sachs Group, Inc 38147QLX2 02/19/14 02/19/21    100.000     0.000     3.4636             0.104836   0.106652   0.108499   0.110378  0.112290     38.55    39.90
Goldman Sachs Group, Inc 38147QM60 11/29/13 12/01/20    100.000     0.000     3.0003             0.091147   0.092514   0.093902   0.095311  0.096740     33.14    34.14
Goldman Sachs Group, Inc 38147QM78 11/21/14 11/21/29    100.000    VARIES     3.9468             0.101685   0.101578   0.101469   0.101358  0.101245     36.58    36.50
Goldman Sachs Group, Inc 38147QMB9 02/24/14 02/24/29    100.000    VARIES     4.6770             0.117267   0.116024   0.114752   0.113451  0.113509     41.67    40.92
Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22    100.000     0.000     3.1499             0.093140   0.094607   0.096097   0.097611  0.099148     33.90    34.97
Goldman Sachs Group, Inc 38147QME3 08/12/13 08/12/20    100.000     0.000     3.9699             0.124079   0.126542   0.129054   0.131616  0.134228     45.80    47.64
Goldman Sachs Group, Inc 38147QMF0 02/13/14 02/16/21    100.000     0.000     3.4814             0.105453   0.107288   0.109156   0.111056  0.112989     38.79    40.16
Goldman Sachs Group, Inc 38147QMJ2 08/15/13 08/15/28    100.000    VARIES     4.8904             0.123442   0.123154   0.122860   0.122558  0.122250     44.31    44.09
Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22    100.000     0.000     2.9500             0.086880   0.088162   0.089462   0.090781  0.092121     31.51    32.45
Goldman Sachs Group, Inc 38147QNV4 12/10/14 12/10/18    100.000     0.000     2.2404             0.065070   0.065798   0.066536   0.067281               23.59    22.69
Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22    100.000     0.000     2.9499             0.086877   0.088158   0.089458   0.090778  0.092117     31.51    32.45
GOLDMAN SACHS GROUP INC  38147QNZ5 11/28/14 11/29/19    100.000     1.000     2.5062     53.06   0.071759   0.072310   0.072868   0.073433  0.074005     25.97    26.37
Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23    100.000    VARIES     4.5507             0.127220   0.126594   0.127360   0.126591  0.127211     46.34    46.33
Goldman Sachs Group, Inc 38147QQ25 11/13/13 11/13/23    100.000    VARIES     4.2199             0.108293   0.107902   0.107503   0.108041  0.108591     38.88    38.85
Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28    100.000    VARIES     5.0554             0.123200   0.122787   0.122363   0.121929  0.121484     44.18    43.87
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22    100.000     0.000     2.4699             0.071187   0.072066   0.072956   0.073857  0.074769     26.05    26.70
Goldman Sachs Group, Inc 38147QQQ2 12/31/14 12/29/17    100.000     0.000     2.1580             0.062572   0.063247                                     22.52         
Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22    100.000     0.000     2.5001             0.072089   0.072990   0.073902   0.074826  0.075761     26.39    27.05
Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22    100.000     0.000     2.4698             0.071180   0.072059   0.072949   0.073850  0.074762     26.05    26.70
Goldman Sachs Group, Inc 38147QRT5 03/12/14 03/12/29    100.000    VARIES     4.6444             0.123694   0.123160   0.122613   0.122053  0.122055     44.32    43.98
Goldman Sachs Group, Inc 38147QS31 01/30/15 01/30/30    100.000    VARIES     3.6879             0.098000   0.098015   0.098031   0.098047  0.098249     35.29    35.33
Goldman Sachs Group, Inc 38147QSE7 09/30/13 10/01/20    100.000     0.000     3.6700             0.113708   0.115794   0.117919   0.120083  0.122286     41.69    43.23
Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29    100.000    VARIES     4.6202             0.116656   0.116055   0.115439   0.114810  0.115032     41.76    41.40
Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23    100.000     0.000     2.9999             0.086662   0.086528   0.089282   0.089143  0.091980     31.93    32.89
Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23    100.000     0.000     3.0001             0.086677   0.086543   0.089297   0.089159  0.091996     31.93    32.90
Goldman Sachs Group, Inc 38147QTP1 03/31/14 09/30/21    100.000     0.000     3.1501             0.094614   0.096104   0.097618   0.099156  0.100717     34.60    35.70
Goldman Sachs Group, Inc 38147QTT3 03/31/14 04/01/21    100.000     0.000     2.9998             0.089774   0.091121   0.092487   0.093875  0.095283     32.81    33.80
Goldman Sachs Group, Inc 38147QTV8 02/27/15 08/29/22    100.000     0.000     3.0000             0.085717   0.087481   0.088308   0.090125  0.090977     31.93    32.90
Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29    100.000    VARIES     4.6241             0.113601   0.113039   0.112463   0.111874  0.112203     40.68    40.35
Goldman Sachs Group, Inc 38147QU79 02/17/15 02/17/30*   100.000    VARIES     3.4969             0.094938   0.094180   0.094074                          29.79*        
Goldman Sachs Group, Inc 38147QUR5 02/27/15 02/27/30    100.000    VARIES     3.6524             0.096479   0.096466   0.096454   0.096441  0.096649     34.73    34.75
Goldman Sachs Group, Inc 38147QUW4 09/20/13 09/20/28    100.000    VARIES     5.0884             0.127419   0.126947   0.126462   0.125966  0.125456     45.69    45.34
Goldman Sachs Group, Inc 38147QV45 02/27/15 02/27/30    100.000    VARIES     3.4811             0.091185   0.091054   0.090921   0.090786  0.090867     32.77    32.70
Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23    100.000     0.000     2.8001             0.081094   0.082229   0.083380   0.084548  0.085731     29.61    30.44
Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25    100.000     0.000     2.9501             0.085162   0.085009   0.087692   0.087535  0.090299     31.37    32.30
Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23    100.000     0.000     3.1002             0.090182   0.091580   0.093000   0.094441  0.095905     32.98    34.01
Goldman sachs Group, Inc 38147QVJ2 09/27/13 09/27/19    100.000     0.000     3.0000             0.091121   0.092488   0.093875   0.095283  0.096713     33.31    34.32
Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22    100.000     0.000     2.8501             0.082596   0.083773   0.084967   0.086178  0.087406     30.16    31.03
Goldman Sachs Group, Inc 38147QVU7 03/12/15 03/12/21    100.000     0.000     2.7499             0.079580   0.080674   0.081783   0.082908  0.084048     29.09    29.89
Goldman Sachs Group, Inc 38147QW77 03/31/15 04/01/21    100.000     0.000     2.1498             0.061666   0.062329   0.062999   0.063676  0.064361     22.44    22.92
Goldman Sachs Group, Inc 38147QWX0 03/31/14 03/31/29    100.000    VARIES     4.5514             0.116035   0.115721   0.115400   0.115072  0.115330     41.66    41.48
Goldman Sachs Group, Inc 38147QXA9 10/31/13 11/03/20    100.000     0.000     3.3503             0.102277   0.102294   0.105732   0.105750  0.109304     37.54    38.81
Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23    100.000     0.000     3.0000             0.087141   0.088448   0.089775   0.091122  0.092489     31.78    32.74
Goldman Sachs Group, Inc 38147QXF8 03/31/14 03/31/29    100.000    VARIES     4.5507             0.113627   0.112831   0.112017   0.111185  0.111365     40.62    40.12
Goldman Sachs Group, Inc 38147QXK7 03/28/14 06/30/20    100.000     0.000     2.7499             0.082359   0.083491   0.084639   0.085803  0.086982     29.86    30.68
Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22    100.000     0.000     2.9999             0.087136   0.088443   0.089769   0.091116  0.092483     31.85    32.81
Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25    100.000    VARIES     3.3914             0.094051   0.093997   0.093942   0.093887  0.094035     33.84    33.82
Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23    100.000     0.000     2.5999             0.075083   0.076059   0.077048   0.078049  0.079064     27.32    28.04
Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22    100.000     0.000     3.0000             0.087154   0.088462   0.089788   0.091135  0.092502     31.77    32.73
Goldman Sachs Group, Inc 38147QY59 04/03/15 04/03/20    100.000    VARIES     2.4873             0.069511   0.069592   0.069576   0.069559  0.069470     25.04    25.04
Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23    100.000    VARIES     3.9815             0.112234   0.112369   0.112506   0.112515  0.112524     40.45    40.51
Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23    100.000     0.000     2.9999             0.087138   0.088445   0.089772   0.091118  0.092485     31.74    32.70
Goldman Sachs Group, Inc 38147QZ25 12/31/13 12/31/20    100.000     0.000     3.1012             0.094476   0.095941   0.097429   0.098939  0.100473     34.28    35.35
Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23    100.000     0.000     3.1502             0.091698   0.093142   0.094609   0.096099  0.097613     33.36    34.42
Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30    100.000    VARIES     3.7833             0.010520   0.010231   0.010278   0.009988  0.010027      3.77     3.68
Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23    100.000     0.000     3.2499             0.094766   0.096306   0.097871   0.099461  0.101077     34.49    35.62
Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25    100.000    VARIES     3.7599             0.014978   0.015259   0.015546   0.015839  0.015893      5.47     5.67
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22    100.000     0.000     3.1002             0.090200   0.091598   0.093018   0.094460  0.095924     32.81    33.83
Goldman Sachs Group, Inc 38148T2V0 05/11/15 05/11/30    100.000    VARIES     3.7443             0.100190   0.098870   0.098403   0.097928  0.097443     35.74    35.29
Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25    100.000     0.000     3.5000             0.102425   0.104217   0.106041   0.107897  0.109785     37.31    38.62
Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25    100.000    VARIES     3.9250             0.012514   0.012759   0.012909   0.013062  0.013217      4.56     4.68
Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23    100.000     0.000     3.3498             0.097796   0.099434   0.101099   0.102792  0.104514     35.51    36.71
Goldman Sachs Group, Inc 38148T3Z0 06/05/15 06/05/20    100.000     0.000     2.4000             0.069095   0.069924   0.070763   0.071612  0.072471     25.07    25.67
Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22    100.000     0.000     3.2498             0.094745   0.096285   0.097849   0.099439  0.101055     34.39    35.52
Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23    100.000     0.000     3.2500             0.094750   0.096290   0.097854   0.099444  0.101060     34.40    35.53
Goldman Sachs Group, Inc 38148T4Y2 06/15/15 06/15/25    100.000    VARIES     4.3491             0.117158   0.116736   0.116801   0.116868  0.117135     42.10    42.07
Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23    100.000     0.000     3.3501             0.096202   0.097814   0.099452   0.101118  0.102812     35.49    36.69
Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25    100.000     0.000     3.6499             0.105132   0.107051   0.109005   0.110994  0.113020     38.86    40.29
Goldman Sachs Group, Inc 38148T6A2 06/26/15 06/28/18    100.000     0.000     2.2506             0.064659   0.065387   0.066123                          23.41    11.70
Goldman Sachs Group, Inc 38148T6B0 06/26/15 06/27/19    100.000     0.000     2.5500             0.073584   0.074522   0.075472   0.076435  0.077409     26.67    27.35
Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23    100.000     0.000     3.2500             0.093236   0.094751   0.096291   0.097856  0.099446     34.30    35.42
Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23    100.000     0.000     3.2489             0.093219   0.094733   0.096272   0.097836  0.099425     34.29    35.41
Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23    100.000     0.000     3.3498             0.096202   0.097814   0.099452   0.101118  0.102811     35.41    36.61
Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23    100.000     0.000     3.2489             0.093219   0.094733   0.096272   0.097836  0.099425     34.29    35.41
Goldman Sachs Group, Inc 38148TA58 07/31/15 07/31/20    100.000     0.000     2.5002             0.071196   0.072086   0.072987   0.073900  0.074824     26.06    26.72
Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25    100.000     0.000     3.7000             0.106616   0.108588   0.110597   0.112643  0.114727     39.34    40.81
Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22    100.000     0.000     3.1500             0.090269   0.091691   0.093135   0.094602  0.096092     33.21    34.27
Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27    100.000    VARIES     3.9238             0.010105   0.010062   0.010018   0.009973  0.009927      3.62     3.58
Goldman Sachs Group, Inc 38148TAY5 08/04/15 08/04/21    100.000     0.000     2.8500             0.081439   0.082600   0.083777   0.084971  0.086181     29.87    30.73
Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23    100.000     0.000     3.1988             0.091737   0.093204   0.094695   0.096210  0.097748     33.64    34.73
Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25    100.000     0.000     3.5990             0.103593   0.105457   0.107355   0.109287  0.111253     38.09    39.47
Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23    100.000     0.000     3.1988             0.091737   0.093204   0.094695   0.096210  0.097748     33.64    34.73
Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23    100.000     0.000     3.3014             0.093733   0.094759   0.096853   0.097913  0.100077     34.79    35.95
Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23    100.000     0.000     3.1965             0.091170   0.091117   0.094108   0.094053  0.097140     33.63    34.71
Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25    100.000    VARIES     3.9131             0.008320   0.008482   0.008648   0.008818  0.008990      3.07     3.19
Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25    100.000     2.000     3.6202             0.102190   0.103034   0.103894   0.104769  0.105660     37.14    37.77
Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23    100.000     0.000     3.2499             0.093232   0.094747   0.096287   0.097851  0.099441     34.13    35.25
Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23    100.000     0.000     3.2490             0.092485   0.093988   0.095515   0.097066  0.098643     34.10    35.22
Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23    100.000     0.000     3.2992             0.094676   0.096238   0.097825   0.099439  0.101079     34.66    35.81
Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25    100.000     0.000     3.6001             0.103635   0.105500   0.107400   0.109333  0.111301     37.99    39.37
Goldman Schs Group, Inc. 38148TDB2 09/29/15 09/28/23    100.000     0.000     3.3000             0.094708   0.096271   0.097860   0.099474  0.101116     34.67    35.82
Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22    100.000     0.000     3.1000             0.088793   0.090169   0.091567   0.092986  0.094427     32.53    33.55
Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25    100.000    VARIES     3.7872             0.009724   0.009908   0.010096   0.010287  0.010482      3.57     3.70
Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22    100.000    VARIES     3.2799             0.093662   0.094970   0.096300   0.097651  0.099025     34.21    35.18
Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23    100.000     0.000     3.1502             0.090283   0.091705   0.093150   0.094617  0.096107     32.93    33.98
Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23    100.000     0.000     3.1491             0.090258   0.091680   0.093123   0.094589  0.096079     32.92    33.97
Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25    100.000     0.000     3.4498             0.099163   0.100874   0.102614   0.104384  0.106184     36.22    37.48
Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23    100.000     0.000     3.1500             0.090295   0.091717   0.093161   0.094629  0.096119     32.94    33.98
Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25    100.000    VARIES     3.6654             0.008099   0.008160   0.008222   0.008285  0.008350      2.93     2.98
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27    100.000    VARIES     3.9047             0.013280   0.013085   0.012887   0.012684  0.012478      4.72     4.57
Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25    100.000     0.000     3.4490             0.099120   0.100829   0.102568   0.104337  0.106136     36.10    37.36
Goldman Sachs Group, Inc 38148TGU7 11/30/15 12/09/22*   100.000     0.000     2.9488             0.084407   0.085652                                     28.75*        
Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26    100.000    VARIES     3.8760             0.010530   0.010517   0.010503   0.010489  0.010475      3.79     3.78
Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23    100.000     0.000     3.1499             0.090292   0.091714   0.093158   0.094626  0.096116     32.85    33.90
Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23    100.000     0.000     3.1488             0.090227   0.091648   0.093091   0.094556  0.096045     32.83    33.87
GOLDMAN SACHS GROUP INC  38148THG7 11/10/15 11/10/21    100.000     1.750     2.8620     32.80   0.080390   0.080845   0.081306   0.081774  0.082249     29.07    29.40
Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25    100.000    VARIES     3.7095             0.007342   0.007454   0.007568   0.007684  0.007802      2.67     2.76
Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23    100.000     0.000     3.1489             0.090238   0.091658   0.093102   0.094567  0.096056     32.83    33.87
Goldman Sachs Group, Inc 38148TJ59 11/27/15 11/27/30    100.000    VARIES     3.8941             0.105710   0.104444   0.103154   0.102752  0.102343     37.74    37.04
Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24    100.000     0.000     3.2988             0.093172   0.094708   0.096270   0.097858  0.099472     34.37    35.51
Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26    100.000     0.000     3.4990             0.098915   0.100646   0.102407   0.104198  0.106021     36.55    37.84
Goldman Sachs Group, Inc 38148TJT7 12/31/15 01/12/23*   100.000     0.000     2.7990             0.078910                                                 0.87*        
Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23    100.000     0.000     3.0000             0.085853   0.087141   0.088448   0.089775  0.091122     31.14    32.09
Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23    100.000     0.000     3.2000             0.091739   0.093207   0.094699   0.096214  0.097753     33.31    34.38
Goldman Sachs Group, Inc 38148TKG3 12/31/15 12/31/30*   100.000    VARIES     3.9932             0.108342   0.107014                                     38.76*        
Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26    100.000    VARIES     3.7570      5.74   0.018151   0.018022   0.017890   0.017756  0.017619      6.48     6.38
Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26    100.000    VARIES     2.3290      0.45   0.004915   0.004456   0.003991   0.004037  0.004084      1.60     1.45
Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26    100.000    VARIES     2.2302      0.38   0.008950   0.008145   0.007331   0.007413  0.007495      3.01     2.66
Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27    100.000    VARIES     3.8872                        0.107978   0.107917   0.107855  0.107792     33.47    38.82
Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27    100.000    VARIES     3.6989                        0.010831   0.010676   0.010519  0.010358      2.62     3.80
Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27    100.000    VARIES     3.6688                        0.010994   0.010723   0.010447  0.010167      2.43     3.79
GOLDMAN SACHS GROUP INC  38150A3E3 05/31/17 05/31/37    100.000     0.000     4.1400                        0.114999   0.117379   0.119809  0.122289     24.34    42.85
GOLDMAN SACHS GROUP INC  38150A3S2 07/10/17 07/10/27    100.000    VARIES     3.6160                                   0.100444   0.100000  0.099548     17.18    35.93
GOLDMAN SACHS GROUP INC  38150A3U7 08/02/17 08/02/27    100.000    VARIES     3.5643                                   0.099007   0.098792  0.098572     14.75    35.54
GOLDMAN SACHS GROUP INC  38150A3Z6 08/15/17 08/15/24    100.000    VARIES     3.1510                                   0.087526   0.087482  0.087437     11.90    31.49
GOLDMAN SACHS GROUP INC  38150A4K8 09/22/17 09/22/27    100.000    VARIES     3.5451                                   0.098475   0.098251  0.098023      9.75    35.37
Goodrich Petroleum Corp. 382410AR9 10/12/16 08/30/19     74.590     0.000    24.6087     40.85   0.504276   0.548650   0.619543   0.691972  0.781384    206.47   259.46
Goodrich Petroleum Corp. 382410AT5 10/12/16 08/30/19     74.590     0.000    24.6243     40.43   0.499111   0.554575   0.612700   0.699542  0.772861    206.53   259.53
Goodrich Petroleum Corp. 382410AU2 10/12/16 08/30/19     74.590     0.000    24.6087     40.85   0.504276   0.548650   0.619543   0.691972  0.781384    206.47   259.46
Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22    103.480    VARIES     4.8564             0.136194   0.135228   0.135743   0.134768  0.135269     49.53    49.36
Greene & Scott CUNTS, IL 394290CD0 06/01/16 12/01/18    104.620    VARIES     1.8303     11.18   0.053677   0.054169   0.051805   0.051325               19.36    17.01
Greene & Scott CUNTS, IL 394290CE8 06/01/16 12/01/19    107.218    VARIES        N/A     13.04   0.062645   0.063298   0.060270   0.059668  0.059061     22.60    21.55
Grundy Counties, IL      400186AF9 06/30/16 12/01/17    100.000     0.000     1.9323      9.73   0.054111   0.054634                                     17.95         
Grundy Counties, IL      400186AG7 06/30/16 12/01/18    100.000    VARIES     2.2360     11.26   0.062694   0.063395   0.062120   0.062116               22.68    20.50
Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17    107.117    VARIES     2.4939             0.070299   0.069790                                     23.11         
Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18    108.347    VARIES     2.7441             0.078445   0.077901   0.077350   0.076792               28.11    25.43
Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19    107.921    VARIES     2.9942             0.086149   0.085671   0.085186   0.084694  0.084195     30.90    30.55
GS Finance Corp.         40054CAB0 12/31/15 01/03/23    100.000     0.000     2.7988             0.078852   0.079955   0.081074   0.082209  0.083359     28.98    29.80
GS Finance Corp.         40054CAD6 01/29/16 07/31/24    100.000     0.000     3.3498     31.23   0.094625   0.096210   0.097822   0.099460  0.101126     34.83    36.01
GS Finance Corp.         40054CAE4 01/29/16 01/29/26    100.000     0.000     3.6001     33.47   0.101803   0.103635   0.105500   0.107400  0.109333     37.54    38.90
GS Finance Corp.         40054CAF1 01/29/16 01/29/24    100.000     0.000     3.0501     28.33   0.086018   0.087330   0.088662   0.090014  0.091387     31.60    32.58
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054CAH7 01/29/16 02/09/23*   100.000     0.000     3.1498     29.27   0.088950                                                 3.47*        
GF Finance Corp.         40054CAM6 01/28/16 07/28/23    100.000     0.000     2.9500     27.47   0.083153   0.084379   0.085624   0.086887  0.088168     30.53    31.44
GS Finance Corp.         40054CBT0 02/18/16 02/17/22    100.000     0.000     2.8500     24.93   0.080290   0.081434   0.082594   0.083771  0.084965     29.42    30.26
GS Finance Corp.         40054CBU7 02/26/16 02/28/23    100.000     0.000     2.7500     23.45   0.077028   0.076814   0.079161   0.078941  0.081353     28.34    29.12
GS Finance Corp.         40054CCA0 02/29/16 03/10/23*   100.000     0.000     3.0997     26.09   0.087512                                                 5.95*        
GS Finance Corp.         40054CCB8 02/29/16 02/29/24    100.000     0.000     3.3000     27.90   0.092665   0.092659   0.095749   0.095742  0.098935     34.20    35.34
GS Finance Corp.         40054K2A3 02/29/16 02/27/26    100.000     0.000     3.6002     30.32   0.101775   0.103607   0.105472   0.107370  0.109303     37.43    38.79
GS Finance Corp.         40054K2B1 02/29/16 03/01/22    100.000     0.000     2.8998     24.50   0.081273   0.081107   0.083647   0.083476  0.086090     29.92    30.80
GS Finance Corp.         40054K2C9 02/29/16 08/29/19    100.000     0.000     2.2479     19.00   0.062109   0.063152   0.063513   0.064579  0.064948     23.04    23.56
GS Finance Corp.         40054K2H8 02/26/16 08/28/23    100.000     0.000     3.2000     27.29   0.090327   0.091772   0.093240   0.094732  0.096248     33.14    34.20
GS Finance Corp.         40054K2W5 02/29/16 02/28/31*   100.000    VARIES     3.9928     33.38   0.109096   0.106110                                     25.43*        
GS Finance Corp.         40054K3B0 02/12/16 02/12/31*   100.000    VARIES     4.0932     36.08   0.112341   0.110954                                     14.70*        
GS Finance Corp.         40054K7D2 04/29/16 05/01/23    100.000     0.000     2.8501     19.23   0.080312   0.081456   0.082617   0.083794  0.084989     29.26    30.10
GS Finance Corp.         40054K7G5 04/29/16 07/30/20    100.000     0.000     2.1997     14.84   0.061443   0.062119   0.062802   0.063493  0.064191     22.45    22.94
GS Finance Corp.         40054K7H3 04/29/16 04/29/22    100.000     0.000     2.6000     17.54   0.073160   0.074111   0.075075   0.076051  0.077040     26.63    27.32
GS Finance Corp.         40054K7J9 04/29/16 05/01/24    100.000     0.000     3.0000     20.25   0.084598   0.085867   0.087155   0.088463  0.089790     30.84    31.77
GS Finance Corp.         40054K7K6 04/29/16 04/30/26    100.000     0.000     3.2999     22.28   0.093185   0.094722   0.096285   0.097874  0.099489     34.01    35.14
GS Finance Corp.         40054K7L4 04/28/16 04/30/24    100.000     0.000     3.0000     20.33   0.084598   0.085867   0.087155   0.088463  0.089790     30.84    31.77
GS Finance Corp.         40054KA89 04/29/16 05/10/23    100.000     0.000     2.8500     19.23   0.080366   0.081511   0.082673   0.083851  0.085046     29.26    30.10
GS Finance Corp.         40054KAB2 04/29/16 04/27/23    100.000     1.250     2.8316     19.07   0.079271   0.079902   0.080542   0.081190  0.081848     28.73    29.20
GS Finance Corp.         40054KAE6 04/28/16 01/28/22    100.000     0.000     2.5498     17.28   0.071281   0.072189   0.073110   0.074042  0.074986     26.10    26.77
GS Finance Corp.         40054KAG1 04/29/16 04/30/20    100.000     0.000     2.1495     14.49   0.060354   0.061002   0.061658   0.062321  0.062991     21.92    22.40
GS Finance Corp.         40054KB21 04/28/16 04/28/26    100.000    VARIES     3.2494     21.89   0.089574   0.088876   0.088550   0.088218  0.088136     32.06    31.79
GS Finance Corp.         40054KB62 05/31/16 05/31/23    100.000     0.000     2.8999     17.03   0.081721   0.082906   0.084108   0.085327  0.086565     29.71    30.57
GS Finance Corp.         40054KB70 05/31/16 05/28/21    100.000     0.000     2.4003     14.09   0.067466   0.068276   0.069095   0.069925  0.070764     24.49    25.08
GS Finance Corp.         40054KBA3 05/27/16 05/30/24    100.000     0.000     2.8998     17.28   0.081736   0.082921   0.084124   0.085343  0.086581     29.71    30.58
GS Finance Corp.         40054KBP0 05/27/16 05/30/23    100.000     0.000     2.8998     17.34   0.081285   0.081119   0.083659   0.083488  0.086102     29.71    30.58
GS Finance Corp.         40054KBQ8 05/31/16 12/01/20    100.000     0.000     2.3000     13.50   0.064627   0.065370   0.066122   0.066882  0.067651     23.44    23.99
GS Finance Corp.         40054KBR6 05/31/16 08/30/22    100.000     0.000        N/A     15.92   0.073914   0.076154   0.075925   0.078226  0.077990     27.64    28.39
GS Finance Corp.         40054KBS4 05/31/16 05/31/24    100.000     0.000     3.0499     17.92   0.086013   0.087324   0.088656   0.090008  0.091381     31.28    32.24
GS Finance Corp.         40054KBT2 05/31/16 05/29/26    100.000     0.000     3.2989     19.38   0.093139   0.094675   0.096237   0.097824  0.099438     33.91    35.03
GS Finance Corp.         40054KBV7 05/31/16 06/09/23*   100.000     0.000     2.9002     17.04   0.081788                                                13.00*        
GS FINANCE CORP          40054KBW5 05/31/16 05/29/23    100.000     1.250     2.9093     17.07   0.081477   0.082158   0.082848   0.083548  0.084258     29.50    30.00
GS Finance Corp.         40054KCL8 05/19/16 05/19/31*   100.000    VARIES     3.5944     22.12   0.098771   0.097678                                     31.11*        
GS Finance Corp.         40054KD29 06/29/16 06/27/24    100.000     0.000     2.7999     14.16   0.078852   0.079956   0.081076   0.082211  0.083362     28.59    29.40
GS Finance Corp.         40054KD78 06/02/16 06/01/20    100.000     0.000     2.2001     12.79   0.061781   0.062461   0.063148   0.063843  0.064545     22.40    22.90
GS Finance Corp.         40054KD86 06/24/16 06/26/23    100.000     0.000     2.6499     13.77   0.074593   0.075582   0.076583   0.077598  0.078626     27.04    27.76
GS Finance Corp.         40054KD94 06/30/16 09/30/22    100.000     0.000     2.4488     12.35   0.068438   0.069276   0.070124   0.070983  0.071852     24.94    25.56
GS Finance Corp.         40054KDA1 06/03/16 06/05/23    100.000     0.000     3.0002     17.37   0.084604   0.085873   0.087161   0.088469  0.089796     30.75    31.68
GS Finance Corp.         40054KDD5 06/30/16 12/31/20    100.000     0.000     1.9909     10.01   0.055852   0.056408   0.056970   0.057537  0.058109     20.21    20.61
GS Finance Corp.         40054KDE3 06/30/16 07/02/24    100.000     0.000     2.7499     13.83   0.076398   0.077448   0.078513   0.079592  0.080687     28.07    28.85
GS Finance Corp.         40054KDF0 06/30/16 07/02/26    100.000     0.000     3.0000     15.09   0.083347   0.084598   0.085867   0.087155  0.088462     30.68    31.61
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS FINANCE CORP          40054KDJ2 06/30/16 06/28/23    100.000     1.250     2.6041     13.09   0.072815   0.073311   0.073813   0.074322  0.074838     26.31    26.67
GS Finance Corp.         40054KDK9 06/30/16 07/01/21    100.000     0.000     2.1388     10.75   0.059718   0.059372   0.061002   0.060649               21.73    22.20
GS Finance Corp.         40054KDL7 06/30/16 09/30/22    100.000     0.000     2.4488     12.35   0.068438   0.069276   0.070124   0.070983  0.071852     24.94    25.56
GS Finance Corp.         40054KDM5 06/30/16 07/12/23    100.000     0.000     2.6003     13.08   0.072293   0.073233   0.074185   0.075149  0.076126     26.51    27.21
GS Finance Corp.         40054KDT0 06/09/16 06/09/23    100.000     0.000     2.9998     16.86   0.084578   0.085847   0.087134   0.088441  0.089768     30.73    31.66
GS FINANCE CORP          40054KDV5 06/17/16 06/15/23    100.000     2.000     2.6630     14.35   0.074205   0.074454   0.074705   0.074960  0.075219     26.77    26.95
GS Finance Corp.         40054KDX1 06/30/16 07/02/20    100.000     0.000     1.9105      9.61   0.053076   0.053583   0.054095   0.054611  0.055133     19.38    19.75
GS Finance Corp.         40054KEY8 07/29/16 05/01/23    100.000     0.000     2.4799     10.50   0.069324   0.070183   0.071054   0.071935  0.072827     25.22    25.84
GS Finance Corp.         40054KEZ5 07/29/16 04/29/21    100.000     0.000     2.0500      8.67   0.057235   0.057822   0.058415   0.059013  0.059618     20.78    21.21
GS Finance Corp.         40054KF27 07/29/16 05/01/25    100.000     0.000     2.7700     11.73   0.077489   0.078563   0.079651   0.080754  0.081872     28.22    29.01
GS Finance Corp.         40054KF35 07/29/16 07/30/26    100.000     0.000     2.9298     12.37   0.081390   0.082582   0.083792   0.085020  0.086265     29.88    30.76
GS Finance Corp.         40054KF43 07/29/16 07/29/21    100.000     0.000     2.1200      8.99   0.057608   0.059183   0.058836   0.060445  0.060089     21.50    21.96
GS Finance Corp.         40054KF50 07/29/16 08/09/23    100.000     0.000     2.5301     10.69   0.070329   0.071219   0.072120   0.073032  0.073956     25.73    26.39
GS Finance Corp.         40054KF84 07/29/16 07/31/23    100.000     0.000     2.6502     11.27   0.073628   0.074604   0.075592   0.076594  0.077609     26.98    27.70
GS Finance Corp.         40054KFB7 07/28/16 07/30/24    100.000     0.000     2.6502     11.27   0.073628   0.074603   0.075592   0.076594  0.077609     26.98    27.70
GS Finance Corp.         40054KFC5 07/26/16 07/24/20    100.000     0.000     2.0961      9.02   0.058225   0.058829   0.059445   0.060068  0.060698     21.26    21.71
GS Finance Corp.         40054KG26 07/12/16 08/04/17    100.000     0.000     1.2498      5.87   0.034742   0.034959                                      7.44         
GS Finance Corp.         40054KGJ9 08/31/16 06/01/21    100.000     0.000     1.9502      6.56   0.054439   0.054970   0.055506   0.056047  0.056594     19.73    20.11
GS Finance Corp.         40054KGK6 08/31/16 06/01/22    100.000     0.000     2.1998      7.40   0.061446   0.062122   0.062805   0.063496  0.064194     22.28    22.78
GS Finance Corp.         40054KGL4 08/31/16 06/01/23    100.000     0.000     2.3999      8.08   0.067069   0.067874   0.068688   0.069513  0.070347     24.34    24.93
GS Finance Corp.         40054KGM2 08/31/16 05/30/25    100.000     0.000     2.6499      8.92   0.074096   0.075078   0.076072   0.077080  0.078102     26.91    27.63
GS Finance Corp.         40054KGN0 08/31/16 09/12/23    100.000     0.000     2.4502      8.24   0.068116   0.068950   0.069795   0.070650  0.071515     24.85    25.47
GS Finance Corp.         40054KGP5 08/31/16 08/31/26    100.000     0.000     2.8001      9.51   0.077352   0.077156   0.079533   0.079331  0.081775     28.47    29.27
GS Finance Corp.         40054KGQ3 08/31/16 08/31/21    100.000     0.000     2.0001      6.80   0.055253   0.054895   0.056363   0.055999  0.057496     20.24    20.64
GS Finance Corp.         40054KGR1 08/04/16 08/06/26    100.000     0.000     2.8502     11.64   0.079186   0.080314   0.081459   0.082620  0.083797     29.04    29.87
GS Finance Corp.         40054KGT7 08/26/16 08/28/23    100.000     0.000     2.5001      8.68   0.069457   0.070326   0.071205   0.072095  0.072996     25.38    26.01
GS Finance Corp.         40054KH41 08/30/16 08/29/24    100.000     0.000     2.5993      8.81   0.071019   0.072332   0.072872   0.074225  0.074779     26.39    27.08
GS Finance Corp.         40054KHR0 08/24/16 08/24/26    100.000     0.000     2.8998     10.23   0.080550   0.081718   0.082902   0.084104  0.085324     29.51    30.37
GS Finance Corp.         40054KJ72 09/30/16 10/02/23    100.000     0.000     2.6002      6.57   0.072239   0.073178   0.074130   0.075093  0.076070     26.34    27.03
GS Finance Corp.         40054KJA5 09/30/16 09/30/21    100.000     0.000     2.0998      5.31   0.058327   0.058939   0.059558   0.060183  0.060815     21.22    21.67
GS Finance Corp.         40054KJB3 09/30/16 06/30/22    100.000     0.000     2.1888      5.53   0.061132   0.061802   0.062478   0.063162  0.063853     22.13    22.62
GS Finance Corp.         40054KJC1 09/30/16 10/02/23    100.000     0.000     2.5002      6.32   0.069461   0.070329   0.071208   0.072099  0.073000     25.32    25.95
GS Finance Corp.         40054KJD9 09/30/16 10/02/25    100.000     0.000     2.8001      7.08   0.077793   0.078882   0.079986   0.081106  0.082241     28.40    29.20
GS Finance Corp.         40054KJE7 09/30/16 10/01/26    100.000     0.000     3.0000      7.58   0.083341   0.084591   0.085860   0.087148  0.088455     30.45    31.37
GS Finance Corp.         40054KJF4 09/30/16 09/30/21    100.000     0.000     2.0998      5.31   0.058327   0.058939   0.059558   0.060183  0.060815     21.22    21.67
GS Finance Corp.         40054KJG2 09/30/16 10/12/23    100.000     0.000     2.5000      6.32   0.069504   0.070372   0.071252   0.072143  0.073044     25.32    25.95
GS Finance Corp.         40054KJJ6 09/29/16 10/01/24    100.000     0.000     2.7000      6.90   0.075012   0.076025   0.077051   0.078092  0.079146     27.37    28.11
GS Finance Corp.         40054KJY3 09/30/16 10/01/20    100.000     0.000     1.8997      4.80   0.052772   0.053274   0.053780   0.054291  0.054806     19.18    19.55
GS Finance Corp.         40054KL87 10/28/16 10/30/24    100.000     0.000     2.7498      4.81   0.076395   0.077445   0.078510   0.079589  0.080684     27.82    28.59
GS Finance Corp.         40054KLC8 10/31/16 11/09/23    100.000     0.000     2.6003      4.41   0.072277   0.073217   0.074169   0.075133  0.076110     26.29    26.98
GS Finance Corp.         40054KLF1 10/31/16 07/29/21    100.000     0.000     2.1986      3.73   0.061073   0.061405   0.062080   0.062763  0.063453     22.20    22.68
GS Finance Corp.         40054KLG9 10/31/16 10/31/22    100.000     0.000     2.4001      4.07   0.066669   0.067469   0.068279   0.069098  0.069927     24.24    24.83
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KLJ3 10/28/16 10/30/23    100.000     0.000     2.5999      4.55   0.072229   0.073168   0.074119   0.075082  0.076059     26.29    26.97
GS Finance Corp.         40054KLQ7 10/31/16 10/31/23    100.000     0.000     2.6000      4.41   0.072223   0.073162   0.074113   0.075076  0.076052     26.28    26.97
GS Finance Corp.         40054KLR5 10/31/16 10/29/26    100.000     0.000     2.9991      5.08   0.083309   0.084552   0.085820   0.087107  0.088413     30.37    31.29
GS Finance Corp.         40054KLS3 10/31/16 07/29/21    100.000     0.000     2.1986      3.73   0.061073   0.061405   0.062080   0.062763  0.063453     22.20    22.68
GS Finance Corp.         40054KNB8 11/28/16 12/07/23*   100.000     0.000     3.0602      2.81   0.085072   0.086374                                     28.82*        
GS Finance Corp.         40054KNC6 11/28/16 11/28/23    100.000     0.000     3.0998      2.84   0.086105   0.087440   0.088795   0.090171  0.091569     31.33    32.31
GS Finance Corp.         40054KNF9 11/28/16 11/28/23    100.000     0.000     3.0601      2.81   0.085002   0.086303   0.087624   0.088964  0.090325     30.92    31.87
GS Finance Corp.         40054KNH5 11/28/16 11/27/26    100.000     0.000     3.4699      3.18   0.096387   0.098050   0.099751   0.101482  0.103243     35.11    36.34
GS Finance Corp.         40054KNK8 11/28/16 08/27/20    100.000     0.000     2.0498      1.88   0.056939   0.057228   0.057814   0.058407  0.059006     20.66    21.07
GS Finance Corp.         40054KNL6 11/28/16 08/26/21    100.000     0.000     2.5402      2.33   0.070562   0.071000   0.071902   0.072815  0.073740     25.65    26.28
GS Finance Corp.         40054KNU6 11/28/16 11/27/24    100.000     0.000     3.2301      2.96   0.089724   0.091165   0.092638   0.094134  0.095654     32.66    33.72
GS Finance Corp.         40054KNV4 11/28/16 11/28/22    100.000     0.000     2.8500      2.61   0.079167   0.080295   0.081439   0.082600  0.083777     28.78    29.60
GS Finance Corp.         40054KP67 11/28/16 11/26/21    100.000     0.000     2.6201      2.40   0.072780   0.073723   0.074689   0.075667  0.076659     26.44    27.13
GS Finance Corp.         40054KPR1 11/25/16 11/26/24    100.000     0.000     3.2499      3.25   0.090283   0.091750   0.093241   0.094756  0.096296     32.87    33.95
GS Finance Corp.         40054KQH2 12/30/16 01/03/25    100.000     0.000     3.3999      0.09   0.094442   0.094468   0.096074   0.097707  0.099368     34.29    35.47
GS Finance Corp.         40054KQQ2 12/30/16 07/01/24    100.000     0.000     3.4000      0.09   0.094453   0.096059   0.097692   0.099353               34.29    35.47
GS Finance Corp.         40054KQU3 12/30/16 12/31/26    100.000     0.000     3.6499      0.20   0.101396   0.103246   0.105130   0.107049  0.109003     36.84    38.20
GS Finance Corp.         40054KQV1 12/30/16 07/02/24    100.000     0.000     3.3199      0.09   0.092220   0.092237   0.093768   0.095324  0.096907     33.48    34.60
GS Finance Corp.         40054KQW9 12/30/16 12/30/22    100.000     0.000     3.0500      0.08   0.084723   0.086016   0.087327   0.088659  0.090011     30.74    31.68
GS Finance Corp.         40054KQX7 12/30/16 10/01/20    100.000     0.000     2.5001      0.07   0.069449   0.069887   0.070761   0.071646  0.072541     25.20    25.79
GS Finance Corp.         40054KR32 12/30/16 01/11/24    100.000     0.000     3.2499      0.09   0.090275   0.090365   0.091833                          32.78    33.84
GS Finance Corp.         40054KR40 12/30/16 01/10/22    100.000     0.000     2.8000      0.08   0.077777   0.077838   0.078927   0.080032               28.21    28.99
GS Finance Corp.         40054KR57 12/30/16 01/12/27    100.000     0.000     3.6748      0.10   0.102079   0.102204   0.104082                          37.11    38.47
GS Finance Corp.         40054KR65 12/21/16 12/21/23    100.000     0.000     3.2002      0.89   0.088894   0.090316   0.091761   0.093230  0.094721     32.29    33.33
GS Finance Corp.         40054KS23 12/21/16 12/21/23    100.000     0.000     3.2002      0.89   0.088894   0.090316   0.091761   0.093230  0.094721     32.29    33.33
GS Finance Corp.         40054KSF4 12/28/16 12/27/19    100.000     0.000     2.2301      0.19   0.061947   0.062634   0.063332   0.064038  0.064752     22.43    22.93
GS Finance Corp.         40054KSG2 12/28/16 12/27/19    100.000     0.000     2.2301      0.19   0.061947   0.062634   0.063332   0.064038  0.064752     22.43    22.93
GS Finance Corp.         40054KSN7 01/30/17 01/30/25    100.000     0.000     3.3999                        0.094442   0.096047   0.097680  0.099341     31.50    35.37
GS Finance Corp.         40054KT48 01/31/17 01/29/27    100.000     0.000     3.6999                        0.102775   0.104666   0.106602  0.108574     34.31    38.62
GS Finance Corp.         40054KT55 01/31/17 01/31/24    100.000     0.000     3.2500                        0.090277   0.091744   0.093234  0.094749     30.10    33.75
GS Finance Corp.         40054KT63 01/31/17 07/29/22    100.000     0.000     2.9200                        0.081112   0.082289   0.083491  0.084710     27.03    30.21
GS Finance Corp.         40054KT71 01/31/17 10/29/20    100.000     0.000     2.4502             0.068061   0.068473   0.069312   0.070161  0.071021     22.68    25.21
GS Finance Corp.         40054KT89 01/31/17 02/09/24    100.000     0.000     3.2499             0.090274   0.090347   0.091815   0.093307  0.094823     30.11    33.75
GS Finance Corp.         40054KT97 01/31/17 02/09/22    100.000     0.000     2.8000             0.077777   0.077831   0.078921   0.080026  0.081146     25.92    28.93
GS Finance Corp.         40054KTA4 01/31/17 02/09/27    100.000     0.000     3.7000             0.102777   0.102872   0.104775   0.106714  0.108688     34.32    38.62
GS Finance Corp.         40054KTB2 01/27/17 01/29/24    100.000     0.000     3.1998             0.088883   0.088899   0.090322   0.091767  0.093235     29.91    33.22
GS Finance Corp.         40054KTD8 01/30/17 01/30/24    100.000     0.000     3.2500                        0.090277   0.091744   0.093234  0.094749     30.10    33.75
GS Finance Corp.         40054KTP1 01/31/17 01/26/23    100.000     1.250     3.0595                        0.084986   0.085738   0.086519  0.087311     28.25    31.25
GS Finance Corp.         40054KUL8 01/30/17 07/30/24    100.000     0.000     3.3302                        0.092507   0.094047   0.095613  0.097205     30.85    34.62
GS Finance Corp.         40054KUQ7 02/01/17 06/02/22    100.000     0.000     2.8998             0.080550   0.081335   0.082514   0.083710  0.084924     26.78    29.99
GS Finance Corp.         40054KV29 02/27/17 08/26/24    100.000     0.000     3.2501                        0.090279   0.091738   0.093229  0.094744     27.63    33.67
GS Finance Corp.         40054KVB9 02/27/17 02/27/25    100.000     0.000     3.3001                        0.091670   0.093183   0.094721  0.096284     28.06    34.21
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KVC7 02/27/17 02/27/24    100.000     0.000     3.1501                        0.087503   0.088882   0.090282  0.091704     26.77    32.60
GS Finance Corp.         40054KVN3 02/28/17 03/08/24    100.000     0.000     3.1002             0.086117   0.086176   0.087512   0.088869  0.090246     26.09    32.06
GS Finance Corp.         40054KVQ6 02/28/17 03/09/27    100.000     0.000     3.5002             0.097227   0.097312   0.099015   0.100748  0.102511     29.48    36.35
GS Finance Corp.         40054KVS2 02/28/17 02/28/24    100.000     0.000     3.0999                        0.086109   0.087443   0.088799  0.090175     26.26    32.06
GS Finance Corp.         40054KVT0 02/28/17 08/26/22    100.000     0.000     2.6997                        0.074992   0.075982   0.077008  0.078047     22.70    27.80
GS Finance Corp.         40054KVU7 02/28/17 11/27/20    100.000     0.000     2.3002             0.063894   0.064249   0.064988   0.065735  0.066492     19.33    23.58
GS Finance Corp.         40054KW77 02/28/17 02/26/23    100.000     1.250     2.9063                        0.080284   0.079622   0.081616  0.080958     24.56    29.59
GS Finance Corp.         40054KWL6 02/17/17 08/19/24    100.000     0.000     3.2499             0.090276   0.090292   0.091759   0.093250  0.094765     28.55    33.70
GS Finance Corp.         40054KWQ5 02/15/17 01/07/19    100.000     0.000     1.9703                        0.054730   0.055155   0.055699  0.056248     17.37    20.14
GS Finance Corp.         40054KXL5 02/28/17 08/29/22    100.000     0.000     2.0900                        0.057418   0.057701   0.058625  0.058914     17.66    21.38
GS Finance Corp.         40054KXX9 03/30/17 04/01/25    100.000     0.000     3.3001             0.091671   0.091679   0.093192   0.094730  0.096293     24.98    34.10
GS Finance Corp.         40054KXY7 03/30/17 04/01/24    100.000     0.000     3.1002             0.086116   0.086124   0.087459   0.088814  0.090191     23.46    31.97
GS Finance Corp.         40054KYD2 03/31/17 12/31/20    100.000     0.000     2.3766             0.066017   0.066409   0.067198   0.067997  0.068805     17.96    24.34
GS Finance Corp.         40054KYE0 03/31/17 10/03/22    100.000     0.000     2.7999             0.077774   0.077793   0.078882   0.079986  0.081106     21.18    28.79
GS Finance Corp.         40054KYF7 03/31/17 04/02/24    100.000     0.000     3.1000             0.086111   0.086125   0.087460   0.088816  0.090193     23.46    31.97
GS Finance Corp.         40054KYH3 03/31/17 03/31/23    100.000     1.250     2.9099                        0.080829   0.081500   0.082181  0.082871     21.97    29.59
GS Finance Corp.         40054KYJ9 03/31/17 03/31/25    100.000     0.000     3.2999                        0.091665   0.093177   0.094715  0.096278     24.98    34.10
GS Finance Corp.         40054KYX8 03/31/17 04/11/24    100.000     0.000     3.1001             0.086113   0.086195   0.087531   0.088888  0.090266     23.46    31.97
GS Finance Corp.         40054KYY6 03/31/17 04/11/22    100.000     0.000     2.7002             0.075006   0.075068   0.076082   0.077109  0.078150     20.42    27.74
GS Finance Corp.         40054KYZ3 03/31/17 04/12/27    100.000     0.000     3.5501             0.098613   0.098730   0.100482   0.102266  0.104081     26.89    36.78
GS Finance Corp.         40054L2S2 03/27/17 03/28/22    100.000     1.000     2.7411             0.076141   0.076145   0.076808   0.077480  0.078161     20.93    27.90
GS Finance Corp.         40054L2W3 03/30/17 09/30/22    100.000     0.000     2.8001                        0.077780   0.078869   0.079973  0.081092     21.18    28.79
GS Finance Corp.         40054L3B8 03/31/17 04/11/24    100.000     0.000     3.1001             0.086113   0.086195   0.087531   0.088888  0.090266     23.46    31.97
GS Finance Corp.         40054L3C6 03/31/17 04/11/24    100.000     0.000     3.1001             0.086113   0.086195   0.087531   0.088888  0.090266     23.46    31.97
GS Finance Corp.         40054L3Q5 04/28/17 01/28/21    100.000     0.000     2.3002                        0.063896   0.064263   0.065002  0.065750     15.58    23.50
GS Finance Corp.         40054L3R3 04/28/17 10/28/22    100.000     0.000     2.7000                        0.075000   0.076012   0.077038  0.078078     18.29    27.68
GS Finance Corp.         40054L3S1 04/28/17 04/30/24    100.000     0.000     3.0498             0.084716   0.084730   0.086022   0.087334  0.088666     20.67    31.37
GS Finance Corp.         40054L3U6 04/27/17 04/29/25    100.000     0.000     3.3000             0.091666   0.091682   0.093195   0.094733  0.096296     22.46    34.02
GS Finance Corp.         40054L3Y8 04/28/17 04/28/25    100.000     0.000     3.3000                        0.091668   0.093180   0.094718  0.096281     22.37    34.02
GS Finance Corp.         40054L4B7 04/28/17 04/24/23    100.000     1.250     2.8079                        0.077998   0.078592   0.079208  0.079832     18.99    28.49
GS Finance Corp.         40054L4C5 04/25/17 04/25/24    100.000     0.000     3.0999                        0.086109   0.087443   0.088799  0.090175     21.27    31.90
GS Finance Corp.         40054L4L5 04/28/17 01/30/24    100.000     0.000     3.0000                        0.083335   0.083973   0.085233  0.086512     20.35    30.84
GS Finance Corp.         40054L5R1 04/28/17 05/09/24    100.000     0.000     3.0500             0.084722   0.084801   0.086094   0.087407  0.088740     20.67    31.37
GS Finance Corp.         40054L5T7 04/28/17 05/10/27    100.000     0.000     3.4501             0.095835   0.095945   0.097600   0.099284  0.100997     23.40    35.61
GS Finance Corp.         40054L6F6 04/13/17 04/13/37    100.000    VARIES     4.2970                        0.119361   0.116555   0.113688  0.113393     30.58    41.20
GS Finance Corp.         40054L6L3 04/24/17 05/03/24    100.000     0.000     3.1000             0.086111   0.086178   0.087514   0.088870  0.090248     21.36    31.91
GS Finance Corp.         40054L6N9 04/24/17 05/03/24    100.000     0.000     3.1000             0.086111   0.086178   0.087514   0.088870  0.090248     21.36    31.91
GS Finance Corp.         40054L6R0 04/28/17 05/10/27    100.000     0.000     3.4501             0.095835   0.095945   0.097600   0.099284  0.100997     23.40    35.61
GS Finance Corp.         40054L6W9 05/09/17 05/07/21    100.000     0.000     2.1501                        0.059724   0.060359   0.061008  0.061663     13.89    21.92
GS Finance Corp.         40054LA53 04/28/17 10/31/24    100.000     0.000     3.1210             0.086696   0.086711   0.088064   0.089438  0.090834     21.15    32.12
GS Finance Corp.         40054LA95 05/08/17 05/10/21    100.000     0.000     2.3697             0.065826   0.065835   0.066615   0.067404  0.068203     15.38    24.20
GS Finance Corp.         40054LAE4 03/20/17 09/20/22    100.000     0.000     2.9898                        0.083051   0.084292   0.085552  0.086831     23.46    30.83
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054LAM6 05/31/17 11/30/22    100.000     0.000     2.6502                        0.073615   0.074591   0.075579  0.076581     15.56    27.09
GS Finance Corp.         40054LAN4 03/31/17 03/31/32    100.000    VARIES     4.1214                        0.114483   0.112803   0.111088  0.109338     30.87    39.99
GS Finance Corp.         40054LAP9 05/31/17 05/31/24    100.000     0.000     2.9498                        0.081939   0.083148   0.084374  0.085619     17.33    30.23
GS Finance Corp.         40054LAQ7 05/30/17 05/30/25    100.000     0.000     3.1002                        0.086115   0.087450   0.088806  0.090182     18.21    31.81
GS Finance Corp.         40054LAR5 05/30/17 11/29/22    100.000     0.000     2.6501                        0.073613   0.074583   0.075571  0.076572     15.56    27.09
GS Finance Corp.         40054LBG8 05/31/17 03/02/21    100.000     0.000     2.2248                        0.061801   0.062152   0.062844  0.063543     13.08    22.66
GS Finance Corp.         40054LBJ2 05/31/17 06/11/24    100.000     0.000     2.9497             0.081937   0.082011   0.083221   0.084448  0.085694     17.33    30.23
GS Finance Corp.         40054LBK9 05/31/17 06/09/27    100.000     0.000     3.3999             0.094443   0.094523   0.096130   0.097764  0.099426     19.98    34.97
GS Finance Corp.         40054LBL7 05/31/17 05/26/23    100.000     1.250     2.7568                        0.076577   0.077141   0.077726  0.078318     16.18    27.92
GS Finance Corp.         40054LBV5 05/31/17 05/31/24    100.000     0.000     2.9498                        0.081939   0.083148   0.084374  0.085619     17.33    30.23
GS Finance Corp.         40054LCA0 05/18/17 05/19/22    100.000     0.000     2.5602             0.071116   0.071121   0.072031   0.072953  0.073887     15.90    26.18
GS Finance Corp.         40054LCJ1 05/18/17 05/20/24    100.000     0.000     3.0299             0.084165   0.084179   0.085455   0.086749  0.088064     18.82    31.10
GS FINANCE CORP          40054LEE0 06/30/17 07/02/24    100.000     0.000     2.8998                        0.080551   0.080564   0.081732  0.082917     14.58    29.63
GS FINANCE CORP          40054LEF7 06/30/17 03/30/23    100.000     0.000     2.6506                        0.073629   0.074117   0.075099  0.076095     13.37    27.04
GS FINANCE CORP          40054LEM2 06/29/17 07/01/25    100.000     0.000     3.0998             0.086104   0.086119   0.087454   0.088809               15.67    31.73
GS FINANCE CORP          40054LEN0 06/29/17 06/29/23    100.000     0.000     2.6999                        0.074997   0.076010   0.077036  0.078076     13.65    27.55
GS FINANCE CORP          40054LER1 06/30/17 04/01/21    100.000     0.000     2.2248                        0.061799   0.062146   0.062838  0.063536     11.22    22.62
GS FINANCE CORP          40054LEX8 06/30/17 07/12/24    100.000     0.000     2.9000                        0.080555   0.080633   0.081802  0.082989     14.59    29.64
GS FINANCE CORP          40054LEY6 06/30/17 07/13/27    100.000     0.000     3.3500                        0.093057   0.093169   0.094730  0.096317     16.86    34.35
GS FINANCE CORP          40054LFC3 06/30/17 07/02/24    100.000     0.000     2.8998                        0.080551   0.080564   0.081732  0.082917     14.58    29.63
GS FINANCE CORP          40054LFP4 06/30/17 06/26/23    100.000     1.250     2.7083                        0.075231   0.075757   0.076313  0.076876     13.62    27.38
GS FINANCE CORP          40054LG99 06/29/17 12/31/18    100.000     0.000     1.8996                        0.052770   0.053271   0.053777                9.60    19.22
GS FINANCE CORP          40054LGG3 06/30/17 06/30/25    100.000     0.000     3.0999                        0.086107   0.087442   0.088797  0.090173     15.59    31.73
GS FINANCE CORP          40054LH23 07/31/17 07/31/24    100.000     0.000     2.9499                                   0.081943   0.083151  0.084378     12.37    30.08
GS FINANCE CORP          40054LH31 07/31/17 05/01/23    100.000     0.000     2.6501                        0.073614   0.074107   0.075089  0.076084     11.15    26.97
GS FINANCE CORP          40054LHH0 07/28/17 07/28/23    100.000     0.000     2.7502                                   0.076394   0.077444  0.078509     11.69    28.01
GS FINANCE CORP          40054LHJ6 07/28/17 07/30/25    100.000     0.000     3.0997                        0.086102   0.086116   0.087451  0.088806     13.18    31.65
GS FINANCE CORP          40054LJ39 07/31/17 08/09/24    100.000     0.000     2.9498                        0.081938   0.081998   0.083208  0.084435     12.38    30.08
GS FINANCE CORP          40054LJ47 07/31/17 08/09/24    100.000     0.000     2.9498                        0.081938   0.081998   0.083208  0.084435     12.38    30.08
GS FINANCE CORP          40054LJ54 07/31/17 08/09/27    100.000     0.000     3.3497                        0.093049   0.093127   0.094686  0.096272     14.06    34.25
GS FINANCE CORP          40054LJA3 07/31/17 08/09/24    100.000     0.000     2.9498                        0.081938   0.081998   0.083208  0.084435     12.38    30.08
GS FINANCE CORP          40054LJJ4 07/31/17 07/31/24    100.000     0.000     2.9499                                   0.081943   0.083151  0.084378     12.37    30.08
GS FINANCE CORP          40054LJP0 07/31/17 07/31/24    100.000     0.000     2.9499                                   0.081943   0.083151  0.084378     12.37    30.08
GS FINANCE CORP          40054LKQ6 07/31/17 07/26/23    100.000     1.250     2.7589                                   0.076635   0.077190  0.077776     11.57    27.87
GS FINANCE CORP          40054LKV5 07/28/17 07/28/25    100.000     0.000     3.1002                                   0.086115   0.087450  0.088806     13.18    31.65
GS FINANCE CORP          40054LL85 07/27/17 04/29/21    100.000     0.000     2.2251                        0.061808   0.062159   0.062851  0.063550      9.54    22.59
GS FINANCE CORP          40054LLF9 07/28/17 07/30/24    100.000     0.000     2.9497                        0.081936   0.081949   0.083158  0.084384     12.54    30.09
GS FINANCE CORP          40054LLJ1 07/31/17 08/09/24    100.000     0.000     2.9498                        0.081938   0.081998   0.083208  0.084435     12.38    30.08
GS FINANCE CORP          40054LLP7 08/03/17 08/03/32    100.000    VARIES     3.5509                                   0.098637   0.097429  0.096199     14.60    34.93
GS FINANCE CORP          40054LLU6 08/16/17 08/26/24    100.000     0.000     2.9499                        0.081941   0.082008   0.083218  0.084445     11.07    30.05
GS FINANCE CORP          40054LME1 08/30/17 08/28/25    100.000     0.000     3.0491                                   0.084696   0.085973  0.087284     10.25    31.04
GS FINANCE CORP          40054LMF8 08/30/17 08/30/23    100.000     0.000     2.7001                                   0.075001   0.076003  0.077040      9.08    27.43
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS FINANCE CORP          40054LMZ4 08/31/17 09/03/24    100.000     0.000     2.9002                        0.080561   0.080580   0.081749  0.082934      9.75    29.50
GS FINANCE CORP          40054LN26 08/31/17 06/02/23    100.000     0.000     2.6505                        0.073625   0.074123   0.075106  0.076101      8.92    26.92
GS FINANCE CORP          40054LN34 08/31/17 09/12/24    100.000     0.000     2.8996                        0.080546   0.080623   0.081792  0.082978      9.75    29.49
GS FINANCE CORP          40054LN42 08/31/17 09/12/24    100.000     0.000     2.8996                        0.080546   0.080623   0.081792  0.082978      9.75    29.49
GS FINANCE CORP          40054LN59 08/31/17 09/12/24    100.000     0.000     2.8996                        0.080546   0.080623   0.081792  0.082978      9.75    29.49
GS FINANCE CORP          40054LN67 08/31/17 09/14/27    100.000     0.000     2.9002                        0.080562   0.080652   0.081822  0.083008      9.76    29.50
GS FINANCE CORP          40054LN75 08/31/17 08/28/23    100.000     1.250     2.7089                                   0.075247   0.075768  0.076324      9.10    27.32
GS FINANCE CORP          40054LNK6 08/31/17 09/03/24    100.000     0.000     2.9002                        0.080561   0.080580   0.081749  0.082934      9.75    29.50
GS FINANCE CORP          40054LNL4 08/31/17 09/03/24    100.000     0.000     2.9002                        0.080561   0.080580   0.081749  0.082934      9.75    29.50
GS FINANCE CORP          40054LPA6 08/18/17 08/20/20    100.000     0.000     1.9994                        0.055540   0.055546   0.056101  0.056662      7.39    20.24
GS FINANCE CORP          40054LQJ6 09/05/17 09/02/21    100.000     0.000     2.2497                                   0.062492   0.063184  0.063894      7.25    22.79
GS FINANCE CORP          40054LQQ0 09/15/17 09/26/24    100.000     0.000     2.8003                        0.077786   0.077853   0.078943  0.080048      8.25    28.43
GS FINANCE CORP          40054LQS6 09/15/17 06/15/23    100.000     0.000     2.5996                        0.072210   0.072679   0.073624  0.074581      7.66    26.36
GS FINANCE CORP          40054LQU1 09/28/17 09/30/25    100.000     0.000     3.1000                        0.086110   0.086125   0.087460  0.088815      8.01    31.49
GS FINANCE CORP          40054LQZ0 09/28/17 09/28/23    100.000     0.000     2.7500                                   0.076390   0.077440  0.078505      7.10    27.89
GS FINANCE CORP          40054LR89 09/29/17 10/10/24    100.000     0.000     2.9500                        0.081944   0.082018   0.083228  0.084455      7.54    29.94
GS FINANCE CORP          40054LR97 09/29/17 10/10/24    100.000     0.000     2.9500                        0.081944   0.082018   0.083228  0.084455      7.54    29.94
GS FINANCE CORP          40054LRA4 09/29/17 10/10/24    100.000     0.000     2.9500                        0.081944   0.082018   0.083228  0.084455      7.54    29.94
GS FINANCE CORP          40054LRB2 09/29/17 10/12/27    100.000     0.000     3.3500                        0.093057   0.093169   0.094730  0.096317      8.57    34.07
GS FINANCE CORP          40054LRL0 09/28/17 10/11/22    100.000     0.000     2.5499                        0.070831   0.070896   0.071800  0.072715      6.59    25.83
GS FINANCE CORP          40054LS21 09/29/17 10/01/24    100.000     0.000     2.9500                        0.081946   0.081959   0.083168  0.084395      7.54    29.94
GS FINANCE CORP          40054LS39 09/29/17 06/29/23    100.000     0.000     2.6502                        0.073616   0.074104   0.075086  0.076081      6.77    26.86
GS FINANCE CORP          40054LS47 09/29/17 10/01/24    100.000     0.000     2.9500                        0.081946   0.081959   0.083168  0.084395      7.54    29.94
GS FINANCE CORP          40054LSS4 09/29/17 09/26/24    100.000     1.500     2.9596                                   0.082212   0.082792  0.083400      7.56    29.81
GS FINANCE CORP          40054LST2 09/29/17 09/29/22    100.000     0.000     2.5498                                   0.070829   0.071732  0.072646      6.52    25.83
GS FINANCE CORP          40054LSU9 09/29/17 10/01/24    100.000     0.000     2.9500                        0.081946   0.081959   0.083168  0.084395      7.54    29.94
GS FINANCE CORP          40054LSV7 09/13/17 09/12/24    100.000     0.000     2.8499                                   0.079164   0.080285  0.081429      8.55    28.95
GS FINANCE CORP          40054LSZ8 09/20/17 09/22/25    100.000     0.000     3.0502                        0.084727   0.084742   0.086034  0.087346      8.56    31.00
GS FINANCE CORP          40054LTA2 09/29/17 09/30/24    100.000     0.000     2.9501                                   0.081953   0.083161  0.084388      7.54    29.94
GS FINANCE CORP          40054LTJ3 09/29/17 12/29/21    100.000     0.000     2.3500                        0.065279   0.065662   0.066434  0.067214      6.01    23.78
GS FINANCE CORP          40054LTR5 09/25/17 09/25/23    100.000     0.000     2.7000                                   0.075001   0.076014  0.077040      7.20    27.38
GS FINANCE CORP          40054LUM4 09/29/17 03/31/23    100.000     0.000     2.6512                                   0.073650   0.074626  0.075615      6.78    26.87
GS FINANCE CORP          40054LXR0 10/31/17 11/10/27    100.000     0.000     3.3499                        0.093053   0.093139   0.094699  0.096285      5.68    33.97
GS FINANCE CORP          40054LXT6 10/31/17 11/12/24    100.000     0.000     3.0000                        0.083334   0.083417   0.084669  0.085939      5.09    30.38
GS FINANCE CORP          40054LYB4 10/31/17 05/02/19    100.000     0.000     1.6997                        0.047215   0.047219   0.047620  0.048025      2.88    17.12
HSBC USA Inc.            4042K0P66 02/26/10 02/26/20    100.000    VARIES     4.3500             0.120833   0.120833   0.120833   0.120833  0.120833     43.50    43.50
HSBC USA, Inc.           4042K14V2 09/28/12 09/28/18    100.000     0.000     2.1876             0.066293   0.067018   0.067752   0.068493               24.13    18.22
HSBC USA, Inc.           4042K14W0 09/28/12 09/28/18    100.000     0.000     2.1876             0.066293   0.067018   0.067752   0.068493               24.13    18.22
HSBC USA, Inc.           4042K15X7 10/31/12 10/31/18    100.000     0.000     2.0693             0.062413   0.063059   0.063711   0.064370               22.66    19.17
HSBC USA, Inc.           4042K15Y5 10/31/12 10/31/18    100.000     0.000     2.2258             0.067550   0.068302   0.069062   0.069830               24.55    20.79
HSBC USA, Inc.           4042K1B28 03/27/12 03/27/19    100.000     0.000     3.6762             0.120307   0.122519   0.124771   0.127064  0.129400     44.13    45.77
HSBC USA, Inc.           4042K1BQ5 01/24/11 01/24/18    100.000     0.000     3.6480             0.123625   0.125880   0.128176                          45.63     2.95
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K1D59 04/05/12 04/05/18    100.000     0.000     3.2442             0.104158   0.105848   0.107565                          38.09    10.11
HSBC USA, Inc.           4042K1E58 04/26/12 10/26/18    100.000     0.000     3.3064             0.106449   0.108208   0.109997   0.111816               38.87    32.78
HSBC USA, Inc.           4042K1E66 04/26/12 04/27/17    100.000     0.000     2.7103             0.084988                                                 9.86         
HSBC USA, Inc.           4042K1FE8 03/24/11 03/24/18    100.000    VARIES     3.9709             0.110369   0.110347   0.110324                          39.72     9.16
HSBC USA, Inc.           4042K1GG2 05/04/11 05/04/18    100.000    VARIES     3.6984             0.102649   0.102677   0.102705                          36.96    12.63
HSBC USA, Inc.           4042K1HX4 06/10/11 06/10/19    100.000    VARIES     3.5774             0.099209   0.099240   0.099272   0.099305  0.099338     35.72    35.75
HSBC USA, Inc.           4042K1JT1 06/13/11 06/13/18    100.000    VARIES     3.3850             0.093552   0.093708   0.093867                          33.71    15.21
HSBC USA, Inc.           4042K1K77 05/29/12 11/28/18    100.000     0.000     3.0538             0.097215   0.098700   0.100207   0.101737               35.36    33.04
HSBC USA, Inc.           4042K1KE2 07/29/11 07/31/17    100.000     0.000     2.9726             0.095715   0.097137                                     20.26         
HSBC USA, Inc.           4042K1KG7 07/29/11 07/31/17    100.000     0.000     2.9726             0.095715   0.097137                                     20.26         
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES     4.1953             0.113842   0.114087   0.114337   0.114593  0.114853     41.04    41.22
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES     4.3009             0.117325   0.117520   0.117718   0.117921  0.118129     42.28    42.42
HSBC USA, Inc.           4042K1U43 06/29/12 06/29/18    100.000     0.000     2.6049             0.081295   0.082354   0.083427                          29.46    14.85
HSBC USA, Inc.           4042K1XC2 02/29/12 03/01/18    100.000     0.000     3.1255             0.099829   0.101389   0.102974                          36.60     6.18
HSBC USA, Inc.           4042K1XD0 02/29/12 03/01/17    100.000     0.000     2.9016             0.091763                                                 5.51         
HSBC USA, Inc.           4042K1XE8 02/07/12 02/07/17    100.000     0.000     2.7410             0.086063                                                 3.10         
HSBC USA, Inc.           4042K1XF5 02/29/12 03/01/19    100.000     0.000     3.4939             0.113436   0.115417   0.117434   0.119485  0.121573     41.67    43.14
HSBC USA, Inc.           4042K1Z30 08/30/12 08/30/18    100.000     0.000     2.4720             0.074925   0.075437   0.076789   0.077313               27.67    18.60
HSBC USA, Inc.           4042K1Z48 08/30/12 02/28/18    100.000     0.000     2.2077             0.066589   0.066226   0.068067                          24.42     3.95
HSBC USA, Inc.           4042K1Z63 08/08/12 08/08/19    100.000     0.000     2.6152             0.080602   0.081656   0.082724   0.083805  0.084901     29.51    30.29
HSBC USA, Inc.           4042K1ZD8 03/30/12 03/30/17    100.000     0.000     2.8298             0.089203                                                 7.94         
HSBC USA, Inc.           4042K1ZE6 04/04/12 04/04/18    100.000     0.000     3.2440             0.104153   0.105843   0.107559                          38.10    10.00
HSBC USA, Inc.           4042K1ZK2 04/02/12 04/02/19    100.000     0.000     3.4237             0.110799   0.112696   0.114625   0.116587  0.118583     40.57    41.97
HSBC USA, Inc.           40432X2M2 11/27/12 11/27/18    100.000     0.000     2.0105             0.060501   0.061109   0.061723   0.062344               21.93    20.23
HSBC USA, Inc.           40432X2N0 11/27/12 11/27/18    100.000     0.000     2.1492             0.065028   0.065727   0.066433   0.067147               23.58    21.79
HSBC USA, Inc.           40432X3T6 11/26/12 11/25/19    100.000     0.000     2.2777             0.069263   0.070052   0.070850   0.071657  0.072473     25.13    25.71
HSBC USA, Inc.           40432X4M0 12/24/12 12/24/18    100.000     0.000     2.0972             0.063326   0.063990   0.064661   0.065339               22.93    22.95
HSBC USA, Inc.           40432X4N8 12/26/12 12/26/18    100.000     0.000     2.0971             0.063321   0.063985   0.064656   0.065334               22.92    23.07
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES     1.3476             0.010701   0.010773   0.010845   0.010919  0.010992      3.87     3.92
HSBC USA, Inc.           40432X5M9 01/29/13 01/29/19    100.000     0.000     2.1342             0.063855   0.064537   0.065225   0.065921  0.066625     23.32    23.82
HSBC USA, Inc.           40432X5N7 01/30/13 01/30/19    100.000     0.000     2.1342             0.063855   0.064537   0.065225   0.065921  0.066625     23.32    23.82
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000     4.5776             0.148982   0.152392   0.155880   0.159448  0.163097     55.39    57.96
HSBC USA, Inc.           40432X5Z0 01/04/13 12/24/18    100.000     0.000     2.0804             0.062740   0.063393   0.064052   0.064718               22.71    22.73
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000     4.6460             0.151563   0.155084   0.158687   0.162373  0.166145     56.28    58.92
HSBC USA, Inc.           40432XAC5 02/26/13 02/26/19    100.000     0.000     2.2386             0.067222   0.067974   0.068735   0.069504  0.070282     24.52    25.08
HSBC USA, Inc.           40432XAD3 02/27/13 02/27/19    100.000     0.000     2.2386             0.067222   0.067974   0.068735   0.069504  0.070282     24.52    25.07
HSBC USA, Inc.           40432XBQ3 02/28/13 08/28/18    100.000     0.000     1.9404             0.057667   0.058227   0.058792   0.059362               21.00    14.04
HSBC USA, Inc.           40432XCD1 03/28/13 03/28/19    100.000     0.000     2.2311             0.066978   0.067725   0.068481   0.069245  0.070017     24.39    24.93
HSBC USA, Inc.           40432XGU9 06/26/13 06/26/19    100.000     0.000     2.6969             0.082277   0.083387   0.084511   0.085651  0.086806     29.83    30.64
HSBC USA, Inc.           40432XGZ8 07/08/13 07/08/20    100.000    VARIES     1.3420             0.007163   0.007211   0.007259   0.007308  0.007357      2.60     2.64
HSBC USA, Inc.           40432XHX2 07/23/13 07/23/18    100.000     0.000     2.1558             0.063861   0.064550   0.065245   0.065949               23.33    13.31
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES     1.5824             0.007772   0.007834   0.007896   0.007958  0.008021      2.83     2.87
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES     1.6689             0.010112   0.010196   0.010282   0.010367  0.010454      3.68     3.74
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES     3.9579             0.109456   0.109486   0.109517   0.109549  0.109581     39.42    39.44
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES     1.6700             0.010138   0.010223   0.010308   0.010394  0.010481      3.68     3.75
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES     1.5394             0.007220   0.007276   0.007332   0.007388  0.007445      2.62     2.66
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES     3.4249             0.089557   0.089747   0.089940   0.090136  0.090336     32.28    32.42
HSBC USA, Inc.           40432XQU8 12/31/13 07/01/19    100.000     0.000     2.4757             0.074043   0.074959   0.075887   0.076826               26.82    27.49
HSBC USA, Inc.           40432XS69 02/03/14 02/03/17    100.000     0.000     1.1821             0.033817                                                 1.08         
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES     3.9810             0.106466   0.106594   0.106726   0.106860  0.106996     38.36    38.46
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES     4.0230             0.108667   0.108763   0.108861   0.108961  0.109063     39.14    39.21
HSBC USA, Inc.           40433BH50 03/31/15 03/31/20    100.000     0.000     2.5279             0.072915   0.073836   0.074770   0.075715  0.076672     26.58    27.26
HSBC USA, Inc.           40433BKW7 08/28/14 08/30/19    100.000     0.000     2.1922             0.062916   0.063258   0.064303   0.064653  0.065721     23.20    23.71
HSBC USA, Inc.           40433BN61 04/08/15 04/08/20    100.000     0.000     1.6949             0.048287   0.048696   0.049109   0.049525  0.049945     17.53    17.82
HSBC USA, Inc.           40433BNR5 09/29/14 09/30/19    100.000     0.000     2.3492             0.068380   0.069183   0.069996   0.070818  0.071650     24.91    25.50
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000     2.9962             0.088336   0.089659   0.091002   0.092366  0.093750     32.11    33.08
HSBC USA, Inc.           40433BVF2 12/10/14 12/11/17    100.000     0.000     1.7132             0.049243   0.049665                                     16.82         
HSBC USA, Inc.           40433U3P9 04/26/17 10/26/18    100.000     0.000     1.8371                        0.051030   0.051499   0.051972               12.53    15.28
HSBC USA, Inc.           40433UFF8 12/31/15 01/02/24    100.000     0.000     1.6730             0.046865   0.047257   0.047653   0.048051  0.048453     17.08    17.37
HSBC USA, Inc.           40433UQV1 07/29/16 07/31/23    100.000     0.000     2.6252     11.16   0.072932   0.073889   0.074859   0.075841  0.076837     26.72    27.42
HSBC USA, Inc.           40433UQZ2 07/29/16 07/31/23    100.000     0.000     2.6252     11.16   0.072932   0.073890   0.074860   0.075842  0.076838     26.72    27.43
HSBC USA, Inc.           40433USA5 08/31/16 08/31/23    100.000     0.000     2.6052      8.85   0.071967   0.071716   0.073854   0.073597  0.075791     26.45    27.15
HSBC USA, Inc.           40433USB3 08/31/16 08/31/23    100.000     0.000     2.6052      8.85   0.071967   0.071716   0.073854   0.073597  0.075791     26.45    27.15
HSBC USA, Inc.           40433UTZ9 09/30/16 10/02/23    100.000     0.000     2.3972      6.06   0.066597   0.067395   0.068203   0.069020  0.069848     24.26    24.85
HSBC USA, Inc.           40433UUA2 09/30/16 10/02/23    100.000     0.000     2.3972      6.06   0.066597   0.067395   0.068203   0.069020  0.069848     24.26    24.85
HSBC USA, Inc.           40433UVZ6 10/31/16 10/31/23    100.000     0.000     2.6044      4.41   0.072345   0.073287   0.074241   0.075208  0.076187     26.33    27.02
HSBC USA, Inc.           40433UW44 03/08/17 03/06/20    100.000     0.000     2.5296                        0.070268   0.071147   0.072046  0.072958     20.69    25.98
HSBC USA, Inc.           40433UWA0 10/31/16 10/31/23    100.000     0.000     2.6044      4.41   0.072344   0.073286   0.074240   0.075207  0.076186     26.33    27.02
HSBC USA, Inc.           40433UZY5 11/10/16 11/10/22    100.000     0.000     2.5056      3.55   0.069599   0.070471   0.071354   0.072248  0.073153     25.30    25.94
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000     3.8455             0.119778   0.122081   0.124428   0.126820  0.129259     44.17    45.89
HSBC USA, Inc.           40434B131 04/03/14 03/26/21    100.000     0.000     3.2029             0.096267   0.097808   0.099375   0.100966  0.102583     35.23    36.37
HSBC USA, Inc.           40434B545 02/06/14 01/29/21    100.000     0.000     3.0855             0.092473   0.093900   0.095349   0.096820  0.098313     33.98    35.04
HSBC USA, Inc.           40434B610 12/26/13 06/28/21    100.000     0.000     3.3585             0.103113   0.104845   0.106605   0.108395  0.110215     37.44    38.71
HSBC USA, Inc.           40434B636 12/31/13 01/04/21    100.000     0.000     3.4305             0.103790   0.105570   0.107381   0.109222  0.111096     38.32    39.65
HSBC USA, Inc.           40434B867 12/03/13 11/25/20    100.000     0.000     3.1083             0.094647   0.096117   0.097611   0.099128  0.100669     34.44    35.52
HSBC USA, Inc.           40434C188 07/31/14 07/30/21    100.000     0.000     2.8870             0.083075   0.085671   0.085490   0.088162  0.087976     31.17    32.07
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000     3.2386             0.097485   0.099063   0.100667   0.102297  0.103954     35.43    36.58
HSBC USA, Inc.           40434C659 06/05/14 05/28/21    100.000     0.000     2.9290             0.087447   0.088727   0.090027   0.091345  0.092683     31.80    32.73
HSBC USA, Inc.           40434E127 03/03/16 02/24/23    100.000     0.000     2.1215     17.64   0.059523   0.060155   0.060793   0.061438  0.062089     21.70    22.17
HSBC USA, Inc.           40434E267 02/04/16 01/27/23    100.000     0.000     1.8122     16.53   0.050778   0.051239   0.051703   0.052171  0.052644     18.51    18.84
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000     2.2886             0.065788   0.066541   0.067302   0.068072  0.068851     23.91    24.46
HSBC USA, Inc.           40434K354 12/30/15 12/23/22    100.000     0.000     1.6731             0.047240   0.047635   0.048034   0.048436  0.048841     17.08    17.37
HSBC USA, Inc.           40434N283 06/03/16 05/26/23    100.000     0.000     2.4858     14.39   0.069875   0.070743   0.071623   0.072513  0.073414     25.37    26.01
HSBC USA, Inc.           40434V293 09/02/16 08/25/23    100.000     0.000     2.5349      8.38   0.070414   0.071272   0.072175   0.073090  0.074017     25.73    26.38
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40434V780 07/13/16 06/30/23    100.000     0.000     2.5156     11.81   0.070697   0.071587   0.072487   0.073399  0.074322     25.61    26.26
HSBC USA, Inc.           40435B247 12/30/16 12/22/23    100.000     0.000     3.3412      0.09   0.092812   0.094293   0.095869   0.097470  0.099099     33.71    34.83
HSBC USA, Inc.           40435B304 10/06/16 09/29/23    100.000     0.000     2.5061      5.92   0.069613   0.070451   0.071334   0.072228  0.073133     25.37    26.01
HSBC USA INC             40435FAQ0 07/03/17 07/01/22    100.000     0.000     2.5570                        0.071026   0.071924   0.072844               12.64    26.06
HSBC USA INC             40435FBA4 07/27/17 07/27/20    100.000     0.000     2.1741                                   0.060390   0.061047  0.061710      9.30    22.06
HSBC USA INC             40435FBB2 07/27/17 07/27/22    100.000     0.000     2.6657                                   0.074047   0.075034  0.076034     11.40    27.14
HSBC USA INC             40435FCC9 07/28/17 07/29/24    100.000     0.000     3.0414                                   0.084490   0.085775  0.087079     12.93    31.04
HSBC USA INC             40435FCZ8 09/06/17 09/08/20    100.000     0.000     2.0146                        0.055962   0.055968   0.056532  0.057101      6.44    20.38
HSBC USA INC             40435FHY6 10/12/17 10/12/22    100.000     0.000     2.6944                                   0.074846   0.075854  0.076876      5.91    27.29
HSBC USA INC             40435G279 09/14/17 09/15/22    100.000     0.000     1.9322                                   0.053675   0.054194  0.054718      5.74    19.53
HSBC USA INC             40435G287 09/14/17 09/16/21    100.000     0.000     1.9325                        0.053680   0.053685   0.054204  0.054728      5.74    19.53
HSBC USA INC             40435G295 09/14/17 09/14/23    100.000     0.000     1.9320                                   0.053666   0.054184  0.054708      5.74    19.52
HSBC USA INC             40435G725 08/31/17 08/30/24    100.000     0.000     2.8720                                   0.079779   0.080912  0.082087      9.65    29.21
Hancock County SD 316,IL 409792DK1 05/01/14 12/01/17    107.276    VARIES     1.6361             0.046397   0.045924                                     15.23         
Hancock County SD 316,IL 409792DL9 05/01/14 12/01/18    107.805    VARIES     2.1842             0.062817   0.062289   0.061756   0.061217               22.49    20.28
Hancock County SD 316,IL 409792DM7 05/01/14 12/01/19    106.961    VARIES     2.6340             0.076032   0.075570   0.075102   0.074628  0.074147     27.26    26.92
Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20    105.881    VARIES     3.2317             0.093173   0.092771   0.092362   0.091947  0.091525     33.45    33.15
Hancock CNTY SD #325, IL 409828AR1 06/28/13 12/01/17    109.800    VARIES     1.9861             0.056399   0.055787                                     18.50         
Caesars Entertainment    413626AS1 07/25/14 03/01/17     92.600     5.950     9.2134     68.80   0.086657                                                 5.20         
Caesars Entertainment    413626AU6 07/25/14 03/01/17     93.100     6.950    10.0284     64.11   0.081429                                                 4.89         
Caesars Entertaiment     413626AV4 07/25/14 03/01/17     89.010     9.750    15.0048    101.75   0.135779                                                 8.15         
Harrisburg, PA           414738NY6 12/28/95 04/01/17     22.322     0.000     7.1793    759.45   0.192514                                                17.33         
Harrisburg, PA           414738NZ3 12/28/95 04/01/18     20.535     0.000     7.2394    709.74   0.180747   0.187289   0.194069                          67.45    17.47
Harrisburg, PA           414738PA6 12/28/95 04/01/19     19.125     0.000     7.2394    661.02   0.168341   0.174435   0.180749   0.187291  0.194071     62.82    67.45
Hartford Life Insurance  41659LAS0 08/16/07 08/16/17    100.000    VARIES     5.7021             0.262720   0.270210                                     60.46         
Helix Energy Solutions   42330PAG2 03/12/12 03/15/32    100.000    VARIES     7.5037             0.254980   0.261160   0.267571   0.274223  0.280790     94.24    98.92
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000     7.1398    296.21   0.094946   0.098336   0.101846   0.105482  0.109248     35.41    37.99
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000     7.1397    276.14   0.088514   0.091673   0.094946   0.098335  0.101846     33.01    35.41
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000     7.1397    257.44   0.082517   0.085463   0.088514   0.091674  0.094946     30.78    33.01
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000     7.1397    240.00   0.076927   0.079673   0.082517   0.085463  0.088514     28.69    30.78
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000     7.1398    223.74   0.071715   0.074275   0.076927   0.079673  0.082517     26.75    28.69
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000     7.1398    208.58   0.066856   0.069243   0.071715   0.074275  0.076927     24.94    26.75
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000     7.1397    194.45   0.062327   0.064552   0.066857   0.069243  0.071715     23.25    24.94
Horizon Lines, Inc.      44044KAC5 10/05/11 04/15/17     92.470     0.000        N/A             0.277121                                                28.82         
Horizon Lines, Inc.      44044KAG6 10/05/11 04/15/17     92.470     0.000        N/A             0.277121                                                28.82         
Horizon Lines, Inc.      44044KAH4 04/26/12 04/15/17    100.000     0.000        N/A             0.166667                                                17.33         
Hovnanian Enterpiress    442488BL5 11/01/11 11/01/21     53.000     5.000    13.8062    166.88   0.125483   0.134145   0.143405   0.153305  0.163887     47.81    54.64
Hovnanian Enterpirses    442488BM3 11/01/11 11/01/21     42.000     2.000    12.1926             0.212224   0.221775   0.231908   0.242659  0.254065     79.30    86.75
Hovnanian K. Enterprises 442488BP6 10/02/12 12/01/17     76.851     0.000     5.1630    185.88   0.136290   0.139808                                     45.61         
Illinois Student Asst Co 452281JD1 10/27/10 04/25/23     95.305    VARIES        N/A             0.013148   0.013261   0.013374   0.013488  0.013603      4.77     4.85
Irvington Township, NJ   464080JU5 12/21/06 07/15/17     56.947     0.000     5.3998    402.25   0.142211   0.146050                                     28.28         
Irvington Township, NJ   464080JV3 12/21/06 07/15/18     53.750     0.000     5.4397    383.25   0.135723   0.139414   0.143206   0.147101               50.77    28.48
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES     4.4624             0.121268   0.119878   0.118457   0.119348  0.120259     42.98    43.08
JP Morgan Chase & Co.    46634X187 06/29/11 06/29/17    100.000     0.000     3.2583             0.108115                                                19.24         
JPMORGAN CHASE FINANCIAL 46647MMB6 07/11/17 07/11/24    103.000     0.250     3.1279                                   0.089493   0.090784  0.092095     15.21    32.89
JPMORGAN CHASE FINANCIAL 46647MNA7 08/23/17 08/20/20    100.000     0.000     2.1009                                   0.058357   0.058960  0.059580      7.47    21.28
JPMORGAN CHASE FINANCIAL 46647MNK5 09/27/17 09/27/23    100.000     0.000     2.9208                                   0.081132   0.082317  0.083519      7.63    29.65
Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17     53.993     0.000     5.9996    407.38   0.157089   0.161802                                     52.69         
Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18     50.612     0.000     6.0497    385.99   0.149163   0.153675   0.158323   0.163112               54.79    53.11
Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19     47.112     0.000     6.1497    367.00   0.142440   0.146820   0.151335   0.155988  0.160784     52.33    55.60
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000     6.1997    346.81   0.134898   0.139079   0.143391   0.147836  0.152418     49.57    52.69
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000     6.2497    327.39   0.127621   0.131609   0.135721   0.139963  0.144336     46.90    49.88
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000     6.2498    307.86   0.120005   0.123755   0.127622   0.131610  0.135723     44.11    46.90
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000     6.2997    290.18   0.113359   0.116930   0.120613   0.124412  0.128331     41.67    44.34
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000     6.2996    272.73   0.106541   0.109897   0.113359   0.116929  0.120612     39.16    41.67
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000     6.2997    256.33   0.100134   0.103288   0.106542   0.109898  0.113359     36.81    39.16
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000     6.3498    241.13   0.094401   0.097398   0.100490   0.103680  0.106972     34.71    36.95
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000     6.3500    233.12   0.091497   0.094402   0.097399   0.100492  0.103682     33.56    35.72
JACKSON PERRY & RANDOLPH 468687BQ0 09/12/17 12/01/18    102.511     4.250     2.1199                        0.060364   0.060644   0.061287                6.59    20.13
JACKSON PERRY & RANDOLPH 468687BR8 09/12/17 12/01/19    103.862     4.250     2.4306                        0.070125   0.070499   0.071356  0.068724      7.65    25.48
JACKSON PERRY & RANDOLPH 468687BS6 09/12/17 12/01/20    104.745     4.250     2.6851                        0.078124   0.078585   0.079640  0.076843      8.53    28.43
JACKSON PERRY & RANDOLPH 468687BT4 09/12/17 12/01/21    105.525     4.250     2.8378                        0.083182   0.083700   0.084887  0.082006      9.08    30.29
JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22    104.761     4.250     3.2383                        0.094236   0.094906   0.096442  0.093342     10.29    34.40
Jefferies Group, LLC     47233JAK4 02/28/17 02/28/24    100.000    VARIES     2.8488                        0.007910   0.007655   0.007396  0.007133      2.37     2.64
Jefferies Group LLC      47233JAL2 04/28/17 04/28/33    100.000    VARIES     5.1690                        0.143584   0.140116   0.136558  0.132908     34.67    49.35
Jefferies Group LLC      47233JAP3 05/31/17 05/31/34    100.000    VARIES     5.0961                        0.141558   0.138087   0.134528  0.133405     29.76    48.93
JEFFERIES GROUP LLC      47233JAQ1 06/30/17 06/30/37    100.000    VARIES     5.1829                        0.143971   0.140506   0.136951  0.133305     26.06    49.94
JEFFERIES GROUP LLC      47233JAT5 07/31/17 07/31/37    100.000    VARIES     5.3560                                   0.148779   0.146068  0.143285     22.47    52.24
JEFFERIES GROUP LLC      47233JAV0 08/31/17 08/31/37    100.000    VARIES     5.1572                                   0.143255   0.141175  0.139122     17.33    50.69
JEFFERIES GROUP LLC      47233JAX6 08/31/17 08/31/37    100.000    VARIES     5.1565                                   0.143236   0.140443  0.137658     17.33    50.38
JEFFERIES GROUP LLC      47233JAY4 09/29/17 09/30/37    100.000    VARIES     5.0451                                   0.140141   0.138088  0.135962     12.89    49.70
JEFFERIES GROUP LLC      47233JBB3 10/31/17 10/31/37    100.000    VARIES     5.1557                                   0.143213   0.139747  0.136192      8.74    50.50
JEFFERIES GROUP LLC      47233JBC1 10/31/17 10/31/37    100.000    VARIES     5.1265                                   0.142402   0.140003  0.137542      8.69    50.54
Jefferson CNTYS #521, IL 474070HP7 05/30/13 12/01/17     99.674    VARIES     1.4462             0.040134   0.040153                                     13.25         
Jefferson CNTYS #521, IL 474070HQ5 05/30/13 12/01/18     99.605    VARIES     1.6957             0.047014   0.047036   0.047058   0.047080               16.93    15.53
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES     2.8895             0.084043   0.083752   0.083457   0.083158  0.082855     30.19    29.97
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES     3.0399             0.087668   0.087460   0.087248   0.087033  0.086815     31.51    31.36
Johnson CNTYS, IL        478167HE2 07/03/14 10/01/17    106.717    VARIES     2.1873             0.062052   0.061409                                     16.64         
Johnson CNTYS, IL        478167HF9 07/03/14 10/01/18    107.426    VARIES     2.4887             0.071626   0.071014   0.070394   0.069766               25.56    18.89
Johnson CNTYS, IL        478167HG7 07/03/14 10/01/19    107.279    VARIES     2.8392             0.082270   0.081722   0.081167   0.080604  0.080033     29.42    29.02
Johnson CNTYS, IL        478167HH5 07/03/14 10/01/20    107.066    VARIES     3.0900             0.089873   0.089395   0.088909   0.088416  0.087915     32.18    31.83
Johnson CNTYS, IL        478167HJ1 07/03/14 10/01/21    105.766    VARIES     3.3404             0.096645   0.096288   0.095924   0.095554  0.095179     34.66    34.40
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES     3.5910             0.103269   0.103004   0.102733   0.102458  0.102178     37.08    36.88
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES     3.8407             0.109345   0.109178   0.109007   0.108833  0.108656     39.30    39.18
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JOHNSON & UN CNTYS ILL C 478169AA3 07/19/17 12/01/27    100.000     5.700     5.6760                        0.157666   0.160947   0.165515  0.157930     25.64    58.67
Josephine County, OR     480890AA0 10/30/01 06/01/17     36.621     0.000     6.5496    607.37   0.176165                                                26.42         
Josephine County, OR     480890AB8 10/30/01 06/01/18     33.518     0.000     6.6997    575.76   0.168586   0.174234   0.180070                          62.05    27.01
J2 Global, Inc.          48123VAC6 06/17/14 06/15/29    100.000    VARIES     8.0003             0.250751   0.257170   0.263846   0.270789  0.278010     91.64    96.46
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25    100.000    VARIES     3.5832             0.088151   0.088560   0.088976   0.089529  0.090091     31.90    32.25
JP Morgan Chase & Co.    48125UCH3 02/27/15 02/27/30*   100.000    VARIES     3.9805             0.110536   0.110525                                     26.08*        
JP Morgan Chase & Co.    48125UCP5 03/31/15 03/29/30*   100.000    VARIES     3.9446             0.104978   0.101902   0.103117                          27.48*        
JP Morgan Chase & Co.    48125UDK5 03/30/15 03/30/25    100.000    VARIES     3.4193             0.092172   0.091831   0.091767   0.091703  0.091819     33.08    33.03
JP Morgan Chase & Co.    48125UDL3 04/22/15 04/22/30*   100.000    VARIES     3.9343             0.105489   0.104174                                     30.36*        
JP Morgan Chase & Co.    48125UKN1 03/31/15 12/31/20    100.000     0.000     2.9102             0.085034   0.086272   0.087527   0.088801  0.090093     30.84    31.74
JP Morgan Chase & Co.    48125UL59 08/17/15 02/18/21    100.000     1.000     2.8256             0.079936   0.080673   0.081421   0.082178  0.082947     29.11    29.65
JP Morgan Chase & Co.    48125URP9 05/14/15 05/16/19    100.000     0.000     2.2908             0.065853   0.066608   0.067370   0.068142  0.068923     23.91    24.46
JP Morgan Chase & Co.    48125UTC6 06/26/15 06/26/30    100.000    VARIES     4.4666             0.121154   0.120138   0.119479   0.118806  0.118118     43.42    42.88
JP Morgan Chase & Co.    48125UTF9 06/30/15 06/30/30    100.000    VARIES     4.4796             0.115745   0.113963   0.112141   0.110278  0.110023     41.34    40.03
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES     4.4810             0.116163   0.114770   0.113346   0.111890  0.111591     41.57    40.54
JP Morgan Chase & Co.    48125UTH5 06/30/15 06/30/30    100.000    VARIES     4.4852             0.121695   0.120687   0.119772   0.118838  0.117882     43.63    42.95
JP Morgan Chase & Co.    48125UTL6 06/30/15 06/30/30    100.000    VARIES     4.4865             0.123644   0.123302   0.122952   0.122595  0.122571     44.45    44.20
JP Morgan Chase & Co.    48125UTT9 07/31/15 07/31/30    100.000    VARIES     4.3052             0.117540   0.116483   0.115403   0.114727  0.114036     41.80    41.22
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES     4.2124             0.113801   0.112145   0.110454   0.111010  0.111578     40.27    40.00
JP Morgan Chase & Co.    48125UUN0 08/31/15 08/31/30    100.000    VARIES     4.2249             0.114617   0.111686   0.112434   0.109869  0.110929     41.03    40.38
JP Morgan Chase & Co.    48125UUS9 08/21/15 08/21/30    100.000    VARIES     4.2080             0.115955   0.115472   0.114979   0.114690  0.114394     41.53    41.26
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES     2.5712             0.008636   0.008252   0.008138   0.007756  0.007628      3.02     2.84
JP Morgan Chase & Co.    48125UY48 09/30/15 09/30/30    100.000    VARIES     4.2752             0.116690   0.115623   0.114534   0.113871  0.113194     41.62    40.99
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES     2.6025             0.013327   0.013019   0.012707   0.012390  0.012070      4.68     4.45
JP Morgan Chase & Co.    48125V2G4 08/31/12 08/31/18    100.000     0.000     2.4105             0.073285   0.072959   0.075062   0.074728               26.91    18.10
JP Morgan Chase & Co.    48125V4Q0 09/28/12 09/29/17    100.000     0.000     1.9604             0.058879   0.059456                                     15.88         
JP Morgan Chase & Co.    48125V5R7 09/28/12 09/28/18    100.000    VARIES     2.2734             0.066411   0.066933   0.067460   0.067994               24.10    18.11
JPMORGAN CHASE & CO      48125V7F1 09/18/12 09/18/19    100.000     0.500     2.6370    117.75   0.079807   0.080677   0.081557   0.082449  0.083353     29.07    29.71
JP Morgan Chase & Co.    48125V7G9 09/28/12 03/29/18    100.000     0.000     2.0908             0.063119   0.063779   0.064445                          22.96     5.67
JP Morgan Chase & Co.    48125VC40 06/20/12 12/20/17    100.000     0.000     3.2200             0.103273   0.104936                                     36.34         
JP Morgan Chase & Co.    48125VC57 06/29/12 06/29/18    100.000     0.000     3.0498             0.097077   0.098557   0.100060                          35.22    17.81
JP Morgan Chase & Co.    48125VEL0 12/30/11 12/29/17    100.000     0.000     3.8401             0.128999   0.131476                                     46.63         
JP Morgan Chase & Co.    48125VHH6 01/31/12 01/31/18    100.000     0.000     3.5407             0.115181   0.117220   0.119296                          42.45     3.46
JP Morgan Chase & Co.    48125VL24 07/05/12 01/04/18    100.000     0.000     2.9501             0.092123   0.093481   0.094860                          33.89     0.28
JP Morgan Chase & Co.    48125VM72 06/29/12 06/28/19    100.000     0.000     3.2699             0.105095   0.106813   0.108559   0.110334  0.112138     38.15    39.41
JP Morgan Chase & Co.    48125VMC1 02/29/12 02/28/18    100.000     0.000     3.1994             0.101952   0.101894   0.105240                          37.61     6.10
JP Morgan Chase & Co.    48125VPZ7 03/30/12 09/28/18    100.000     0.000     3.1110             0.099279   0.100823   0.102391   0.103984               36.31    27.63
JP Morgan Chase & Co.    48125VQ60 07/31/12 07/31/18    100.000    VARIES     2.6424             0.077035   0.077684   0.078342   0.079008               28.05    16.49
JP Morgan Chase & Co.    48125VRA0 03/07/12 03/07/17    100.000     0.000     2.6907             0.084295                                                 5.56         
JP Morgan Chase & Co.    48125VSN1 03/27/12 03/27/20    100.000     0.000     3.7709             0.123925   0.126261   0.128642   0.131067  0.133539     45.48    47.21
JP Morgan Chase & Co.    48125VTP5 04/30/12 04/30/18    100.000     0.000     3.0310             0.096399   0.097860   0.099343                          35.15    11.82
JP Morgan Chase & Co.    48125VZ52 08/31/12 08/31/18    100.000    VARIES     2.7098             0.079974   0.080724   0.081485   0.082255               29.11    19.61
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125VZ94 08/31/12 08/31/17    100.000    VARIES     1.7166             0.049181   0.048794                                     11.83         
JP Morgan Chase & Co.    48125X4L7 10/21/11 10/22/18    100.000     0.000     4.1615             0.142047   0.145003   0.148020   0.151100               52.08    43.63
JP Morgan Chase & Co.    48125X4M5 10/21/11 10/22/18    100.000     0.000     4.1615             0.142047   0.145003   0.148020   0.151100               52.08    43.63
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES     5.0718             0.146063   0.145753   0.145267   0.144768  0.144203     52.45    52.11
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES     5.1602             0.147447   0.147267   0.147001   0.146728  0.146368     53.01    52.82
JP Morgan Chase & Co.    48125XKS4 03/30/11 03/30/17    100.000     0.000     4.0116             0.138641                                                12.34         
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES     5.0712             0.144377   0.144288   0.144113   0.143933  0.143677     51.96    51.84
JP Morgan Chase & Co.    48126D3U1 05/31/13 05/31/19    100.000     0.000     2.4506             0.074129   0.075038   0.075957   0.076888  0.077830     26.91    27.57
JP Morgan Chase & Co.    48126D3W7 05/31/13 05/29/20    100.000    VARIES     2.8293             0.082593   0.083226   0.083894   0.084570  0.085274     29.89    30.37
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES     3.5785             0.102747   0.103305   0.103962   0.104632  0.105313     37.13    37.59
JP Morgan Chase & Co.    48126D6Y0 09/20/13 09/20/23    100.000    VARIES     4.4963             0.116449   0.116574   0.116702   0.117077  0.117461     41.97    42.16
JP Morgan Chase & Co.    48126DAQ2 10/05/12 10/05/17    100.000     0.000     1.9305             0.057910   0.058469                                     15.97         
JP Morgan Chase & Co.    48126DBB4 11/02/12 10/31/18    100.000     0.000     2.2805             0.069352   0.070143   0.070942   0.071751               25.21    21.36
JP Morgan Chase & Co.    48126DBC2 10/31/12 10/31/18    100.000    VARIES     2.2313             0.066293   0.066826   0.067364   0.068116               24.03    20.28
JP Morgan Chase & Co.    48126DBJ7 10/31/12 10/31/17    100.000     0.000     2.0204             0.060823   0.061437                                     18.30         
JP Morgan Chase & Co.    48126DF20 03/27/13 09/27/17    100.000     0.000     1.6906             0.049811   0.050232                                     13.33         
JP Morgan Chase & Co.    48126DFM6 11/30/12 02/28/18    100.000     0.000     1.9911             0.059243   0.058858   0.060429                          21.70     3.50
JP Morgan Chase & Co.    48126DFN4 11/30/12 11/30/18    100.000    VARIES     2.1919             0.064701   0.065221   0.065746   0.066278               23.42    21.73
JP Morgan Chase & Co.    48126DGZ6 11/30/12 11/30/18    100.000     0.000     2.1502             0.065062   0.065762   0.066469   0.067183               23.59    22.00
JP Morgan Chase & Co.    48126DH28 04/30/13 04/30/19    100.000    VARIES     2.0021             0.058760   0.059237   0.059717   0.060201  0.060804     21.30    21.65
JP Morgan Chase & Co.    48126DH36 04/30/13 04/30/19    100.000    VARIES     2.0723             0.060937   0.061448   0.061963   0.062484  0.063131     22.09    22.47
JP Morgan Chase & Co.    48126DJ83 04/30/13 10/31/18    100.000     0.000     1.9004             0.056401   0.056937   0.057478   0.058024               20.47    17.28
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES     3.1390             0.089765   0.090199   0.090710   0.091230  0.091757     32.45    32.82
JP Morgan Chase & Co.    48126DKC2 12/31/12 12/31/18    100.000     0.000     2.1109             0.063773   0.064446   0.065127   0.065814               23.08    23.50
JP Morgan Chase & Co.    48126DKD0 12/31/12 12/31/18    100.000    VARIES     2.0821             0.061338   0.061813   0.062293   0.062942               22.17    22.48
JP Morgan Chase & Co.    48126DKE8 12/31/12 03/29/18    100.000     0.000     1.8650             0.055538   0.056055   0.056578                          20.18     4.98
JP Morgan Chase & Co.    48126DLU1 12/14/12 12/14/27    100.000    VARIES     3.7338             0.096351   0.096400   0.096451   0.096503  0.096555     34.70    34.73
JP Morgan Chase & Co.    48126DLY3 12/21/12 12/21/27    100.000    VARIES     3.6433             0.088943   0.088437   0.087922   0.088116  0.088314     31.92    31.69
JP Morgan Chase & Co.    48126DMB2 12/31/12 12/31/27    100.000    VARIES     3.7027             0.090136   0.089216   0.088279   0.088453  0.088630     32.28    31.81
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES     3.1823             0.090471   0.090848   0.091272   0.091702  0.092168     32.76    33.07
JP Morgan Chase & Co.    48126DRL5 01/31/13 07/31/18    100.000     0.000     1.9803             0.058935   0.059519   0.060108   0.060703               21.50    12.67
JP Morgan Chase & Co.    48126DRM3 01/31/13 01/31/19    100.000    VARIES     2.1526             0.063049   0.063544   0.064050   0.064561  0.065256     22.94    23.33
JP Morgan Chase & Co.    48126DRW1 01/31/13 01/31/19    100.000     0.000     2.1601             0.064689   0.065388   0.066094   0.066808  0.067530     23.63    24.14
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES     3.8928             0.097331   0.095986   0.095696   0.095401  0.095100     34.70    34.36
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES     3.8747             0.094481   0.093347   0.093449   0.093553  0.093659     33.76    33.67
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES     3.2856             0.092964   0.091845   0.093815   0.092732  0.094754     33.83    34.16
JP Morgan Chase & Co.    48126DVH9 02/28/13 02/28/19    100.000    VARIES     2.1918             0.063896   0.063355   0.064927   0.064386  0.066171     23.35    23.75
JP Morgan Chase & Co.    48126DVW6 02/28/13 02/28/19    100.000     0.000     2.1003             0.062422   0.062049   0.063740   0.063359  0.065086     22.88    23.36
JP Morgan Chase & Co.    48126DVX4 02/28/13 08/31/18    100.000     0.000     2.0204             0.059881   0.059500   0.061097   0.060708               21.94    14.71
JP Morgan Chase & Co.    48126DVY2 02/11/13 02/10/20    100.000     0.000     2.6403             0.080387   0.081448   0.082523   0.083613  0.084717     29.43    30.21
JP Morgan Chase & Co.    48126DZF9 03/28/13 03/29/19    100.000    VARIES     2.2419             0.065966   0.066527   0.067100   0.067680  0.068439     23.95    24.38
JP Morgan Chase & Co.    48126DZG7 03/28/13 03/29/19    100.000     0.000     2.2504             0.067607   0.068368   0.069137   0.069915  0.070701     24.62    25.17
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126DZP7 03/28/13 09/28/18    100.000     0.000     2.0503             0.061169   0.061796   0.062429   0.063069               22.25    16.78
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES     3.3453             0.096048   0.096584   0.097172   0.097771  0.098414     34.78    35.20
JP Morgan Chase & Co.    48126N3B1 02/28/14 02/29/20    100.000     0.000     2.8179             0.083483   0.083278   0.085852   0.085642  0.088288     30.72    31.60
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES     4.4199             0.116506   0.116212   0.115911   0.115604  0.115513     41.83    41.64
JP Morgan Chase & Co.    48126N6E2 05/07/14 05/05/17    100.000     0.000     1.5702             0.045352                                                 5.62         
JPMORGAN CHASE & CO      48126N6F9 05/07/14 05/05/17    100.000     0.150     1.5621     42.04   0.044945                                                 5.57         
JP Morgan Chase & Co.    48126N6J1 05/14/14 05/12/17    100.000     0.000     1.4802             0.042657                                                 5.59         
JPMORGAN CHASE & CO      48126N6K8 05/14/14 05/12/17    100.000     0.150     1.4781     39.44   0.042437                                                 5.56         
JP Morgan Chase & Co.    48126NCU9 06/28/13 06/28/19    100.000     0.000     3.2502             0.101067   0.102710   0.104379   0.106075  0.107799     36.69    37.89
JP Morgan Chase & Co.    48126NCV7 06/28/13 06/30/20    100.000    VARIES     3.6189             0.104212   0.104860   0.105576   0.106305  0.107112     37.63    38.14
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES     4.3049             0.123185   0.123944   0.124852   0.125780  0.126728     44.48    45.12
JP Morgan Chase & Co.    48126NGN1 07/02/13 07/03/19    100.000     0.000     3.2115             0.098164   0.099740   0.101342   0.102969  0.104623     36.19    37.36
JP Morgan Chase & Co.    48126NHE0 07/31/13 07/31/19    100.000    VARIES     2.9571             0.086306   0.087074   0.087853   0.088663  0.089486     31.44    32.02
JP Morgan Chase & Co.    48126NHH3 07/31/13 07/31/18    100.000     0.000     2.5903             0.077728   0.078735   0.079755   0.080788               28.47    16.85
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES     3.9757             0.113104   0.113792   0.114495   0.115330  0.116181     41.05    41.62
JP Morgan Chase & Co.    48126NHK6 07/11/13 07/11/19    100.000     0.000     3.3903             0.104170   0.105936   0.107732   0.109558  0.111415     38.42    39.74
JP Morgan Chase & Co.    48126NJJ7 07/31/13 07/31/19    100.000     0.000     2.9706             0.090148   0.091487   0.092846   0.094225  0.095624     33.10    34.09
JP Morgan Chase & Co.    48126NLK1 08/05/13 08/03/17    100.000     0.000     2.1505             0.063688   0.064373                                     13.63         
JP Morgan Chase & Co.    48126NMG9 08/30/13 08/30/19    100.000     0.000     3.2509             0.098381   0.099434   0.101606   0.102693  0.104936     36.50    37.70
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES     4.2968             0.120971   0.119745   0.122505   0.121413  0.124365     44.12    44.74
JP Morgan Chase & Co.    48126NNA1 08/30/13 08/30/19    100.000    VARIES     3.2354             0.093574   0.093926   0.095324   0.095705  0.097152     34.44    35.09
JP Morgan Chase & Co.    48126NQB6 08/29/13 08/31/20    100.000     0.000     3.7494             0.115808   0.116055   0.120191   0.120448  0.124739     42.85    44.48
JP Morgan Chase & Co.    48126NQX8 09/30/13 09/30/19    100.000    VARIES     2.9713             0.085545   0.086147   0.086758   0.087412  0.088076     31.02    31.47
JP Morgan Chase & Co.    48126NQZ3 09/30/13 09/28/18    100.000     0.000     2.5208             0.075478   0.076430   0.077393   0.078368               27.52    20.84
JP Morgan Chase & Co.    48126NRP4 09/30/13 03/29/18    100.000     0.000     2.2911             0.068137   0.068918   0.069707                          24.81     6.13
JP Morgan Chase & Co.    48126NSK4 09/18/13 09/18/20    100.000     0.000     3.8713             0.120645   0.122980   0.125360   0.127787  0.130260     44.34    46.07
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES     4.4385             0.112788   0.112523   0.112253   0.112514  0.112781     40.52    40.49
JP Morgan Chase & Co.    48126NT64 01/31/14 01/31/20    100.000     0.000     2.7907             0.083081   0.084241   0.085416   0.086608  0.087816     30.47    31.33
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES     4.6982             0.119204   0.118859   0.118505   0.118860  0.119222     42.82    42.76
JP Morgan Chase & Co.    48126NU21 01/14/14 01/12/18    100.000     0.000     2.0001             0.058385   0.058969   0.059558                          21.32     0.66
JP Morgan Chase & Co.    48126NU96 01/24/14 01/26/21    100.000     0.000     3.3005             0.099517   0.101160   0.102829   0.104526  0.106251     36.64    37.85
JP Morgan Chase & Co.    48126NWU7 10/31/13 10/31/19    100.000     0.000     2.7408             0.082613   0.083745   0.084893   0.086056  0.087236     30.08    30.91
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES     3.8580             0.109431   0.110020   0.110620   0.111334  0.112062     39.57    40.04
JP Morgan Chase & Co.    48126NXS1 10/21/13 10/21/20    100.000     0.000     3.5611             0.109970   0.111929   0.113922   0.115950  0.118015     40.22    41.66
JP Morgan Chase & Co.    48126NZY6 11/29/13 11/29/19    100.000     0.000     2.8103             0.084881   0.086074   0.087283   0.088510  0.089754     30.85    31.72
JP Morgan Chase & Co.    48126NZZ3 11/29/13 11/29/19    100.000     0.000     2.8103             0.084881   0.086074   0.087283   0.088510  0.089754     30.85    31.72
JP Morgan Chase & Co.    48127A351 12/26/13 06/24/21    100.000     0.000     3.6699             0.113672   0.115757   0.117881   0.120045  0.122247     41.33    42.86
JP Morgan Chase & Co.    48127D3H9 12/17/14 12/17/20    100.000    VARIES     2.7853             0.078167   0.078468   0.078774   0.079127  0.079485     28.20    28.43
JP Morgan Chase & Co.    48127D4A3 12/31/14 12/31/20    100.000     0.000     1.7101             0.049148   0.049568   0.049992   0.050419  0.050850     17.77    18.07
JP Morgan Chase & Co.    48127DCY2 04/30/14 04/30/20    100.000     0.000     2.8708             0.085635   0.086864   0.088111   0.089376  0.090659     31.20    32.10
JP Morgan Chase & Co.    48127DFJ2 04/23/14 04/22/20    100.000    VARIES     2.8446             0.080281   0.080613   0.081001   0.081395  0.081877     29.01    29.29
JP Morgan Chase & Co.    48127DKP2 06/04/14 06/05/18    100.000     0.000     1.9100             0.055030   0.055251   0.056086                          20.15     8.69
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48127DMP0 06/30/14 09/30/20    100.000     0.000     2.7898             0.082480   0.083631   0.084797   0.085980  0.087179     30.11    30.96
JP Morgan Chase & Co.    48127DNW4 10/31/14 10/31/29    100.000    VARIES     2.8583             0.077789   0.077809   0.077830   0.077850  0.077871     28.01    28.02
JP Morgan Chase & Co.    48127DPA0 11/21/14 11/21/29    100.000    VARIES     4.0317             0.105245   0.104973   0.104697   0.104415  0.104127     37.82    37.62
JP Morgan Chase & Co.    48127DPG7 12/24/14 12/24/29    100.000    VARIES     4.0345             0.107827   0.107763   0.107698   0.107631  0.107563     38.81    38.76
JP Morgan Chase & Co.    48127DPH5 12/24/14 12/24/29    100.000    VARIES     2.8705             0.079821   0.079833   0.079847   0.079860  0.079873     28.74    28.75
JP Morgan Chase & Co.    48127DQH4 02/27/15 02/27/30*   100.000    VARIES     4.0540             0.108516   0.107095                                     25.36*        
JP Morgan Chase & Co.    48127DVW5 08/29/14 08/31/20    100.000     0.000     2.8193             0.082379   0.082178   0.084718   0.084511  0.087123     30.32    31.18
JP Morgan Chase & Co.    48127DYS1 09/30/14 09/30/20    100.000     0.000     2.9910             0.088165   0.089483   0.090822   0.092180  0.093558     32.22    33.19
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000     3.8108             0.116333   0.118550   0.120809   0.123110  0.125456     42.55    44.19
JP Morgan Chase & Co.    48128GF88 05/24/17 05/24/27    100.000    VARIES     2.5870                        0.011140   0.010632   0.010118  0.009597      2.40     3.70
JPMORGAN CHASE FINANCIAL 48128GJ27 08/31/17 08/31/27    100.000    VARIES     2.4049                                   0.007976   0.007779  0.007576      0.97     2.79
Justice Park Dist, IL    48214PAQ8 06/07/11 12/01/17    101.380    VARIES     4.7210             0.131492   0.131317                                     43.36         
Justice Park Dist, IL    48214PAR6 06/07/11 12/01/18    100.000    VARIES     4.9724             0.138193   0.138176   0.138158   0.138140               49.75    45.59
Justice Park Dist, IL    48214PAS4 06/07/11 12/01/19     97.305    VARIES     5.3725             0.147714   0.147951   0.148195   0.148444  0.148701     53.23    53.41
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES     5.7224             0.154902   0.155360   0.155831   0.156316  0.156815     55.88    56.22
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES     5.9725             0.159017   0.159619   0.160238   0.160875  0.161532     57.39    57.84
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136      1.75   0.004709   0.004824   0.004943   0.005064  0.005189      1.73     1.81
Kansas City Southern     485170AN4 12/09/15 05/15/20     97.300     2.350     3.0050      6.15   0.016391   0.016637   0.016887   0.017141  0.017398      5.97     6.15
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000     3.7202      5.88   0.015743   0.016036   0.016335   0.016638  0.016948      5.75     5.96
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136      1.75   0.004709   0.004824   0.004943   0.005064  0.005189      1.73     1.81
Kansas City Southern     485170AU8 12/09/15 05/15/20     97.300     2.350     3.0050      6.15   0.016391   0.016637   0.016887   0.017141  0.017398      5.97     6.15
Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000     3.7202      5.88   0.015743   0.016036   0.016335   0.016638  0.016948      5.75     5.96
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136      1.75   0.004709   0.004824   0.004943   0.005064  0.005189      1.73     1.81
Kansas City Southern     485170AZ7 12/09/15 05/15/20     97.300     2.350     3.0050      6.15   0.016391   0.016637   0.016887   0.017141  0.017398      5.97     6.15
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    154.81   0.053045   0.054498   0.055990   0.057523  0.059098     19.57    20.66
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    130.09   0.049926   0.051369   0.052853   0.054381  0.055952     18.24    19.31
LA SALLE BUREAU & LEE CN 504354DH1 06/30/17 12/01/22    104.232     3.750     2.8869                        0.083584   0.084596   0.085818  0.082788     15.16    30.62
LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23    103.755     3.750     3.0878                        0.088994   0.090147   0.091538  0.088386     16.14    32.65
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886                        0.092491   0.093729   0.095223  0.091869     16.78    33.96
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895                        0.095206   0.096520   0.098107  0.094695     17.27    34.98
Lake County, IL          509262CV1 04/09/03 01/01/21     35.244     0.000     5.9695    437.91   0.131054   0.134966   0.138994   0.143142               47.88    50.78
Lakewood Township, NJ    512678QW6 08/22/12 04/01/17     98.381     2.250     2.6253     15.26   0.010289                                                 0.93         
Lakewood Township, NJ    512678QX4 08/22/12 04/01/18     98.460     2.700     3.0004     11.74   0.007979   0.008099   0.008220                           2.92     0.74
Lee & Dekalb Counties, I 523351BU7 09/30/11 01/01/18    100.000     0.000     3.9994             0.136788   0.139523                                     49.74         
Lee & Dekalb Counties, I 523351BV5 09/30/11 01/01/19    100.000     0.000     4.2493             0.147217   0.150345   0.153540   0.156802               53.56    55.86
Lee & Dekalb Counties, I 523351BW3 09/30/11 01/01/20    117.427     0.000     4.4992             0.185409   0.189580   0.193845   0.198205               67.50    70.57
Liberty Interactive Corp 530610AA2 04/09/13 03/30/43    100.000     2.984     6.0293             0.186876   0.190011   0.193240   0.196567  0.199994     68.42    70.78
Liberty Interactive Corp 530610AB0 09/09/13 09/30/43    100.000     1.000     2.5054             0.072904   0.073470   0.074042   0.074622  0.075208     26.45    26.87
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776     18.81   0.147131   0.149731   0.152399   0.155138  0.157949     53.91    55.86
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000     9.0690             0.746944   0.775776   0.805915   0.837421  0.870355    276.80   298.76
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000     9.0690             0.746944   0.775776   0.805915   0.837421  0.870355    276.80   298.76
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750     9.4298             0.826744   0.860813   0.896488   0.933845  0.972964    313.25   339.86
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750     9.4298             0.826744   0.860813   0.896488   0.933845  0.972964    313.25   339.86
Liberty Media Corp.      530715AM3 01/11/01 01/15/31**  100.000     3.500        N/A             0.800393   0.833794   0.868781   0.905430  0.943820    305.51** 331.81
Liberty Media Corp.      530715AN1 01/11/01 01/15/31**  100.000     3.500        N/A             0.800393   0.833794   0.868781   0.905430  0.943820    305.51** 331.81
Liberty Media Corp.      531229AC6 08/17/16 09/30/46    100.000     2.250     4.1931     15.63   0.116744   0.117882   0.119043   0.120228  0.121439     42.44    43.29
Liberty Media Corp.      531229AE2 08/17/16 09/30/46    100.000     2.250     4.1931     15.63   0.116744   0.117882   0.119043   0.120228  0.121439     42.44    43.29
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791             0.114882   0.114042   0.114409   0.114784  0.115169     41.18    41.30
Lloyds TSB Bank PLC      5394E8AP4 04/27/12 04/27/20    100.000    VARIES     2.7871             0.019845   0.020121   0.020402   0.020686  0.020974      7.23     7.43
Lloyds TSB Bank PLC      5394E8AV1 06/08/12 06/08/27*    95.000     8.000     8.5995      9.24   0.006880                                                 1.09*        
Lloyds TSB Bank PLC      5394E8AY5 06/29/12 06/29/27*    95.000     8.000     8.5995      9.10   0.006880                                                 1.23*        
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES     2.8121             0.007332   0.007435   0.007540   0.007646  0.007754      2.69     2.77
Lloyds TSB Bank PLC      5394E8BC2 07/20/12 07/20/17     98.250    VARIES     2.8582             0.023172   0.023504                                      4.67         
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     12.31   0.008439   0.008634   0.008835   0.009039  0.009249      3.14     3.28
Lloyds TSB Bank PLC      5394E8BG3 09/19/12 09/19/32*   100.000    VARIES     4.3107             0.112502   0.111961                                     29.15*        
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033             0.088186   0.087510   0.086821   0.086119  0.085814     31.42    30.98
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892             0.088853   0.087701   0.087045   0.086377  0.085697     31.55    31.04
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255             0.075591   0.074225   0.072833   0.071416  0.071787     26.79    25.90
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638             0.090679   0.090181   0.089672   0.089152  0.088622     32.38    32.00
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718             0.092261   0.089957   0.087606   0.087336  0.087060     32.08    31.40
Lloyds TSB Bank PLC      5394E8BW8 07/26/13 07/26/28    100.000    VARIES     4.0226             0.102544   0.101897   0.101237   0.100564  0.099877     36.60    36.11
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865             0.095462   0.091732   0.087924   0.084036  0.080066     32.55    29.76
Lloyds TSB Bank PLC      5394E8BZ1 08/28/13 08/28/33    100.000    VARIES     4.7627             0.120570   0.119068   0.117530   0.116903  0.116261     42.76    42.04
Lloyds TSB Bank PLC      5394E8CA5 09/26/13 09/26/33    100.000    VARIES     5.0070             0.122095   0.120390   0.118641   0.118478  0.118311     43.32    42.65
Lloyds TSB Bank PLC      5394E8CB3 10/17/13 10/17/33    100.000    VARIES     5.0356             0.123446   0.121913   0.120340   0.120210  0.120076     43.93    43.28
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339             0.120764   0.118353   0.115881   0.115318  0.114740     42.72    41.54
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES     4.8307             0.118777   0.118945   0.119116   0.119291  0.119470     42.80    42.93
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797             0.106315   0.104233   0.102104   0.101830  0.101550     37.76    36.69
Lloyds TSB Bank PLC      5394E8CF4 12/27/13 12/27/28    100.000    VARIES     4.0355             0.100361   0.099761   0.099149   0.099283  0.099419     36.02    35.72
Lloyds TSB Bank PLC      5394E8CG2 01/29/14 01/29/34    100.000    VARIES     4.7510             0.115951   0.114367   0.112745   0.111085  0.110968     40.97    40.02
Lloyds TSB Bank PLC      5394E8CK3 04/10/14 04/10/34    100.000    VARIES     4.6720             0.115347   0.114277   0.113182   0.112061  0.112116     41.16    40.46
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159             0.087411   0.084896   0.082334   0.079725  0.079592     30.68    28.99
Macon CNTYS SD #11, IL   555495DR8 05/06/15 12/01/17    105.649    VARIES     1.4828             0.042113   0.041653                                     13.81         
Macon CNTYS SD #11, IL   555495DS6 05/06/15 12/01/18    107.392    VARIES     1.8335             0.053088   0.052556   0.052019   0.051478               18.98    17.07
Macon CNTYS SD #11, IL   555495DT4 05/06/15 12/01/19    109.091    VARIES     2.1341             0.062906   0.062318   0.061723   0.061122  0.060515     22.50    22.08
Macon CNTYS SD #11, IL   555495DU1 05/06/15 12/01/20    109.863    VARIES     2.3354             0.069590   0.069024   0.068451   0.067872  0.067286     24.92    24.50
Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17    103.230    VARIES     4.2718             0.119267   0.118967                                     39.30         
Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18    105.024    VARIES     4.2244             0.118961   0.118569   0.118169   0.117761               42.73    38.92
Macon CNTYS SD #9, IL    555864AG2 05/24/13 12/01/17    106.698    VARIES     1.7393             0.049035   0.048676                                     16.12         
Macon CNTYS SD #9, IL    555864AH0 05/24/13 12/01/18    106.171    VARIES     2.0893             0.059349   0.059026   0.058700   0.058370               21.29    19.31
Macon CNTYS SD #9, IL    555864AJ6 05/24/13 12/01/19    106.514    VARIES     2.4385             0.069803   0.069469   0.069131   0.068788  0.068442     25.05    24.80
Macon CNTYS SD #9, IL    555864AK3 05/24/13 12/01/20    105.634    VARIES     2.6887             0.076970   0.076698   0.076422   0.076142  0.075859     27.64    27.44
Marion County, IL        56884PAQ0 06/02/16 12/01/21    106.954     3.550     2.2000     13.65   0.064998   0.064628   0.064254   0.063876  0.063494     23.31    23.04
Marion CNTY SD #133, IL  568870BJ7 05/05/15 12/01/19    113.641    VARIES     2.7710             0.084081   0.082937   0.081777   0.080600  0.079408     29.99    29.16
    -----------------------------                                                                                                                                      
    *  Called in 2017; reportable OID is computed to call date.                                                                                                        
    ** These calculations may be revised.                                                                                                                              



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Marion CNTY SD #133, IL  568870BK4 05/05/15 12/01/20    116.003    VARIES     3.0724             0.095480   0.094280   0.093061   0.091824  0.090567     34.08    33.20
Marion CNTY SD #133, IL  568870BL2 05/05/15 12/01/21    116.656    VARIES     3.3738             0.106023   0.104883   0.103723   0.102544  0.101346     37.89    37.06
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES     3.5754             0.113549   0.112475   0.111382   0.110269  0.109137     40.62    39.83
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES     3.7759             0.122319   0.121220   0.120100   0.118958  0.117795     43.77    42.96
Marion County, OR        56913RAR9 03/28/02 06/01/17     33.393     0.000     7.3590    636.50   0.197162                                                29.57         
Marion County, OR        56913RAS7 03/28/02 06/01/18     31.307     0.000     7.3093    590.31   0.182308   0.188970   0.195876                          67.24    29.38
Marion County, OR        56913RAT5 03/28/02 06/01/19     28.898     0.000     7.3592    550.84   0.170633   0.176912   0.183421   0.190170  0.197168     62.94    67.66
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000     7.4091    513.50   0.159544   0.165454   0.171584   0.177940  0.184532     58.86    63.30
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     6.350        N/A             0.261636   0.267782   0.274332   0.281318  0.288773     96.45   101.33
Mashantucket Western     574754AM9 07/01/13 07/01/36     14.695     1.000        N/A             0.141087   0.154967   0.170213   0.186958  0.205350     55.94    67.49
Mason CNTYS SD #191, IL  574816BW3 07/02/10 12/01/18    106.295    VARIES     4.3308             0.122398   0.121890   0.121372   0.120842               43.94    39.96
Mason CNTYS SD #191, IL  574816BX1 07/02/10 12/01/19    105.637    VARIES     4.7793             0.135587   0.135143   0.134688   0.134223  0.133746     48.70    48.38
Mclean County, IL        582001FB4 06/30/14 12/01/18     99.601    VARIES     2.2168             0.060544   0.060671   0.060799   0.061186               21.83    20.13
Mclean County, IL        582001FD0 06/30/14 12/01/20     99.401    VARIES     3.1536             0.086649   0.086592   0.086534   0.086475  0.086415     31.18    31.14
Mclean County, IL        582001FE8 06/30/14 12/01/21    112.369    VARIES     3.6290             0.109359   0.108571   0.107769   0.106952  0.106121     39.18    38.60
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES     3.8797             0.117036   0.116343   0.115636   0.114916  0.114181     41.97    41.46
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES     4.1300             0.124192   0.123601   0.122999   0.122384  0.121756     44.57    44.13
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES     4.3801             0.130783   0.130301   0.129809   0.129306  0.128792     46.97    46.61
Menard Cass Counties, IL 586362FD2 10/30/15 12/01/17    104.287    VARIES     1.6415             0.046547   0.046074                                     15.28         
Menard Cass Counties, IL 586362FE0 10/30/15 12/01/18    105.955    VARIES     1.9923             0.057509   0.056975   0.056436   0.055891               20.57    18.53
Merrill Lynch & Co., Inc 590188W46 03/13/02 03/13/32    100.000    VARIES     5.7132             0.356560   0.364963   0.373607   0.382497  0.391414    131.72   138.02
Merrill Lynch & Co., Inc 59018YC66 05/02/07 05/02/17    100.000    VARIES     5.5834             0.154555                                                18.70         
Merrill Lynch & Co., Inc 59018YD65 05/18/07 05/18/17    100.000    VARIES     5.6522             0.156640                                                21.46         
Merrill Lynch & Co., Inc 59018YE49 06/06/07 06/06/17    100.000    VARIES     5.9091             0.163714                                                25.38         
Mexican States           593048BN0 03/30/01 12/30/19     89.000     8.125     9.3823     77.80   0.026527   0.027771   0.029074   0.030438  0.031866      9.78    10.71
Miami-Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760     8.7676     66.24   0.035421   0.036973   0.038594   0.040286  0.042052     13.08    14.25
Microchip Technology Inc 595017AA2 12/07/07 12/15/37*   100.000    VARIES     9.1009             0.486167   0.502870                                    170.23*        
Microchip Technology Inc 595017AB0 12/07/07 12/15/37*   100.000    VARIES     9.1009             0.486167   0.502870                                    170.23*        
Molina Healthcare Inc.   60855RAD2 09/05/14 08/15/44    100.500    VARIES     7.5078             0.234945   0.242070   0.249462   0.257133  0.265091     87.84    93.31
Molina Healthcare Inc.   60855RAE0 09/05/14 08/15/44    100.500    VARIES     7.5078             0.234945   0.242070   0.249462   0.257133  0.265091     87.84    93.31
MOOD MEDIA BORROWER LLC  614875AB8 06/28/17 07/01/24     65.470    VARIES    24.9700             0.247268   0.247268   0.270222   0.295333               45.25   101.80
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935     4.6422             0.116719   0.117536   0.118372   0.119227  0.120102     42.33    42.94
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350    VARIES     4.6440             0.114523   0.115490   0.116479   0.117491  0.118527     41.60    42.32
Morgan Stanley           617446H69 05/30/07 06/26/17    100.000     0.000     5.8001             0.278514                                                48.74         
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES     5.2662             0.147586   0.147558   0.147437   0.147313  0.147085     53.10    53.00
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES     5.5160             0.155464   0.155490   0.155516   0.155445  0.155371     55.98    55.95
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES     6.0157             0.140760   0.141719   0.142708   0.143726  0.144774     50.91    51.63
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES     5.7295             0.128483   0.127943   0.128482   0.129037  0.129608     46.16    46.53
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES     2.2423             0.012608   0.012750   0.012893   0.013037  0.013183      4.61     4.72
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES     6.5857             0.161334   0.160722   0.160090   0.160086  0.160082     57.93    57.63
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES     5.5541             0.137591   0.137093   0.136581   0.136055  0.135514     49.27    48.90
Morgan Stanley           61745E2Y6 07/15/11 07/15/17    100.000    VARIES     4.3804             0.122029   0.121855                                     23.64         
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES     6.7334             0.151419   0.152087   0.152777   0.153490  0.154228     54.67    55.17
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES     6.0719             0.136858   0.136040   0.136306   0.136580  0.136862     49.05    49.20
Morgan Stanley           61745E3J8 07/28/10 07/28/17    100.000    VARIES     2.9665             0.020000   0.020297                                      4.19         
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES     5.7501             0.162676   0.162410   0.162045   0.161669  0.161226     58.43    58.15
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES     5.6231             0.137408   0.137036   0.136654   0.136261  0.135857     49.29    49.00
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES     6.9292             0.157864   0.159079   0.160336   0.161637  0.162982     57.06    57.97
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES     2.7071             0.021326   0.021615   0.021907   0.022204  0.022504      7.81     8.02
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES     5.4529             0.122752   0.123147   0.123553   0.123970  0.124398     44.38    44.68
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES     5.4933             0.133072   0.133541   0.134023   0.134518  0.135026     48.13    48.49
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES     2.8599             0.016282   0.016515   0.016751   0.016990  0.017233      5.97     6.14
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES     5.5117             0.125638   0.125975   0.126322   0.126679  0.127045     45.39    45.65
Morgan Stanley           61745E4M0 12/23/11 12/23/18    100.000    VARIES     4.9659             0.025815   0.025552   0.025281   0.025004                9.24     8.85
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES     6.1787             0.138193   0.133881   0.134344   0.134822  0.135314     48.33    48.61
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES     5.2217             0.147183   0.147216   0.147028   0.146835  0.146581     52.98    52.85
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES     5.6565             0.134896   0.135504   0.136130   0.136774  0.137436     48.83    49.29
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES     2.8095             0.012698   0.012666   0.013057   0.013024  0.013426      4.67     4.81
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES     5.8739             0.158735   0.158771   0.159019   0.159273  0.159536     57.18    57.34
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES     5.6272             0.134360   0.134379   0.134569   0.134764  0.134964     48.40    48.54
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES     5.5647             0.151907   0.152139   0.152377   0.152622  0.152941     54.77    54.96
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES     4.5799             0.128431   0.128503   0.128577   0.128569  0.128561     46.27    46.28
Morgan Stanley           61745E6M8 02/15/12 02/15/19    100.000    VARIES     5.4092             0.151594   0.151544   0.151306   0.151061  0.150663     54.53    54.34
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES     5.9463             0.141846   0.142059   0.142696   0.143351  0.144026     51.18    51.62
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES     5.5533             0.151850   0.151846   0.151911   0.151978  0.152048     54.67    54.71
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES     5.0167             0.140364   0.140386   0.140409   0.140383  0.140356     50.54    50.54
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES     5.5216             0.124628   0.122676   0.124792   0.122841  0.124965     45.15    45.21
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES     5.3224             0.150748   0.150669   0.150446   0.150217  0.149891     54.23    54.07
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES     5.9065             0.161614   0.161866   0.162126   0.162394  0.162741     58.27    58.46
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES     5.7613             0.151511   0.151750   0.151996   0.152248  0.152692     54.62    54.82
Morgan Stanley           61745EE98 09/22/10 09/22/19    100.000    VARIES     2.8227             0.020005   0.020287   0.020573   0.020864  0.021158      7.31     7.52
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES     5.8397             0.170044   0.170095   0.170148   0.170202  0.170258     61.23    61.27
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES     6.0399             0.163723   0.163620   0.163600   0.163580  0.163559     58.92    58.89
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES     2.2565             0.007074   0.007153   0.007234   0.007316  0.007398      2.57     2.63
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES     5.6735             0.134726   0.133024   0.135745   0.134054  0.136821     48.99    49.37
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES     5.6779             0.156005   0.155442   0.156417   0.155686  0.156539     56.87    56.97
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES     5.7525             0.130621   0.130346   0.131516   0.131261  0.132963     47.69    48.05
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES     5.7372             0.141653   0.140881   0.140913   0.140947  0.140982     50.81    50.74
Morgan Stanley           61745EJ77 09/30/10 09/30/17    100.000    VARIES     2.7147             0.015541   0.015751                                      4.22         
Morgan Stanley           61745EJ85 04/28/11 04/28/17    100.000    VARIES     1.7167             0.012221                                                 1.43         
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES     5.8527             0.140548   0.140618   0.140689   0.141487  0.142309     50.63    50.97
Morgan Stanley           61745EL33 09/30/10 09/30/19    100.000    VARIES     2.8241             0.028961   0.029370   0.029784   0.030205  0.030632     10.57    10.88
Morgan Stanley           61745EL41 04/29/11 04/29/18    100.000    VARIES     1.6126             0.010564   0.010649   0.010735                           3.83     1.27
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES     5.8547             0.133771   0.134312   0.134870   0.135718  0.136592     48.37    48.89
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EL90 10/15/10 10/15/19    100.000    VARIES     2.5026             0.018394   0.018625   0.018858   0.019094  0.019332      6.70     6.87
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES     5.5348             0.131533   0.132210   0.132905   0.133620  0.134354     47.61    48.12
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES     5.1511             0.144378   0.144409   0.144378   0.144346  0.144262     51.98    51.97
Morgan Stanley           61745EM99 09/30/11 09/30/17    100.000    VARIES     3.3264             0.012150   0.012352                                      3.30         
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES     5.5224             0.140062   0.137557   0.139606   0.137096  0.139615     50.64    50.49
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES     6.1252             0.132246   0.133193   0.134169   0.135175  0.136212     47.95    48.67
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES     1.9923             0.013504   0.013638   0.013774   0.013911  0.014050      4.90     5.00
Morgan Stanley           61745ER52 10/15/10 10/15/19    100.000    VARIES     2.6938             0.023193   0.023506   0.023822   0.024143  0.024468      8.45     8.68
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES     5.6682             0.138876   0.138021   0.137779   0.137529  0.137273     49.81    49.54
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES     5.8923             0.168861   0.168308   0.167739   0.167062  0.166365     60.68    60.25
Morgan Stanley           61745ES93 10/27/10 10/27/17    100.000    VARIES     2.4456             0.017825   0.018043                                      5.32         
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES     5.5394             0.149750   0.149703   0.149655   0.149605  0.149644     53.90    53.87
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES     5.3579             0.148467   0.148212   0.147951   0.147682  0.147532     53.39    53.21
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES     2.3142             0.014247   0.014412   0.014579   0.014748  0.014918      5.16     5.28
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES     5.9022             0.150713   0.151918   0.152923   0.153958  0.155023     54.83    55.58
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES     5.4880             0.125920   0.126248   0.126584   0.126930  0.127854     45.40    45.64
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES     6.4618             0.174989   0.175060   0.175134   0.175210  0.175289     63.02    63.07
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES     6.4553             0.166230   0.167450   0.168711   0.170011  0.170951     60.44    61.31
Morgan Stanley           61745EW72 11/23/10 11/23/19    100.000    VARIES     2.3594             0.018253   0.018468   0.018686   0.018906  0.019129      6.63     6.78
Morgan Stanley           61745EW98 11/17/11 11/17/17    100.000    VARIES     3.9291             0.012015   0.012251                                      3.84         
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES     5.7759             0.139594   0.138619   0.138362   0.138097  0.137824     50.08    49.76
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES     3.4515             0.022452   0.022839   0.023234   0.023634  0.024042      8.28     8.57
Morgan Stanley           61745EY39 12/15/10 12/15/19    100.000    VARIES     5.6449             0.160785   0.160263   0.159728   0.159061  0.158375     57.77    57.36
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES     5.5720             0.137135   0.137785   0.138453   0.139139  0.140043     49.49    49.97
Morgan Stanley           61745EZ79 12/15/10 12/15/19    100.000    VARIES     2.6578             0.031717   0.032138   0.032565   0.032998  0.033437     11.51    11.82
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES     5.7789             0.141090   0.141943   0.142819   0.143980  0.145173     51.25    52.03
Morgan Stanley           61745EZ95 11/29/11 11/29/19    100.000    VARIES     5.8964             0.164877   0.164732   0.164582   0.164392  0.164197     59.32    59.20
Morgan Stanley           61746BDP8 02/04/14 02/04/19    100.000     0.000     2.5695             0.076079   0.077057   0.078047   0.079049  0.080065     27.85    28.57
Morgan Stanley           6174822C7 09/28/12 09/28/27*   100.000    VARIES     4.7925             0.133059   0.133426                                     35.33*        
Morgan Stanley           6174822D5 09/28/12 09/28/32*   100.000    VARIES     5.0082             0.136333   0.136455                                     36.15*        
Morgan Stanley           6174822E3 09/28/12 09/28/32*   100.000    VARIES     5.0052             0.133058   0.133016                                     35.25*        
Morgan Stanley           6174822F0 09/28/12 09/28/32*   100.000    VARIES     4.9983             0.126207   0.125653                                     33.35*        
Morgan Stanley           6174822J2 09/28/12 09/28/32*   100.000    VARIES     5.0415             0.134963   0.135106                                     35.79*        
Morgan Stanley           6174822R4 10/31/12 10/31/19    100.000     0.000     3.3499             0.106277   0.108057   0.109867   0.111707  0.113578     38.80    40.11
Morgan Stanley           6174822S2 10/31/12 10/31/17    100.000     0.000     2.8338             0.088094   0.089343                                     26.56         
Morgan Stanley           6174822X1 10/31/12 10/29/32*   100.000    VARIES     4.6666             0.118493   0.118152   0.117803                          35.25*        
Morgan Stanley           6174822Y9 10/31/12 10/29/32*   100.000    VARIES     4.6742             0.125222   0.125417   0.125617                          37.35*        
Morgan Stanley           6174823M4 11/30/12 11/29/19    100.000     0.000     3.2127             0.101367   0.102995   0.104650   0.106331  0.108039     36.89    38.09
Morgan Stanley           6174823N2 11/30/12 11/30/17    100.000     0.000     2.8395             0.088291   0.089544                                     29.27         
Morgan Stanley           6174824H4 04/30/13 04/28/23    100.000    VARIES     3.0093             0.080603   0.080762   0.080935   0.081110  0.081304     29.07    29.19
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES     3.5684             0.094454   0.094552   0.094702   0.094855  0.095010     34.03    34.13
Morgan Stanley           6174824Z4 07/03/13 06/29/20    100.000     0.000     3.7329             0.117974   0.120175   0.122418   0.124703  0.127031     42.88    44.49
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482D76 11/28/11 11/28/17    100.000     0.000     6.9072             0.269436   0.278742                                     89.78         
Morgan Stanley           617482F41 01/30/12 01/30/18    100.000     0.000     4.7546             0.163172   0.167051   0.171022                          60.63     4.96
Morgan Stanley           617482F66 01/31/12 01/29/27*   100.000    VARIES     5.2920             0.138540   0.138006                                      4.02*        
Morgan Stanley           617482F90 02/29/12 02/28/19    100.000     0.000     5.2371             0.182565   0.184291   0.192252   0.194069  0.202452     68.15    71.76
Morgan Stanley           617482G73 03/30/12 03/29/18    100.000     0.000     4.9522             0.171413   0.175657   0.180007                          63.26    15.84
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES     6.4024             0.168775   0.168064   0.167741   0.167407  0.167063     60.52    60.26
Morgan Stanley           617482H56 03/30/12 03/30/27*   100.000    VARIES     6.3038             0.162594                                                14.31*        
Morgan Stanley           617482H64 04/02/12 04/02/27*   100.000    VARIES     6.2401             0.161389   0.160648                                     14.85*        
Morgan Stanley           617482J62 04/30/12 04/28/17    100.000     0.000     4.8877             0.168679                                                19.74         
Morgan Stanley           617482J96 04/30/12 04/28/17    100.000     0.000     4.8877             0.168679                                                19.74         
Morgan Stanley           617482K45 04/25/12 04/26/27    100.000    VARIES     6.3672             0.164284   0.163893   0.163489   0.163072  0.163090     59.02    58.76
Morgan Stanley           617482L69 01/30/12 01/30/17    100.000     0.000     4.4802             0.151910                                                 4.41         
Morgan Stanley           617482L85 01/31/12 01/31/17    100.000     0.000     4.4377             0.150186                                                 4.36         
Morgan Stanley           617482L93 01/31/12 01/31/18    100.000     0.000     4.6981             0.160832   0.164610   0.168477                          59.73     4.89
Morgan Stanley           617482M27 02/29/12 02/28/18    100.000     0.000     5.1562             0.179108   0.180730   0.188462                          66.82    10.93
Morgan Stanley           617482M68 03/30/12 03/29/18    100.000     0.000     4.9684             0.172097   0.176372   0.180753                          63.52    15.91
Morgan Stanley           617482M84 03/30/12 03/27/17    100.000     0.000     4.7959             0.164823                                                14.17         
Morgan Stanley           617482N26 04/30/12 04/30/18    100.000     0.000     5.1860             0.181380   0.186083   0.190908                          66.72    22.72
Morgan Stanley           617482N83 07/05/12 07/03/19    100.000     0.000     5.1923             0.177003   0.181598   0.186312   0.191149  0.196112     66.21    69.69
Morgan Stanley           617482P73 10/03/12 10/03/18    100.000     0.000     3.2792             0.103746   0.105447   0.107176   0.108934               37.96    29.47
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES     6.2468             0.162103   0.162069   0.162034   0.161998  0.161960     58.35    58.32
Morgan Stanley           617482Q23 10/31/12 10/31/19    100.000     0.000     3.3725             0.107089   0.108895   0.110732   0.112599  0.114497     39.10    40.43
Morgan Stanley           617482Q72 05/30/12 11/30/17    100.000     0.000     5.8535             0.208514   0.213444                                     70.34         
Morgan Stanley           617482QH0 01/28/11 01/27/17    100.000     0.000     4.1753             0.145561                                                 3.78         
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES        N/A             0.148559   0.148596   0.148804   0.149018  0.149336     53.52    53.69
Morgan Stanley           617482R55 05/31/12 05/28/32*   100.000    VARIES     6.7095             0.160302   0.157627                                     23.88*        
Morgan Stanley           617482R63 06/04/12 06/04/27    100.000    VARIES     6.4700             0.179307   0.179242   0.179175   0.179105  0.178408     64.54    64.47
Morgan Stanley           617482R71 06/15/12 06/15/27*   100.000    VARIES     6.6026             0.182313                                                30.08*        
Morgan Stanley           617482R97 06/29/12 06/29/17    100.000     0.000     4.7648             0.163593                                                29.12         
Morgan Stanley           617482RB2 02/25/11 02/27/17    100.000     0.000     4.3449             0.152918                                                 8.56         
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES     5.9551             0.157540   0.157259   0.156969   0.156913  0.156855     56.59    56.48
Morgan Stanley           617482RL0 03/30/11 09/29/17    100.000     0.000     4.3133             0.151491   0.154758                                     41.19         
Morgan Stanley           617482S70 06/29/12 06/29/32*   100.000    VARIES     6.4089             0.156711                                                28.05*        
Morgan Stanley           617482S88 06/29/12 06/29/27*   100.000    VARIES     6.1369             0.169642                                                30.37*        
Morgan Stanley           617482T95 07/31/12 07/31/18    100.000     0.000     4.8289             0.162342   0.166262   0.170276   0.174387               60.35    36.33
Morgan Stanley           617482TA2 04/28/11 07/28/17    100.000     0.000     4.1508             0.143060   0.146030                                     30.15         
Morgan Stanley           617482TQ7 05/27/11 05/30/17    100.000     0.000     3.9014             0.134075                                                19.98         
Morgan Stanley           617482U44 07/31/12 07/30/27*   100.000    VARIES     5.9206             0.161044   0.164306   0.162227                          34.08*        
Morgan Stanley           617482U51 07/31/12 07/30/32*   100.000    VARIES     6.0841             0.157900   0.160291   0.157448                          33.27*        
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES     5.3835             0.145934   0.145650   0.145358   0.145058  0.144960     52.47    52.26
Morgan Stanley           617482UP7 06/29/11 06/29/17    100.000     0.000     3.6574             0.124007                                                22.07         
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES     5.5345             0.139594   0.138924   0.138630   0.138329  0.138018     50.12    49.84
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482V50 07/31/12 07/30/32*   100.000    VARIES     6.0491             0.146378   0.147565   0.143903                          30.66*        
Morgan Stanley           617482V68 08/17/12 08/17/27*   100.000    VARIES     5.8776             0.165866   0.166359                                     37.57*        
Morgan Stanley           617482V76 08/31/12 08/31/32*   100.000    VARIES     5.8050             0.154246   0.151571                                     36.53*        
Morgan Stanley           617482V84 08/31/12 08/31/32*   100.000    VARIES     5.7935             0.143198   0.140108                                     33.81*        
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES     5.5330             0.140814   0.140422   0.140019   0.139605  0.139453     50.62    50.33
Morgan Stanley           617482VG6 06/14/11 09/14/17    100.000     0.000     3.8913             0.132339   0.134913                                     33.95         
Morgan Stanley           617482VQ4 08/31/11 08/31/17    100.000     0.000     4.9901             0.176372   0.177825                                     42.95         
Morgan Stanley           617482VU5 08/29/11 08/29/17    100.000     0.000     5.0291             0.176143   0.181565                                     43.26         
Morgan Stanley           617482VX9 09/29/11 09/29/17    100.000     0.000     6.0378             0.225811   0.232628                                     61.74         
Morgan Stanley           617482W75 08/31/12 08/31/18    100.000     0.000     4.3348             0.142155   0.142868   0.148384   0.149129               52.78    36.05
Morgan Stanley           617482WC4 07/28/11 07/28/17    100.000     0.000     4.3106             0.148200   0.151394                                     31.25         
Morgan Stanley           617482WK6 07/28/11 07/28/17    100.000     0.000     4.3106             0.148200   0.151394                                     31.25         
Morgan Stanley           617482X25 08/31/12 08/31/27*   100.000    VARIES     5.6218             0.154394   0.152397                                     36.69*        
Morgan Stanley           617482X41 08/31/12 08/31/32*   100.000    VARIES     5.8551             0.157541   0.155118                                     37.37*        
Morgan Stanley           617482X90 09/28/12 09/28/18    100.000     0.000     3.2592             0.103032   0.104711   0.106417   0.108151               37.71    28.73
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES     6.1189             0.153862   0.154255   0.152950   0.153311  0.151981     56.12    55.77
Morgan Stanley           617482XL3 08/26/11 08/25/17    100.000     0.000     4.9768             0.176739   0.181137                                     42.15         
MORGAN STANLEY           617482XT6 08/31/11 08/31/17    100.000     1.000     5.0230    296.16   0.170963   0.174535                                     41.51         
Morgan Stanley           617482XW9 09/29/11 09/29/17    100.000     0.000     6.0328             0.225571   0.232375                                     61.68         
Morgan Stanley           617482Y99 11/30/12 11/30/27*   100.000    VARIES     4.1468             0.114289   0.114569                                     37.54*        
Morgan Stanley           617482YD0 09/16/11 09/14/18    100.000     0.000     5.1470             0.184284   0.189027   0.193891   0.198881               68.22    49.95
Morgan Stanley           617482Z23 11/30/12 11/30/32*   100.000    VARIES     4.3510             0.110896   0.110593                                     36.43*        
Morgan Stanley           617482Z31 11/30/12 11/30/32*   100.000    VARIES     4.3570             0.116736   0.116902                                     38.44*        
Morgan Stanley           61755S172 06/04/12 05/30/17    100.000     0.000     5.5377             0.196570                                                29.29         
Morgan Stanley           61755S354 07/03/12 02/27/17    100.000     0.000     4.7356             0.159755                                                 8.95         
Morgan Stanley           61755S412 08/02/12 07/30/18    100.000     0.000     4.5511             0.151316   0.154759   0.158281   0.161883               56.15    33.73
Morgan Stanley           61755S552 08/17/12 10/17/17    100.000     0.000     4.2529             0.140785   0.143779                                     40.80         
Morgan Stanley           61758S260 09/04/14 02/28/22    100.000     0.000     3.2754             0.096520   0.096501   0.099707   0.099688  0.103000     35.62    36.79
Morgan Stanley           61758S559 09/02/14 07/03/23    100.000     0.000     3.4567             0.102260   0.104028   0.105826   0.107655  0.109515     37.77    39.08
Morgan Stanley           61758S625 10/03/14 03/31/22    100.000     0.000     3.6906             0.110274   0.112309   0.114381   0.116492  0.118642     40.44    41.94
Morgan Stanley           61759G653 07/30/10 03/30/17    100.000     0.000     5.0432             0.190468                                                16.95         
Morgan Stanley           61760E226 08/31/11 08/31/17    100.000     0.000     5.0772             0.180215   0.181777                                     43.90         
Morgan Stanley           61760E309 02/25/11 02/22/18    100.000     0.000     4.9086             0.177957   0.182325   0.186799                          65.99     9.53
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000     5.3273             0.188172   0.192445   0.196831   0.201334  0.205957     68.57    71.73
Morgan Stanley           61760E366 06/30/11 06/30/17    100.000     0.000     3.7942             0.129596                                                23.20         
Morgan Stanley           61760E499 07/29/11 07/31/17    100.000     0.000     4.2686             0.146487   0.149614                                     31.18         
Morgan Stanley           61760E630 05/27/11 05/24/17    100.000     0.000     3.9897             0.137675                                                19.69         
Morgan Stanley           61760P650 09/29/11 12/22/17    100.000     0.000     6.0586             0.229987   0.236954                                     81.98         
MORGAN STANLEY           61760P692 09/30/11 09/29/17    100.000     1.000     6.0176    357.31   0.215216   0.220855                                     58.69         
MORGAN STANLEY           61760P825 09/30/11 09/29/17    100.000     1.000     6.0423    358.99   0.216362   0.222060                                     59.01         
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES     5.1014             0.118021   0.115813   0.118157   0.116660  0.119041     42.69    42.96
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES     5.1025             0.132024   0.129615   0.131496   0.129083  0.131203     47.68    47.52
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QAE4 02/29/12 02/28/17    100.000    VARIES     3.1265             0.017041                                                 0.99         
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES     5.5710             0.130717   0.130018   0.130174   0.130335  0.130499     46.87    46.93
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES     5.8741             0.133263   0.133223   0.133182   0.133140  0.133698     47.96    47.98
Morgan Stanley           61760QAM6 03/16/12 03/16/17    100.000    VARIES     3.6246             0.030683                                                 2.30         
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES     6.0912             0.150727   0.149948   0.149146   0.148320  0.148134     53.98    53.45
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES     5.8451             0.138132   0.138258   0.138387   0.138520  0.139324     49.77    49.93
Morgan Stanley           61760QAR5 03/30/12 03/30/17    100.000    VARIES     3.2447             0.020356                                                 1.81         
Morgan Stanley           61760QAU8 03/30/12 03/30/17    100.000    VARIES     3.2451             0.020368                                                 1.81         
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES     5.9580             0.135845   0.135912   0.135980   0.136051  0.136721     48.92    49.01
Morgan Stanley           61760QAY0 04/16/12 04/16/19    100.000    VARIES     3.3327             0.014903   0.015151   0.015403   0.015660  0.015921      5.45     5.63
Morgan Stanley           61760QBA1 04/30/12 04/30/17    100.000    VARIES     3.6147             0.030415                                                 3.62         
Morgan Stanley           61760QBB9 04/30/12 04/30/32*   100.000    VARIES     6.3756             0.148943   0.146705                                     17.87*        
Morgan Stanley           61760QBC7 04/30/12 04/30/17    100.000    VARIES     3.3428             0.023026                                                 2.74         
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES     3.6559             0.015479   0.015762   0.016050   0.016343  0.016642      5.65     5.85
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES     3.9371             0.021706   0.022133   0.022569   0.023013  0.023466      7.93     8.25
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES     6.1478             0.144070   0.142164   0.142144   0.142123  0.142102     51.46    51.17
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES     6.1478             0.144070   0.142164   0.142144   0.142123  0.142102     51.46    51.17
Morgan Stanley           61760QBK9 05/30/12 05/30/17    100.000    VARIES     3.9102             0.038422                                                 5.72         
Morgan Stanley           61760QBM5 06/15/12 06/15/19    100.000    VARIES     4.3022             0.020835   0.021283   0.021741   0.022208  0.022686      7.60     7.93
Morgan Stanley           61760QBP8 06/20/12 06/20/17    100.000    VARIES     4.3857             0.010484                                                 1.77         
Morgan Stanley           61760QBR4 08/02/12 08/02/19    100.000    VARIES     3.6421             0.016006   0.016297   0.016594   0.016896  0.017204      5.90     6.12
Morgan Stanley           61760QBS2 07/20/12 07/20/17    100.000    VARIES     3.6337             0.016979   0.017288                                      3.43         
Morgan Stanley           61760QBU7 08/14/12 08/14/17    100.000    VARIES     3.5376             0.014419   0.014674                                      3.26         
Morgan Stanley           61760QBV5 08/31/12 09/01/19    100.000    VARIES     3.6021             0.015026   0.015296   0.015572   0.015852  0.016138      5.52     5.72
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES     4.4801             0.124717   0.124707   0.124696   0.124685  0.124648     44.89    44.89
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES     4.6395             0.128849   0.128866   0.128883   0.128862  0.128841     46.39    46.39
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES     4.4679             0.136735   0.137510   0.138301   0.139111  0.139939     49.42    49.99
Morgan Stanley           61760QCD4 12/28/12 12/28/22    100.000    VARIES     2.1577             0.008540   0.008632   0.008725   0.008819  0.008914      3.09     3.16
Morgan Stanley           61760QCG7 01/31/13 01/31/23    100.000    VARIES     2.1326             0.009259   0.009357   0.009457   0.009558  0.009660      3.38     3.45
Morgan Stanley           61760QCJ1 02/15/13 02/15/18    100.000    VARIES     1.6303             0.009222   0.009297   0.009373                           3.35     0.41
Morgan Stanley           61760QCK8 02/28/13 03/01/23    100.000    VARIES     1.9099             0.009152   0.009239   0.009328   0.009417  0.009507      3.33     3.40
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES     3.9696             0.096981   0.096337   0.096577   0.096822  0.097072     34.80    34.81
Morgan Stanley           61760QCR3 06/07/13 06/07/20    100.000    VARIES     1.7754             0.011493   0.011595   0.011698   0.011802  0.011907      4.16     4.23
Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES     4.0272             0.098341   0.097627   0.097386   0.097141  0.096891     35.25    35.00
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES     4.5851             0.109309   0.108450   0.108749   0.109055  0.109368     39.19    39.21
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES     4.3010             0.108477   0.108605   0.108737   0.108870  0.109425     39.08    39.17
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES     4.2811             0.107978   0.108120   0.108266   0.108415  0.108976     38.90    39.00
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES     4.5084             0.112997   0.113040   0.113085   0.113131  0.113178     40.70    40.73
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES     4.4981             0.109159   0.108722   0.108275   0.107818  0.107351     39.09    38.76
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES     4.7352             0.118903   0.118416   0.117918   0.118263  0.118616     42.59    42.60
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES     4.5466             0.109248   0.107803   0.106325   0.106278  0.106229     38.68    38.26
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES     4.4982             0.107432   0.105728   0.103985   0.103774  0.103559     37.94    37.34
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QDH4 09/06/13 09/06/21    100.000    VARIES     2.3953             0.009749   0.009865   0.009983   0.010103  0.010224      3.56     3.64
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES     4.6879             0.113465   0.112210   0.110925   0.110916  0.110907     40.38    39.93
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES     4.4302             0.106503   0.104174   0.101794   0.101597  0.101395     37.76    36.60
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES     4.3149             0.109291   0.107842   0.106363   0.104851  0.104914     38.82    37.89
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES     2.6675             0.012280   0.011638   0.010988   0.010329  0.009662      4.17     3.70
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES     2.1052             0.055166   0.055357   0.055550   0.055745  0.055942     19.92    20.06
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES     2.7018             0.010703   0.010439   0.010171   0.009899  0.009624      3.79     3.59
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES     2.6352             0.008445   0.008187   0.007925   0.007660  0.007761      2.97     2.80
Morgan Stanley           61760QGP3 06/30/15 06/30/22    100.000    VARIES     1.5573             0.010954   0.011039   0.011125   0.011079  0.011033      3.96     4.00
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES     2.7160             0.010386   0.009987   0.009584   0.009174  0.008759      3.55     3.25
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES     2.7281             0.011592   0.011145   0.010693   0.010234  0.009769      3.96     3.63
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES     2.5293             0.008430   0.008192   0.007952   0.007708  0.007461      2.93     2.76
Morgan Stanley           61760QHQ0 09/30/15 09/30/22    100.000    VARIES     1.6929             0.009619   0.009315   0.009393   0.009473  0.009553      3.39     3.41
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES     2.4403             0.010396   0.010113   0.009826   0.009536  0.009242      3.64     3.44
Morgan Stanley           61760QHZ0 11/10/15 11/10/25    100.000    VARIES     2.5656             0.009381   0.009113   0.008841   0.008566  0.008288      3.30     3.11
Morgan Stanley           61760QJA3 11/25/15 11/25/25    100.000    VARIES     2.4581             0.009281   0.009027   0.008769   0.008508  0.008244      3.28     3.09
Morgan Stanley           61760QJJ4 01/28/16 01/28/23    100.000    VARIES     2.2365      3.19   0.009261   0.008641   0.008737   0.008835  0.008934      3.14     3.19
Morgan Stanley           61760QJK1 02/17/16 02/17/26    100.000    VARIES     2.3885      5.99   0.018814   0.018331   0.017841   0.017346  0.016845      6.56     6.20
Morgan Stanley           61760QJS4 02/24/17 02/24/27    100.000    VARIES     2.8869                        0.016164   0.015692   0.015212  0.014726      4.90     5.44
Morgan Stanley           61760QJT2 03/20/17 03/20/27    100.000    VARIES     2.5542                        0.008279   0.007906   0.007528  0.007145      2.29     2.70
Morgan Stanley           61760QJV7 03/31/17 03/31/27    100.000    VARIES     2.8769                        0.013221   0.012836   0.012445  0.012048      3.55     4.48
Morgan Stanley           61760QKA1 09/30/16 09/30/26    100.000    VARIES     2.5378      1.83   0.020157   0.019630   0.019097   0.018557  0.018010      7.07     6.68
Morgan Stanley           61760QKE3 12/28/16 12/28/26    100.000    VARIES     2.2900      0.02   0.008104   0.007911   0.007715   0.007518  0.007317      2.88     2.74
Morgan Stanley           61760QKF0 12/30/16 12/30/26    100.000    VARIES     2.8667      0.01   0.014410   0.013991   0.013566   0.013136  0.012699      5.11     4.81
Morgan Stanley           61760QKH6 02/21/17 02/21/27    100.000    VARIES     2.7058                        0.008327   0.007932   0.007532  0.007127      2.53     2.68
MORGAN STANLEY           61760QKK9 06/30/17 06/30/27    100.000    VARIES     2.7385                        0.013207   0.012838   0.012465  0.012086      2.39     4.55
MORGAN STANLEY           61760QKQ6 08/02/17 08/02/27    100.000    VARIES     2.7106                                   0.014017   0.013629  0.013236      2.09     4.86
MORGAN STANLEY           61760QKR4 09/15/17 09/15/27    100.000    VARIES     2.6232                                   0.012394   0.012060  0.011723      1.31     4.33
MORGAN STANLEY           61760QKU7 09/29/17 09/29/27    100.000    VARIES     2.7477                                   0.012685   0.012330  0.011970      1.17     4.44
Morgan Stanley           61760S126 02/05/14 07/31/19    100.000     0.000     2.4499             0.072304   0.073190   0.074087   0.074994  0.075913     26.46    27.11
Morgan Stanley           61760S134 02/05/14 01/29/21    100.000     0.000     3.2801             0.098782   0.100402   0.102049   0.103722  0.105423     36.35    37.55
Morgan Stanley           61760S282 03/04/14 02/26/21    100.000     0.000     3.1844             0.095657   0.097180   0.098727   0.100299  0.101896     35.09    36.22
Morgan Stanley           61760S522 04/03/14 03/31/21    100.000     0.000     3.3225             0.100188   0.101852   0.103544   0.105265  0.107013     36.67    37.90
Morgan Stanley           61760S613 03/18/14 09/20/21    100.000     0.000     3.4354             0.103930   0.105715   0.107531   0.109378  0.111256     38.10    39.42
Morgan Stanley           61760S621 03/18/14 07/18/22    100.000     0.000     3.7451             0.113445   0.115569   0.117733   0.119938  0.122184     41.92    43.51
Morgan Stanley           61760S738 05/05/14 10/29/21    100.000     0.000     3.5626             0.108033   0.109957   0.111916   0.113910  0.115939     39.48    40.90
MORGAN STANLEY           61760T132 10/31/11 10/31/17    100.000     1.000     5.8165    337.48   0.205985   0.211168                                     62.52         
Morgan Stanley           61760T173 11/28/11 11/24/17    100.000     0.000     6.9071             0.269233   0.278532                                     88.64         
MORGAN STANLEY           61760T199 11/18/11 11/21/17    100.000     1.000     6.1778    357.60   0.222862   0.228888                                     72.40         
Morgan Stanley           61760T439 02/21/12 02/21/18    100.000     0.000     4.6585             0.159200   0.162908   0.166703                          58.95     8.34
Morgan Stanley           61760T488 03/02/12 02/27/18    100.000     0.000     5.0972             0.177460   0.181983   0.186621                          65.84    10.45
Morgan Stanley           61760T660 05/02/12 04/27/17    100.000     0.000     4.7658             0.163533                                                18.97         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761H806 12/04/12 07/03/18    100.000     0.000     2.8587             0.087903   0.089159   0.090434   0.091726               32.32    16.69
Morgan Stanley           61761H822 01/03/13 02/27/17    100.000     0.000     2.2437             0.067613                                                 3.79         
Morgan Stanley           61761JAG4 12/27/12 12/27/19    100.000     0.000     3.0561             0.095843   0.097308   0.098795   0.100304  0.101837     34.78    35.85
Morgan Stanley           61761JAL3 12/27/12 12/27/32*   100.000    VARIES     4.4696             0.112931   0.112567                                     40.14*        
Morgan Stanley           61761JAM1 12/27/12 12/27/32*   100.000    VARIES     4.4778             0.122427   0.122714                                     43.64*        
Morgan Stanley           61761JAY5 01/31/13 07/31/20    100.000     0.000     3.2934             0.102564   0.104253   0.105970   0.107715  0.109488     37.74    38.99
Morgan Stanley           61761JB24 07/06/15 07/06/22    100.000     0.000     3.3973             0.097604   0.099262   0.100948   0.102663  0.104407     36.02    37.26
Morgan Stanley           61761JBB4 01/31/13 01/31/33    100.000    VARIES     4.4963             0.115603   0.114817   0.114537                          41.31    41.09
Morgan Stanley           61761JBC2 01/31/13 01/31/33    100.000    VARIES     4.5027             0.122433   0.122541   0.122748                          44.14    44.29
Morgan Stanley           61761JBJ7 01/14/13 01/14/28    100.000    VARIES     4.1941             0.108224   0.107848   0.107465   0.107418               38.77    38.66
Morgan Stanley           61761JBK4 01/30/13 01/28/33    100.000    VARIES     4.6735             0.117409   0.116383   0.115966   0.115540               41.86    41.54
Morgan Stanley           61761JBZ1 02/28/13 02/28/33    100.000    VARIES     4.3577             0.117261   0.115376   0.117555   0.115907  0.118106     42.49    42.67
Morgan Stanley           61761JCA5 02/28/13 02/28/33    100.000    VARIES     4.3508             0.109727   0.107088   0.108549   0.106464  0.107901     39.42    39.16
Morgan Stanley           61761JCB3 02/28/13 02/28/33    100.000    VARIES     4.3518             0.111452   0.108921   0.110468   0.108407  0.109934     40.09    39.88
Morgan Stanley           61761JCC1 02/28/13 08/28/20    100.000     0.000     2.9762             0.091679   0.093043   0.094428   0.095833  0.097259     33.59    34.60
Morgan Stanley           61761JCN7 02/21/13 02/18/33    100.000    VARIES     4.4838             0.115692   0.114902   0.114622   0.114336  0.114043     41.36    41.14
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES     4.5201             0.115279   0.114517   0.114220   0.113916  0.113605     41.22    40.98
Morgan Stanley           61761JEU9 04/30/13 04/29/33    100.000    VARIES     3.9394             0.101139   0.100454   0.100188   0.099916  0.099640     36.23    35.98
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES     3.9967             0.104405   0.103755   0.103477   0.103195  0.102906     37.42    37.17
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES     4.3438             0.111578   0.110327   0.110695   0.109849  0.110205     40.47    40.23
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES     4.1821             0.107305   0.106663   0.106440   0.106212  0.105980     38.48    38.26
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES     5.2916             0.135998   0.135010   0.134643   0.134267  0.133880     48.78    48.40
Morgan Stanley           61761JHJ1 06/28/13 06/28/21    100.000     0.000     4.0232             0.128473   0.131057   0.133693   0.136383  0.139126     46.73    48.63
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES     4.7373             0.124405   0.123737   0.123482   0.123221  0.122954     44.65    44.40
Morgan Stanley           61761JJF7 06/25/13 06/25/21    100.000     0.000     3.9339             0.125240   0.127703   0.130215   0.132776  0.135388     45.56    47.37
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES     4.8133             0.125421   0.124698   0.123958   0.123684  0.123403     44.80    44.49
Morgan Stanley           61761JJW0 07/31/13 01/29/21    100.000     0.000     3.5968             0.111177   0.113176   0.115211   0.117283  0.119393     41.00    42.48
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES     4.8838             0.128261   0.127733   0.127192   0.127027  0.126859     45.90    45.70
Morgan Stanley           61761JKJ7 08/30/13 02/26/21    100.000     0.000     3.7094             0.115002   0.117135   0.119308   0.121520  0.123774     42.32    43.91
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES     5.0532             0.130357   0.128896   0.128833   0.127871  0.128308     47.12    46.78
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES     4.8148             0.125759   0.125107   0.124439   0.124244  0.124045     45.04    44.73
Morgan Stanley           61761JLF4 09/30/13 09/30/20    100.000     0.000     3.4026             0.104586   0.106365   0.108175   0.110015  0.111887     38.30    39.61
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES     4.8742             0.129460   0.128942   0.128411   0.128257  0.128099     46.42    46.17
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES     4.7082             0.122180   0.121371   0.120543   0.120207  0.119863     43.74    43.29
Morgan Stanley           61761JMC0 10/31/13 10/29/21    100.000     0.000     3.4604             0.106533   0.108377   0.110252   0.112159  0.114100     38.91    40.27
Morgan Stanley           61761JMW6 11/29/13 03/29/22    100.000     0.000     3.7206             0.114731   0.116866   0.119040   0.121254  0.123510     42.08    43.66
Morgan Stanley           61761JMZ9 12/26/13 06/27/22    100.000     0.000     3.9457             0.123246   0.125678   0.128157   0.130685  0.133264     44.83    46.61
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES     4.7412             0.123089   0.121859   0.121955   0.121109  0.121590     44.70    44.36
Morgan Stanley           61761JQC6 04/30/14 10/30/20    100.000     0.000     3.2667             0.098399   0.100006   0.101639   0.103299  0.104987     35.91    37.09
Morgan Stanley           61761JQT9 05/30/14 11/30/20    100.000     0.000     3.1489             0.093543   0.094497   0.096512   0.097496  0.099575     34.41    35.50
Morgan Stanley           61761JRH4 06/30/14 06/30/21    100.000     0.000     3.0261             0.090613   0.091984   0.093376   0.094789  0.096223     32.87    33.87
Morgan Stanley           61761JUW7 11/25/14 11/25/20    100.000     0.000     3.1262             0.092398   0.093843   0.095309   0.096799  0.098312     33.63    34.69
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761JVF3 12/31/14 12/31/20    100.000     0.000     3.0557             0.090188   0.091566   0.092965   0.094385  0.095827     32.72    33.73
Morgan Stanley           61761JVY2 01/30/15 01/29/21    100.000     0.000     2.7901             0.080787   0.081914   0.083057   0.084216  0.085390     29.63    30.46
Morgan Stanley           61761JWZ8 02/24/15 02/24/23    100.000     0.000     3.1504             0.091711   0.093155   0.094623   0.096113  0.097627     33.65    34.71
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000     3.5983             0.105446   0.107344   0.109275   0.111241  0.113242     38.75    40.16
Morgan Stanley           61761JZB8 06/03/15 06/03/22    100.000     0.000     3.2133             0.093629   0.095133   0.096662   0.098215  0.099793     34.06    35.17
Morgan Stanley           61761M201 01/04/13 01/02/18    100.000     0.000     2.5385             0.077013   0.077991   0.078981                          28.25     0.08
Morgan Stanley           61761S125 06/04/14 11/29/19    100.000     0.000     2.7571             0.081983   0.083113   0.084259   0.085420  0.086598     29.79    30.62
Morgan Stanley           61761S331 07/03/14 12/31/21    100.000     0.000     3.3219             0.100179   0.101843   0.103534   0.105254  0.107002     36.37    37.59
Morgan Stanley           61761S562 07/03/14 07/03/19    100.000     0.000     2.3357             0.067966   0.068760   0.069563   0.070375  0.071197     24.89    25.48
Morgan Stanley           61761S661 08/05/14 04/30/20    100.000     0.000     2.9149             0.086390   0.087649   0.088926   0.090222  0.091537     31.48    32.41
Morgan Stanley           61761S679 08/05/14 01/31/22    100.000     0.000     3.4470             0.100247   0.103665   0.103733   0.107269  0.107339     37.75    39.06
Morgan Stanley           61762E190 05/03/13 08/03/18    100.000     0.000     2.0679             0.061414   0.062049   0.062691   0.063339               22.41    13.41
Morgan Stanley           61762E299 06/05/13 05/29/20    100.000     0.000     3.0962             0.095720   0.097202   0.098707   0.100235  0.101786     34.82    35.91
Morgan Stanley           61762GAG9 11/05/13 04/29/19    100.000     0.000     2.4702             0.073830   0.074742   0.075665   0.076599  0.077546     26.86    27.52
Morgan Stanley           61762GAM6 11/27/13 05/27/21    100.000     0.000     3.3898             0.104151   0.105916   0.107711   0.109537  0.111393     37.93    39.23
Morgan Stanley           61762GAN4 12/04/13 12/07/20    100.000     0.000     3.3435             0.102619   0.104334   0.106078   0.107852  0.109655     37.33    38.59
Morgan Stanley           61762GAS3 01/03/14 12/31/20    100.000     0.000     3.4768             0.107069   0.108930   0.110824   0.112750  0.114710     38.88    40.25
Morgan Stanley           61762GAT1 12/26/13 06/28/19    100.000     0.000     2.5339             0.075921   0.076883   0.077857   0.078843  0.079842     27.51    28.21
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES     3.8517             0.110197   0.110436   0.110445   0.110455  0.110337     39.74    39.75
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES     4.2966             0.125120   0.125796   0.126487   0.127192  0.127457     45.29    45.75
Morgan Stanley           61762GFA7 10/30/15 10/30/23    100.000     0.000     3.5009             0.100680   0.102443   0.104236   0.106060  0.107917     36.78    38.08
Morgan Stanley           61762P146 08/05/13 06/29/18    100.000     0.000     2.9164             0.089394   0.090698   0.092021                          32.42    16.38
Morgan Stanley           61762P286 08/05/13 08/05/20    100.000     0.000     3.6083             0.111582   0.113595   0.115645   0.117731  0.119855     41.13    42.62
Morgan Stanley           61762P443 09/05/13 08/31/18    100.000     0.000     3.0418             0.091954   0.091831   0.094772   0.094645               33.89    22.91
Morgan Stanley           61762P476 08/09/13 08/09/23    100.000     0.000     4.3446             0.137294   0.140276   0.143324   0.146437  0.149618     50.82    53.05
Morgan Stanley           61762P807 10/03/13 09/28/18    100.000     0.000     2.7818             0.083918   0.085085   0.086269   0.087468               30.64    23.25
Morgan Stanley           61762W265 11/05/13 04/30/19    100.000     0.000     2.9688             0.090052   0.091389   0.092746   0.094122  0.095519     32.82    33.81
Morgan Stanley           61762W505 12/04/13 08/30/19    100.000     0.000     2.9201             0.086847   0.087634   0.089402   0.090211  0.092031     32.16    33.11
Morgan Stanley           61762W539 11/20/13 11/20/20    100.000     0.000     3.3854             0.104002   0.105763   0.107553   0.109373  0.111225     37.90    39.20
Morgan Stanley           61762W604 12/04/13 12/04/20    100.000     0.000     3.3450             0.102640   0.104357   0.106102   0.107877  0.109681     37.35    38.61
Morgan Stanley           61762W703 01/03/14 12/31/19    100.000     0.000     3.0246             0.091911   0.093301   0.094712   0.096144  0.097598     33.34    34.36
Morgan Stanley           61764C275 11/05/14 04/29/22    100.000     0.000     3.5062             0.104347   0.106177   0.108038   0.109932  0.111859     38.12    39.47
Morgan Stanley           61764C622 12/03/14 05/31/22    100.000     0.000     3.3216             0.097442   0.098519   0.100705   0.101818  0.104078     35.87    37.07
Morgan Stanley           61764V364 04/06/15 04/05/22    100.000     0.000     2.9611             0.085955   0.087228   0.088519   0.089830  0.091160     31.39    32.33
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000     3.4095             0.099974   0.101678   0.103411   0.105174  0.106967     36.48    37.74
Morgan Stanley           61764V646 05/05/15 11/03/22    100.000     0.000     3.1620             0.092049   0.093504   0.094982   0.096484  0.098009     33.57    34.64
Morgan Stanley           61764V828 06/03/15 12/05/22    100.000     0.000     3.2131             0.093640   0.095145   0.096673   0.098226  0.099805     34.06    35.16
Morgan Stanley           61765G309 07/06/15 01/05/23    100.000     0.000     3.3974             0.097596   0.099254   0.100940   0.102654  0.104398     36.02    37.26
Morgan Stanley           61765G564 08/05/15 02/03/23    100.000     0.000     3.4449             0.098999   0.100704   0.102439   0.104203  0.105998     36.46    37.72
Morgan Stanley           61765G804 09/03/15 03/03/23    100.000     0.000     3.4969             0.100562   0.102320   0.104109   0.105930  0.107782     36.94    38.24
Morgan Stanley           61765R271 09/18/15 03/20/23    100.000     0.000     3.6136             0.104060   0.105940   0.107854   0.109803  0.111787     38.18    39.58
Morgan Stanley           61765R438 10/05/15 04/04/23    100.000     0.000     3.3207             0.095321   0.096903   0.098512   0.100148  0.101811     34.88    36.05
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61765R669 11/04/15 05/05/23    100.000     0.000     3.3210             0.094820   0.094823   0.097995   0.097998  0.101277     34.79    35.96
Morgan Stanley           61765U175 12/03/15 06/02/23    100.000     0.000     3.3916             0.097424   0.099076   0.100756   0.102465  0.104202     35.47    36.68
Morgan Stanley           61765U217 12/03/15 12/10/20    100.000     0.000     2.7611             0.078871   0.079960   0.081064   0.082183  0.083318     28.64    29.43
Morgan Stanley           61765U381 01/05/16 07/06/23    100.000     0.000     3.3685     33.59   0.095154   0.096757   0.098386   0.100043  0.101728     35.11    36.30
Morgan Stanley           61765U407 01/05/16 07/06/21    100.000     0.000     2.9924     29.81   0.084372   0.085634   0.086916   0.088216  0.089536     31.05    31.98
Morgan Stanley           61765U597 02/03/16 08/03/21    100.000     0.000     3.0506     27.99   0.086030   0.087342   0.088675   0.090027  0.091400     31.60    32.57
Morgan Stanley           61765U787 03/03/16 09/02/21    100.000     0.000     3.1367     26.13   0.088489   0.089876   0.091286   0.092718  0.094172     32.44    33.46
Morgan Stanley           61765U803 03/03/16 09/01/23    100.000     0.000     3.5888     29.92   0.101458   0.103279   0.105132   0.107018  0.108939     37.29    38.64
Morgan Stanley           61766B135 04/05/16 10/04/23    100.000     0.000     3.0621     22.74   0.086355   0.087677   0.089019   0.090382  0.091766     31.56    32.53
Morgan Stanley           61766B168 04/05/16 10/04/23    100.000     0.000     3.0621     22.74   0.086355   0.087677   0.089019   0.090382  0.091766     31.56    32.53
Morgan Stanley           61766B176 04/05/16 10/05/21    100.000     0.000     2.6206     19.45   0.073750   0.074716   0.075695   0.076687  0.077692     26.89    27.60
Morgan Stanley           61766B259 05/04/16 11/03/23    100.000     0.000     3.0362     20.06   0.085613   0.086913   0.088232   0.089572  0.090932     31.21    32.16
Morgan Stanley           61766B309 05/04/16 11/03/21    100.000     0.000     2.5128     16.59   0.070671   0.071559   0.072458   0.073368  0.074290     25.71    26.35
Morgan Stanley           61766B366 06/03/16 12/05/23    100.000     0.000     3.0194     17.48   0.085154   0.086440   0.087745   0.089069  0.090414     30.95    31.90
Morgan Stanley           61766B408 06/03/16 12/03/21    100.000     0.000     2.6240     15.19   0.073845   0.074814   0.075796   0.076790  0.077798     26.81    27.52
Morgan Stanley           61766B564 07/06/16 01/03/24    100.000     0.000     2.7558     13.40   0.076549   0.077586   0.078655   0.079739  0.080838     28.12    28.90
Morgan Stanley           61766B598 07/06/16 01/04/22    100.000     0.000     2.5838     12.56   0.071772   0.072689   0.073628   0.074579  0.075543     26.33    27.02
Morgan Stanley           61766F250 11/03/16 05/03/24    100.000     0.000     2.9896      4.82   0.083044   0.084285   0.085545   0.086824  0.088122     30.26    31.18
Morgan Stanley           61766F466 12/05/16 06/05/24    100.000     0.000     3.5039      2.53   0.097330   0.099035   0.100771   0.102536  0.104332     35.44    36.69
Morgan Stanley           61766F839 02/03/17 02/03/22    100.000     0.000     3.0758                        0.085438   0.086752   0.088086  0.089441     28.22    31.87
Morgan Stanley Finance   61766V313 03/01/17 02/27/20    100.000     0.000     2.4916                        0.069211   0.070054   0.070926  0.071810     20.87    25.59
Morgan Stanley           61766V578 04/05/17 10/04/23    100.000     0.000     3.3161                        0.092115   0.093634   0.095186  0.096765     24.63    34.26
Morgan Stanley Finance   61766V867 05/03/17 11/03/23    100.000     0.000     3.2047                        0.089020   0.090447   0.091896  0.093369     21.27    32.99
Morgan Stanley Finance   61766W352 06/05/17 12/05/23    100.000     0.000     3.0702                        0.085284   0.086593   0.087922  0.089272     17.60    31.48
MORGAN STANLEY FINANCE L 61766X459 09/06/17 03/05/24    100.000     0.000     3.0212                                   0.083922   0.085183  0.086469      9.65    30.73
MORGAN STANLEY FINANCE L 61766X483 09/06/17 09/06/23    100.000     0.000     2.9385                                   0.081625   0.082825  0.084042      9.39    29.88
MORGAN STANLEY FINANCE L 61766X822 10/04/17 10/04/23    100.000     0.000     2.9409                                   0.081693   0.082894  0.084113      7.11    29.84
MORGAN STANLEY FINANCE L 61766X848 10/04/17 10/04/23    100.000     0.000     2.9409                                   0.081693   0.082894  0.084113      7.11    29.84
Morgan Stanley           61766YAB7 05/25/16 05/25/26    100.000    VARIES     2.2927      2.24   0.010021   0.009588   0.009150   0.008707  0.008806      3.50     3.20
Morgan Stanley           61766YAD3 05/25/16 05/25/23    100.000    VARIES     1.9635      1.77   0.008059   0.007868   0.007675   0.007480  0.007554      2.85     2.72
Morgan Stanley           61766YAN1 09/30/16 09/30/26    100.000    VARIES     2.2435      0.90   0.009883   0.009486   0.009084   0.008678  0.008268      3.41     3.12
Morgan Stanley Finance   61766YBG5 04/28/17 04/28/32    100.000    VARIES     3.9156                        0.108768   0.107090   0.105380  0.104867     26.32    38.10
Morgan Stanley           61767BAA8 02/22/16 02/23/26    100.000    VARIES     3.7844     32.50   0.105274   0.105426   0.105581   0.105739  0.105901     37.97    38.08
Morgan Stanley           61768CAV9 10/31/16 10/31/23    100.000     0.000     2.9263      4.96   0.081286   0.082475   0.083682   0.084906  0.086148     29.62    30.50
MORGAN STANLEY FINANCE L 61768CMZ7 07/31/17 07/29/22    100.000     0.000     2.8125                                   0.078126   0.079219  0.080333     11.80    28.66
MORGAN STANLEY FINANCE L 61768CNA1 07/31/17 07/29/22    100.000     0.000     2.8126                                   0.078129   0.079221  0.080335     11.80    28.66
MORGAN STANLEY FINANCE L 61768CNB9 08/01/17 02/01/22    100.000     0.000     2.7076                                   0.075211   0.076229  0.077261     11.28    27.57
MORGAN STANLEY FINANCE L 61768CPE1 08/16/17 08/14/20    100.000     0.000     2.3995                                   0.066652   0.067443  0.068252      9.00    24.36
MORGAN STANLEY FINANCE L 61768CPJ0 08/28/17 08/28/24    100.000     0.000     3.1530                                   0.087583   0.088963  0.090366     10.77    32.12
MORGAN STANLEY FINANCE L 61768CQT7 09/29/17 03/31/23    100.000     0.000     2.8669                                   0.079643   0.080785  0.081943      7.33    29.09
Morris CNTY Improv Auth  618027AV8 02/18/10 08/15/17    100.000    VARIES        N/A             0.115218   0.115208                                     25.81         
Morris CNTY Improv Auth  618027AW6 02/18/10 08/15/18    100.000    VARIES        N/A             0.124486   0.124474   0.124462   0.124450               44.81    27.88
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morris CNTY Improv Auth  618027AX4 02/18/10 08/15/19    100.000    VARIES        N/A             0.127316   0.127306   0.127295   0.127284  0.127272     45.83    45.82
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000    VARIES        N/A             0.130130   0.130120   0.130110   0.130100  0.130089     46.84    46.83
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21    100.000    VARIES        N/A             0.132932   0.132922   0.132913   0.132903  0.132892     47.85    47.84
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22    100.000    VARIES        N/A             0.135737   0.135728   0.135718   0.135709  0.135699     48.86    48.85
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23    100.000    VARIES        N/A             0.138542   0.138533   0.138524   0.138515  0.138506     49.87    49.86
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24    100.000    VARIES        N/A             0.141339   0.141330   0.141322   0.141313  0.141304     50.88    50.87
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25    100.000    VARIES        N/A             0.144134   0.144126   0.144118   0.144110  0.144101     51.88    51.88
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000     7.7401    560.42   0.164820   0.171199   0.177824   0.184706  0.191854     60.87    65.68
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000     7.7401    519.44   0.152767   0.158679   0.164820   0.171199  0.177825     56.42    60.87
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000     7.7401    481.45   0.141596   0.147075   0.152767   0.158680  0.164820     52.30    56.42
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000     7.7400    446.25   0.131240   0.136319   0.141595   0.147074  0.152766     48.47    52.30
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000     7.7399    413.61   0.121642   0.126350   0.131239   0.136318  0.141594     44.93    48.47
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000     7.7401    383.37   0.112748   0.117111   0.121643   0.126351  0.131241     41.64    44.93
Multinomah County, OR    625506HU7 12/08/99 06/01/26     13.386     0.000     7.7400    355.33   0.104502   0.108547   0.112747   0.117111  0.121643     38.60    41.64
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000     7.7400    329.35   0.096860   0.100609   0.104503   0.108547  0.112748     35.77    38.60
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000     7.7400    305.26   0.089777   0.093251   0.096860   0.100609  0.104502     33.16    35.77
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000     7.7400    282.94   0.083212   0.086432   0.089777   0.093251  0.096860     30.73    33.16
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000     7.7401    262.25   0.077127   0.080112   0.083212   0.086432  0.089777     28.49    30.73
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000     0.8138     65.93   0.021357   0.021444   0.021531   0.021619  0.021707      7.71     7.77
National Rural Utilities 637432LF0 02/06/08 12/15/17     92.124     0.000     0.8339     70.84   0.022971   0.023066                                      7.92         
National Rural Utilities 637432LG8 02/06/08 12/15/18     91.459     0.000     0.8239     69.46   0.022513   0.022605   0.022699   0.022792                8.12     7.83
National Rural Utilities 637432LH6 02/06/08 12/15/19     90.603     0.000     0.8339     69.68   0.022593   0.022687   0.022782   0.022877  0.022972      8.15     8.22
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000     0.8139     67.55   0.021885   0.021974   0.022063   0.022153  0.022243      7.90     7.96
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000     0.8239     67.77   0.021964   0.022054   0.022145   0.022236  0.022328      7.93     7.99
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000     0.8539     69.44   0.022537   0.022633   0.022730   0.022827  0.022925      8.13     8.20
Natixis US MTN LLC       63873HJP0 12/27/13 12/27/21    100.000     0.000     3.3519             0.102873   0.104597   0.106350   0.108132  0.109944     37.36    38.62
Natixis US MTN LLC       63873HJR6 09/09/14 09/09/24    100.000    VARIES     3.2415             0.085890   0.084956   0.084007   0.083817  0.083624     30.54    30.17
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026             0.115611   0.115645   0.115680   0.115715  0.115752     41.63    41.65
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419             0.104342   0.102864   0.102631   0.102393  0.102150     37.19    36.88
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606             0.103722   0.103411   0.103093   0.103529  0.103973     37.19    37.32
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409             0.104864   0.103164   0.102935   0.102702  0.102464     37.33    36.99
Natixis US MTN LLC       63873HKX1 01/30/14 01/31/22    100.000     0.000     3.4392             0.101783   0.105250   0.105314   0.108901  0.108967     38.32    39.65
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781             0.111779   0.112612   0.112219   0.113064  0.112679     41.01    41.17
Natixis US MTN LLC       63873HLS1 09/30/13 09/30/28    100.000    VARIES     4.4223             0.111078   0.111107   0.111137   0.111167  0.111198     40.00    40.02
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932             0.103604   0.103300   0.102990   0.103186  0.103385     37.15    37.17
Natixis US MTN LLC       63873HLX0 02/28/14 02/28/29    100.000    VARIES     4.1177             0.103118   0.100115   0.101726   0.100019  0.101626     36.91    36.80
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708             0.108767   0.108048   0.107313   0.106562  0.105792     38.94    38.40
Natixis US MTN LLC       63873HMF8 03/31/14 03/31/34    100.000    VARIES     4.1471             0.102326   0.100222   0.099771   0.099310  0.098839     36.23    35.75
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649             0.111498   0.111262   0.111020   0.110774  0.110521     40.08    39.91
NJ Econ Dev Auth         64578JAC0 12/22/05 07/01/17     53.569     0.000     5.4899    437.59   0.148423                                                26.72         
NJ Econ Dev Auth         64578JAD8 12/22/05 07/01/18     50.436     0.000     5.5400    416.94   0.141778   0.145705   0.149741                          51.75    26.95
NJ Econ Dev Auth         64578JAE6 12/22/05 07/01/19     47.535     0.000     5.5749    396.21   0.134969   0.138731   0.142598   0.146573               49.27    52.05
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
NJ Econ Dev Auth         64578JAH9 09/07/07 07/01/17     55.019     0.000     6.1789    419.84   0.166493                                                29.97         
NJ Econ Dev Auth         64578JAJ5 09/07/07 07/01/18     51.284     0.000     6.2689    398.73   0.158738   0.163714   0.168845                          58.04    30.39
NJ Econ Dev Auth         64578JAK2 09/07/07 07/01/19     47.828     0.000     6.3391    377.26   0.150650   0.155425   0.160351   0.165433               55.09    58.64
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000     6.4592    357.83   0.143631   0.148269   0.153058   0.158001               52.54    55.99
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000     6.5093    336.92   0.135532   0.139943   0.144498   0.149201               49.59    52.87
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000     6.4993    315.84   0.126996   0.131123   0.135384   0.139783               46.46    49.53
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000     6.5093    296.41   0.119236   0.123116   0.127123   0.131261               43.62    46.51
New Jersey Economic      645913AV6 06/30/97 02/15/17     23.177     0.000     7.5895    759.29   0.203112                                                 8.94         
New Jersey Economic      645913AW4 06/30/97 02/15/18     21.450     0.000     7.6043    705.27   0.188860   0.196041   0.203495                          71.27     8.95
New Jersey Economic      645913AX2 06/30/97 02/15/19     19.886     0.000     7.6095    654.68   0.175375   0.182048   0.188974   0.196164  0.203628     66.19    71.32
New Jersey Economic      645913AY0 06/30/97 02/15/20     18.435     0.000     7.6145    607.65   0.162833   0.169033   0.175468   0.182149  0.189084     61.45    66.22
New Jersey Economic      645913AZ7 06/30/97 02/15/21     17.088     0.000     7.6195    563.94   0.151175   0.156935   0.162913   0.169120  0.175563     57.06    61.49
New Jersey Economic      645913BA1 06/30/97 02/15/22     15.838     0.000     7.6245    523.33   0.140338   0.145688   0.151241   0.157007  0.162993     52.97    57.08
New Jersey Economic      645913BB9 06/30/97 02/15/23     14.678     0.000     7.6295    485.59   0.130264   0.135234   0.140392   0.145748  0.151308     49.17    52.99
New Jersey Economic      645913BC7 06/30/97 02/15/24     13.601     0.000     7.6347    450.53   0.120904   0.125519   0.130311   0.135285  0.140449     45.64    49.19
New Jersey Economic      645913BD5 06/30/97 02/15/25     12.602     0.000     7.6398    417.96   0.112204   0.116490   0.120940   0.125560  0.130356     42.35    45.65
New Jersey Economic      645913BE3 06/30/97 02/15/26     11.676     0.000     7.6447    387.71   0.104119   0.108099   0.112231   0.116521  0.120975     39.30    42.36
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575     43.36   0.021314   0.022087   0.022889   0.023720  0.024580      7.98     8.57
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000     6.4399    416.66   0.126235   0.130299   0.134495   0.138826  0.143296     46.92    49.99
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000     6.4699    391.48   0.118809   0.122652   0.126620   0.130716  0.134945     44.17    47.07
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    367.51   0.111662   0.115286   0.119027   0.122889  0.126877     41.51    44.25
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    344.87   0.104903   0.108318   0.111844   0.115484  0.119243     39.00    41.58
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    323.50   0.098514   0.101731   0.105052   0.108482  0.112024     36.63    39.06
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    303.34   0.092478   0.095506   0.098634   0.101864  0.105200     34.39    36.68
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    284.36   0.086742   0.089587   0.092525   0.095560  0.098695     32.26    34.41
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    266.52   0.081345   0.084017   0.086777   0.089628  0.092572     30.25    32.27
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    249.74   0.076269   0.078779   0.081370   0.084047  0.086813     28.37    30.27
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    233.98   0.071496   0.073852   0.076286   0.078799  0.081396     26.59    28.38
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    219.29   0.067008   0.069216   0.071496   0.073852  0.076285     24.92    26.59
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    205.53   0.062801   0.064870   0.067008   0.069216  0.071496     23.36    24.92
city of Newark, NJ       650367KB0 01/29/13 07/15/17     97.756     2.000     2.5351     19.59   0.014495   0.014679                                      2.85         
City of Newark, NJ       650367KC8 01/29/13 07/15/18     97.007     2.340     2.9372     21.01   0.015648   0.015878   0.016111   0.016348                5.75     3.17
City of Newark, NJ       650367KH7 01/29/13 04/01/17     97.893     2.000     2.5353     19.75   0.014683                                                 1.32         
City of Newark, NJ       650367KJ3 01/29/13 04/01/18     97.000     2.308     2.9373     22.34   0.016734   0.016979   0.017229                           6.11     1.55
City of Newark, NJ       650367KK0 01/29/13 04/01/19     97.003     2.698     3.2375     18.36   0.013831   0.014054   0.014282   0.014513  0.014748      5.06     5.23
City of Newark, NJ       650367KL8 01/29/13 04/01/20     97.004     3.057     3.5335     15.46   0.011709   0.011916   0.012126   0.012340  0.012558      4.29     4.44
City of Newark, NJ       650367KM6 01/29/13 04/01/21     97.005     3.305     3.7336     13.25   0.010079   0.010267   0.010459   0.010654  0.010853      3.70     3.84
Nextera Energy, Inc.     65339KAB6 05/04/12 06/01/17     95.000    VARIES     2.3952             0.065996                                                 9.90         
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379             0.105440   0.102148   0.098781   0.098237  0.097681     37.36    35.46
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492             0.121238   0.121732   0.122240   0.122762  0.123298     43.77    44.14
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES     5.9587             0.130438   0.130357   0.130273   0.130186  0.131260     46.94    46.89
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES     2.3555             0.015230   0.015409   0.015590   0.015774  0.015960      5.52     5.65
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092             0.107371   0.102559   0.101076   0.096227  0.097275     37.53    35.53
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543             0.092482   0.091863   0.091232   0.090589  0.090551     33.14    32.71
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954             0.099959   0.095717   0.091383   0.086956  0.082435     33.92    30.74
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015             0.070223   0.070468   0.070716   0.070967  0.071222     25.33    25.51
Nomura America Finance   65539ABR0 02/19/15 02/19/20    110.000     0.125     2.3793             0.075202   0.076055   0.076919   0.077792  0.078677     27.45    28.08
Nomura America Finance   65539ABS8 02/25/15 02/25/20    100.000    VARIES     1.9120             0.011775   0.011888   0.011816   0.011743  0.011669      4.26     4.22
Nomura America Finance   65539ABY5 06/30/15 06/30/22    105.000     0.000     3.5000             0.107536   0.109418   0.111333   0.113281  0.115263     39.06    40.43
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125     3.0300     29.59   0.087953   0.089232   0.090532   0.091851  0.093190     32.30    33.25
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES     8.1005             0.308575   0.318120   0.328051   0.338385  0.349137    113.70   120.93
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES     8.1005             0.308575   0.318120   0.328051   0.338385  0.349137    113.70   120.93
Nuverra Environmental    67091KAA2 04/15/16 04/15/21     36.385    VARIES        N/A     99.92   0.437983   0.491168   0.553418   0.626375  0.682880    176.02   222.20
Orange County, CA        68428LBZ6 01/17/97 09/01/17     20.762     0.000     7.7695    742.99   0.199981   0.207750                                     49.39         
Orange County, CA        68428LCA0 01/17/97 09/01/18     19.198     0.000     7.7796    688.72   0.185508   0.192724   0.200220   0.208009               69.85    49.45
Orange County, CA        68428LCB8 01/17/97 09/01/19     17.826     0.000     7.7696    637.93   0.171706   0.178376   0.185306   0.192504  0.199983     64.65    69.77
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000     7.7797    591.22   0.159248   0.165442   0.171878   0.178564  0.185509     59.96    64.72
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000     7.7695    547.73   0.147425   0.153152   0.159102   0.165282  0.171703     55.51    59.90
Oregon Community College 68583RAP7 04/23/03 06/30/17     44.239     0.000     5.8318    529.43   0.157403                                                28.18         
Oregon Community College 68583RAQ5 04/23/03 06/30/18     40.975     0.000     5.9616    506.06   0.151633   0.156153   0.160807                          55.41    28.78
Oregon Community College 68583RAR3 04/23/03 06/30/19     37.976     0.000     6.0715    481.50   0.145228   0.149637   0.154180   0.158860  0.163683     53.08    56.36
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000     6.1515    456.09   0.138223   0.142475   0.146857   0.151374  0.156029     50.53    53.69
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000     6.2213    431.03   0.131174   0.135254   0.139462   0.143800  0.148273     47.97    51.00
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000     6.2613    406.18   0.123908   0.127787   0.131787   0.135913  0.140168     45.31    48.19
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000     6.2713    382.04   0.116611   0.120268   0.124039   0.127928  0.131940     42.65    45.36
Oregon School Boards     686053AQ2 10/31/02 06/30/17     43.110     0.000     5.8194    540.78   0.157078                                                28.12         
Oregon School Boards     686053AR0 10/31/02 06/30/18     40.030     0.000     5.9295    515.93   0.150886   0.155359   0.159965                          55.13    28.63
Oregon School Boards     686053AS8 10/31/02 06/30/19     37.212     0.000     6.0195    490.23   0.144166   0.148505   0.152975   0.157579  0.162322     52.69    55.91
Oregon School Boards     686053AT6 10/31/02 06/30/20     34.591     0.000     6.0995    464.57   0.137298   0.141485   0.145800   0.150247  0.154829     50.19    53.30
Oregon School Boards     686053CG2 04/21/03 06/30/17     44.239     0.000     5.8294    529.45   0.157342                                                28.16         
Oregon School Boards     686053CH0 04/21/03 06/30/18     40.975     0.000     5.9594    506.08   0.151581   0.156098   0.160749                          55.39    28.77
Oregon School Boards     686053CJ6 04/21/03 06/30/19     37.976     0.000     6.0693    481.54   0.145185   0.149591   0.154130   0.158808  0.163627     53.07    56.34
Oregon School Boards     686053CK3 04/21/03 06/30/20     35.297     0.000     6.1494    456.14   0.138187   0.142436   0.146816   0.151330  0.155983     50.52    53.68
Oregon School Boards     686053CL1 04/21/03 06/30/21     32.815     0.000     6.2194    431.09   0.131144   0.135222   0.139427   0.143763  0.148234     47.95    50.98
Oregon School Boards     686053CM9 04/21/03 06/30/22     30.636     0.000     6.2595    406.25   0.123883   0.127760   0.131759   0.135883  0.140135     45.30    48.18
Oregon School Boards     686053CN7 04/21/03 06/30/23     28.748     0.000     6.2695    382.11   0.116592   0.120246   0.124016   0.127904  0.131913     42.64    45.35
Paterson, City of        7031302C7 04/11/03 04/01/17     44.317     0.000     5.9099    542.48   0.159452                                                14.35         
Paterson, NJ             7031303Z5 03/30/12 03/15/18     98.496     3.625     3.9104     11.71   0.007480   0.007627   0.007776                           2.75     0.58
Peoria CNTYS SD #327, IL 712746DT0 05/05/15 12/01/17    101.129    VARIES     1.5404             0.042983   0.042886                                     14.17         
Peoria CNTYS SD #327, IL 712746DU7 05/05/15 12/01/18    100.343    VARIES     1.8911             0.052641   0.052614   0.052586   0.052558               18.94    17.35
Peoria CNTYS SD #322, IL 712762CN1 05/14/15 12/01/19    100.000    VARIES     1.9926             0.055363   0.055361   0.055359   0.055357  0.055355     19.93    19.93
Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20    100.000    VARIES     2.2423             0.062303   0.062301   0.062299   0.062297  0.062294     22.43    22.43
PEORIA CNTY ILL CMNTY HI 713142DH7 08/09/17 12/01/18    103.417     4.400     1.7218                        0.049463   0.049728   0.050156                7.03    16.49
Peoria County SD #325, I 713165FG8 09/04/13 12/01/17    110.617    VARIES     2.5859             0.073708   0.072775                                     24.16         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Peoria County, SD #325,  713165FH6 09/04/13 12/01/18    111.133    VARIES     2.9368             0.085217   0.084327   0.083423   0.082507               30.46    27.36
Peoria County, SD #325,  713165FJ2 09/04/13 12/01/19    110.068    VARIES     3.4365             0.100354   0.099572   0.098777   0.097969  0.097146     35.94    35.37
Peoria County SD #325, I 713165FK9 09/04/13 12/01/20    108.812    VARIES     3.8365             0.112105   0.111458   0.110799   0.110127  0.109442     40.20    39.73
Peoria County SD #325, I 713165FL7 09/04/13 12/01/21    107.288    VARIES     4.1865             0.121819   0.121316   0.120803   0.120279  0.119744     43.73    43.36
Peoria County, IL        713168AY8 10/05/11 12/01/17    106.762    VARIES     4.2348             0.119075   0.118361                                     39.17         
Peoria County, IL        713168AZ5 10/05/11 12/01/18    106.114    VARIES     4.4856             0.126993   0.126414   0.125823   0.125219               45.58    41.41
Peoria County, IL        713168BA9 10/05/11 12/01/19    106.753    VARIES     4.7356             0.135237   0.134657   0.134064   0.133456  0.132834     48.55    48.12
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES     4.9860             0.142295   0.141860   0.141415   0.140959  0.140491     51.12    50.80
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000     6.6895    428.64   0.113440   0.117234   0.121155   0.125208  0.129396     42.11    44.97
Philadelphia Authority   71781LAV1 02/03/99 04/15/17     30.618     0.000     6.6094    675.34   0.177720                                                18.48         
Philadelphia Authority   71781LAW9 02/03/99 04/15/18     28.637     0.000     6.6194    633.24   0.166760   0.172279   0.177981                          61.88    18.51
Philadelphia Authority   71781LAX7 02/03/99 04/15/19     26.727     0.000     6.6393    593.98   0.156642   0.161842   0.167214   0.172765  0.178501     58.13    62.05
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000     6.6495    556.69   0.146912   0.151796   0.156843   0.162057  0.167445     54.52    58.21
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000     6.6495    521.44   0.137609   0.142184   0.146911   0.151796  0.156843     51.07    54.52
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000     6.6595    488.55   0.129021   0.133317   0.137756   0.142343  0.147082     47.88    51.13
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000     6.6695    457.65   0.120945   0.124978   0.129146   0.133453  0.137903     44.89    47.93
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000     6.6796    401.36   0.106145   0.109690   0.113353   0.117139  0.121051     39.40    42.07
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000     6.6896    375.79   0.099452   0.102779   0.106216   0.109769  0.113441     36.92    39.43
Piatt and Champaign Coun 719457BT9 02/25/16 12/01/17    101.730     2.750     1.7515     15.11   0.049134   0.048895                                     16.17         
Piatt and Champaign Coun 719457BU6 02/25/16 12/01/18    102.007     2.750     2.0009     17.32   0.056392   0.056192   0.055990   0.055785               20.25    18.44
Piatt and Champaign Coun 719457BV4 02/25/16 12/01/19    102.692     3.000     2.2507     19.62   0.063871   0.063652   0.063431   0.063207  0.062980     22.94    22.78
Piatt and Champaign Coun 719457BW2 02/25/16 12/01/20    102.231     3.000     2.5007     21.71   0.070776   0.070618   0.070460   0.070299  0.070136     25.44    25.33
Piatt and Champaign Coun 719457BX0 02/25/16 12/01/21    102.646     3.250     2.7507     23.98   0.078180   0.078013   0.077845   0.077674  0.077500     28.10    27.98
Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23    111.543    VARIES     4.3459             0.126973   0.126280   0.125572   0.124849  0.124111     45.54    45.03
Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24    110.329    VARIES     4.5669             0.130461   0.129820   0.129164   0.128495  0.127810     46.81    46.34
Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25    109.132    VARIES     4.7572             0.133883   0.133297   0.132698   0.132086  0.131460     48.06    47.62
Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26    108.343    VARIES     4.8857             0.136131   0.135585   0.135026   0.134454  0.133868     48.88    48.47
Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27    106.399    VARIES     5.1092             0.141646   0.141204   0.140752   0.140290  0.139815     50.89    50.56
Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28    106.016    VARIES     5.1714             0.142728   0.142309   0.141879   0.141440  0.140989     51.28    50.97
Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29    104.498    VARIES     5.3285             0.147002   0.146676   0.146341   0.145998  0.145646     52.84    52.60
Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25    100.000    VARIES     7.7501             0.395615   0.407255   0.419332   0.431859  0.444854    147.03   155.92
Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25    100.000    VARIES     7.7501             0.395615   0.407255   0.419332   0.431859  0.444854    147.03   155.92
Presidio Independent     741020EB3 05/14/98 02/15/17     26.541     0.000     7.1992    726.10   0.193030                                                 8.49         
Presidio Independent     741020EC1 05/14/98 02/15/18     24.728     0.000     7.1994    676.52   0.179852   0.186327   0.193034                          67.70     8.49
Presidio Independent     741020ED9 05/14/98 02/15/19     22.810     0.000     7.2493    631.74   0.168531   0.174640   0.180970   0.187529  0.194327     63.46    68.15
Presidio Independent     741020EE7 05/14/98 02/15/20     21.242     0.000     7.2494    588.32   0.156948   0.162637   0.168532   0.174640  0.180971     59.10    63.46
Presidio Independent     741020EF4 05/14/98 02/15/21     19.782     0.000     7.2494    547.88   0.146160   0.151458   0.156948   0.162636  0.168531     55.04    59.10
Presidio Independent     741020EG2 05/14/98 02/15/22     18.422     0.000     7.2494    510.22   0.136114   0.141048   0.146161   0.151459  0.156949     51.26    55.04
Pride International      741932AE7 01/16/01 01/16/21     60.841     0.000     2.5000    296.06   0.062099   0.062876   0.063661   0.064457  0.065263     22.75    23.33
Quicksilver Resources In 74837RAA2 11/01/04 11/01/24     98.500    VARIES     6.7503             0.343279   0.352725   0.362476   0.372543  0.382934    126.43   133.53
Quicksilver Resources In 74837RAB0 11/01/04 11/01/24     98.500    VARIES     6.7503             0.343279   0.352725   0.362476   0.372543  0.382934    126.43   133.53
Randolph & Perry CNTYS   752368AX8 05/16/13 12/01/17    106.596    VARIES     2.2345             0.062994   0.062534                                     20.71         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Randolph & Perry CNTYS   752368AY6 05/16/13 12/01/18    106.586    VARIES     2.4855             0.070735   0.070319   0.069899   0.069473               25.36    22.99
Randolph & Perry CNTYS   752368AZ3 05/16/13 12/01/19    107.293    VARIES     2.7850             0.080049   0.079616   0.079178   0.078733  0.078282     28.71    28.40
Randolph & Perry CNTYS   752368BA7 05/16/13 12/01/20    107.856    VARIES     3.0845             0.089412   0.088970   0.088521   0.088066  0.087603     32.08    31.76
Randolph & Perry CNTYS   752368BB5 05/16/13 12/01/21    108.667    VARIES     3.3340             0.097547   0.097089   0.096624   0.096151  0.095670     35.01    34.67
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES     3.5344             0.103262   0.102878   0.102487   0.102089  0.101685     37.08    36.80
Randolph County, IL      752535DK7 01/30/13 12/01/17     89.744     0.000     2.2498     82.27   0.061112   0.061799                                     20.29         
Randolph County, IL      752535DL5 01/30/13 12/01/18     85.511     0.000     2.6997     94.80   0.071076   0.072036   0.073008   0.073994               25.82    24.27
Randolph County, IL      752535DM3 01/30/13 12/01/19     81.034     0.000     3.0997    103.87   0.078514   0.079730   0.080966   0.082221  0.083495     28.56    29.45
Randolph County, IL      752535DN1 01/30/13 12/01/20     76.487     0.000     3.4497    109.77   0.083572   0.085014   0.086480   0.087972  0.089489     30.43    31.49
Randolph County, IL      752535DP6 01/30/13 12/01/21     72.328     0.000     3.6997    111.81   0.085558   0.087140   0.088752   0.090394  0.092066     31.18    32.35
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000     3.8997    111.83   0.085919   0.087595   0.089302   0.091044  0.092819     31.33    32.57
Readers Digest Assn, Inc 755267AJ0 02/11/10 02/15/17     97.340    VARIES    10.0375     25.97   0.014217                                                 0.63         
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES     8.7500             0.551309   0.571431   0.592404   0.614267  0.637056    206.45   221.93
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES     8.7500             0.551309   0.571431   0.592404   0.614267  0.637056    206.45   221.93
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000     9.8184             1.161654   1.215955   1.272921   1.332683  1.395380    439.76   481.99
City of Reno, NV         759830AQ5 09/22/16 06/01/20     99.117     2.000     2.2506      0.64   0.006436   0.006508   0.006581   0.006655  0.006730      2.33     2.39
City of Reno, NV         759830AR3 09/22/16 06/01/21     98.102     2.000     2.4304      1.06   0.010725   0.010855   0.010987   0.011121  0.011256      3.89     3.99
City of Reno, NV         759830AS1 09/22/16 06/01/22     98.689     2.500     2.7504      0.59   0.005985   0.006067   0.006151   0.006235  0.006321      2.17     2.23
City of Reno, NV         759830AT9 09/22/16 06/01/25     97.746     3.000     3.3004      0.62   0.006317   0.006422   0.006528   0.006635  0.006745      2.30     2.38
Rock Island Counties, IL 772283CZ8 10/02/15 12/01/17    104.132    VARIES     1.5411             0.043158   0.042516                                     14.30         
Rock Island Counties, IL 772283DA2 10/02/15 12/01/18    105.489    VARIES     1.9915             0.056642   0.055859   0.055686   0.054899               20.50    18.46
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES     4.5517             0.134305   0.133255   0.132182   0.131084  0.129961     47.84    47.05
Royal Bank of Canada     78008HWF3 02/16/10 02/16/17    100.000    VARIES     3.8708             0.108254                                                 4.87         
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES     4.1703             0.116589   0.116513   0.116435   0.116355  0.116274     41.94    41.89
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31    100.000    VARIES     4.9792             0.133583   0.133697   0.133813   0.133931  0.134053     48.15    48.23
Royal Bank of Canada     78008SJY3 11/05/12 11/04/19    100.000     0.000     0.6002             0.017078   0.017129   0.017180   0.017232  0.017284      6.16     6.20
Royal Bank of Canana     78008SMC7 11/05/12 11/04/19    100.000     0.000     0.6002             0.017078   0.017129   0.017180   0.017232  0.017284      6.16     6.20
Royal Bank of Canada     78008SVM5 02/04/13 02/04/20    100.000     0.000     2.2565             0.067802   0.068567   0.069340   0.070122  0.070914     24.77    25.33
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES     4.0300             0.108140   0.108234   0.108329   0.108426  0.108526     38.97    39.04
Royal Bank of Canada     78008TR89 02/17/12 02/17/33    100.000     3.570     3.5700             0.099167   0.099167   0.099167   0.099167  0.099167     35.70    35.70
ABN AMRO BANK N.V.       78009KAB8 01/13/05 01/13/20    100.000    VARIES     4.7502    562.40   0.133263   0.133119   0.132966   0.132789  0.132587     47.90    47.77
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES     4.9855             0.142193   0.141929   0.141659   0.141382  0.141098     51.07    50.87
Royal Bank of Scotland   78009KMB5 08/19/10 08/19/17    100.000    VARIES     2.6316             0.021421   0.021702                                      4.93         
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES     3.6714             0.021577   0.021973   0.022376   0.022787  0.023205      7.92     8.22
Royal Bank of Scotland   78009KMF6 09/20/10 09/20/17    100.000    VARIES     2.5212             0.019810   0.020059                                      5.18         
Royal Bank of Scotland   78009KMG4 09/30/10 09/28/18    100.000    VARIES     2.6928             0.018045   0.018188   0.018534   0.018681                6.66     5.03
Royal Bank of Scotland   78009KNB4 10/27/10 10/27/17    100.000    VARIES     2.4219             0.023968   0.024258                                      7.15         
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES     5.5209             0.147595   0.147734   0.147877   0.148024  0.148175     53.17    53.28
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES     4.5134             0.129752   0.129546   0.129335   0.129120  0.128899     46.65    46.50
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES     5.3208             0.138492   0.138774   0.139064   0.139361  0.139666     49.92    50.13
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES     5.7104             0.151556   0.151725   0.151898   0.152076  0.152259     54.59    54.72
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES     5.4494             0.142869   0.143065   0.143267   0.143474  0.143687     51.52    51.67
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES     5.5247             0.153048   0.153090   0.153132   0.153175  0.153220     55.11    55.14
Royal Bank of Scotland   78009KRY0 03/31/11 03/31/18    100.000    VARIES     4.3799             0.121455   0.121524   0.121594                          43.75    10.82
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES     4.4729             0.125755   0.125705   0.125579   0.125451  0.125319     45.26    45.18
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES     2.5505             0.014883   0.015072   0.015265   0.015459  0.015656      5.40     5.54
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES     2.8322             0.020084   0.020368   0.020657   0.020949  0.021246      7.37     7.58
Royal Bank of Sctland    78009PBG5 08/31/11 02/28/17    100.000     0.000     4.0028             0.134807                                                 7.82         
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES     4.7435             0.120098   0.121534   0.123004   0.124509  0.126049     43.86    44.93
Royal Bank of Scotland   78009PBR1 09/30/11 03/30/17    100.000     0.000     3.8462             0.129256                                                11.50         
Royal Bank of Scotland   78009PCD1 12/06/11 06/07/17    100.000     0.000     5.2976             0.191153                                                29.82         
Royal Bank of Scotland   78009PCG4 12/30/11 07/03/17    100.000     0.000     5.2551             0.184434   0.189281                                     34.44         
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000     3.5770             0.110512   0.112489   0.114501   0.116549  0.118633     40.52    41.98
Royal Bank of Canada     78010UDH7 12/30/13 12/30/20    100.000    VARIES     1.1631             0.007059   0.007100   0.007141   0.007183  0.007225      2.55     2.58
Royal Bank of Canada     78010UDK0 01/30/14 01/30/19    100.000    VARIES     0.9099             0.007465   0.007499   0.007534   0.007568  0.007602      2.70     2.73
Royal Bank of Canada     78010UDR5 01/30/14 01/30/19    100.000     2.250     2.2500             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     4.0700             0.098947   0.097597   0.099488   0.098140  0.100052     35.93    36.13
Royal Bank of Canada     78010UVV6 05/30/14 11/30/17    100.000    VARIES     0.5884             0.007060   0.007042                                      2.35         
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES     3.5597             0.095740   0.095840   0.095943   0.096047  0.096154     34.48    34.56
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES     3.6300             0.095575   0.095679   0.095786   0.095895  0.096005     34.45    34.52
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES     3.3500             0.087957   0.088061   0.088167   0.088275  0.088384     31.69    31.77
Royal Bank of Canana     78010UWU7 12/23/14 12/23/24    100.000    VARIES     2.8500             0.078341   0.078387   0.078434   0.078482  0.078530     28.21    28.25
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES     3.4100             0.088810   0.086773   0.086934   0.087099  0.087266     31.60    31.33
SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31    100.000    VARIES     3.8136             0.078473   0.077994   0.077505   0.077008  0.076500     28.02    27.66
SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31    100.000    VARIES     3.8227             0.081030   0.080427   0.079812   0.079106  0.078386     28.88    28.39
SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31    100.000    VARIES     3.8133             0.080632   0.079948   0.079251   0.078540  0.077817     28.69    28.18
SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31    100.000    VARIES     3.8090             0.079883   0.079647   0.078528   0.078259  0.077121     28.94    28.44
SG Structured Prods, Inc 78423AC42 12/31/10 12/31/30    100.000    VARIES     4.1616             0.094907   0.093617   0.092300   0.090956  0.089584     33.93    32.98
SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31    100.000    VARIES     4.1899             0.091907   0.091020   0.090114   0.089190  0.088246     32.66    31.99
SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26    100.000    VARIES     4.0468             0.095047   0.095092   0.095137   0.095184  0.095679     34.24    34.33
SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31    100.000    VARIES     4.1578             0.094477   0.092167   0.092895   0.090577  0.091160     33.86    33.27
SG Structured Prods, Inc 78423AG63 03/18/11 03/18/21    100.000    VARIES     4.1694             0.115438   0.115565   0.115665   0.115766  0.115824     41.60    41.67
SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26    100.000    VARIES     3.9820             0.091288   0.091257   0.091687   0.092126  0.092573     32.89    33.17
SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31    100.000    VARIES     4.2878             0.098688   0.098159   0.097618   0.097065  0.096447     35.34    34.94
SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31    100.000    VARIES     4.1591             0.094292   0.093755   0.093208   0.092649  0.091905     33.78    33.37
SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26    100.000    VARIES     4.1342             0.099233   0.099301   0.099371   0.099443  0.099923     35.74    35.82
SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31    100.000    VARIES     4.0970             0.093790   0.091706   0.092651   0.090563  0.091321     33.81    33.39
SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23    100.000    VARIES     4.1100             0.110991   0.109300   0.111234   0.109544  0.111526     40.21    40.30
SG Structured Prods, Inc 78423AU75 05/31/11 05/30/31    100.000    VARIES     4.0953             0.089741   0.087788   0.088736   0.086781  0.087696     32.36    32.00
SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26    100.000    VARIES     4.1202             0.098141   0.096718   0.098504   0.097082  0.098882     35.57    35.70
SG Structured Prods, Inc 78423AV90 06/17/11 06/16/17    100.000     0.000     2.1965             0.068799                                                11.35         
SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31    100.000    VARIES     4.0040             0.086055   0.085483   0.084900   0.084305  0.083642     30.88    30.46
SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31    100.000    VARIES     4.0073             0.088479   0.086406   0.087184   0.085107  0.085658     31.91    31.44
SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23    100.000    VARIES     3.9769             0.109526   0.109716   0.109909   0.110106  0.110216     39.46    39.60
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26    100.000    VARIES     3.9854             0.095520   0.093730   0.095041   0.093250  0.095191     34.53    34.36
SG Structured Products,  78423AYJ5 08/31/10 08/29/25    100.000    VARIES     3.6972             0.076303   0.074393   0.075354   0.077169  0.078166     27.38    28.19
SG Structured Prods, Inc 78423EBE3 06/29/12 06/30/32    100.000    VARIES     2.6184             0.062098   0.061608   0.061598   0.061587  0.061577     22.27    22.17
SG Structured Prods, Inc 78423EBR4 07/31/12 07/30/32    100.000    VARIES     2.2858             0.053482   0.054041   0.052833   0.053740  0.052894     19.52    19.46
SG Structured Prods, Inc 78423ECC6 07/31/12 07/30/32    100.000    VARIES     4.6280             0.118567   0.118734   0.118904   0.119079  0.119257     42.77    42.89
SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32    100.000    VARIES     2.2189             0.051975   0.050941   0.051594   0.050828  0.051748     18.73    18.71
SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27    100.000    VARIES     2.2060             0.055563   0.054545   0.055334   0.054317  0.055100     20.07    19.98
SG Structured Prods, Inc 78423ECS1 08/31/12 08/31/32    100.000    VARIES     4.5638             0.116974   0.115205   0.117259   0.115492  0.117557     42.41    42.51
SG Structured Prods, Inc 78423EDB7 09/28/12 09/30/32    100.000    VARIES     4.0173             0.104190   0.104326   0.104465   0.104606  0.104750     37.56    37.66
SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32    100.000    VARIES     2.1721             0.050800   0.050671   0.050540   0.050710  0.050883     18.24    18.26
SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27    100.000    VARIES     2.3465             0.057980   0.057961   0.057941   0.058202  0.058467     20.87    20.94
SG Structured Prods, Inc 78423EDQ4 10/31/12 10/29/32    100.000    VARIES     3.5854             0.093071   0.092999   0.092926   0.093092  0.093261     33.48    33.50
SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32    100.000    VARIES     2.3864             0.057690   0.057376   0.057058   0.057008  0.056957     20.71    20.53
SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32    100.000    VARIES     2.3463             0.057676   0.057581   0.057486   0.057659  0.057835     20.73    20.75
SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32    100.000    VARIES     2.3877             0.058771   0.058632   0.058492   0.058547  0.058603     21.12    21.07
SG Structured Prods, Inc 78423EJF2 11/27/13 11/27/23    100.000    VARIES     3.9019             0.101401   0.101290   0.101177   0.101663  0.102159     36.48    36.54
SG Structured Prods, Inc 78423EJG0 12/18/13 12/18/23    100.000    VARIES     3.8787             0.101087   0.101042   0.100996   0.101487  0.101989     36.38    36.46
SM Energy Company        78454LAM2 08/09/16 07/01/21     86.000     1.500     4.7379     10.16   0.072852   0.074578   0.076345   0.078153               26.54    27.81
SCH DIST Clair CNTY, IL  788550JM4 06/15/11 01/01/18    102.758    VARIES     4.9870             0.139213   0.138875                                     50.06         
St. Clair CNTY SD #187,  788550JQ5 06/20/12 01/01/21    107.017     5.500     4.5004             0.129539   0.129016   0.128481   0.127934               46.54    46.15
St. Clair County, IL     788550JU6 06/25/15 01/01/21     79.080     0.000     4.3001     52.71   0.100198   0.100684   0.104553   0.105060               36.66    38.26
St. Clair County, IL     788550JV4 06/25/15 01/01/22     74.588     0.000     4.5500     52.68   0.100371   0.100981   0.104990   0.105628               36.75    38.44
St. Clair County, IL     788550JW2 06/25/15 01/01/23     70.267     0.000     4.7499     51.86   0.099004   0.099703   0.103763   0.104495               36.27    38.01
St. Clair County, IL     788550JX0 06/25/15 01/01/24     65.665     0.000     5.0000     51.08   0.097753   0.098563   0.102701   0.103553               35.83    37.64
St. Clair County, IL     788553GR0 04/13/17 12/01/22     99.225     2.850     3.0005             0.003536   0.003550   0.003603   0.003657  0.003712      0.92     1.31
St. Clair County, IL     788553GS8 04/13/17 12/01/23    101.777     3.500     3.2006             0.090485   0.090456   0.090348   0.090238  0.090126     23.34    32.50
St. Clair County, IL     788553GT6 04/13/17 12/01/26    102.645     4.000     3.6716             0.104685   0.104654   0.104535   0.104415  0.104292     27.00    37.60
St. Clair County, IL     788553GU3 04/13/17 12/01/27    101.642     4.000     3.8108             0.107592   0.107575   0.107507   0.107438  0.107368     27.75    38.69
San Luis Obispo County   798703AQ7 07/02/03 09/01/18     45.439     0.000     5.2696    462.64   0.131915   0.135390   0.138958   0.142619               48.96    34.01
San Luis Obispo County   798703AR5 07/02/03 09/01/19     42.462     0.000     5.3696    443.68   0.127233   0.130649   0.134157   0.137758  0.141457     47.25    49.82
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000     5.4696    424.52   0.122437   0.125785   0.129225   0.132759  0.136390     45.49    48.02
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000     5.5396    404.37   0.117090   0.120333   0.123666   0.127092  0.130612     43.53    45.97
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000     5.5996    384.35   0.111672   0.114799   0.118013   0.121317  0.124714     41.53    43.88
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000     5.6397    364.48   0.106139   0.109132   0.112210   0.115374  0.118627     39.48    41.74
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000     5.6797    345.34   0.100795   0.103658   0.106601   0.109629  0.112742     37.50    39.66
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000     5.6997    326.74   0.095474   0.098195   0.100993   0.103871  0.106831     35.52    37.58
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000     5.7298    309.08   0.090467   0.093059   0.095725   0.098467  0.101288     33.67    35.62
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000     5.7298    292.10   0.085498   0.087948   0.090467   0.093059  0.095725     31.82    33.67
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000     5.7297    276.06   0.080802   0.083117   0.085498   0.087947  0.090467     30.07    31.82
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000     5.7298    260.90   0.076364   0.078552   0.080802   0.083117  0.085498     28.42    30.07
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000     5.7298    246.57   0.072170   0.074237   0.076364   0.078552  0.080803     26.86    28.42
Santa Monica School, CA  802498PT6 10/11/16 07/01/32     95.746     3.000     3.3503      0.46   0.005813   0.005911   0.006010   0.006110                2.11     2.18
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SEACOR HOLDINGS INC      81170YAA7 11/13/13 11/15/28    100.000     3.000     8.2500    277.57   0.269277   0.276947   0.284933   0.293249  0.301908     99.04   104.85
Seacor Holdings, Inc.    81170YAB5 11/13/13 11/15/28    100.000    VARIES     8.2503             0.269293   0.276964   0.284952   0.293269  0.301929     99.05   104.86
Seacor Holdings, Inc.    811904AL5 12/11/12 12/15/27    100.000    VARIES     7.1504             0.240674   0.246796   0.253136   0.259704  0.266506     87.94    92.53
Seacor Holdings, Inc.    811904AM3 12/11/12 12/15/27    100.000    VARIES     7.1504             0.240674   0.246796   0.253136   0.259704  0.266506     87.94    92.53
Sears Holdings Corp.     812350AF3 11/21/14 12/15/19     82.600     8.000    12.7676     59.64   0.091357   0.097189   0.103394   0.109994  0.117016     34.13    38.63
Shelby Christian CNTYS,  821510AX2 02/24/16 12/01/17    103.912     3.750     1.5019     13.24   0.042647   0.042185                                     13.99         
Shelby Christian CNTYS,  821510AY0 02/24/16 12/01/18    105.242     3.750     1.8015     16.10   0.051948   0.051477   0.051003   0.050524               18.59    16.74
Shelby Christian CNTYS,  821510AZ7 02/24/16 12/01/19    105.947     3.750     2.1010     18.92   0.061146   0.060694   0.060237   0.059775  0.059309     21.90    21.57
Shelby Christian CNTYS,  821510BA1 02/24/16 12/01/20    106.279     3.750     2.3508     21.25   0.068769   0.068353   0.067932   0.067506  0.067075     24.66    24.35
Shelby Christian CNTYS,  821510BB9 02/24/16 12/01/21    106.397     3.750     2.5508     23.09   0.074819   0.074445   0.074066   0.073682  0.073293     26.84    26.57
SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27    100.000    VARIES     4.2451             0.107749   0.107230   0.106699   0.106756  0.106814     38.60    38.43
SG Structured Prods, Inc 83368W2F7 07/28/15 07/28/21    100.000     0.000     3.0305             0.086751   0.088066   0.089400   0.090755  0.092130     31.87    32.85
SG Structured Prods, Inc 83368W2V2 08/31/15 09/03/30    100.000    VARIES     3.4214             0.088679   0.088572   0.088464   0.088353  0.088241     31.88    31.80
SG Structured Prods, Inc 83368WB59 01/30/15 01/30/30    100.000    VARIES     2.8761             0.079756   0.079801   0.079847   0.079893  0.080031     28.73    28.78
SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33    100.000    VARIES     3.8966             0.101926   0.102530   0.103147   0.103775  0.104478     36.99    37.45
SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33    100.000    VARIES     3.8943             0.098466   0.098156   0.097841   0.097520  0.097763     35.30    35.15
SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33    100.000    VARIES     3.4646             0.085226   0.083700   0.085494   0.084508  0.086330     30.86    31.13
SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33    100.000    VARIES     2.9028             0.072541   0.072664   0.072790   0.072918  0.073281     26.16    26.27
SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33    100.000    VARIES     3.9684             0.099222   0.099351   0.099482   0.099615  0.100063     35.76    35.88
SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33    100.000    VARIES     3.9499             0.099228   0.099476   0.099729   0.099986  0.100556     35.80    36.00
SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23    100.000    VARIES     1.6708             0.009914   0.009997   0.010081   0.010165  0.010250      3.59     3.65
SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23    100.000    VARIES     3.1496             0.086773   0.086759   0.086780   0.086801  0.086857     31.24    31.25
SG Structured Prods, Inc 83368WDL2 06/28/13 06/28/33    100.000    VARIES     4.7629             0.129985   0.131469   0.132987   0.134542  0.136262     47.07    48.17
SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33    100.000    VARIES     4.7593             0.119666   0.120200   0.120748   0.121308  0.122162     43.18    43.57
SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33    100.000    VARIES     4.5906             0.115535   0.115300   0.115060   0.115551  0.116053     41.48    41.66
SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33    100.000    VARIES     4.5832             0.114622   0.115144   0.115678   0.116589  0.117520     41.52    42.09
SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33    100.000    VARIES     4.5941             0.112617   0.111367   0.110088   0.110191  0.110296     39.94    39.68
SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33    100.000    VARIES     4.6389             0.114310   0.112778   0.114993   0.113466  0.115708     41.53    41.78
SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33    100.000    VARIES     4.6414             0.118039   0.116792   0.119433   0.118195  0.120893     43.03    43.54
SG Structured Prods, Inc 83368WDZ1 08/30/13 08/31/28    100.000    VARIES     4.5931             0.118382   0.117381   0.120293   0.119304  0.122293     43.26    43.97
SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33    100.000    VARIES     4.5116             0.114582   0.114564   0.114546   0.115214  0.115897     41.24    41.48
SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33    100.000    VARIES     4.2945             0.107775   0.107260   0.106733   0.107043  0.107359     38.64    38.52
SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33    100.000    VARIES     4.2911             0.109692   0.109809   0.109928   0.110559  0.111204     39.52    39.77
SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33    100.000    VARIES     4.4027             0.112043   0.111828   0.111609   0.112075  0.112552     40.28    40.29
SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32     90.000    VARIES     4.3778             0.096936   0.097102   0.097271   0.098229  0.099209     34.94    35.25
SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32     90.000    VARIES     4.3778             0.096935   0.097100   0.097269   0.098228  0.099207     34.94    35.25
SG Structured Prods, Inc 83368WGZ8 12/30/13 12/30/33    100.000    VARIES     4.4481             0.113389   0.113894   0.114411   0.114938  0.115478     40.91    41.28
SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32     93.000    VARIES     4.4186             0.104019   0.104451   0.104893   0.105937  0.107004     37.53    37.95
SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33    100.000    VARIES     4.4457             0.110641   0.110731   0.110823   0.110916  0.111012     39.85    39.91
SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34    100.000    VARIES     4.0888             0.103081   0.103383   0.103691   0.104005  0.104723     37.26    37.54
SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33     91.000    VARIES     4.0761             0.093637   0.094218   0.094810   0.095414  0.096384     33.99    34.48
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893             0.112287   0.114358   0.116468   0.118616  0.120804     41.34    42.88
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373             0.092502   0.091667   0.093885   0.093055  0.095784     33.78    34.35
SG Structured Prods, Inc 83368WKC4 02/28/14 02/28/34    100.000    VARIES     4.0411             0.103184   0.101828   0.103854   0.102500  0.104857     37.49    37.78
SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34    100.000    VARIES     4.4731             0.113299   0.112861   0.112413   0.111956  0.112227     40.63    40.37
SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25    100.000    VARIES     2.7151             0.075517   0.075523   0.075507   0.075490  0.075465     27.19    27.18
SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34     91.000    VARIES     4.4572             0.096430   0.097159   0.097905   0.098667  0.099818     34.98    35.56
SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34    100.000    VARIES     4.4742             0.111738   0.110859   0.109961   0.109043  0.108999     39.91    39.33
SG Structured Prods, Inc 83368WMW8 05/14/14 05/14/21    100.000    VARIES     2.9301             0.081776   0.081774   0.081735   0.081695  0.081634     29.44    29.41
SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34     91.000    VARIES     3.6947             0.084612   0.084888   0.085170   0.085456  0.085990     30.53    30.74
SG Structured Prods, Inc 83368WP21 05/20/15 05/21/35    100.000    VARIES     3.3762             0.090229   0.089007   0.089207   0.089410  0.089617     32.22    32.17
SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34    100.000    VARIES     3.6333             0.093051   0.093130   0.093210   0.093291  0.093702     33.51    33.57
SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34    100.000    VARIES     3.4030             0.086681   0.087472   0.087313   0.088118  0.087966     31.86    32.10
SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34    100.000    VARIES     3.4025             0.086512   0.087122   0.086782   0.087398  0.087061     31.72    31.82
SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29    100.000    VARIES     3.5292             0.096747   0.096578   0.096407   0.096498  0.096590     34.77    34.74
SG Structured Prods, Inc 83368WTS0 09/30/14 09/30/24    100.000    VARIES     3.2998             0.087301   0.087505   0.087712   0.087988  0.088268     31.50    31.68
SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35    100.000    VARIES     3.7086             0.095518   0.095071   0.094616   0.094153  0.094461     34.31    33.98
SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34    100.000    VARIES     3.5842             0.092998   0.092937   0.092874   0.093150  0.093430     33.46    33.53
SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34    100.000    VARIES     3.5616             0.091442   0.091707   0.091976   0.092250  0.092530     33.02    33.21
SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34    100.000    VARIES     3.4502             0.089372   0.089425   0.089480   0.089953  0.090435     32.19    32.36
SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34    100.000    VARIES     3.3123             0.084883   0.085206   0.085535   0.085869  0.086209     30.64    30.88
SG Structured Prods, Inc 83368WXV8 11/14/14 11/16/21    100.000     0.000     2.6926             0.078915   0.079978   0.081054   0.082146  0.083252     28.70    29.47
SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34    100.000    VARIES     3.0162             0.079708   0.080218   0.080736   0.081261  0.081794     28.79    29.16
SG Structured Prods, Inc 83368WZV6 12/16/14 11/16/21    101.640     0.000     2.4786             0.073362   0.074271   0.075192   0.076124  0.077067     26.66    27.32
SG Structured Prods, Inc 83369ECH1 10/30/15 11/01/27    100.000    VARIES     3.1962             0.087746   0.087217   0.086679   0.086557  0.086433     31.43    31.17
SOCIETE GENERALE MEDIUM  83369EE30 10/19/17 10/19/20    100.000    VARIES     1.9157                                   0.053215   0.053724  0.054239      3.83    19.32
SG Structured Prods, Inc 83369EEM8 01/29/16 01/29/36    100.000    VARIES     3.1196     28.43   0.084433   0.082176   0.082036   0.081893  0.081747     29.63    29.46
SG Structured Prods, Inc 83369EGC8 02/26/16 02/26/21    100.000    VARIES     1.8853      2.53   0.008226   0.008113   0.007998   0.007882  0.007957      2.91     2.85
SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26    100.000    VARIES     1.6326      7.69   0.027357   0.026864   0.026367   0.025866  0.025360      9.66     9.30
SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23    100.000     0.000     1.8500      9.61   0.051870   0.052350   0.052834   0.053323  0.053816     18.76    19.11
SG Structured Prods, Inc 83369EUT5 03/31/17 03/31/37    100.000    VARIES     3.2302                        0.089727   0.087587   0.085412  0.085843     24.12    30.98
SOCIETE GENERALE MEDIUM  83369EZS2 08/30/17 08/30/29    100.000    VARIES     2.7704                                   0.076956   0.076508  0.076182      9.31    27.53
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000     2.7500    333.39   0.069424   0.070378   0.071346   0.072327  0.073322     25.27    25.97
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600    10.4990             0.312299   0.311778   0.311230   0.310653  0.310045    112.24   111.83
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES     8.8001             0.233146   0.233260   0.233379   0.233503  0.233633     83.99    84.08
Toll Brothers Finance    88947EAL4 09/11/12 09/15/32*   100.000    VARIES     5.9845             0.206889   0.212664                                     53.17*        
Toll Brothers Finance    88947EAM2 09/11/12 09/15/32*   100.000    VARIES     5.9845             0.206889   0.212664                                     53.17*        
Tornillo Indpt SCH DIST  891084NY7 12/06/12 02/01/20     83.718     0.000     2.4998     89.09   0.063657   0.064453   0.065258   0.066074  0.066900     23.30    23.89
Tornillo Indpt SCH DIST  891084NZ4 12/06/12 02/01/21     80.360     0.000     2.6998     92.69   0.066469   0.067366   0.068275   0.069197  0.070131     24.36    25.02
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000     4.8000    124.14   0.048088   0.049243   0.050424   0.051635  0.052874     17.74    18.60
Transportadora Gas Norte 893871AS2 08/22/12 08/22/19*    25.000    VARIES        N/A             0.621915   0.670984                                    201.19*        
Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19*    25.000    VARIES        N/A             0.621915   0.670984                                    201.19*        
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000     6.1698    412.71   0.122694   0.126479   0.130381   0.134403  0.138550     45.54    48.40
Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36    100.000    VARIES     8.5855             0.423502   0.437061   0.451202   0.465950  0.479678    155.73   165.94
    -----------------------------                                                                                                                                      
    *  Called in 2017; 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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES     4.6496             0.132261   0.132153   0.131858   0.131555  0.131199     47.56    47.35
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES     2.4224             0.066273   0.066370   0.066467   0.066566  0.066665     23.90    23.97
UBS AG                   90261JHQ9 09/23/11 09/23/19    100.000    VARIES     2.3048             0.005051   0.005109   0.005168   0.005227  0.005288      1.84     1.88
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES     2.5378             0.010232   0.010362   0.010493   0.010626  0.010761      3.73     3.83
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES     5.7801             0.110283   0.109777   0.109256   0.108721  0.108169     39.45    39.06
UBS AG                   90261XEU2 03/06/08 03/06/18    100.000    VARIES     4.6052             0.124307   0.125270   0.126581                          45.19     8.23
Union CNTY SD #531, IL   904842CV1 05/17/11 12/01/17    108.762    VARIES     4.1180             0.116088   0.115247                                     38.16         
Union CNTY SD #531, IL   904842CW9 05/17/11 12/01/18    107.234    VARIES     4.3708             0.124008   0.123380   0.122737   0.122081               44.49    40.39
Hudson County, NJ        905734MG1 02/07/07 11/01/17     55.340     0.000     5.5883    401.79   0.146905   0.151010                                     44.81         
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     10.97   0.028755   0.029532   0.030329   0.031148  0.031989     10.54    11.12
United Technologies Corp 913017AR0 11/13/89 11/15/19     98.974     8.875     8.9742      7.80   0.002106   0.002164   0.002299   0.002363  0.002510      0.79     0.86
Uruguay, Republic        917288AX0 05/29/03 01/20/17     73.000     7.625    11.6166    268.01   0.104791                                                 1.99         
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A             0.142576   0.143776   0.145052   0.146408  0.147848     51.95    52.93
VeriSign, Inc.           92343EAC6 08/20/07 08/15/37    100.000    VARIES     8.5009             0.397516   0.409608   0.422213   0.435354  0.449053    148.64   158.01
VeriSign, Inc.           92343EAD4 08/20/07 08/15/37    100.000    VARIES     8.5009             0.397516   0.409608   0.422213   0.435354  0.449053    148.64   158.01
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    10.0000             0.277778   0.277778   0.277778   0.277778              100.00   100.00
Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26     90.643     6.050     7.0050     27.14   0.013325   0.013792   0.014275   0.014775  0.015292      4.98     5.34
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691             0.010413   0.010062   0.009706   0.009347  0.008983      3.66     3.41
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798             0.009420   0.008973   0.008522   0.008623  0.008726      3.30     3.09
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986             0.010364   0.009996   0.009624   0.009247  0.008865      3.66     3.39
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508             0.011469   0.010924   0.010373   0.009814  0.009249      4.02     3.62
Wells Fargo & Co.        94986RBH3 11/05/10 11/05/17    100.000    VARIES     2.5030             0.070668   0.070101                                     21.38         
Wells Fargo & Co.        94986RBQ3 12/07/10 06/07/17    100.000     0.000     2.4502             0.078768                                                12.29         
Wells Fargo & Company    94986RBY6 01/05/11 01/06/17    100.000     0.000     2.6501             0.085091                                                 0.43         
Wells Fargo & Co.        94986RBZ3 01/05/11 07/07/17    100.000     0.000     2.7700             0.089526   0.090766                                     16.87         
Wells Fargo & Company    94986RCG4 02/07/11 02/07/17    100.000     1.250     2.5699             0.076916                                                 2.77         
Wells Fargo & Company    94986RCP4 02/07/11 02/07/18    100.000     1.500     2.9500             0.088984   0.089682   0.090390                          32.36     3.25
Wells Fargo & Company    94986RCW9 03/07/11 03/07/17    100.000     1.250     2.5500             0.076234                                                 5.03         
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764      3.56   0.010394   0.009967   0.009534   0.009097  0.009196      3.53     3.30
Wells Fargo & Co.        94986RDD0 03/31/11 03/31/21    100.000    VARIES     4.1709             0.116571   0.116605   0.116587   0.116568  0.116499     41.97    41.96
Wells Fargo & Co.        94986RDL2 04/29/11 04/30/21    100.000    VARIES     4.3019             0.120464   0.120469   0.120415   0.120360  0.120267     43.36    43.33
Wells Fargo & Company    94986RDU2 06/07/11 06/07/17    100.000     0.000     2.3100             0.072805                                                11.36         
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES     4.1141             0.116301   0.116244   0.116101   0.115955  0.115737     41.85    41.76
Wells Fargo & Company    94986RDX6 07/06/11 01/08/18    100.000     0.000     1.9900             0.061039   0.061646   0.062260                          22.29     0.44
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880      3.93   0.012601   0.012255   0.011905   0.011551  0.011194      4.39     4.13
Wells Fargo & Company    94986REQ0 08/05/11 02/07/18    100.000     0.000     2.4203             0.075833   0.076751   0.077680                          27.73     2.80
Wells Fargo & Company    94986RF71 02/29/16 03/01/23    100.000    VARIES     1.9956      3.00   0.009833   0.009597   0.009358   0.009117  0.009208      3.44     3.31
Wells Fargo & Comany     94986RFA4 09/08/11 03/07/18    100.000     0.000     2.3000             0.071624   0.072447   0.073281                          26.12     4.84
Wells Fargo & Company    94986RFL0 10/05/11 10/05/18    100.000     0.000     2.4700             0.077572   0.078530   0.079500   0.080481               28.26    21.96
Wells Fargo & Company    94986RFS5 10/05/11 04/06/18    100.000     0.000     2.3000             0.071634   0.072458   0.073291                          26.08     6.96
Wells Fargo & Company    94986RFX4 11/08/11 05/07/18    100.000     0.000     2.3200             0.072317   0.073156   0.074005                          26.28     9.32
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005      3.30   0.011566   0.011085   0.010599   0.010108  0.010219      3.98     3.69
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RGE5 12/07/11 06/07/18    100.000     0.000     2.3300             0.072669   0.073516   0.074372                          26.35    11.60
Wells Fargo & Company    94986RGS4 01/04/12 07/06/18    100.000     0.000     2.3699             0.073203   0.074071   0.074948   0.075836               26.81    14.03
Wells Fargo & Company    94986RH53 03/16/16 03/16/22    100.000     0.000     2.2405     17.81   0.062933   0.063638   0.064351   0.065072  0.065801     22.93    23.45
Wells Fargo & Company    94986RHA2 02/07/12 08/07/18    100.000     0.000     2.0501             0.062422   0.063062   0.063709   0.064362               22.77    13.88
Wells Fargo & Company    94986RHB0 01/27/12 01/27/17    100.000    VARIES     1.6991             0.015951                                                 0.41         
Wells Fargo & Company    94986RHC8 01/27/12 01/28/19    100.000    VARIES     1.7472             0.015641   0.015777   0.015915   0.016054  0.016195      5.70     5.80
Wells Fargo & Company    94986RHG9 03/07/12 09/10/18    100.000     0.000     1.9799             0.060106   0.060701   0.061302   0.061909               21.88    15.37
Wells Fargo & Company    94986RHH7 02/15/12 02/15/17    100.000    VARIES     1.4533             0.010955                                                 0.48         
Wells Fargo & Company    94986RHQ7 03/05/12 03/05/19    100.000    VARIES     1.4012             0.010887   0.010785   0.011040   0.010936  0.011195      3.97     4.03
Wells Fargo & Company    94986RHR5 03/07/12 09/10/18    100.000     0.000     2.1000             0.064094   0.064767   0.065447   0.066135               23.35    16.42
Wells Fargo & Company    94986RHX2 04/04/12 10/05/18    100.000     0.000     1.9801             0.060106   0.060701   0.061302   0.061909               21.85    16.91
Wells Fargo & Company    94986RHZ7 03/21/12 03/21/19    100.000    VARIES     1.3790             0.010869   0.010944   0.011020   0.011096  0.011172      3.94     4.00
Wells Fargo & Company    94986RJ28 03/29/16 03/29/21    100.000     0.125     2.5923     19.67   0.072897   0.073797   0.074708   0.075631  0.076567     26.57    27.23
Wells Fargo & Company    94986RJK8 04/24/12 04/24/19    100.000    VARIES     1.3828             0.011186   0.011264   0.011342   0.011420  0.011499      4.05     4.11
Wells Fargo & Company    94986RJR3 06/07/12 12/07/18    100.000     0.000     1.9898             0.060425   0.061026   0.061633   0.062246               21.89    20.82
Wells Fargo & Company    94986RJW2 05/29/12 05/29/19    100.000     0.000     2.2700             0.069796   0.070588   0.071389   0.072200  0.073019     25.32    25.90
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558      2.80   0.011017   0.010759   0.010499   0.010236  0.009970      3.88     3.70
Wells Fargo & Company    94986RKE0 07/05/12 07/08/19    100.000     0.000     1.8099             0.054039   0.054528   0.055021   0.055519  0.056022     19.71    20.07
Wells Fargo & Company    94986RKN0 08/07/12 08/07/19    100.000     0.000     1.7000             0.050529   0.050959   0.051392   0.051828  0.052269     18.39    18.71
Wells Fargo & Company    94986RKY6 08/17/12 08/19/19    100.000    VARIES     1.2320             0.007903   0.007952   0.008001   0.008050  0.008099      2.87     2.90
Wells Fargo & Company    94986RLH2 09/21/12 09/23/19    100.000    VARIES     1.1737             0.007904   0.007950   0.007997   0.008044  0.008091      2.86     2.90
Wells Fargo & Company    94986RLK5 10/03/12 10/07/19    100.000     0.000     1.5700             0.046434   0.046798   0.047165   0.047536  0.047909     16.84    17.11
Wells Fargo & Company    94986RLM1 10/03/12 10/07/19    100.000     0.000     1.7300             0.051495   0.051940   0.052389   0.052842  0.053300     18.69    19.02
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES     1.2945             0.011194   0.011266   0.011339   0.011412  0.011486      4.06     4.11
Wells Fargo & Company    94986RLU3 11/07/12 11/07/19    100.000     0.000     1.7202             0.051171   0.051611   0.052055   0.052502  0.052954     18.55    18.87
Wells Fargo & Company    94986RLV1 10/19/12 10/19/20    100.000    VARIES     1.1744             0.009263   0.009317   0.009372   0.009427  0.009482      3.35     3.39
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES     1.1530             0.008816   0.008867   0.008918   0.008969  0.009021      3.19     3.23
Wells Fargo & Company    94986RMD0 11/16/12 11/16/20    100.000    VARIES     1.0417             0.007491   0.007531   0.007570   0.007609  0.007649      2.71     2.74
Wells Fargo & Company    94986RME8 12/07/12 12/06/19    100.000     0.000     1.3600             0.039880   0.040151   0.040424   0.040699  0.040975     14.42    14.62
Wells Fargo & Company    94986RMF5 12/07/12 12/06/19    100.000     0.000     1.6200             0.047999   0.048387   0.048779   0.049174  0.049573     17.37    17.65
Wells Fargo & Company    94986RMH1 01/03/13 01/08/20    100.000     0.000     1.0001             0.028773   0.028917   0.029061   0.029206  0.029353     10.43    10.54
Wells Fargo & Company    94986RMJ7 01/03/13 01/08/20    100.000     0.000     1.6998             0.050109   0.050535   0.050964   0.051397  0.051834     18.26    18.58
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES     1.2833             0.010890   0.010959   0.011030   0.011101  0.011172      3.93     3.98
Wells Fargo & Company    94986RMT5 02/07/13 02/07/20    100.000     0.000     1.3701             0.039923   0.040196   0.040471   0.040749  0.041028     14.50    14.70
Wells Fargo & Company    94986RMU2 02/07/13 02/07/20    100.000     0.000     1.6097             0.047296   0.047676   0.048060   0.048447  0.048837     17.20    17.48
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863             0.009653   0.009711   0.009768   0.009826  0.009884      3.50     3.54
Wells Fargo & Company    94986RNF4 03/06/13 03/06/20    100.000     0.000     1.5600             0.045754   0.046111   0.046471   0.046833  0.047199     16.62    16.88
Wells Fargo & Company    94986RNG2 03/06/13 03/06/20    100.000     0.000     1.3399             0.039001   0.039262   0.039525   0.039790  0.040057     14.15    14.34
Wells Fargo & Company    94986RNJ6 02/22/13 02/22/21    100.000    VARIES     1.0349             0.011565   0.011817   0.011685   0.011940  0.011806      4.28     4.33
Wells Fargo & Company    94986RNU1 04/03/13 04/07/20    100.000     0.000     1.4905             0.043620   0.043945   0.044273   0.044603  0.044935     15.82    16.05
Wells Fargo & Company    94986RNV9 04/03/13 04/07/20    100.000     0.000     1.5698             0.046068   0.046429   0.046794   0.047161  0.047531     16.71    16.97
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES     1.1812             0.010243   0.010304   0.010364   0.010426  0.010487      3.71     3.76
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587             0.010499   0.010570   0.010642   0.010714  0.010787      3.81     3.86
Wells Fargo & Company    94986RPA3 03/20/13 03/20/20    100.000    VARIES     1.1707             0.007669   0.007714   0.007759   0.007805  0.007850      2.78     2.81
Wells Fargo & Company    94986RPF2 05/08/13 05/07/20    100.000     0.000     1.5101             0.044214   0.044548   0.044884   0.045223  0.045564     16.01    16.26
Wells Fargo & Company    94986RPG0 05/08/13 05/07/20    100.000     0.000     1.4899             0.043591   0.043916   0.044243   0.044572  0.044904     15.79    16.02
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES     1.3234             0.007568   0.007618   0.007669   0.007719  0.007770      2.74     2.78
Wells Fargo & Company    94986RPJ4 04/10/13 01/24/20     95.000     0.000     1.9490             0.054819   0.055353   0.055893   0.056437  0.056987     20.00    20.39
Wells Fargo & Company    94986RPS4 06/07/13 06/05/20    100.000     0.000     1.8198             0.053855   0.054345   0.054839   0.055338  0.055842     19.50    19.86
Wells Fargo & Company    94986RPT2 06/07/13 06/05/20    100.000     0.000     1.8598             0.055114   0.055627   0.056144   0.056666  0.057193     19.96    20.33
Wells Fargo & Company    94986RQA2 07/02/13 07/08/20    100.000     0.000     2.4199             0.072279   0.073153   0.074038   0.074934  0.075841     26.48    27.13
Wells Fargo & Company    94986RQB0 07/02/13 07/08/20    100.000     0.000     2.2502             0.066872   0.067624   0.068385   0.069155  0.069933     24.47    25.02
Wells Fargo & Company    94986RQF1 06/12/13 06/05/20    100.000     0.000     2.3333             0.070266   0.071086   0.071915   0.072754  0.073603     25.49    26.08
Wells Fargo & Company    94986RQH7 06/17/13 06/10/20    100.000     0.000     2.4817             0.075114   0.076046   0.076990   0.077945  0.078912     27.25    27.93
Wells Fargo & Company    94986RQJ3 06/17/13 01/24/20     93.099     0.000     2.3705             0.065954   0.066735   0.067526   0.068327  0.069137     24.13    24.71
Wells Fargo & Company    94986RQR5 08/08/13 08/07/20    100.000     0.000     2.4500             0.073209   0.074106   0.075014   0.075933  0.076863     26.78    27.44
Wells Fargo & company    94986RQS3 08/08/13 08/07/20    100.000     0.000     2.3798             0.070964   0.071809   0.072663   0.073528  0.074403     25.94    26.56
Wells Fargo & Company    94986RQZ7 09/09/13 09/08/20    100.000     0.000     2.0800             0.061475   0.062115   0.062761   0.063414  0.064073     22.39    22.86
Wells Fargo & Company    94986RRG8 10/03/13 10/07/19    100.000     0.000     1.9198             0.056487   0.057029   0.057577   0.058129  0.058687     20.52    20.92
Wells Fargo & Company    94986RRH6 10/03/13 10/07/20    100.000     0.000     1.9199             0.056488   0.057030   0.057577   0.058130  0.058688     20.52    20.92
Wells Fargo & Company    94986RRS2 11/07/13 05/07/20    100.000     0.000     1.7499             0.051216   0.051664   0.052117   0.052573  0.053033     18.57    18.89
Wells Fargo & Company    94986RSM4 01/03/14 01/04/19    100.000     0.000     1.7402             0.050481   0.050921   0.051364   0.051811  0.052261     18.41    18.73
Wells Fargo & Company    94986RTK7 03/13/14 03/13/19    110.000     0.125     2.1760             0.069994   0.070717   0.071449   0.072189  0.072936     25.49    26.02
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000     3.5789             0.108632   0.110576   0.112555   0.114569  0.116619     39.83    41.26
Wells Fargo & Company    94986RUS8 08/25/14 08/25/21    100.000    VARIES     1.0019             0.027473   0.027508   0.027543   0.027578  0.027614      9.91     9.93
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651             0.006587   0.006672   0.006757   0.006844  0.006932      2.40     2.47
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155             0.006616   0.006700   0.006784   0.006869  0.006956      2.41     2.47
Wells Fargo & Company    94986RVY4 02/23/15 02/21/20    110.000     0.125     2.3385             0.073858   0.074681   0.075513   0.076356  0.077208     26.95    27.56
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES     2.1821             0.010537   0.010270   0.009999   0.009726  0.009832      3.68     3.53
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000     2.0104             0.057544   0.058123   0.058707   0.059297  0.059893     20.92    21.34
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659             0.056691   0.056454   0.056215   0.055974  0.056068     20.32    20.18
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225             0.060567   0.060168   0.059765   0.059358  0.058945     21.68    21.39
Wells Fargo & Company    94986RWU1 04/30/15 03/29/17    100.000    VARIES        N/A             0.012987   0.012978                                      1.14         
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895             0.010707   0.010341   0.009971   0.009597  0.009707      3.76     3.51
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES     2.2447      0.74   0.010098   0.009861   0.009622   0.009380  0.009135      3.56     3.38
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES     2.5017             0.010704   0.010447   0.010188   0.009925  0.009658      3.81     3.62
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250     2.4237             0.069547   0.070305   0.071073   0.071850  0.072637     25.18    25.74
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES     2.4666             0.009902   0.009555   0.009203   0.008848  0.008488      3.40     3.14
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES     2.4323             0.009543   0.009213   0.008879   0.008541  0.008198      3.30     3.06
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES     2.2262      0.99   0.013895   0.013572   0.013245   0.012915  0.012580      4.90     4.66
Wells Fargo & Company    94986RZ79 11/04/16 11/06/23    100.000     0.250     2.8285      4.48   0.078580   0.079593   0.080620   0.081662  0.082719     28.58    29.33
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES     2.2452             0.011444   0.011077   0.010705   0.010330  0.009951      3.99     3.72
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES     2.2547             0.010031   0.009778   0.009521   0.009262  0.009000      3.52     3.34
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES     2.3811             0.013165   0.012718   0.012267   0.011810  0.011347      4.59     4.26
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES     2.3226             0.063809   0.063448   0.063084   0.062958  0.062831     22.86    22.67
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455             0.009981   0.009526   0.009064   0.008597  0.008125      3.47     3.13
WELLS FARGO & CO         95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358                                   0.050994   0.051402  0.051810      3.62    18.49
Wells Fargo & Company    95000N2A6 02/23/17 02/23/22    100.000    VARIES     1.8572                        0.008470   0.008169   0.007866  0.007939      2.57     2.86
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668                        0.076855   0.076765   0.076674  0.076582     23.58    27.60
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993                        0.014259   0.013812   0.013359  0.012900      3.15     4.85
WELLS FARGO & CO         95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340                        0.011499   0.010984   0.010463  0.009935      2.16     3.85
WELLS FARGO & CO         95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059                                   0.009246   0.008729  0.008206      1.44     3.07
WELLS FARGO & CO         95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861                                   0.010391   0.009918  0.009438      1.40     3.53
WELLS FARGO & CO         95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309                                   0.009746   0.009238  0.008713      1.18     3.29
WELLS FARGO & CO         95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997                                   0.015995   0.015694  0.015388      1.70     5.64
WELLS FARGO & CO         95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328                                   0.009521   0.008918  0.008306      0.96     3.20
WELLS FARGO & CO         95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668                                   0.009466   0.009037  0.008603      0.95     3.24
WELLS FARGO & CO         95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552                                   0.009145   0.008705  0.008259      0.60     3.15
WELLS FARGO & CO         95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158                                   0.009995   0.009520  0.009038      0.71     3.44
White CNTYS SD #533, IL  963806DJ0 08/04/10 12/01/17    108.163    VARIES     4.1817             0.117643   0.116908                                     38.69         
White CNTYS SD #533, IL  963806DK7 08/04/10 12/01/18    105.851    VARIES     4.6311             0.130755   0.130245   0.129723   0.129189               46.95    42.71
White CNTYS SD #533, IL  963806DL5 08/04/10 12/01/19    102.631    VARIES     4.8822             0.136993   0.136778   0.136557   0.136330  0.136098     49.27    49.11
WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23    103.545     3.875     3.2387                        0.093153   0.094142   0.095666  0.092587     13.82    34.12
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896                        0.097030   0.098108   0.099771  0.096617     14.39    35.57
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381                        0.102682   0.103872   0.105710  0.102034     15.23    37.67
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875                        0.106012   0.107294   0.109272  0.105507     15.73    38.93
Will CNTY SD #88, IL     968794ED5 03/03/09 10/01/28     93.191     5.500     6.1006     18.24   0.008111   0.008358   0.008613   0.008876  0.009147      3.01     3.20
Will County, IL School   968852FH1 11/19/97 11/01/17     22.150     0.000     7.6998    717.63   0.198318   0.205953                                     60.87         
Will County, IL          968852TN3 03/15/07 10/01/25     34.635     0.000     5.8000    260.07   0.096305   0.099098   0.101971   0.104929  0.107971     35.68    37.78
Will County, IL          968852TP8 03/15/07 10/01/26     32.402     0.000     5.8498    246.01   0.091292   0.093962   0.096710   0.099539  0.102450     33.83    35.84
Will County SD#122, IL   968852WL3 04/02/09 10/01/23     92.349     5.250     6.0501             0.023209   0.023935   0.024683   0.025455  0.026251      8.62     9.17
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000     7.3751    183.43   0.085907   0.089074   0.092359   0.095765  0.099296     32.08    34.49
Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000     7.8744    195.90   0.093530   0.097213   0.101040   0.105018  0.109153     34.78    37.58
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000     7.8993    181.24   0.086603   0.090024   0.093579   0.097275  0.101117     32.21    34.81
Williamson Jackson , IL  970013EH7 11/20/14 12/01/17    101.326    VARIES     1.5475             0.043179   0.043083                                     14.23         
Williamson Jackson , IL  970013EJ3 11/20/14 12/01/18    103.853    VARIES     1.9961             0.056533   0.056265   0.055995   0.055722               20.29    18.43
Williamson Jackson , IL  970013EK0 11/20/14 12/01/19    103.306    VARIES     2.2964             0.065082   0.064873   0.064661   0.064447  0.064230     23.38    23.23
Williamson Jackson , IL  970013EL8 11/20/14 12/01/20    102.500    VARIES     2.5464             0.071947   0.071802   0.071655   0.071506  0.071356     25.87    25.76
Williamson Jackson , IL  970013EM6 11/20/14 12/01/21    101.267    VARIES     2.7966             0.078417   0.078348   0.078278   0.078207  0.078136     28.21    28.16
Williamson Jackson , IL  970013EN4 11/20/14 12/01/22    100.000    VARIES     2.9965             0.083253   0.083252   0.083251   0.083249  0.083248     29.97    29.97
Woodford CNTYS SD #21, I 979293BF3 06/06/13 12/01/17    106.065    VARIES     1.6914             0.047637   0.047312                                     15.66         
Woodford CNTYS SD #21, I 979293BG1 06/06/13 12/01/18    105.731    VARIES     1.9916             0.056519   0.056224   0.055926   0.055626               20.28    18.40
Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17    104.694    VARIES     4.4776             0.125308   0.124848                                     41.27         
York County, PA          986812MC6 12/28/95 02/01/17     22.586     0.000     7.1796    768.36   0.192522                                                 5.78         
York County, PA          986812MD4 12/28/95 02/01/18     20.780     0.000     7.2396    718.13   0.180753   0.187295   0.194075                          68.25     5.82
York County, PA          986812ME2 12/28/95 02/01/19     19.353     0.000     7.2397    668.84   0.168347   0.174441   0.180755   0.187298  0.194078     63.56    68.25
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2017 1st   2017 2nd   2017 3rd   2018 2nd  2018 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/17      Period     Period    2018 1st    Period    Period      2017     2018 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000     7.2396    622.92   0.156788   0.162463   0.168344   0.174438  0.180752     59.20    63.56
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000     7.2398    580.16   0.146027   0.151313   0.156791   0.162466  0.168347     55.14    59.20
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000     7.2397    540.33   0.136002   0.140925   0.146026   0.151312  0.156789     51.35    55.14
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000     7.2398    503.24   0.126667   0.131252   0.136004   0.140927  0.146028     47.83    51.35
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000     7.2397    468.69   0.117970   0.122241   0.126666   0.131251  0.136002     44.54    47.83
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000     7.2396    622.92   0.156788   0.162463   0.168344   0.174438  0.180752     59.20    63.56
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000     7.2396    622.92   0.156788   0.162463   0.168344   0.174438  0.180752     59.20    63.56
Zions Bancorporation     989701BB2 03/27/12 03/27/17     94.250     4.500     5.8427     54.38   0.036240                                                 3.12         
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000     2.6250    277.60   0.063173   0.064002   0.064842   0.065693  0.066556     23.02    23.63
Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18*    98.138     9.625    10.0007             0.276376   0.276827                                     69.73*        
BANCO DE GALICIA Y BUENO P0R66CAA6 07/19/16 07/19/26    100.000    VARIES     8.7499             0.243053   0.243660   0.244295   0.244956  0.245647     87.81    88.28
TRANSPORTADORA DE GAS DE P93081AL4 08/22/12 08/22/19*   100.000    VARIES        N/A             0.621915   0.670984                                    200.56*        
Bank of America Corp.    U0662KBL4 03/18/02 01/04/17     38.300     0.000     6.5925    616.47   0.177281                                                 0.53         
Caesars Entertainment    U1229TAB2 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
Caesars Entertainment    U1229TAC0 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
Caesars Entertainment    U1229TAD8 02/15/13 02/15/20     97.500     9.000     9.4970     11.85   0.009978   0.010452   0.010948   0.011468  0.012013      3.81     4.18
Cheriere Energy, Inc.    U16344AB6 11/28/14 05/28/21    100.000     0.000     4.8750             0.149110   0.152745   0.156468   0.160282  0.164189     54.58    57.27
CHESAPEAKE ENERGY CORP   U16450AT2 12/31/15 12/15/22     48.000     8.000    23.5451     35.91   0.112288   0.124805   0.140246   0.155880  0.175165     43.75    54.64
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136      1.75   0.004709   0.004824   0.004943   0.005064  0.005189      1.73     1.81
Kansas City Southern     U24468AE7 12/09/15 05/15/20     97.300     2.350     3.0050      6.15   0.016391   0.016637   0.016887   0.017141  0.017398      5.97     6.15
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000     3.7202      5.88   0.015743   0.016036   0.016335   0.016638  0.016948      5.75     5.96
Eclipse Resources Corp.  U2779QAA2 07/06/15 07/15/23     97.903     8.875     9.2509      2.83   0.005545   0.005801   0.006069   0.006350  0.006644      2.13     2.33
Goodrich Petroleum Corp. U38254AD7 10/12/16 08/30/19     74.590     0.000    24.6243     40.43   0.499111   0.554575   0.612700   0.699542  0.772861    206.53   259.53
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000    13.8062    166.88   0.125483   0.134145   0.143405   0.153305  0.163887     47.81    54.64
Hovnanian Enterpirses    U48654AN4 11/01/11 11/01/21     42.000     2.000    12.1926             0.212224   0.221775   0.231908   0.242659  0.254065     79.30    86.75
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31**  100.000     3.500        N/A             0.800393   0.833794   0.868781   0.905430  0.943820    305.51** 331.81
    -----------------------------                                                                                                                                      
    *  Called in 2017; reportable OID is computed to call date.                                                                                                        
    ** These calculations may be revised.                                                                                                                              



SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2017 1st   2017 2nd   2017 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/17     Period     Period     Period         2017
______________       _________   ________  _________    ___________   ________  _________    ________   ________   ________    _____________
U.S. Treasury		912810FD5   04/15/98	 04/15/28	100.000	        3.625%	    494.56	 0.087212    0.064918	   0.122564	   30.51
U.S. Treasury		912810FH6   04/15/99	 04/15/29	100.000	        3.875%	    470.43	 0.085769    0.063880	   0.120513	   30.01
U.S. Treasury		912810FQ6   10/15/01	 04/15/32	100.000	        3.375%    361.85	 0.079423    0.059180	   0.111667	   27.80
U.S. Treasury		912810FR4   07/15/04	 01/15/25	100.000	        2.375%    282.40	-0.064286    0.089669	   0.063824	   26.18
U.S. Treasury		912810FS2   01/15/06	 01/15/26	100.000        2.000%    217.91	-0.061429    0.085193   0.060588	   24.86
U.S. Treasury		912810PS1   01/15/07	 01/15/27	100.000	        2.375%	    198.66	-0.060000    0.083812	   0.059647	   24.47
U.S. Treasury		912828GD6   01/15/07	 01/15/17	100.000	        2.375%	    198.66	-0.060000    		                 -0.84
U.S. Treasury		912828GX2   07/15/07	 07/15/17	100.000        2.625%	    166.32	-0.058571    0.081547		          13.94
U.S. Treasury		912828JE1   07/15/08	 07/15/18	100.000	        0.375%	    120.98	-0.056429    0.078398	   0.055765	   22.88
U.S. Treasury		912828HN3   01/15/08	 01/15/18	100.000        1.625%	    153.85	-0.057857    0.080663	   0.057412	   23.55
U.S. Treasury		912810PV4   01/15/08	 01/15/28	100.000	        1.750%	    153.85	-0.057857    0.080663	   0.057412	   23.55
U.S. Treasury		912810PZ5   01/15/09	 01/15/29	100.000	        2.500%    125.89	-0.056429    0.078729	   0.056000	   22.98
U.S. Treasury		912828JX9   01/15/09	 01/15/19	100.000        2.125%    125.89	-0.056429    0.078729	   0.056000	   22.98
U.S. Treasury		912828LA6   07/15/09	 07/15/19	100.000	        1.875%    132.12	-0.057143    0.079171	   0.056353	   23.11
U.S. Treasury		912828MF4   01/15/10	 01/15/20	100.000	        1.375%    117.84	-0.056429    0.078177   0.055647	   22.82
U.S. Treasury		912810QF8   02/15/10	 02/15/40	100.000        2.125%    118.39	-0.034667    0.087956	   0.060935	   22.83
U.S. Treasury		912828NM8   07/15/10	 07/15/20	100.000	        1.250%    108.41	-0.055714    0.077514	   0.055176	   22.63
U.S. Treasury		912828PP9   01/15/11	 01/15/21	100.000	        1.125%	    105.04	-0.055714    0.077293	   0.055000	   22.56
U.S. Treasury		912810QP6   02/15/11	 02/15/41	100.000	        2.125%	    103.83	-0.034222    0.086796   0.060144	   22.53
U.S. Treasury		912828QV5   07/15/11	 07/15/21	100.000	        0.625%	     72.52	-0.053571    0.074972   0.053353	   21.89
U.S. Treasury		912828SA9   01/15/12	 01/15/22	100.000	        0.125%	     68.01	-0.053571    0.074696   0.053118	   21.80
U.S. Treasury		912810QV3   02/15/12	 02/15/42	100.000        0.750%	     69.78	-0.033111    0.084144	   0.058273	   21.84
U.S. Treasury		912828SQ4   04/15/12	 04/15/17	100.000        0.125%	     64.27	 0.062115    		                  6.46
U.S. Treasury		912828TE0   07/15/12	 07/15/22	100.000	        0.125%	     51.16	-0.052857    0.073536	   0.052294	   21.46
U.S. Treasury		912828UH1   01/15/13	 01/15/23	100.000	        0.125%	     47.26	-0.052857    0.073260	   0.052118	   21.38
U.S. Treasury		912810RA8   02/15/13	 02/15/43	100.000	        0.625%	     51.40	-0.032444    0.082652	   0.057266	   21.46
U.S. Treasury		912828UX6   04/15/13	 04/15/18	100.000	        0.125%	     45.72	 0.060962    0.045410	   0.085769	   21.34
U.S. Treasury		912828VM9   07/15/13	 07/15/23	100.000	        0.375%	     38.72	-0.052143    0.072597   0.051706	   21.20
U.S. Treasury		912828B25   01/15/14	 01/15/24	100.000	        0.625%	     36.00	-0.052143    0.072486	   0.051529	   21.15
U.S. Treasury		912810RF7   02/15/14	 02/15/44	100.000	        1.375%	     37.21	-0.032000    0.081547	   0.056475	   21.17
U.S. Treasury		912828C99   04/15/14	 04/15/19	100.000	        0.125%	     31.63	 0.060192    0.044809	   0.084615	   21.06
U.S. Treasury		912828WU0   07/15/14	 07/15/24	100.000	        0.125%	     18.04	-0.051429    0.071160	   0.050647	   20.78
U.S. Treasury		912828H45   01/15/15	 01/15/25	100.000	        0.250%     20.58	-0.051429    0.071381	   0.050765	   20.83
U.S. Treasury		912810RL4   02/15/15	 02/15/45	100.000	        0.750%	     26.53	-0.031778    0.080718	   0.055899	   20.95
U.S. Treasury		912828K33   04/15/15	 04/15/20	100.000	        0.125%	     32.24	 0.060192    0.044863	   0.084615	   21.07
U.S. Treasury		912828XL9   07/15/15	 07/15/25	100.000	        0.375%	     19.34	-0.051429    0.071271   0.050706	   20.80
U.S. Treasury		912828N71   01/15/16	 01/15/26	100.000	        0.625%	     17.33	-0.050714    0.071105   0.050588	   20.76
U.S. Treasury		912810RR1   02/15/16	 02/15/46	100.000	        1.000%	     20.19	-0.031556    0.080221   0.055540	   20.82
U.S. Treasury		912828Q60   04/15/16	 04/15/21	100.000	        0.125%	     19.92	 0.059519    0.044317   0.083590	   20.82
U.S. Treasury		912828S50   07/15/16	 07/15/26	100.000	        0.125%	      8.46	-0.050714    0.070497	   0.050176	   20.58
U.S. Treasury		912828V49   01/15/17	 01/15/27	100.000        0.375%			             0.070000	   0.049765	   21.13
U.S. Treasury		912810RW0   02/15/17	 02/15/47	100.000	        0.875%			             0.078729	   0.054532	   21.83
U.S. Treasury		912828X39   04/15/17	 04/15/22	100.000        0.125%			             0.043169   0.081538	   14.26
U.S. Treasury		9128282L3   07/15/17	 07/15/27	100.000        0.375%				                 0.049176	    8.36


                                    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 2017).
 
           Strips                                   Strips
           Maturing             OID                 Maturing             OID
       From       Through    per $1000          From       Through    per $1000
      --------    --------   ---------          --------    --------   ---------
	01/01/17	03/31/17	 1.26			07/01/27	09/30/27	19.42
	04/01/17	06/30/17	 3.09			10/01/27	12/31/27	19.35
	07/01/17	09/30/17	 5.51			01/01/28	03/31/28	19.29
	10/01/17	12/31/17	 8.55			04/01/28	06/30/28	19.29
	01/01/18	03/31/18	 9.52			07/01/28	09/30/28	19.23
	04/01/18	06/30/18	10.28			10/01/28	12/31/28	19.16
	07/01/18	09/30/18	11.13			01/01/29	03/31/29	19.09
	10/01/18	12/31/18	11.78			04/01/29	06/30/29	19.02
	01/01/19	03/31/19	12.41			07/01/29	09/30/29	18.95
	04/01/19	06/30/19	13.04			10/01/29	12/31/29	18.82
	07/01/19	09/30/19	13.66			01/01/30	03/31/30	18.75
	10/01/19	12/31/19	14.18			04/01/30	06/30/30	18.68
	01/01/20	03/31/20	14.68			07/01/30	09/30/30	18.61
	04/01/20	06/30/20	15.18			10/01/30	12/31/30	18.54
	07/01/20	09/30/20	15.76			01/01/31	03/31/31	18.41
	10/01/20	12/31/20	16.15			04/01/31	06/30/31	18.34
	01/01/21	03/31/21	16.61			07/01/31	09/30/31	18.27
	04/01/21	06/30/21	17.07			10/01/31	12/31/31	18.19
	07/01/21	09/30/21	17.43			01/01/32	03/31/32	18.12
	10/01/21	12/31/21	17.78			04/01/32	06/30/32	17.99
	01/01/22	03/31/22	18.12			07/01/32	09/30/32	17.91
	04/01/22	06/30/22	18.45			10/01/32	12/31/32	17.84
	07/01/22	09/30/22	18.77			01/01/33	03/31/33	17.71
	10/01/22	12/31/22	19.00			04/01/33	06/30/33	17.64
	01/01/23	03/31/23	19.22			07/01/33	09/30/33	17.56
	04/01/23	06/30/23	19.36			10/01/33	12/31/33	17.48
	07/01/23	09/30/23	19.48			01/01/34	03/31/34	17.36
	10/01/23	12/31/23	19.61			04/01/34	06/30/34	17.28
	01/01/24	03/31/24	19.64			07/01/34	09/30/34	17.20
	04/01/24	06/30/24	19.68			10/01/34	12/31/34	17.12
	07/01/24	09/30/24	19.71			01/01/35	03/31/35	16.99
	10/01/24	12/31/24	19.74			04/01/35	06/30/35	16.91
	01/01/25	03/31/25	19.77			07/01/35	09/30/35	16.83
	04/01/25	06/30/25	19.79			10/01/35	12/31/35	16.75
	07/01/25	09/30/25	19.74			01/01/36	03/31/36	16.63
	10/01/25	12/31/25	19.76			04/01/36	06/30/36	16.54
	01/01/26	03/31/26	19.70			07/01/36	09/30/36	16.46
	04/01/26	06/30/26	19.72			10/01/36	12/31/36	16.37
	07/01/26	09/30/26	19.66			01/01/37	03/31/37	16.29
	10/01/26	12/31/26	19.60			04/01/37	06/30/37	16.17
	01/01/27	03/31/27	19.54			07/01/37	09/30/37	16.09
	04/01/27	06/30/27	19.48			10/01/37	12/31/37	16.00





                                     (continued)
 
 
           Strips                                   Strips
           Maturing             OID                 Maturing             OID
       From       Through    per $1000          From       Through    per $1000
      --------    --------   ---------         --------    --------   ---------
     	01/01/38	03/31/38	15.91			01/01/48	03/31/48	11.96
	04/01/38	06/30/38	15.82			04/01/48	06/30/48	11.87
	07/01/38	09/30/38	15.76			07/01/48	09/30/48	11.77
	10/01/38	12/31/38	15.67			10/01/48	12/31/48	11.68
	01/01/39	03/31/39	15.58			01/01/49	03/31/49	11.59
	04/01/39	06/30/39	15.49			04/01/49	06/30/49	11.49
	07/01/39	09/30/39	15.40			07/01/49	09/30/49	11.40
	10/01/39	12/31/39	15.33			10/01/49	12/31/49	11.31
	01/01/40	03/31/40	15.23			01/01/50	03/31/50	11.22
	04/01/40	06/30/40	15.14			04/01/50	06/30/50	11.13
	07/01/40	09/30/40	15.04			07/01/50	09/30/50	11.05
	10/01/40	12/31/40	14.94			10/01/50	12/31/50	10.96
	01/01/41	03/31/41	14.85			01/01/51	03/31/51	10.87
	04/01/41	06/30/41	14.75			04/01/51	06/30/51	10.79
	07/01/41	09/30/41	14.65			07/01/51	09/30/51	10.70
	10/01/41	12/31/41	14.55			10/01/51	12/31/51	10.62
	01/01/42	03/31/42	14.45			01/01/52	03/31/52	10.53
	04/01/42	06/30/42	14.34			04/01/52	06/30/52	10.45
	07/01/42	09/30/42	14.24			07/01/52	09/30/52	10.37
	10/01/42	12/31/42	14.14			10/01/52	12/31/52	10.28
	01/01/43	03/31/43	14.02			01/01/53	03/31/53	10.20
	04/01/43	06/30/43	13.92			04/01/53	06/30/53	10.12
	07/01/43	09/30/43	13.81			07/01/53	09/30/53	10.04
	10/01/43	12/31/43	13.70			10/01/53	12/31/53	 9.96
	01/01/44	03/31/44	13.60			01/01/54	03/31/54	 9.89
	04/01/44	06/30/44	13.49			04/01/54	06/30/54	 9.81
	07/01/44	09/30/44	13.38			07/01/54	09/30/54	 9.73
	10/01/44	12/31/44	13.28			10/01/54	12/31/54	 9.66
	01/01/45	03/31/45	13.18			01/01/55	03/31/55	 9.58
	04/01/45	06/30/45	13.07			04/01/55	06/30/55	 9.50
	07/01/45	09/30/45	12.97			07/01/55	09/30/55	 9.43
	10/01/45	12/31/45	12.86			10/01/55	12/31/55	 9.36
	01/01/46	03/31/46	12.76			01/01/56	03/31/56	 9.28
	04/01/46	06/30/46	12.65			04/01/56	06/30/56	 9.21
	07/01/46	09/30/46	12.55			07/01/56	09/30/56	 9.14
	10/01/46	12/31/46	12.45			10/01/56	12/31/56	 9.07
	01/01/47	03/31/47	12.35			01/01/57	03/31/57	 9.00
	04/01/47	06/30/47	12.25			04/01/57	06/30/57	 8.93
	07/01/47	09/30/47	12.16			07/01/57	09/30/57	 8.86
	10/01/47	12/31/47	12.06			10/01/57	12/31/57	 8.79



       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 2017,
    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 2017 - December 2018
                                                   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	                2.28
912796JE0  03/02/17  03/03/16	     99.333	                6.67
912796KM0  03/09/17  09/08/16	     99.762	                2.38
912796QG7  03/15/17  02/09/17	     99.950	                0.50
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
912796KS7  04/13/17  10/13/16	     99.750	                2.50
912796KT5  04/20/17  10/20/16	     99.762	                2.38
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
912796LG2  07/06/17  01/05/17	     99.682	                3.19
912796LK3  07/13/17  01/12/17	     99.702	                2.98
912796KB4  07/20/17  07/21/16	     99.444	                5.56
912796LL1  07/27/17  01/26/17	     99.697	                3.03
912796LM9  08/03/17  02/02/17	     99.684	                3.16
912796LP2  08/10/17  02/09/17	     99.687	                3.13
912796RE1  08/15/17  08/01/17	     99.961	                0.39
912796KF5  08/17/17  08/18/16	     99.424	                5.76
912796LQ0  08/24/17  02/23/17	     99.661	                3.39
912796LR8  08/31/17  03/02/17	     99.661	                3.39
912796LT4  09/07/17  03/09/17	     99.578	                4.22
912796KL2  09/14/17  09/15/16	     99.363	                6.37
912796RL5  09/15/17  09/07/17	     99.978	                0.22
912796LU1  09/21/17  03/23/17	     99.550	                4.50
912796LV9  09/28/17  03/30/17	     99.542	                4.58
912796LW7  10/05/17  04/06/17	     99.540	                4.60
912796KR9  10/12/17  10/13/16	     99.312	                6.88
912796LY3  10/19/17  04/20/17	     99.522	                4.78
912796LZ0  10/26/17  04/27/17	     99.517	                4.83
912796MA4  11/02/17  05/04/17	     99.507	                4.93




                         Section III-A (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2017
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796KX6  11/09/17  11/10/16	     99.297	                7.03
912796MC0  11/16/17  05/18/17	     99.484	                5.16
912796MD8  11/24/17  05/25/17	     99.466	                5.34
912796ME6  11/30/17  06/01/17	     99.464	                5.36
912796LB3  12/07/17  12/08/16	     99.161	                8.39
912796RX9  12/08/17  11/01/17	     99.894	                1.06
912796MG1  12/14/17  06/15/17	     99.444	                5.56
912796MH9  12/21/17  06/22/17	     99.434	                5.66
912796MJ5  12/28/17  06/29/17	     99.439	                5.61




                                                   Discount to be
                                 Issue Price      Reported as 2018
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796RK7  01/02/18  09/01/17	     99.638	                3.62
912796LC1  01/04/18  01/05/17      99.120                 8.80
912796ML0  01/11/18  07/13/17	     99.431	                5.69
912796NN5  01/18/18  07/20/17	     99.441	                5.59
912796NP0  01/25/18  07/27/17	     99.429	                5.71
912796LJ6  02/01/18  02/02/17	     99.181	                8.19
912796NR6  02/08/18  08/10/17	     99.424	                5.76
912796NS4  02/15/18  08/17/17	     99.436	                5.64
912796NT2  02/22/18  08/24/17	     99.436	                5.64
912796LN7  03/01/18  03/02/17	     99.141	                8.59
912796NU9  03/08/18  09/07/17	     99.436	                5.64
912796NW5  03/15/18  09/14/17	     99.424	                5.76
912796NX3  03/22/18  09/21/17	     99.403	                5.97
912796LS6  03/29/18  03/30/17	     98.964	               10.36
912796NY1  04/05/18  10/05/17	     99.398	                6.02
912796PA1  04/12/18  10/12/17	     99.383	                6.17
912796PB9  04/19/18  10/19/17	     99.373	                6.27
912796LX5  04/26/18  04/27/17	     98.928	               10.72
912796PC7  05/03/18  11/02/17	     99.363	                6.37
912796PF0  05/10/18  11/09/17	     99.343	                6.57
912796PG8  05/17/18  11/16/17	     99.312	                6.88
912796MB2  05/24/18  05/25/17	     98.842	               11.58
912796PH6  05/31/18  11/30/17	     99.275	                7.25





                                 Section III-B



                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2017

                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385AC0	01/03/17	02/05/16	99.676			3.24
313385AD8	01/04/17	01/07/16	99.244			7.56
313385AE6	01/05/17	01/12/16	99.302			6.98
313385AF3	01/06/17	01/14/16	99.254			7.46
313385AJ5	01/09/17	01/19/16	99.303			6.97
313385AK2	01/10/17	03/14/16	99.472			5.28
313385AL0	01/11/17	03/31/16	99.611			3.89
313385AM8	01/12/17	06/17/16	99.730			2.70
313385AN6	01/13/17	01/19/16	99.290			7.10
313385AS5	01/17/17	03/30/16	99.593			4.07
313385AT3	01/18/17	07/20/16	99.765			2.35
313385AU0	01/19/17	04/22/16	99.592			4.08
313385AV8	01/20/17	02/29/16	99.484			5.16
313385AY2	01/23/17	01/29/16	99.400			6.00
313385AZ9	01/24/17	04/29/16	99.633			3.68
313385BA3	01/25/17	01/25/16	99.339			6.61
313385BB1	01/26/17	01/27/16	99.366			6.34
313385BC9	01/27/17	01/28/16	99.366			6.34
313385BF2	01/30/17	02/23/16	99.454			5.46
313385BG0	01/31/17	03/22/16	99.466			5.34
313385BH8	02/01/17	02/02/16	99.371			6.29
313385BJ4	02/02/17	02/04/16	99.373			6.27
313385BK1	02/03/17	02/03/16	99.370			6.30
313385BN5	02/06/17	02/12/16	99.430			5.70
313385BP0	02/07/17	04/22/16	99.604			3.96
313385BQ8	02/08/17	02/10/16	99.403			5.97
313385BR6	02/09/17	02/10/16	99.402			5.98
313385BS4	02/10/17	02/10/16	99.390			6.10
313385BV7	02/13/17	05/04/16	99.612			3.88
313385BW5	02/14/17	09/19/16	99.827			1.73
313385BX3	02/15/17	02/17/16	99.414			5.86
313385BY1	02/16/17	02/19/16	99.415			5.85
313385BZ8	02/17/17	02/17/16	99.410			5.90
313385CD6	02/21/17	02/25/16	99.407			5.93
313385CE4	02/22/17	02/24/16	99.403			5.97
313385CF1	02/23/17	02/23/16	99.410			5.90
313385CG9	02/24/17	02/26/16	99.403			5.97
313385CK0	02/27/17	02/29/16	99.403			5.97
313385CL8	02/28/17	02/29/16	99.544			4.56
313385CM6	03/01/17	03/01/16	99.375			6.25
313385CN4	03/02/17	06/08/16	99.600			4.00
313385CP9	03/03/17	04/13/16	99.532			4.68





                         Section III-B (Continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385CS3	03/06/17	05/05/16	99.500			5.00
313385CT1	03/07/17	03/07/16	99.321			6.79
313385CU8	03/08/17	03/18/16	99.310			6.90
313385CV6	03/09/17	03/14/16	99.260			7.40
313385CW4	03/10/17	03/11/16	99.292			7.08
313385CZ7	03/13/17	04/13/16	99.490			5.10
313385DA1	03/14/17	03/14/16	99.250			7.50
313385DB9	03/15/17	03/15/16	99.250			7.50
313385DC7	03/16/17	09/19/16	99.754			2.46
313385DD5	03/17/17	08/26/16	99.752			2.48
313385DG8	03/20/17	08/26/16	99.748			2.52
313385DH6	03/21/17	03/21/16	99.300			7.00
313385DJ2	03/22/17	03/28/16	99.302			6.98
313385DK9	03/23/17	06/24/16	99.600			4.00
313385DL7	03/24/17	04/01/16	99.336			6.64
313385DP8	03/27/17	04/18/16	99.476			5.24
313385DQ6	03/28/17	12/12/16	99.841			1.59
313385DR4	03/29/17	04/29/16	99.434			5.66
313385DS2	03/30/17	03/30/16	99.311			6.89
313385DT0	03/31/17	03/31/16	99.411			5.89
313385DW3	04/03/17	04/04/16	99.368			6.32
313385DX1	04/04/17	04/05/16	99.353			6.47
313385DY9	04/05/17	10/05/16	99.748			2.52
313385DZ6	04/06/17	04/11/16	99.370			6.30
313385EA0	04/07/17	04/08/16	99.373			6.27
313385ED4	04/10/17	04/12/16	99.445			5.55
313385EE2	04/11/17	04/14/16	99.377			6.23
313385EF9	04/12/17	10/12/16	99.747			2.53
313385EG7	04/13/17	04/15/16	99.375			6.25
313385EL6	04/17/17	04/19/16	99.395			6.05
313385EM4	04/18/17	05/25/16	99.349			6.51
313385EN2	04/19/17	06/13/16	99.535			4.65
313385EP7	04/20/17	04/21/16	99.393			6.07
313385EQ5	04/21/17	04/22/16	99.373			6.27
313385ET9	04/24/17	04/25/16	99.373			6.27
313385EU6	04/25/17	04/27/16	99.355			6.45
313385EV4	04/26/17	05/02/16	99.377			6.23
313385EW2	04/27/17	05/03/16	99.367			6.33
313385EX0	04/28/17	04/29/16	99.383			6.17
313385FA9	05/01/17	05/02/16	99.363			6.37
313385FB7	05/02/17	05/03/16	99.358			6.42
313385FC5	05/03/17	05/03/16	99.356			6.44
313385FD3	05/04/17	07/11/16	99.579			4.21
313385FE1	05/05/17	05/05/16	99.392			6.08
313385FH4	05/08/17	05/11/16	99.387			6.13
313385FJ0	05/09/17	08/12/16	99.610			3.90
313385FK7	05/10/17	05/11/16	99.393			6.07





                         Section III-B (Continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385FL5	05/11/17	05/13/16	99.395			6.05
313385FM3	05/12/17	07/13/16	99.537			4.63
313385FQ4	05/15/17	05/19/16	99.358			6.42
313385FR2	05/16/17	05/18/16	99.355			6.45
313385FS0	05/17/17	05/18/16	99.353			6.47
313385FT8	05/18/17	05/19/16	99.353			6.47
313385FU5	05/19/17	05/24/16	99.360			6.40
313385FX9	05/22/17	05/25/16	99.356			6.44
313385FY7	05/23/17	05/24/16	99.353			6.47
313385FZ4	05/24/17	05/31/16	99.364			6.36
313385GA8	05/25/17	05/25/16	99.260			7.40
313385GB6	05/26/17	05/31/16	99.360			6.40
313385GF7	05/30/17	06/01/16	99.264			7.36
313385GG5	05/31/17	06/01/16	99.262			7.38
313385GH3	06/01/17	06/01/16	99.250			7.50
313385GJ9	06/02/17	06/08/16	99.342			6.58
313385GM2	06/05/17	09/06/16	99.600			4.00
313385GN0	06/06/17	06/08/16	99.335			6.65
313385GP5	06/07/17	06/08/16	99.323			6.77
313385GQ3	06/08/17	06/21/16	99.384			6.16
313385GR1	06/09/17	06/10/16	99.323			6.77
313385GU4	06/12/17	06/22/16	99.379			6.21
313385GV2	06/13/17	12/07/16	99.687			3.13
313385GW0	06/14/17	08/31/16	99.570			4.30
313385GX8	06/15/17	06/21/16	99.372			6.28
313385GY6	06/16/17	06/27/16	99.440			5.60
313385HB5	06/19/17	07/22/16	99.447			5.53
313385HC3	06/20/17	12/02/16	99.653			3.47
313385HD1	06/21/17	11/23/16	99.633			3.67
313385HE9	06/22/17	08/26/16	99.542			4.58
313385HF6	06/23/17	06/28/16	99.448			5.52
313385HJ8	06/26/17	06/28/16	99.445			5.55
313385HK5	06/27/17	06/28/16	99.434			5.66
313385HL3	06/28/17	06/28/16	99.412			5.88
313385HM1	06/29/17	06/29/16	99.442			5.58
313385HN9	06/30/17	06/30/16	99.442			5.58
313385HR0	07/03/17	07/13/16	99.408			5.92
313385HT6	07/05/17	12/19/16	99.659			3.41
313385HU3	07/06/17	07/08/16	99.435			5.65
313385HV1	07/07/17	07/13/16	99.402			5.98
313385HY5	07/10/17	07/13/16	99.397			6.03
313385HZ2	07/11/17	01/06/17	99.695			3.05
313385JA5	07/12/17	07/12/16	99.392			6.08
313385JB3	07/13/17	07/13/16	99.392			6.08
313385JC1	07/14/17	08/31/16	99.525			4.75
313385JF4	07/17/17	07/21/16	99.361			6.39
313385JG2	07/18/17	07/21/16	99.356			6.44





                         Section III-B (Continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385JH0	07/19/17	07/22/16	99.356			6.44
313385JJ6	07/20/17	07/21/16	99.363			6.37
313385JK3	07/21/17	12/15/16	99.612			3.88
313385JN7	07/24/17	07/28/16	99.368			6.32
313385JP2	07/25/17	07/27/16	99.365			6.35
313385JQ0	07/26/17	08/01/16	99.392			6.08
313385JR8	07/27/17	08/04/16	99.395			6.05
313385JS6	07/28/17	11/17/16	99.529			4.71
313385JV9	07/31/17	12/08/16	99.602			3.98
313385JW7	08/01/17	08/09/16	99.355			6.45
313385JX5	08/02/17	08/03/16	99.373			6.27
313385JY3	08/03/17	08/03/16	99.361			6.39
313385JZ0	08/04/17	12/13/16	99.587			4.13
313385KC9	08/07/17	01/27/17	99.669			3.31
313385KD7	08/08/17	08/09/16	99.343			6.57
313385KE5	08/09/17	02/03/17	99.678			3.22
313385KF2	08/10/17	08/10/16	99.341			6.59
313385KG0	08/11/17	08/11/16	99.341			6.59
313385KK1	08/14/17	11/17/16	99.483			5.18
313385KL9	08/15/17	08/18/16	99.477			5.23
313385KM7	08/16/17	08/29/16	99.335			6.65
313385KN5	08/17/17	08/19/16	99.335			6.65
313385KP0	08/18/17	08/29/16	99.331			6.69
313385KS4	08/21/17	11/22/16	99.547			4.53
313385KT2	08/22/17	08/23/16	99.464			5.36
313385KU9	08/23/17	08/23/16	99.356			6.44
313385KV7	08/24/17	08/30/16	99.322			6.78
313385KW5	08/25/17	12/13/16	99.550			4.50
313385KZ8	08/28/17	01/30/17	99.627			3.73
313385LA2	08/29/17	11/30/16	99.501			4.99
313385LB0	08/30/17	08/31/16	99.323			6.77
313385LC8	08/31/17	11/29/16	99.519			4.81
313385LD6	09/01/17	09/02/16	99.393			6.07
313385LH7	09/05/17	09/12/16	99.314			6.86
313385LJ3	09/06/17	03/08/17	99.550			4.50
313385LK0	09/07/17	02/17/17	99.641			3.59
313385LL8	09/08/17	09/15/16	99.324			6.76
313385LP9	09/11/17	09/22/16	99.312			6.88
313385LQ7	09/12/17	03/09/17	99.574			4.26
313385LR5	09/13/17	09/15/16	99.314			6.86
313385LS3	09/14/17	09/15/16	99.312			6.88
313385LT1	09/15/17	09/19/16	99.308			6.92
313385LW4	09/18/17	09/19/16	99.312			6.88
313385LX2	09/19/17	12/06/16	99.442			5.58
313385LY0	09/20/17	12/29/16	99.382			6.18
313385LZ7	09/21/17	09/30/16	99.357			6.43
313385MA1	09/22/17	09/28/16	99.332			6.68




                         Section III-B (Continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385MD5	09/25/17	12/14/16	99.422			5.78
313385ME3	09/26/17	03/23/17	99.540			4.60
313385MF0	09/27/17	11/30/16	99.440			5.60
313385MG8	09/28/17	09/28/16	99.341			6.59
313385MH6	09/29/17	12/22/16	99.422			5.78
313385ML7	10/02/17	10/05/16	99.296			7.04
313385MM5	10/03/17	01/11/17	99.499			5.01
313385MN3	10/04/17	03/09/17	99.524			4.76
313385MP8	10/05/17	12/30/16	99.450			5.50
313385MQ6	10/06/17	10/11/16	99.303			6.97
313385MU7	10/10/17	10/11/16	99.262			7.38
313385MV5	10/11/17	10/11/16	99.260			7.40
313385MW3	10/12/17	05/10/17	99.582			4.18
313385MX1	10/13/17	12/28/16	99.310			6.90
313385NA0	10/16/17	11/04/16	99.346			6.54
313385NB8	10/17/17	05/17/17	99.592			4.08
313385NC6	10/18/17	12/30/16	99.424			5.76
313385ND4	10/19/17	05/17/17	99.587			4.13
313385NE2	10/20/17	02/03/17	99.540			4.60
313385NH5	10/23/17	03/31/17	99.479			5.21
313385NJ1	10/24/17	04/27/17	99.540			4.60
313385NK8	10/25/17	10/28/16	99.316			6.84
313385NL6	10/26/17	01/30/17	99.477			5.23
313385NM4	10/27/17	04/28/17	99.508			4.92
313385NQ5	10/30/17	11/15/16	99.283			7.17
313385NR3	10/31/17	12/29/16	99.397			6.04
313385NS1	11/01/17	11/03/16	99.294			7.06
313385NT9	11/02/17	11/03/16	99.312			6.88
313385NU6	11/03/17	11/04/16	99.292			7.08
313385NX0	11/06/17	02/09/17	99.475			5.25
313385NY8	11/07/17	11/30/16	99.335			6.65
313385NZ5	11/08/17	11/08/16	99.280			7.20
313385PA8	11/09/17	11/09/16	99.280			7.20
313385PB6	11/10/17	11/16/16	99.292			7.08
313385PE0	11/13/17	11/16/16	99.196			8.04
313385PF7	11/14/17	11/14/16	99.189			8.11
313385PG5	11/15/17	11/16/16	99.191			8.09
313385PH3	11/16/17	04/17/17	99.426			5.74
313385PJ9	11/17/17	12/22/16	99.166			8.34
313385PM2	11/20/17	02/23/17	99.415			5.85
313385PN0	11/21/17	11/25/16	99.178			8.22
313385PP5	11/22/17	11/22/16	99.179			8.21
313385PR1	11/24/17	02/28/17	99.410			5.90
313385PU4	11/27/17	11/29/16	99.163			8.37
313385PV2	11/28/17	11/29/16	99.160			8.40
313385PW0	11/29/17	05/02/17	99.461			5.39
313385PX8	11/30/17	12/09/16	99.288			7.12




                         Section III-B (Continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313385PY6	12/01/17	12/02/16	99.151			8.49
313385QB5	12/04/17	04/04/17	99.322			6.78
313385QC3	12/05/17	03/15/17	99.242			7.58
313385QD1	12/06/17	12/08/16	99.143			8.57
313385QE9	12/07/17	12/07/16	99.145			8.55
313385QF6	12/08/17	02/21/17	99.388			6.12
313385QJ8	12/11/17	12/12/16	99.272			7.28
313385QK5	12/12/17	12/12/16	99.098			9.02
313385QL3	12/13/17	12/13/16	99.148			8.52
313385QM1	12/14/17	12/14/16	99.057			9.43
313385QN9	12/15/17	05/12/17	99.367			6.33
313385QR0	12/18/17	12/19/16	99.060			9.40
313385QS8	12/19/17	12/20/16	99.039			9.61
313385QT6	12/20/17	12/20/16	99.038			9.62
313385QU3	12/21/17	12/22/16	99.070			9.30
313385QV1	12/22/17	03/27/17	99.381			6.19
313385QZ2	12/26/17	06/14/17	99.383			6.17
313385RA6	12/27/17	12/28/16	99.039			9.61
313385RB4	12/28/17	12/30/16	99.042			9.58
313385RC2	12/29/17	12/30/16	99.039			9.61




                                 Section III-C



                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2017

                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589AC7	01/03/17	01/15/16	 99.361 			 6.39 
313589AD5	01/04/17	07/15/16	 99.805 			 1.95 
313589AE3	01/05/17	01/15/16	 99.407 			 5.93 
313589AF0	01/06/17	04/06/16	 99.664 			 3.36 
313589AJ2	01/09/17	03/15/16	 99.542 			 4.58 
313589AK9	01/10/17	01/09/17	 99.999 			 0.01 
313589AL7	01/11/17	02/02/16	 99.455 			 5.45 
313589AM5	01/12/17	02/02/16	 99.454 			 5.46 
313589AN3	01/13/17	03/17/16	 99.606 			 3.94 
313589AS2	01/17/17	02/03/16	 99.438 			 5.62 
313589AT0	01/18/17	08/01/16	 99.811 			 1.89 
313589AU7	01/19/17	01/29/16	 99.466 			 5.34 
313589AV5	01/20/17	02/02/16	 99.431 			 5.69 
313589AY9	01/23/17	05/03/16	 99.683 			 3.17 
313589AZ6	01/24/17	01/23/17	 99.999 			 0.01 
313589BA0	01/25/17	05/09/16	 99.696 			 3.05 
313589BB8	01/26/17	01/25/17	 99.999 			 0.01 
313589BC6	01/27/17	02/03/16	 99.422 			 5.78 
313589BF9	01/30/17	01/27/17	 99.996 			 0.04 
313589BG7	01/31/17	02/24/16	 99.525 			 4.75 
313589BH5	02/01/17	02/25/16	 99.516 			 4.84 
313589BJ1	02/02/17	08/29/16	 99.810 			 1.90 
313589BK8	02/03/17	02/11/16	 99.463 			 5.37 
313589BN2	02/06/17	08/01/16	 99.780 			 2.21 
313589BP7	02/07/17	08/10/16	 99.799 			 2.01 
313589BQ5	02/08/17	07/26/16	 99.759 			 2.41 
313589BR3	02/09/17	06/16/16	 99.709 			 2.91 
313589BS1	02/10/17	02/17/16	 99.471 			 5.29 
313589BV4	02/13/17	02/10/17	 99.996 			 0.04 
313589BW2	02/14/17	05/06/16	 99.645 			 3.55 
313589BX0	02/15/17	04/27/16	 99.608 			 3.92 
313589BY8	02/16/17	05/20/16	 99.584 			 4.16 
313589BZ5	02/17/17	08/25/16	 99.800 			 2.00 
313589CD3	02/21/17	06/29/16	 99.733 			 2.67 
313589CE1	02/22/17	08/04/16	 99.773 			 2.27 
313589CF8	02/23/17	08/04/16	 99.772 			 2.28 
313589CG6	02/24/17	04/27/16	 99.596 			 4.04 
313589CK7	02/27/17	05/13/16	 99.638 			 3.62 
313589CL5	02/28/17	05/13/16	 99.636 			 3.64 
313589CM3	03/01/17	03/18/16	 99.478 			 5.22 
313589CN1	03/02/17	08/02/16	 99.741 			 2.59 
313589CP6	03/03/17	05/09/16	 99.603 			 3.97 
313589CS0	03/06/17	06/01/16	 99.552 			 4.48




                         Section III-C (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589CT8	03/07/17	05/19/16	 99.530 			 4.70 
313589CU5	03/08/17	05/19/16	 99.528 			 4.72 
313589CV3	03/09/17	05/19/16	 99.526 			 4.74 
313589CW1	03/10/17	09/12/16	 99.786 			 2.14 
313589CZ4	03/13/17	06/15/16	 99.624 			 3.76 
313589DA8	03/14/17	09/30/16	 99.817 			 1.83 
313589DB6	03/15/17	05/31/16	 99.536 			 4.64 
313589DC4	03/16/17	05/24/16	 99.515 			 4.85 
313589DD2	03/17/17	05/19/16	 99.513 			 4.87 
313589DG5	03/20/17	05/24/16	 99.500 			 5.00 
313589DH3	03/21/17	05/17/16	 99.572 			 4.28 
313589DJ9	03/22/17	05/19/16	 99.497 			 5.03 
313589DK6	03/23/17	07/08/16	 99.692 			 3.08 
313589DL4	03/24/17	05/23/16	 99.492 			 5.08 
313589DP5	03/27/17	09/08/16	 99.756 			 2.44 
313589DQ3	03/28/17	09/19/16	 99.752 			 2.48 
313589DR1	03/29/17	05/19/16	 99.485 			 5.15 
313589DS9	03/30/17	05/12/16	 99.571 			 4.29 
313589DT7	03/31/17	04/07/16	 99.463 			 5.37 
313589DW0	04/03/17	04/12/16	 99.456 			 5.44 
313589DX8	04/04/17	04/22/16	 99.484 			 5.16 
313589DY6	04/05/17	05/27/16	 99.461 			 5.39 
313589DZ3	04/06/17	05/11/16	 99.523 			 4.77 
313589EA7	04/07/17	04/28/16	 99.484 			 5.16 
313589ED1	04/10/17	05/04/16	 99.507 			 4.93 
313589EE9	04/11/17	09/09/16	 99.733 			 2.67 
313589EF6	04/12/17	05/19/16	 99.490 			 5.10 
313589EG4	04/13/17	02/01/17	 99.903 			 0.97 
313589EH2	04/14/17	05/12/16	 99.532 			 4.68 
313589EL3	04/17/17	08/26/16	 99.717 			 2.83 
313589EM1	04/18/17	12/19/16	 99.830 			 1.70 
313589EN9	04/19/17	10/19/16	 99.762 			 2.38 
313589EP4	04/20/17	12/13/16	 99.822 			 1.78 
313589EQ2	04/21/17	04/28/16	 99.463 			 5.37 
313589ET6	04/24/17	09/20/16	 99.706 			 2.94 
313589EU3	04/25/17	02/09/17	 99.898 			 1.02 
313589EV1	04/26/17	06/10/16	 99.511 			 4.89 
313589EW9	04/27/17	12/28/16	 99.827 			 1.73 
313589EX7	04/28/17	05/05/16	 99.473 			 5.27 
313589FA6	05/01/17	05/17/16	 99.467 			 5.33 
313589FB4	05/02/17	06/09/16	 99.464 			 5.36 
313589FC2	05/03/17	06/10/16	 99.464 			 5.36 
313589FD0	05/04/17	08/19/16	 99.681 			 3.19 
313589FE8	05/05/17	05/18/16	 99.433 			 5.67 
313589FH1	05/08/17	08/01/16	 99.627 			 3.73 
313589FJ7	05/09/17	11/04/16	 99.752 			 2.48 
313589FK4	05/10/17	05/17/16	 99.453 			 5.47 
313589FL2	05/11/17	01/20/17	 99.843 			 1.57




                         Section III-C (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589FM0	05/12/17	05/25/16	 99.340 			 6.60 
313589FQ1	05/15/17	05/23/16	 99.355 			 6.45 
313589FR9	05/16/17	09/19/16	 99.661 			 3.39 
313589FS7	05/17/17	05/24/16	 99.334 			 6.66 
313589FT5	05/18/17	05/23/16	 99.350 			 6.50 
313589FU2	05/19/17	05/25/16	 99.327 			 6.73 
313589FX6	05/22/17	06/29/16	 99.591 			 4.09 
313589FY4	05/23/17	02/01/17	 99.843 			 1.57 
313589FZ1	05/24/17	11/21/16	 99.719 			 2.81 
313589GA5	05/25/17	06/02/16	 99.326 			 6.74 
313589GB3	05/26/17	06/02/16	 99.324 			 6.76 
313589GF4	05/30/17	01/12/17	 99.797 			 2.03 
313589GG2	05/31/17	06/08/16	 99.385 			 6.15 
313589GH0	06/01/17	06/09/16	 99.375 			 6.25 
313589GJ6	06/02/17	06/10/16	 99.375 			 6.25 
313589GM9	06/05/17	06/10/16	 99.370 			 6.30 
313589GN7	06/06/17	06/29/16	 99.563 			 4.37 
313589GP2	06/07/17	06/15/16	 99.375 			 6.25 
313589GQ0	06/08/17	01/27/17	 99.813 			 1.87 
313589GR8	06/09/17	06/16/16	 99.403 			 5.97 
313589GU1	06/12/17	02/06/17	 99.818 			 1.82 
313589GV9	06/13/17	02/17/17	 99.832 			 1.68 
313589GW7	06/14/17	06/29/16	 99.553 			 4.47 
313589GX5	06/15/17	06/20/16	 99.420 			 5.80 
313589GY3	06/16/17	06/28/16	 99.529 			 4.71 
313589HB2	06/19/17	12/30/16	 99.739 			 2.61 
313589HC0	06/20/17	04/07/17	 99.846 			 1.54 
313589HD8	06/21/17	03/22/17	 99.808 			 1.92 
313589HE6	06/22/17	07/08/16	 99.515 			 4.85 
313589HF3	06/23/17	06/30/16	 99.533 			 4.67 
313589HJ5	06/26/17	01/31/17	 99.781 			 2.19 
313589HK2	06/27/17	06/26/17	 99.997 			 0.03 
313589HL0	06/28/17	07/18/16	 99.483 			 5.17 
313589HM8	06/29/17	01/31/17	 99.777 			 2.24 
313589HN6	06/30/17	07/08/16	 99.504 			 4.96 
313589HR7	07/03/17	07/14/16	 99.459 			 5.41 
313589HT3	07/05/17	08/01/16	 99.484 			 5.16 
313589HU0	07/06/17	07/13/16	 99.453 			 5.47 
313589HV8	07/07/17	07/13/16	 99.452 			 5.48 
313589HY2	07/10/17	07/15/16	 99.450 			 5.50 
313589HZ9	07/11/17	07/19/16	 99.425 			 5.75 
313589JA2	07/12/17	07/18/16	 99.432 			 5.68 
313589JB0	07/13/17	07/18/16	 99.430 			 5.70 
313589JC8	07/14/17	07/20/16	 99.422 			 5.78 
313589JF1	07/17/17	07/26/16	 99.417 			 5.83 
313589JG9	07/18/17	03/27/17	 99.758 			 2.42 
313589JH7	07/19/17	07/29/16	 99.448 			 5.52 
313589JJ3	07/20/17	07/19/17	 99.997 			 0.03




                         Section III-C (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589JK0	07/21/17	05/12/17	 99.846 			 1.54 
313589JN4	07/24/17	03/28/17	 99.744 			 2.56 
313589JP9	07/25/17	04/07/17	 99.764 			 2.36 
313589JQ7	07/26/17	08/02/16	 99.453 			 5.47 
313589JR5	07/27/17	08/01/16	 99.440 			 5.60 
313589JS3	07/28/17	09/01/16	 99.496 			 5.04 
313589JV6	07/31/17	08/15/16	 99.446 			 5.54 
313589JW4	08/01/17	08/17/16	 99.447 			 5.53 
313589JX2	08/02/17	09/06/16	 99.487 			 5.13 
313589JY0	08/03/17	11/01/16	 99.568 			 4.32 
313589JZ7	08/04/17	03/30/17	 99.725 			 2.75 
313589KC6	08/07/17	08/15/16	 99.435 			 5.65 
313589KD4	08/08/17	05/26/17	 99.823 			 1.77 
313589KE2	08/09/17	04/07/17	 99.728 			 2.72 
313589KF9	08/10/17	04/20/17	 99.751 			 2.49 
313589KG7	08/11/17	08/18/16	 99.433 			 5.67 
313589KK8	08/14/17	04/12/17	 99.718 			 2.82 
313589KL6	08/15/17	05/01/17	 99.762 			 2.39 
313589KM4	08/16/17	04/11/17	 99.714 			 2.86 
313589KN2	08/17/17	11/01/16	 99.526 			 4.74 
313589KP7	08/18/17	09/23/16	 99.488 			 5.12 
313589KS1	08/21/17	06/05/17	 99.799 			 2.01 
313589KT9	08/22/17	04/17/17	 99.707 			 2.93 
313589KU6	08/23/17	10/31/16	 99.515 			 4.85 
313589KV4	08/24/17	08/23/17	 99.997 			 0.03 
313589KW2	08/25/17	08/30/16	 99.410 			 5.90 
313589KZ5	08/28/17	04/26/17	 99.718 			 2.82 
313589LA9	08/29/17	10/17/16	 99.465 			 5.35 
313589LB7	08/30/17	10/31/16	 99.495 			 5.05 
313589LC5	08/31/17	09/12/16	 99.451 			 5.49 
313589LD3	09/01/17	09/19/16	 99.431 			 5.69 
313589LH4	09/05/17	09/15/16	 99.408 			 5.92 
313589LJ0	09/06/17	05/03/17	 99.699 			 3.01 
313589LK7	09/07/17	05/04/17	 99.696 			 3.05 
313589LL5	09/08/17	05/11/17	 99.700 			 3.00 
313589LP6	09/11/17	09/20/16	 99.387 			 6.13 
313589LQ4	09/12/17	10/24/16	 99.444 			 5.56 
313589LR2	09/13/17	10/12/16	 99.393 			 6.07 
313589LS0	09/14/17	09/19/16	 99.380 			 6.20 
313589LT8	09/15/17	10/12/16	 99.390 			 6.10 
313589LW1	09/18/17	10/12/16	 99.384 			 6.16 
313589LX9	09/19/17	07/05/17	 99.789 			 2.11 
313589LY7	09/20/17	11/02/16	 99.445 			 5.55 
313589LZ4	09/21/17	09/20/17	 99.997 			 0.03 
313589MA8	09/22/17	11/01/16	 99.440 			 5.60 
313589MD2	09/25/17	07/12/17	 99.796 			 2.04 
313589ME0	09/26/17	10/20/16	 99.413 			 5.87 
313589MF7	09/27/17	05/30/17	 99.697 			 3.03




                         Section III-C (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589MG5	09/28/17	07/17/17	 99.803 			 1.97 
313589MH3	09/29/17	06/02/17	 99.693 			 3.07 
313589ML4	10/02/17	10/12/16	 99.325 			 6.75 
313589MM2	10/03/17	07/21/17	 99.788 			 2.12 
313589MN0	10/04/17	10/31/16	 99.399 			 6.01 
313589MP5	10/05/17	06/16/17	 99.689 			 3.11 
313589MQ3	10/06/17	10/17/16	 99.341 			 6.59 
313589MU4	10/10/17	11/08/16	 99.403 			 5.97 
313589MV2	10/11/17	06/13/17	 99.667 			 3.33 
313589MW0	10/12/17	10/19/16	 99.344 			 6.56 
313589MX8	10/13/17	10/20/16	 99.344 			 6.56 
313589NA7	10/16/17	10/24/16	 99.336 			 6.64 
313589NB5	10/17/17	10/16/17	 99.997 			 0.03 
313589NC3	10/18/17	06/19/17	 99.654 			 3.46 
313589ND1	10/19/17	10/24/16	 99.330 			 6.70 
313589NE9	10/20/17	10/27/16	 99.334 			 6.66 
313589NH2	10/23/17	06/27/17	 99.669 			 3.31 
313589NJ8	10/24/17	06/28/17	 99.666 			 3.34 
313589NK5	10/25/17	11/01/16	 99.334 			 6.66 
313589NL3	10/26/17	06/26/17	 99.658 			 3.42 
313589NM1	10/27/17	06/26/17	 99.655 			 3.45 
313589NQ2	10/30/17	07/05/17	 99.656 			 3.44 
313589NR0	10/31/17	07/06/17	 99.656 			 3.44 
313589NS8	11/01/17	05/01/17	 99.368 			 6.32 
313589NT6	11/02/17	09/29/17	 99.910 			 0.90 
313589NU3	11/03/17	07/17/17	 99.685 			 3.15 
313589NX7	11/06/17	07/17/17	 99.673 			 3.27 
313589NY5	11/07/17	09/25/17	 99.883 			 1.17 
313589NZ2	11/08/17	07/19/17	 99.680 			 3.20 
313589PA5	11/09/17	07/18/17	 99.674 			 3.26 
313589PB3	11/10/17	07/18/17	 99.671 			 3.29 
313589PE7	11/13/17	07/26/17	 99.679 			 3.21 
313589PF4	11/14/17	11/13/17	 99.997 			 0.03 
313589PG2	11/15/17	05/15/17	 99.365 			 6.35 
313589PH0	11/16/17	09/08/17	 99.812 			 1.88 
313589PJ6	11/17/17	08/28/17	 99.785 			 2.15 
313589PM9	11/20/17	07/31/17	 99.676 			 3.24 
313589PN7	11/21/17	07/31/17	 99.674 			 3.26 
313589PP2	11/22/17	07/31/17	 99.671 			 3.29 
313589PR8	11/24/17	08/02/17	 99.687 			 3.14 
313589PU1	11/27/17	09/11/17	 99.786 			 2.14 
313589PV9	11/28/17	08/08/17	 99.695 			 3.05 
313589PW7	11/29/17	08/16/17	 99.708 			 2.92 
313589PX5	11/30/17	08/17/17	 99.711 			 2.89 
313589PY3	12/01/17	12/29/16	 99.260 			 7.40 
313589QB2	12/04/17	08/15/17	 99.692 			 3.08 
313589QC0	12/05/17	10/03/17	 99.825 			 1.75




                         Section III-C (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313589QD8	12/06/17	09/06/17	 99.744 			 2.56 
313589QE6	12/07/17	12/06/17	 99.997 			 0.03 
313589QF3	12/08/17	09/25/17	 99.797 			 2.04 
313589QJ5	12/11/17	08/29/17	 99.720 			 2.80 
313589QK2	12/12/17	08/23/17	 99.695 			 3.05 
313589QL0	12/13/17	08/23/17	 99.692 			 3.08 
313589QM8	12/14/17	10/05/17	 99.806 			 1.94 
313589QN6	12/15/17	10/03/17	 99.797 			 2.03 
313589QR7	12/18/17	10/02/17	 99.784 			 2.16 
313589QS5	12/19/17	10/10/17	 99.806 			 1.94 
313589QT3	12/20/17	08/29/17	 99.692 			 3.08 
313589QU0	12/21/17	10/16/17	 99.815 			 1.85 
313589QV8	12/22/17	11/01/17	 99.857 			 1.43 
313589QZ9	12/26/17	09/05/17	 99.689 			 3.11 
313589RA3	12/27/17	06/28/17	 99.439 			 5.61 
313589RB1	12/28/17	10/19/17	 99.800 			 2.00 
313589RC9	12/29/17	09/14/17	 99.700 			 3.00




                                 Section III-D



                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2017

                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313AC2	01/03/17	06/01/16	99.622			3.78
313313AD0	01/04/17	04/18/16	99.594			4.06
313313AE8	01/05/17	05/09/16	99.639			3.62
313313AF5	01/06/17	04/25/16	99.602			3.98
313313AJ7	01/09/17	05/26/16	99.588			4.12
313313AK4	01/10/17	07/19/16	99.772			2.29
313313AL2	01/11/17	07/19/16	99.770			2.30
313313AM0	01/12/17	04/20/16	99.585			4.15
313313AN8	01/13/17	01/14/16	99.229			7.71
313313AS7	01/17/17	01/20/16	99.264			7.36
313313AT5	01/18/17	04/06/16	99.530			4.70
313313AU2	01/19/17	05/24/16	99.567			4.33
313313AV0	01/20/17	01/22/16	99.282			7.18
313313AY4	01/23/17	03/23/16	99.413			5.87
313313AZ1	01/24/17	06/07/16	99.634			3.66
313313BA5	01/25/17	03/31/16	99.467			5.33
313313BB3	01/26/17	03/30/16	99.455			5.45
313313BC1	01/27/17	01/29/16	99.333			6.67
313313BF4	01/30/17	09/07/16	99.815			1.85
313313BG2	01/31/17	06/27/16	99.709			2.91
313313BH0	02/01/17	02/12/16	99.428			5.72
313313BJ6	02/02/17	02/03/16	99.331			6.69
313313BK3	02/03/17	03/30/16	99.423			5.77
313313BN7	02/06/17	11/28/16	99.901			0.99
313313BP2	02/07/17	03/07/16	99.345			6.55
313313BQ0	02/08/17	05/31/16	99.536			4.64
313313BR8	02/09/17	04/12/16	99.503			4.97
313313BS6	02/10/17	02/11/16	99.412			5.88
313313BV9	02/13/17	02/17/16	99.366			6.34
313313BW7	02/14/17	02/16/16	99.363			6.37
313313BX5	02/15/17	08/17/16	99.752			2.48
313313BY3	02/16/17	04/14/16	99.495			5.05
313313BZ0	02/17/17	02/19/16	99.373			6.27
313313CD8	02/21/17	05/06/16	99.539			4.61
313313CE6	02/22/17	03/22/16	99.335			6.65
313313CF3	02/23/17	06/30/16	99.676			3.24
313313CG1	02/24/17	05/13/16	99.546			4.54
313313CK2	02/27/17	02/29/16	99.343			6.57
313313CL0	02/28/17	05/04/16	99.508			4.92
313313CM8	03/01/17	03/10/16	99.258			7.42
313313CN6	03/02/17	05/09/16	99.513			4.87
313313CP1	03/03/17	05/02/16	99.475			5.25
313313CS5	03/06/17	05/09/16	99.507			4.93




                         Section III-D (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313CT3	03/07/17	05/09/16	99.505			4.95
313313CU0	03/08/17	03/08/16	99.250			7.50
313313CV8	03/09/17	02/28/17	99.987			0.13
313313CW6	03/10/17	04/18/16	99.429			5.71
313313CZ9	03/13/17	05/03/16	99.468			5.32
313313DA3	03/14/17	04/29/16	99.442			5.58
313313DB1	03/15/17	04/12/16	99.401			5.99
313313DC9	03/16/17	04/15/16	99.414			5.86
313313DD7	03/17/17	04/18/16	99.408			5.92
313313DG0	03/20/17	06/20/16	99.560			4.40
313313DH8	03/21/17	02/14/17	99.950			0.50
313313DJ4	03/22/17	05/12/16	99.485			5.15
313313DK1	03/23/17	03/23/16	99.290			7.10
313313DL9	03/24/17	05/23/16	99.407			5.93
313313DP0	03/27/17	05/06/16	99.458			5.42
313313DQ8	03/28/17	06/28/16	99.606			3.94
313313DR6	03/29/17	02/22/17	99.950			0.50
313313DS4	03/30/17	06/10/16	99.495			5.05
313313DT2	03/31/17	06/28/16	99.601			3.99
313313DW5	04/03/17	05/12/16	99.439			5.61
313313DX3	04/04/17	05/12/16	99.437			5.63
313313DY1	04/05/17	11/14/16	99.767			2.33
313313DZ8	04/06/17	05/26/16	99.370			6.30
313313EA2	04/07/17	04/07/16	99.331			6.69
313313ED6	04/10/17	04/29/16	99.375			6.25
313313EE4	04/11/17	05/09/16	99.410			5.90
313313EF1	04/12/17	06/15/16	99.473			5.27
313313EG9	04/13/17	07/01/16	99.571			4.29
313313EL8	04/17/17	08/17/16	99.629			3.71
313313EM6	04/18/17	09/23/16	99.707			2.93
313313EN4	04/19/17	04/19/16	99.341			6.59
313313EP9	04/20/17	11/21/16	99.742			2.58
313313EQ7	04/21/17	06/17/16	99.487			5.13
313313ET1	04/24/17	05/24/16	99.311			6.89
313313EU8	04/25/17	06/21/16	99.470			5.30
313313EV6	04/26/17	06/29/16	99.540			4.60
313313EW4	04/27/17	04/28/16	99.333			6.67
313313EX2	04/28/17	07/05/16	99.546			4.54
313313FA1	05/01/17	07/12/16	99.536			4.64
313313FB9	05/02/17	06/14/16	99.419			5.81
313313FC7	05/03/17	07/08/16	99.543			4.57
313313FD5	05/04/17	05/23/16	99.279			7.21
313313FE3	05/05/17	05/06/16	99.363			6.37
313313FH6	05/08/17	08/11/16	99.550			4.50
313313FJ2	05/09/17	05/09/16	99.331			6.69
313313FK9	05/10/17	06/22/16	99.428			5.72
313313FL7	05/11/17	05/13/16	99.345			6.55
313313FM5	05/12/17	05/13/16	99.343			6.57




                         Section III-D (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313FQ6	05/15/17	06/13/16	99.384			6.16
313313FR4	05/16/17	10/06/16	99.636			3.64
313313FS2	05/17/17	08/16/16	99.559			4.41
313313FT0	05/18/17	06/16/16	99.412			5.88
313313FU7	05/19/17	11/21/16	99.672			3.28
313313FX1	05/22/17	04/17/17	99.925			0.75
313313FY9	05/23/17	06/28/16	99.479			5.21
313313FZ6	05/24/17	07/27/16	99.498			5.02
313313GA0	05/25/17	05/26/16	99.232			7.68
313313GB8	05/26/17	07/01/16	99.497			5.03
313313GF9	05/30/17	06/27/16	99.476			5.24
313313GG7	05/31/17	11/10/16	99.652			3.48
313313GH5	06/01/17	06/28/16	99.437			5.63
313313GJ1	06/02/17	08/08/16	99.478			5.22
313313GM4	06/05/17	08/18/16	99.499			5.01
313313GN2	06/06/17	09/16/16	99.540			4.60
313313GP7	06/07/17	06/22/16	99.358			6.42
313313GQ5	06/08/17	06/09/16	99.302			6.98
313313GR3	06/09/17	06/10/16	99.312			6.88
313313GU6	06/12/17	07/19/16	99.426			5.74
313313GV4	06/13/17	08/18/16	99.477			5.23
313313GW2	06/14/17	06/14/16	99.331			6.69
313313GX0	06/15/17	07/15/16	99.423			5.77
313313GY8	06/16/17	06/17/16	99.353			6.47
313313HB7	06/19/17	08/17/16	99.464			5.36
313313HC5	06/20/17	09/20/16	99.507			4.93
313313HD3	06/21/17	06/22/16	99.312			6.88
313313HE1	06/22/17	05/18/17	99.925			0.75
313313HF8	06/23/17	06/24/16	99.383			6.17
313313HJ0	06/26/17	05/22/17	99.925			0.75
313313HK7	06/27/17	06/28/16	99.383			6.17
313313HL5	06/28/17	08/08/16	99.415			5.85
313313HM3	06/29/17	06/30/16	99.393			6.07
313313HN1	06/30/17	05/25/17	99.917			0.83
313313HR2	07/03/17	08/15/16	99.410			5.90
313313HT8	07/05/17	07/06/16	99.434			5.66
313313HU5	07/06/17	07/07/16	99.424			5.76
313313HV3	07/07/17	07/11/16	99.418			5.82
313313HY7	07/10/17	08/30/16	99.424			5.76
313313HZ4	07/11/17	08/03/16	99.401			5.99
313313JA7	07/12/17	07/14/16	99.355			6.45
313313JB5	07/13/17	08/16/16	99.393			6.07
313313JC3	07/14/17	07/15/16	99.343			6.57
313313JF6	07/17/17	06/12/17	99.904			0.96
313313JG4	07/18/17	08/24/16	99.426			5.74
313313JH2	07/19/17	09/02/16	99.413			5.87
313313JJ8	07/20/17	09/22/16	99.448			5.52




                         Section III-D (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313JK5	07/21/17	09/19/16	99.415			5.85
313313JN9	07/24/17	03/16/17	99.693			3.07
313313JP4	07/25/17	07/26/16	99.333			6.67
313313JQ2	07/26/17	06/21/17	99.901			0.99
313313JR0	07/27/17	08/29/16	99.391			6.09
313313JS8	07/28/17	07/29/16	99.323			6.77
313313JV1	07/31/17	08/17/16	99.362			6.38
313313JW9	08/01/17	06/27/17	99.901			0.99
313313JX7	08/02/17	10/06/16	99.417			5.83
313313JY5	08/03/17	08/03/16	99.331			6.69
313313JZ2	08/04/17	08/05/16	99.323			6.77
313313KC1	08/07/17	08/30/16	99.344			6.56
313313KD9	08/08/17	09/06/16	99.347			6.53
313313KE7	08/09/17	09/29/16	99.416			5.84
313313KF4	08/10/17	08/12/16	99.335			6.66
313313KG2	08/11/17	08/31/16	99.329			6.71
313313KK3	08/14/17	07/10/17	99.901			0.99
313313KL1	08/15/17	08/16/16	99.312			6.88
313313KM9	08/16/17	09/08/16	99.344			6.56
313313KN7	08/17/17	08/24/16	99.354			6.46
313313KP2	08/18/17	08/22/16	99.308			6.92
313313KS6	08/21/17	02/15/17	99.642			3.58
313313KT4	08/22/17	10/17/16	99.408			5.92
313313KU1	08/23/17	10/05/16	99.365			6.35
313313KV9	08/24/17	08/23/17	99.997			0.03
313313KW7	08/25/17	09/23/16	99.356			6.44
313313KZ0	08/28/17	04/04/17	99.643			3.57
313313LA4	08/29/17	07/25/17	99.901			0.99
313313LB2	08/30/17	08/29/17	99.997			0.03
313313LC0	08/31/17	12/30/16	99.431			5.69
313313LD8	09/01/17	05/10/17	99.690			3.10
313313LH9	09/05/17	01/03/17	99.428			5.72
313313LJ5	09/06/17	09/07/16	99.282			7.18
313313LK2	09/07/17	09/08/16	99.292			7.08
313313LL0	09/08/17	09/08/16	99.290			7.10
313313LP1	09/11/17	09/21/16	99.290			7.10
313313LQ9	09/12/17	10/18/16	99.351			6.49
313313LR7	09/13/17	10/24/16	99.370			6.30
313313LS5	09/14/17	09/16/16	99.274			7.26
313313LT3	09/15/17	09/14/17	99.997			0.03
313313LW6	09/18/17	05/25/17	99.681			3.19
313313LX4	09/19/17	01/11/17	99.470			5.30
313313LY2	09/20/17	11/16/16	99.324			6.76
313313LZ9	09/21/17	12/22/16	99.378			6.22
313313MA3	09/22/17	09/21/17	99.997			0.03
313313MD7	09/25/17	09/22/17	99.991			0.09
313313ME5	09/26/17	06/14/17	99.694			3.06
313313MF2	09/27/17	09/28/16	99.292			7.08




                         Section III-D (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313MG0	09/28/17	10/21/16	99.335			6.65
313313MH8	09/29/17	10/05/16	99.282			7.18
313313ML9	10/02/17	10/11/16	99.268			7.32
313313MM7	10/03/17	10/14/16	99.272			7.28
313313MN5	10/04/17	10/24/16	99.310			6.90
313313MP0	10/05/17	11/04/16	99.339			6.61
313313MQ8	10/06/17	10/07/16	99.262			7.38
313313MU9	10/10/17	11/10/16	99.295			7.05
313313MV7	10/11/17	10/19/16	99.276			7.24
313313MW5	10/12/17	10/21/16	99.278			7.22
313313MX3	10/13/17	08/24/17	99.857			1.43
313313NA2	10/16/17	10/25/16	99.288			7.12
313313NB0	10/17/17	11/23/16	99.244			7.56
313313NC8	10/18/17	10/31/16	99.296			7.04
313313ND6	10/19/17	01/20/17	99.403			5.97
313313NE4	10/20/17	07/24/17	99.734			2.66
313313NH7	10/23/17	12/21/16	99.244			7.57
313313NJ3	10/24/17	09/19/17	99.900			1.00
313313NK0	10/25/17	09/20/17	99.901			0.99
313313NL8	10/26/17	09/21/17	99.901			0.99
313313NM6	10/27/17	01/17/17	99.371			6.29
313313NQ7	10/30/17	11/28/16	99.179			8.21
313313NR5	10/31/17	11/04/16	99.278			7.22
313313NS3	11/01/17	12/02/16	99.193			8.07
313313NT1	11/02/17	11/10/16	99.236			7.64
313313NU8	11/03/17	11/04/16	99.262			7.38
313313NX2	11/06/17	11/14/16	99.197			8.03
313313NY0	11/07/17	11/16/16	99.179			8.21
313313NZ7	11/08/17	02/13/17	99.419			5.81
313313PA0	11/09/17	11/17/16	99.177			8.23
313313PB8	11/10/17	11/09/17	99.997			0.03
313313PE2	11/13/17	11/09/17	99.988			0.12
313313PF9	11/14/17	12/08/16	99.148			8.53
313313PG7	11/15/17	07/31/17	99.682			3.18
313313PH5	11/16/17	11/28/16	99.137			8.63
313313PJ1	11/17/17	11/18/16	99.171			8.29
313313PM4	11/20/17	10/16/17	99.900			1.00
313313PN2	11/21/17	12/19/16	99.129			8.71
313313PP7	11/22/17	10/19/17	99.903			0.97
313313PR3	11/24/17	11/17/17	99.979			0.21
313313PU6	11/27/17	02/08/17	99.351			6.49
313313PV4	11/28/17	12/27/16	99.132			8.68
313313PW2	11/29/17	03/06/17	99.278			7.22
313313PX0	11/30/17	10/24/17	99.894			1.06
313313PY8	12/01/17	12/02/16	99.120			8.80
313313QB7	12/04/17	10/30/17	99.900			1.00
313313QC5	12/05/17	12/12/16	99.075			9.25


                         Section III-D (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313313QD3	12/06/17	12/06/16	99.108			8.92
313313QE1	12/07/17	12/08/16	99.080			9.20
313313QF8	12/08/17	10/06/17	99.816			1.84
313313QJ0	12/11/17	12/14/16	99.045			9.55
313313QK7	12/12/17	12/20/16	99.058			9.42
313313QL5	12/13/17	01/05/17	99.117			8.84
313313QM3	12/14/17	08/24/17	99.673			3.27
313313QN1	12/15/17	12/15/16	98.996		     10.04
313313QR2	12/18/17	12/29/16	99.066			9.34
313313QS0	12/19/17	07/24/17	99.535			4.65
313313QT8	12/20/17	12/29/16	99.051			9.49
313313QU5	12/21/17	12/30/16	99.041			9.59
313313QV3	12/22/17	12/21/17	99.996			0.04
313313QZ4	12/26/17	12/28/16	99.032			9.68
313313RA8	12/27/17	12/28/16	99.029			9.71
313313RB6	12/28/17	12/30/16	99.022			9.78
313313RC4	12/29/17	01/12/17	99.123			8.78




                                Section III-E



                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2017

                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397AC5	01/03/17	01/06/16	 99.355 			 6.45 
313397AD3	01/04/17	01/20/16	 99.417 			 5.83 
313397AE1	01/05/17	01/22/16	 99.418 			 5.82 
313397AF8	01/06/17	01/22/16	 99.417 			 5.83 
313397AJ0	01/09/17	01/22/16	 99.412 			 5.88 
313397AK7	01/10/17	01/21/16	 99.408 			 5.92 
313397AL5	01/11/17	01/15/16	 99.402 			 5.98 
313397AM3	01/12/17	01/11/17	 99.999 			 0.01 
313397AN1	01/13/17	01/12/17	 99.999 			 0.01 
313397AS0	01/17/17	02/09/16	 99.490 			 5.10 
313397AT8	01/18/17	03/24/16	 99.583 			 4.17 
313397AU5	01/19/17	03/18/16	 99.574 			 4.26 
313397AV3	01/20/17	07/07/16	 99.792 			 2.08 
313397AY7	01/23/17	05/16/16	 99.692 			 3.08 
313397AZ4	01/24/17	05/27/16	 99.684 			 3.16 
313397BA8	01/25/17	05/31/16	 99.688 			 3.12 
313397BB6	01/26/17	02/01/16	 99.450 			 5.50 
313397BC4	01/27/17	01/26/17	 99.999 			 0.01 
313397BF7	01/30/17	07/07/16	 99.787 			 2.13 
313397BG5	01/31/17	07/07/16	 99.786 			 2.14 
313397BH3	02/01/17	02/19/16	 99.493 			 5.07 
313397BJ9	02/02/17	07/12/16	 99.755 			 2.45 
313397BK6	02/03/17	02/17/16	 99.487 			 5.13 
313397BN0	02/06/17	03/09/16	 99.443 			 5.57 
313397BP5	02/07/17	08/08/16	 99.767 			 2.33 
313397BQ3	02/08/17	07/15/16	 99.752 			 2.48 
313397BR1	02/09/17	08/18/16	 99.801 			 1.99 
313397BS9	02/10/17	02/22/16	 99.484 			 5.16 
313397BV2	02/13/17	05/06/16	 99.662 			 3.38 
313397BW0	02/14/17	06/23/16	 99.692 			 3.08 
313397BX8	02/15/17	04/13/16	 99.589 			 4.11 
313397BY6	02/16/17	02/15/17	 99.999 			 0.01 
313397BZ3	02/17/17	02/29/16	 99.430 			 5.70 
313397CD1	02/21/17	02/25/16	 99.457 			 5.43 
313397CE9	02/22/17	02/06/17	 99.980 			 0.20 
313397CF6	02/23/17	10/28/16	 99.875 			 1.25 
313397CG4	02/24/17	08/23/16	 99.779 			 2.21 
313397CK5	02/27/17	10/28/16	 99.871 			 1.29 
313397CL3	02/28/17	08/29/16	 99.757 			 2.43 
313397CM1	03/01/17	03/08/16	 99.364 			 6.36 
313397CN9	03/02/17	03/11/16	 99.357 			 6.43 
313397CP4	03/03/17	06/22/16	 99.651 			 3.49 
313397CS8	03/06/17	09/15/16	 99.780 			 2.20




                         Section III-E (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397CT6	03/07/17	03/14/16	 99.354 			 6.46 
313397CU3	03/08/17	03/07/17	 99.999 			 0.01 
313397CV1	03/09/17	04/20/16	 99.524 			 4.76 
313397CW9	03/10/17	03/30/16	 99.473 			 5.27 
313397CZ2	03/13/17	04/21/16	 99.511 			 4.89 
313397DA6	03/14/17	07/22/16	 99.693 			 3.07 
313397DB4	03/15/17	06/21/16	 99.625 			 3.75 
313397DC2	03/16/17	07/12/16	 99.698 			 3.02 
313397DD0	03/17/17	07/07/16	 99.705 			 2.95 
313397DG3	03/20/17	08/03/16	 99.726 			 2.74 
313397DH1	03/21/17	06/30/16	 99.692 			 3.08 
313397DJ7	03/22/17	07/20/16	 99.673 			 3.27 
313397DK4	03/23/17	09/01/16	 99.735 			 2.65 
313397DL2	03/24/17	03/28/16	 99.428 			 5.72 
313397DP3	03/27/17	05/31/16	 99.542 			 4.58 
313397DQ1	03/28/17	09/09/16	 99.742 			 2.58 
313397DR9	03/29/17	07/25/16	 99.671 			 3.29 
313397DS7	03/30/17	04/27/16	 99.523 			 4.77 
313397DT5	03/31/17	04/05/16	 99.450 			 5.50 
313397DW8	04/03/17	04/07/16	 99.438 			 5.62 
313397DX6	04/04/17	06/13/16	 99.566 			 4.34 
313397DY4	04/05/17	06/22/16	 99.589 			 4.11 
313397DZ1	04/06/17	04/20/16	 99.464 			 5.36 
313397EA5	04/07/17	04/13/16	 99.452 			 5.48 
313397ED9	04/10/17	04/18/16	 99.455 			 5.45 
313397EE7	04/11/17	06/30/16	 99.660 			 3.40 
313397EF4	04/12/17	06/09/16	 99.540 			 4.60 
313397EG2	04/13/17	07/22/16	 99.639 			 3.61 
313397EH0	04/14/17	06/23/16	 99.578 			 4.22 
313397EL1	04/17/17	06/23/16	 99.574 			 4.26 
313397EM9	04/18/17	10/06/16	 99.758 			 2.42 
313397EN7	04/19/17	04/18/17	 99.998 			 0.02 
313397EP2	04/20/17	10/06/16	 99.755 			 2.45 
313397EQ0	04/21/17	05/16/16	 99.499 			 5.01 
313397ET4	04/24/17	05/26/16	 99.417 			 5.83 
313397EU1	04/25/17	05/02/16	 99.473 			 5.27 
313397EV9	04/26/17	10/28/16	 99.765 			 2.35 
313397EW7	04/27/17	10/06/16	 99.746 			 2.54 
313397EX5	04/28/17	10/06/16	 99.745 			 2.55 
313397FA4	05/01/17	06/30/16	 99.627 			 3.73 
313397FB2	05/02/17	09/20/16	 99.676 			 3.24 
313397FC0	05/03/17	07/13/16	 99.592 			 4.08 
313397FD8	05/04/17	10/19/16	 99.740 			 2.60 
313397FE6	05/05/17	07/28/16	 99.610 			 3.90 
313397FH9	05/08/17	07/28/16	 99.606 			 3.94 
313397FJ5	05/09/17	09/30/16	 99.721 			 2.79 
313397FK2	05/10/17	09/06/16	 99.672 			 3.28 
313397FL0	05/11/17	05/25/16	 99.366 			 6.34



                         Section III-E (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397FM8	05/12/17	05/11/17	 99.998 			 0.02 
313397FQ9	05/15/17	05/31/16	 99.375 			 6.25 
313397FR7	05/16/17	09/22/16	 99.682 			 3.18 
313397FS5	05/17/17	10/21/16	 99.711 			 2.89 
313397FT3	05/18/17	06/23/16	 99.507 			 4.93 
313397FU0	05/19/17	10/03/16	 99.696 			 3.04 
313397FX4	05/22/17	10/21/16	 99.704 			 2.96 
313397FY2	05/23/17	10/06/16	 99.682 			 3.18 
313397FZ9	05/24/17	10/11/16	 99.688 			 3.12 
313397GA3	05/25/17	05/31/16	 99.357 			 6.43 
313397GB1	05/26/17	08/29/16	 99.644 			 3.56 
313397GF2	05/30/17	07/15/16	 99.539 			 4.61 
313397GG0	05/31/17	05/31/16	 99.346 			 6.54 
313397GH8	06/01/17	06/29/16	 99.579 			 4.21 
313397GJ4	06/02/17	10/18/16	 99.691 			 3.09 
313397GM7	06/05/17	12/12/16	 99.742 			 2.58 
313397GN5	06/06/17	12/12/16	 99.741 			 2.59 
313397GP0	06/07/17	07/06/16	 99.580 			 4.20 
313397GQ8	06/08/17	09/30/16	 99.672 			 3.28 
313397GR6	06/09/17	06/29/16	 99.569 			 4.31 
313397GU9	06/12/17	01/06/17	 99.795 			 2.05 
313397GV7	06/13/17	08/31/16	 99.603 			 3.97 
313397GW5	06/14/17	09/23/16	 99.637 			 3.63 
313397GX3	06/15/17	06/20/16	 99.460 			 5.40 
313397GY1	06/16/17	06/30/16	 99.552 			 4.48 
313397HB0	06/19/17	10/17/16	 99.667 			 3.33 
313397HC8	06/20/17	10/17/16	 99.665 			 3.35 
313397HD6	06/21/17	07/27/16	 99.497 			 5.03 
313397HE4	06/22/17	10/11/16	 99.633 			 3.67 
313397HF1	06/23/17	07/12/16	 99.491 			 5.09 
313397HJ3	06/26/17	12/23/16	 99.723 			 2.77 
313397HK0	06/27/17	07/14/16	 99.488 			 5.12 
313397HL8	06/28/17	12/29/16	 99.749 			 2.51 
313397HM6	06/29/17	06/28/17	 99.997 			 0.03 
313397HN4	06/30/17	03/03/17	 99.775 			 2.25 
313397HR5	07/03/17	07/15/16	 99.461 			 5.39 
313397HT1	07/05/17	07/28/16	 99.459 			 5.41 
313397HU8	07/06/17	09/27/16	 99.601 			 3.99 
313397HV6	07/07/17	08/18/16	 99.538 			 4.62 
313397HY0	07/10/17	01/12/17	 99.736 			 2.64 
313397HZ7	07/11/17	07/15/16	 99.448 			 5.52 
313397JA0	07/12/17	08/18/16	 99.531 			 4.69 
313397JB8	07/13/17	08/04/16	 99.514 			 4.86 
313397JC6	07/14/17	07/13/17	 99.997 			 0.03 
313397JF9	07/17/17	08/16/16	 99.507 			 4.93 
313397JG7	07/18/17	11/16/16	 99.600 			 4.00 
313397JH5	07/19/17	11/23/16	 99.610 			 3.90 
313397JJ1	07/20/17	08/04/16	 99.494 			 5.06



                         Section III-E (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397JK8	07/21/17	07/20/17	 99.997 			 0.03 
313397JN2	07/24/17	01/05/17	 99.711 			 2.89 
313397JP7	07/25/17	01/12/17	 99.704 			 2.96 
313397JQ5	07/26/17	01/27/17	 99.705 			 2.95 
313397JR3	07/27/17	01/11/17	 99.710 			 2.90 
313397JS1	07/28/17	07/27/17	 99.997 			 0.03 
313397JV4	07/31/17	07/28/17	 99.992 			 0.08 
313397JW2	08/01/17	09/14/16	 99.483 			 5.17 
313397JX0	08/02/17	02/02/17	 99.688 			 3.12 
313397JY8	08/03/17	01/23/17	 99.680 			 3.20 
313397JZ5	08/04/17	09/08/16	 99.482 			 5.18 
313397KC4	08/07/17	11/10/16	 99.569 			 4.31 
313397KD2	08/08/17	08/09/16	 99.444 			 5.56 
313397KE0	08/09/17	09/07/16	 99.473 			 5.27 
313397KF7	08/10/17	01/25/17	 99.674 			 3.26 
313397KG5	08/11/17	01/27/17	 99.673 			 3.27 
313397KK6	08/14/17	08/22/16	 99.445 			 5.55 
313397KL4	08/15/17	08/26/16	 99.430 			 5.70 
313397KM2	08/16/17	08/31/16	 99.407 			 5.93 
313397KN0	08/17/17	09/02/16	 99.438 			 5.62 
313397KP5	08/18/17	08/31/16	 99.404 			 5.96 
313397KS9	08/21/17	09/01/16	 99.400 			 6.00 
313397KT7	08/22/17	08/25/16	 99.417 			 5.83 
313397KU4	08/23/17	02/09/17	 99.680 			 3.20 
313397KV2	08/24/17	09/29/16	 99.479 			 5.21 
313397KW0	08/25/17	09/20/16	 99.454 			 5.46 
313397KZ3	08/28/17	12/20/16	 99.561 			 4.39 
313397LA7	08/29/17	03/07/17	 99.606 			 3.94 
313397LB5	08/30/17	09/21/16	 99.447 			 5.53 
313397LC3	08/31/17	09/09/16	 99.417 			 5.83 
313397LD1	09/01/17	09/12/16	 99.400 			 6.00 
313397LH2	09/05/17	10/04/16	 99.440 			 5.60 
313397LJ8	09/06/17	09/08/16	 99.395 			 6.05 
313397LK5	09/07/17	09/09/16	 99.385 			 6.15 
313397LL3	09/08/17	01/27/17	 99.614 			 3.86 
313397LP4	09/11/17	03/03/17	 99.573 			 4.27 
313397LQ2	09/12/17	09/14/16	 99.380 			 6.20 
313397LR0	09/13/17	11/14/16	 99.478 			 5.22 
313397LS8	09/14/17	02/16/17	 99.627 			 3.73 
313397LT6	09/15/17	11/16/16	 99.466 			 5.34 
313397LW9	09/18/17	09/22/16	 99.368 			 6.32 
313397LX7	09/19/17	03/03/17	 99.539 			 4.61 
313397LY5	09/20/17	09/30/16	 99.408 			 5.92 
313397LZ2	09/21/17	10/14/16	 99.411 			 5.89 
313397MA6	09/22/17	09/23/16	 99.403 			 5.97 
313397MD0	09/25/17	09/30/16	 99.400 			 6.00 
313397ME8	09/26/17	03/22/17	 99.540 			 4.60 
313397MF5	09/27/17	09/30/16	 99.397 			 6.03 
313397MG3	09/28/17	12/19/16	 99.481 			 5.19




                         Section III-E (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397MH1	09/29/17	09/28/17	 99.997 			 0.03 
313397ML2	10/02/17	10/06/16	 99.358 			 6.42 
313397MM0	10/03/17	10/21/16	 99.393 			 6.07 
313397MN8	10/04/17	03/02/17	 99.508 			 4.92 
313397MP3	10/05/17	10/13/16	 99.375 			 6.25 
313397MQ1	10/06/17	02/03/17	 99.558 			 4.42 
313397MU2	10/10/17	10/13/16	 99.339 			 6.61 
313397MV0	10/11/17	03/06/17	 99.489 			 5.11 
313397MW8	10/12/17	03/17/17	 99.483 			 5.17 
313397MX6	10/13/17	01/12/17	 99.475 			 5.25 
313397NA5	10/16/17	11/15/16	 99.377 			 6.23 
313397NB3	10/17/17	03/03/17	 99.462 			 5.38 
313397NC1	10/18/17	01/12/17	 99.458 			 5.42 
313397ND9	10/19/17	03/22/17	 99.473 			 5.27 
313397NE7	10/20/17	01/26/17	 99.488 			 5.12 
313397NH0	10/23/17	04/21/17	 99.538 			 4.62 
313397NJ6	10/24/17	01/25/17	 99.479 			 5.21 
313397NK3	10/25/17	02/21/17	 99.535 			 4.65 
313397NL1	10/26/17	03/17/17	 99.443 			 5.57 
313397NM9	10/27/17	01/24/17	 99.471 			 5.29 
313397NQ0	10/30/17	04/18/17	 99.518 			 4.82 
313397NR8	10/31/17	02/10/17	 99.496 			 5.04 
313397NS6	11/01/17	11/07/16	 99.352 			 6.48 
313397NT4	11/02/17	02/01/17	 99.452 			 5.48 
313397NU1	11/03/17	11/08/16	 99.350 			 6.50 
313397NX5	11/06/17	02/28/17	 99.491 			 5.09 
313397NY3	11/07/17	02/08/17	 99.456 			 5.44 
313397NZ0	11/08/17	05/02/17	 99.514 			 4.86 
313397PA3	11/09/17	02/08/17	 99.452 			 5.48 
313397PB1	11/10/17	11/15/16	 99.310 			 6.90 
313397PE5	11/13/17	11/10/17	 99.992 			 0.08 
313397PF2	11/14/17	11/22/16	 99.306 			 6.94 
313397PG0	11/15/17	03/23/17	 99.388 			 6.12 
313397PH8	11/16/17	11/23/16	 99.304 			 6.96 
313397PJ4	11/17/17	11/16/17	 99.997 			 0.03 
313397PM7	11/20/17	01/05/17	 99.389 			 6.11 
313397PN5	11/21/17	03/16/17	 99.340 			 6.60 
313397PP0	11/22/17	02/02/17	 99.390 			 6.10 
313397PR6	11/24/17	01/25/17	 99.360 			 6.40 
313397PU9	11/27/17	04/21/17	 99.432 			 5.68 
313397PV7	11/28/17	11/30/16	 99.284 			 7.16 
313397PW5	11/29/17	03/16/17	 99.334 			 6.66 
313397PX3	11/30/17	02/01/17	 99.371 			 6.29 
313397PY1	12/01/17	12/19/16	 99.267 			 7.33 
313397QB0	12/04/17	04/10/17	 99.379 			 6.21 
313397QC8	12/05/17	03/22/17	 99.319 			 6.81 
313397QD6	12/06/17	03/16/17	 99.308 			 6.92 
313397QE4	12/07/17	01/06/17	 99.339 			 6.61



                         Section III-E (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
313397QF1	12/08/17	04/04/17	 99.352 			 6.48 
313397QJ3	12/11/17	03/08/17	 99.305 			 6.95 
313397QK0	12/12/17	03/31/17	 99.339 			 6.61 
313397QL8	12/13/17	03/03/17	 99.295 			 7.05 
313397QM6	12/14/17	01/26/17	 99.311 			 6.89 
313397QR5	12/18/17	07/19/17	 99.552 			 4.48 
313397QS3	12/19/17	07/20/17	 99.552 			 4.48 
313397QV6	12/22/17	01/17/17	 99.247 			 7.53 
313397QZ7	12/26/17	03/27/17	 99.267 			 7.33 
313397RA1	12/27/17	01/18/17	 99.219 			 7.81 
313397RB9	12/28/17	01/24/17	 99.249 			 7.51 
313397RC7	12/29/17	01/25/17	 99.249 			 7.51





                               Section III-F



                FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                    Short-Term Obligations Issued at a
                      Discount and Maturing in 2017

                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LAC2	01/03/17	03/30/16	99.512			4.88
31315LAD0	01/04/17	02/23/16	99.429			5.71
31315LAE8	01/05/17	12/29/16	99.993			0.07
31315LAF5	01/06/17	12/28/16	99.988			0.12
31315LAJ7	01/09/17	03/31/16	99.566			4.34
31315LAK4	01/10/17	01/09/17	99.999			0.01
31315LAL2	01/11/17	12/15/16	99.962			0.38
31315LAM0	01/12/17	10/07/16	99.907			0.93
31315LAN8	01/13/17	01/06/17	99.990			0.10
31315LAS7	01/17/17	06/30/16	99.727			2.73
31315LAT5	01/18/17	03/16/16	99.393			6.07
31315LAU2	01/19/17	01/18/17	99.999			0.01
31315LAV0	01/20/17	01/21/16	99.260			7.40
31315LAY4	01/23/17	04/08/16	99.541			4.59
31315LAZ1	01/24/17	01/23/17	99.999			0.01
31315LBA5	01/25/17	05/19/16	99.597			4.03
31315LBB3	01/26/17	01/17/17	99.988			0.12
31315LBC1	01/27/17	04/11/16	99.558			4.42
31315LBF4	01/30/17	10/27/16	99.902			0.98
31315LBG2	01/31/17	08/11/16	99.769			2.31
31315LBH0	02/01/17	02/02/16	99.333			6.67
31315LBJ6	02/02/17	02/01/17	99.999			0.01
31315LBK3	02/03/17	04/26/16	99.536			4.64
31315LBN7	02/06/17	02/24/16	99.356			6.44
31315LBP2	02/07/17	02/05/16	99.331			6.69
31315LBQ0	02/08/17	02/07/17	99.999			0.01
31315LBR8	02/09/17	02/10/16	99.351			6.49
31315LBS6	02/10/17	10/06/16	99.831			1.69
31315LBV9	02/13/17	02/06/17	99.992			0.08
31315LBW7	02/14/17	02/13/17	99.999			0.01
31315LBX5	02/15/17	05/05/16	99.539			4.61
31315LBY3	02/16/17	02/17/16	99.312			6.88
31315LBZ0	02/17/17	07/29/16	99.696			3.04
31315LCD8	02/21/17	02/02/17	99.975			0.25
31315LCE6	02/22/17	02/21/17	99.999			0.01
31315LCF3	02/23/17	02/22/17	99.999			0.01
31315LCG1	02/24/17	05/19/16	99.547			4.53
31315LCK2	02/27/17	02/17/17	99.985			0.15
31315LCL0	02/28/17	02/21/17	99.990			0.10
31315LCM8	03/01/17	02/28/17	99.999			0.01
31315LCN6	03/02/17	02/24/17	99.994			0.06
31315LCP1	03/03/17	03/02/17	99.999			0.01




                         Section III-F (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LCS5	03/06/17	07/29/16	99.664			3.36
31315LCT3	03/07/17	03/08/16	99.256			7.44
31315LCU0	03/08/17	02/27/17	99.989			0.11
31315LCV8	03/09/17	03/09/16	99.242			7.58
31315LCW6	03/10/17	03/10/16	99.219			7.81
31315LCZ9	03/13/17	02/13/17	99.958			0.42
31315LDA3	03/14/17	03/13/17	99.999			0.01
31315LDB1	03/15/17	08/22/16	99.681			3.19
31315LDC9	03/16/17	03/09/17	99.992			0.08
31315LDD7	03/17/17	02/22/17	99.965			0.35
31315LDG0	03/20/17	06/15/16	99.544			4.56
31315LDH8	03/21/17	02/28/17	99.971			0.29
31315LDJ4	03/22/17	03/21/17	99.998			0.02
31315LDK1	03/23/17	09/14/16	99.689			3.11
31315LDL9	03/24/17	08/11/16	99.650			3.50
31315LDP0	03/27/17	03/24/17	99.994			0.06
31315LDQ8	03/28/17	03/27/17	99.998			0.02
31315LDR6	03/29/17	03/28/17	99.998			0.02
31315LDS4	03/30/17	03/22/17	99.986			0.14
31315LDT2	03/31/17	08/30/16	99.682			3.18
31315LDW5	04/03/17	05/31/16	99.420			5.80
31315LDX3	04/04/17	03/28/17	99.986			0.14
31315LDY1	04/05/17	04/04/17	99.998			0.02
31315LDZ8	04/06/17	09/26/16	99.733			2.67
31315LEA2	04/07/17	03/29/17	99.984			0.16
31315LED6	04/10/17	12/09/16	99.802			1.98
31315LEE4	04/11/17	04/10/17	99.998			0.02
31315LEF1	04/12/17	12/08/16	99.807			1.93
31315LEG9	04/13/17	04/07/17	99.987			0.13
31315LEL8	04/17/17	09/06/16	99.667			3.33
31315LEM6	04/18/17	11/15/16	99.728			2.72
31315LEN4	04/19/17	04/21/16	99.336			6.64
31315LEP9	04/20/17	03/16/17	99.925			0.75
31315LEQ7	04/21/17	04/18/17	99.994			0.06
31315LET1	04/24/17	04/17/17	99.987			0.13
31315LEU8	04/25/17	03/28/17	99.939			0.61
31315LEV6	04/26/17	04/19/17	99.987			0.13
31315LEW4	04/27/17	01/25/17	99.853			1.47
31315LEX2	04/28/17	12/15/16	99.784			2.16
31315LFA1	05/01/17	11/23/16	99.722			2.78
31315LFB9	05/02/17	11/01/16	99.718			2.82
31315LFC7	05/03/17	04/03/17	99.937			0.63
31315LFD5	05/04/17	05/03/17	99.998			0.02
31315LFE3	05/05/17	04/28/17	99.985			0.15
31315LFH6	05/08/17	04/13/17	99.945			0.55
31315LFJ2	05/09/17	05/10/16	99.368			6.32
31315LFK9	05/10/17	12/09/16	99.723			2.77
31315LFL7	05/11/17	05/10/17	99.998			0.02




                         Section III-F (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LFM5	05/12/17	05/11/17	99.998			0.02
31315LFQ6	05/15/17	02/13/17	99.854			1.46
31315LFR4	05/16/17	05/16/16	99.331			6.69
31315LFS2	05/17/17	05/16/17	99.998			0.02
31315LFT0	05/18/17	11/15/16	99.658			3.42
31315LFU7	05/19/17	05/18/17	99.998			0.02
31315LFX1	05/22/17	05/15/17	99.987			0.13
31315LFY9	05/23/17	05/22/17	99.998			0.02
31315LFZ6	05/24/17	05/23/17	99.998			0.02
31315LGA0	05/25/17	05/24/17	99.998			0.02
31315LGB8	05/26/17	05/15/17	99.978			0.22
31315LGF9	05/30/17	11/22/16	99.659			3.41
31315LGG7	05/31/17	05/30/17	99.998			0.02
31315LGH5	06/01/17	08/12/16	99.484			5.16
31315LGJ1	06/02/17	09/07/16	99.561			4.39
31315LGM4	06/05/17	06/02/17	99.994			0.06
31315LGN2	06/06/17	09/30/16	99.592			4.08
31315LGP7	06/07/17	06/06/17	99.998			0.02
31315LGQ5	06/08/17	06/01/17	99.987			0.13
31315LGR3	06/09/17	11/23/16	99.615			3.85
31315LGU6	06/12/17	05/19/17	99.949			0.51
31315LGV4	06/13/17	06/12/17	99.998			0.02
31315LGW2	06/14/17	06/13/17	99.998			0.02
31315LGX0	06/15/17	08/16/16	99.463			5.37
31315LGY8	06/16/17	07/07/16	99.465			5.35
31315LHB7	06/19/17	05/31/17	99.958			0.42
31315LHC5	06/20/17	04/27/17	99.881			1.19
31315LHD3	06/21/17	06/15/17	99.986			0.14
31315LHE1	06/22/17	06/22/16	99.311			6.89
31315LHF8	06/23/17	06/24/16	99.424			5.76
31315LHJ0	06/26/17	12/14/16	99.644			3.56
31315LHK7	06/27/17	12/28/16	99.655			3.45
31315LHL5	06/28/17	12/14/16	99.641			3.59
31315LHM3	06/29/17	06/15/17	99.964			0.36
31315LHN1	06/30/17	08/10/16	99.410			5.90
31315LHR2	07/03/17	07/21/16	99.373			6.27
31315LHT8	07/05/17	06/02/17	99.922			0.78
31315LHU5	07/06/17	06/06/17	99.923			0.77
31315LHV3	07/07/17	06/14/17	99.935			0.65
31315LHY7	07/10/17	07/07/17	99.992			0.08
31315LHZ4	07/11/17	07/10/17	99.997			0.03
31315LJA7	07/12/17	06/12/17	99.918			0.82
31315LJB5	07/13/17	07/12/17	99.997			0.03
31315LJC3	07/14/17	05/11/17	99.851			1.49
31315LJF6	07/17/17	07/10/17	99.980			0.20
31315LJG4	07/18/17	06/21/17	99.926			0.74
31315LJH2	07/19/17	06/21/17	99.923			0.77
31315LJJ8	07/20/17	06/13/17	99.894			1.06




                         Section III-F (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LJK5	07/21/17	10/13/16	99.469			5.31
31315LJN9	07/24/17	07/21/17	99.992			0.08
31315LJP4	07/25/17	07/25/16	99.311			6.89
31315LJQ2	07/26/17	07/26/16	99.311			6.89
31315LJR0	07/27/17	07/27/16	99.312			6.88
31315LJS8	07/28/17	10/25/16	99.509			4.91
31315LJV1	07/31/17	08/10/16	99.329			6.71
31315LJW9	08/01/17	10/31/16	99.500			5.00
31315LJX7	08/02/17	08/01/17	99.997			0.03
31315LJY5	08/03/17	04/28/17	99.768			2.32
31315LJZ2	08/04/17	07/25/17	99.971			0.29
31315LKC1	08/07/17	07/06/17	99.908			0.92
31315LKD9	08/08/17	08/07/17	99.997			0.03
31315LKE7	08/09/17	08/08/17	99.997			0.03
31315LKF4	08/10/17	07/12/17	99.917			0.83
31315LKG2	08/11/17	08/31/16	99.320			6.80
31315LKK3	08/14/17	02/14/17	99.648			3.52
31315LKL1	08/15/17	08/17/16	99.314			6.86
31315LKM9	08/16/17	08/15/17	99.997			0.03
31315LKN7	08/17/17	08/16/17	99.997			0.03
31315LKP2	08/18/17	08/18/16	99.300			7.00
31315LKS6	08/21/17	07/25/17	99.922			0.78
31315LKT4	08/22/17	08/15/17	99.980			0.20
31315LKU1	08/23/17	08/16/17	99.983			0.17
31315LKV9	08/24/17	08/23/17	99.997			0.03
31315LKW7	08/25/17	09/08/16	99.391			6.09
31315LKZ0	08/28/17	08/25/17	99.991			0.09
31315LLA4	08/29/17	08/28/17	99.997			0.03
31315LLB2	08/30/17	08/30/16	99.262			7.38
31315LLC0	08/31/17	08/24/17	99.983			0.17
31315LLD8	09/01/17	09/07/16	99.332			6.68
31315LLH9	09/05/17	06/02/17	99.736			2.64
31315LLJ5	09/06/17	09/05/17	99.997			0.03
31315LLK2	09/07/17	08/31/17	99.982			0.18
31315LLL0	09/08/17	11/30/16	99.373			6.27
31315LLP1	09/11/17	09/15/16	99.313			6.87
31315LLQ9	09/12/17	09/01/17	99.970			0.30
31315LLR7	09/13/17	06/14/17	99.740			2.60
31315LLS5	09/14/17	09/13/17	99.997			0.03
31315LLT3	09/15/17	04/18/17	99.629			3.71
31315LLW6	09/18/17	09/12/17	99.984			0.16
31315LLX4	09/19/17	09/18/17	99.997			0.03
31315LLY2	09/20/17	06/19/17	99.731			2.69
31315LLZ9	09/21/17	08/23/17	99.919			0.81
31315LMA3	09/22/17	09/14/17	99.978			0.22
31315LMD7	09/25/17	12/05/16	99.330			6.70
31315LME5	09/26/17	09/19/17	99.981			0.19
31315LMF2	09/27/17	09/26/17	99.997			0.03




                         Section III-F (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LMG0	09/28/17	09/27/17	99.997			0.03
31315LMH8	09/29/17	10/27/16	99.373			6.27
31315LML9	10/02/17	10/18/16	99.341			6.59
31315LMM7	10/03/17	10/04/16	99.292			7.08
31315LMN5	10/04/17	10/03/17	99.997			0.03
31315LMP0	10/05/17	09/25/17	99.972			0.28
31315LMQ8	10/06/17	10/27/16	99.355			6.45
31315LMU9	10/10/17	10/06/17	99.989			0.11
31315LMV7	10/11/17	10/10/17	99.997			0.03
31315LMW5	10/12/17	09/12/17	99.916			0.84
31315LMX3	10/13/17	10/12/17	99.997			0.03
31315LNA2	10/16/17	12/29/16	99.321			6.79
31315LNB0	10/17/17	11/09/16	99.345			6.55
31315LNC8	10/18/17	09/20/17	99.921			0.79
31315LND6	10/19/17	10/13/17	99.983			0.17
31315LNE4	10/20/17	12/01/16	99.255			7.45
31315LNH7	10/23/17	09/22/17	99.912			0.88
31315LNJ3	10/24/17	10/24/16	99.290			7.10
31315LNK0	10/25/17	07/24/17	99.718			2.82
31315LNL8	10/26/17	10/26/16	99.270			7.30
31315LNM6	10/27/17	01/25/17	99.427			5.73
31315LNQ7	10/30/17	10/26/17	99.989			0.11
31315LNR5	10/31/17	11/21/16	99.236			7.64
31315LNS3	11/01/17	11/02/16	99.262			7.38
31315LNT1	11/02/17	05/04/17	99.489			5.11
31315LNU8	11/03/17	03/03/17	99.388			6.12
31315LNX2	11/06/17	10/16/17	99.941			0.59
31315LNY0	11/07/17	10/31/17	99.982			0.18
31315LNZ7	11/08/17	11/07/17	99.997			0.03
31315LPA0	11/09/17	11/08/17	99.997			0.03
31315LPB8	11/10/17	11/10/16	99.250			7.50
31315LPE2	11/13/17	02/14/17	99.403			5.97
31315LPF9	11/14/17	11/15/16	99.181			8.19
31315LPG7	11/15/17	12/09/16	99.148			8.52
31315LPH5	11/16/17	11/16/16	99.169			8.31
31315LPJ1	11/17/17	11/16/17	99.997			0.03
31315LPM4	11/20/17	08/18/17	99.726			2.74
31315LPN2	11/21/17	11/20/17	99.997			0.03
31315LPP7	11/22/17	02/21/17	99.391			6.09
31315LPU6	11/27/17	12/01/16	99.118			8.82
31315LPV4	11/28/17	04/12/17	99.348			6.52
31315LPW2	11/29/17	11/28/17	99.997			0.03
31315LPX0	11/30/17	09/11/17	99.771			2.29
31315LPY8	12/01/17	12/01/16	99.128			8.72
31315LQB7	12/04/17	08/02/17	99.635			3.65
31315LQC5	12/05/17	12/04/17	99.997			0.03
31315LQD3	12/06/17	12/05/17	99.997			0.03
31315LQE1	12/07/17	12/06/17	99.997			0.03



                         Section III-F (continued)



                                                       Discount to be
                                   Issue Price        Reported as 2017
  CUSIP     Maturity     Issue    (% of Principal    Interest(Per $1,000
  Number      Date       Date        Amount)          Maturity Value)
---------   --------    --------  ---------------   -------------------
31315LQF8	12/08/17	11/07/17	99.911			0.89
31315LQJ0	12/11/17	06/08/17	99.427			5.73
31315LQK7	12/12/17	12/11/17	99.997			0.03
31315LQL5	12/13/17	12/06/17	99.980			0.20
31315LQM3	12/14/17	09/12/17	99.731			2.69
31315LQR2	12/18/17	12/11/17	99.980			0.20
31315LQT8	12/20/17	09/18/17	99.729			2.71
31315LQV3	12/22/17	11/21/17	99.904			0.96
31315LRA8	12/27/17	09/21/17	99.717			2.83
31315LRB6	12/28/17	12/28/16	99.037			9.63

