SECTION I-A This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969, and before January 1, 1985. However, no OID information is available to report this year for any such debt instruments. See Section I-B for corporate discount debt instruments issued after 1984. OID per Daily OID per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total ------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2023 1st 2023 2nd 2024 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period 2024 1st Period 2023 2024 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ SECTION I-B This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after December 31, 1984. Debt instruments which matured or were entirely called before 2024 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26 91.448 0.000 1.6140 51.99 0.043067 0.043415 0.043765 0.044118 0.044474 15.66 15.92 ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25 94.017 0.000 1.3572 44.77 0.036942 0.037192 0.037445 13.41 1.65 ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28 85.895 0.000 2.0999 49.02 0.052546 0.053098 0.053655 0.054219 0.054788 19.17 19.57 ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29 83.776 0.000 2.1498 48.97 0.052527 0.053092 0.053662 0.054239 0.054822 19.17 19.58 ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25 96.817 0.000 0.8042 22.87 0.022070 0.022159 0.022248 7.99 0.98 ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26 94.773 0.000 1.0700 29.88 0.028940 0.029095 0.029251 0.029407 0.029565 10.49 10.60 ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27 93.206 0.000 1.1701 32.17 0.031202 0.031384 0.031568 0.031753 0.031939 11.32 11.45 ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24 98.040 0.000 0.6542 18.80 0.018114 0.80 ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27 91.292 0.000 1.5999 38.55 0.042032 0.042368 0.042707 0.043049 0.043393 15.28 15.53 ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26 94.159 0.000 1.2800 31.70 0.034439 0.034659 0.034881 0.035104 0.035329 12.50 12.66 ALVARADO TEX INDPT SCH 022357H67 10/28/20 02/15/29 87.333 0.000 1.6390 46.47 0.041618 0.041959 0.042302 0.042649 0.042999 15.14 15.39 ALVARADO TEX INDPT SCH 022357H75 10/28/20 02/15/30 85.130 0.000 1.7390 48.12 0.043164 0.043539 0.043918 0.044300 0.044685 15.71 15.98 ALVARADO TEX INDPT SCH 022357H42 10/28/20 02/15/27 92.609 0.000 1.2230 36.56 0.032553 0.032752 0.032952 0.033153 0.033356 11.81 11.95 ALVARADO TEX INDPT SCH 022357H59 10/28/20 02/15/28 89.415 0.000 1.5390 44.61 0.039900 0.040207 0.040517 0.040828 0.041143 14.50 14.73 ALVARADO TEX INDPT SCH 022357H26 10/28/20 02/15/25 96.321 0.000 0.8741 27.05 0.023966 0.024071 0.024176 8.68 1.06 ALVARADO TEX INDPT SCH 022357H34 10/28/20 02/15/26 94.240 0.000 1.1230 34.12 0.030333 0.030504 0.030675 0.030847 0.031020 11.00 11.12 AMARILLO TEX INDPT SCH 023051YV1 10/14/20 02/01/24 97.347 0.000 0.8171 25.85 0.022604 0.68 AMARILLO TEX INDPT SCH 023051YW9 10/14/20 02/01/25 96.350 0.000 0.8671 27.17 0.023775 0.023879 0.023982 8.61 0.72 ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36 93.636 4.700 5.2667 13.45 0.008220 0.008436 0.008658 0.008886 0.009120 3.06 3.23 ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26 96.122 3.650 4.2802 26.35 0.015747 0.016084 0.016428 0.016780 0.017139 5.83 6.08 ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26 96.122 3.650 4.2802 26.35 0.015747 0.016084 0.016428 0.016780 0.017139 5.83 6.08 ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36 93.636 4.700 5.2667 13.45 0.008220 0.008436 0.008658 0.008886 0.009120 3.06 3.23 ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30 84.028 0.000 1.7770 49.17 0.043611 0.043998 0.044389 0.044783 0.045181 15.88 16.16 ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25 95.120 0.000 1.0371 32.16 0.028220 0.028366 0.028513 0.028661 10.23 6.41 ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27 91.280 0.000 1.3390 40.01 0.035262 0.035498 0.035736 0.035975 0.036216 12.80 12.97 ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26 92.991 0.000 1.2489 37.97 0.033421 0.033630 0.033840 0.034051 0.034264 12.13 12.28 ARLINGTON TEX INDPT SCH 0418265M6 07/30/20 02/15/24 95.925 0.000 1.1781 39.32 0.032534 1.43 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4730 945.22 0.202402 0.206708 0.211085 0.215561 0.220136 74.68 77.88 Anywhere Real Estate Gro 75606DAS0 08/24/23 04/15/30 91.110 7.000 8.8000 3.60 0.028500 0.029778 0.031056 0.032444 0.033833 10.68 11.64 Argentina, Republic 040114GB0 07/21/01 07/21/30 80.144 10.250 12.8670 84.99 0.030367 0.032320 0.034400 0.036613 0.038968 11.93 13.51 Azul Investments LLP 05502FAE8 09/28/23 06/30/30 55.670 7.500 19.6100 8.74 0.099719 0.109497 0.120235 0.132025 0.144922 37.66 45.41 Azul Secured Finance LLP 05501WABB 07/14/23 05/28/30 83.250 10.875 14.8400 7.29 0.042916 0.045598 0.049792 0.052613 0.057452 16.43 18.95 Azul Secured Finance LLP 05501WAA0 07/14/23 05/28/29 93.950 11.500 13.0000 3.69 0.020551 0.021648 0.023437 0.024553 0.026581 7.82 8.86 BANK OF AMERICA 09711BKW5 04/30/24 01/30/29 100.000 0.000 5.2200 0.145000 0.146892 0.150726 0.154660 35.23 54.74 BANK OF AMERICA 09710PJT4 02/05/24 02/05/26 100.000 0.000 4.8200 0.133889 0.137116 0.140420 0.143804 44.12 50.93 BANK OF AMERICA 09711DBL5 08/30/24 07/30/26 100.000 0.000 4.8900 0.135833 0.138601 0.141990 16.44 50.33 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BANK OF AMERICA 09710PL38 01/31/24 01/31/29 100.000 0.000 4.6900 0.130278 0.133333 0.136459 0.139659 43.58 49.52 BANK OF AMERICA 09709T7K1 03/21/24 03/21/39 100.000 VARIES 5.4000 0.149512 0.147536 0.145506 0.143421 41.56 52.34 BANK OF AMERICA 09711DD58 07/31/24 07/30/26 100.000 0.000 5.0000 0.138889 0.142361 0.145920 20.97 51.69 BANK OF AMERICA 09711BNP7 04/26/24 04/22/27 110.000 1.200 5.3000 0.161944 0.165277 0.168773 0.172363 39.74 60.61 BANK OF AMERICA 09711BP59 05/03/24 05/03/27 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 35.40 55.82 BANK OF AMERICA 09711D6V9 08/22/24 08/23/29 100.000 0.000 4.3200 0.120000 0.122606 0.125255 15.48 44.34 BANK OF AMERICA 09711BBP0 03/25/24 03/23/29 100.000 0.000 4.8100 0.133611 0.136789 0.140079 0.143447 37.19 50.49 BANK OF AMERICA 09710PRW8 02/29/24 02/27/26 100.000 0.000 5.1200 0.142222 0.145823 0.149556 0.153384 43.40 54.11 BANK OF AMERICA 09711DZB1 08/05/24 08/05/26 100.000 0.000 4.8900 0.135833 0.139154 0.142557 19.83 50.48 BANK OF AMERICA 09711B2Q8 03/28/24 03/30/26 100.000 0.000 5.1500 0.143056 0.143096 0.146781 0.150561 0.154438 39.40 54.22 BANK OF AMERICA 09711DZX3 06/28/24 06/30/26 100.000 0.000 5.0600 0.140556 0.140595 0.144152 0.147799 0.151538 25.73 52.56 BANK OF AMERICA 09710PSQ0 03/05/24 03/05/26 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 41.51 52.73 BANK OF AMERICA 09711B3T1 04/03/24 04/06/26 100.000 0.000 5.4600 0.151667 0.151736 0.155878 0.160134 0.164505 41.02 57.62 BANK OF AMERICA 09711B4H6 03/13/24 03/13/29 100.000 0.000 4.7700 0.132500 0.135660 0.138896 0.142208 38.50 50.13 BANK OF AMERICA 09711DLC4 05/24/24 05/27/27 100.000 0.000 5.0000 0.138889 0.138947 0.142420 0.145981 0.149630 30.27 52.16 BANK OF AMERICA 09711BER3 03/28/24 03/25/27 110.000 1.000 4.9600 0.151555 0.154574 0.157719 0.160941 41.51 56.82 BANK OF AMERICA 09710PDZ6 12/29/23 12/29/28 100.000 0.000 4.7600 0.26 0.132222 0.135369 0.138591 0.141889 0.145266 48.18 50.50 BANK OF AMERICA 09710PV78 02/29/24 03/01/29 100.000 0.000 5.0500 0.140278 0.143859 0.147492 0.151216 42.79 53.33 BANK OF AMERICA 09711BFQ4 04/30/24 04/30/26 100.000 0.000 5.3500 0.148611 0.152586 0.156668 0.160859 36.06 56.17 BANK OF AMERICA 09710PVX1 03/05/24 03/05/29 100.000 0.000 4.8500 0.134722 0.137989 0.141335 0.144763 40.26 51.06 BANK OF AMERICA 09711B7D2 03/28/24 12/29/28 100.000 0.000 4.0900 0.113611 0.114786 0.117133 0.119528 0.121973 31.23 42.61 BANK OF AMERICA 09710PYJ9 03/01/24 03/02/29 100.000 0.000 4.7900 0.133056 0.136260 0.139523 0.142865 40.30 50.43 BANK OF AMERICA 09710PHX7 01/31/24 01/30/26 100.000 0.000 4.9400 0.137222 0.140612 0.144085 0.147644 45.93 52.31 BANK OF AMERICA CORPORAT 06084WY46 09/28/22 09/28/27 100.000 VARIES 5.9700 74.04 0.163705 0.163613 0.164346 0.164272 0.164198 58.98 59.14 BANK OF MONTREAL 06376AD49 04/16/24 04/16/26 100.000 0.000 5.7400 0.159444 0.164021 0.168728 0.173570 41.00 60.61 BANK OF MONTREAL 06368GZ83 08/31/22 02/28/30 100.000 0.000 4.0770 55.45 0.117888 0.120291 0.122743 0.125245 0.127799 43.47 45.26 BANK OF MONTREAL 06368GYR2 09/06/22 09/08/26 100.000 0.000 4.2130 56.61 0.122039 0.124609 0.127234 0.129914 0.132651 44.98 46.90 BANK OF MONTREAL 06368GYS0 08/31/22 08/31/26 100.000 0.000 4.1370 56.28 0.119720 0.122183 0.124724 0.127275 0.129937 44.15 46.00 BANK OF MONTREAL 06368GYT8 09/06/22 09/08/26 100.000 0.000 4.2130 56.61 0.122039 0.124609 0.127234 0.129914 0.132651 44.98 46.90 BANK OF MONTREAL 06368GYQ4 08/31/22 08/31/26 100.000 0.000 4.1370 56.28 0.119720 0.122183 0.124724 0.127275 0.129937 44.15 46.00 BANK OF MONTREAL 06375MRA5 02/05/24 08/05/25 100.000 0.000 5.3400 0.148333 0.152294 0.156360 48.93 33.32 BANK OF MONTREAL 06375MRB3 01/31/24 01/31/28 100.000 0.000 5.1300 0.142500 0.146155 0.149904 0.153749 47.72 54.44 BANK OF MONTREAL 06375MR98 01/31/24 07/31/25 100.000 0.000 5.4300 0.150833 0.154928 0.159135 50.54 33.14 BANK OF MONTREAL 06375MS22 01/31/24 01/30/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 BANK OF MONTREAL 06375MRF4 02/05/24 02/05/26 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 47.54 55.07 BANK OF MONTREAL 06375MRE7 02/05/24 02/05/26 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 47.54 55.07 BANK OF MONTREAL 06375MRG2 02/05/24 02/05/26 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 47.54 55.07 BANK OF MONTREAL 06375MRH0 01/31/24 01/29/27 100.000 0.000 5.1100 0.141944 0.145551 0.149270 0.153084 47.53 54.21 BANK OF MONTREAL 06375MRJ6 01/31/24 01/30/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 BANK OF MONTREAL 06375MRK3 01/31/24 01/30/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 BANK OF MONTREAL 06374VAK2 10/31/22 04/30/24 100.000 0.000 5.4470 64.95 0.159659 19.00 BANK OF MONTREAL 06374VAL0 10/31/22 04/30/24 100.000 0.000 5.4470 64.95 0.159659 19.00 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BANK OF MONTREAL 06375MRL1 02/05/24 02/05/26 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 47.54 55.07 BANK OF MONTREAL 06375MRM9 01/31/24 01/30/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 BANK OF MONTREAL 06374VSD4 09/22/22 09/23/24 100.000 0.000 4.1550 53.89 0.120276 0.122774 31.96 BANK OF MONTREAL 06374VAV8 11/01/22 05/01/24 100.000 0.000 5.3340 63.42 0.156175 18.74 BANK OF MONTREAL 06374VAW6 11/01/22 05/01/24 100.000 0.000 5.3340 63.42 0.156175 18.74 BANK OF MONTREAL 06374VAX4 10/31/22 10/30/26 100.000 0.000 5.4140 64.55 0.158641 0.162936 0.167346 0.171876 0.176529 58.41 61.62 BANK OF MONTREAL 06375MSN6 01/18/24 01/18/29 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 47.52 52.28 BANK OF MONTREAL 06375MTK1 01/26/24 01/26/27 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 47.64 53.68 BANK OF MONTREAL 06375MUH6 02/29/24 02/27/26 100.000 0.000 5.2100 0.144722 0.148450 0.152317 0.156285 44.17 55.11 BANK OF MONTREAL 06375MUJ2 02/29/24 08/29/25 100.000 0.000 5.6900 0.158056 0.162552 0.167151 48.28 39.52 BANK OF MONTREAL 06375MTZ8 01/31/24 01/30/26 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 49.13 56.13 BANK OF MONTREAL 06375MUV5 02/29/24 02/26/27 100.000 0.000 5.2900 0.146944 0.150766 0.154754 0.158847 44.85 56.00 BANK OF MONTREAL 06375MV77 03/05/24 03/05/26 100.000 0.000 5.5100 0.153056 0.157272 0.161605 0.166057 45.79 58.42 BANK OF MONTREAL 06375MV85 03/05/24 03/05/26 100.000 0.000 5.5100 0.153056 0.157272 0.161605 0.166057 45.79 58.42 BANK OF MONTREAL 06375MUW3 02/29/24 02/27/26 100.000 0.000 5.5100 0.153056 0.157225 0.161557 0.166008 46.74 58.47 BANK OF MONTREAL 06375MV93 03/05/24 03/05/26 100.000 0.000 5.5100 0.153056 0.157272 0.161605 0.166057 45.79 58.42 BANK OF MONTREAL 06375MUX1 02/29/24 02/27/26 100.000 0.000 5.5100 0.153056 0.157225 0.161557 0.166008 46.74 58.47 BANK OF MONTREAL 06375MUL7 02/29/24 02/29/28 100.000 0.000 5.2400 0.145556 0.149369 0.153261 0.157299 44.42 55.44 BANK OF MONTREAL 06375MUK9 03/05/24 09/05/25 100.000 0.000 5.6800 0.157778 0.162259 0.166867 47.22 40.42 BANK OF MONTREAL 06375MV36 03/05/24 09/05/28 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 43.02 54.73 BANK OF MONTREAL 06374V4T0 09/07/22 09/05/25 100.000 0.000 4.2850 57.47 0.124154 0.126814 0.129531 0.132306 45.80 32.11 BANK OF MONTREAL 06375MW35 02/21/24 02/23/26 100.000 0.000 5.5000 0.152778 0.152824 0.157027 0.161345 0.165782 47.91 58.43 BANK OF MONTREAL 06374V4S2 09/20/22 09/22/25 100.000 0.000 4.0706 53.01 0.117748 0.120145 0.122590 0.125085 43.30 32.45 BANK OF MONTREAL 06375MWD3 02/22/24 08/22/25 100.000 0.000 5.7200 0.158889 0.163433 0.168107 49.68 38.59 BANK OF MONTREAL 06375MWZ4 02/26/24 05/27/25 100.000 0.000 5.6400 0.156667 0.158900 0.163381 48.41 23.85 BANK OF MONTREAL 06375MYL3 03/28/24 03/31/26 100.000 0.000 5.3900 0.149722 0.149767 0.153803 0.157948 0.162205 41.25 56.88 BANK OF MONTREAL 06375MYM1 03/28/24 09/30/25 100.000 0.000 5.5600 0.154444 0.154492 0.158787 0.163201 42.57 43.51 BANK OF MONTREAL 06375MYN9 04/02/24 10/02/25 100.000 0.000 5.5400 0.153889 0.158152 0.162532 41.78 43.65 BANK OF MONTREAL 06375MYP4 03/28/24 03/31/28 100.000 0.000 5.1800 0.143889 0.143930 0.147658 0.151482 0.155406 39.63 54.55 BANK OF MONTREAL 06375MYQ2 03/28/24 03/31/28 100.000 0.000 5.1800 0.143889 0.143930 0.147658 0.151482 0.155406 39.63 54.55 BANK OF MONTREAL 06375MZ32 04/02/24 10/02/28 100.000 0.000 5.0700 0.140833 0.144403 0.148064 0.151818 38.20 53.30 BANK OF MONTREAL 06376AQ37 06/28/24 12/28/26 100.000 0.000 5.3791 0.149419 0.153438 0.157565 0.161803 27.36 56.01 BANK OF MONTREAL 06376APU8 06/28/24 12/31/25 100.000 0.000 5.6081 0.155781 0.155829 0.160199 0.164691 28.52 58.32 BANK OF MONTREAL 06376APT1 06/28/24 06/30/26 100.000 0.000 5.4534 0.151483 0.151529 0.155661 0.159905 0.164266 27.73 56.81 BANK OF MONTREAL 06376APW4 06/28/24 06/30/28 100.000 0.000 5.2415 0.145597 0.145640 0.149456 0.153373 0.157393 26.66 54.52 BANK OF MONTREAL 06375MZ65 03/28/24 03/31/27 100.000 0.000 5.2400 0.145556 0.145598 0.149413 0.153327 0.157344 40.10 55.21 BANK OF MONTREAL 06375MZ73 03/28/24 03/31/26 100.000 0.000 5.3900 0.149722 0.149767 0.153803 0.157948 0.162205 41.25 56.88 BANK OF MONTREAL 06375MZ81 03/28/24 03/31/26 100.000 0.000 5.3900 0.149722 0.149767 0.153803 0.157948 0.162205 41.25 56.88 BANK OF MONTREAL 06375MYX7 04/02/24 04/02/26 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 40.48 56.62 BANK OF MONTREAL 06375MYY5 04/02/24 04/02/26 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 40.48 56.62 BANK OF MONTREAL 06375MYZ2 04/02/24 04/02/26 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 40.48 56.62 BANK OF MONTREAL 06375MZG3 04/02/24 04/02/27 100.000 0.000 5.2100 0.144722 0.148492 0.152360 0.156329 39.27 54.85 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BANK OF MONTREAL 06375MZH1 04/02/24 04/02/27 100.000 0.000 5.2100 0.144722 0.148492 0.152360 0.156329 39.27 54.85 BANK OF MONTREAL 06376AQN3 06/28/24 06/30/26 100.000 0.000 5.4534 0.151483 0.151529 0.155661 0.159905 0.164266 27.73 56.81 BANK OF MONTREAL 06376AQP8 06/28/24 06/30/26 100.000 0.000 5.4534 0.151483 0.151529 0.155661 0.159905 0.164266 27.73 56.81 BANK OF MONTREAL 06376AQQ6 06/28/24 06/30/26 100.000 0.000 5.4534 0.151483 0.151529 0.155661 0.159905 0.164266 27.73 56.81 BANK OF NOVA SCOTIA 06417YR92 05/03/24 05/06/27 100.000 0.000 5.5700 0.154722 0.154794 0.159105 0.163536 0.168091 37.08 58.57 BANK OF NOVA SCOTIA 06417Y5S4 08/19/24 09/03/27 100.000 4.560 4.5600 0.126667 0.129556 0.132500 0.135556 16.72 46.89 BANK OF NOVA SCOTIA 06417Y4A4 06/27/24 06/27/26 100.000 VARIES 5.7400 0.011009 0.011031 0.011053 0.011074 2.03 3.98 BANK OF NOVA SCOTIA 06417YK32 02/06/24 02/06/29 100.000 VARIES 5.3700 0.027528 0.027664 0.027802 0.027939 8.97 10.02 BANK OF NOVA SCOTIA 06417YYQ6 01/03/24 01/06/26 100.000 0.000 5.0400 0.140000 0.140059 0.143588 0.147207 0.150916 50.76 53.63 BANK OF NOVA SCOTIA 06418J697 03/07/24 02/25/28 100.000 0.000 5.2600 0.146111 0.149698 0.153635 0.157675 43.41 55.61 BANK OF NOVA SCOTIA 06418LAW6 03/05/24 03/05/26 100.000 0.000 5.3500 0.148611 0.152586 0.156668 0.160859 44.45 56.63 BARCLAYS BANK 06745QAK5 03/27/24 03/25/27 100.000 0.000 4.9600 0.137778 0.141157 0.144657 0.148245 38.08 52.13 BARCLAYS BANK 06745QRD3 05/31/24 06/01/29 100.000 0.000 5.4200 0.150556 0.154658 0.158850 0.163154 31.89 56.69 BARCLAYS BANK 06745QRH4 05/07/24 05/07/29 107.140 0.250 5.3900 0.160389 0.164556 0.168778 0.173167 37.76 60.47 BARCLAYS BANK 06745QRB7 05/31/24 12/03/26 100.000 0.000 5.3500 0.148611 0.148677 0.152654 0.156738 0.160931 31.48 55.92 BARCLAYS BANK 06745QRC5 05/31/24 06/03/27 100.000 0.000 5.3700 0.149167 0.149233 0.153240 0.157355 0.161580 31.60 56.14 BARCLAYS BANK 06744EDH7 02/16/24 02/16/29 100.000 1.000 5.2800 0.146667 0.151500 0.153056 0.155500 46.63 55.39 BARCLAYS BANK 06745QA90 03/25/24 04/24/25 100.000 0.000 5.0100 0.139167 0.139728 0.143229 38.78 16.18 BARCLAYS BANK 06745QR27 05/31/24 06/03/27 100.000 0.000 5.3700 0.149167 0.149233 0.153240 0.157355 0.161580 31.60 56.14 BARCLAYS BANK 06745QR35 05/31/24 06/01/29 100.000 0.000 5.4200 0.150556 0.154658 0.158850 0.163154 31.89 56.69 BARCLAYS BANK 06745QQC6 06/04/24 12/03/27 100.000 0.000 5.3700 0.149167 0.153150 0.157262 0.161484 30.99 56.11 BARCLAYS BANK 06745PMZ1 01/26/24 02/27/25 100.000 0.000 5.2900 0.146944 0.147614 0.151518 49.91 8.49 BARCLAYS BANK 06745QQ28 05/31/24 06/07/28 100.000 0.000 5.4100 0.150278 0.150436 0.154505 0.158685 0.162977 31.84 56.58 BARCLAYS BANK 06745QPR4 05/17/24 05/17/29 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 33.15 55.48 BARCLAYS BANK 06745PMK4 01/26/24 01/28/26 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 0.158962 49.84 56.27 BARCLAYS BANK 06745UL73 08/14/24 08/14/28 100.000 0.000 4.6900 0.130278 0.133333 0.136459 17.85 48.30 BARCLAYS BANK 06745PLT6 01/25/24 07/25/25 100.000 0.000 5.3800 0.149444 0.153465 0.157593 50.84 32.05 BARCLAYS BANK 06745UK25 07/24/24 01/24/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 22.15 52.58 BARCLAYS BANK 06745PLC3 01/24/24 01/24/29 100.000 VARIES 5.3400 0.147111 0.143889 0.139056 0.134944 48.54 49.64 BARCLAYS BANK 06745QNR6 04/24/24 04/22/27 100.000 VARIES 5.4600 0.151556 0.151167 0.151833 0.156056 37.26 54.86 BARCLAYS BANK 06745Q4R7 03/28/24 03/29/29 100.000 0.000 5.0800 0.141111 0.144715 0.148391 0.152160 38.85 53.44 BARCLAYS BANK 06745QVQ9 05/28/24 05/25/29 100.000 0.000 5.2900 0.146944 0.150766 0.154754 0.158847 31.44 55.28 BARCLAYS BANK 06745Q4N6 03/28/24 03/30/27 100.000 0.000 5.0000 0.138889 0.138927 0.142401 0.145961 0.149610 38.24 52.56 BARCLAYS BANK 06745Q4Q9 04/03/24 04/01/27 100.000 0.000 5.1100 0.141944 0.145531 0.149249 0.153062 38.36 53.74 BARCLAYS BANK 06745PSJ1 03/05/24 03/04/27 100.000 0.000 5.2000 0.144444 0.148179 0.152032 0.155985 43.19 54.95 BARCLAYS BANK 06745PSL6 02/08/24 02/08/29 100.000 0.000 5.4100 0.150278 0.154343 0.158518 0.162806 49.12 57.53 BARCLAYS BANK 06745PSK8 03/05/24 03/05/29 100.000 0.000 5.2700 0.146389 0.150246 0.154205 0.158269 43.78 55.73 BARCLAYS BANK 06745QEG0 05/02/24 11/03/27 100.000 0.000 5.4000 0.150000 0.154073 0.158232 0.162505 36.09 56.70 BARCLAYS BANK 06745PSH5 03/05/24 03/05/26 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 42.86 54.51 BARCLAYS BANK 06745QEF2 05/02/24 02/04/27 100.000 0.000 5.3400 0.148333 0.150358 0.154372 0.158494 35.75 56.05 BARCLAYS BANK 06745PRY9 02/29/24 03/01/29 100.000 VARIES 5.3100 0.147111 0.143167 0.136889 0.136667 43.19 49.65 BARCLAYS BANK 06745QV89 06/05/24 06/03/27 100.000 0.000 5.2800 0.146667 0.150496 0.154469 0.158547 30.32 55.12 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK 06745Q3U1 03/28/24 03/30/26 100.000 0.000 5.3600 0.148889 0.148933 0.152925 0.157023 0.161231 41.02 56.55 BARCLAYS BANK 06745Q3V9 03/28/24 03/30/27 100.000 0.000 5.3100 0.147500 0.147544 0.151461 0.155482 0.159610 40.64 55.99 BARCLAYS BANK 06745Q3W7 03/28/24 03/29/29 100.000 0.000 5.2300 0.145278 0.149098 0.152997 0.156998 40.01 55.10 BARCLAYS BANK 06745PRP8 02/29/24 08/31/26 100.000 0.000 5.2500 0.145833 0.149683 0.153568 0.157644 44.51 55.56 BARCLAYS BANK 06745PRQ6 02/29/24 03/03/27 100.000 0.000 5.2600 0.146111 0.146197 0.150041 0.153988 0.158037 44.60 55.67 BARCLAYS BANK 06745PRR4 02/29/24 03/01/29 100.000 0.000 5.3100 0.147500 0.151460 0.155481 0.159609 45.02 56.23 BARCLAYS BANK 06745QUU1 05/28/24 02/25/27 100.000 0.000 5.2600 0.146111 0.147968 0.151860 0.155854 31.36 54.96 BARCLAYS BANK 06745QDS5 03/27/24 03/25/26 100.000 0.000 4.9300 0.136944 0.140283 0.143741 0.147284 37.84 51.80 BARCLAYS BANK 06745QDM8 03/28/24 03/29/29 100.000 VARIES 5.2300 0.146056 0.137056 0.134167 0.128222 38.42 48.04 BARCLAYS BANK 06745QUR8 05/18/24 05/18/28 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 33.19 55.80 BARCLAYS BANK 06745QDL0 04/02/24 04/01/26 100.000 0.000 5.0300 0.139722 0.143217 0.146819 0.150511 37.90 52.86 BARCLAYS BANK 06745QDE6 03/25/24 03/24/27 100.000 0.000 5.3900 0.149722 0.153735 0.157878 0.162133 41.71 56.90 BARCLAYS BANK 06745Q3C1 03/12/24 03/11/27 100.000 0.000 4.9600 0.137778 0.141176 0.144677 0.148265 40.19 52.23 BARCLAYS BANK 06745QDD8 04/10/24 04/10/29 100.000 VARIES 5.2300 0.145778 0.136444 0.132444 0.126833 36.67 47.79 BARCLAYS BANK 06745Q2W8 03/11/24 03/11/27 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 40.82 52.91 BARCLAYS BANK 06745QD97 03/25/24 03/25/26 100.000 0.000 4.9500 0.137500 0.140903 0.144390 0.147964 38.28 52.03 BARCLAYS BANK 06745PR37 02/09/24 02/09/29 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 48.23 56.62 BARCLAYS BANK 06745QTQ2 05/30/24 08/28/25 100.000 0.000 5.3200 0.147778 0.149700 0.153682 31.42 36.20 BARCLAYS BANK 06745Q2N8 03/27/24 09/27/28 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 38.54 52.79 BARCLAYS BANK 06745PR29 02/13/24 02/13/29 100.000 VARIES 5.4100 0.149778 0.149389 0.143167 0.145889 46.94 52.30 BARCLAYS BANK 06745Q2M0 03/27/24 09/27/29 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 38.38 52.57 BARCLAYS BANK 06745PQE4 03/04/24 09/07/27 100.000 0.000 5.2400 0.145556 0.145619 0.149434 0.153350 0.157367 43.68 55.41 BARCLAYS BANK 06745QCJ6 03/25/24 03/25/27 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 39.29 53.47 BARCLAYS BANK 06745Q2A6 03/28/24 03/30/28 100.000 0.000 5.2700 0.146389 0.146432 0.150290 0.154250 0.158315 40.33 55.55 BARCLAYS BANK 06745QCF4 03/27/24 03/27/28 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 38.38 52.57 BARCLAYS BANK 06745PQD6 03/04/24 12/04/26 100.000 0.000 5.2100 0.144722 0.146607 0.150426 0.154345 0.158366 43.48 55.07 BARCLAYS BANK 06745QTG4 06/10/24 12/10/25 100.000 0.000 5.0400 0.140000 0.143528 0.147145 28.21 49.31 BARCLAYS BANK 06745QSX8 05/13/24 05/11/28 100.000 VARIES 5.3200 0.147778 0.145800 0.143767 0.147589 33.32 52.59 BARCLAYS BANK 06745QSU4 06/05/24 06/05/29 100.000 0.000 5.3400 0.148333 0.152294 0.156360 0.160535 30.66 55.77 BARCLAYS BANK 06745QSV2 05/31/24 06/01/29 100.000 VARIES 5.4200 0.153167 0.144556 0.144944 0.141222 31.22 52.14 BARCLAYS BANK 06745QBP3 04/03/24 04/05/27 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 0.159934 39.95 56.06 BARCLAYS BANK 06745QSN0 06/05/24 06/05/29 100.000 0.000 5.3400 0.148333 0.152294 0.156360 0.160535 30.66 55.77 BARCLAYS BANK 06745PPC9 02/22/24 08/01/28 100.000 0.000 5.6300 0.156389 0.160278 0.164789 0.169428 48.91 59.88 BARCLAYS BANK 06745QSE0 06/05/24 06/04/26 100.000 0.000 5.2300 0.145278 0.149056 0.152953 0.156953 30.03 54.57 BARCLAYS BANK 06745PPB1 02/22/24 08/21/29 100.000 0.000 5.4900 0.152500 0.156663 0.160963 0.165382 47.66 58.31 BARCLAYS BANK 06745QRY7 05/31/24 06/01/29 100.000 0.000 5.4200 0.150556 0.154658 0.158850 0.163154 31.89 56.69 BARCLAYS BANK 06745QRZ4 06/05/24 06/05/29 100.000 0.000 5.3400 0.148333 0.152294 0.156360 0.160535 30.66 55.77 BARCLAYS BANK 06745QS67 05/31/24 06/02/31 100.000 0.000 5.3100 0.147500 0.147544 0.151461 0.155482 0.159610 31.25 55.49 BARCLAYS BANK 06745QS75 05/31/24 06/04/31 100.000 0.000 5.3100 0.147500 0.147587 0.151505 0.155528 0.159657 31.25 55.49 BARCLAYS BANK 06745QB57 03/20/24 03/18/27 100.000 0.000 5.4200 0.150556 0.154590 0.158780 0.163083 42.72 57.28 BARCLAYS BANK 06745QAT6 03/15/24 06/16/25 100.000 0.000 5.0200 0.139444 0.141214 0.144758 40.28 23.89 BARCLAYS BANK 06745QAU3 03/15/24 06/16/25 100.000 0.000 5.0200 0.139444 0.141214 0.144758 40.28 23.89 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK 06745QRW1 05/31/24 12/03/26 100.000 0.000 5.3500 0.148611 0.148677 0.152654 0.156738 0.160931 31.48 55.92 BARCLAYS BANK 06745QRX9 06/05/24 12/03/26 100.000 0.000 5.2500 0.145833 0.149619 0.153546 0.157577 30.15 54.79 BARCLAYS BANK 06745QRQ4 05/29/24 11/28/29 100.000 0.000 5.3300 0.148056 0.151979 0.156030 0.160188 31.52 55.71 BARCLAYS BANK 06745QRR2 05/29/24 11/29/28 100.000 0.000 5.3600 0.148889 0.152879 0.156976 0.161183 31.69 56.04 BARCLAYS BANK 06745PFY2 02/05/24 02/05/29 100.000 0.000 5.1300 0.142500 0.146155 0.149904 0.153749 46.99 54.40 BARCLAYS BANK 06745PFZ9 01/31/24 07/30/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 BARCLAYS BANK 06745UEJ5 08/05/24 08/03/29 100.000 0.000 4.8400 0.134444 0.137662 0.140993 19.63 49.95 BARCLAYS BANK 06745PG54 02/05/24 02/04/27 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 46.43 53.73 BARCLAYS BANK 06745QZZ5 06/07/24 12/09/25 100.000 0.000 5.2500 0.145833 0.145876 0.149705 0.153635 29.84 51.31 BARCLAYS BANK 06745QJ59 05/03/24 05/03/29 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 36.54 57.69 BARCLAYS BANK 06745PG21 01/31/24 01/29/27 100.000 0.000 5.2300 0.145278 0.149056 0.152953 0.156953 48.66 55.56 BARCLAYS BANK 06745PWT2 02/28/24 02/26/27 100.000 0.000 5.2300 0.145278 0.149035 0.152932 0.156931 44.49 55.34 BARCLAYS BANK 06745PX55 03/01/24 03/04/27 100.000 0.000 5.2700 0.146389 0.146453 0.150312 0.154273 0.158338 44.39 55.76 BARCLAYS BANK 06745PWT4 02/28/24 03/27/25 100.000 0.000 5.1400 0.142778 0.143369 0.147054 43.77 12.65 BARCLAYS BANK 06745PG39 01/31/24 01/31/29 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 49.60 56.69 BARCLAYS BANK 06745PFR7 01/24/24 07/24/29 100.000 0.000 5.2600 0.146111 0.149954 0.153898 0.157945 49.84 55.95 BARCLAYS BANK 06745PG47 02/05/24 02/05/26 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 47.17 54.62 BARCLAYS BANK 06745PFS5 01/25/24 07/24/28 100.000 0.000 5.3400 0.148333 0.152272 0.156337 0.160512 50.46 56.84 BARCLAYS BANK 06745P5L1 12/27/23 06/25/26 100.000 0.000 5.1600 0.57 0.143333 0.146990 0.150783 0.154673 0.158663 52.30 55.03 BARCLAYS BANK 06745QJ26 04/30/24 04/30/31 100.000 0.000 5.4700 0.151944 0.156100 0.160369 0.164756 36.87 57.49 BARCLAYS BANK 06745P5F4 12/27/23 12/27/28 100.000 0.000 5.1200 0.57 0.142222 0.145863 0.149597 0.153427 0.157355 51.88 54.58 BARCLAYS BANK 06745U3U2 06/28/24 06/30/27 100.000 0.000 5.2800 0.146667 0.146710 0.150583 0.154558 0.158639 26.85 54.93 BARCLAYS BANK 06745U3V0 06/28/24 06/28/29 100.000 0.000 5.2100 0.144722 0.148492 0.152360 0.156329 26.50 54.18 BARCLAYS BANK 06745PFD8 02/05/24 08/05/26 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 46.80 54.18 BARCLAYS BANK 06745U3Q1 06/28/24 12/31/26 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 0.159934 27.06 55.37 BARCLAYS BANK 06745PFE6 01/31/24 01/31/29 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 49.60 56.69 BARCLAYS BANK 06745U3R9 06/28/24 06/30/27 100.000 0.000 5.2800 0.146667 0.146710 0.150583 0.154558 0.158639 26.85 54.93 BARCLAYS BANK 06745P5D9 12/27/23 12/24/26 100.000 0.000 5.1000 0.57 0.141667 0.145219 0.148922 0.152720 0.156614 51.69 54.35 BARCLAYS BANK 06745U3S7 06/28/24 06/28/29 100.000 0.000 5.2100 0.144722 0.148492 0.152360 0.156329 26.50 54.18 BARCLAYS BANK 06745UE55 07/31/24 07/31/29 100.000 0.000 4.9900 0.138611 0.142069 0.145614 20.93 51.58 BARCLAYS BANK 06745P5E7 12/27/23 12/27/27 100.000 0.000 5.1400 0.57 0.142778 0.146447 0.150211 0.154071 0.158031 52.09 54.80 BARCLAYS BANK 06745PFA4 01/31/24 01/29/31 100.000 0.000 5.5400 0.153889 0.158128 0.162508 0.167010 51.58 59.06 BARCLAYS BANK 06745UDN7 07/31/24 07/31/29 100.000 0.000 4.9900 0.138611 0.142069 0.145614 20.93 51.58 BARCLAYS BANK 06745PFC0 01/31/24 07/29/26 100.000 0.000 5.2600 0.146111 0.149932 0.153876 0.157923 48.94 55.90 BARCLAYS BANK 06745UDP2 07/31/24 01/29/27 100.000 0.000 4.9700 0.138056 0.141467 0.144983 20.85 51.37 BARCLAYS BANK 06745UDL1 07/31/24 07/29/27 100.000 0.000 4.9700 0.138056 0.141467 0.144983 20.85 51.37 BARCLAYS BANK 06745UDE7 08/02/24 05/05/27 100.000 0.000 4.9600 0.137778 0.139543 0.143004 0.146550 20.63 51.25 BARCLAYS BANK 06745QHY8 04/30/24 04/30/29 100.000 0.000 5.5600 0.154444 0.158738 0.163151 0.167687 37.48 58.49 BARCLAYS BANK 06745PVY4 02/21/24 08/19/27 100.000 0.000 5.5100 0.153056 0.157225 0.161557 0.166008 48.00 58.54 BARCLAYS BANK 06745QHZ5 04/30/24 04/30/31 100.000 0.000 5.4700 0.151944 0.156100 0.160369 0.164756 36.87 57.49 BARCLAYS BANK 06745UDC1 07/31/24 07/31/28 100.000 0.000 4.9900 0.138611 0.142069 0.145614 20.93 51.58 BARCLAYS BANK 06745PW80 02/28/24 02/28/28 100.000 8.000 5.2700 0.146389 0.144389 0.142333 0.146111 44.11 51.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK 06745QZ77 06/28/24 06/29/28 100.000 0.000 5.2600 0.146111 0.149975 0.153920 0.157968 26.75 54.72 BARCLAYS BANK 06745QHM4 05/03/24 05/05/26 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 0.160907 35.60 56.15 BARCLAYS BANK 06745UCY4 07/24/24 01/25/30 100.000 0.000 5.0600 0.140556 0.144131 0.147778 22.07 52.37 BARCLAYS BANK 06745QHN2 04/30/24 04/30/29 100.000 0.000 5.5600 0.154444 0.158738 0.163151 0.167687 37.48 58.49 BARCLAYS BANK 06745UCZ1 07/24/24 01/24/29 100.000 0.000 5.0900 0.141389 0.144987 0.148677 22.20 52.69 BARCLAYS BANK 06745QHL6 04/30/24 10/29/26 100.000 0.000 5.3800 0.149444 0.153442 0.157570 0.161808 36.26 56.50 BARCLAYS BANK 06745PEB3 02/02/24 08/04/27 100.000 0.000 5.2400 0.145556 0.145598 0.149413 0.153327 0.157344 48.46 55.66 BARCLAYS BANK 06745QYG8 07/02/24 12/30/27 100.000 0.000 5.0100 0.139167 0.142614 0.146187 0.149849 24.91 51.99 BARCLAYS BANK 06745PVD0 03/01/24 03/04/27 100.000 0.000 5.2700 0.146389 0.146453 0.150312 0.154273 0.158338 44.39 55.76 BARCLAYS BANK 06745PEA5 02/02/24 11/04/26 100.000 0.000 5.2600 0.146111 0.148075 0.151970 0.155966 0.160068 48.76 55.89 BARCLAYS BANK 06745UTL4 08/20/24 08/20/29 100.000 0.250 4.5900 0.136611 0.139556 0.142611 17.90 50.50 BARCLAYS BANK 06745PUX7 02/29/24 03/01/29 100.000 VARIES 5.3200 0.148167 0.143111 0.136556 0.136056 43.22 49.52 BARCLAYS BANK 06745QGT0 04/30/24 04/28/28 100.000 0.000 5.5300 0.153611 0.157811 0.162175 0.166659 37.28 58.15 BARCLAYS BANK 06745PUT6 02/22/24 02/19/27 100.000 0.000 5.5400 0.153889 0.158081 0.162459 0.166960 48.10 58.87 BARCLAYS BANK 06745Q6N4 03/28/24 03/28/31 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 39.17 53.89 BARCLAYS BANK 06745UBZ2 07/10/24 07/09/27 100.000 0.000 5.1900 0.144167 0.147887 0.151725 24.65 53.87 BARCLAYS BANK 06745Q6M6 03/28/24 03/28/31 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 39.17 53.89 BARCLAYS BANK 06745PUP4 03/05/24 03/05/30 100.000 0.000 5.2700 0.146389 0.150246 0.154205 0.158269 43.78 55.73 BARCLAYS BANK 06745Q6P9 04/03/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146719 0.150497 0.154372 38.66 54.18 BARCLAYS BANK 06745QGK9 04/30/24 04/30/29 100.000 0.000 5.5600 0.154444 0.158738 0.163151 0.167687 37.48 58.49 BARCLAYS BANK 06745Q6K0 04/03/24 10/01/26 100.000 0.000 5.1000 0.141667 0.145239 0.148943 0.152741 38.29 53.63 BARCLAYS BANK 06745Q6J3 03/28/24 09/30/26 100.000 0.000 5.3600 0.148889 0.148933 0.152925 0.157023 0.161231 41.02 56.55 BARCLAYS BANK 06745Q6L8 03/28/24 03/29/29 100.000 0.000 5.2300 0.145278 0.149098 0.152997 0.156998 40.01 55.10 BARCLAYS BANK 06745QGG8 05/03/24 05/03/29 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 36.54 57.69 BARCLAYS BANK 06745QGH6 05/03/24 05/05/27 100.000 0.000 5.3400 0.148333 0.148377 0.152339 0.156406 0.160583 35.54 56.04 BARCLAYS BANK 06745QGJ2 04/30/24 04/29/27 100.000 0.000 5.3800 0.149444 0.153442 0.157570 0.161808 36.26 56.50 BARCLAYS BANK 06745Q6H7 03/28/24 03/29/29 100.000 0.000 5.2300 0.145278 0.149098 0.152997 0.156998 40.01 55.10 BARCLAYS BANK 06745Q6A2 04/03/24 04/02/26 100.000 0.000 5.0900 0.141389 0.144967 0.148657 0.152440 38.21 53.52 BARCLAYS BANK 06745Q5Y1 04/03/24 04/01/27 100.000 0.000 5.1100 0.141944 0.145531 0.149249 0.153062 38.36 53.74 BARCLAYS BANK 06745Q5Z8 04/03/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146719 0.150497 0.154372 38.66 54.18 BARCLAYS BANK 06745UBA7 06/24/24 09/18/25 100.000 0.000 5.4900 0.152500 0.154454 0.158693 28.72 40.46 BARCLAYS BANK 06745Q5T7 06/05/24 06/04/27 100.000 0.000 5.2800 0.146667 0.150517 0.154491 0.158569 30.32 55.12 BARCLAYS BANK 06745QG78 04/24/24 10/24/29 100.000 0.000 5.4700 0.151944 0.156100 0.160369 0.164756 37.81 57.54 BARCLAYS BANK 06745QG86 04/24/24 10/24/28 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 37.95 57.77 BARCLAYS BANK 06745QFW4 05/03/24 05/05/26 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 0.160907 35.60 56.15 BARCLAYS BANK 06745QFY0 05/03/24 05/05/27 100.000 0.000 5.3400 0.148333 0.148377 0.152339 0.156406 0.160583 35.54 56.04 BARCLAYS BANK 06745QFX2 05/03/24 05/03/29 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 36.54 57.69 BARCLAYS BANK 06745Q5R1 05/30/24 05/27/27 100.000 0.000 5.3300 0.148056 0.151935 0.155985 0.160142 31.37 55.70 BARCLAYS BANK 06745Q5R6 03/13/24 06/12/25 100.000 0.000 4.9500 0.137500 0.139183 0.142627 40.00 22.96 BARCLAYS BANK 06745Q5S4 03/13/24 06/12/26 100.000 0.000 4.9500 0.137500 0.139183 0.142627 0.146157 0.149775 40.00 52.12 BARCLAYS BANK 06745PTS0 02/22/24 02/21/31 100.000 0.000 5.7300 0.159167 0.163701 0.168392 0.173216 49.77 61.01 BARCLAYS BANK 06745QFM6 04/30/24 04/29/27 100.000 0.000 5.3800 0.149444 0.153442 0.157570 0.161808 36.26 56.50 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK 06745QFN4 04/30/24 04/30/29 100.000 0.000 5.5600 0.154444 0.158738 0.163151 0.167687 37.48 58.49 BARCLAYS BANK 06745PCM1 12/28/23 06/25/26 100.000 0.000 5.1200 0.43 0.142222 0.145802 0.149535 0.153363 0.157289 51.89 54.57 BARCLAYS BANK 06745QFL8 04/30/24 10/29/26 100.000 0.000 5.3800 0.149444 0.153442 0.157570 0.161808 36.26 56.50 BARCLAYS BANK 06745PTC5 02/29/24 03/01/29 100.000 0.000 5.3100 0.147500 0.151460 0.155481 0.159609 45.02 56.23 BARCLAYS BANK 06745Q5F7 06/05/24 06/04/27 100.000 0.000 5.2800 0.146667 0.150517 0.154491 0.158569 30.32 55.12 BARCLAYS BANK 06745QFB0 04/22/24 05/04/29 100.000 0.000 5.4800 0.152222 0.152500 0.156679 0.160972 0.165382 38.21 57.67 BARCLAYS BANK 06745PTA9 02/29/24 03/03/31 100.000 0.000 5.2200 0.145000 0.145084 0.148871 0.152756 0.156743 44.26 55.22 BARCLAYS BANK 06745Q5A3 03/20/24 03/22/27 100.000 0.000 5.4200 0.150556 0.150601 0.154682 0.158874 0.163180 42.72 57.28 BARCLAYS BANK 06745PTB7 02/29/24 03/03/31 100.000 0.000 5.2200 0.145000 0.145084 0.148871 0.152756 0.156743 44.26 55.22 BARCLAYS BANK 06745PT76 02/29/24 08/31/26 100.000 0.000 5.2500 0.145833 0.149683 0.153568 0.157644 44.51 55.56 BARCLAYS BANK 06745PT84 03/05/24 09/03/26 100.000 0.000 5.1800 0.143889 0.147574 0.151396 0.155318 43.03 54.73 BARCLAYS BANK 06745PC82 12/28/23 12/28/28 100.000 VARIES 5.1200 0.42 0.142389 0.138278 0.135778 0.134667 0.132056 50.10 48.68 BARCLAYS BANK 06745PT92 02/29/24 03/01/29 100.000 0.000 5.3100 0.147500 0.151460 0.155481 0.159609 45.02 56.23 BARCLAYS BANK 06745PKC4 01/23/24 01/23/29 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 50.67 56.75 BARCLAYS BANK 06745PJZ5 01/31/24 05/01/25 100.000 0.000 5.3400 0.148333 0.150336 0.154350 49.82 18.52 BARCLAYS BANK 06745QMM8 05/03/24 05/03/28 100.000 0.000 5.4700 0.151944 0.156100 0.160369 0.164756 36.40 57.47 BARCLAYS BANK 06745UHK9 08/05/24 08/03/28 100.000 0.000 4.8400 0.134444 0.137662 0.140993 19.63 49.95 BARCLAYS BANK 06745PZL8 03/20/24 04/05/27 100.000 0.000 5.4200 0.150556 0.150896 0.154985 0.159185 0.163499 42.75 57.28 BARCLAYS BANK 06745PZH7 03/06/24 03/06/28 100.000 0.000 5.1700 0.143611 0.147323 0.151132 0.155039 42.79 54.61 BARCLAYS BANK 06745PZF1 04/01/24 09/30/27 100.000 0.000 5.1000 0.141667 0.145259 0.148963 0.152762 38.58 53.64 BARCLAYS BANK 06745QLA5 04/29/24 04/27/29 100.000 VARIES 5.4900 0.151000 0.145611 0.141778 0.137889 35.87 51.27 BARCLAYS BANK 06745U6E5 06/26/24 09/25/25 100.000 0.000 5.4900 0.152500 0.154570 0.158813 28.41 41.57 BARCLAYS BANK 06745PYV7 02/29/24 03/02/29 100.000 0.000 5.3200 0.147778 0.147843 0.151776 0.155813 0.159958 45.12 56.34 BARCLAYS BANK 06745PHQ7 01/16/24 01/16/29 100.000 6.500 5.2400 0.144444 0.142667 0.141667 0.143000 49.39 50.85 BARCLAYS BANK 06745PZ38 04/01/24 09/30/27 100.000 0.000 5.1000 0.141667 0.145259 0.148963 0.152762 38.58 53.64 BARCLAYS BANK 06745PZ53 04/01/24 04/01/30 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 38.42 53.42 BARCLAYS BANK 06745PYT2 03/05/24 03/12/25 100.000 0.000 5.1000 0.141667 0.141807 0.145423 42.37 10.33 BARCLAYS BANK 06745QKN8 04/23/24 04/22/27 100.000 0.000 5.4400 0.151111 0.155198 0.159420 0.163756 37.76 57.22 BARCLAYS BANK 06745U5P1 07/03/24 07/03/29 100.000 0.000 5.3100 0.147500 0.151416 0.155436 26.25 55.22 BARCLAYS BANK 06745U5Q9 06/28/24 06/30/31 100.000 0.000 5.1100 0.141944 0.141985 0.145612 0.149333 0.153148 25.99 53.10 BARCLAYS BANK 06745U5R7 06/28/24 06/30/31 100.000 0.000 5.1100 0.141944 0.141985 0.145612 0.149333 0.153148 25.99 53.10 BARCLAYS BANK 06745U5L0 06/28/24 12/31/26 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 0.159934 27.06 55.37 BARCLAYS BANK 06745U5M8 07/03/24 12/31/26 100.000 0.000 5.3800 0.149444 0.153397 0.157524 0.161761 26.61 55.97 BARCLAYS BANK 06745U5N6 06/28/24 06/28/29 100.000 0.000 5.2100 0.144722 0.148492 0.152360 0.156329 26.50 54.18 BARCLAYS BANK 06745PHB0 01/24/24 01/23/26 100.000 0.000 5.3100 0.147500 0.151394 0.155414 0.159540 50.32 56.51 BARCLAYS BANK 06745U5E6 07/03/24 07/01/27 100.000 0.000 5.3500 0.152542 0.156623 0.160812 26.45 55.65 BARCLAYS BANK 06745QJW0 05/01/24 10/29/26 100.000 0.000 5.3700 0.149167 0.153127 0.157239 0.161461 36.05 56.38 BARCLAYS BANK 06745U5C0 07/03/24 07/03/29 100.000 0.000 5.3100 0.147500 0.151416 0.155436 26.25 55.22 BARCLAYS BANK 06745QJS9 04/08/24 04/09/26 100.000 0.000 5.0400 0.140000 0.143548 0.147165 0.150874 37.11 52.93 BARCLAYS BANK 06745P6H9 12/27/23 12/27/30 100.000 0.000 5.2900 0.59 0.146944 0.150831 0.154821 0.158916 0.163119 53.63 56.51 BARCLAYS BANK 06745QJN0 05/01/24 04/29/27 100.000 0.000 5.3700 0.149167 0.153127 0.157239 0.161461 36.05 56.38 BARCLAYS BANK 06745P6L0 12/27/23 12/24/26 100.000 0.000 5.1000 0.57 0.141667 0.145219 0.148922 0.152720 0.156614 51.69 54.35 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK 06745UEU0 08/05/24 08/03/29 100.000 0.000 4.8400 0.134444 0.137662 0.140993 19.63 49.95 BARCLAYS BANK 06745UF62 08/05/24 08/05/27 100.000 0.000 4.8300 0.134167 0.137407 0.140725 19.59 49.84 BARCLAYS BANK 06745UET3 08/05/24 08/05/27 100.000 0.000 4.8300 0.134167 0.137407 0.140725 19.59 49.84 BARCLAYS BANK 06745P6E6 12/27/23 12/27/30 100.000 0.000 5.2900 0.59 0.146944 0.150831 0.154821 0.158916 0.163119 53.63 56.51 BARCLAYS BANK 06745UF70 08/05/24 08/03/29 100.000 0.000 4.8400 0.134444 0.137662 0.140993 19.63 49.95 BARCLAYS BANK 06745P6F3 12/27/23 06/25/26 100.000 0.000 5.1600 0.57 0.143333 0.146990 0.150783 0.154673 0.158663 52.30 55.03 BARCLAYS BANK 06745P6G1 12/27/23 12/27/28 100.000 0.000 5.1200 0.57 0.142222 0.145863 0.149597 0.153427 0.157355 51.88 54.58 BARCLAYS BANK 06745U4N7 07/03/24 07/03/29 100.000 0.000 5.3100 0.147500 0.151416 0.155436 26.25 55.22 BARCLAYS BANK 06745UEP1 07/31/24 07/31/29 100.000 0.000 4.9900 0.138611 0.142069 0.145614 20.93 51.58 BARCLAYS BANK 06745U4P2 07/03/24 07/02/26 100.000 0.000 5.4000 0.150000 0.154028 0.158186 26.70 56.19 BARCLAYS BANK 06745UF21 08/05/24 08/05/26 100.000 0.000 4.8800 0.135556 0.138863 0.142251 19.79 50.37 BARCLAYS BANK 06745UER7 07/31/24 07/30/27 100.000 0.000 4.9700 0.138056 0.141486 0.145002 20.85 51.37 BARCLAYS BANK 06745UEK2 07/31/24 07/31/27 100.000 0.000 4.9500 0.137500 0.140903 0.144390 20.76 51.15 BARCLAYS BANK 06745UEL0 07/31/24 01/29/27 100.000 0.000 4.9900 0.138611 0.142050 0.145594 20.93 51.58 BARCLAYS BANK 06745UEM8 07/31/24 07/31/31 100.000 0.000 4.9500 0.137500 0.140903 0.144390 20.76 51.15 BARCLAYS BANK 06745U4M9 07/03/24 07/01/27 100.000 0.000 5.3500 0.152542 0.156623 0.160812 26.45 55.65 BARCLAYS BANK 06745UEN6 08/05/24 02/04/27 100.000 0.000 4.8500 0.134722 0.137971 0.141317 19.67 50.05 BARCLAYS BANK PLC 06748XSU6 09/15/22 09/15/25 100.000 VARIES 3.2900 7.34 0.015944 0.015833 0.015722 0.015581 5.70 3.97 BARCLAYS BANK PLC 06748XQP9 09/02/22 09/02/25 100.000 VARIES 3.3800 5.33 0.011278 0.111829 0.011090 0.010995 4.02 2.66 BARCLAYS BANK PLC 06748XV81 09/23/22 09/25/25 100.000 0.000 5.6800 73.96 0.166919 0.171660 0.176535 0.181549 61.87 47.51 BEMIS COMPANY INC 081437AQ8 06/13/19 09/15/26 95.210 3.100 3.8632 28.48 0.018902 0.019267 0.019639 0.020018 0.020405 6.95 7.22 BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25 92.621 0.000 1.4630 47.43 0.039470 0.039759 0.040050 0.040343 14.30 12.07 BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24 94.579 0.000 1.3130 43.37 0.035998 0.036234 10.84 BGC Group Inc. 05541TAQ4 10/06/23 05/25/28 97.311 8.000 8.7170 1.15 0.013871 0.014000 0.014713 0.015222 0.016016 5.04 5.48 BGC Group Inc. 05541TAP6 10/06/23 12/15/25 92.385 4.375 8.2400 7.85 0.094693 0.095778 0.097625 0.098944 34.48 35.62 BIOMARIN PHARMACEUTICAL 09061GAH4 08/11/17 08/01/24 98.000 0.599 0.8955 18.28 0.008164 0.008201 1.72 BOFA Finance LLC 09709T5W7 07/30/21 07/30/31 100.000 VARIES 2.1299 51.09 0.058119 0.058179 0.058240 0.058302 0.058364 20.95 21.00 BOFA Finance LLC 09709T5V9 07/29/21 07/29/36 100.000 VARIES 2.5499 60.53 0.068853 0.068918 0.068983 0.069050 0.069117 24.82 24.87 BOFA Finance LLC 09709T5X5 08/03/21 08/03/31 100.000 VARIES 2.1400 51.13 0.058713 0.058755 0.058798 0.058841 0.058884 21.16 21.19 BOFA Finance LLC 09709T6D8 10/19/21 10/19/41 100.000 VARIES 2.9997 64.27 0.080101 0.080170 0.080239 0.080309 0.080380 28.86 28.91 BOFA Finance LLC 09709T6F3 11/17/21 11/17/31 100.000 VARIES 2.6999 56.83 0.074115 0.074164 0.074215 0.074266 0.074318 26.69 26.73 BOFA Finance LLC 09709T6E6 11/12/21 11/12/36 100.000 VARIES 2.6670 56.12 0.072448 0.072502 0.072555 0.072610 0.072665 26.10 26.13 BOFA Finance LLC 09709T6B2 09/24/21 09/24/31 100.000 VARIES 2.3499 52.76 0.064302 0.064357 0.064414 0.064471 0.064528 23.17 23.21 BOFA Finance LLC 09709T6A4 09/30/21 09/30/41 100.000 VARIES 3.0153 66.36 0.080935 0.080995 0.081056 0.081117 0.081179 29.16 29.20 BOFA Finance LLC 09709TXD8 11/27/19 11/28/24 100.000 0.000 2.3000 98.17 0.070013 0.070818 23.04 BOFA Finance LLC 09709T6N6 05/18/22 05/18/32 100.000 VARIES 4.7335 77.34 0.134582 0.135664 0.135446 0.135223 0.134994 48.68 48.70 BOFA Finance LLC 09709TGZ8 06/20/19 06/18/24 100.000 0.000 2.5962 123.98 0.080981 13.52 BOFA Finance LLC 09709TJM4 01/31/19 01/26/24 100.000 0.000 3.3706 178.75 0.108785 2.72 BOFA Finance LLC 09710F496 04/29/22 04/17/25 100.000 0.000 3.6593 62.57 0.107202 0.109163 0.111160 39.24 11.78 BOFA Finance LLC 09709UTW8 10/25/21 10/27/28 100.000 0.000 1.9500 43.29 0.056316 0.056865 0.057419 0.057979 0.058545 20.44 20.84 BOFA Finance LLC 09709TUA7 07/31/19 01/31/24 100.000 0.000 2.3707 109.78 0.072363 2.10 BOFA Finance LLC 097098297 02/28/19 02/28/25 100.000 0.000 3.3423 174.12 0.107778 0.109579 0.111410 39.57 6.35 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27 97.935 3.588 3.8804 11.71 0.007099 0.007237 0.007377 0.007520 0.007666 2.60 2.70 BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27 94.278 3.017 3.8468 33.62 0.020173 0.020561 0.020956 0.021359 0.021770 7.46 7.75 BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26 95.741 3.119 3.7851 27.80 0.016847 0.017166 0.017491 0.017822 0.018159 6.16 6.39 BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26 93.491 0.000 1.2799 38.38 0.034437 0.034657 0.034879 0.035102 0.035327 12.50 12.66 BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27 91.617 0.000 1.4001 41.21 0.037037 0.037296 0.037557 0.037820 0.038085 13.45 13.64 BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28 88.094 0.000 1.7500 49.76 0.044944 0.045338 0.045734 0.046135 0.046538 16.36 16.65 BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24 96.943 0.000 0.9502 29.41 0.026269 1.16 BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25 95.621 0.000 1.0501 32.11 0.028715 0.028866 0.029017 10.41 1.28 BROOKHAVEN N Y LOC DEV 113168BH0 10/29/20 10/01/25 98.910 4.500 4.7509 6.74 0.006345 0.006496 0.006650 0.006808 2.34 1.82 BURLESON TEX INDPT SCH 1214034B2 07/01/20 08/01/25 90.706 0.000 1.9281 63.02 0.051541 0.052038 0.052539 0.053046 18.79 11.12 BURLESON TEX INDPT SCH 1214034A4 07/01/20 08/01/24 92.838 0.000 1.8281 61.07 0.049865 0.050321 10.55 BURLESON TEX INDPT SCH 1214034C0 07/01/20 08/01/26 87.833 0.000 2.1439 68.08 0.055862 0.056460 0.057066 0.057677 0.058296 20.40 20.84 BURLESON TEX INDPT SCH 1214034E6 07/01/20 08/01/28 82.817 0.000 2.3459 70.46 0.057992 0.058673 0.059361 0.060057 0.060762 21.21 21.71 BURLESON TEX INDPT SCH 1214034D8 07/01/20 08/01/27 85.379 0.000 2.2439 69.37 0.057009 0.057649 0.058296 0.058950 0.059611 20.83 21.30 BURLESON TEX INDPT SCH 1214034F3 07/01/20 08/01/29 80.401 0.000 2.4159 70.52 0.058104 0.058806 0.059517 0.060235 0.060963 21.26 21.77 Banco de Galicia 059538AR9 07/19/16 07/19/26 100.000 VARIES 8.7499 662.86 0.247881 0.247160 0.246407 0.245622 0.244802 88.87 88.31 Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26 100.000 VARIES 0.0000 662.86 0.247881 0.247160 0.246407 0.245622 0.244802 88.87 88.31 Bank Of Montreal 06374V3D6 09/09/22 06/06/25 100.000 0.000 4.2780 57.15 0.125253 0.127932 0.130669 45.71 20.25 Bank Of Montreal 06374VF43 12/27/22 12/28/26 100.000 0.000 4.8310 49.45 0.140774 0.144175 0.147657 0.151224 0.154877 51.31 53.82 Bank Of Montreal 06374VFG6 12/28/22 01/29/24 100.000 0.000 5.5200 56.55 0.158314 4.43 Bank Of Montreal 06374VFH4 12/28/22 06/28/24 100.000 0.000 5.2960 54.13 0.155005 27.44 Bank Of Montreal 06374VFE1 12/27/22 01/29/24 100.000 0.000 5.4600 56.08 0.156563 4.38 Bank Of Montreal 06374VFF8 12/27/22 06/27/24 100.000 0.000 5.2200 53.49 0.152668 26.87 Bank Of Montreal 06374VH25 12/20/22 12/18/25 100.000 0.000 4.8960 51.14 0.142702 0.146196 0.149774 0.153441 52.09 52.63 Bank Of Montreal 06374VGA8 12/28/22 12/29/25 100.000 0.000 4.8850 49.87 0.142423 0.145902 0.149465 0.153116 51.91 54.17 Bank Of Montreal 06374VGZ3 12/20/22 12/18/25 100.000 0.000 4.8960 51.14 0.142702 0.146196 0.149774 0.153441 52.09 52.63 Bank Of Montreal 06374VHM1 01/31/23 01/29/27 100.000 0.000 4.8961 45.52 0.139314 0.142724 0.146218 0.149798 0.153465 51.82 54.38 Bank Of Montreal 06374VJ23 01/31/23 07/31/24 100.000 0.000 5.5803 51.96 0.159333 0.163779 34.10 Bank Of Montreal 06374VJ31 01/31/23 10/31/24 100.000 0.000 5.4607 50.96 0.157955 0.162268 48.00 Bank Of Montreal 06374VJ56 02/03/23 10/31/24 100.000 0.000 5.3926 49.85 0.155838 0.160040 47.35 Bank Of Montreal 06374VJ49 02/03/23 07/31/24 100.000 0.000 5.4964 50.70 0.156804 0.161113 33.55 Bank of America Corp 09709T6Z9 05/11/23 05/14/24 100.000 0.000 5.1500 33.09 0.146802 19.52 Bank of America Corp 09709T7B1 05/09/23 05/10/24 100.000 0.000 5.2200 33.83 0.148806 19.20 Bank of America Corp 09709T7A3 05/09/23 05/10/24 100.000 0.000 5.2200 33.83 0.148806 19.20 Bank of America Corp 06048WZ52 10/20/22 10/20/27 100.000 0.000 5.3793 65.70 0.157571 0.161809 0.166161 0.170630 0.175220 58.10 61.27 Bank of America Corp 09709V6D3 10/21/22 10/20/25 100.000 0.000 5.4000 65.81 0.158186 0.162457 0.166844 0.171348 58.33 49.03 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3142 612.95 0.141371 0.141689 0.142016 0.142351 0.142695 51.01 51.25 Bank of America Corp. 06048WZE3 02/06/19 02/06/39 100.000 0.000 4.7730 260.24 0.163937 0.167850 0.171856 0.175957 0.180156 60.87 63.81 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 585.86 0.134030 0.134323 0.134623 0.134930 0.135245 48.38 48.60 Bank of America Corp. 06048WG61 12/23/19 12/23/49 100.000 0.000 3.6664 157.36 0.117775 0.119934 0.122132 0.124371 0.126651 42.82 44.41 Bank of America Corp. 06048WWY2 06/27/18 06/27/28 100.000 VARIES 3.6179 32.18 0.016002 0.016291 0.016586 0.016886 0.017191 5.82 6.03 Bank of America Corp. 06048WWX4 06/13/18 06/13/28 100.000 VARIES 3.6250 27.93 0.014250 0.014508 0.014771 0.015039 0.015312 5.19 5.38 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6399 693.94 0.152212 0.152454 0.152704 0.152960 0.153224 54.90 55.08 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 721.85 0.157402 0.157930 0.158474 0.159034 0.159611 56.78 57.17 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6999 699.03 0.151067 0.151496 0.151938 0.152392 0.152859 54.50 54.82 Bank of America Corp. 06048WVM9 01/30/18 01/30/28 100.000 VARIES 3.1591 21.69 0.010351 0.010514 0.010680 0.010849 0.011020 3.81 3.93 Bank of America Corp. 06048WWA4 03/27/18 03/27/28 100.000 VARIES 3.7904 218.82 0.105457 0.105440 0.105423 0.105405 0.105386 37.96 37.95 Bank of America Corp. 06048WUR9 08/25/17 08/25/29 100.000 VARIES 1.6609 17.70 0.007820 0.007885 0.007950 0.008016 0.008083 2.84 2.89 Bank of America Corp. 06048WUT5 08/28/17 08/28/27 100.000 VARIES 1.7157 23.03 0.010266 0.010354 0.010443 0.010532 0.010623 3.73 3.80 Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2017 638.09 0.137264 0.137698 0.138144 0.138602 0.139071 49.56 49.88 Bank of America Corp. 06051GHN2 08/29/18 12/15/37 43.329 0.000 4.3817 112.86 0.066344 0.067798 0.069283 0.070801 0.072352 24.19 25.26 Bank of America Corp. 06048WTR1 10/28/16 10/28/26 100.000 VARIES 2.1950 19.69 0.007934 0.008021 0.008109 0.008198 0.008288 2.88 2.95 Bank of America Corp. 06048WB74 08/02/19 08/02/49 100.000 0.000 4.1568 199.17 0.136122 0.138951 0.141839 0.144787 0.147796 50.37 52.48 Bank of America Corp. 06048WRV4 10/30/15 10/30/25 100.000 VARIES 2.4485 26.62 0.009486 0.009602 0.009720 0.009839 3.45 2.93 Bank of America Corp. 06048WRU6 09/30/15 09/30/30 100.000 VARIES 2.8047 51.63 0.016793 0.017029 0.017268 0.017510 0.017755 6.13 6.30 Bank of America Corp. 06048WPF1 10/10/13 10/10/33 100.000 VARIES 4.7034 460.89 0.126212 0.126388 0.126569 0.126754 0.126943 45.50 45.63 Bank of America Corp. 06048WPE4 09/23/13 09/23/33 100.000 VARIES 4.8735 479.40 0.130677 0.130862 0.131052 0.131246 0.131445 47.11 47.25 Bank of America Corp. 06048WPJ3 12/23/13 12/23/33 100.000 VARIES 4.8649 467.75 0.130659 0.130835 0.131016 0.131201 0.131391 47.07 47.20 Bank of America Corp. 06048WPD6 08/30/13 08/30/33 100.000 VARIES 4.9958 496.12 0.132071 0.132244 0.133150 0.132604 0.133520 48.50 48.55 Bank of America Corp. 06048WPB0 08/06/13 08/06/33 100.000 VARIES 4.8453 483.63 0.130119 0.130296 0.130476 0.130662 0.130851 46.93 47.06 Bank of America Corp. 06048WPN4 03/20/14 03/20/34 100.000 VARIES 4.4527 416.43 0.119155 0.119326 0.119502 0.119681 0.119864 42.96 43.09 Bank of America Corp. 06048WPM6 02/28/14 02/29/24 100.000 VARIES 3.7879 364.21 0.103775 6.12 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33 100.000 VARIES 5.0043 502.43 0.134281 0.134466 0.134656 0.134850 0.135050 48.44 48.58 Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3492 343.38 0.123542 0.125611 0.127714 0.129853 0.132027 45.37 46.90 Bank of America Corporat 06055JAF6 02/28/23 03/28/24 100.000 VARIES 6.2400 4.86 0.024138 6.47 Bank of America Corporat 09709T6G1 04/13/22 10/17/24 100.000 0.000 3.1000 54.26 0.090209 0.091607 26.05 Bank of America Corporat 09711AZU5 11/30/23 11/30/28 100.000 0.000 5.2800 4.55 0.146667 0.150539 0.154513 0.158592 0.162779 53.74 56.62 Bank of America Corporat 09709T6P1 05/31/22 10/02/24 100.000 0.000 3.3400 54.01 0.096988 0.098608 26.58 Bank of America Corporat 09709T6Q9 07/28/22 07/28/32 100.000 0.000 4.5700 66.54 0.132812 0.135847 0.138951 0.142126 0.145374 49.30 51.58 Bank of America Corporat 06048WZ78 11/10/22 11/10/25 100.000 VARIES 4.1100 8.00 0.019780 0.019402 0.019558 0.019444 7.16 6.04 Bank of America Corporat 06048WW30 07/06/22 07/06/27 100.000 0.000 4.5900 69.78 0.133419 0.136481 0.139614 0.142818 0.146095 49.67 51.97 Bank of America Corporat 09709VCZ7 12/20/22 12/18/25 100.000 0.000 4.5500 47.48 0.132172 0.135179 0.138255 0.141400 48.20 48.54 Bank of America Corporat 09710PAT3 12/04/23 12/04/28 100.000 0.000 5.1000 3.83 0.141667 0.145279 0.148984 0.152783 0.156679 51.85 54.53 Bank of America Corporat 06048W2C3 11/15/22 11/15/27 100.000 VARIES 5.4300 59.90 0.146739 0.146808 0.147114 0.147451 0.147796 52.81 53.05 Bank of America Corporat 06048W2F6 11/10/22 11/09/29 100.000 VARIES 5.3600 6.03 0.011648 0.011793 0.012376 0.012778 0.013056 4.33 14.93 Bank of America Corporat 09711AAU2 07/12/23 07/09/26 115.000 3.500 5.3000 24.73 0.170571 0.172486 0.174480 0.176528 0.178629 61.75 63.18 Bank of America Corporat 09710F660 07/01/22 06/24/25 100.000 0.000 4.3100 66.07 0.127526 0.130274 0.133081 46.44 23.02 Bank of America Corporat 09710P3Z7 12/05/23 12/05/28 100.000 0.000 5.4100 3.91 0.150278 0.154343 0.158518 0.162806 0.167210 55.05 58.06 Bank of America Corporat 09709UV70 05/25/22 05/25/27 100.000 0.600 3.9100 63.62 0.114109 0.116014 0.117957 0.119937 0.121956 41.56 42.96 Bank of America Corporat 09710P4E3 11/15/23 11/15/28 100.000 0.000 5.2000 6.64 0.144444 0.148200 0.152053 0.156007 0.160063 53.03 55.82 Bank of America Corporat 09711A5U8 07/06/23 07/02/26 115.000 4.000 5.2600 29.24 0.168028 0.169427 0.170960 0.174132 0.175789 61.26 62.40 Bank of Montreal 06375MLE3 12/26/23 06/30/25 100.000 0.000 5.3500 0.74 0.148699 0.152677 0.156761 54.26 28.06 Bank of Montreal 06375MLG8 12/29/23 12/31/27 100.000 0.000 4.9700 0.28 0.138075 0.141506 0.145022 0.148626 0.152319 50.33 52.86 Bank of Montreal 06375MKZ7 12/22/23 12/31/26 100.000 0.000 4.6500 1.16 0.129300 0.132306 0.135382 0.138530 0.141751 47.10 49.31 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of Montreal 06374VM86 02/28/23 11/29/24 100.000 0.000 5.7347 48.90 0.166240 0.171007 55.38 Bank of Montreal 06374VM78 03/01/23 09/03/24 100.000 0.000 5.8987 49.74 0.168741 0.173717 41.73 Bank of Montreal 06374VM94 03/01/23 12/02/24 100.000 0.000 5.8383 49.29 0.169372 0.174317 56.95 Bank of Montreal 06375MM77 12/29/23 12/31/25 100.000 0.000 5.0900 0.28 0.141409 0.145008 0.148698 0.152483 51.56 54.06 Bank of Montreal 06375MM85 12/29/23 12/31/25 100.000 0.000 5.0900 0.28 0.141409 0.145008 0.148698 0.152483 51.56 54.06 Bank of Montreal 06375MM93 12/29/23 12/31/25 100.000 0.000 5.0900 0.28 0.141409 0.145008 0.148698 0.152483 51.56 54.06 Bank of Montreal 06374VLP9 02/28/23 02/26/27 100.000 0.000 5.3613 45.62 0.152873 0.156971 0.161179 0.165499 0.169936 56.81 59.90 Bank of Montreal 06374VMA1 02/28/23 02/29/28 100.000 0.000 5.3772 45.75 0.153405 0.157529 0.161765 0.166090 0.170580 56.99 60.09 Bank of Montreal 06375MMA0 12/29/23 12/31/26 100.000 0.000 4.9200 0.27 0.136685 0.140048 0.143493 0.147023 0.150640 49.82 52.30 Bank of Montreal 06375MMB8 12/29/23 12/31/25 100.000 0.000 5.0900 0.28 0.141409 0.145008 0.148698 0.152483 51.56 54.06 Bank of Montreal 06374VPA8 03/31/23 03/31/27 100.000 0.000 5.1052 38.76 0.145431 0.149143 0.152950 0.156854 0.160858 53.71 56.48 Bank of Montreal 06374VP75 02/28/23 02/28/25 100.000 0.000 5.6621 48.20 0.161733 0.166312 0.171020 60.19 9.75 Bank of Montreal 06368GZZ3 08/22/22 08/22/25 100.000 0.000 4.0150 55.52 0.116051 0.118380 0.120757 0.123181 42.80 28.33 Bank of Montreal 06375MPH3 11/07/23 11/09/26 100.000 0.000 5.9599 8.94 0.165608 0.170543 0.175625 0.180858 0.186248 61.03 64.72 Bank of Montreal 06368GZK6 08/09/22 08/11/25 100.000 0.000 3.7530 53.25 0.108222 0.110253 0.112321 0.114429 39.90 25.09 Bank of Montreal 06368GZG5 08/16/22 08/16/27 100.000 0.000 3.9460 55.24 0.113979 0.116228 0.118521 0.120859 0.123244 42.05 43.73 Bank of Montreal 06374VPW0 03/31/23 09/30/24 100.000 0.000 5.4726 41.58 0.156176 0.160450 42.78 Bank of Montreal 06374VQ82 04/05/23 10/07/24 100.000 0.000 5.4887 40.92 0.156696 0.160996 44.02 Bank of Montreal 06374VQ74 04/05/23 01/06/25 100.000 0.000 5.3699 40.03 0.151189 0.155248 0.159416 56.60 0.80 Bank of Montreal 06374VQ90 04/05/23 04/06/26 100.000 0.000 5.0618 37.71 0.144184 0.147833 0.151575 0.155411 0.159344 53.19 55.92 Bank of Montreal 06374VPX8 03/31/23 03/31/28 100.000 0.000 5.1355 38.99 0.146316 0.150073 0.153926 0.157879 0.161933 54.04 56.85 Bank of Montreal 06374VR32 03/29/23 03/31/25 100.000 0.000 4.9773 37.92 0.141719 0.145246 0.148860 52.30 13.25 Bank of Montreal 06374VQF6 04/05/23 04/06/26 100.000 0.000 5.0618 37.71 0.144184 0.147833 0.151575 0.155411 0.159344 53.19 55.92 Bank of Montreal 06374VAD8 10/19/22 04/22/30 100.000 0.000 5.1600 63.13 0.150890 0.154783 0.158776 0.162872 0.167074 55.57 58.47 Bank of Montreal 06375MA39 08/29/23 08/22/28 100.000 0.000 5.2577 17.82 0.146047 0.149737 0.153674 0.157713 0.161860 54.23 57.11 Bank of Montreal 06368GXV4 07/29/22 07/31/25 100.000 0.000 3.8040 55.08 0.109736 0.111823 0.113950 0.116117 40.52 24.21 Bank of Montreal 06368GY27 07/29/22 07/29/25 100.000 VARIES 3.7700 53.18 0.103352 0.103673 0.103998 0.104330 37.36 21.69 Bank of Montreal 06374VAS5 10/13/22 04/03/25 100.000 0.000 5.2430 65.10 0.153157 0.157172 0.161292 56.58 14.84 Bank of Montreal 06368GXH5 07/20/22 07/22/24 100.000 0.000 3.9580 58.38 0.114364 0.116628 23.39 Bank of Montreal 06375MAG0 09/29/23 09/30/27 100.000 0.000 5.9408 15.18 0.165022 0.169951 0.175000 0.180198 0.185550 61.20 64.90 Bank of Montreal 06368GWT0 07/29/22 07/31/26 100.000 0.000 3.8220 55.35 0.110275 0.112382 0.114530 0.116718 0.118949 40.72 42.29 Bank of Montreal 06368GWU7 08/01/22 08/03/26 100.000 0.000 3.8040 54.86 0.109748 0.111835 0.113962 0.116130 0.118338 40.51 42.06 Bank of Montreal 06368GWG8 07/06/22 07/05/24 100.000 0.000 3.7490 56.76 0.108069 0.110094 20.25 Bank of Montreal 06375MBH7 09/29/23 09/30/26 100.000 0.000 5.9506 15.21 0.165294 0.170240 0.175305 0.180521 0.185892 61.31 65.01 Bank of Montreal 06375M2B0 08/02/23 08/03/26 100.000 0.000 5.6200 23.26 0.156111 0.160522 0.165033 0.169670 0.174438 58.31 61.64 Bank of Montreal 06375M2D6 07/31/23 07/31/26 100.000 0.000 5.5367 23.22 0.153797 0.158055 0.162430 0.166927 0.171548 57.44 60.66 Bank of Montreal 06375MBX2 10/03/23 10/05/26 100.000 0.000 5.9506 14.55 0.165349 0.170269 0.175335 0.180551 0.185923 61.27 64.97 Bank of Montreal 06368GW78 07/11/22 07/11/25 100.000 VARIES 3.8970 57.02 0.107112 0.107407 0.107709 0.108016 38.71 20.52 Bank of Montreal 06374VTS5 05/31/23 05/28/27 100.000 0.000 5.3109 31.26 0.151399 0.155419 0.159546 0.163783 0.168132 55.50 58.48 Bank of Montreal 06375MCR4 10/26/23 10/26/26 100.000 VARIES 6.1750 11.15 0.171351 0.170632 0.170166 0.170513 0.170873 61.46 61.37 Bank of Montreal 06374VU95 05/31/23 02/28/25 100.000 0.000 5.7877 34.20 0.163044 0.167762 0.172617 60.72 9.84 Bank of Montreal 06374VCY0 11/28/22 11/28/25 100.000 0.000 5.3110 58.95 0.155467 0.159595 0.163833 0.168184 56.99 54.36 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of Montreal 06374VUE4 05/31/23 05/31/28 100.000 0.000 5.2471 30.87 0.149577 0.153501 0.157528 0.161661 0.165902 54.80 57.71 Bank of Montreal 06374VUF1 06/05/23 06/05/26 100.000 0.000 5.2623 30.21 0.150021 0.153968 0.158020 0.162177 0.166444 54.93 57.85 Bank of Montreal 06374VCZ7 11/30/22 11/30/26 100.000 0.000 5.0620 55.84 0.147819 0.151560 0.155396 0.159329 0.163362 54.12 56.90 Bank of Montreal 06374V2Z8 08/24/22 08/24/27 100.000 0.000 4.0600 55.92 0.117403 0.119786 0.122218 0.124699 0.127230 43.31 45.08 Bank of Montreal 06374VUA2 06/05/23 03/05/25 100.000 0.000 5.6563 32.62 0.159341 0.163848 0.168481 59.23 10.78 Bank of Montreal 06374VUB0 05/31/23 11/29/24 100.000 0.000 5.9154 34.83 0.169150 0.174153 56.38 Bank of Montreal 06374VUC8 06/05/23 12/05/24 100.000 0.000 5.7806 33.20 0.165213 0.169988 56.04 Bank of Montreal 06368GV20 07/01/22 07/01/26 100.000 0.000 4.0508 62.00 0.119499 0.119499 0.124388 0.124388 0.129478 43.46 45.23 Bank of Montreal 06374VDT0 12/02/22 12/02/27 100.000 0.500 4.9700 54.92 0.145728 0.147372 0.152432 0.155914 0.159477 53.25 55.70 Bank of Montreal 06374VE85 11/16/22 11/16/26 100.000 0.000 5.4710 62.68 0.160400 0.164788 0.169296 0.173927 0.178685 58.93 62.20 Bank of Montreal 06374VDY9 11/28/22 11/28/25 100.000 0.000 5.3110 58.95 0.155467 0.159595 0.163833 0.168184 56.99 54.36 Bank of Montreal 06374VDL7 11/30/22 05/31/24 100.000 0.000 5.5490 61.31 0.162811 24.26 Bank of Montreal 06374VDN3 12/02/22 01/02/24 100.000 0.000 5.6820 62.47 0.163086 0.16 Bank of Montreal 06374VDP8 12/02/22 12/02/26 100.000 0.434 5.0600 55.92 0.148460 0.151885 0.155398 0.159001 0.162695 54.26 56.80 Bank of Montreal 06375MDQ5 10/11/23 10/14/25 100.000 0.000 6.1732 13.73 0.171566 0.176862 0.182321 0.187948 63.55 52.61 Bank of Montreal 06374V4D5 10/03/22 10/05/26 100.000 0.000 4.9900 63.34 0.145654 0.149289 0.153013 0.156831 0.160744 53.72 56.44 Bank of Montreal 06374V4E3 09/30/22 09/30/26 100.000 0.000 5.2120 66.67 0.152422 0.156394 0.160470 0.164652 0.168942 56.32 59.29 Bank of Montreal 06374V4F0 10/03/22 10/05/26 100.000 0.000 4.9900 63.34 0.145654 0.149289 0.153013 0.156831 0.160744 53.72 56.44 Bank of Montreal 06374VVL7 06/05/23 06/05/26 100.000 0.000 5.2623 30.21 0.150021 0.153968 0.158020 0.162177 0.166444 54.93 57.85 Bank of Montreal 06375MEA9 10/31/23 10/30/26 100.000 0.000 5.9599 10.10 0.165553 0.170486 0.175567 0.180798 0.186186 61.10 64.79 Bank of Montreal 06375MEB4 10/31/23 10/29/27 100.000 0.000 6.1978 10.50 0.172161 0.177467 0.182966 0.188636 0.194482 63.60 67.60 Bank of Montreal 06374VEC6 11/23/22 11/21/25 100.000 0.000 5.3400 60.06 0.156315 0.160489 0.164774 0.169173 57.36 53.52 Bank of Montreal 06374V4C7 09/30/22 09/30/26 100.000 0.000 5.2120 66.67 0.152422 0.156394 0.160470 0.164652 0.168942 56.32 59.29 Bank of Montreal 06374VED4 11/23/22 11/23/27 100.000 0.000 5.1440 57.81 0.150334 0.154200 0.158166 0.162234 0.166407 55.11 57.99 Bank of Montreal 06375MF67 10/11/23 10/14/25 100.000 0.000 6.1732 13.73 0.171566 0.176862 0.182321 0.187948 63.55 52.61 Bank of Montreal 06375MEQ4 10/04/23 10/06/25 100.000 0.000 6.1261 14.81 0.170227 0.175442 0.180815 0.186354 63.12 50.72 Bank of Montreal 06375M4R3 08/31/23 08/31/27 100.000 0.000 5.7618 19.37 0.160050 0.164635 0.169405 0.174231 0.179306 59.58 63.06 Bank of Montreal 06374V5G7 09/30/22 09/30/26 100.000 0.000 5.2120 66.67 0.152422 0.156394 0.160470 0.164652 0.168942 56.32 59.29 Bank of Montreal 06375MFE0 11/02/23 11/02/26 100.000 0.000 6.1347 10.05 0.170408 0.175635 0.181023 0.186575 0.192298 62.91 66.83 Bank of Montreal 06374V5W2 10/13/22 10/14/25 100.000 0.000 5.2400 65.04 0.153304 0.157321 0.161443 0.165673 56.54 46.45 Bank of Montreal 06374V5R3 09/20/22 09/22/25 100.000 0.000 4.7090 61.49 0.137074 0.140301 0.143604 0.146986 50.57 38.09 Bank of Montreal 06375MGN9 01/09/24 01/09/26 100.000 VARIES 5.2000 0.144419 0.144272 0.144344 0.144417 50.81 51.98 Bank of Montreal 06374V7J9 10/12/22 04/14/25 100.000 0.000 5.2430 65.24 0.153419 0.157441 0.161569 56.58 16.64 Bank of Montreal 06374V7A8 10/04/22 10/05/26 100.000 0.000 5.1600 65.39 0.150846 0.154738 0.158730 0.162825 0.167026 55.68 58.59 Bank of Montreal 06374VYJ9 07/31/23 07/30/27 100.000 0.000 5.4014 22.66 0.150039 0.154091 0.158253 0.162526 0.166916 55.98 59.05 Bank of Montreal 06375MJ55 11/30/23 11/30/27 100.000 0.000 5.7134 4.92 0.158706 0.163239 0.167903 0.172699 0.177633 58.24 61.61 Bank of Montreal 06375MJJ5 11/30/23 05/30/25 100.000 0.000 6.0789 5.23 0.168858 0.173991 0.179279 62.04 26.71 Bank of Montreal 06375MJK2 12/04/23 06/04/25 100.000 0.000 5.7974 4.35 0.161039 0.165707 0.170510 59.07 26.09 Bank of Montreal 06375MJZ9 11/22/23 11/24/25 100.000 0.000 5.9639 6.46 0.165719 0.170660 0.175749 0.180990 60.92 57.71 Bank of Nova Scotia 06417P819 11/01/18 10/25/24 100.000 0.000 3.9550 224.33 0.133538 0.136179 39.74 Bank of Nova Scotia 06417P611 12/28/18 12/20/24 100.000 0.000 3.9396 215.81 0.132891 0.135509 46.85 Bank of Nova Scotia 064159X92 06/16/21 06/16/36 100.000 VARIES 2.3423 58.27 0.062791 0.062763 0.062759 0.062777 0.062817 22.60 22.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of Nova Scotia 06417P124 08/01/19 07/26/24 100.000 0.000 2.5003 116.01 0.076685 0.077643 15.89 Bank of Nova Scotia 06417P330 06/06/19 05/30/25 100.000 0.000 3.0038 145.98 0.095374 0.096806 0.098260 34.68 14.64 Barclay Bank PLC 06748C362 12/20/22 12/18/25 100.000 0.000 5.3400 55.84 0.156315 0.160489 0.164774 0.169173 57.13 57.97 Barclay Bank PLC 06749NDP4 12/27/22 12/29/25 100.000 0.000 5.5000 56.40 0.161345 0.165782 0.170341 0.175026 58.90 61.83 Barclay Bank PLC 06749NDD1 12/30/22 12/30/27 100.000 0.000 5.2500 53.34 0.153590 0.157622 0.161759 0.166006 0.170363 56.03 59.01 Barclay Bank PLC 06749NBW1 01/05/23 01/03/25 100.000 0.000 5.5900 56.04 0.159570 0.164030 0.168614 59.86 0.34 Barclay Bank PLC 06749NBL5 01/05/23 01/05/26 100.000 0.000 5.5000 55.13 0.156979 0.161296 0.165732 0.170289 0.174972 58.83 62.11 Barclay Bank PLC 06749NBM3 01/05/23 01/04/28 100.000 0.000 5.4800 54.93 0.156370 0.160654 0.165056 0.169579 0.174225 58.60 61.86 Barclay Bank PLC 06749NAW2 12/30/22 12/29/25 100.000 0.000 5.5400 56.33 0.162508 0.167010 0.171636 0.176390 59.33 62.30 Barclay Bank PLC 06749NB50 12/27/22 12/27/26 100.000 0.000 5.5600 57.03 0.163151 0.167687 0.172348 0.177139 0.182064 59.59 62.95 Barclay Bank PLC 06749NB68 12/27/22 12/24/27 100.000 0.000 5.5300 56.73 0.162150 0.166634 0.171241 0.175976 0.180842 59.24 62.57 Barclay Bank PLC 06749N7J5 01/03/23 07/03/25 100.000 0.000 5.5000 55.44 0.156979 0.161296 0.165732 0.170289 58.85 30.98 Barclay Bank PLC 06749N7K2 01/03/23 01/04/27 100.000 0.000 5.5500 55.95 0.158469 0.162866 0.167386 0.172031 0.176804 59.42 62.76 Barclay Bank PLC 06749N7F3 12/28/22 12/27/24 100.000 0.000 5.5800 57.07 0.163745 0.168313 59.12 Barclay Bank PLC 06749N7G1 12/28/22 12/26/25 100.000 0.000 5.5100 56.35 0.161557 0.166008 0.170581 0.175281 59.01 61.40 Barclay Bank PLC 06749NFL1 01/06/23 01/09/24 100.000 0.000 5.6900 56.91 0.162629 1.30 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28 100.000 VARIES 3.5338 316.03 0.086347 0.087857 0.089394 0.090958 0.092208 31.61 32.69 Barclays Bank PLC 06745M5A2 05/03/23 05/03/28 100.000 0.000 4.8400 32.19 0.137698 0.141030 0.144443 0.147939 0.151519 50.56 53.04 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33 100.000 VARIES 3.9300 282.65 0.075426 0.076908 0.078419 0.079960 0.081531 27.70 28.80 Barclays Bank PLC 06748X3E9 02/03/22 02/03/27 100.000 0.000 2.2900 44.49 0.065821 0.066575 0.067337 0.068108 0.068888 24.06 24.61 Barclays Bank PLC 06745NZB5 11/28/23 11/28/28 100.000 0.000 5.6900 5.22 0.158056 0.162552 0.167177 0.171933 0.176825 58.01 61.36 Barclays Bank PLC 06738G8A1 01/30/20 02/04/25 104.000 0.000 2.1300 90.06 0.066285 0.066991 0.067704 24.20 2.23 Barclays Bank PLC 06747MJP2 03/14/19 03/14/29 100.000 VARIES 3.5244 24.68 0.014060 0.014308 0.014560 0.014816 0.015078 5.16 5.34 Barclays Bank PLC 06748XDD0 02/28/22 02/28/28 100.000 0.000 2.5100 47.03 0.072380 0.073288 0.074208 0.075139 0.076082 26.44 27.11 Barclays Bank PLC 06748XDE8 02/22/22 02/22/27 100.000 VARIES 0.7226 5.90 0.008738 0.008769 0.008801 0.008833 0.008865 3.16 3.18 Barclays Bank PLC 06748X3D1 01/31/22 01/25/29 100.000 0.000 2.4390 47.64 0.070235 0.071091 0.071958 0.072836 0.073724 25.71 26.34 Barclays Bank PLC 06745MF86 07/05/23 04/05/27 100.000 0.000 5.5600 27.37 0.156591 0.160944 0.165419 0.170017 0.174744 57.92 61.18 Barclays Bank PLC 06748X3A7 01/26/22 01/25/29 100.000 0.000 2.5200 49.54 0.072674 0.073590 0.074517 0.075456 0.076407 26.62 27.29 Barclays Bank PLC 06747NML5 11/29/19 11/27/24 100.000 0.000 2.4500 104.71 0.075007 0.075926 24.62 Barclays Bank PLC 06748XDC2 03/03/22 03/04/27 100.000 0.000 2.4799 46.10 0.071485 0.072372 0.073269 0.074177 0.075097 26.10 26.75 Barclays Bank PLC 06745NZ90 12/01/23 12/01/28 100.000 10.750 5.5500 4.57 0.154778 0.149778 0.142389 0.140444 0.134611 53.85 50.83 Barclays Bank PLC 06747NMK7 11/29/19 05/27/25 100.000 0.000 2.3900 102.03 0.072998 0.073870 0.074753 26.50 10.91 Barclays Bank PLC 06748X2Z3 01/26/22 01/26/27 100.000 0.000 2.2400 43.95 0.064336 0.065057 0.065785 0.066522 0.067267 23.52 24.05 Barclays Bank PLC 06747PBH1 02/28/20 02/26/27 100.000 0.000 1.8200 72.09 0.053860 0.054350 0.054844 0.055344 0.055847 19.60 19.96 Barclays Bank PLC 06747PBK4 03/04/20 03/04/24 100.000 0.000 1.5201 59.64 0.044522 2.80 Barclays Bank PLC 06747PBJ7 02/28/20 02/28/25 100.000 0.000 1.6100 63.55 0.047304 0.047685 0.048069 17.19 2.74 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34 100.000 VARIES 3.8795 307.65 0.087041 0.087942 0.089071 0.090221 0.091394 31.56 32.34 Barclays Bank PLC 06745MEK0 06/01/23 11/30/26 100.000 0.000 5.3700 31.45 0.153150 0.157262 0.161484 0.165820 0.170272 56.13 59.19 Barclays Bank PLC 06748XTR2 10/05/22 10/05/27 100.000 0.000 5.8000 73.51 0.170591 0.175538 0.180629 0.185867 0.191257 63.17 66.88 Barclays Bank PLC 06747QVE4 01/27/21 01/27/28 100.000 0.000 1.4100 42.00 0.040567 0.040853 0.041141 0.041431 0.041723 14.74 14.95 Barclays Bank PLC 06748XTP6 10/05/22 10/03/25 100.000 0.000 5.7600 73.00 0.169296 0.174172 0.179188 0.184349 62.69 49.67 Barclays Bank PLC 06749NQL9 02/23/23 02/22/27 100.000 0.000 5.8300 50.48 0.166639 0.171496 0.176496 0.181640 0.186935 62.14 65.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747QVF1 01/27/21 06/26/26 100.000 0.000 1.2699 37.76 0.036602 0.036834 0.037068 0.037304 0.037541 13.22 13.39 Barclays Bank PLC 06748XTQ4 10/05/22 10/03/25 100.000 0.000 5.8100 73.65 0.170848 0.175811 0.180919 0.186174 63.28 50.16 Barclays Bank PLC 06747QVA2 01/29/21 01/31/28 100.000 0.000 1.4406 42.84 0.041480 0.041778 0.042079 0.042382 0.042688 15.08 15.29 Barclays Bank PLC 06747MJ72 03/11/19 03/11/26 100.000 VARIES 3.1873 20.11 0.012070 0.012263 0.012458 0.012657 0.012858 4.42 4.56 Barclays Bank PLC 06741VXA5 06/30/17 06/27/24 100.000 0.000 2.9300 208.23 0.098305 17.30 Barclays Bank PLC 06745MVG0 08/21/23 09/03/27 100.000 0.000 5.8000 20.98 0.161423 0.166104 0.170921 0.175878 0.180978 60.08 63.61 Barclays Bank PLC 06745N7G5 08/17/23 08/29/24 100.000 0.000 6.0000 22.37 0.167000 0.172010 40.65 Barclays Bank PLC 06745NHA7 09/20/23 12/19/24 100.000 0.000 6.0300 16.95 0.169997 0.175122 60.08 Barclays Bank PLC 06747Q3Z8 07/31/20 07/30/27 100.000 0.000 1.8100 63.56 0.053070 0.053551 0.054035 0.054524 0.055018 19.34 19.69 Barclays Bank PLC 06745NYB6 11/30/23 11/30/28 100.000 VARIES 5.6700 4.64 0.158111 0.152833 0.147556 0.148000 0.141778 55.21 53.04 Barclays Bank PLC 06745NGX8 10/04/23 10/04/28 100.000 0.000 5.9300 14.33 0.164722 0.169606 0.174635 0.179813 0.185144 61.04 64.71 Barclays Bank PLC 06745MUY2 08/02/23 10/01/24 100.000 0.000 5.9400 24.73 0.166606 0.171554 45.87 Barclays Bank PLC 06749NPY2 02/21/23 01/21/26 100.000 0.000 5.6400 49.16 0.160348 0.164870 0.169519 0.174300 0.179215 60.01 63.44 Barclays Bank PLC 06745NXX9 11/13/23 11/13/28 100.000 6.500 5.7700 7.59 0.159944 0.160167 0.154278 0.158778 0.152889 56.77 56.29 Barclays Bank PLC 06747QDJ3 08/26/20 08/26/26 100.000 0.000 1.4200 48.51 0.041155 0.041447 0.041741 0.042038 0.042336 14.94 15.15 Barclays Bank PLC 06745MDM7 06/02/23 06/03/27 100.000 0.000 5.4400 31.70 0.155244 0.159467 0.163804 0.168260 0.172836 56.89 60.02 Barclays Bank PLC 06747PRH4 05/20/20 05/20/27 100.000 0.000 2.3700 88.89 0.071493 0.072340 0.073197 0.074064 0.074942 25.96 26.58 Barclays Bank PLC 06748XBT7 02/24/22 02/24/28 100.000 0.000 2.6500 50.00 0.076576 0.077591 0.078619 0.079661 0.080716 28.01 28.76 Barclays Bank PLC 06748XBU4 02/24/22 02/24/27 100.000 0.000 2.4700 46.55 0.071185 0.072064 0.072954 0.073855 0.074767 26.01 26.66 Barclays Bank PLC 06746T250 09/06/18 09/04/25 100.000 0.000 3.8400 224.30 0.128982 0.131458 0.133982 0.136555 47.46 33.02 Barclays Bank PLC 06745MDJ4 05/16/23 11/15/24 100.000 5.005 5.7100 1.04 0.004687 0.004622 1.46 Barclays Bank PLC 06744CN72 12/29/17 12/27/24 100.000 0.000 3.2100 210.76 0.107921 0.109653 38.73 Barclays Bank PLC 06747QDH7 08/26/20 08/26/27 100.000 0.000 1.5300 52.35 0.044488 0.044829 0.045172 0.045517 0.045865 16.16 16.41 Barclays Bank PLC 06741WZK9 03/02/23 03/02/26 100.000 0.000 5.8200 48.90 0.166371 0.171213 0.176195 0.181322 0.186599 61.93 65.59 Barclays Bank PLC 06745NGH3 09/29/23 10/01/26 100.000 0.000 5.7600 14.72 0.160051 0.164661 0.169403 0.174282 0.179301 59.29 62.75 Barclays Bank PLC 06747W518 08/04/21 08/03/28 100.000 0.000 1.6100 39.38 0.046177 0.046549 0.046924 0.047302 0.047682 16.80 17.07 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24 100.000 VARIES 3.4912 345.29 0.097387 11.59 Barclays Bank PLC 06745NGJ9 10/04/23 10/02/26 100.000 0.000 5.7300 13.85 0.159167 0.163676 0.168365 0.173189 0.178151 58.93 62.35 Barclays Bank PLC 06745NGK6 09/29/23 10/01/30 100.000 0.000 6.0600 15.49 0.168390 0.173492 0.178749 0.184165 0.189745 62.47 66.31 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4570 625.13 0.151691 0.152512 0.153355 0.153752 0.154161 54.91 55.35 Barclays Bank PLC 06747NKZ6 10/31/19 10/30/26 100.000 0.000 2.6300 115.12 0.081104 0.082171 0.083251 0.084346 0.085455 29.52 30.30 Barclays Bank PLC 06745NGD2 10/04/23 10/02/25 100.000 0.000 5.9300 14.33 0.164722 0.169552 0.174579 0.179755 61.05 48.24 Barclays Bank PLC 06745NGE0 10/04/23 10/02/26 100.000 0.000 5.7300 13.85 0.159167 0.163676 0.168365 0.173189 0.178151 58.93 62.35 Barclays Bank PLC 06745NGF7 09/29/23 10/01/25 100.000 0.000 6.0900 15.57 0.169224 0.174377 0.179687 0.185158 62.79 49.50 Barclays Bank PLC 06747MYV2 06/28/19 06/30/25 100.000 0.000 3.2000 153.87 0.102557 0.104198 0.105865 37.22 18.95 Barclays Bank PLC 06745MUD8 08/03/23 08/05/30 100.000 0.000 5.5900 22.99 0.155326 0.159667 0.164130 0.168717 0.173433 57.98 61.27 Barclays Bank PLC 06749NPF3 02/13/23 02/13/25 100.000 0.000 5.6800 50.79 0.162259 0.166867 0.171606 60.53 7.21 Barclays Bank PLC 06747MYU4 07/03/19 07/03/24 100.000 0.000 2.9900 142.70 0.093524 0.094922 17.27 Barclays Bank PLC 06745NGG5 10/04/23 10/02/25 100.000 0.000 6.0500 14.62 0.168056 0.173083 0.178319 0.183713 62.32 49.30 Barclays Bank PLC 06747NL36 11/05/19 11/05/24 100.000 0.000 2.4900 108.33 0.076364 0.077314 23.39 Barclays Bank PLC 06745NGC4 10/04/23 07/03/25 100.000 0.000 6.0500 14.62 0.168056 0.170569 0.175729 0.181045 62.32 32.94 Barclays Bank PLC 06747MYK6 06/28/19 12/27/24 100.000 0.000 3.1200 149.79 0.099613 0.101167 35.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741TPR2 03/21/13 03/21/33 100.000 VARIES 3.9299 283.55 0.075425 0.076907 0.078418 0.079959 0.081530 27.72 28.82 Barclays Bank PLC 06747MYJ9 06/28/19 12/27/24 100.000 0.000 3.1200 149.79 0.099614 0.101167 35.74 Barclays Bank PLC 06745NWX0 12/05/23 09/05/25 100.000 0.000 5.6100 4.05 0.155833 0.158019 0.162451 0.167008 57.26 40.46 Barclays Bank PLC 06745NWZ5 12/05/23 12/04/25 100.000 0.000 5.5900 4.04 0.155278 0.159594 0.164054 0.168640 56.91 55.46 Barclays Bank PLC 06749NP97 03/14/23 03/13/25 100.000 0.000 6.0200 48.53 0.172228 0.177412 0.182752 64.07 13.16 Barclays Bank PLC 06745NX50 12/05/23 12/04/25 100.000 0.000 5.5900 4.04 0.155278 0.159594 0.164054 0.168640 56.91 55.46 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 409.77 0.137756 11.98 Barclays Bank PLC 06741WZ52 02/09/23 02/12/26 100.000 0.000 5.3300 48.24 0.152069 0.156121 0.160282 0.164554 0.168939 56.62 59.67 Barclays Bank PLC 06745N5P7 08/17/23 08/19/25 100.000 0.000 5.9300 22.08 0.164776 0.169662 0.174693 0.179872 61.51 40.76 Barclays Bank PLC 06745NX68 11/30/23 12/02/27 100.000 0.000 5.7000 4.91 0.158383 0.162897 0.167540 0.172315 0.177226 58.10 61.45 Barclays Bank PLC 06745NX76 11/30/23 12/03/30 100.000 0.000 5.8300 5.02 0.162023 0.166746 0.171607 0.176609 0.181757 59.45 62.96 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 416.21 0.140870 13.95 Barclays Bank PLC 06745NX84 11/30/23 12/03/30 100.000 0.000 5.8300 5.02 0.162023 0.166746 0.171607 0.176609 0.181757 59.45 62.96 Barclays Bank PLC 06745NX35 12/05/23 12/05/28 100.000 0.000 5.5400 4.00 0.153889 0.158152 0.162532 0.167035 0.171661 56.39 59.56 Barclays Bank PLC 06745NX27 12/05/23 12/03/26 100.000 0.000 5.2900 3.82 0.146944 0.150788 0.154776 0.158870 0.163072 53.81 56.69 Barclays Bank PLC 06745NX43 11/30/23 12/03/25 100.000 0.000 5.7800 4.98 0.160633 0.165275 0.170052 0.174966 58.93 57.34 Barclays Bank PLC 06745M2E7 05/03/23 05/01/25 100.000 0.000 5.0600 33.66 0.144072 0.147717 0.151454 52.96 18.17 Barclays Bank PLC 06745M2F4 04/26/23 10/26/27 100.000 0.000 5.1500 35.29 0.146739 0.150518 0.154394 0.158369 0.162447 54.00 56.82 Barclays Bank PLC 06745M2G2 04/26/23 10/26/26 100.000 0.000 5.0800 34.81 0.144695 0.148371 0.152139 0.156004 0.159966 53.24 55.97 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34 100.000 VARIES 3.4516 258.46 0.073746 0.075019 0.076313 0.077630 0.078970 26.95 27.89 Barclays Bank PLC 06747M6S0 01/31/19 01/31/24 100.000 0.000 3.6200 193.05 0.118173 3.43 Barclays Bank PLC 06745M2C1 04/28/23 01/29/26 100.000 0.000 4.9800 33.88 0.140075 0.143563 0.147137 0.150801 0.154556 52.13 54.76 Barclays Bank PLC 06746V776 12/06/18 11/29/24 100.000 0.000 3.9099 216.93 0.131710 0.134285 43.66 Barclays Bank PLC 06745N5F9 08/18/23 08/20/25 100.000 0.000 5.9200 21.88 0.164499 0.169368 0.174381 0.179543 61.39 40.86 Barclays Bank PLC 06745M2D9 05/03/23 10/31/25 100.000 0.000 4.8800 32.46 0.138808 0.142195 0.145664 0.149219 51.00 44.19 Barclays Bank PLC 06745NFB7 09/29/23 09/29/28 100.000 0.000 5.9300 15.15 0.164722 0.169606 0.174635 0.179813 0.185144 61.09 64.77 Barclays Bank PLC 06745NFC5 09/29/23 10/01/26 100.000 0.000 5.7600 14.72 0.160051 0.164661 0.169403 0.174282 0.179301 59.29 62.75 Barclays Bank PLC 06745NWD4 11/30/23 11/30/28 100.000 0.000 5.6700 4.88 0.157500 0.161965 0.166557 0.171279 0.176134 57.78 61.11 Barclays Bank PLC 06745NWE2 11/30/23 11/30/27 100.000 0.000 5.7000 4.91 0.158333 0.162846 0.167487 0.172260 0.177170 58.10 61.45 Barclays Bank PLC 06745NWF9 11/30/23 11/30/26 100.000 0.000 5.4700 4.71 0.151944 0.156100 0.160369 0.164756 0.169262 55.71 58.80 Barclays Bank PLC 06741VUR1 05/19/17 05/19/27 100.000 VARIES 2.5708 24.48 0.010663 0.010800 0.010939 0.011080 0.011222 3.88 3.98 Barclays Bank PLC 06745NF92 09/29/23 03/31/26 100.000 0.000 5.9200 15.13 0.164444 0.169339 0.174351 0.179512 0.184826 60.98 64.65 Barclays Bank PLC 06745MSX7 07/26/23 07/25/30 100.000 0.000 5.4900 23.64 0.152500 0.156663 0.160963 0.165382 0.169921 56.97 60.14 Barclays Bank PLC 06747NJG0 10/25/19 04/24/25 100.000 0.000 2.6100 114.60 0.080418 0.081467 0.082531 29.28 9.33 Barclays Bank PLC 06745NET9 09/29/23 09/30/27 100.000 0.000 5.9700 15.26 0.165833 0.170811 0.175910 0.181161 0.186568 61.51 65.24 Barclays Bank PLC 06745NW85 11/30/23 05/29/26 100.000 0.000 5.6300 4.85 0.156389 0.160767 0.165292 0.169945 0.174729 57.37 60.64 Barclays Bank PLC 06747NJH8 10/25/19 10/23/24 100.000 0.000 2.5400 111.38 0.078039 0.079030 22.97 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5651 607.89 0.138499 0.139988 0.141131 0.142306 0.143513 50.46 51.32 Barclays Bank PLC 06747PPH6 04/28/20 04/28/25 100.000 0.000 2.2600 86.11 0.067915 0.068683 0.069459 24.68 8.13 Barclays Bank PLC 06745NVU7 11/22/23 02/21/25 100.000 0.000 5.8500 6.34 0.162500 0.164850 0.169672 59.86 8.48 Barclays Bank PLC 06747PPJ2 04/30/20 04/30/25 100.000 VARIES 2.4441 24.10 0.018324 0.018548 0.018774 6.66 2.23 Barclays Bank PLC 06749NNS7 02/09/23 02/06/25 100.000 0.000 5.6400 51.08 0.161011 0.165552 0.170220 60.12 5.96 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747QSH1 12/29/20 12/29/27 100.000 0.000 1.4500 44.38 0.042062 0.042367 0.042674 0.042983 0.043295 15.20 15.42 Barclays Bank PLC 06745MSJ8 08/03/23 08/04/27 100.000 0.000 5.6200 23.10 0.156111 0.160522 0.165033 0.169670 0.174438 58.31 61.63 Barclays Bank PLC 06748XQU8 09/06/22 09/06/24 100.000 0.000 4.9600 66.86 0.144696 0.148285 36.10 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1336 675.12 0.160235 0.159718 0.163647 0.161823 0.165389 58.97 59.61 Barclays Bank PLC 06749NNQ1 02/28/23 02/28/28 100.000 0.000 5.5500 47.24 0.158445 0.162842 0.167360 0.172005 0.176778 58.93 62.24 Barclays Bank PLC 06749NNN8 02/28/23 02/28/30 100.000 0.000 5.5700 47.41 0.159031 0.163460 0.168013 0.172692 0.177501 59.15 62.49 Barclays Bank PLC 06749NNL2 02/28/23 02/28/25 100.000 0.000 5.8700 49.99 0.167841 0.172767 0.177838 62.54 10.14 Barclays Bank PLC 06749NNM0 03/02/23 09/03/25 100.000 0.000 5.9100 49.66 0.169045 0.174040 0.179183 0.184478 62.95 44.32 Barclays Bank PLC 06748XQN4 09/02/22 07/06/29 100.000 0.000 4.8500 65.91 0.140294 0.143697 0.147181 0.150750 0.154406 52.32 54.89 Barclays Bank PLC 06748D667 02/03/23 02/04/26 100.000 0.000 5.3200 49.05 0.151731 0.155767 0.159910 0.164164 0.168530 56.55 59.60 Barclays Bank PLC 06745NEK8 09/15/23 09/17/26 100.000 0.000 5.6500 16.64 0.156994 0.161429 0.165989 0.170678 0.175500 58.25 61.59 Barclays Bank PLC 06748EJ53 04/28/21 04/27/28 100.000 0.000 1.9000 51.90 0.055330 0.055855 0.056386 0.056922 0.057462 20.08 20.46 Barclays Bank PLC 06747MG59 03/29/19 03/29/24 100.000 0.000 3.3800 172.84 0.109174 9.61 Barclays Bank PLC 06741VTW2 05/31/17 05/30/24 100.000 0.000 3.0612 221.49 0.102449 15.37 Barclays Bank PLC 06741VU83 05/26/17 05/23/24 100.000 0.000 3.0400 220.26 0.102715 14.59 Barclays Bank PLC 06748EJ61 04/28/21 10/28/26 100.000 0.000 1.5300 41.62 0.044151 0.044488 0.044829 0.045172 0.045517 16.00 16.24 Barclays Bank PLC 06748XQK0 09/06/22 09/05/25 100.000 0.000 5.0200 67.68 0.146512 0.150190 0.153960 0.157824 54.27 38.26 Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 647.80 0.145305 0.146565 0.147396 0.148250 0.149128 52.86 53.48 Barclays Bank PLC 06749NEN8 02/03/23 08/05/25 100.000 0.000 5.3700 49.53 0.153217 0.157331 0.161556 0.165893 57.12 35.35 Barclays Bank PLC 06748XZ38 11/02/22 11/02/27 100.000 0.000 6.1700 73.40 0.182127 0.187745 0.193537 0.199508 0.205663 67.25 71.46 Barclays Bank PLC 06749NEM0 01/31/23 07/31/25 100.000 0.000 5.2900 49.23 0.150831 0.154821 0.158916 0.163119 56.24 33.97 Barclays Bank PLC 06749N4H2 11/28/22 11/26/27 100.000 0.000 5.6100 62.33 0.164648 0.169267 0.174015 0.178896 0.183914 60.43 63.87 Barclays Bank PLC 06746T805 07/05/18 07/03/25 100.000 0.000 3.8500 232.83 0.129381 0.131872 0.134410 0.136997 47.92 24.93 Barclays Bank PLC 06744CT50 01/26/18 01/26/28 100.000 VARIES 3.1964 21.16 0.010076 0.010237 0.010400 0.010566 0.010735 3.71 3.83 Barclays Bank PLC 06749NED0 01/31/23 01/31/28 100.000 0.000 5.1800 48.19 0.147616 0.151439 0.155361 0.159385 0.163513 55.00 57.89 Barclays Bank PLC 06749NVE9 04/05/23 10/03/25 100.000 0.000 5.0500 37.62 0.143780 0.147411 0.151133 0.154949 53.06 41.80 Barclays Bank PLC 06749NVF6 03/31/23 10/02/25 100.000 0.000 5.1200 38.88 0.145905 0.149640 0.153471 0.157399 53.87 42.30 Barclays Bank PLC 06749NVC3 04/05/23 04/03/25 100.000 0.000 5.1700 38.52 0.147282 0.151089 0.154995 54.39 14.26 Barclays Bank PLC 06747PWW5 07/06/20 06/28/24 100.000 0.000 1.3600 48.39 0.039601 7.01 Barclays Bank PLC 06748X7E5 02/03/22 08/04/27 100.000 0.000 2.3900 46.46 0.068802 0.069624 0.070456 0.071298 0.072150 25.16 25.76 Barclays Bank PLC 06746XD34 06/29/18 06/27/24 100.000 0.000 3.8100 230.96 0.130220 22.92 Barclays Bank PLC 06747PWV7 06/30/20 06/30/25 100.000 0.000 1.7400 62.57 0.051356 0.051803 0.052253 18.57 9.35 Barclays Bank PLC 06744CBB6 07/28/17 07/25/24 100.000 0.000 3.0200 212.40 0.100393 0.101909 20.75 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33 100.000 VARIES 3.5100 259.05 0.070056 0.071285 0.072537 0.073810 0.075105 25.52 26.42 Barclays Bank PLC 06749NDZ2 02/02/23 08/04/25 100.000 0.000 4.8500 44.82 0.138026 0.141374 0.144802 0.148313 51.29 31.47 Barclays Bank PLC 06748XYA3 10/18/22 10/17/24 100.000 0.000 6.0900 74.94 0.179596 0.185065 52.35 Barclays Bank PLC 06749N3Z3 12/05/22 12/04/24 100.000 0.000 5.6300 61.39 0.165292 0.169945 55.88 Barclays Bank PLC 06749NUZ3 03/31/23 04/02/26 100.000 0.000 5.0200 38.11 0.142984 0.146573 0.150252 0.154024 0.157890 52.77 55.45 Barclays Bank PLC 06749NDV1 02/03/23 02/03/28 100.000 0.000 5.2400 48.31 0.149369 0.153283 0.157299 0.161420 0.165649 55.65 58.61 Barclays Bank PLC 06749NUX8 03/31/23 10/03/24 100.000 0.000 5.1600 39.19 0.147095 0.150890 40.69 Barclays Bank PLC 06745NM94 09/29/23 09/29/26 100.000 0.000 5.8300 14.90 0.161944 0.166665 0.171523 0.176523 0.181669 60.03 63.58 Barclays Bank PLC 06749NV90 03/20/23 03/19/26 100.000 0.000 4.7400 37.31 0.134770 0.137964 0.141234 0.144581 0.148007 49.75 52.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06749NUY6 03/31/23 10/02/25 100.000 0.000 5.1200 38.88 0.145905 0.149640 0.153471 0.157399 53.87 42.30 Barclays Bank PLC 06749NDT6 01/31/23 01/29/26 100.000 0.000 5.2400 48.76 0.149348 0.153261 0.157276 0.161397 0.165626 55.67 58.63 Barclays Bank PLC 06745NLR5 10/04/23 10/02/25 100.000 0.000 6.0500 14.62 0.168056 0.173083 0.178319 0.183713 62.32 49.30 Barclays Bank PLC 06745MZP6 09/06/23 03/05/26 100.000 0.000 5.6600 18.08 0.157222 0.161647 0.166221 0.170926 0.175763 58.44 61.79 Barclays Bank PLC 06749NUV2 03/31/23 03/31/26 100.000 0.000 4.8000 36.42 0.136533 0.139810 0.143166 0.146602 0.150120 50.35 52.79 Barclays Bank PLC 06749NDU3 02/03/23 02/05/26 100.000 0.000 5.3200 49.06 0.151754 0.155790 0.159934 0.164188 0.168556 56.55 59.60 Barclays Bank PLC 06749NV58 04/05/23 04/05/28 100.000 0.000 4.9000 36.49 0.139446 0.142862 0.146362 0.149948 0.153622 51.41 53.96 Barclays Bank PLC 06749NDS8 01/31/23 01/30/25 100.000 0.000 5.3300 49.60 0.152001 0.156052 0.160211 56.69 4.65 Barclays Bank PLC 06749NV25 04/05/23 10/03/24 100.000 0.000 5.1600 38.45 0.146990 0.150783 40.66 Barclays Bank PLC 06749NV33 04/05/23 04/03/25 100.000 0.000 5.1700 38.52 0.147282 0.151089 0.154995 54.39 14.26 Barclays Bank PLC 06746XCC5 05/25/18 05/21/26 100.000 0.000 3.9200 242.88 0.134747 0.137388 0.140081 0.142826 0.145626 49.20 51.15 Barclays Bank PLC 06749NE24 02/02/23 02/02/27 100.000 0.000 4.7500 43.88 0.135078 0.138286 0.141571 0.144933 0.148375 50.17 52.58 Barclays Bank PLC 06745MZM3 09/06/23 09/04/25 100.000 0.000 5.8500 18.69 0.162500 0.167200 0.172091 0.177125 60.47 42.72 Barclays Bank PLC 06749NV41 04/05/23 04/03/26 100.000 0.000 4.9300 36.72 0.140283 0.143741 0.147284 0.150914 0.154634 51.74 54.32 Barclays Bank PLC 06747PWE5 06/30/20 06/30/27 100.000 0.000 2.0600 74.43 0.061478 0.062111 0.062751 0.063397 0.064050 22.25 22.71 Barclays Bank PLC 06745MZN1 08/31/23 03/05/26 100.000 0.000 5.8100 19.54 0.161519 0.166211 0.171040 0.176008 0.181121 60.10 63.64 Barclays Bank PLC 06748W3L5 08/04/21 07/31/26 100.000 0.000 1.2107 29.50 0.034446 0.034655 0.034865 0.035076 0.035288 12.50 12.65 Barclays Bank PLC 06748XY47 11/03/22 11/03/27 100.000 0.000 6.2100 73.70 0.183379 0.189072 0.194943 0.200996 0.207237 67.71 71.98 Barclays Bank PLC 06747J400 07/06/20 07/06/27 100.000 0.000 1.8800 67.41 0.055238 0.055757 0.056281 0.056810 0.057344 20.16 20.54 Barclays Bank PLC 06748XY21 11/03/22 11/05/25 100.000 0.000 6.3100 74.92 0.186578 0.192464 0.198536 0.204800 68.90 61.48 Barclays Bank PLC 06745MZD3 08/23/23 11/21/24 100.000 0.000 5.9600 21.29 0.167968 0.172973 54.65 Barclays Bank PLC 06745MZE1 08/09/23 08/21/24 100.000 0.000 5.7100 22.56 0.158913 0.163450 37.37 Barclays Bank PLC 06748W3C5 07/28/21 01/28/27 100.000 0.000 1.3700 33.67 0.039109 0.039377 0.039647 0.039918 0.040192 14.21 14.41 Barclays Bank PLC 06748W3D3 07/30/21 07/31/28 100.000 0.000 1.6500 40.56 0.047365 0.047756 0.048150 0.048547 0.048947 17.24 17.53 Barclays Bank PLC 06748XXK2 11/03/22 05/05/25 100.000 0.000 6.1100 72.49 0.180312 0.185820 0.191497 66.53 23.75 Barclays Bank PLC 06748W3B7 07/28/21 07/27/28 100.000 0.000 1.6500 40.66 0.047362 0.047753 0.048147 0.048544 0.048945 17.24 17.53 Barclays Bank PLC 06745NLD6 09/29/23 09/29/28 100.000 6.900 5.9800 15.15 0.167444 0.163056 0.163111 0.162278 0.161389 59.01 58.41 Barclays Bank PLC 06744CAL5 07/31/17 07/31/24 100.000 0.000 3.0701 216.04 0.102384 0.103956 21.68 Barclays Bank PLC 06749N3A8 12/02/22 12/02/26 100.000 0.000 5.7000 62.67 0.167487 0.172260 0.177170 0.182219 0.187412 61.44 64.99 Barclays Bank PLC 06748XXE6 10/31/22 10/29/26 100.000 0.000 6.0800 72.67 0.179284 0.184734 0.190350 0.196137 0.202099 66.21 70.30 Barclays Bank PLC 06749NUB6 03/31/23 03/31/28 100.000 0.000 5.0100 38.03 0.142653 0.146226 0.149889 0.153644 0.157493 52.66 55.33 Barclays Bank PLC 06747PEU9 03/27/20 03/25/25 100.000 0.000 2.6800 105.34 0.081702 0.082797 0.083907 29.82 7.05 Barclays Bank PLC 06747PET2 03/27/20 03/25/26 100.000 0.000 2.8100 110.68 0.086050 0.087259 0.088485 0.089728 0.090988 31.43 32.32 Barclays Bank PLC 06745MYW2 09/06/23 09/05/25 100.000 0.000 5.8500 18.69 0.162500 0.167227 0.172118 0.177153 60.47 42.90 Barclays Bank PLC 06748EPH0 06/03/21 06/02/26 100.000 0.000 1.4100 36.89 0.040565 0.040851 0.041139 0.041429 0.041721 14.67 14.88 Barclays Bank PLC 06749N2Z4 12/02/22 06/02/25 100.000 0.000 5.8000 63.79 0.170591 0.175538 0.180629 62.59 27.27 Barclays Bank PLC 06747P4P1 02/11/20 02/11/25 100.000 0.000 1.9400 77.98 0.057656 0.058216 0.058780 21.01 2.35 Barclays Bank PLC 06745MYY8 09/06/23 09/03/26 100.000 0.000 5.4700 17.47 0.151944 0.156031 0.160298 0.164682 0.169187 56.42 59.55 Barclays Bank PLC 06749NTZ5 04/04/23 10/05/26 100.000 0.000 4.6300 34.60 0.131605 0.134652 0.137769 0.140958 0.144221 48.46 50.73 Barclays Bank PLC 06745MYZ5 09/06/23 09/06/28 100.000 0.000 5.5800 17.83 0.155000 0.159325 0.163770 0.168339 0.173035 57.59 60.85 Barclays Bank PLC 06749NCV2 12/16/22 12/18/25 100.000 0.000 5.3100 56.14 0.155482 0.159610 0.163848 0.168198 56.83 57.64 Barclays Bank PLC 06749N2U5 12/05/22 12/03/27 100.000 0.000 5.3800 58.63 0.157547 0.161785 0.166137 0.170606 0.175195 57.72 60.87 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NPF5 11/29/19 11/30/26 100.000 0.000 2.6500 113.66 0.081791 0.082875 0.083973 0.085086 0.086213 29.71 30.50 Barclays Bank PLC 06749NTY8 04/04/23 10/06/25 100.000 0.000 4.7800 35.73 0.135987 0.139237 0.142565 0.145972 50.10 39.82 Barclays Bank PLC 06745NL61 09/29/23 09/29/28 100.000 8.250 5.9300 14.91 0.164722 0.160889 0.157111 0.156778 0.152889 57.61 56.12 Barclays Bank PLC 06748WCU5 08/27/21 08/27/36 100.000 VARIES 2.1838 49.81 0.057667 0.057424 0.057288 0.057227 0.057218 20.67 20.60 Barclays Bank PLC 06745MYT9 09/06/23 06/04/25 100.000 0.000 5.8800 18.85 0.165681 0.170552 0.175566 60.79 26.86 Barclays Bank PLC 06748EPG2 05/28/21 05/31/28 100.000 0.000 1.9300 51.05 0.056254 0.056797 0.057345 0.057898 0.058457 20.38 20.78 Barclays Bank PLC 06745MHS0 06/30/23 07/02/25 100.000 0.000 5.7300 28.82 0.159217 0.163779 0.168471 0.173298 59.80 31.36 Barclays Bank PLC 06745MHT8 07/06/23 07/03/25 100.000 0.000 5.8500 28.44 0.162500 0.167174 0.172064 0.177097 61.04 32.22 Barclays Bank PLC 06749N2T8 12/05/22 12/04/25 100.000 0.000 5.5000 59.95 0.161272 0.165707 0.170264 0.174946 59.10 57.54 Barclays Bank PLC 06749N2Q4 11/28/22 11/27/24 100.000 0.000 5.8300 64.81 0.171496 0.176496 56.81 Barclays Bank PLC 06749NTU6 03/31/23 04/01/27 100.000 0.000 5.0400 38.26 0.143548 0.147165 0.150874 0.154676 0.158573 52.99 55.69 Barclays Bank PLC 06744CQZ7 01/26/18 01/24/25 100.000 0.000 3.2700 212.13 0.108553 0.110328 0.112131 39.96 2.58 Barclays Bank PLC 06745MYP7 08/31/23 08/31/28 100.000 0.000 5.7200 19.23 0.158889 0.163408 0.168107 0.172862 0.177861 59.13 62.56 Barclays Bank PLC 06745MYQ8 08/31/23 09/02/26 100.000 0.000 5.6300 18.93 0.156438 0.160842 0.165369 0.170024 0.174811 58.17 61.49 Barclays Bank PLC 06749N2N1 11/28/22 11/28/25 100.000 0.000 5.7000 63.34 0.167487 0.172260 0.177170 0.182219 61.47 58.84 Barclays Bank PLC 06748XWU1 10/04/22 10/03/24 100.000 0.000 5.6900 72.26 0.167151 0.171907 46.32 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28 100.000 VARIES 3.2563 278.77 0.078217 0.079490 0.080785 0.082100 0.083437 28.52 29.45 Barclays Bank PLC 06745MYM4 08/31/23 03/05/26 100.000 0.000 5.8100 19.54 0.161519 0.166211 0.171040 0.176008 0.181121 60.10 63.64 Barclays Bank PLC 06741TUB1 05/03/13 05/03/33 100.000 VARIES 3.4200 256.87 0.068836 0.070013 0.071210 0.072428 0.073666 25.13 26.00 Barclays Bank PLC 06744CR29 01/26/18 01/24/24 100.000 0.000 3.2100 207.89 0.106216 2.44 Barclays Bank PLC 06747QYE1 01/29/21 01/31/41 100.000 VARIES 2.0890 52.60 0.042751 0.041628 0.041289 0.041613 0.042048 14.97 15.04 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33 100.000 VARIES 4.3876 356.13 0.101087 0.102381 0.103702 0.105053 0.106433 36.65 37.60 Barclays Bank PLC 06747PUY3 05/28/20 05/28/25 100.000 0.000 2.2200 82.53 0.066621 0.067360 0.068108 24.17 10.01 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 529.81 0.127343 0.126377 0.128907 0.126942 0.129189 46.53 46.71 Barclays Bank PLC 06741UFM1 07/31/14 07/31/34 100.000 VARIES 3.8919 310.47 0.090447 0.091650 0.092877 0.094160 0.095467 33.14 34.06 Barclays Bank PLC 06748XFB2 02/24/22 02/23/29 100.000 0.000 2.7100 51.16 0.078373 0.079435 0.080512 0.081603 0.082708 28.68 29.46 Barclays Bank PLC 06745MGX0 06/30/23 07/01/27 100.000 0.000 5.4700 27.50 0.156123 0.156123 0.164780 0.164780 0.173917 56.97 60.13 Barclays Bank PLC 06748XFC0 03/03/22 09/02/27 100.000 0.000 2.5700 47.80 0.074171 0.075124 0.076089 0.077067 0.078057 27.10 27.80 Barclays Bank PLC 06746N451 01/03/18 01/03/25 100.000 0.000 3.2700 214.62 0.108573 0.110348 0.112152 40.04 0.22 Barclays Bank PLC 06745M6Y9 05/17/23 06/05/28 100.000 0.000 4.8100 30.08 0.137154 0.140452 0.143830 0.147289 0.150831 50.14 52.58 Barclays Bank PLC 06747QGU5 09/03/20 09/03/27 100.000 0.000 1.3000 44.07 0.037542 0.037786 0.038032 0.038279 0.038528 13.62 13.79 Barclays Bank PLC 06745MXU7 08/31/23 08/29/25 100.000 0.000 6.0000 20.17 0.166667 0.171639 0.176788 0.182062 62.13 43.03 Barclays Bank PLC 06744CQB0 01/31/18 01/30/25 100.000 0.000 3.2700 211.69 0.108573 0.110348 0.112152 39.95 3.25 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34 100.000 VARIES 3.8226 270.27 0.070011 0.071349 0.072713 0.074102 0.075519 25.86 26.86 Barclays Bank PLC 06745MXR4 09/05/23 06/05/26 100.000 0.000 5.6800 18.36 0.160018 0.164563 0.169236 0.174043 0.178985 58.66 62.04 Barclays Bank PLC 06745MXT0 09/05/23 03/05/27 100.000 0.000 5.5000 17.72 0.152778 0.156979 0.161296 0.165732 0.170289 56.74 59.91 Barclays Bank PLC 06745MGK8 06/30/23 01/02/26 100.000 0.000 5.5400 27.86 0.153936 0.158200 0.162582 0.167086 0.171714 57.73 60.97 Barclays Bank PLC 06745MGL6 07/06/23 01/05/26 100.000 0.000 5.6600 27.51 0.157222 0.161647 0.166221 0.170926 0.175763 58.98 62.37 Barclays Bank PLC 06746XAE3 05/25/18 05/23/24 100.000 0.000 3.8000 234.71 0.129808 18.43 Barclays Bank PLC 06749NSP8 03/02/23 03/04/26 100.000 0.000 5.8200 48.90 0.166425 0.171268 0.176252 0.181381 0.186659 61.93 65.59 Barclays Bank PLC 06745MGG7 07/06/23 01/05/26 100.000 0.000 5.6600 27.51 0.157222 0.161647 0.166221 0.170926 0.175763 58.98 62.37 Barclays Bank PLC 06745M6E3 06/02/23 03/02/26 100.000 0.000 5.3200 31.12 0.149743 0.153726 0.157816 0.162013 0.166323 55.59 58.58 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06748ENY5 05/26/21 05/25/28 100.000 0.000 1.9000 50.35 0.055330 0.055855 0.056386 0.056922 0.057462 20.05 20.43 Barclays Bank PLC 06745MGH5 07/06/23 07/03/26 100.000 0.000 5.4800 26.64 0.152222 0.156324 0.160607 0.165007 0.169529 57.03 60.20 Barclays Bank PLC 06745MGJ1 07/06/23 07/06/28 100.000 0.000 5.4900 26.69 0.152500 0.156686 0.160987 0.165406 0.169947 57.14 60.32 Barclays Bank PLC 06747A862 05/03/19 05/05/26 100.000 0.000 3.2600 162.71 0.104758 0.106466 0.108201 0.109965 0.111757 38.21 39.47 Barclays Bank PLC 06745NJM9 10/04/23 10/05/27 100.000 0.000 5.9500 14.38 0.165278 0.170222 0.175286 0.180501 0.185871 61.25 64.95 Barclays Bank PLC 06745M6H6 06/02/23 06/04/29 100.000 0.000 5.3400 31.12 0.152339 0.156406 0.160583 0.164870 0.169272 55.80 58.82 Barclays Bank PLC 06748X4K4 01/18/22 01/15/27 100.000 0.000 2.2100 43.86 0.063434 0.064135 0.064844 0.065560 0.066285 23.20 23.71 Barclays Bank PLC 06747MKS4 04/30/19 04/30/24 100.000 0.000 3.3800 169.46 0.109173 12.99 Barclays Bank PLC 06745MGD4 06/30/23 06/30/28 100.000 0.000 5.4800 27.56 0.156393 0.160678 0.165081 0.169604 0.174251 57.08 60.25 Barclays Bank PLC 06748ENX7 05/26/21 11/27/26 100.000 0.000 1.5200 40.12 0.043853 0.044186 0.044522 0.044860 0.045201 15.87 16.11 Barclays Bank PLC 06749NSG8 03/03/23 04/02/24 100.000 0.000 5.8000 48.63 0.166558 15.16 Barclays Bank PLC 06745MGE2 07/06/23 04/03/25 100.000 0.000 5.8300 28.54 0.164226 0.169013 0.173940 60.84 16.00 Barclays Bank PLC 06745MGF9 07/06/23 07/03/25 100.000 0.000 5.8500 28.44 0.162500 0.167174 0.172064 0.177097 61.04 32.22 Barclays Bank PLC 06747PD89 02/27/20 02/26/24 100.000 0.000 1.6500 65.22 0.048544 2.67 Barclays Bank PLC 06748WBA0 08/25/21 08/24/28 100.000 0.000 1.7700 42.29 0.050928 0.051379 0.051833 0.052292 0.052755 18.53 18.86 Barclays Bank PLC 06746XR62 09/26/18 09/26/24 100.000 0.000 3.9700 229.96 0.134231 0.136895 36.05 Barclays Bank PLC 06745MWW4 08/31/23 09/02/27 100.000 0.000 5.8000 19.50 0.161163 0.165837 0.170646 0.175595 0.180687 59.99 63.52 Barclays Bank PLC 06745MG69 06/30/23 01/02/26 100.000 0.000 5.5400 27.86 0.153936 0.158200 0.162582 0.167086 0.171714 57.73 60.97 Barclays Bank PLC 06745MG77 06/30/23 01/02/26 100.000 0.000 5.5400 27.86 0.153936 0.158200 0.162582 0.167086 0.171714 57.73 60.97 Barclays Bank PLC 06746Y325 04/04/19 03/28/25 100.000 0.000 3.5099 179.43 0.113958 0.115958 0.117993 41.76 10.27 Barclays Bank PLC 06749NRZ7 02/15/23 05/13/26 100.000 0.000 5.3800 47.87 0.155483 0.159665 0.163960 0.168371 0.172900 57.13 60.25 Barclays Bank PLC 06745MG93 06/30/23 07/02/26 100.000 0.000 5.3500 26.91 0.148655 0.152632 0.156715 0.160907 0.165211 55.67 58.69 Barclays Bank PLC 06745NZV1 11/30/23 11/30/28 100.000 0.000 5.6700 4.88 0.157500 0.161965 0.166557 0.171279 0.176134 57.78 61.11 Barclays Bank PLC 06748WB93 08/25/21 02/25/27 100.000 0.000 1.5000 35.75 0.042931 0.043253 0.043577 0.043904 0.044233 15.59 15.83 Barclays Bank PLC 06741VHH8 01/27/17 01/27/27 100.000 VARIES 2.3799 21.98 0.009105 0.009213 0.009323 0.009434 0.009546 3.33 3.41 Barclays Bank PLC 06739GCF4 02/20/20 02/18/25 104.000 0.000 3.2800 139.34 0.106163 0.107905 0.109674 39.00 5.15 Barclays Bank PLC 06749NRY0 02/15/23 02/13/26 100.000 0.000 5.5500 49.30 0.158397 0.162793 0.167310 0.171953 0.176725 59.04 62.37 Barclays Bank PLC 06748WB69 08/31/21 08/31/28 100.000 0.000 1.7400 41.31 0.050037 0.050470 0.050912 0.051350 0.051802 18.20 18.52 Barclays Bank PLC 06749NRV6 02/28/23 02/29/28 100.000 0.000 5.4900 46.72 0.156709 0.161011 0.165431 0.169947 0.174638 58.25 61.50 Barclays Bank PLC 06748WB77 09/03/21 09/03/26 100.000 0.000 1.3100 30.87 0.037352 0.037597 0.037843 0.038091 0.038340 13.55 13.73 Barclays Bank PLC 06749NRT1 02/28/23 02/27/26 100.000 0.000 5.5700 47.41 0.159007 0.163436 0.167987 0.172666 0.177475 59.15 62.49 Barclays Bank PLC 06749NS29 02/15/23 02/18/26 100.000 0.000 5.5500 49.31 0.158518 0.162917 0.167438 0.172084 0.176860 59.04 62.37 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33 100.000 VARIES 3.7861 310.23 0.082321 0.083879 0.085467 0.087085 0.088665 30.14 31.29 Barclays Bank PLC 06747QFK8 09/30/20 09/30/27 100.000 0.000 1.3300 44.07 0.038443 0.038699 0.038956 0.039215 0.039476 13.93 14.12 Barclays Bank PLC 06745NJ49 09/26/23 09/26/28 100.000 8.800 5.9800 15.42 0.164167 0.161667 0.156111 0.155667 0.153000 57.39 55.86 Barclays Bank PLC 06748WRQ8 12/03/21 12/03/26 100.000 0.000 1.9100 40.29 0.055111 0.055638 0.056169 0.056705 0.057247 19.96 20.35 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 611.76 0.146201 0.147068 0.147957 0.148407 0.148868 52.95 53.43 Barclays Bank PLC 06745MWL8 08/07/23 08/07/28 100.000 7.000 5.5700 21.97 0.154278 0.151389 0.151000 0.149778 0.146000 54.37 53.49 Barclays Bank PLC 06748WRN5 11/29/21 11/29/28 100.000 0.000 2.3000 48.94 0.066879 0.067648 0.068426 0.069213 0.070009 24.26 24.83 Barclays Bank PLC 06748EVE0 07/06/21 06/30/26 100.000 0.000 1.3100 32.99 0.037588 0.037834 0.038082 0.038331 0.038582 13.58 13.75 Barclays Bank PLC 06745MNN4 07/31/23 07/29/27 100.000 0.000 5.5800 23.41 0.155000 0.159300 0.163745 0.168313 0.173009 57.90 61.18 Barclays Bank PLC 06745P5U1 01/02/24 12/31/26 100.000 0.000 5.0300 0.139722 0.143197 0.146799 0.150491 0.154275 50.79 53.52 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06745P5V9 01/02/24 01/02/29 100.000 0.000 5.0500 0.140278 0.143820 0.147451 0.151174 50.99 53.75 Barclays Bank PLC 06745P5P2 01/02/24 10/02/25 100.000 0.000 5.3200 0.147778 0.149743 0.153726 0.157816 53.94 42.40 Barclays Bank PLC 06745P5Q0 01/02/24 01/02/26 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 52.12 54.99 Barclays Bank PLC 06745NQN9 10/25/23 10/23/25 100.000 0.000 6.0300 11.06 0.167500 0.172494 0.177695 0.183052 61.89 52.85 Barclays Bank PLC 06745NQH2 10/06/23 10/05/28 100.000 0.000 5.9300 14.00 0.164722 0.169579 0.174607 0.179784 0.185115 61.02 64.69 Barclays Bank PLC 06745MNF1 08/02/23 02/02/27 100.000 0.000 5.5600 23.01 0.154444 0.158738 0.163151 0.167687 0.172348 57.67 60.92 Barclays Bank PLC 06748EUZ4 06/30/21 06/30/28 100.000 0.000 1.8500 47.17 0.053810 0.054308 0.054810 0.055317 0.055829 19.46 19.82 Barclays Bank PLC 06749NZG0 05/03/23 05/01/25 100.000 0.000 5.0600 33.66 0.144072 0.147717 0.151454 52.96 18.17 Barclays Bank PLC 06745NQC3 11/03/23 11/05/25 100.000 0.000 6.0500 9.75 0.168112 0.173197 0.178437 0.183834 62.01 55.22 Barclays Bank PLC 06745NQD1 10/31/23 10/29/26 100.000 0.000 5.7800 9.79 0.160556 0.165170 0.169943 0.174855 0.179908 59.21 62.68 Barclays Bank PLC 06749NZH8 05/03/23 05/05/26 100.000 0.000 4.7000 31.25 0.133659 0.136799 0.140014 0.143305 0.146672 49.04 51.37 Barclays Bank PLC 06745NQE9 11/03/23 12/05/24 100.000 0.000 6.0200 9.72 0.168117 0.173177 57.06 Barclays Bank PLC 06749NZF2 05/03/23 10/31/24 100.000 0.000 4.8400 32.19 0.137644 0.140975 41.76 Barclays Bank PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2320 311.66 0.080407 0.082108 0.083846 0.085620 0.087431 29.72 30.99 Barclays Bank PLC 06749NZC9 05/03/23 05/03/28 100.000 0.000 4.8400 32.19 0.137698 0.141030 0.144443 0.147939 0.151519 50.56 53.04 Barclays Bank PLC 06747NUS1 01/03/20 01/03/25 100.000 0.000 2.3200 96.52 0.069863 0.070673 0.071493 25.59 0.14 Barclays Bank PLC 06746XH71 07/27/18 07/25/24 100.000 0.000 3.8699 231.30 0.130180 0.132699 27.01 Barclays Bank PLC 06749NZA3 04/28/23 04/30/26 100.000 0.000 4.6300 31.44 0.131622 0.134669 0.137787 0.140977 0.144240 48.31 50.57 Barclays Bank PLC 06749NZB1 04/28/23 04/28/28 100.000 0.000 4.7800 32.46 0.135951 0.139200 0.142527 0.145934 0.149422 49.94 52.36 Barclays Bank PLC 06745NPZ3 11/03/23 08/05/25 100.000 0.000 6.0400 9.73 0.167778 0.170368 0.175513 0.180813 62.00 38.51 Barclays Bank PLC 06745MMZ8 07/19/23 08/04/27 100.000 0.000 5.4900 24.76 0.152849 0.157045 0.161355 0.165785 0.170335 57.03 60.21 Barclays Bank PLC 06747N3J1 07/31/19 07/31/24 100.000 0.000 2.5801 119.98 0.079408 0.080432 16.78 Barclays Bank PLC 06745NPW0 10/31/23 04/30/26 100.000 0.000 5.8900 9.98 0.163611 0.168429 0.173390 0.178496 0.183753 60.36 63.97 Barclays Bank PLC 06745NPX8 10/31/23 10/29/26 100.000 0.000 5.7800 9.79 0.160556 0.165170 0.169943 0.174855 0.179908 59.21 62.68 Barclays Bank PLC 06749NZ88 04/28/23 10/30/24 100.000 0.000 5.1200 34.79 0.145905 0.149640 44.30 Barclays Bank PLC 06749NZ96 04/28/23 10/30/25 100.000 0.000 4.8500 32.95 0.138026 0.141374 0.144802 0.148313 50.71 43.93 Barclays Bank PLC 06745NQ90 10/31/23 10/30/25 100.000 0.000 6.0100 10.18 0.166944 0.171961 0.177129 0.182451 61.62 53.92 Barclays Bank PLC 06745NPY6 10/31/23 10/31/28 100.000 0.000 6.0800 10.30 0.168889 0.174023 0.179313 0.184765 0.190381 62.36 66.21 Barclays Bank PLC 06745NQ33 11/03/23 11/05/26 100.000 0.000 5.8100 9.36 0.161441 0.166131 0.170957 0.175923 0.181034 59.50 63.00 Barclays Bank PLC 06745NQ41 11/03/23 11/03/28 100.000 0.000 6.1200 9.86 0.170000 0.175202 0.180563 0.186088 0.191783 62.75 66.65 Barclays Bank PLC 06745NQ58 10/31/23 10/31/30 100.000 0.000 6.2800 10.64 0.174444 0.179922 0.185572 0.191398 0.197408 64.46 68.58 Barclays Bank PLC 06745NQ66 10/31/23 10/31/30 100.000 0.000 6.2800 10.64 0.174444 0.179922 0.185572 0.191398 0.197408 64.46 68.58 Barclays Bank PLC 06746X6A6 04/25/18 04/25/28 100.000 VARIES 3.6446 29.36 0.014157 0.014415 0.014677 0.014945 0.015217 5.18 5.37 Barclays Bank PLC 06744CEV9 08/31/17 08/30/24 100.000 0.000 2.9100 200.90 0.096132 0.097523 23.23 Barclays Bank PLC 06749NHN5 01/31/23 04/29/26 100.000 0.000 5.2900 49.35 0.152804 0.156845 0.160994 0.165252 0.169623 56.24 59.26 Barclays Bank PLC 06745NQ25 11/03/23 11/05/25 100.000 0.000 6.0500 9.75 0.168112 0.173197 0.178437 0.183834 62.01 55.22 Barclays Bank PLC 06748E2W2 02/24/21 07/23/26 100.000 0.000 1.2999 37.66 0.037257 0.037499 0.037743 0.037988 0.038235 13.53 13.71 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9296 536.89 0.118981 0.120333 0.121718 0.123137 0.124591 43.16 44.17 Barclays Bank PLC 06748E2V4 02/24/21 02/25/28 100.000 0.000 1.6800 48.89 0.048662 0.049071 0.049483 0.049899 0.050318 17.70 17.99 Barclays Bank PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9848 327.02 0.090872 0.092682 0.094529 0.096412 0.098333 33.61 34.97 Barclays Bank PLC 06749NHK1 01/31/23 01/31/28 100.000 0.000 5.2000 48.38 0.148200 0.152053 0.156007 0.160063 0.164224 55.22 58.13 Barclays Bank PLC 06747N2T0 07/26/19 07/31/24 100.000 0.000 2.9716 139.63 0.092912 0.094293 19.67 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747MQT6 05/31/19 05/30/24 100.000 0.000 3.0400 148.42 0.096724 14.41 Barclays Bank PLC 06747N2S2 07/26/19 07/31/24 100.000 0.000 2.9716 139.64 0.092913 0.094294 19.67 Barclays Bank PLC 06747NTV6 12/30/19 12/26/24 100.000 0.000 2.4100 100.64 0.073656 0.074544 26.31 Barclays Bank PLC 06747NU77 01/03/20 01/04/27 100.000 0.000 2.5300 105.64 0.076747 0.077718 0.078701 0.079697 0.080705 28.15 28.87 Barclays Bank PLC 06748ED42 03/31/21 03/30/28 100.000 0.000 2.0000 56.32 0.058389 0.058973 0.059563 0.060159 0.060760 21.23 21.66 Barclays Bank PLC 06747MQS8 05/31/19 05/31/24 100.000 0.000 3.0400 148.42 0.096724 14.41 Barclays Bank PLC 06748EU92 06/23/21 06/22/28 100.000 0.000 1.8700 48.07 0.054416 0.054925 0.055438 0.055956 0.056480 19.69 20.06 Barclays Bank PLC 06748EU84 06/23/21 12/23/26 100.000 0.000 1.5600 39.97 0.045049 0.045401 0.045755 0.046112 0.046471 16.29 16.54 Barclays Bank PLC 06747MQR0 05/31/19 05/30/24 100.000 0.000 3.0400 148.42 0.096723 14.41 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34 100.000 VARIES 3.5915 289.73 0.087054 0.087659 0.088275 0.088902 0.089540 31.52 31.97 Barclays Bank PLC 06747NTU8 12/30/19 06/25/25 100.000 0.000 2.5700 107.63 0.079037 0.080053 0.081081 28.65 14.11 Barclays Bank PLC 06747NU51 12/24/19 12/24/26 100.000 0.000 2.7900 117.81 0.086583 0.087791 0.089016 0.090257 0.091516 31.40 32.29 Barclays Bank PLC 06744C4C2 09/15/17 09/15/27 100.000 VARIES 2.4839 19.36 0.008756 0.008865 0.008975 0.009087 0.009200 3.19 3.27 Barclays Bank PLC 06746XG31 07/23/18 01/23/26 100.000 VARIES 3.8703 209.87 0.108806 0.108737 0.108554 0.108276 0.107927 39.12 38.93 Barclays Bank PLC 06747QLW5 10/30/20 10/29/27 100.000 0.000 1.4500 46.86 0.042060 0.042365 0.042673 0.042982 0.043294 15.23 15.46 Barclays Bank PLC 06748ECG6 03/24/21 09/24/26 100.000 0.000 1.4700 41.40 0.042356 0.042667 0.042981 0.043297 0.043615 15.36 15.59 Barclays Bank PLC 06749N6Z0 11/29/22 11/28/25 100.000 0.000 5.7400 63.63 0.168702 0.173543 0.178524 0.183648 61.93 59.30 Barclays Bank PLC 06749NXW7 03/31/23 03/31/26 100.000 0.000 4.8000 36.42 0.136533 0.139810 0.143166 0.146602 0.150120 50.35 52.79 Barclays Bank PLC 06748ECE1 03/24/21 03/23/28 100.000 0.000 1.8500 52.33 0.053807 0.054305 0.054807 0.055314 0.055826 19.56 19.92 Barclays Bank PLC 06747NCC6 09/05/19 09/05/24 100.000 0.000 2.3100 104.38 0.070342 0.071154 17.31 Barclays Bank PLC 06748ESX2 06/03/21 06/03/36 100.000 VARIES 2.5612 63.46 0.064836 0.064210 0.063857 0.063699 0.063720 23.20 22.96 Barclays Bank PLC 06749N6H0 11/29/22 11/29/24 100.000 0.000 5.8600 64.98 0.172456 0.177509 57.48 Barclays Bank PLC 06745PDL2 01/03/24 12/31/26 100.000 0.000 5.0600 0.140556 0.144052 0.147697 0.151434 0.155265 50.96 53.85 Barclays Bank PLC 06741UJW5 09/29/14 09/29/34 100.000 VARIES 3.7464 301.14 0.089343 0.090238 0.091150 0.092036 0.092938 32.49 33.14 Barclays Bank PLC 06747MQ66 05/13/19 11/12/26 100.000 0.000 2.3000 111.79 0.070809 0.071624 0.072447 0.073280 0.074123 25.72 26.31 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34 100.000 VARIES 4.1532 311.27 0.083186 0.084914 0.086677 0.088477 0.090314 30.58 31.87 Barclays Bank PLC 06746X4X8 04/27/18 07/25/24 100.000 0.000 3.8193 239.70 0.129379 0.131850 26.84 Barclays Bank PLC 06741T6U6 03/04/14 03/04/24 100.000 0.250 3.4337 392.92 0.129151 8.14 Barclays Bank PLC 06749N6A5 11/29/22 02/26/26 100.000 0.000 5.7400 63.76 0.166296 0.171068 0.175978 0.181029 0.186224 61.94 65.54 Barclays Bank PLC 06749NXA5 03/22/23 03/22/28 100.000 0.000 4.8800 38.15 0.138863 0.142251 0.145722 0.149278 0.152920 51.28 53.81 Barclays Bank PLC 06749NXB3 04/05/23 04/03/26 100.000 0.000 4.9300 36.72 0.140283 0.143741 0.147284 0.150914 0.154634 51.74 54.32 Barclays Bank PLC 06744C3B5 09/29/17 09/30/24 100.000 0.000 3.1200 213.73 0.104366 0.105994 28.37 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34 100.000 VARIES 4.0797 342.28 0.097603 0.097678 0.100300 0.099672 0.102368 36.07 36.75 Barclays Bank PLC 06744CUB5 02/28/18 02/28/25 100.000 0.000 3.7300 241.01 0.126964 0.129332 0.131744 46.72 7.51 Barclays Bank PLC 06745NNY8 10/05/23 10/04/28 100.000 0.000 5.9300 14.17 0.164722 0.169579 0.174607 0.179784 0.185115 61.03 64.70 Barclays Bank PLC 06748WWZ2 12/28/21 06/25/27 100.000 0.000 1.8800 38.30 0.054205 0.054714 0.055229 0.055748 0.056272 19.61 19.98 Barclays Bank PLC 06745P2U4 01/02/24 07/02/27 100.000 0.000 4.9600 0.137778 0.141195 0.144696 0.148285 50.07 52.73 Barclays Bank PLC 06747P7G8 02/28/20 02/26/25 100.000 0.000 1.6100 63.55 0.047300 0.047680 0.048064 17.19 2.64 Barclays Bank PLC 06747PHJ1 04/03/20 03/29/24 100.000 0.000 3.5299 140.04 0.110784 9.75 Barclays Bank PLC 06745NNU6 10/11/23 04/10/25 100.000 0.000 6.0500 13.44 0.168056 0.173111 0.178348 62.24 17.66 Barclays Bank PLC 06749NWU2 03/30/23 03/30/28 100.000 VARIES 4.9200 36.23 0.131333 0.130444 0.126556 0.126833 0.122667 46.70 44.96 Barclays Bank PLC 06748WFQ1 09/22/21 09/21/28 100.000 0.000 1.7900 41.38 0.051524 0.051985 0.052450 0.052919 0.053393 18.72 19.06 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06745NNN2 11/02/23 05/03/27 100.000 0.000 5.9200 9.70 0.164444 0.169339 0.174351 0.179512 0.184826 60.66 64.30 Barclays Bank PLC 06747PHE2 03/31/20 03/31/27 100.000 0.000 3.7900 151.36 0.120063 0.122338 0.124656 0.127019 0.129426 44.05 45.74 Barclays Bank PLC 06745MKK3 06/23/23 06/23/25 100.000 0.000 5.6300 29.44 0.160791 0.165318 0.169971 58.77 29.24 Barclays Bank PLC 06749NX31 03/21/23 03/20/25 100.000 0.000 5.2600 41.30 0.149932 0.153876 0.157923 55.49 12.48 Barclays Bank PLC 06744CD65 10/25/17 10/24/24 100.000 0.000 3.2400 219.90 0.109132 0.110900 32.29 Barclays Bank PLC 06748XZV6 11/09/22 11/07/25 100.000 0.000 6.1500 71.89 0.181441 0.187020 0.192771 0.198699 66.93 60.05 Barclays Bank PLC 06748WX40 01/03/22 01/04/27 100.000 0.000 1.8700 37.82 0.053417 0.053917 0.054421 0.054930 0.055443 19.50 19.86 Barclays Bank PLC 06744CD73 10/25/17 10/24/24 100.000 0.000 3.2400 219.90 0.109132 0.110900 32.29 Barclays Bank PLC 06748WFR9 09/22/21 03/22/27 100.000 0.000 1.5300 35.29 0.043815 0.044151 0.044488 0.044829 0.045172 15.90 16.14 Barclays Bank PLC 06747PHD4 03/31/20 03/31/26 100.000 0.000 3.8100 152.21 0.120778 0.123079 0.125424 0.127813 0.130248 44.32 46.02 Barclays Bank PLC 06747P7E3 02/28/20 08/26/25 100.000 0.000 1.6900 66.80 0.049788 0.050209 0.050633 0.051061 18.11 11.98 Barclays Bank PLC 06745P2T7 01/02/24 10/02/26 100.000 0.000 5.0100 0.139167 0.140910 0.144440 0.148058 0.151767 50.74 53.30 Barclays Bank PLC 06749NWP3 03/22/23 06/21/24 100.000 0.000 4.7700 37.30 0.137260 23.33 Barclays Bank PLC 06748WX32 12/28/21 12/28/28 100.000 0.000 2.0600 42.02 0.059616 0.060231 0.060851 0.061478 0.062111 21.58 22.02 Barclays Bank PLC 06744CTR2 02/26/18 02/21/25 100.000 0.000 3.3199 212.35 0.110480 0.112314 0.114178 40.58 5.71 Barclays Bank PLC 06749NWM0 04/06/23 04/08/25 100.000 0.000 5.1100 37.93 0.145612 0.149333 0.153148 53.72 14.86 Barclays Bank PLC 06745W7A2 08/31/23 08/28/26 100.000 4.010 5.6300 20.44 0.169333 0.172944 0.171722 0.176389 0.175222 62.01 63.44 Barclays Bank PLC 06741VLW0 03/31/17 03/28/24 100.000 0.000 3.2600 244.08 0.111716 9.72 Barclays Bank PLC 06747NAQ7 08/30/19 08/30/24 100.000 0.000 2.2798 103.31 0.069339 0.070125 16.71 Barclays Bank PLC 06746X3V3 04/30/18 04/30/25 100.000 0.000 3.8700 242.78 0.132729 0.135297 0.137915 48.56 16.41 Barclays Bank PLC 06747NB45 08/30/19 08/30/24 100.000 0.000 2.2800 103.32 0.069347 0.070133 16.72 Barclays Bank PLC 06744CTM3 03/05/18 03/05/25 100.000 VARIES 3.7200 216.42 0.103541 0.103472 0.103391 37.24 6.62 Barclays Bank PLC 06749NWA6 03/10/23 03/12/26 100.000 0.000 5.8900 48.15 0.168485 0.173446 0.178554 0.183813 0.189226 62.65 66.39 Barclays Bank PLC 06745NMY9 10/25/23 04/25/29 100.000 0.000 6.2600 11.48 0.173889 0.179332 0.184945 0.190733 0.196703 64.31 68.40 Barclays Bank PLC 06744CTC5 02/14/18 02/12/25 100.000 0.000 3.7700 245.66 0.128576 0.130999 0.133468 47.40 5.47 Barclays Bank PLC 06749N4Z2 11/21/22 11/20/25 100.000 0.000 5.8500 66.25 0.172118 0.177153 0.182334 0.187668 63.29 59.12 Barclays Bank PLC 06745NMZ6 10/25/23 04/25/28 100.000 0.000 6.1400 11.26 0.170556 0.175792 0.181188 0.186751 0.192484 63.04 66.97 Barclays Bank PLC 06747T259 07/06/21 07/06/28 100.000 0.000 1.7400 44.01 0.050037 0.050473 0.050912 0.051355 0.051802 18.24 18.56 Barclays Bank PLC 06747NAD6 08/30/19 08/28/24 100.000 0.000 2.2800 103.31 0.069336 0.070127 16.58 Barclays Bank PLC 06745MJR0 06/22/23 06/22/26 100.000 0.000 5.2900 27.81 0.150831 0.154821 0.158916 0.163119 0.167433 55.09 58.04 Barclays Bank PLC 06748WF65 10/05/21 09/30/26 100.000 0.000 1.4900 33.80 0.042626 0.042944 0.043264 0.043586 0.043911 15.46 15.69 Barclays Bank PLC 06745NMQ6 10/31/23 10/29/27 100.000 0.000 6.0700 10.29 0.168611 0.173700 0.178972 0.184404 0.190000 62.26 66.09 Barclays Bank PLC 06748WF57 09/30/21 09/29/28 100.000 0.000 1.9200 44.00 0.055408 0.055940 0.056477 0.057019 0.057566 20.14 20.53 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33 100.000 VARIES 3.6856 276.51 0.073938 0.075300 0.076688 0.078101 0.079540 26.90 27.90 Barclays Bank PLC 06747NAC8 08/30/19 08/28/24 100.000 0.000 2.2800 103.31 0.069336 0.070126 16.57 Barclays Bank PLC 06749NW24 03/29/23 03/29/28 100.000 0.000 4.7600 36.25 0.135369 0.138591 0.141889 0.145266 0.148724 49.91 52.32 Barclays Bank PLC 06749NW32 03/29/23 03/29/27 100.000 0.000 4.7800 36.41 0.135951 0.139200 0.142527 0.145934 0.149422 50.13 52.56 Barclays Bank PLC 06749NVR0 03/22/23 03/20/25 100.000 0.000 4.9100 38.39 0.139700 0.143130 0.146644 51.61 11.58 Barclays Bank PLC 06749NEP3 01/31/23 01/31/30 100.000 0.000 5.0700 47.15 0.144403 0.148064 0.151818 0.155666 0.159612 53.76 56.52 Barclays Bank PLC 06745MAZ1 05/24/23 05/24/28 100.000 0.000 5.0600 30.63 0.144112 0.147758 0.151496 0.155329 0.159259 52.81 55.52 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6003 623.92 0.147132 0.148103 0.149101 0.150127 0.151182 53.14 53.86 Barclays Bank PLC 06747PP52 04/22/20 04/22/27 100.000 0.000 2.4000 92.09 0.072472 0.073342 0.074222 0.075113 0.076014 26.37 27.00 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06749NMX7 03/03/23 03/05/26 100.000 0.000 5.7600 48.23 0.164661 0.169403 0.174282 0.179301 0.184465 61.25 64.83 Barclays Bank PLC 06745MB72 05/31/23 03/02/26 100.000 0.000 5.2100 30.77 0.146649 0.150469 0.154389 0.158411 0.162537 54.40 57.27 Barclays Bank PLC 06749NMY5 03/03/23 03/02/28 100.000 0.000 5.6100 46.96 0.160180 0.164673 0.169292 0.174041 0.178923 59.56 62.95 Barclays Bank PLC 06748XPZ8 09/01/22 09/03/26 100.000 0.000 5.0300 68.56 0.146880 0.150574 0.154361 0.158243 0.162223 54.42 57.20 Barclays Bank PLC 06747NZF4 01/31/20 01/29/25 100.000 0.000 1.9400 78.61 0.057653 0.058212 0.058777 21.03 1.65 Barclays Bank PLC 06747NZE7 01/31/20 07/29/25 100.000 0.000 2.0100 81.55 0.059878 0.060480 0.061088 0.061702 21.85 12.82 Barclays Bank PLC 06745NE44 10/03/23 07/06/26 100.000 0.000 5.9625 14.58 0.165625 0.168176 0.173190 0.178353 0.183670 61.41 65.11 Barclays Bank PLC 06745NE51 10/03/23 04/05/27 100.000 0.000 5.9500 14.55 0.165332 0.170251 0.175316 0.180532 0.185902 61.26 64.96 Barclays Bank PLC 06745MB23 05/24/23 05/24/27 100.000 0.000 5.3300 32.27 0.152001 0.156052 0.160211 0.164480 0.168864 55.75 58.76 Barclays Bank PLC 06745MAK4 05/31/23 05/30/28 100.000 0.000 5.2800 31.07 0.150539 0.154513 0.158592 0.162779 0.167076 55.16 58.11 Barclays Bank PLC 06749NMR0 02/28/23 02/27/25 100.000 0.000 6.0100 51.20 0.171933 0.177100 0.182422 64.13 10.22 Barclays Bank PLC 06745MAL2 05/31/23 02/28/25 100.000 0.000 5.6500 33.38 0.159112 0.163607 0.168229 59.21 9.59 Barclays Bank PLC 06745MAM0 06/05/23 03/06/25 100.000 0.000 5.5400 31.95 0.156044 0.160366 0.164808 57.96 10.71 Barclays Bank PLC 06745MAN8 05/04/23 05/06/25 100.000 0.000 5.1900 34.38 0.147950 0.151790 0.155729 54.38 19.47 Barclays Bank PLC 06744CJZ5 11/30/17 11/29/24 100.000 0.000 3.1200 207.36 0.104348 0.105976 34.52 Barclays Bank PLC 06745NDQ6 08/31/23 08/31/26 100.000 5.750 5.6300 16.76 0.155500 0.157111 0.155556 0.163500 0.163889 56.38 58.44 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30 100.000 VARIES 3.0513 339.74 0.089900 0.089788 0.089675 0.089560 0.089443 32.33 32.25 Barclays Bank PLC 06748D527 02/17/23 03/04/26 100.000 0.000 5.5200 48.76 0.157976 0.162336 0.166817 0.171421 0.176152 58.69 61.97 Barclays Bank PLC 06745NDH6 09/20/23 10/05/27 100.000 0.000 5.8500 16.45 0.162896 0.167661 0.172565 0.177612 0.182808 60.33 63.91 Barclays Bank PLC 06744CJQ5 11/27/17 11/21/24 100.000 0.000 3.1199 207.68 0.104302 0.105929 33.67 Barclays Bank PLC 06747MW85 06/28/19 06/28/24 100.000 0.000 3.0400 145.71 0.096725 17.12 Barclays Bank PLC 06747NHX5 10/02/19 10/02/24 100.000 0.000 2.3500 104.34 0.071672 0.072514 19.57 Barclays Bank PLC 06747B506 06/05/19 06/04/25 100.000 0.000 3.2000 156.24 0.102530 0.104170 0.105837 37.30 16.19 Barclays Bank PLC 06747NHT4 10/02/19 10/02/24 100.000 0.000 2.3500 104.34 0.071672 0.072514 19.57 Barclays Bank PLC 06747PNU9 04/30/20 04/30/25 100.000 0.000 2.2800 86.76 0.068564 0.069345 0.070136 24.92 8.35 Barclays Bank PLC 06749NMB5 02/28/23 02/26/26 100.000 0.000 5.6000 47.67 0.159863 0.164339 0.168940 0.173671 0.178533 59.49 62.87 Barclays Bank PLC 06747MVL7 05/29/19 05/29/29 100.000 VARIES 3.3999 154.02 0.091428 0.091359 0.091382 0.091483 0.091657 32.90 32.92 Barclays Bank PLC 06747PNV7 05/05/20 04/30/24 100.000 0.000 2.1000 79.37 0.062739 7.47 Barclays Bank PLC 06745MA65 05/31/23 11/28/25 100.000 0.000 5.3200 31.31 0.151665 0.155699 0.159841 0.164093 55.60 53.03 Barclays Bank PLC 06745MA73 05/31/23 05/29/26 100.000 0.000 5.1400 30.24 0.146427 0.150190 0.154050 0.158009 0.162070 53.63 56.43 Barclays Bank PLC 06747QA56 07/29/20 07/29/27 100.000 0.000 1.8100 63.61 0.053070 0.053550 0.054035 0.054524 0.055018 19.34 19.69 Barclays Bank PLC 06747QA49 07/29/20 07/29/25 100.000 0.000 1.4600 51.05 0.042365 0.042674 0.042985 0.043299 15.40 9.00 Barclays Bank PLC 06748WLY7 10/27/21 10/26/28 100.000 0.000 2.2700 50.40 0.065963 0.066712 0.067469 0.068235 0.069009 23.98 24.53 Barclays Bank PLC 06748WLZ4 10/27/21 04/29/27 100.000 0.000 1.9100 42.28 0.055117 0.055643 0.056175 0.056711 0.057253 20.00 20.39 Barclays Bank PLC 06747H636 06/03/20 06/03/27 100.000 0.000 2.1700 80.29 0.065008 0.065713 0.066426 0.067147 0.067875 23.57 24.08 Barclays Bank PLC 06747NHF4 10/03/19 10/05/26 100.000 0.000 2.4700 109.84 0.075700 0.076635 0.077582 0.078540 0.079510 27.58 28.27 Barclays Bank PLC 06745NU95 11/03/23 11/03/26 100.000 0.000 5.8100 9.36 0.161389 0.166077 0.170902 0.175866 0.180975 59.50 63.00 Barclays Bank PLC 06747G331 04/22/20 05/05/27 100.000 0.000 2.3999 92.09 0.072533 0.073403 0.074284 0.075175 0.076078 26.37 27.00 Barclays Bank PLC 06745NCP9 08/30/23 09/11/24 100.000 0.000 6.0300 20.30 0.167809 0.172868 42.86 Barclays Bank PLC 06749NLT7 02/28/23 02/26/26 100.000 0.000 5.7200 48.71 0.163383 0.168055 0.172862 0.177806 0.182891 60.84 64.37 Barclays Bank PLC 06748XP70 08/30/22 02/28/25 100.000 0.000 4.8900 66.75 0.142519 0.146004 0.149573 52.80 8.53 Barclays Bank PLC 06747PNC9 04/24/20 04/26/27 100.000 0.000 2.3700 90.75 0.071501 0.072349 0.073206 0.074073 0.074951 26.00 26.62 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06749NLL4 03/02/23 09/02/25 100.000 0.000 5.8900 49.49 0.168429 0.173390 0.178496 0.183753 62.73 43.96 Barclays Bank PLC 06749NLM2 03/02/23 09/02/26 100.000 0.000 5.8400 49.07 0.166959 0.171834 0.176852 0.182016 0.187331 62.16 65.84 Barclays Bank PLC 06747B449 07/03/19 07/06/26 100.000 0.000 3.2200 154.39 0.101662 0.103298 0.104961 0.106651 0.108368 37.47 38.69 Barclays Bank PLC 06745NTG1 10/30/23 10/30/28 100.000 7.500 6.2000 10.18 0.171500 0.167500 0.168111 0.166833 0.165500 60.87 59.80 Barclays Bank PLC 06747QQA8 11/30/20 11/30/27 100.000 0.000 1.4300 44.96 0.041457 0.041754 0.042052 0.042353 0.042656 15.00 15.21 Barclays Bank PLC 06747NXT6 02/05/20 02/05/25 100.000 0.000 1.9400 78.33 0.057657 0.058216 0.058781 21.02 2.00 Barclays Bank PLC 06747NXS8 01/31/20 01/31/24 100.000 0.000 1.8800 76.10 0.055757 1.62 Barclays Bank PLC 06747NGL2 09/18/19 09/18/24 100.000 0.000 2.5500 114.74 0.078389 0.079388 20.33 Barclays Bank PLC 06748EGK3 05/05/21 05/05/26 100.000 0.000 1.3500 36.38 0.038783 0.039045 0.039308 0.039573 0.039841 14.04 14.23 Barclays Bank PLC 06741W3X6 04/18/23 04/17/25 100.000 0.000 5.1200 36.25 0.145843 0.149576 0.153406 53.74 16.26 Barclays Bank PLC 06747PN39 04/22/20 04/22/27 100.000 0.000 2.4000 92.09 0.072472 0.073342 0.074222 0.075113 0.076014 26.37 27.00 Barclays Bank PLC 06748EGJ6 04/30/21 04/28/28 100.000 0.000 1.9100 52.07 0.055632 0.056163 0.056699 0.057241 0.057787 20.19 20.58 Barclays Bank PLC 06747NXQ2 01/31/20 01/29/27 100.000 0.000 2.1400 87.02 0.064039 0.064724 0.065416 0.066116 0.066824 23.39 23.89 Barclays Bank PLC 06745MPU6 08/03/23 08/05/26 100.000 0.000 5.4700 22.49 0.151991 0.156148 0.160418 0.164806 0.169313 56.70 59.84 Barclays Bank PLC 06745MPV4 08/03/23 08/05/25 100.000 0.000 5.8300 23.98 0.161997 0.166719 0.171579 0.176580 60.57 37.62 Barclays Bank PLC 06745MPW2 07/31/23 07/31/25 100.000 0.000 5.8100 24.37 0.161389 0.166077 0.170902 0.175866 60.38 36.61 Barclays Bank PLC 06747NGJ7 10/03/19 10/03/24 100.000 0.000 2.2800 101.03 0.069345 0.070135 19.00 Barclays Bank PLC 06745MQ92 07/19/23 10/17/24 100.000 0.000 5.8300 26.41 0.164252 0.169040 47.84 Barclays Bank PLC 06745MPQ5 08/03/23 05/05/25 100.000 0.000 5.8500 24.19 0.164929 0.169754 0.174719 60.79 21.67 Barclays Bank PLC 06745MPR3 08/03/23 08/05/25 100.000 0.000 5.8300 23.98 0.161997 0.166719 0.171579 0.176580 60.57 37.62 Barclays Bank PLC 06745MQ43 07/11/23 07/11/24 100.000 0.000 5.9600 28.14 0.165556 0.170489 32.34 Barclays Bank PLC 06745MPS1 08/03/23 02/05/26 100.000 0.000 5.6400 23.19 0.156716 0.161135 0.165679 0.170351 0.175155 58.52 61.87 Barclays Bank PLC 06745MPT9 08/03/23 08/03/28 100.000 0.000 5.5200 22.69 0.153333 0.157565 0.161914 0.166383 0.170975 57.23 60.43 Barclays Bank PLC 06745MPM4 07/31/23 07/31/28 100.000 0.000 5.4700 22.94 0.151944 0.156100 0.160369 0.164756 0.169262 56.72 59.87 Barclays Bank PLC 06749NKR2 02/23/23 02/23/28 100.000 0.000 5.4900 47.51 0.156686 0.160987 0.165406 0.169947 0.174612 58.30 61.54 Barclays Bank PLC 06748XNW7 08/24/22 02/23/24 100.000 0.000 4.5900 63.37 0.133403 6.94 Barclays Bank PLC 06749NKS0 02/23/23 02/22/27 100.000 0.000 5.8300 50.48 0.166639 0.171496 0.176496 0.181640 0.186935 62.14 65.81 Barclays Bank PLC 06745MPJ1 07/31/23 07/31/25 100.000 0.000 5.8100 24.37 0.161389 0.166077 0.170902 0.175866 60.38 36.61 Barclays Bank PLC 06744CYW5 03/09/18 03/09/28 100.000 VARIES 3.4394 25.14 0.012232 0.012442 0.012656 0.012874 0.013095 4.49 4.64 Barclays Bank PLC 06745MPL6 07/31/23 07/30/26 100.000 0.000 5.4500 22.86 0.151389 0.155514 0.159752 0.164105 0.168577 56.51 59.63 Barclays Bank PLC 06745MPK8 07/31/23 01/29/26 100.000 0.000 5.6300 23.61 0.156389 0.160767 0.165292 0.169945 0.174729 58.44 61.78 Barclays Bank PLC 06748WKK8 11/03/21 11/03/26 100.000 0.000 1.9400 42.62 0.056011 0.056554 0.057103 0.057657 0.058216 20.33 20.72 Barclays Bank PLC 06747C686 09/05/19 09/03/26 100.000 0.000 2.5000 113.38 0.076689 0.077648 0.078619 0.079601 0.080596 28.01 28.71 Barclays Bank PLC 06748XNM9 09/06/22 09/05/24 100.000 0.000 4.9600 66.86 0.144677 0.148265 35.95 Barclays Bank PLC 06748WKJ1 10/29/21 10/31/28 100.000 0.000 2.2700 50.27 0.065971 0.066720 0.067477 0.068243 0.069018 23.98 24.52 Barclays Bank PLC 06747PM97 04/08/20 04/08/27 100.000 0.000 3.7900 150.40 0.120062 0.122338 0.124656 0.127018 0.129425 44.01 45.70 Barclays Bank PLC 06741VQQ8 04/28/17 04/25/24 100.000 0.000 3.0900 227.17 0.104739 11.94 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6203 611.18 0.129088 0.128908 0.128723 0.128535 46.41 37.17 Barclays Bank PLC 06745NSB3 10/26/23 10/28/25 100.000 0.000 6.1200 11.05 0.170058 0.175262 0.180625 0.186152 62.82 54.64 Barclays Bank PLC 06744C7B1 10/27/17 10/24/24 100.000 0.000 3.2400 219.68 0.109112 0.110879 32.29 Barclays Bank PLC 06747N5K6 08/05/19 07/31/24 100.000 0.000 2.5814 119.64 0.079425 0.080450 16.78 Barclays Bank PLC 06747N5J9 07/31/19 07/31/25 100.000 0.000 2.4500 113.64 0.075020 0.075939 0.076869 0.077811 27.45 16.24 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747PLM9 04/20/20 04/21/25 100.000 0.000 2.2700 87.05 0.068243 0.069017 0.069801 24.82 7.68 Barclays Bank PLC 06749NJW3 02/15/23 02/14/30 100.000 0.000 5.4500 48.40 0.155491 0.159728 0.164081 0.168552 0.173145 57.92 61.12 Barclays Bank PLC 06747PLN7 04/17/20 04/18/24 100.000 0.000 2.1600 82.88 0.064691 6.92 Barclays Bank PLC 06748XN80 08/17/22 08/14/25 100.000 0.000 4.6700 65.45 0.135799 0.138970 0.142215 0.145536 50.34 32.31 Barclays Bank PLC 06747NWE0 01/02/20 01/02/25 100.000 0.000 2.4000 100.06 0.072472 0.073342 0.074222 26.56 Barclays Bank PLC 06744CY70 03/29/18 09/26/24 100.000 0.000 3.6400 230.79 0.123261 0.125505 33.07 Barclays Bank PLC 06748XN31 09/06/22 09/05/24 100.000 0.000 4.9600 66.86 0.144677 0.148265 35.95 Barclays Bank PLC 06745NRP3 10/13/23 10/15/25 100.000 0.000 5.9500 12.90 0.165332 0.170251 0.175316 0.180532 61.16 50.73 Barclays Bank PLC 06748XN23 09/06/22 09/03/27 100.000 0.000 5.0800 68.51 0.148309 0.152076 0.155939 0.159900 0.163961 54.97 57.80 Barclays Bank PLC 06747RAA3 04/16/21 04/14/28 100.000 0.000 1.8600 51.43 0.054109 0.054612 0.055120 0.055632 0.056150 19.65 20.01 Barclays Bank PLC 06747D882 11/05/19 11/04/26 100.000 0.000 2.7100 118.38 0.083829 0.084965 0.086116 0.087283 0.088466 30.51 31.35 Barclays Bank PLC 06747MC38 02/28/19 02/29/24 100.000 0.000 3.6879 193.59 0.120766 7.00 Barclays Bank PLC 06747C546 09/06/19 08/29/24 100.000 0.000 2.3000 103.84 0.069976 0.070781 16.80 Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 617.17 0.140336 0.140961 0.141602 0.142260 0.142936 50.63 51.10 Barclays Bank PLC 06745NAF3 08/23/23 09/05/24 100.000 0.000 5.9700 21.26 0.166163 0.171123 41.44 Barclays Bank PLC 06745P6J5 01/02/24 07/02/26 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 51.50 54.31 Barclays Bank PLC 06744C6N6 10/31/17 10/31/24 100.000 0.000 3.2400 219.35 0.109142 0.110910 32.95 Barclays Bank PLC 06748F829 02/15/23 02/13/26 100.000 0.000 5.3900 47.86 0.153712 0.157855 0.162109 0.166478 0.170965 57.24 60.37 Barclays Bank PLC 06747NEP5 09/27/19 09/25/24 100.000 0.000 2.4600 109.83 0.075343 0.076270 20.06 Barclays Bank PLC 06748F845 02/15/23 02/18/26 100.000 0.000 5.4100 48.05 0.154412 0.158589 0.162879 0.167285 0.171810 57.47 60.62 Barclays Bank PLC 06744CGK1 08/25/17 08/22/24 100.000 0.000 2.9600 205.15 0.098049 0.099500 22.91 Barclays Bank PLC 06747NVN1 12/11/19 12/11/29 100.000 VARIES 2.4256 15.31 0.010231 0.010355 0.010480 0.010607 0.010736 3.71 3.80 Barclays Bank PLC 06748E4K6 02/26/21 02/28/28 100.000 0.000 1.7600 51.17 0.051083 0.051532 0.051986 0.052443 0.052905 18.58 18.91 Barclays Bank PLC 06747NEN0 09/27/19 03/25/25 100.000 0.000 2.5300 113.10 0.077702 0.078685 0.079680 28.34 6.69 BellSouth 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 1253.64 0.184766 0.184767 0.184769 0.184770 0.184772 66.52 66.52 Bureau County, SD #205 121133CL4 10/10/13 12/01/29 100.148 VARIES 5.8866 603.93 0.163627 0.163619 0.163611 0.163603 0.163595 58.90 58.90 C1TIGROUP 17332MSM7 08/30/24 03/04/26 100.000 0.000 4.9000 0.136111 0.136185 0.139522 0.142940 16.48 50.42 CANADIAN IMPERIAL BANK 13608J354 02/01/24 01/28/28 100.000 0.000 4.8000 0.133333 0.136480 0.139756 0.143110 44.48 50.74 CANADIAN IMPERIAL BANK 13607XSS7 08/05/24 08/05/26 100.000 VARIES 4.8907 0.135018 0.134552 0.134703 0.134859 19.71 48.48 CANADIAN IMPERIAL BANK 13607XNE3 10/05/23 10/05/28 100.000 VARIES 6.4400 0.79 0.009137 0.009109 0.009080 0.009051 0.009020 3.28 3.26 CANADIAN IMPERIAL BANK 13607XNR4 10/31/23 10/30/26 100.000 VARIES 6.4500 0.41 0.006799 0.006399 0.005988 0.006181 0.006381 2.33 2.21 CANADIAN IMPERIAL BANK 13607Y139 11/22/23 11/20/26 100.000 0.000 5.6200 6.09 0.156111 0.160449 0.164958 0.169593 0.174359 57.34 60.60 CANADIAN IMPERIAL BANK 13608P665 04/04/24 03/31/28 100.000 0.000 4.8800 0.135556 0.138790 0.142176 0.145645 36.49 51.20 CANADIAN IMPERIAL BANK 13608P814 04/18/24 04/28/28 100.000 0.000 5.2200 0.145000 0.145210 0.149000 0.152889 0.156880 36.97 54.84 CANADIAN IMPERIAL BANK 13608J446 12/29/23 12/18/26 100.000 0.000 5.1900 0.29 0.144167 0.147679 0.151511 0.155443 0.159477 52.63 55.36 CANADIAN IMPERIAL BANK 13607XPC5 01/02/24 01/02/30 100.000 0.000 4.8000 0.133333 0.136533 0.139810 0.143166 48.44 50.93 CANUTILLO TEX INDPT SCH 138735YN9 07/29/20 02/15/30 81.977 0.000 2.0930 60.56 0.050780 0.051311 0.051848 0.052391 0.052939 18.52 18.91 CANUTILLO TEX INDPT SCH 138735YL3 07/29/20 02/15/28 86.749 0.000 1.8930 57.79 0.048310 0.048767 0.049229 0.049695 0.050165 17.60 17.93 CANUTILLO TEX INDPT SCH 138735YK5 07/29/20 02/15/27 89.327 0.000 1.7320 54.32 0.045294 0.045686 0.046082 0.046481 0.046883 16.48 16.77 CANUTILLO TEX INDPT SCH 138735YM1 07/29/20 02/15/29 84.413 0.000 1.9930 59.29 0.049640 0.050134 0.050634 0.051138 0.051648 18.09 18.46 CAREY OHIO EXMP VLG SCH 141771BW4 03/04/20 11/01/36 57.028 0.000 3.3998 78.53 0.060928 0.061964 0.063018 0.064089 0.065178 22.25 23.01 CAREY OHIO EXMP VLG SCH 141771BU8 03/04/20 11/01/34 61.892 0.000 3.2998 82.58 0.063949 0.065004 0.066076 0.067167 0.068275 23.34 24.12 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CAREY OHIO EXMP VLG SCH 141771BV6 03/04/20 11/01/35 59.439 0.000 3.3499 80.58 0.062459 0.063505 0.064568 0.065650 0.066749 22.80 23.57 CAREY OHIO EXMP VLG SCH 141771BT1 03/04/20 11/01/33 64.382 0.000 3.2499 84.53 0.065397 0.066459 0.067539 0.068637 0.069752 23.86 24.64 CAREY OHIO EXMP VLG SCH 141771BR5 03/04/20 11/01/31 69.862 0.000 3.0999 87.27 0.067324 0.068367 0.069427 0.070503 0.071596 24.55 25.32 CAREY OHIO EXMP VLG SCH 141771BS3 03/04/20 11/01/32 67.325 0.000 3.1499 85.53 0.066044 0.067084 0.068140 0.069213 0.070303 24.09 24.85 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 2922.39 0.819460 0.851113 0.884189 0.918754 0.954671 302.64 326.64 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 2922.39 0.819460 0.851113 0.884189 0.918754 0.954671 302.64 326.64 CHINA SPRING TEX INDPT 169412RQ8 07/22/20 08/15/34 68.731 0.000 2.6840 66.07 0.055604 0.056350 0.057107 0.057873 0.058650 20.36 20.91 CHINA SPRING TEX INDPT 169412RP0 07/22/20 08/15/33 71.045 0.000 2.6339 66.97 0.056319 0.057061 0.057813 0.058574 0.059345 20.61 21.16 CITIGROUP 17331UZJ9 07/08/24 07/06/29 100.000 0.000 5.1500 0.143056 0.146698 0.150476 24.75 53.45 CITIGROUP 17331UHU4 06/04/24 03/04/27 100.000 0.000 5.0600 0.140556 0.142334 0.145935 0.149627 29.30 52.74 CITIGROUP 17332MKX1 08/05/24 08/02/28 100.000 0.000 4.7340 0.131500 0.134561 0.137746 19.20 48.82 CITIGROUP 17331UYZ4 06/28/24 06/28/29 100.000 0.000 4.9980 0.138833 0.142303 0.145859 0.149504 25.42 51.89 CITIGROUP 17291LMW2 03/28/24 03/28/31 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 38.86 53.44 CITIGROUP 17331U7F8 08/05/24 11/05/26 100.000 0.000 4.9000 0.136111 0.137778 0.141154 0.144612 19.97 50.59 CITIGROUP 17290ADM9 06/28/24 06/28/34 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 26.60 54.39 CITIGROUP 17331U7H4 08/05/24 08/03/29 100.000 0.000 4.7830 0.132861 0.136003 0.139256 19.40 49.34 CITIGROUP 17331UYN1 06/28/24 06/28/29 100.000 0.000 4.9980 0.138833 0.142303 0.145859 0.149504 25.42 51.89 CITIGROUP 17333ABD0 09/11/24 09/10/27 100.000 0.000 4.5290 0.125806 0.128639 0.131552 13.84 46.44 CITIGROUP 17331UXQ5 06/28/24 06/28/29 100.000 0.000 4.9980 0.138833 0.142303 0.145859 0.149504 25.42 51.89 CITIGROUP 17331UH42 06/27/24 06/28/29 100.000 0.000 4.6170 0.128250 0.131227 0.134256 0.137356 23.61 47.81 CITIGROUP 17331UXT9 06/12/24 07/10/25 100.000 0.000 5.9600 0.165556 0.166323 0.171279 33.08 32.33 CITIGROUP 17331UH34 06/24/24 06/24/26 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 27.19 54.42 CITIGROUP 17331U6U6 08/05/24 08/05/27 100.000 0.000 4.9000 0.136111 0.139446 0.142862 19.87 50.59 CITIGROUP 17331UXW2 07/03/24 07/03/29 100.000 0.000 5.0270 0.139639 0.143149 0.146747 24.86 52.17 CITIGROUP 17290AAP5 07/18/24 07/18/39 100.000 0.000 5.5600 0.154444 0.158738 0.163151 25.17 57.79 CITIGROUP 17290AB33 04/17/24 04/17/34 100.000 0.000 5.5500 0.154167 0.158445 0.162842 0.167360 39.47 58.49 CITIGROUP 17331UKL1 05/29/24 05/29/29 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 30.27 53.42 CITIGROUP 17290AAQ3 04/19/24 04/19/39 40.280 0.000 6.1600 0.068924 0.071046 0.073235 0.075490 17.52 26.29 CITIGROUP 17291TT99 01/31/24 01/31/29 100.000 0.000 4.3300 0.120278 0.122882 0.125542 0.128260 40.21 45.53 CITIGROUP 17332MNR1 08/30/24 09/02/31 100.000 0.000 4.3040 0.119556 0.119584 0.122158 0.124786 14.47 44.13 CITIGROUP 17332MMW1 07/30/24 09/05/25 100.000 0.000 5.6500 0.156944 0.157807 0.162265 23.80 39.31 CITIGROUP 17332MN91 09/05/24 09/02/27 100.000 0.000 4.5290 0.125806 0.128607 0.131519 14.59 46.47 CITIGROUP 17331UK48 07/02/24 06/30/28 100.000 0.000 5.0700 0.140833 0.144364 0.148023 0.151776 25.21 52.64 CITIGROUP 17332MMV3 07/31/24 07/29/27 100.000 0.000 5.0000 0.138889 0.142342 0.145900 20.97 51.69 CITIGROUP 17291LKV6 04/02/24 10/02/25 100.000 0.000 5.2300 0.145278 0.149077 0.152975 39.42 41.10 CITIGROUP 17291LL86 03/18/24 09/18/25 100.000 0.000 5.2200 0.145000 0.148784 0.152668 41.42 38.94 CITIGROUP 17332MNA8 08/30/24 09/02/31 100.000 0.000 4.3040 0.119556 0.119584 0.122158 0.124786 14.47 44.13 CITIGROUP 17331UKA4 05/31/24 12/03/26 100.000 0.000 5.2600 0.146111 0.146175 0.150020 0.153965 0.158014 30.95 54.94 CITIGROUP 17290ABQ2 04/03/24 04/03/34 100.000 0.000 5.7000 0.158333 0.162846 0.167487 0.172260 42.83 60.29 CITIGROUP 17331UJJ7 05/31/24 06/04/27 100.000 0.000 5.2200 0.145000 0.145084 0.148871 0.152756 0.156743 30.71 54.51 CITIGROUP 17290AC57 04/18/24 04/18/34 100.000 0.000 5.7600 0.160000 0.164608 0.169349 0.174226 40.82 60.81 CITIGROUP 17290ABG4 04/29/24 04/29/34 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 41.74 65.16 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP 17291LLW3 03/27/24 03/27/29 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 38.54 52.79 CITIGROUP 17290AAY6 03/15/24 03/15/34 100.000 0.000 5.6500 0.156944 0.161378 0.165937 0.170625 45.36 59.90 CITIGROUP 17331UUY1 06/26/24 06/26/29 100.000 0.000 5.0070 0.139083 0.142565 0.146134 0.149793 25.75 52.00 CITIGROUP 17332MHB3 07/19/24 07/21/26 100.000 0.000 5.0200 0.139444 0.139483 0.142984 0.146573 22.60 51.98 CITIGROUP 17331UVA2 06/26/24 12/27/28 100.000 0.000 5.0460 0.140167 0.143723 0.147349 0.151066 25.95 52.42 CITIGROUP 17291LS22 03/20/24 03/18/27 100.000 0.000 5.0500 0.140278 0.143780 0.147411 0.151133 39.78 53.17 CITIGROUP 17290AH94 05/31/24 05/31/39 100.000 0.000 5.5900 0.155278 0.159618 0.164079 0.168665 32.90 58.55 CITIGROUP 17290AGW4 03/28/24 03/28/34 100.000 0.000 5.3900 0.149722 0.153757 0.157901 0.162156 41.25 56.88 CITIGROUP 17331U4G9 07/31/24 07/31/29 100.000 0.000 4.8800 0.135556 0.138863 0.142251 20.47 50.41 CITIGROUP 17291LRH0 04/02/24 12/31/26 100.000 0.000 5.0500 0.140278 0.142009 0.145595 0.149271 0.153041 38.05 53.08 CITIGROUP 17290A6M7 04/29/24 04/29/39 100.000 0.000 5.8900 0.163611 0.168429 0.173390 0.178496 39.89 62.15 CITIGROUP 17332MH49 08/16/24 11/18/25 100.000 0.000 5.0700 0.140833 0.142658 0.146274 19.09 45.87 CITIGROUP 17331UUQ8 06/06/24 06/11/29 100.000 0.000 4.6200 0.128333 0.128416 0.131382 0.134417 0.137522 26.38 47.97 CITIGROUP 17291LBZ7 02/23/24 02/25/27 100.000 0.000 5.0700 0.140833 0.140873 0.144444 0.148106 0.151860 43.84 53.59 CITIGROUP 17332MXE9 08/08/24 08/13/27 100.000 0.000 5.1900 0.144167 0.144271 0.148014 0.151855 20.63 53.66 CITIGROUP 17331AZR5 04/24/24 10/24/28 100.000 0.000 5.5200 0.153333 0.157565 0.161914 0.166383 38.16 58.10 CITIGROUP 17291LBE4 02/23/24 02/25/27 100.000 0.000 5.0700 0.140833 0.140873 0.144444 0.148106 0.151860 43.84 53.59 CITIGROUP 17332MWN0 09/05/24 12/04/25 100.000 0.000 4.6070 0.127972 0.129430 0.132411 14.88 43.64 CITIGROUP 17331UCP0 04/26/24 07/28/25 100.000 0.000 5.6500 0.156944 0.159211 0.163708 38.80 33.77 CITIGROUP 17291LBA2 02/29/24 03/03/27 100.000 0.000 5.0500 0.140278 0.140356 0.143900 0.147534 0.151259 42.81 53.33 CITIGROUP 17332MX33 08/29/24 08/29/29 100.000 0.000 4.4210 0.122806 0.125505 0.128295 14.98 45.37 CITIGROUP 17290AHB9 09/10/24 09/10/40 100.000 0.000 5.2180 0.144944 0.148726 0.152606 16.09 53.71 CITIGROUP 17290AF96 08/29/24 08/29/39 100.000 0.000 5.3752 0.149311 0.153302 0.157445 18.22 55.47 CITIGROUP 17291LPU3 04/02/24 10/01/26 100.000 0.000 5.0600 0.140556 0.144092 0.147737 0.151475 38.13 53.19 CITIGROUP 17331UXE2 07/03/24 07/01/27 100.000 0.000 5.0850 0.144801 0.148483 0.152258 25.14 52.79 CITIGROUP 17291LPK5 04/02/24 04/01/27 100.000 0.000 4.9800 0.138333 0.141759 0.145288 0.148906 37.52 52.31 CITIGROUP 17331UXK8 06/20/24 06/18/26 100.000 0.000 5.1500 0.143056 0.146698 0.150476 0.154351 27.37 53.59 CITIGROUP 17331UXM4 07/03/24 07/01/27 100.000 0.000 5.0850 0.144801 0.148483 0.152258 25.14 52.79 CITIGROUP 17331U5K9 08/05/24 02/04/27 100.000 0.000 4.9000 0.136111 0.139427 0.142843 19.87 50.59 CITIGROUP 17291LPC3 03/01/24 05/30/25 100.000 0.000 5.4400 0.151111 0.153143 0.157309 45.89 23.44 CITIGROUP 17331U5N3 08/05/24 08/05/26 100.000 0.000 4.9000 0.136111 0.139446 0.142862 19.87 50.59 CITIGROUP 17331UX44 07/03/24 01/02/26 100.000 0.000 5.3100 0.147500 0.151394 0.155414 26.25 55.22 CITIGROUP 17331UWZ6 06/20/24 06/18/26 100.000 0.000 5.1500 0.143056 0.146698 0.150476 0.154351 27.37 53.59 CITIGROUP 17331U5W3 07/31/24 07/31/31 100.000 0.000 4.4500 0.123611 0.126361 0.129173 18.67 45.83 CITIGROUP 17331UG92 06/20/24 12/17/26 100.000 0.000 5.0700 0.140833 0.144344 0.148003 0.151755 26.95 52.73 CITIGROUP 17331U5Y9 07/31/24 04/29/27 100.000 0.000 5.0000 0.138889 0.140606 0.144121 0.147724 21.08 51.69 CITIGROUP 17291LA54 02/29/24 12/02/26 100.000 0.000 5.1000 0.141667 0.143533 0.147193 0.150947 0.154796 43.28 53.89 CITIGROUP 17290A5W6 06/27/24 06/27/39 100.000 0.000 5.4875 0.152432 0.156614 0.160911 0.165326 28.06 57.19 CITIGROUP 17291LR80 04/02/24 04/02/29 100.000 0.000 5.0100 0.139167 0.142653 0.146226 0.149889 37.75 52.64 CITIGROUP 17331UWA1 07/03/24 12/31/26 100.000 0.000 5.1440 0.142889 0.146503 0.150271 0.154136 25.44 53.43 CITIGROUP 17331UWD5 06/28/24 03/31/27 100.000 0.000 5.0850 0.141250 0.143086 0.146723 0.150454 26.02 52.84 CITIGROUP 17331U5B9 08/05/24 11/05/25 100.000 0.000 5.0460 0.140167 0.141935 0.145516 20.56 43.79 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP 17332MZG2 08/15/24 02/18/26 100.000 0.000 4.8900 0.135833 0.135889 0.139211 0.142615 18.48 50.41 CITIGROUP 17331AL58 04/12/24 04/14/25 100.000 0.000 5.5400 0.153889 0.153936 0.158200 40.20 16.29 CITIGROUP 17331UVN4 07/03/24 10/02/25 100.000 0.000 5.4300 0.150833 0.152858 0.157008 27.03 42.17 CITIGROUP 17331U4K0 07/03/24 07/10/25 100.000 0.000 5.4260 0.150722 0.150881 0.154975 26.86 29.25 CITIGROUP 17290A5F3 02/26/24 02/26/31 100.000 0.000 5.6100 0.155833 0.160204 0.164698 0.169318 48.08 59.62 CITIGROUP 17290A5E6 06/12/24 06/14/39 100.000 0.000 5.6700 0.157500 0.157550 0.162016 0.166609 0.171333 31.43 59.31 CITIGROUP 17331U4M6 08/02/24 02/03/28 100.000 0.000 4.7900 0.133056 0.136260 0.139523 19.83 49.43 CITIGROUP 17331UVP9 06/28/24 12/31/26 100.000 0.000 5.1050 0.141806 0.141846 0.145466 0.149179 0.152987 25.96 53.04 CITIGROUP 17331UVQ7 06/28/24 12/31/25 100.000 0.000 5.3000 0.147222 0.147266 0.151168 0.155174 26.95 54.99 CITIGROUP 17331UVT1 07/03/24 07/02/26 100.000 0.000 5.2500 0.145833 0.149640 0.153568 25.96 54.57 CITIGROUP 17331UVS3 06/28/24 06/30/31 100.000 0.000 5.1000 0.141667 0.141707 0.145320 0.149026 0.152826 25.94 52.99 CITIGROUP 17331U4S3 08/05/24 02/05/26 100.000 0.000 4.9100 0.136389 0.139737 0.143168 19.91 50.69 CITIGROUP 17331UVU8 07/03/24 01/02/26 100.000 0.000 5.3100 0.147500 0.151394 0.155414 26.25 55.22 CITIGROUP 17331UW86 07/03/24 01/02/26 100.000 0.000 5.3100 0.147500 0.151394 0.155414 26.25 55.22 CITIGROUP 17331U4W4 07/31/24 01/29/26 100.000 0.000 5.0000 0.138889 0.142342 0.145900 20.97 51.69 CITIGROUP 17291LWA9 03/28/24 12/31/26 100.000 0.000 4.9800 0.138333 0.140094 0.143582 0.147157 0.150822 38.09 52.34 CITIGROUP 17332M2W3 09/03/24 03/04/27 100.000 0.000 4.5290 0.125806 0.128670 0.131584 14.85 46.48 CITIGROUP 17290ALH1 08/15/24 08/15/39 100.000 0.000 5.3261 0.147946 0.151886 0.155931 20.12 55.06 CITIGROUP 17291LVV4 03/28/24 09/30/26 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 0.148967 38.09 52.34 CITIGROUP 17291LF59 02/26/24 02/26/26 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 43.83 54.13 CITIGROUP 17291L4T9 02/13/24 02/12/26 100.000 0.000 5.0200 0.139444 0.142925 0.146512 0.150190 44.83 53.11 CITIGROUP 17332MDA9 07/25/24 07/27/27 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 21.02 50.12 CITIGROUP 17291LVU6 03/28/24 03/29/29 100.000 0.000 4.9600 0.137778 0.141214 0.144716 0.148305 37.93 52.12 CITIGROUP 17331A5F4 04/29/24 10/29/25 100.000 0.000 5.5000 0.152778 0.156979 0.161296 37.23 47.56 CITIGROUP 17291LEL5 03/05/24 03/04/27 100.000 0.000 5.0800 0.141111 0.144675 0.148350 0.152118 42.19 53.62 CITIGROUP 17332MCD4 07/11/24 07/13/27 100.000 0.000 4.9200 0.136667 0.136704 0.140067 0.143513 23.24 50.96 CITIGROUP 17291LEK7 02/29/24 08/31/26 100.000 0.000 5.1100 0.141944 0.145591 0.149270 0.153126 43.31 53.99 CITIGROUP 17332MTM6 09/05/24 09/02/27 100.000 0.000 4.5290 0.125806 0.128607 0.131519 14.59 46.47 CITIGROUP 17332MCP7 08/05/24 08/05/26 100.000 0.000 4.9000 0.136111 0.139446 0.142862 19.87 50.59 CITIGROUP 17290AMG2 08/20/24 08/09/39 100.000 0.000 5.9125 0.164236 0.168795 0.173785 21.51 61.30 CITIGROUP 17291LXE0 03/28/24 06/30/25 100.000 0.000 5.3000 0.147222 0.149216 0.153170 40.56 27.42 CITIGROUP 17331UQ67 07/12/24 07/14/27 100.000 0.000 4.9500 0.137500 0.137538 0.140942 0.144430 23.24 51.28 CITIGROUP 17331A4Z1 04/24/24 10/23/25 100.000 0.000 5.6400 0.156667 0.161060 0.165602 39.00 47.85 CITIGROUP 17331UPW1 06/03/24 07/01/29 100.000 0.000 5.2300 0.145278 0.149683 0.149683 0.157614 30.32 54.59 CITIGROUP 17291L5Q4 03/05/24 09/04/25 100.000 0.000 5.2900 0.146944 0.150810 0.154798 43.95 37.36 CITIGROUP 17291L5M3 02/28/24 08/28/25 100.000 0.000 5.2600 0.146111 0.149954 0.153898 44.74 36.25 CITIGROUP 17291LWP6 03/07/24 06/09/25 100.000 0.000 5.3500 0.148611 0.150643 0.154673 44.19 24.44 CITIGROUP 17291LWQ4 04/02/24 07/02/25 100.000 0.000 5.3600 0.148889 0.150884 0.154928 40.41 28.04 CITIGROUP 17332MSA3 08/30/24 03/04/26 100.000 0.000 4.9000 0.136111 0.136185 0.139522 0.142940 16.48 50.42 CITIGROUP 17332MBK9 07/18/24 07/20/26 100.000 0.000 4.9200 0.136667 0.136704 0.140067 0.143513 22.28 50.91 CITIGROUP 17332MF90 08/21/24 08/20/26 100.000 0.000 4.8900 0.135833 0.139136 0.142538 17.66 50.37 CITIGROUP 17332MF66 09/05/24 09/05/29 100.000 0.000 4.4600 0.123889 0.126652 0.129476 14.37 45.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP 17331UC70 06/20/24 12/18/25 100.000 0.000 5.2500 0.145833 0.149619 0.153546 27.90 52.62 CITIGROUP 17291LCU7 02/29/24 03/01/29 100.000 0.000 5.0800 0.141111 0.144735 0.148411 0.152181 43.05 53.66 CITIGROUP 17291LTY1 03/28/24 03/29/29 100.000 0.000 4.9600 0.137778 0.141214 0.144716 0.148305 37.93 52.12 CITIGROUP 17291L2R5 02/27/24 02/27/29 100.000 0.000 5.0700 0.140833 0.144403 0.148064 0.151818 43.26 53.56 CITIGROUP 17291LU60 03/28/24 03/31/27 100.000 0.000 4.9300 0.136944 0.136982 0.140359 0.143818 0.147364 37.70 51.79 CITIGROUP 17332MFE9 07/19/24 07/21/26 100.000 0.000 5.0200 0.139444 0.139483 0.142984 0.146573 22.60 51.98 CITIGROUP 17332MEG5 08/05/24 08/04/27 100.000 0.000 4.7600 0.132222 0.135352 0.138573 19.30 49.10 CITIGROUP 17331AYL9 04/24/24 04/24/29 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 37.95 57.77 CITIGROUP 17331UBC0 04/26/24 07/28/25 100.000 0.000 5.6500 0.156944 0.159211 0.163708 38.80 33.77 CITIGROUP 17331USH1 05/29/24 05/29/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 31.28 55.28 CITIGROUP 17291L2J3 02/22/24 02/19/27 100.000 0.000 5.0200 0.139444 0.142886 0.146473 0.150149 43.54 53.04 CITIGROUP 17291L2C8 03/04/24 03/04/27 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 42.58 53.96 CITIGROUP 17291L2F1 02/22/24 02/19/27 100.000 0.000 5.0200 0.139444 0.142886 0.146473 0.150149 43.54 53.04 CITIGROUP 17291LTD7 03/06/24 03/06/28 100.000 0.000 5.1050 0.141806 0.145425 0.149137 0.152944 42.25 53.89 CITIGROUP 17332MDU5 08/05/24 08/05/27 100.000 0.000 4.9000 0.136111 0.139446 0.142862 19.87 50.59 CITIGROUP 17332MDV3 07/29/24 07/27/29 100.000 0.000 4.5500 0.126389 0.129232 0.132172 19.21 46.90 CITIGROUP 17332MDT8 07/18/24 07/20/27 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 21.74 49.63 CITIGROUP 17291LUZ6 04/02/24 04/02/29 100.000 0.000 5.0100 0.139167 0.142653 0.146226 0.149889 37.75 52.64 CITIGROUP 17291L3W3 03/05/24 09/03/26 100.000 0.000 5.1440 0.142889 0.146523 0.150292 0.154157 42.72 54.33 CITIGROUP 17291L3R4 02/29/24 08/29/25 100.000 0.000 5.2600 0.146111 0.149954 0.153876 44.59 36.40 CITIGROUP 17291LUW3 04/02/24 04/01/27 100.000 0.000 4.9800 0.138333 0.141759 0.145288 0.148906 37.52 52.31 CITIGROUP 17291LE76 03/05/24 06/03/25 100.000 0.000 5.4200 0.150556 0.152550 0.156684 45.10 23.82 CITIGROUP 17332MVE1 08/30/24 08/30/29 100.000 0.000 4.4310 0.123083 0.125780 0.128598 14.89 45.47 CITIGROUP 17331UBB2 04/29/24 10/29/25 100.000 0.000 5.6000 0.155556 0.159911 0.164389 37.91 48.46 CITIGROUP 17291LDR3 02/23/24 02/25/27 100.000 0.000 5.0700 0.140833 0.140873 0.144444 0.148106 0.151860 43.84 53.59 CITIGROUP 17331UAD9 05/01/24 05/01/29 100.000 0.000 5.4600 0.151667 0.155807 0.160061 0.164430 36.65 57.37 CITIGROUP 17291L3L7 02/14/24 02/14/29 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 44.50 52.88 CITIGROUP 17291L3B9 03/04/24 03/05/29 100.000 0.000 5.1540 0.143167 0.146877 0.150662 0.154544 42.95 54.45 CITIGROUP 17331URN9 06/05/24 06/04/26 100.000 0.000 5.3800 0.149444 0.153442 0.157570 0.161808 30.89 56.21 CITIGROUP 17332MDQ4 07/25/24 07/27/28 100.000 0.000 4.8400 0.134444 0.134481 0.137735 0.141068 20.98 50.01 CITIGROUP 17290AJK7 05/31/24 05/31/34 100.000 0.000 5.5100 0.153056 0.157272 0.161605 0.166057 32.43 57.67 CITIGROUP 17331UMKO 06/05/24 06/04/27 100.000 0.000 5.2400 0.145556 0.149348 0.153261 0.157276 30.09 54.68 CITIGROUP 17331UMP9 06/05/24 12/03/26 100.000 0.000 5.2900 0.146944 0.150788 0.154776 0.158870 30.38 55.23 CITIGROUP 17332MPV0 08/27/24 03/04/27 100.000 0.000 4.9000 0.136111 0.136241 0.139579 0.142998 16.89 50.44 CITIGROUP 17331UMT1 05/31/24 06/02/31 100.000 0.000 5.2600 0.146111 0.146154 0.149998 0.153943 0.157991 30.95 54.94 CITIGROUP 17332MPY4 09/05/24 09/03/26 100.000 0.000 4.5290 0.125806 0.128623 0.131535 14.59 46.47 CITIGROUP 17331UMU8 05/29/24 05/27/27 100.000 0.000 5.1600 0.143333 0.146990 0.150783 0.154673 30.51 53.86 CITIGROUP 17291TQR2 01/31/24 01/31/29 100.000 0.000 4.3300 0.120278 0.122882 0.125542 0.128260 40.21 45.53 CITIGROUP 5C21DP9H0 04/18/24 04/20/27 100.000 0.000 3.4100 0.094722 0.094740 0.096355 0.097998 0.099669 24.08 35.22 CITIGROUP 17332MPB4 09/05/24 09/03/26 100.000 0.000 4.5290 0.125806 0.128623 0.131535 14.59 46.47 CITIGROUP 17331UMC8 06/05/24 12/03/26 100.000 0.000 5.2900 0.146944 0.150788 0.154776 0.158870 30.38 55.23 CITIGROUP 17331UMH7 05/31/24 06/01/29 100.000 0.000 5.1700 0.143611 0.147344 0.151153 0.155060 30.41 53.96 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP 17291LKJ3 03/28/24 09/30/25 100.000 0.000 5.1700 0.143611 0.143652 0.147366 0.151175 39.55 40.33 CITIGROUP 17331AB26 04/04/24 10/06/25 100.000 0.000 5.2600 0.146111 0.146154 0.149998 0.153943 39.35 41.96 CITIGROUP 17331ULM7 05/29/24 11/29/28 100.000 0.000 5.1700 0.143611 0.147323 0.151132 0.155039 30.56 53.97 CITIGROUP 17291LKG9 03/08/24 09/11/25 100.000 0.000 5.2600 0.146111 0.146175 0.150020 0.153965 43.25 38.22 CITIGROUP 17331AB91 04/18/24 04/20/27 100.000 0.000 5.3000 0.147222 0.147266 0.151168 0.155174 0.159286 37.54 55.72 CITIGROUP 17331ULR6 06/05/24 12/04/25 100.000 0.000 5.4800 0.152222 0.156370 0.160654 31.47 52.84 CITIGROUP 17331ULQ8 05/31/24 03/04/27 100.000 0.000 5.2800 0.146667 0.148689 0.152614 0.156643 31.18 55.17 CITIGROUP 17332MP81 08/30/24 08/30/29 100.000 0.000 4.4310 0.123083 0.125780 0.128598 14.89 45.47 CITIGROUP 17332MP99 08/27/24 08/26/27 100.000 0.000 4.9000 0.136111 0.139427 0.142843 16.88 50.44 CITIGROUP 17291LJX4 03/05/24 12/03/26 100.000 0.000 5.1200 0.142222 0.144002 0.147689 0.151469 0.155347 42.57 54.06 CITIGROUP 17332MRU0 08/30/24 12/02/26 100.000 0.000 4.9000 0.136111 0.137816 0.141192 0.144651 16.52 50.42 CITIGROUP 17332MAT1 07/18/24 07/20/26 100.000 0.000 5.0200 0.139444 0.139483 0.142984 0.146573 22.74 51.99 CITIGROUP 17331A3Y5 04/29/24 10/29/25 100.000 0.000 5.5000 0.152778 0.156979 0.161296 37.23 47.56 CITIGROUP 17291LYB5 04/30/24 01/28/27 100.000 0.000 5.4000 0.150000 0.151980 0.156083 0.160298 36.45 56.72 CITIGROUP 17291LH73 02/29/24 05/30/25 100.000 0.000 5.4000 0.150000 0.152048 0.156153 45.86 23.27 CITIGROUP 17291L6R1 02/26/24 05/27/25 100.000 0.000 5.3500 0.148611 0.150621 0.154650 45.89 22.58 CITIGROUP 17332MRH9 08/30/24 06/02/27 100.000 0.000 4.9000 0.136111 0.137816 0.141192 0.144651 16.52 50.42 CITIGROUP 17291LGH2 03/05/24 03/04/27 100.000 0.000 5.0800 0.141111 0.144675 0.148350 0.152118 42.19 53.62 CITIGROUP 17331A3J8 04/11/24 04/12/29 100.000 0.000 5.1600 0.143333 0.147052 0.150846 0.154738 37.56 54.23 CITIGROUP 17291LGJ8 02/29/24 03/03/31 100.000 0.000 5.1600 0.143333 0.143416 0.147116 0.150911 0.154805 43.75 54.55 CITIGROUP 17291LGF6 03/06/24 03/05/26 100.000 0.000 5.2100 0.144722 0.148471 0.152339 0.156307 43.13 55.05 CITIGROUP 17331A3Q2 04/19/24 04/19/29 100.000 0.000 5.4500 0.151389 0.155514 0.159752 0.164105 38.45 57.37 CITIGROUP 17331AU41 04/30/24 04/30/29 100.000 0.000 5.4200 0.150556 0.154636 0.158826 0.163130 36.53 56.94 CITIGROUP 17291TQ27 12/20/23 06/20/25 100.000 0.000 5.2000 1.59 0.144444 0.148200 0.152053 52.76 25.70 CITIGROUP 17291LHN8 02/06/24 02/26/26 100.000 0.000 4.9600 0.137778 0.138157 0.141584 0.145095 0.148693 45.32 52.49 CITIGROUP 17332MQG2 09/05/24 09/05/26 100.000 0.000 4.3000 0.119444 0.122012 0.124636 13.86 44.06 CITIGROUP 17331UNC7 05/28/24 06/23/25 100.000 0.000 5.4700 0.151944 0.152522 0.156693 32.51 26.95 CITIGROUP 17291L7J8 02/29/24 03/01/29 100.000 0.000 5.0800 0.141111 0.144735 0.148411 0.152181 43.05 53.66 CITIGROUP GLBL MKTS HOLD 17330RGV1 11/03/22 11/05/24 100.000 0.000 5.8450 69.28 0.172046 0.177074 53.21 CITIGROUP GLBL MKTS HOLD 17330RFK6 11/03/22 11/05/26 100.000 0.000 5.8740 69.63 0.172948 0.178028 0.183256 0.188639 0.194179 63.75 67.55 CITIGROUP GLBL MKTS HOLD 17330RFN0 11/03/22 05/03/24 100.000 0.000 5.8640 69.51 0.172581 21.05 CITIGROUP GLBL MKTS HOLD 17330RV69 11/02/22 11/04/27 100.000 0.000 5.8830 69.92 0.173228 0.178324 0.183569 0.188969 0.194528 63.87 67.68 CITIGROUP GLBL MKTS HOLD 17330RUW3 10/31/22 05/01/24 100.000 0.000 5.9510 71.08 0.175317 21.04 CITIGROUP GLBL MKTS HOLD 17330RHN8 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330RZ57 10/25/22 10/23/25 100.000 0.000 6.0190 72.81 0.177352 0.182689 0.188187 0.193851 65.54 55.97 CITIGROUP GLBL MKTS HOLD 17330YLW8 11/17/22 11/19/24 100.000 0.000 5.5240 63.13 0.162088 0.166564 52.35 CITIGROUP GLBL MKTS HOLD 17330R6G5 09/30/22 10/02/28 100.000 0.000 5.7960 74.32 0.170522 0.175463 0.180548 0.185781 0.191165 63.17 66.88 CITIGROUP GLBL MKTS HOLD 17330RFT7 11/03/22 11/05/26 100.000 0.000 5.8740 69.63 0.172948 0.178028 0.183256 0.188639 0.194179 63.75 67.55 CITIGROUP GLBL MKTS HOLD 17330Y5L0 10/26/22 10/24/25 100.000 0.000 6.1160 73.83 0.180379 0.185895 0.191579 0.197438 66.68 57.19 CITIGROUP GLBL MKTS HOLD 17330Y5V8 10/26/22 10/25/25 100.000 0.000 6.1160 73.83 0.180408 0.185925 0.191611 0.197470 66.68 57.39 CITIGROUP GLBL MKTS HOLD 17330Y5C0 11/04/22 05/06/24 100.000 0.000 5.7860 68.40 0.170211 21.28 CITIGROUP GLBL MKTS HOLD 17330RS55 10/26/22 04/24/26 100.000 0.000 6.1260 73.95 0.180691 0.186226 0.191930 0.197809 0.203867 66.80 70.95 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330Y4Q0 10/26/22 04/25/24 100.000 0.000 6.0580 73.11 0.178597 20.36 CITIGROUP GLBL MKTS HOLD 17330YHR4 11/02/22 05/01/25 100.000 0.000 5.7570 68.39 0.169229 0.174101 0.179112 62.39 21.49 CITIGROUP GLBL MKTS HOLD 17330RST3 11/03/22 11/05/25 100.000 0.000 5.8740 69.63 0.172948 0.178028 0.183256 0.188639 63.75 56.68 CITIGROUP GLBL MKTS HOLD 17330RNY7 11/03/22 11/04/27 100.000 0.000 5.9420 70.45 0.175037 0.180237 0.185592 0.191106 0.196784 64.55 68.44 CITIGROUP GLBL MKTS HOLD 17330YRU6 11/08/22 11/08/29 100.000 0.000 5.9130 69.23 0.174106 0.179253 0.184553 0.190009 0.195627 64.16 68.01 CITIGROUP GLBL MKTS HOLD 17330YB74 10/31/22 05/01/24 100.000 0.000 5.9510 71.08 0.175317 21.04 CITIGROUP GLBL MKTS HOLD 17330YAX8 10/28/22 10/30/24 100.000 0.000 5.9710 71.69 0.175971 0.181224 53.56 CITIGROUP GLBL MKTS HOLD 17330YAD2 11/04/22 11/04/24 100.000 0.000 5.7570 68.05 0.169256 0.174128 52.16 CITIGROUP GLBL MKTS HOLD 17330YRG7 11/03/22 11/04/27 100.000 0.000 5.9420 70.45 0.175037 0.180237 0.185592 0.191106 0.196784 64.55 68.44 CITIGROUP GLBL MKTS HOLD 17330YAQ3 10/26/22 10/26/27 100.000 0.000 6.2330 75.27 0.184099 0.189836 0.195752 0.201853 0.208144 68.07 72.37 CITIGROUP GLBL MKTS HOLD 17330RMG7 10/31/22 10/31/24 100.000 0.000 5.9420 70.98 0.175009 0.180208 53.26 CITIGROUP GLBL MKTS HOLD 17330RQE8 10/26/22 04/26/27 100.000 0.000 6.2810 75.86 0.185603 0.191432 0.197444 0.203644 0.210040 68.64 73.01 CITIGROUP GLBL MKTS HOLD 17330Y2Y5 10/31/22 10/31/24 100.000 0.000 5.9420 70.98 0.175009 0.180208 53.26 CITIGROUP GLBL MKTS HOLD 17330YUE8 11/16/22 11/16/27 100.000 0.000 5.8060 66.59 0.170777 0.175735 0.180837 0.186086 0.191489 62.82 66.53 CITIGROUP GLBL MKTS HOLD 17330YDE7 11/17/22 11/19/25 100.000 0.000 5.5040 62.90 0.161469 0.165913 0.170479 0.175170 59.31 55.06 CITIGROUP GLBL MKTS HOLD 17330Y2H2 10/25/22 10/25/27 100.000 0.000 6.1260 74.13 0.180751 0.186287 0.191993 0.197874 0.203935 66.81 70.96 CITIGROUP GLBL MKTS HOLD 17330YCR9 11/14/22 11/12/27 100.000 0.000 5.9510 68.64 0.175233 0.180447 0.185816 0.191345 0.197039 64.54 68.44 CITIGROUP GLBL MKTS HOLD 17330YTW0 11/17/22 11/19/24 100.000 0.000 5.5240 63.13 0.162088 0.166564 52.35 CITIGROUP GLBL MKTS HOLD 17330YSY7 11/02/22 11/02/28 100.000 0.000 5.9030 70.16 0.173794 0.178924 0.184205 0.189642 0.195239 64.10 67.94 CITIGROUP GLBL MKTS HOLD 17330RJD8 10/31/22 05/01/25 100.000 0.000 5.9510 71.08 0.175317 0.180534 0.185906 64.69 22.31 CITIGROUP GLBL MKTS HOLD 17330RZR9 10/20/22 10/21/27 100.000 0.000 6.0290 73.81 0.177750 0.183108 0.188628 0.194314 0.200172 65.72 69.74 CITIGROUP GLBL MKTS HOLD 17330RM36 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330RM69 10/31/22 05/01/25 100.000 0.000 5.9510 71.08 0.175317 0.180534 0.185906 64.69 22.31 CITIGROUP GLBL MKTS HOLD 17330YPQ7 11/16/22 11/19/25 100.000 0.000 5.5140 63.18 0.161803 0.166264 0.170848 0.175558 59.43 55.18 CITIGROUP GLBL MKTS HOLD 17330Y4E7 11/09/22 11/07/25 100.000 0.000 6.0780 71.03 0.179192 0.184638 0.190249 0.196031 66.09 59.26 CITIGROUP GLBL MKTS HOLD 17330YJT8 11/28/22 05/28/24 100.000 0.000 5.6790 63.10 0.166836 24.52 CITIGROUP GLBL MKTS HOLD 17330YKB5 11/28/22 11/26/27 100.000 0.000 5.4560 60.59 0.159890 0.164252 0.168733 0.173336 0.178064 58.66 61.90 CITIGROUP GLBL MKTS HOLD 17330YJF8 11/02/22 10/31/24 100.000 0.000 5.8740 69.81 0.172837 0.177913 52.59 CITIGROUP GLBL MKTS HOLD 17330YJE1 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330RVY8 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330YJQ4 11/30/22 11/28/25 100.000 0.000 5.3780 59.39 0.157485 0.161720 0.166069 0.170534 57.74 55.11 CITIGROUP GLBL MKTS HOLD 17330RUZ6 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330YLY4 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330RYH2 10/20/22 10/22/25 100.000 0.000 5.9420 72.73 0.175067 0.180268 0.185624 0.191138 64.69 55.01 CITIGROUP GLBL MKTS HOLD 17330RY58 10/14/22 10/16/25 100.000 0.000 5.6500 70.08 0.165989 0.170678 0.175500 0.180458 61.31 50.91 CITIGROUP GLBL MKTS HOLD 17330RYD1 10/20/22 04/23/25 100.000 0.000 5.9220 72.48 0.174472 0.179638 0.184957 64.45 20.72 CITIGROUP GLBL MKTS HOLD 17330RXJ9 10/14/22 10/16/25 100.000 0.000 5.6500 70.08 0.165989 0.170678 0.175500 0.180458 61.31 50.91 CITIGROUP GLBL MKTS HOLD 17330RXM2 10/14/22 10/14/27 100.000 0.000 5.7960 71.93 0.170467 0.175407 0.180490 0.185721 0.191103 63.03 66.74 CITIGROUP GLBL MKTS HOLD 17330RXN0 10/13/22 10/10/24 100.000 0.000 5.4260 67.41 0.158941 0.163253 45.12 CITIGROUP GLBL MKTS HOLD 17330YG53 11/28/22 05/28/25 100.000 0.000 5.5140 61.24 0.161729 0.166188 0.170769 59.32 25.10 CITIGROUP GLBL MKTS HOLD 17330Y5Y2 10/21/22 10/21/27 100.000 0.000 5.9710 72.92 0.175913 0.181164 0.186573 0.192143 0.197880 65.02 68.96 CITIGROUP GLBL MKTS HOLD 17330RSH9 11/01/22 04/30/26 100.000 0.000 5.8930 70.21 0.173455 0.178566 0.183828 0.189244 0.194820 64.00 67.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330RQW8 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330YER7 11/28/22 11/26/27 100.000 0.000 4.4560 49.33 0.129323 0.132205 0.135150 0.138161 0.141240 47.28 49.41 CITIGROUP GLBL MKTS HOLD 17330YF62 11/23/22 11/21/24 100.000 0.000 5.4850 61.72 0.160785 0.165195 52.24 CITIGROUP GLBL MKTS HOLD 17330YEW6 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330YEC0 11/29/22 12/01/25 100.000 0.000 5.4650 60.52 0.160264 0.164643 0.169142 0.173764 58.75 56.65 CITIGROUP GLBL MKTS HOLD 17330RR31 10/31/22 10/29/27 100.000 0.000 6.0870 72.75 0.179503 0.184966 0.190595 0.196396 0.202373 66.29 70.39 CITIGROUP GLBL MKTS HOLD 17330YHJ2 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330Y6P0 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 CITIGROUP GLBL MKTS HOLD 17330YH78 11/28/22 05/28/25 100.000 0.000 5.5140 61.24 0.161729 0.166188 0.170769 59.32 25.10 CITIGROUP GLBL MKTS HOLD 17330Y6D7 11/01/22 11/01/27 100.000 0.000 5.9900 71.39 0.176505 0.181791 0.187236 0.192844 0.198619 65.14 69.10 CITIGROUP GLBL MKTS HOLD 17330YGK0 11/28/22 11/27/24 100.000 0.000 5.5630 61.79 0.163219 0.167759 54.03 CITIGROUP GLBL MKTS HOLD 17330Y6H8 11/28/22 11/26/27 100.000 0.000 5.4560 60.59 0.159890 0.164252 0.168733 0.173336 0.178064 58.66 61.90 CITIGROUP GLBL MKTS HOLD 17330YSJ0 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330YSL5 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 CITIGROUP GLBL MKTS HOLD 17330YC24 12/02/22 12/02/27 100.000 0.000 5.3390 58.64 0.156329 0.160502 0.164787 0.169186 0.173703 57.27 60.37 CITIGROUP GLBL MKTS HOLD 17330YRT9 12/06/22 01/05/24 100.000 0.000 6.1650 67.17 0.177405 0.71 CITIGROUP GLBL MKTS HOLD 17330YB82 10/20/22 10/21/27 100.000 0.000 6.0290 73.81 0.177750 0.183108 0.188628 0.194314 0.200172 65.72 69.74 CITIGROUP GLBL MKTS HOLD 17330YS84 11/29/22 11/29/27 100.000 0.000 5.3870 59.65 0.157808 0.162059 0.166424 0.170907 0.175510 57.85 61.01 CITIGROUP GLBL MKTS HOLD 17330YRY8 11/07/22 11/06/25 100.000 0.000 5.9220 69.52 0.174358 0.179521 0.184836 0.190309 64.27 57.36 CITIGROUP GLBL MKTS HOLD 17330YSB7 11/28/22 11/27/24 100.000 0.000 5.5630 61.79 0.163219 0.167759 54.03 CITIGROUP GLBL MKTS HOLD 17330YSC5 11/28/22 05/28/25 100.000 0.000 5.5140 61.24 0.161729 0.166188 0.170769 59.32 25.10 CITIGROUP GLBL MKTS HOLD 17330YRC6 11/23/22 11/23/27 100.000 0.000 5.3780 60.49 0.157531 0.161767 0.166117 0.170584 0.175171 57.80 60.95 CITIGROUP GLBL MKTS HOLD 17330YAG5 10/21/22 10/21/27 100.000 0.000 5.9710 72.92 0.175913 0.181164 0.186573 0.192143 0.197880 65.02 68.96 CITIGROUP GLBL MKTS HOLD 17330YB25 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 CITIGROUP GLBL MKTS HOLD 17330YQR4 12/05/22 12/05/24 100.000 0.000 5.4650 59.56 0.160215 0.164593 54.30 CITIGROUP GLBL MKTS HOLD 17330YR28 11/28/22 11/28/29 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 0.179594 59.10 62.40 CITIGROUP GLBL MKTS HOLD 17330YQQ6 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 CITIGROUP GLBL MKTS HOLD 17330YR44 12/05/22 06/04/25 100.000 0.000 5.4170 59.03 0.158710 0.163009 0.167424 58.14 25.62 CITIGROUP GLBL MKTS HOLD 17330YR93 11/22/22 05/22/24 100.000 0.000 5.5430 62.54 0.162625 22.93 CITIGROUP GLBL MKTS HOLD 17330RMK8 10/31/22 05/01/25 100.000 0.000 5.9510 71.08 0.175317 0.180534 0.185906 64.69 22.31 CITIGROUP GLBL MKTS HOLD 17330Y3M0 10/20/22 10/22/24 100.000 0.000 5.9130 72.37 0.174163 0.179312 51.61 CITIGROUP GLBL MKTS HOLD 17330YE22 12/05/22 06/04/24 100.000 0.000 5.5820 60.86 0.163807 25.06 CITIGROUP GLBL MKTS HOLD 17330Y3B4 11/28/22 11/27/26 100.000 0.000 5.4260 60.25 0.158988 0.163301 0.167732 0.172282 0.176956 58.31 61.52 CITIGROUP GLBL MKTS HOLD 17330YDF4 11/07/22 11/07/24 100.000 0.000 5.8740 68.94 0.172892 0.177970 53.82 CITIGROUP GLBL MKTS HOLD 17330Y2J8 11/28/22 11/27/26 100.000 0.000 5.4260 60.25 0.158988 0.163301 0.167732 0.172282 0.176956 58.31 61.52 CITIGROUP GLBL MKTS HOLD 17330YU32 11/28/22 11/26/27 100.000 0.000 5.4560 60.59 0.159890 0.164252 0.168733 0.173336 0.178064 58.66 61.90 CITIGROUP GLBL MKTS HOLD 17330YU40 11/28/22 11/28/25 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 59.10 56.47 CITIGROUP GLBL MKTS HOLD 17330YU73 11/28/22 05/28/24 100.000 0.000 5.6790 63.10 0.166836 24.52 CITIGROUP GLBL MKTS HOLD 17330YCT5 11/07/22 11/06/25 100.000 0.000 5.9220 69.52 0.174358 0.179521 0.184836 0.190309 64.27 57.36 CITIGROUP GLBL MKTS HOLD 17330YBV1 12/05/22 06/04/25 100.000 0.000 5.4170 59.03 0.158710 0.163009 0.167424 58.14 25.62 CITIGROUP GLBL MKTS HOLD 17330RZK4 10/20/22 10/22/24 100.000 0.000 5.9130 72.37 0.174163 0.179312 51.61 CITIGROUP GLBL MKTS HOLD 17330YNB2 11/30/22 11/28/25 100.000 0.000 5.3780 59.39 0.157485 0.161720 0.166069 0.170534 57.74 55.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330YN63 12/12/22 06/12/25 100.000 0.000 5.2510 56.12 0.153621 0.157654 0.161793 56.18 26.05 CITIGROUP GLBL MKTS HOLD 17330RZA6 10/21/22 10/23/25 100.000 0.000 5.8740 71.71 0.172948 0.178028 0.183256 0.188639 63.88 54.48 CITIGROUP GLBL MKTS HOLD 17330RZF5 10/13/22 10/10/24 100.000 0.000 5.4260 67.41 0.158941 0.163253 45.12 CITIGROUP GLBL MKTS HOLD 17330YQJ2 11/22/22 11/22/27 100.000 0.000 5.3290 60.08 0.156021 0.160178 0.164446 0.168828 0.173327 57.24 60.34 CITIGROUP GLBL MKTS HOLD 17330YQN3 11/30/22 12/01/27 100.000 0.000 5.3100 58.62 0.155459 0.159586 0.163823 0.168172 0.172637 56.96 60.02 CITIGROUP GLBL MKTS HOLD 17330RKL8 10/14/22 10/17/24 100.000 0.000 5.5720 69.09 0.163598 0.168156 47.61 CITIGROUP GLBL MKTS HOLD 17330RF59 08/26/22 08/28/24 100.000 0.000 4.2450 58.28 0.123004 0.125615 29.62 CITIGROUP GLBL MKTS HOLD 17330R4L6 09/30/22 10/02/29 100.000 0.000 5.8540 75.08 0.172326 0.177370 0.182561 0.187905 0.193405 63.86 67.65 CITIGROUP GLBL MKTS HOLD 17330RDV4 09/30/22 10/02/25 100.000 0.000 5.7960 74.32 0.170522 0.175463 0.180548 0.185781 63.17 49.87 CITIGROUP GLBL MKTS HOLD 17330RE76 09/30/22 10/02/25 100.000 0.000 5.6210 72.02 0.165090 0.169730 0.174500 0.179405 61.11 48.17 CITIGROUP GLBL MKTS HOLD 17330RDY8 09/30/22 04/01/26 100.000 0.000 5.6500 72.40 0.165962 0.170651 0.175472 0.180429 0.185526 61.45 64.97 CITIGROUP GLBL MKTS HOLD 17330PSC4 08/31/22 08/31/27 100.000 0.000 4.5390 61.86 0.131871 0.134847 0.137925 0.141020 0.144256 48.74 50.98 CITIGROUP GLBL MKTS HOLD 17330RH40 09/30/22 09/30/27 100.000 0.000 5.7960 74.31 0.170467 0.175407 0.180490 0.185721 0.191103 63.17 66.88 CITIGROUP GLBL MKTS HOLD 17330YM23 11/03/22 11/04/27 100.000 0.000 5.9420 70.45 0.175037 0.180237 0.185592 0.191106 0.196784 64.55 68.44 CITIGROUP GLBL MKTS HOLD 17330RBG9 08/24/22 08/24/27 100.000 0.000 4.4410 61.27 0.128900 0.131763 0.134688 0.137679 0.140736 47.65 49.79 CITIGROUP GLBL MKTS HOLD 17330RRN7 10/28/22 10/30/24 100.000 0.000 5.9710 71.69 0.175971 0.181224 53.56 CITIGROUP GLBL MKTS HOLD 17330YFD7 11/15/22 11/13/26 100.000 0.000 5.8830 67.67 0.173117 0.178209 0.183451 0.188847 0.194402 63.73 67.54 CITIGROUP GLBL MKTS HOLD 17330RB38 08/29/22 08/29/24 100.000 0.000 4.2160 57.50 0.122101 0.124674 29.52 CITIGROUP GLBL MKTS HOLD 17330YFE5 11/15/22 11/15/27 100.000 0.000 5.8830 67.66 0.173172 0.178266 0.183509 0.188907 0.194464 63.73 67.54 CITIGROUP GLBL MKTS HOLD 17330RAU9 09/30/22 09/30/27 100.000 0.000 5.7960 74.31 0.170467 0.175407 0.180490 0.185721 0.191103 63.17 66.88 CITIGROUP GLBL MKTS HOLD 17330Y4R8 10/31/22 10/30/25 100.000 0.000 5.9710 71.33 0.175913 0.181164 0.186573 0.192143 64.92 56.79 CITIGROUP GLBL MKTS HOLD 17330RAD7 09/30/22 04/01/25 100.000 0.000 5.5430 70.99 0.162650 0.167157 0.171790 60.19 15.46 CITIGROUP GLBL MKTS HOLD 17330RDD4 08/24/22 08/22/26 100.000 0.000 4.3330 59.76 0.125603 0.128324 0.131105 0.133945 0.136847 46.42 48.45 CITIGROUP GLBL MKTS HOLD 17330R3E3 08/31/22 08/31/27 100.000 0.000 4.5390 61.86 0.131871 0.134847 0.137925 0.141020 0.144256 48.74 50.98 CITIGROUP GLBL MKTS HOLD 17330R3J2 09/30/22 09/30/27 100.000 0.000 5.7960 74.31 0.170467 0.175407 0.180490 0.185721 0.191103 63.17 66.88 CITIGROUP GLBL MKTS HOLD 17330RD28 09/30/22 10/02/24 100.000 0.000 5.4560 69.86 0.159986 0.164350 44.14 CITIGROUP GLBL MKTS HOLD 17330RD51 09/30/22 09/30/25 100.000 0.000 5.6210 72.02 0.165039 0.169677 0.174446 0.179349 61.10 47.81 CITIGROUP GLBL MKTS HOLD 17330RD93 08/25/22 08/27/24 100.000 0.000 4.1060 56.45 0.118814 0.121253 28.48 CITIGROUP GLBL MKTS HOLD 17330R2X2 09/30/22 04/01/25 100.000 0.000 5.5430 70.99 0.162650 0.167157 0.171790 60.19 15.46 CITIGROUP GLBL MKTS HOLD 17330YH94 11/17/22 11/19/24 100.000 0.000 5.5240 63.13 0.162088 0.166564 52.35 CITIGROUP GLBL MKTS HOLD 17330R2G9 09/30/22 09/30/27 100.000 0.000 5.7960 74.31 0.170467 0.175407 0.180490 0.185721 0.191103 63.17 66.88 CITIGROUP GLBL MKTS HOLD 17330RC94 09/30/22 04/01/25 100.000 0.000 5.5430 70.99 0.162650 0.167157 0.171790 60.19 15.46 CITIGROUP GLBL MKTS HOLD 17330PGK9 08/31/22 08/31/28 100.000 0.000 4.5870 62.53 0.133328 0.136369 0.139514 0.142678 0.145987 49.30 51.58 CITIGROUP GLBL MKTS HOLD 17330PY45 08/31/22 03/03/25 100.000 0.000 4.3430 59.15 0.125981 0.128716 0.131511 46.50 8.15 CITIGROUP GLBL MKTS HOLD 17330PH69 08/31/22 08/31/27 100.000 0.000 4.5390 61.86 0.131871 0.134847 0.137925 0.141020 0.144256 48.74 50.98 CITIGROUP GLBL MKTS HOLD 17330PX95 08/31/22 03/03/25 100.000 0.000 4.3430 59.15 0.125981 0.128716 0.131511 46.50 8.15 CITIGROUP GLBL MKTS HOLD 17330RMF9 09/30/22 10/02/25 100.000 0.000 5.6210 72.02 0.165090 0.169730 0.174500 0.179405 61.11 48.17 CITIGROUP GLBL MKTS HOLD 17330PK81 08/31/22 08/29/25 100.000 0.000 4.4210 60.22 0.128279 0.131115 0.134013 0.136959 47.39 32.43 CITIGROUP GLBL MKTS HOLD 17330RPS8 10/31/22 10/30/25 100.000 0.000 5.9710 71.33 0.175913 0.181164 0.186573 0.192143 64.92 56.79 CITIGROUP GLBL MKTS HOLD 17330RP33 10/31/22 10/31/29 100.000 0.000 6.1260 73.22 0.180751 0.186287 0.191993 0.197874 0.203935 66.75 70.90 CITIGROUP GLBL MKTS HOLD 17330PZM4 08/30/22 03/02/26 100.000 0.000 4.4700 60.91 0.129811 0.132712 0.135679 0.138711 0.141811 47.95 50.12 CITIGROUP GLBL MKTS HOLD 17330RJN6 11/03/22 05/05/25 100.000 0.000 5.8450 69.28 0.172046 0.177074 0.182249 63.41 22.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330PUS6 08/31/22 08/31/28 100.000 0.000 4.5870 62.53 0.133328 0.136369 0.139514 0.142678 0.145987 49.30 51.58 CITIGROUP GLBL MKTS HOLD 17330YNF3 11/17/22 11/18/27 100.000 0.000 5.4850 62.68 0.160857 0.165268 0.169801 0.174457 0.179242 59.09 62.37 CITIGROUP GLBL MKTS HOLD 17330RLM5 09/30/22 10/02/25 100.000 0.000 5.6210 72.02 0.165090 0.169730 0.174500 0.179405 61.11 48.17 CITIGROUP GLBL MKTS HOLD 17330PWQ8 08/31/22 08/31/27 100.000 0.000 4.5390 61.86 0.131871 0.134847 0.137925 0.141020 0.144256 48.74 50.98 CITIGROUP GLBL MKTS HOLD 17330RM93 11/03/22 05/05/25 100.000 0.000 5.8450 69.28 0.172046 0.177074 0.182249 63.41 22.60 CITIGROUP GLBL MKTS HOLD 17330PVY2 08/26/22 08/28/24 100.000 0.000 4.2450 58.28 0.123004 0.125615 29.62 CITIGROUP GLBL MKTS HOLD 17330PWE5 08/24/22 08/22/25 100.000 0.000 4.2650 58.80 0.123550 0.126185 0.128876 0.131624 45.64 30.27 CITIGROUP GLBL MKTS HOLD 17330PVK2 08/31/22 08/30/29 100.000 0.000 4.6480 63.38 0.135182 0.138306 0.141538 0.144791 0.148193 50.00 52.35 CITIGROUP GLBL MKTS HOLD 17330PEN5 08/31/22 03/03/25 100.000 0.000 4.3430 59.15 0.125981 0.128716 0.131511 46.50 8.15 CITIGROUP GLBL MKTS HOLD 17330RAB2 08/25/22 08/27/25 100.000 0.000 4.3330 59.63 0.125663 0.128386 0.131167 0.134009 46.41 31.47 CITIGROUP GLBL MKTS HOLD 17330YSU5 11/09/22 11/07/24 100.000 0.000 6.0290 70.45 0.177664 0.183019 55.33 CITIGROUP GLOBAL MARKETS 17291TEA2 12/15/23 12/15/43 100.000 VARIES 5.4300 2.40 0.148859 0.145362 0.141769 0.138079 0.134978 52.85 50.25 CITIGROUP GLOBAL MARKETS 17331HCC8 04/03/23 04/03/28 100.000 VARIES 4.8316 35.84 0.134528 0.134996 0.135238 0.135321 0.138331 49.39 52.96 CITIGROUP GLOBAL MARKETS 17330FTE1 05/26/22 05/27/27 100.000 0.000 4.3720 71.56 0.129600 0.132433 0.135328 0.138286 0.141309 47.36 49.45 CITIGROUP GLOBAL MARKETS 17331C3Y1 12/30/22 06/17/27 105.330 0.031 5.3710 57.72 0.166344 0.170747 0.175270 0.179914 0.184684 60.68 64.05 CITIGROUP GLOBAL MARKETS 17330FTM3 06/02/22 05/31/24 100.000 0.000 3.7150 59.93 0.109030 16.25 CITIGROUP GLOBAL MARKETS 17330F2H3 05/04/22 05/04/26 100.000 3.000 4.2300 70.89 0.121360 0.120374 0.122949 0.123350 0.124600 43.72 44.18 CITIGROUP GLOBAL MARKETS 17330PPJ2 07/13/22 07/11/24 100.000 0.000 4.3230 64.75 0.125301 0.128010 24.29 CITIGROUP GLOBAL MARKETS 17291T3T3 10/31/23 11/02/43 100.000 VARIES 6.2785 5.71 0.172153 0.168489 0.164709 0.160811 0.156790 61.07 58.33 CITIGROUP GLOBAL MARKETS 17331HSQ0 05/17/23 05/18/43 100.000 VARIES 5.1000 31.29 0.137283 0.133678 0.129981 0.127933 0.126406 48.46 46.25 CITIGROUP GLOBAL MARKETS 17331CDB0 01/19/23 01/23/43 100.000 VARIES 5.4466 49.97 0.142329 0.138640 0.134851 0.134851 0.130959 50.74 48.02 CITIGROUP GLOBAL MARKETS 17330FT43 06/03/22 06/05/24 100.000 0.000 3.7250 59.98 0.109385 16.85 CITIGROUP GLOBAL MARKETS 17290ACE8 05/25/22 05/25/37 100.000 VARIES 3.9200 60.46 0.100278 0.098444 0.098722 0.099052 0.099359 35.69 35.63 CITIGROUP GLOBAL MARKETS 17330FBT7 05/31/22 05/29/26 100.000 0.000 4.2350 68.77 0.125257 0.127909 0.130618 0.133383 0.136208 45.74 47.70 CITIGROUP GLOBAL MARKETS 17330PPT0 07/13/22 07/13/27 100.000 0.000 4.6460 69.70 0.135121 0.138260 0.141472 0.144758 0.148121 50.28 52.64 CITIGROUP GLOBAL MARKETS 17291QLF9 09/19/23 09/21/43 100.000 VARIES 5.5500 15.40 0.153309 0.149831 0.146256 0.142581 0.138803 53.86 51.25 CITIGROUP GLOBAL MARKETS 17330REA9 08/12/22 08/14/24 100.000 0.000 4.2160 59.58 0.122129 0.124704 27.70 CITIGROUP GLOBAL MARKETS 17330REB7 08/16/22 08/14/25 100.000 1.750 4.2800 59.66 0.122067 0.124657 0.125257 0.127928 44.84 28.54 CITIGROUP GLOBAL MARKETS 17330PPA1 07/29/22 07/29/42 100.000 VARIES 4.8600 66.99 0.127023 0.123338 0.119562 0.115694 0.112433 43.93 41.24 CITIGROUP GLOBAL MARKETS 17330FSE2 05/31/22 05/28/27 100.000 0.000 4.2940 69.75 0.127097 0.129826 0.132613 0.135460 0.138369 46.43 48.44 CITIGROUP GLOBAL MARKETS 17330REJ0 08/10/22 08/08/24 100.000 0.000 4.1270 58.53 0.119392 0.121856 26.35 CITIGROUP GLOBAL MARKETS 17330PPF0 07/12/22 07/12/27 100.000 0.000 4.5870 68.93 0.133328 0.136386 0.139514 0.142714 0.145987 49.59 51.89 CITIGROUP GLOBAL MARKETS 17330FRM5 06/03/22 06/04/27 100.000 0.000 4.1570 67.10 0.122837 0.125390 0.127996 0.130657 0.133373 44.82 46.70 CITIGROUP GLOBAL MARKETS 17331HRL2 07/01/23 05/31/27 100.000 VARIES 4.6900 27.28 0.128519 0.128652 0.129229 0.129501 0.129730 46.31 46.61 CITIGROUP GLOBAL MARKETS 17330FRR4 05/24/22 05/27/25 100.000 0.000 4.1570 68.21 0.122866 0.125419 0.128026 44.87 18.69 CITIGROUP GLOBAL MARKETS 17330RDU6 09/21/22 09/22/42 100.000 VARIES 5.5100 67.91 0.142409 0.137707 0.136279 0.135301 0.134269 48.69 48.69 CITIGROUP GLOBAL MARKETS 17330FRT0 07/06/22 01/03/25 100.000 0.000 4.5190 68.67 0.131216 0.134181 0.137213 48.84 0.27 CITIGROUP GLOBAL MARKETS 17330PP78 08/03/22 02/03/25 100.000 0.000 4.1180 59.24 0.119148 0.121601 0.124105 44.07 3.97 CITIGROUP GLOBAL MARKETS 17330FVF5 05/31/22 05/28/27 100.000 0.000 4.1960 68.12 0.124018 0.126620 0.129277 0.131989 0.134758 45.29 47.21 CITIGROUP GLOBAL MARKETS 17330YLZ1 11/30/22 12/01/42 100.000 VARIES 5.4700 57.13 0.138215 0.132099 0.128457 0.128966 0.127790 48.38 46.57 CITIGROUP GLOBAL MARKETS 17331HVG8 04/28/23 04/28/43 100.000 VARIES 4.9700 33.17 0.133672 0.130069 0.126376 0.123274 0.122165 47.02 44.63 CITIGROUP GLOBAL MARKETS 17330YMA5 10/31/22 10/31/37 100.000 VARIES 6.1500 60.54 0.165527 0.163699 0.163056 0.166798 0.168755 59.26 59.38 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17331CXA0 03/16/23 03/16/43 100.000 VARIES 5.0900 39.75 0.137006 0.135214 0.129703 0.125910 0.122021 47.91 45.21 CITIGROUP GLOBAL MARKETS 17330PBM0 06/23/22 06/23/25 100.000 0.000 4.6850 73.05 0.139500 0.142768 0.146112 50.86 25.13 CITIGROUP GLOBAL MARKETS 17330FV40 05/16/22 04/17/28 100.000 0.000 4.4600 74.41 0.131898 0.134839 0.137846 0.140920 0.144063 48.45 50.64 CITIGROUP GLOBAL MARKETS 17330FE49 06/01/22 05/29/26 100.000 0.000 4.0980 66.37 0.120948 0.123426 0.125955 0.128536 0.131170 44.15 45.98 CITIGROUP GLOBAL MARKETS 17331CWE3 03/15/23 03/15/28 100.000 VARIES 5.0500 39.80 0.138994 0.137937 0.136854 0.136191 0.136859 49.66 49.12 CITIGROUP GLOBAL MARKETS 17330R6S9 08/24/22 08/14/25 100.000 1.000 4.2800 59.78 0.122961 0.125569 0.127084 0.129789 45.29 28.95 CITIGROUP GLOBAL MARKETS 17330PRS0 08/01/22 07/30/26 100.000 3.000 4.4300 63.41 0.124906 0.127672 0.126811 0.128900 0.128783 45.75 46.45 CITIGROUP GLOBAL MARKETS 17330FV73 05/26/22 11/29/24 100.000 0.000 4.0980 66.97 0.121016 0.123496 40.14 CITIGROUP GLOBAL MARKETS 17331HE51 03/31/23 03/31/43 100.000 VARIES 5.2200 38.68 0.140623 0.137019 0.133322 0.129527 0.125632 49.32 46.63 CITIGROUP GLOBAL MARKETS 17330FUZ2 05/17/22 05/15/25 100.000 0.000 4.1670 69.24 0.123109 0.125674 0.128292 45.02 17.19 CITIGROUP GLOBAL MARKETS 17290AA67 02/24/23 02/24/26 100.000 VARIES 4.4940 38.02 0.123641 0.122945 0.123228 0.123726 0.124328 44.09 44.59 CITIGROUP GLOBAL MARKETS 17330PS91 07/06/22 07/06/27 100.000 0.000 4.8320 73.54 0.140786 0.144188 0.147671 0.151239 0.154893 52.50 55.07 CITIGROUP GLOBAL MARKETS 17330PAY5 06/21/22 06/21/27 100.000 0.000 5.0850 79.75 0.152300 0.156172 0.160143 0.164215 0.168390 55.60 58.47 CITIGROUP GLOBAL MARKETS 17291LMM4 03/19/24 03/21/44 100.000 VARIES 5.2400 0.143856 0.140344 0.136741 0.133043 40.00 49.15 CITIGROUP GLOBAL MARKETS 17330FUA7 05/18/22 05/18/32 100.000 VARIES 3.3800 52.75 0.086333 0.084667 0.085222 0.085691 0.086201 30.70 30.80 CITIGROUP GLOBAL MARKETS 17291QL77 08/31/23 08/31/43 100.000 VARIES 5.4900 18.70 0.151641 0.148154 0.144571 0.140890 0.137107 53.10 50.47 CITIGROUP GLOBAL MARKETS 17330PRA9 07/14/22 07/15/27 100.000 0.000 4.7140 70.61 0.137207 0.140441 0.143752 0.147140 0.150608 51.06 53.50 CITIGROUP GLOBAL MARKETS 17330PRE1 07/29/22 07/30/27 100.000 0.000 4.4500 64.63 0.129189 0.132063 0.135001 0.138005 0.141076 47.90 50.06 CITIGROUP GLOBAL MARKETS 17331CF77 02/16/23 02/17/43 100.000 VARIES 5.0600 43.40 0.135152 0.130707 0.126149 0.122464 0.121675 46.64 44.10 CITIGROUP GLOBAL MARKETS 17330PAD1 06/09/22 06/11/25 100.000 0.000 4.0780 65.07 0.120376 0.122831 0.125335 43.88 20.05 CITIGROUP GLOBAL MARKETS 17330FUL3 07/06/22 07/06/27 100.000 0.000 4.8320 73.54 0.140786 0.144188 0.147671 0.151239 0.154893 52.50 55.07 CITIGROUP GLOBAL MARKETS 17291QKT0 09/29/23 09/29/43 100.000 VARIES 5.7600 14.72 0.159062 0.155256 0.151339 0.147309 0.143162 55.87 53.01 CITIGROUP GLOBAL MARKETS 17330RXQ3 10/19/22 10/19/37 100.000 VARIES 7.0000 76.76 0.161170 0.161853 0.162559 0.163291 0.164048 58.24 58.76 CITIGROUP GLOBAL MARKETS 17330FU25 06/07/22 06/05/25 100.000 0.000 4.0690 65.17 0.120041 0.122483 0.124975 43.78 19.25 CITIGROUP GLOBAL MARKETS 17331UZW0 07/02/24 07/02/29 100.000 0.400 5.0700 0.140722 0.144006 0.147372 25.19 52.44 CITIGROUP GLOBAL MARKETS 17330PQS1 08/03/22 02/03/25 100.000 0.000 4.1180 59.24 0.119148 0.121601 0.124105 44.07 3.97 CITIGROUP GLOBAL MARKETS 17330PQR3 07/29/22 07/31/29 100.000 0.000 4.6260 67.24 0.134530 0.137642 0.140826 0.144083 0.147416 49.94 52.28 CITIGROUP GLOBAL MARKETS 17291RND0 07/31/23 07/29/27 100.000 2.750 5.1930 21.78 0.144251 0.147972 0.147872 0.152533 0.150839 53.15 54.50 CITIGROUP GLOBAL MARKETS 17331HCV7 04/20/23 04/20/43 100.000 VARIES 5.0200 34.60 0.135061 0.131456 0.127760 0.123971 0.120087 47.46 44.77 CITIGROUP GLOBAL MARKETS 17330FTZ4 06/30/22 07/02/26 100.000 0.000 4.6460 71.46 0.135156 0.138296 0.141508 0.144796 0.148159 50.36 52.73 CITIGROUP GLOBAL MARKETS 17330PLR8 07/28/22 07/28/32 100.000 VARIES 3.2800 45.56 0.086823 0.085059 0.083778 0.083935 0.084047 30.46 30.23 CITIGROUP GLOBAL MARKETS 17330PM63 08/03/22 08/01/24 100.000 0.000 4.0980 58.95 0.118520 0.120948 25.33 CITIGROUP GLOBAL MARKETS 17330PM89 07/13/22 07/11/25 100.000 0.000 4.4500 66.70 0.129142 0.132015 0.134953 0.137955 48.00 26.18 CITIGROUP GLOBAL MARKETS 17330PLV9 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17291LS48 04/03/24 04/03/29 100.000 0.150 5.0200 0.142456 0.140344 0.147661 0.150361 37.63 52.56 CITIGROUP GLOBAL MARKETS 17291RCC4 06/30/23 06/30/43 100.000 VARIES 5.1800 25.73 0.138674 0.135069 0.131371 0.127577 0.123684 49.27 46.60 CITIGROUP GLOBAL MARKETS 17330YWT3 12/16/22 12/16/42 100.000 VARIES 5.3756 54.08 0.136526 0.131049 0.126566 0.125416 0.124268 48.00 45.32 CITIGROUP GLOBAL MARKETS 17330N641 08/03/22 05/07/26 100.000 0.000 4.2450 61.17 0.124338 0.126978 0.129673 0.132425 0.135236 45.52 47.48 CITIGROUP GLOBAL MARKETS 17290A6V7 05/27/22 05/27/27 100.000 VARIES 3.5200 58.00 0.095115 0.095229 0.095419 0.095671 0.096034 34.26 37.08 CITIGROUP GLOBAL MARKETS 17331CQUA 02/28/23 02/27/43 100.000 VARIES 5.3000 43.87 0.141224 0.136284 0.131213 0.126007 0.124276 48.71 45.38 CITIGROUP GLOBAL MARKETS 17330PMC0 08/03/22 08/01/24 100.000 0.000 4.0980 58.95 0.118520 0.120948 25.33 CITIGROUP GLOBAL MARKETS 17290AGD6 11/15/22 11/15/29 100.000 VARIES 5.5500 60.44 0.144361 0.144349 0.144727 0.145337 0.146095 51.67 52.41 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17330PLK3 07/06/22 07/06/27 100.000 VARIES 3.1600 45.94 0.085431 0.085637 0.085795 0.085858 0.086089 30.80 30.78 CITIGROUP GLOBAL MARKETS 17330PM22 06/22/22 06/20/25 100.000 0.000 4.7240 73.82 0.140706 0.144029 0.147431 51.33 24.92 CITIGROUP GLOBAL MARKETS 17330FNU1 05/25/22 05/26/26 100.000 0.000 4.3230 70.86 0.128055 0.130823 0.133650 0.136539 0.139490 46.79 48.84 CITIGROUP GLOBAL MARKETS 17330FNX5 06/01/22 05/30/25 100.000 0.000 4.0100 64.91 0.118211 0.120581 0.122999 43.13 18.33 CITIGROUP GLOBAL MARKETS 17330PKX6 07/06/22 07/03/25 100.000 0.000 4.6360 70.49 0.134766 0.137890 0.141086 0.144357 50.20 26.27 CITIGROUP GLOBAL MARKETS 17330YET3 11/17/22 11/17/42 100.000 VARIES 5.0700 61.14 0.140964 0.133071 0.126747 0.125679 0.124602 48.63 45.34 CITIGROUP GLOBAL MARKETS 17291TJB5 12/07/23 12/07/28 100.000 VARIES 4.7700 3.09 0.134085 0.134401 0.134893 0.135157 0.135258 48.34 48.62 CITIGROUP GLOBAL MARKETS 17330PLA5 08/03/22 08/01/25 100.000 0.000 4.1570 59.81 0.120295 0.122795 0.125348 0.127953 44.51 26.79 CITIGROUP GLOBAL MARKETS 17330YDY3 11/22/22 11/22/27 100.000 2.500 5.3300 59.79 0.152322 0.156380 0.156823 0.159233 0.163361 55.89 57.40 CITIGROUP GLOBAL MARKETS 17330YZ60 12/30/22 12/30/42 100.000 VARIES 5.4361 53.20 0.142041 0.138351 0.134561 0.129557 0.127409 50.46 47.73 CITIGROUP GLOBAL MARKETS 17291RRC8 07/31/23 07/31/43 100.000 VARIES 5.1100 21.18 0.141032 0.137338 0.133548 0.129661 0.125841 48.99 46.20 CITIGROUP GLOBAL MARKETS 17330RTM7 10/20/22 10/22/26 100.000 3.800 5.9600 72.35 0.169308 0.174411 0.173317 0.178483 0.177511 62.31 63.61 CITIGROUP GLOBAL MARKETS 17330PNH8 07/12/22 07/10/25 100.000 0.000 4.3820 65.78 0.127084 0.129869 0.132714 0.135622 47.21 25.61 CITIGROUP GLOBAL MARKETS 17330PNL9 07/06/22 07/06/27 100.000 0.000 4.8320 73.54 0.140786 0.144188 0.147671 0.151239 0.154893 52.50 55.07 CITIGROUP GLOBAL MARKETS 17331HR24 05/11/23 05/11/35 100.000 VARIES 4.9400 31.30 0.133706 0.130816 0.127853 0.125454 0.124923 47.32 45.42 CITIGROUP GLOBAL MARKETS 17330PNN5 08/02/22 02/02/26 100.000 0.000 4.3130 62.22 0.125028 0.127725 0.130479 0.133293 0.136167 46.31 48.33 CITIGROUP GLOBAL MARKETS 17330FQR5 06/30/22 06/30/28 100.000 0.000 4.8410 74.53 0.144475 0.147972 0.151554 0.155222 0.158979 52.65 55.23 CITIGROUP GLOBAL MARKETS 17330FQY0 05/25/22 05/25/27 100.000 0.000 4.4210 72.51 0.131131 0.134029 0.136992 0.140020 0.143115 47.94 50.08 CITIGROUP GLOBAL MARKETS 17330RCC7 08/31/22 08/29/42 100.000 VARIES 4.9600 63.67 0.126638 0.126352 0.125876 0.124304 0.123117 45.46 44.87 CITIGROUP GLOBAL MARKETS 17330FQD6 05/20/22 05/22/25 100.000 0.000 4.1470 68.53 0.122538 0.125079 0.127672 44.77 18.00 CITIGROUP GLOBAL MARKETS 17330YXY1 12/23/22 12/24/26 100.000 3.500 5.1630 53.18 0.145961 0.149687 0.148573 0.154061 0.149644 53.38 54.19 CITIGROUP GLOBAL MARKETS 17330PNE5 07/21/22 07/23/25 100.000 0.000 4.5680 67.45 0.132785 0.135818 0.138920 0.142093 49.32 28.63 CITIGROUP GLOBAL MARKETS 17330PMF3 06/24/22 06/24/27 100.000 VARIES 3.2400 47.65 0.087333 0.087667 0.087778 0.088041 0.088352 31.50 31.39 CITIGROUP GLOBAL MARKETS 17291TGU6 11/17/23 11/17/43 100.000 VARIES 5.6800 6.94 0.156926 0.153469 0.149914 0.146257 0.142495 55.56 52.99 CITIGROUP GLOBAL MARKETS 17291TH92 11/22/23 11/22/28 100.000 7.750 5.3950 5.69 0.149272 0.148872 0.149594 0.150289 0.150734 49.17 54.03 CITIGROUP GLOBAL MARKETS 17330FPQ8 05/26/22 05/26/37 100.000 VARIES 4.7900 74.01 0.123167 0.120778 0.120278 0.119813 0.119813 43.79 43.19 CITIGROUP GLOBAL MARKETS 17330FPS4 05/18/22 05/18/27 100.000 0.000 4.2550 70.61 0.125900 0.128578 0.131314 0.134108 0.136961 46.04 48.02 CITIGROUP GLOBAL MARKETS 17330FPU9 06/01/22 12/02/24 100.000 0.000 3.8820 62.79 0.114247 0.116465 38.21 CITIGROUP GLOBAL MARKETS 17330PHM4 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17330PHN2 07/21/22 07/23/25 100.000 0.000 4.5680 67.45 0.132785 0.135818 0.138920 0.142093 49.32 28.63 CITIGROUP GLOBAL MARKETS 17330PHP7 07/21/22 07/23/25 100.000 0.000 4.5680 67.45 0.132785 0.135818 0.138920 0.142093 49.32 28.63 CITIGROUP GLOBAL MARKETS 17330PHS1 07/15/22 07/15/27 100.000 0.000 4.6660 69.74 0.135729 0.138896 0.142136 0.145452 0.148846 50.50 52.88 CITIGROUP GLOBAL MARKETS 17330FKY6 05/31/22 12/01/25 100.000 0.000 4.1270 66.97 0.121897 0.124412 0.126979 0.129600 44.49 42.37 CITIGROUP GLOBAL MARKETS 17291QDF8 10/19/23 10/16/43 100.000 VARIES 6.0552 12.02 0.166112 0.162731 0.159248 0.155659 0.151962 58.70 56.16 CITIGROUP GLOBAL MARKETS 17330PHX0 07/29/22 07/31/28 100.000 0.000 4.5870 66.66 0.133345 0.136404 0.139532 0.142732 0.146006 49.49 51.79 CITIGROUP GLOBAL MARKETS 17330N138 06/15/22 06/15/26 100.000 0.000 4.4020 69.58 0.130531 0.133404 0.136340 0.139341 0.142408 47.60 49.72 CITIGROUP GLOBAL MARKETS 17330N153 06/15/22 06/13/25 100.000 0.000 4.2450 67.05 0.125557 0.128221 0.130943 45.78 21.21 CITIGROUP GLOBAL MARKETS 17291L4N2 01/23/24 02/21/25 100.000 5.140 5.0600 0.140611 0.144167 0.147857 47.94 7.46 CITIGROUP GLOBAL MARKETS 17330YRX0 11/18/22 11/18/42 100.000 VARIES 5.7800 63.20 0.152046 0.150237 0.145134 0.143235 0.141309 53.76 51.74 CITIGROUP GLOBAL MARKETS 17330FKF7 06/14/22 07/10/25 100.000 0.000 4.3430 68.78 0.126330 0.129073 0.131876 0.134740 46.92 25.44 CITIGROUP GLOBAL MARKETS 17330PHG7 08/10/22 02/10/28 100.000 0.000 4.3720 62.08 0.126812 0.129584 0.132417 0.135311 0.138269 46.94 49.02 CITIGROUP GLOBAL MARKETS 17291RX49 08/16/23 08/17/43 100.000 VARIES 5.4200 20.09 0.149637 0.145913 0.142088 0.138159 0.134123 52.19 49.38 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17330PHH5 08/03/22 08/03/26 100.000 0.000 4.2160 60.68 0.122101 0.124674 0.127303 0.129986 0.132726 45.19 47.11 CITIGROUP GLOBAL MARKETS 17331UPP6 06/03/24 06/01/29 100.000 0.800 5.2300 0.147756 0.148083 0.155033 0.153650 26.60 54.56 CITIGROUP GLOBAL MARKETS 17330PXK0 08/08/22 08/06/27 100.000 0.000 4.4210 63.05 0.128264 0.131099 0.133997 0.136959 0.139987 47.52 49.64 CITIGROUP GLOBAL MARKETS 17330P6K0 06/07/22 06/07/29 100.000 1.000 4.4900 71.55 0.131306 0.134483 0.135239 0.140083 0.140117 48.08 49.67 CITIGROUP GLOBAL MARKETS 17330FJR3 05/31/22 05/31/29 100.000 0.000 4.4210 71.86 0.131131 0.134029 0.136992 0.140020 0.143115 47.91 50.05 CITIGROUP GLOBAL MARKETS 17330RMX0 10/19/22 10/20/42 100.000 VARIES 6.4600 73.74 0.160786 0.152495 0.145780 0.144443 0.143063 55.20 52.05 CITIGROUP GLOBAL MARKETS 17291LFW0 03/04/24 03/05/29 100.000 0.200 5.1500 0.143961 0.148361 0.148739 0.157528 43.08 54.34 CITIGROUP GLOBAL MARKETS 17330PGP8 06/29/22 06/29/27 100.000 0.000 4.7630 73.44 0.141985 0.145366 0.148828 0.152373 0.156001 51.74 54.23 CITIGROUP GLOBAL MARKETS 17330PXW4 08/09/22 08/09/27 100.000 0.000 4.4410 63.21 0.128900 0.131763 0.134688 0.137679 0.140736 47.74 49.88 CITIGROUP GLOBAL MARKETS 17330PGX1 07/14/22 07/15/27 100.000 2.000 4.7100 70.18 0.134624 0.137762 0.137639 0.142439 0.141600 49.66 51.07 CITIGROUP GLOBAL MARKETS 17330PG94 06/22/22 07/22/27 100.000 0.000 5.0170 78.57 0.147053 0.150742 0.154523 0.158399 0.162373 54.79 57.57 CITIGROUP GLOBAL MARKETS 17330PG86 06/24/22 06/26/24 100.000 0.000 4.4500 69.17 0.132080 23.11 CITIGROUP GLOBAL MARKETS 17291RYD8 08/31/23 09/02/27 100.000 3.000 5.4460 18.30 0.151280 0.155442 0.155162 0.160250 0.158306 55.83 57.10 CITIGROUP GLOBAL MARKETS 17291LX34 03/14/24 03/15/27 100.000 1.000 4.1000 0.125861 0.127172 0.129206 0.131283 34.05 46.52 CITIGROUP GLOBAL MARKETS 17330P5W5 06/16/22 06/16/37 100.000 VARIES 5.3500 80.10 0.139414 0.139038 0.138402 0.137755 0.137113 50.11 49.69 CITIGROUP GLOBAL MARKETS 17291LFL4 01/31/24 02/03/27 100.000 1.000 4.9200 0.138783 0.139211 0.141950 0.144767 45.42 51.42 CITIGROUP GLOBAL MARKETS 17330PXA2 08/11/22 08/13/25 100.000 0.000 4.4020 62.39 0.127751 0.130563 0.133436 0.136373 47.28 30.15 CITIGROUP GLOBAL MARKETS 17330YQZ6 12/19/22 12/19/25 100.000 VARIES 5.2845 53.51 0.142673 0.145248 0.146059 0.146067 51.83 50.98 CITIGROUP GLOBAL MARKETS 17330FJG7 05/31/22 05/30/25 100.000 0.000 4.0780 66.16 0.120349 0.122803 0.125307 43.92 18.67 CITIGROUP GLOBAL MARKETS 17330P6C8 06/13/22 06/11/27 100.000 0.000 4.4110 69.99 0.130784 0.133668 0.136616 0.139629 0.142709 47.72 49.85 CITIGROUP GLOBAL MARKETS 17291RXV9 07/28/23 07/28/27 100.000 VARIES 5.3800 9.27 0.150449 0.154293 0.156156 0.155211 0.152419 55.45 55.50 CITIGROUP GLOBAL MARKETS 17330P6F1 06/08/22 06/08/27 100.000 0.000 4.3330 69.37 0.128355 0.131135 0.133977 0.136879 0.139845 46.84 48.89 CITIGROUP GLOBAL MARKETS 17330FJJ1 06/01/22 06/01/27 100.000 0.000 4.1960 67.99 0.124047 0.126649 0.129306 0.132019 0.134789 45.28 47.20 CITIGROUP GLOBAL MARKETS 17291REJ7 06/30/23 07/01/27 100.000 2.750 5.0370 25.19 0.143440 0.143244 0.146856 0.146856 0.146706 26.11 52.22 CITIGROUP GLOBAL MARKETS 17330FN64 06/01/22 05/30/25 100.000 0.000 4.0100 64.91 0.118211 0.120581 0.122999 43.13 18.33 CITIGROUP GLOBAL MARKETS 17330PJP5 08/02/22 08/02/27 100.000 VARIES 3.3100 45.69 0.089719 0.090014 0.090199 0.090327 0.090504 32.41 32.54 CITIGROUP GLOBAL MARKETS 17291R4C3 06/16/23 06/16/43 100.000 VARIES 5.2300 28.10 0.140442 0.136462 0.132377 0.128184 0.124747 49.72 46.77 CITIGROUP GLOBAL MARKETS 17330PJX8 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17330YUV0 01/13/23 01/13/28 102.500 0.063 5.3230 53.56 0.160428 0.164539 0.168761 0.168761 0.173094 58.49 61.42 CITIGROUP GLOBAL MARKETS 17330YV98 12/16/22 12/16/42 100.000 VARIES 5.3756 54.58 0.140370 0.136677 0.133561 0.132409 0.131277 49.76 47.84 CITIGROUP GLOBAL MARKETS 17330FMB4 05/18/22 06/16/28 100.000 0.000 4.5780 76.11 0.136585 0.139712 0.142910 0.146181 0.149527 49.83 52.14 CITIGROUP GLOBAL MARKETS 17330PJA8 08/03/22 08/01/25 100.000 0.000 4.1570 59.81 0.120295 0.122795 0.125348 0.127953 44.51 26.79 CITIGROUP GLOBAL MARKETS 17330YTZ3 11/30/22 12/01/42 100.000 VARIES 5.4700 57.89 0.143450 0.139764 0.135978 0.132088 0.128091 50.76 48.02 CITIGROUP GLOBAL MARKETS 17330FMD0 06/03/22 06/05/24 100.000 0.000 3.7250 59.98 0.109385 16.85 CITIGROUP GLOBAL MARKETS 17330Y2Z2 10/31/22 10/31/42 100.000 VARIES 6.3100 70.97 0.160923 0.154587 0.148049 0.141305 0.135842 56.03 51.27 CITIGROUP GLOBAL MARKETS 17330PJC4 06/27/22 06/25/27 100.000 0.000 4.9590 76.84 0.148213 0.151888 0.155654 0.159513 0.163468 54.06 56.78 CITIGROUP GLOBAL MARKETS 17330FLQ2 05/19/22 05/20/27 100.000 0.000 4.3620 72.29 0.129284 0.132104 0.134985 0.137929 0.140937 47.28 49.37 CITIGROUP GLOBAL MARKETS 17330FLR0 06/03/22 06/04/27 100.000 0.000 4.1570 67.10 0.122837 0.125390 0.127996 0.130657 0.133373 44.82 46.70 CITIGROUP GLOBAL MARKETS 17330FM57 05/18/22 05/18/27 100.000 0.000 4.2550 70.61 0.125900 0.128578 0.131314 0.134108 0.136961 46.04 48.02 CITIGROUP GLOBAL MARKETS 17330YCM0 11/17/22 11/17/42 100.000 VARIES 5.0700 62.29 0.148254 0.143750 0.139118 0.134352 0.129451 52.16 48.80 CITIGROUP GLOBAL MARKETS 17330FM73 05/25/22 05/24/29 100.000 0.000 4.5780 75.16 0.136084 0.139199 0.142385 0.145644 0.148978 49.78 52.09 CITIGROUP GLOBAL MARKETS 17330PJ34 07/29/22 07/29/27 100.000 0.000 4.5480 66.08 0.132144 0.135149 0.138223 0.141366 0.144580 49.04 51.29 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17331HLT1 04/13/23 04/15/27 100.000 3.300 4.6260 33.25 0.131506 0.130306 0.133322 0.132161 0.135222 47.40 47.93 CITIGROUP GLOBAL MARKETS 17330N310 08/03/22 08/03/29 100.000 0.000 4.3820 63.11 0.127115 0.129900 0.132746 0.135654 0.138626 47.10 49.18 CITIGROUP GLOBAL MARKETS 17330YTV2 11/17/22 11/17/42 100.000 VARIES 5.7100 59.71 0.134724 0.134239 0.133530 0.132164 0.130772 48.37 47.70 CITIGROUP GLOBAL MARKETS 17330PZB8 08/05/22 08/07/24 100.000 0.000 4.0780 58.42 0.117971 0.120376 25.91 CITIGROUP GLOBAL MARKETS 17330PZD4 08/05/22 08/07/25 100.000 0.000 4.1370 59.28 0.119747 0.122224 0.124753 0.127333 44.28 27.41 CITIGROUP GLOBAL MARKETS 17291TLA4 12/27/23 12/27/28 100.000 0.800 4.8800 0.14 0.141056 0.144667 0.148333 0.152111 0.155944 51.44 54.09 CITIGROUP GLOBAL MARKETS 17331CMW4 02/27/23 02/27/30 100.000 VARIES 5.4650 49.38 0.150333 0.149119 0.147873 0.147023 0.147457 53.68 53.01 CITIGROUP GLOBAL MARKETS 17330PZK8 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17330F6D8 05/31/22 05/31/28 100.000 0.000 4.3620 70.87 0.129269 0.132088 0.134969 0.137913 0.140921 47.22 49.30 CITIGROUP GLOBAL MARKETS 17330P3F4 06/28/22 06/27/24 100.000 0.000 4.4210 68.19 0.131115 23.08 CITIGROUP GLOBAL MARKETS 17330FXN6 05/31/22 11/29/24 100.000 0.000 3.9710 64.38 0.116995 0.119317 38.79 CITIGROUP GLOBAL MARKETS 17330P3G2 06/23/22 06/23/25 100.000 0.000 4.6850 73.05 0.139500 0.142768 0.146112 50.86 25.13 CITIGROUP GLOBAL MARKETS 17330P3N7 06/10/22 06/10/27 100.000 0.000 4.4700 71.35 0.132680 0.135645 0.138677 0.141776 0.144945 48.42 50.61 CITIGROUP GLOBAL MARKETS 17330PDQ9 07/29/22 01/31/24 100.000 0.000 4.1470 60.14 0.120035 3.48 CITIGROUP GLOBAL MARKETS 17291TQS0 02/02/24 02/02/29 100.000 0.800 4.9200 0.139678 0.139517 0.142400 0.145356 45.23 51.59 CITIGROUP GLOBAL MARKETS 17330RJV8 09/30/22 09/30/42 100.000 VARIES 5.8700 69.81 0.145201 0.137209 0.130973 0.130583 0.130155 49.37 47.01 CITIGROUP GLOBAL MARKETS 17330FXV8 06/01/22 05/30/25 100.000 0.000 4.0100 64.91 0.118211 0.120581 0.122999 43.13 18.33 CITIGROUP GLOBAL MARKETS 17330PTU3 06/23/22 06/23/27 100.000 0.000 4.9100 76.65 0.146683 0.150284 0.153973 0.157753 0.161626 53.51 56.17 CITIGROUP GLOBAL MARKETS 17330PCT4 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17330F5U1 06/17/22 06/17/27 100.000 0.125 5.0200 79.18 0.149838 0.153494 0.157261 0.153494 0.157261 54.86 57.42 CITIGROUP GLOBAL MARKETS 17330PTT6 07/29/22 07/29/27 100.000 0.000 4.5480 66.08 0.132144 0.135149 0.138223 0.141366 0.144580 49.04 51.29 CITIGROUP GLOBAL MARKETS 17330F5Z0 06/01/22 06/01/27 100.000 0.000 4.1960 67.99 0.124047 0.126649 0.129306 0.132019 0.134789 45.28 47.20 CITIGROUP GLOBAL MARKETS 17330FXB2 06/30/22 07/01/27 100.000 0.000 4.7830 73.61 0.142642 0.142642 0.149546 0.149546 0.156784 51.96 54.48 CITIGROUP GLOBAL MARKETS 17330YNW6 11/28/22 11/29/27 100.000 VARIES 5.4200 58.32 0.148567 0.149199 0.145929 0.148502 0.148816 53.51 53.27 CITIGROUP GLOBAL MARKETS 17291QY81 10/31/23 10/29/27 100.000 3.250 5.9220 9.87 0.164500 0.169371 0.169040 0.174045 0.173852 60.37 62.04 CITIGROUP GLOBAL MARKETS 17330PDA4 06/30/22 06/30/27 100.000 0.000 4.8610 74.85 0.145115 0.148642 0.152254 0.155955 0.159745 52.88 55.49 CITIGROUP GLOBAL MARKETS 17330FXE6 05/23/22 05/21/27 100.000 0.000 4.4700 73.61 0.132647 0.135612 0.138643 0.141742 0.144909 48.53 50.72 CITIGROUP GLOBAL MARKETS 17331C6Q5 01/09/23 01/07/27 100.000 3.500 5.3390 52.88 0.151140 0.155126 0.154124 0.152411 0.159072 55.11 56.20 CITIGROUP GLOBAL MARKETS 17330PCB3 06/30/22 06/30/27 100.000 0.000 4.8610 74.85 0.145115 0.148642 0.152254 0.155955 0.159745 52.88 55.49 CITIGROUP GLOBAL MARKETS 17330PCE7 07/20/22 07/20/27 100.000 VARIES 3.1700 44.90 0.085647 0.085803 0.086008 0.086196 0.086427 30.91 30.98 CITIGROUP GLOBAL MARKETS 17290AA34 12/07/22 12/07/29 100.000 VARIES 5.0000 52.35 0.134235 0.132451 0.131211 0.131793 0.132479 48.00 47.76 CITIGROUP GLOBAL MARKETS 17330FFH9 05/31/22 05/31/28 100.000 0.000 4.3620 70.87 0.129269 0.132088 0.134969 0.137913 0.140921 47.22 49.30 CITIGROUP GLOBAL MARKETS 17331H5G7 03/22/23 03/22/28 100.000 0.250 5.2940 43.50 0.159339 0.163400 0.167569 0.171848 0.176243 59.07 61.94 CITIGROUP GLOBAL MARKETS 17330F5H0 05/31/22 05/28/27 100.000 0.000 4.2940 69.75 0.127097 0.129826 0.132613 0.135460 0.138369 46.43 48.44 CITIGROUP GLOBAL MARKETS 17330FWM9 05/27/22 05/27/37 100.000 VARIES 2.8400 42.98 0.069389 0.067222 0.067167 0.067006 0.066795 24.14 24.14 CITIGROUP GLOBAL MARKETS 17291TB80 11/30/23 11/30/43 100.000 VARIES 5.5600 5.10 0.153587 0.150111 0.146537 0.142863 0.139696 54.43 51.85 CITIGROUP GLOBAL MARKETS 17330FX48 05/25/22 05/23/24 100.000 0.000 4.0290 65.94 0.118791 16.87 CITIGROUP GLOBAL MARKETS 17330PCN7 06/23/22 06/21/24 100.000 0.000 4.4500 69.31 0.132015 22.44 CITIGROUP GLOBAL MARKETS 17291LK95 02/29/24 02/29/44 100.000 VARIES 5.3400 0.146357 0.142852 0.139253 0.135557 43.97 49.88 CITIGROUP GLOBAL MARKETS 17330PSP5 07/06/22 07/03/25 100.000 0.000 4.6360 70.49 0.134766 0.137890 0.141086 0.144357 50.20 26.27 CITIGROUP GLOBAL MARKETS 17330PC31 06/24/22 06/25/26 100.000 0.000 4.7630 74.15 0.142003 0.145385 0.148848 0.152392 0.156022 51.77 54.27 CITIGROUP GLOBAL MARKETS 17330FW72 05/19/22 05/20/27 100.000 0.000 4.3620 72.29 0.129284 0.132104 0.134985 0.137929 0.140937 47.28 49.37 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17330PSU4 07/21/22 07/21/42 100.000 VARIES 5.1800 70.29 0.128742 0.127882 0.126876 0.124049 0.122654 45.90 44.97 CITIGROUP GLOBAL MARKETS 17330PT66 06/27/22 06/26/25 100.000 0.000 4.7340 73.27 0.141042 0.144381 0.147798 51.41 25.86 CITIGROUP GLOBAL MARKETS 17330PC49 07/01/22 07/01/27 100.000 0.000 4.8610 74.70 0.145115 0.145115 0.152254 0.152254 0.159745 52.88 55.48 CITIGROUP GLOBAL MARKETS 17330PC56 06/23/22 06/23/26 100.000 0.000 4.7930 74.78 0.142942 0.146368 0.149875 0.153467 0.157145 52.13 54.66 CITIGROUP GLOBAL MARKETS 17330FVX6 05/17/22 05/17/32 100.000 VARIES 2.7400 42.77 0.071722 0.071944 0.072167 0.072429 0.072660 25.89 26.05 CITIGROUP GLOBAL MARKETS 17330PSV2 08/03/22 08/03/27 100.000 0.000 4.3040 61.97 0.124757 0.127441 0.130184 0.132985 0.135847 46.20 48.21 CITIGROUP GLOBAL MARKETS 17330PBX6 06/17/22 06/17/42 100.000 VARIES 5.2600 75.98 0.125722 0.125444 0.124500 0.123576 0.122602 45.19 44.63 CITIGROUP GLOBAL MARKETS 17330PC98 06/03/22 06/05/25 100.000 0.000 3.9610 63.87 0.116721 0.119033 0.121390 42.56 18.69 CITIGROUP GLOBAL MARKETS 17330PC80 06/15/22 06/13/25 100.000 0.000 4.2450 67.05 0.125557 0.128221 0.130943 45.78 21.21 CITIGROUP GLOBAL MARKETS 17331CGM3 01/25/23 01/25/27 100.000 3.300 4.7830 45.14 0.134906 0.138134 0.137033 0.137794 0.138772 49.10 49.87 CITIGROUP GLOBAL MARKETS 17330FWA5 05/24/22 05/22/25 100.000 0.000 4.3040 70.68 0.127412 0.130153 0.132954 46.58 18.75 CITIGROUP GLOBAL MARKETS 17330P5H8 06/09/22 06/10/27 100.000 0.000 4.3530 69.56 0.129000 0.131808 0.134677 0.137608 0.140603 47.06 49.14 CITIGROUP GLOBAL MARKETS 17330FZQ7 06/03/22 12/04/28 100.000 0.000 4.3040 69.53 0.127456 0.130199 0.133001 0.135863 0.138787 46.53 48.55 CITIGROUP GLOBAL MARKETS 17331CKC0 01/19/23 01/23/43 100.000 VARIES 5.4466 49.97 0.142329 0.138640 0.135462 0.135462 0.134044 50.74 48.60 CITIGROUP GLOBAL MARKETS 17330PWS4 08/08/22 08/08/24 100.000 0.000 4.2160 60.06 0.122101 0.124674 26.96 CITIGROUP GLOBAL MARKETS 17330PX61 08/05/22 08/07/28 100.000 0.000 4.2940 61.58 0.124484 0.127157 0.129887 0.132676 0.135524 46.07 48.07 CITIGROUP GLOBAL MARKETS 17291QWE0 10/20/23 10/20/38 100.000 VARIES 4.4137 8.54 0.121934 0.114770 0.105043 0.103998 0.105185 39.95 37.60 CITIGROUP GLOBAL MARKETS 17330PWT2 07/29/22 07/29/27 100.000 0.000 4.5480 66.08 0.132144 0.135149 0.138223 0.141366 0.144580 49.04 51.29 CITIGROUP GLOBAL MARKETS 17291QWG5 10/18/23 01/17/25 100.000 6.000 5.8747 11.75 0.163187 0.167980 0.170993 60.17 2.91 CITIGROUP GLOBAL MARKETS 17330PWV7 08/18/22 08/18/42 100.000 VARIES 4.8100 63.63 0.125089 0.121411 0.118311 0.117158 0.115966 43.44 42.07 CITIGROUP GLOBAL MARKETS 17330FZZ7 07/06/22 07/06/27 100.000 0.000 4.8320 73.54 0.140786 0.144188 0.147671 0.151239 0.154893 52.50 55.07 CITIGROUP GLOBAL MARKETS 17330FZF1 06/03/22 06/05/25 100.000 0.000 3.9610 63.87 0.116721 0.119033 0.121390 42.56 18.69 CITIGROUP GLOBAL MARKETS 17330RLF0 09/20/22 09/20/32 100.000 VARIES 4.9200 20.26 0.042550 0.041308 0.040204 0.039547 0.038902 14.87 13.77 CITIGROUP GLOBAL MARKETS 17330FZE4 05/18/22 05/18/27 100.000 0.000 4.2550 70.61 0.125900 0.128578 0.131314 0.134108 0.136961 46.04 48.02 CITIGROUP GLOBAL MARKETS 17330P5C9 06/10/22 06/12/24 100.000 0.000 3.9020 62.09 0.114882 18.50 CITIGROUP GLOBAL MARKETS 17330PVG1 07/21/22 07/22/27 100.000 0.000 4.6950 69.36 0.136629 0.139836 0.143119 0.146479 0.149917 50.80 53.21 CITIGROUP GLOBAL MARKETS 17330P4C0 06/17/22 06/12/24 100.000 0.000 4.0000 62.87 0.117848 18.97 CITIGROUP GLOBAL MARKETS 17330FYN5 05/17/22 05/17/29 100.000 0.000 4.6170 76.91 0.137339 0.140509 0.143753 0.147071 0.150466 50.29 52.64 CITIGROUP GLOBAL MARKETS 17291TQ84 01/31/24 01/29/44 100.000 VARIES 5.2000 0.142744 0.139231 0.135626 0.132533 46.88 48.44 CITIGROUP GLOBAL MARKETS 17330P4G1 06/21/22 10/18/24 100.000 0.000 9.9190 160.04 0.313320 0.328859 92.72 CITIGROUP GLOBAL MARKETS 17330PVM8 06/23/22 06/23/27 100.000 0.000 4.9100 76.65 0.146683 0.150284 0.153973 0.157753 0.161626 53.51 56.17 CITIGROUP GLOBAL MARKETS 17291RJL7 07/19/23 07/20/43 100.000 VARIES 5.2000 23.03 0.142828 0.136281 0.131156 0.130726 0.130122 48.33 46.98 CITIGROUP GLOBAL MARKETS 17330FYQ8 05/25/22 05/23/25 100.000 0.000 4.2450 69.56 0.125557 0.128221 0.130943 45.88 18.59 CITIGROUP GLOBAL MARKETS 17331CJD0 01/31/23 01/30/43 100.000 VARIES 5.0900 45.67 0.133401 0.129703 0.126561 0.126561 0.125308 47.58 45.45 CITIGROUP GLOBAL MARKETS 17330FZ87 06/01/22 06/01/27 100.000 0.000 4.1960 67.99 0.124047 0.126649 0.129306 0.132019 0.134789 45.28 47.20 CITIGROUP GLOBAL MARKETS 17330PW62 08/10/22 08/10/27 100.000 0.000 4.3430 61.66 0.125935 0.128670 0.131464 0.134319 0.137235 46.61 48.65 CITIGROUP GLOBAL MARKETS 17330P4Q9 06/21/22 06/21/27 100.000 0.000 5.0850 79.75 0.152300 0.156172 0.160143 0.164215 0.168390 55.60 58.47 CITIGROUP GLOBAL MARKETS 17330PDS5 06/30/22 01/02/26 100.000 0.000 4.6170 71.01 0.134274 0.137374 0.140545 0.143790 0.147109 50.02 52.36 CITIGROUP GLOBAL MARKETS 17330PDT3 07/21/22 07/21/37 100.000 VARIES 5.1700 72.23 0.135153 0.132181 0.131343 0.130534 0.129743 47.50 46.88 CITIGROUP GLOBAL MARKETS 17330PE39 06/30/22 06/30/42 100.000 VARIES 5.1900 74.53 0.127493 0.123192 0.122013 0.120838 0.119738 45.12 43.71 CITIGROUP GLOBAL MARKETS 17330FY96 06/01/22 05/29/26 100.000 0.000 4.0980 66.37 0.120948 0.123426 0.125955 0.128536 0.131170 44.15 45.98 CITIGROUP GLOBAL MARKETS 17330P3W7 06/16/22 06/16/37 100.000 VARIES 2.9400 42.15 0.072283 0.072549 0.072819 0.073371 0.073653 26.17 26.37 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MARKETS 17291RJC7 07/19/23 07/20/43 100.000 VARIES 5.2000 23.13 0.140066 0.136462 0.132764 0.132764 0.128969 49.91 47.26 CITIGROUP GLOBAL MARKETS 17291LHJ7 02/09/24 02/10/25 100.000 5.080 5.0200 0.139333 0.142833 0.150000 45.22 5.72 CITIGROUP GLOBAL MARKETS 17330P3Z0 06/10/22 06/12/24 100.000 0.000 3.9020 62.09 0.114882 18.50 CITIGROUP GLOBAL MARKETS 17291TPE2 01/22/24 01/22/29 100.000 8.000 5.1300 0.140262 0.138877 0.138206 0.137945 47.20 49.72 CITIGROUP GLOBAL MARKETS 17291QG65 09/29/23 09/03/27 100.000 3.100 5.6110 14.34 0.155861 0.160236 0.159950 0.164433 0.164217 57.27 58.77 CITIGROUP GLOBAL MKT HLD 17331CUN5 04/05/23 04/05/28 100.000 0.000 4.8410 36.05 0.137727 0.141061 0.144475 0.147972 0.151554 50.76 53.25 CITIGROUP GLOBAL MKT HLD 17331CDP9 02/28/23 02/28/28 100.000 0.000 5.2510 44.67 0.149691 0.153621 0.157654 0.161793 0.166041 55.58 58.53 CITIGROUP GLOBAL MKT HLD 17291TEC8 11/30/23 09/01/26 100.000 0.000 5.3290 4.59 0.148028 0.150022 0.154019 0.158123 0.162336 54.37 57.18 CITIGROUP GLOBAL MKT HLD 17291T3K2 10/31/23 01/31/25 100.000 0.000 5.8616 9.93 0.162822 0.165208 0.170050 60.14 4.93 CITIGROUP GLOBAL MKT HLD 17291T3H9 10/25/23 01/24/25 100.000 0.000 5.9900 10.98 0.166389 0.168853 0.173910 61.52 4.00 CITIGROUP GLOBAL MKT HLD 17291T5D6 11/30/23 05/30/25 100.000 0.000 5.5330 4.76 0.153694 0.157946 0.162316 56.36 24.19 CITIGROUP GLOBAL MKT HLD 17291QMW1 10/30/23 10/29/26 100.000 0.000 5.7180 9.69 0.158833 0.163349 0.168019 0.172823 0.177764 58.56 61.96 CITIGROUP GLOBAL MKT HLD 17291T4W5 11/30/23 12/03/25 100.000 0.000 5.4070 4.66 0.150262 0.154324 0.158497 0.162782 55.06 53.39 CITIGROUP GLOBAL MKT HLD 17291TER5 11/30/23 11/30/28 100.000 0.000 5.4850 4.72 0.152361 0.156540 0.160833 0.165244 0.169775 55.86 58.97 CITIGROUP GLOBAL MKT HLD 17291TES3 11/16/23 12/18/24 100.000 0.000 6.3010 7.89 0.176008 0.181553 62.07 CITIGROUP GLOBAL MKT HLD 17291T4N5 12/06/23 03/05/25 100.000 0.000 5.4360 3.78 0.151000 0.153029 0.157189 55.44 10.06 CITIGROUP GLOBAL MKT HLD 17291T4G0 11/01/23 01/30/25 100.000 0.000 5.9220 9.87 0.164500 0.166908 0.171851 60.76 4.98 CITIGROUP GLOBAL MKT HLD 17331CCJ4 02/28/23 02/28/30 100.000 0.000 5.3680 45.67 0.153113 0.157223 0.161443 0.165776 0.170225 56.89 59.98 CITIGROUP GLOBAL MKT HLD 17331CWR4 03/31/23 03/31/28 100.000 0.000 4.8320 36.67 0.137465 0.140786 0.144188 0.147671 0.151239 50.70 53.18 CITIGROUP GLOBAL MKT HLD 17331CGA9 02/28/23 03/05/26 100.000 0.000 5.0950 43.34 0.145277 0.148978 0.152773 0.156665 0.160656 53.84 56.61 CITIGROUP GLOBAL MKT HLD 17331CWB9 04/05/23 04/03/25 100.000 0.000 5.0850 37.89 0.144801 0.148483 0.152258 53.45 14.01 CITIGROUP GLOBAL MKT HLD 17291TBP2 12/04/23 12/02/27 100.000 0.000 5.1440 3.86 0.142889 0.146523 0.150292 0.154157 0.158122 52.31 55.03 CITIGROUP GLOBAL MKT HLD 17331HDQ6 03/27/23 12/27/24 100.000 0.000 5.2510 40.33 0.151656 0.155637 54.71 CITIGROUP GLOBAL MKT HLD 17331CFK8 03/03/23 03/02/28 100.000 0.000 5.2710 44.09 0.150254 0.154214 0.158278 0.162450 0.166731 55.76 58.74 CITIGROUP GLOBAL MKT HLD 17331CVR5 04/05/23 04/03/25 100.000 0.000 5.0850 37.89 0.144801 0.148483 0.152258 53.45 14.01 CITIGROUP GLOBAL MKT HLD 17331CVZ7 03/08/23 03/06/26 100.000 0.000 5.3680 44.14 0.153069 0.157177 0.161396 0.165728 0.170176 56.80 59.89 CITIGROUP GLOBAL MKT HLD 17331CF85 03/03/23 03/05/26 100.000 0.000 5.2220 43.68 0.148886 0.152774 0.156762 0.160856 0.165055 55.21 58.13 CITIGROUP GLOBAL MKT HLD 17291TCV8 12/05/23 06/04/26 100.000 0.000 5.2020 3.76 0.144500 0.148238 0.152093 0.156049 0.160108 52.90 55.68 CITIGROUP GLOBAL MKT HLD 17291TCS5 12/05/23 06/04/25 100.000 0.000 5.2800 3.81 0.146667 0.150517 0.154491 53.70 23.64 CITIGROUP GLOBAL MKT HLD 17331HCW4 03/21/23 03/21/28 100.000 0.000 5.0660 39.76 0.144287 0.147941 0.151689 0.155531 0.159471 53.34 56.08 CITIGROUP GLOBAL MKT HLD 17331CVK0 04/05/23 04/05/28 100.000 0.000 4.8410 36.05 0.137727 0.141061 0.144475 0.147972 0.151554 50.76 53.25 CITIGROUP GLOBAL MKT HLD 17291TCK2 11/30/23 03/04/25 100.000 0.000 5.6600 4.87 0.157222 0.159546 0.164061 57.82 10.34 CITIGROUP GLOBAL MKT HLD 17331CVL8 04/05/23 10/03/24 100.000 0.000 5.1630 38.47 0.147078 0.150875 40.69 CITIGROUP GLOBAL MKT HLD 17331CQG5 02/28/23 02/28/25 100.000 0.000 5.2710 44.84 0.150275 0.154236 0.158301 55.80 9.02 CITIGROUP GLOBAL MKT HLD 17331CPG6 03/03/23 03/05/26 100.000 0.000 5.2220 43.68 0.148886 0.152774 0.156762 0.160856 0.165055 55.21 58.13 CITIGROUP GLOBAL MKT HLD 17291TJL3 11/30/23 06/01/26 100.000 0.000 5.3100 4.57 0.147500 0.151438 0.155459 0.159586 0.163823 54.05 56.96 CITIGROUP GLOBAL MKT HLD 17331CPN1 02/24/23 02/25/28 100.000 0.000 5.0850 43.82 0.144861 0.148544 0.152321 0.156194 0.160165 53.75 56.52 CITIGROUP GLOBAL MKT HLD 17331CPR2 02/24/23 08/26/26 100.000 0.000 4.9590 42.73 0.141204 0.144706 0.148294 0.151970 0.155739 52.35 54.98 CITIGROUP GLOBAL MKT HLD 17331CP43 03/02/23 03/04/26 100.000 0.000 5.2410 43.99 0.149442 0.153358 0.157377 0.161501 0.165733 55.43 58.38 CITIGROUP GLOBAL MKT HLD 17331CBK2 02/23/23 02/23/29 100.000 0.000 5.1630 44.65 0.147119 0.150917 0.154813 0.158809 0.162909 54.63 57.49 CITIGROUP GLOBAL MKT HLD 17331CBM8 02/28/23 02/26/26 100.000 0.000 5.1240 43.58 0.145939 0.149678 0.153513 0.157446 0.161480 54.16 56.97 CITIGROUP GLOBAL MKT HLD 17331CSS7 03/01/23 02/28/30 100.000 0.000 5.3290 44.89 0.151906 0.155954 0.160109 0.164375 0.168755 56.42 59.47 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HLD 17291T5Q7 11/15/23 11/14/25 100.000 0.000 5.6110 7.17 0.155861 0.160210 0.164704 0.169325 57.31 52.38 CITIGROUP GLOBAL MKT HLD 17331CLW5 02/15/23 05/15/24 100.000 0.000 5.2261 46.48 0.150909 20.22 CITIGROUP GLOBAL MKT HLD 17331CM87 02/15/23 02/13/25 100.000 0.000 5.0170 44.52 0.142818 0.146401 0.150073 53.06 6.30 CITIGROUP GLOBAL MKT HLD 17291QW34 10/31/23 04/30/26 100.000 0.000 5.7860 9.80 0.160722 0.165372 0.170156 0.175079 0.180144 59.27 62.75 CITIGROUP GLOBAL MKT HLD 17291QVM3 11/03/23 05/05/25 100.000 0.000 5.7860 9.32 0.160774 0.165425 0.170211 59.24 21.11 CITIGROUP GLOBAL MKT HLD 17291QVD3 10/31/23 10/30/25 100.000 0.000 5.8060 9.84 0.161278 0.165960 0.170777 0.175735 59.48 51.95 CITIGROUP GLOBAL MKT HLD 17331CL54 02/14/23 02/13/25 100.000 0.000 5.0170 44.66 0.142838 0.146421 0.150094 53.07 6.30 CITIGROUP GLOBAL MKT HLD 17291QV84 10/31/23 04/30/26 100.000 0.000 5.7860 9.80 0.160722 0.165372 0.170156 0.175079 0.180144 59.27 62.75 CITIGROUP GLOBAL MKT HLD 17291QUX0 10/19/23 10/21/27 100.000 0.000 5.6600 11.32 0.157272 0.161722 0.166299 0.171005 0.175845 58.05 61.38 CITIGROUP GLOBAL MKT HLD 17291QDW1 10/12/23 10/09/25 100.000 0.000 5.7090 12.53 0.158583 0.163035 0.167688 0.172475 58.64 47.48 CITIGROUP GLOBAL MKT HLD 17331CNU7 03/01/23 02/27/26 100.000 0.000 5.1340 43.23 0.146191 0.149943 0.153792 0.157740 0.161789 54.25 57.07 CITIGROUP GLOBAL MKT HLD 17331CNL7 02/28/23 02/27/26 100.000 0.000 5.1340 43.66 0.146252 0.150006 0.153857 0.157806 0.161857 54.27 57.09 CITIGROUP GLOBAL MKT HLD 17291TLD8 11/27/23 05/27/25 100.000 0.000 5.5040 5.20 0.152889 0.157096 0.161420 56.09 23.57 CITIGROUP GLOBAL MKT HLD 17291QYW8 10/31/23 01/30/25 100.000 0.000 5.9710 10.12 0.165861 0.168337 0.173363 61.29 5.03 CITIGROUP GLOBAL MKT HLD 17291QZ98 11/03/23 02/05/25 100.000 0.000 5.9130 9.53 0.164250 0.166732 0.171661 60.66 5.84 CITIGROUP GLOBAL MKT HLD 17291QZ23 10/23/23 10/23/25 100.000 0.000 5.8060 10.97 0.161278 0.165960 0.170777 0.175735 59.55 50.76 CITIGROUP GLOBAL MKT HLD 17291QYM0 11/03/23 11/05/26 100.000 0.000 5.6990 9.18 0.158356 0.162868 0.167509 0.172282 0.177191 58.33 61.70 CITIGROUP GLOBAL MKT HLD 17331C7D3 02/15/23 08/15/24 100.000 0.000 5.1240 45.47 0.145980 0.149720 33.37 CITIGROUP GLOBAL MKT HLD 17331CYK7 03/29/23 03/27/26 100.000 0.000 4.7930 36.51 0.136294 0.139560 0.142905 0.146330 0.149836 50.28 52.71 CITIGROUP GLOBAL MKT HLD 17331CYJ0 03/29/23 03/29/28 100.000 0.000 4.8220 36.73 0.137174 0.140481 0.143868 0.147337 0.150889 50.59 53.06 CITIGROUP GLOBAL MKT HLD 17331CYP6 03/20/23 03/20/28 100.000 0.000 5.3290 41.99 0.151972 0.156021 0.160178 0.164446 0.168828 56.27 59.31 CITIGROUP GLOBAL MKT HLD 17291QY99 10/31/23 05/01/25 100.000 0.000 5.8740 9.95 0.163167 0.167985 0.172919 60.19 20.75 CITIGROUP GLOBAL MKT HLD 17331CGT8 02/28/23 02/26/26 100.000 0.000 5.1240 43.58 0.145939 0.149678 0.153513 0.157446 0.161480 54.16 56.97 CITIGROUP GLOBAL MKT HLD 17331H5A0 03/22/23 03/22/27 100.000 0.000 5.1050 39.92 0.145425 0.149137 0.152944 0.156848 0.160851 53.77 56.55 CITIGROUP GLOBAL MKT HLD 17291QZY3 10/12/23 10/09/26 100.000 0.000 5.7180 12.55 0.158833 0.163299 0.167967 0.172770 0.177709 58.73 62.13 CITIGROUP GLOBAL MKT HLD 17331CGV3 03/03/23 03/02/28 100.000 0.000 5.2710 44.09 0.150254 0.154214 0.158278 0.162450 0.166731 55.76 58.74 CITIGROUP GLOBAL MKT HLD 17331CY76 03/28/23 03/26/26 100.000 0.000 4.8510 37.09 0.137982 0.141329 0.144757 0.148268 0.151864 50.92 53.42 CITIGROUP GLOBAL MKT HLD 17331C6V4 02/23/23 02/23/28 100.000 0.000 5.1150 44.23 0.145717 0.149444 0.153266 0.157186 0.161206 54.10 56.90 CITIGROUP GLOBAL MKT HLD 17331CXY8 04/05/23 05/03/24 100.000 0.000 5.8540 43.71 0.168133 20.51 CITIGROUP GLOBAL MKT HLD 17291TAU2 11/15/23 05/15/25 100.000 0.000 5.6700 7.25 0.157500 0.161965 0.166557 57.92 22.32 CITIGROUP GLOBAL MKT HLD 17291QZL1 10/31/23 05/01/25 100.000 0.000 5.8740 9.95 0.163167 0.167985 0.172919 60.19 20.75 CITIGROUP GLOBAL MKT HLD 17291TAM0 11/01/23 04/30/26 100.000 0.000 5.7090 9.52 0.158583 0.163085 0.167740 0.172528 0.177453 58.46 61.84 CITIGROUP GLOBAL MKT HLD 17331CGH4 03/03/23 03/05/26 100.000 0.000 5.2220 43.68 0.148886 0.152774 0.156762 0.160856 0.165055 55.21 58.13 CITIGROUP GLOBAL MKT HLD 17331CGN1 03/03/23 09/03/25 100.000 0.000 5.2710 44.09 0.150275 0.154236 0.158301 0.162473 55.76 39.06 CITIGROUP GLOBAL MKT HLD 17291QX33 10/31/23 10/31/30 100.000 0.000 6.2330 10.56 0.173139 0.178535 0.184099 0.189836 0.195752 63.97 68.02 CITIGROUP GLOBAL MKT HLD 17291QX41 10/18/23 11/18/24 100.000 0.000 5.8932 11.98 0.164504 0.169351 53.02 CITIGROUP GLOBAL MKT HLD 17291QX58 11/03/23 11/05/25 100.000 0.000 5.7180 9.22 0.158884 0.163426 0.168099 0.172905 58.53 51.97 CITIGROUP GLOBAL MKT HLD 17291QWT7 10/31/23 10/31/28 100.000 0.000 6.0970 10.33 0.169361 0.174524 0.179844 0.185327 0.190977 62.54 66.41 CITIGROUP GLOBAL MKT HLD 17291QWH3 11/03/23 05/05/26 100.000 0.000 5.6890 9.17 0.158078 0.162574 0.167199 0.171955 0.176846 58.23 61.59 CITIGROUP GLOBAL MKT HLD 17291QXR0 10/31/23 07/30/26 100.000 0.000 5.8250 9.87 0.161806 0.164162 0.168943 0.173864 0.178927 59.75 63.21 CITIGROUP GLOBAL MKT HLD 17331H7M2 03/29/23 03/27/25 100.000 0.000 4.4500 33.88 0.126331 0.129142 0.132015 46.52 11.35 CITIGROUP GLOBAL MKT HLD 17331CZM2 03/22/23 03/25/24 100.000 0.000 5.2610 41.16 0.150049 12.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HLD 17331CZQ3 03/29/23 03/29/29 100.000 0.000 4.8900 37.25 0.139154 0.142557 0.146042 0.149613 0.153271 51.34 53.88 CITIGROUP GLOBAL MKT HLD 17291QWX8 10/12/23 03/11/25 100.000 0.000 5.8640 12.87 0.162889 0.166842 0.171734 60.32 12.02 CITIGROUP GLOBAL MKT HLD 17330RWM3 09/21/22 09/19/25 100.000 0.000 5.0560 65.97 0.147595 0.151326 0.155151 0.159074 54.58 40.74 CITIGROUP GLOBAL MKT HLD 17330RFJ9 09/27/22 09/25/26 100.000 0.000 5.2020 67.00 0.152072 0.156027 0.160085 0.164249 0.168521 56.23 59.19 CITIGROUP GLOBAL MKT HLD 17330RWL5 09/28/22 03/26/26 100.000 0.000 5.3970 69.41 0.158071 0.162336 0.166717 0.171216 0.175836 58.49 61.69 CITIGROUP GLOBAL MKT HLD 17330R4T9 09/02/22 09/02/27 100.000 0.000 4.6460 63.08 0.135121 0.138260 0.141472 0.144758 0.148121 49.96 52.31 CITIGROUP GLOBAL MKT HLD 17330REL5 09/21/22 09/21/27 100.000 0.000 5.2020 67.91 0.152115 0.156071 0.160131 0.164296 0.168569 56.28 59.24 CITIGROUP GLOBAL MKT HLD 17330RDL6 09/28/22 03/26/26 100.000 0.000 5.3970 69.41 0.158071 0.162336 0.166717 0.171216 0.175836 58.49 61.69 CITIGROUP GLOBAL MKT HLD 17330RUU7 09/22/22 09/24/25 100.000 0.000 5.0560 65.82 0.147677 0.151410 0.155237 0.159162 54.57 41.53 CITIGROUP GLOBAL MKT HLD 17330RUY9 09/28/22 03/27/25 100.000 0.000 5.3000 68.13 0.155106 0.159216 0.163436 57.36 14.06 CITIGROUP GLOBAL MKT HLD 17330RHM0 09/21/22 09/21/27 100.000 0.000 5.2020 67.91 0.152115 0.156071 0.160131 0.164296 0.168569 56.28 59.24 CITIGROUP GLOBAL MKT HLD 17330R6F7 09/02/22 09/03/26 100.000 0.000 4.5580 61.86 0.132464 0.135483 0.138571 0.141729 0.144959 48.95 51.21 CITIGROUP GLOBAL MKT HLD 17330RAK1 09/02/22 09/03/26 100.000 0.000 4.5580 61.86 0.132464 0.135483 0.138571 0.141729 0.144959 48.95 51.21 CITIGROUP GLOBAL MKT HLD 17330RAQ8 09/28/22 03/29/27 100.000 0.000 5.5920 71.96 0.164166 0.168756 0.173474 0.178325 0.183311 60.78 64.23 CITIGROUP GLOBAL MKT HLD 17330RAT2 08/18/22 08/20/24 100.000 0.000 4.0980 57.17 0.118573 0.121003 27.59 CITIGROUP GLOBAL MKT HLD 17330RCW3 08/17/22 08/17/27 100.000 0.000 4.4110 61.75 0.127992 0.130815 0.133700 0.136649 0.139663 47.35 49.46 CITIGROUP GLOBAL MKT HLD 17330PY37 09/02/22 09/02/27 100.000 0.000 5.6460 76.99 0.165813 0.170494 0.175307 0.180256 0.185345 61.67 65.20 CITIGROUP GLOBAL MKT HLD 17330RPT6 09/28/22 09/28/27 100.000 0.000 5.5330 71.19 0.162316 0.166806 0.171421 0.176164 0.181037 60.09 63.46 CITIGROUP GLOBAL MKT HLD 17330PZR3 09/01/22 09/02/27 100.000 0.000 4.5780 62.27 0.133072 0.136118 0.139233 0.142420 0.145680 49.19 51.46 CITIGROUP GLOBAL MKT HLD 17330RHW8 09/23/22 09/24/26 100.000 0.000 5.1730 67.22 0.151245 0.155157 0.159170 0.163287 0.167511 55.92 58.85 CITIGROUP GLOBAL MKT HLD 17330RLH6 09/02/22 03/31/25 100.000 0.000 5.4260 73.98 0.159682 0.164015 0.168464 59.06 14.99 CITIGROUP GLOBAL MKT HLD 17330RL29 09/23/22 09/23/27 100.000 0.000 5.2710 68.52 0.154236 0.158301 0.162473 0.166755 0.171150 57.06 60.11 CITIGROUP GLOBAL MKT HLD 17331CE45 03/03/23 09/03/25 100.000 0.000 5.2710 44.09 0.150275 0.154236 0.158301 0.162473 55.76 39.06 CITIGROUP GLOBAL MKT HLD 17330R5M3 08/24/22 08/22/25 100.000 0.000 4.2650 58.80 0.123550 0.126185 0.128876 0.131624 45.64 30.27 CITIGROUP GLOBAL MKT HLD 17330R4M4 08/24/22 08/24/26 100.000 0.000 4.3330 59.75 0.125633 0.128355 0.131135 0.133977 0.136879 46.42 48.45 CITIGROUP GLOBAL MKT HLD 17330REP6 08/24/22 08/24/27 100.000 0.000 4.4410 61.27 0.128900 0.131763 0.134688 0.137679 0.140736 47.65 49.79 CITIGROUP GLOBAL MKT HLD 17331CDJ3 02/21/23 02/20/26 100.000 0.000 4.9680 43.23 0.141409 0.144921 0.148521 0.152211 0.155992 52.47 55.11 CITIGROUP GLOBAL MKT HLD 17331CDL8 02/28/23 02/26/27 100.000 0.000 5.1440 43.75 0.146523 0.150292 0.154157 0.158122 0.162189 54.38 57.21 CITIGROUP GLOBAL MKT HLD 17330X631 02/01/23 01/30/26 100.000 0.000 4.8320 44.78 0.137447 0.140768 0.144169 0.147652 0.151219 51.09 53.59 CITIGROUP GLOBAL MKT HLD 17331C2S5 02/03/23 02/03/28 100.000 0.000 4.8610 44.77 0.138310 0.141671 0.145115 0.148642 0.152254 51.40 53.93 CITIGROUP GLOBAL MKT HLD 17331C2R7 01/31/23 01/31/28 100.000 0.000 4.7930 44.55 0.136330 0.139597 0.142942 0.146368 0.149875 50.67 53.12 CITIGROUP GLOBAL MKT HLD 17330RVK8 09/29/22 10/01/24 100.000 0.000 5.3680 68.87 0.157270 0.161491 43.22 CITIGROUP GLOBAL MKT HLD 17331C2X4 02/03/23 02/05/26 100.000 0.000 4.8710 44.87 0.138638 0.142015 0.145474 0.149017 0.152646 51.52 54.06 CITIGROUP GLOBAL MKT HLD 17330RUQ6 09/28/22 09/26/25 100.000 0.000 5.3680 69.03 0.157177 0.161396 0.165728 0.170176 58.16 44.72 CITIGROUP GLOBAL MKT HLD 17331C2D8 02/03/23 08/05/25 100.000 0.000 4.9190 45.32 0.140038 0.143482 0.147011 0.150627 52.05 32.11 CITIGROUP GLOBAL MKT HLD 17331CCH8 03/03/23 03/05/25 100.000 0.000 5.3580 44.83 0.152866 0.156961 0.161166 56.73 10.31 CITIGROUP GLOBAL MKT HLD 17330R3Z6 08/15/22 08/13/27 100.000 0.000 4.4900 63.14 0.130353 0.133280 0.136272 0.139331 0.142459 48.27 50.46 CITIGROUP GLOBAL MKT HLD 17331C2H9 02/03/23 08/05/25 100.000 0.000 4.9190 45.32 0.140038 0.143482 0.147011 0.150627 52.05 32.11 CITIGROUP GLOBAL MKT HLD 17331C5P8 01/23/23 01/23/26 100.000 0.000 4.9880 47.38 0.142011 0.145553 0.149183 0.152904 0.156717 52.89 55.57 CITIGROUP GLOBAL MKT HLD 17331CG50 02/28/23 11/28/25 100.000 0.000 5.2120 44.40 0.150486 0.154408 0.158432 0.162561 55.14 52.55 CITIGROUP GLOBAL MKT HLD 17331CFE2 02/28/23 03/28/24 100.000 0.000 5.9710 50.94 0.171663 14.93 CITIGROUP GLOBAL MKT HLD 17331C4N4 02/03/23 02/05/25 100.000 0.000 5.0270 46.33 0.143189 0.146788 0.150477 53.26 5.12 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HLD 17330R6E0 08/24/22 08/22/25 100.000 0.000 4.2650 58.80 0.123550 0.126185 0.128876 0.131624 45.64 30.27 CITIGROUP GLOBAL MKT HLD 17331CEW3 02/08/23 02/08/27 100.000 0.000 4.5480 41.22 0.129206 0.132144 0.135149 0.138223 0.141366 47.89 50.10 CITIGROUP GLOBAL MKT HLD 17331CEZ6 01/31/23 01/30/26 100.000 0.000 4.8220 44.82 0.137174 0.140481 0.143868 0.147337 0.150889 50.99 53.48 CITIGROUP GLOBAL MKT HLD 17331C4X2 02/02/23 02/03/28 100.000 0.000 4.8510 44.82 0.138037 0.141385 0.144814 0.148326 0.151924 51.30 53.82 CITIGROUP GLOBAL MKT HLD 17331CEK9 01/24/23 01/24/25 100.000 0.000 4.9880 47.24 0.142011 0.145553 0.149183 52.89 3.43 CITIGROUP GLOBAL MKT HLD 17330RRW7 10/03/22 10/03/24 100.000 0.000 5.5140 70.13 0.161729 0.166188 44.79 CITIGROUP GLOBAL MKT HLD 17330RA96 09/02/22 01/04/28 100.000 0.000 4.8120 65.38 0.139115 0.142462 0.145890 0.149400 0.152994 51.88 54.41 CITIGROUP GLOBAL MKT HLD 17331CB89 01/27/23 02/29/24 100.000 0.000 5.8060 54.69 0.166816 9.68 CITIGROUP GLOBAL MKT HLD 17330R2M6 08/15/22 08/13/27 100.000 0.000 4.4900 63.14 0.130353 0.133280 0.136272 0.139331 0.142459 48.27 50.46 CITIGROUP GLOBAL MKT HLD 17330RCU7 09/01/22 09/04/24 100.000 0.000 4.2840 58.20 0.124197 0.126857 30.66 CITIGROUP GLOBAL MKT HLD 17331CAJ6 01/31/23 01/30/26 100.000 0.000 4.8220 44.82 0.137174 0.140481 0.143868 0.147337 0.150889 50.99 53.48 CITIGROUP GLOBAL MKT HLD 17330R2C8 10/03/22 10/01/27 100.000 0.000 5.9130 75.33 0.174050 0.179196 0.184494 0.189948 0.195564 64.52 68.40 CITIGROUP GLOBAL MKT HLD 17331CAT4 01/31/23 01/29/26 100.000 0.000 4.8220 44.82 0.137156 0.140463 0.143849 0.147317 0.150869 50.99 53.48 CITIGROUP GLOBAL MKT HLD 17331CKP1 02/03/23 05/03/24 100.000 0.000 5.2610 48.62 0.151956 18.54 CITIGROUP GLOBAL MKT HLD 17330YUW8 02/03/23 02/03/28 100.000 0.000 4.8610 44.77 0.138310 0.141671 0.145115 0.148642 0.152254 51.40 53.93 CITIGROUP GLOBAL MKT HLD 17331cEA1 02/28/23 08/28/25 100.000 0.000 5.1730 44.00 0.147411 0.151224 0.155135 0.159148 54.70 37.49 CITIGROUP GLOBAL MKT HLD 17331C7H4 02/01/23 02/01/28 100.000 0.000 4.8120 44.59 0.136883 0.140176 0.143549 0.147003 0.150539 50.87 53.35 CITIGROUP GLOBAL MKT HLD 17331CGR2 02/28/23 08/28/24 100.000 0.000 5.3780 45.76 0.153406 0.157531 37.10 CITIGROUP GLOBAL MKT HLD 17330PW21 08/24/22 08/24/26 100.000 0.000 4.3330 59.75 0.125633 0.128355 0.131135 0.133977 0.136879 46.42 48.45 CITIGROUP GLOBAL MKT HLD 17330RL60 09/27/22 03/27/24 100.000 0.000 5.0070 64.43 0.146134 12.57 CITIGROUP GLOBAL MKT HLD 17331HCE4 05/02/23 02/02/26 100.000 0.000 4.6360 31.00 0.130270 0.133290 0.136380 0.139541 0.142775 48.35 50.62 CITIGROUP GLOBAL MKT HLD 17331C3W5 02/03/23 08/25/24 100.000 0.000 5.1050 47.11 0.145879 0.149602 34.81 CITIGROUP GLOBAL MKT HLD 17291RP97 07/31/23 01/29/26 100.000 0.000 5.3290 22.35 0.148028 0.151950 0.155999 0.160155 0.164423 55.21 58.19 CITIGROUP GLOBAL MKT HLD 17331C3V7 02/03/23 03/05/24 100.000 0.000 5.7090 52.78 0.163938 10.49 CITIGROUP GLOBAL MKT HLD 17331CE86 02/28/23 02/27/25 100.000 0.000 5.2710 44.84 0.150254 0.154214 0.158278 55.80 8.86 CITIGROUP GLOBAL MKT HLD 17331HSR8 05/10/23 05/08/26 100.000 0.000 4.4210 28.51 0.125490 0.128264 0.131099 0.133997 0.136959 45.97 48.03 CITIGROUP GLOBAL MKT HLD 17331C3D7 02/03/23 02/03/28 100.000 0.000 4.8610 44.77 0.138310 0.141671 0.145115 0.148642 0.152254 51.40 53.93 CITIGROUP GLOBAL MKT HLD 17331HSX5 04/19/23 04/17/25 100.000 0.000 4.8000 33.83 0.136498 0.139774 0.143128 50.22 15.17 CITIGROUP GLOBAL MKT HLD 17331CCM7 03/03/23 04/03/24 100.000 0.000 6.0190 50.49 0.173090 15.92 CITIGROUP GLOBAL MKT HLD 17291RQE5 07/31/23 07/30/26 100.000 0.000 5.2610 22.07 0.146139 0.149983 0.153928 0.157977 0.162133 54.48 57.38 CITIGROUP GLOBAL MKT HLD 17331HSA5 05/31/23 05/28/27 100.000 0.000 4.9100 28.89 0.139700 0.143130 0.146644 0.150244 0.153932 51.14 53.68 CITIGROUP GLOBAL MKT HLD 17291RPH9 07/31/23 04/30/26 100.000 0.000 5.3480 22.55 0.150542 0.154567 0.158700 0.162944 0.167301 55.42 58.42 CITIGROUP GLOBAL MKT HLD 17331C2E6 02/03/23 02/05/26 100.000 0.000 4.8710 44.87 0.138638 0.142015 0.145474 0.149017 0.152646 51.52 54.06 CITIGROUP GLOBAL MKT HLD 17331HRX6 06/05/23 12/05/24 100.000 0.000 5.2410 30.09 0.149398 0.153313 50.60 CITIGROUP GLOBAL MKT HLD 17291RN99 08/03/23 02/05/25 100.000 0.000 5.5420 22.79 0.153992 0.158259 0.162644 57.47 5.53 CITIGROUP GLOBAL MKT HLD 17291RMY5 07/20/23 07/22/25 100.000 0.000 5.2900 23.66 0.146988 0.150875 0.154866 0.158962 54.87 31.87 CITIGROUP GLOBAL MKT HLD 17291RMN9 07/31/23 01/29/26 100.000 0.000 5.3290 22.35 0.148028 0.151950 0.155999 0.160155 0.164423 55.21 58.19 CITIGROUP GLOBAL MKT HLD 17331HDJ2 04/13/23 04/15/26 100.000 0.000 4.5390 32.76 0.128977 0.131904 0.134898 0.137960 0.141091 47.41 49.58 CITIGROUP GLOBAL MKT HLD 17331HTZ9 05/31/23 11/29/24 100.000 0.000 5.2020 30.61 0.148238 0.152093 49.32 CITIGROUP GLOBAL MKT HLD 17291RBZ4 06/22/23 09/19/24 100.000 0.000 5.6210 29.73 0.158260 0.162708 41.63 CITIGROUP GLOBAL MKT HLD 17291RST0 07/31/23 07/29/27 100.000 0.000 5.1930 21.78 0.144250 0.147975 0.151817 0.155759 0.159803 53.75 56.58 CITIGROUP GLOBAL MKT HLD 17291RUD2 08/07/23 08/07/25 100.000 0.000 5.3970 21.59 0.149917 0.153962 0.158117 0.162384 55.88 34.92 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HLD 17291R2U5 06/06/23 06/04/27 100.000 0.000 4.8510 27.71 0.137982 0.141329 0.144757 0.148268 0.151864 50.46 52.94 CITIGROUP GLOBAL MKT HLD 17291RD41 06/09/23 06/11/25 100.000 0.000 5.0270 28.29 0.143189 0.146788 0.150477 52.34 24.08 CITIGROUP GLOBAL MKT HLD 17291RU67 08/03/23 02/04/27 100.000 0.000 5.1730 21.27 0.143694 0.147432 0.151245 0.155157 0.159170 53.51 56.32 CITIGROUP GLOBAL MKT HLD 17331HNN2 05/31/23 08/29/24 100.000 0.000 5.3870 31.82 0.151632 0.155716 36.82 CITIGROUP GLOBAL MKT HLD 17330YVG2 01/31/23 01/29/27 100.000 0.000 4.7830 44.46 0.136021 0.139274 0.142605 0.146015 0.149507 50.55 53.00 CITIGROUP GLOBAL MKT HLD 17331HR99 06/05/23 06/04/26 100.000 0.000 4.9100 28.19 0.139719 0.143149 0.146663 0.150264 0.153953 51.10 53.64 CITIGROUP GLOBAL MKT HLD 17291RRF1 08/03/23 08/05/25 100.000 0.000 5.7800 23.77 0.160607 0.165249 0.170024 0.174938 60.03 37.27 CITIGROUP GLOBAL MKT HLD 17291RAA0 07/31/23 07/31/28 100.000 0.000 5.1540 21.62 0.143167 0.146856 0.150641 0.154523 0.158505 53.33 56.12 CITIGROUP GLOBAL MKT HLD 17331CSU2 03/01/23 08/28/25 100.000 0.000 5.1730 43.56 0.147349 0.151160 0.155070 0.159081 54.68 37.47 CITIGROUP GLOBAL MKT HLD 17331HRF5 05/31/23 05/31/30 100.000 0.000 5.0460 29.68 0.143703 0.147329 0.151046 0.154857 0.158764 52.61 55.30 CITIGROUP GLOBAL MKT HLD 17291RQL9 08/03/23 11/05/26 100.000 0.000 5.2710 21.78 0.148389 0.152300 0.156314 0.160433 0.164661 54.57 57.48 CITIGROUP GLOBAL MKT HLD 17331HQ82 05/31/23 12/01/25 100.000 0.000 4.9290 28.99 0.140310 0.143768 0.147311 0.150941 51.34 49.27 CITIGROUP GLOBAL MKT HLD 17331HPV2 06/05/23 09/06/24 100.000 0.000 5.4260 31.29 0.152789 0.156935 38.18 CITIGROUP GLOBAL MKT HLD 17331HQC3 05/31/23 12/01/25 100.000 0.000 4.9290 28.99 0.140310 0.143768 0.147311 0.150941 51.34 49.27 CITIGROUP GLOBAL MKT HLD 17331HPJ9 06/05/23 06/05/25 100.000 0.000 5.0370 28.91 0.143440 0.147053 0.150757 52.48 23.22 CITIGROUP GLOBAL MKT HLD 17291RRH7 08/03/23 11/05/24 100.000 0.000 5.6600 23.40 0.159496 0.164010 49.30 CITIGROUP GLOBAL MKT HLD 17331HPU4 05/31/23 08/28/26 100.000 0.000 4.9490 29.21 0.139135 0.142578 0.146106 0.149722 0.153427 51.57 54.15 CITIGROUP GLOBAL MKT HLD 17331HKN5 05/03/23 05/01/25 100.000 0.000 5.8410 38.90 0.166936 0.171811 0.176829 61.57 21.22 CITIGROUP GLOBAL MKT HLD 17192R2D3 06/09/23 06/11/30 100.000 0.000 3.5310 19.85 0.099835 0.101597 0.103391 0.105216 0.107074 36.33 37.62 CITIGROUP GLOBAL MKT HLD 17291RG48 07/31/23 01/30/25 100.000 0.000 5.5720 23.37 0.154778 0.159090 0.163522 57.82 4.74 CITIGROUP GLOBAL MKT HLD 17331HK62 05/31/23 05/31/28 100.000 0.000 5.0270 29.57 0.143149 0.146747 0.150435 0.154216 0.158093 52.41 55.07 CITIGROUP GLOBAL MKT HLD 17291RHK1 08/03/23 02/05/25 100.000 0.000 5.5240 22.72 0.153492 0.157731 0.162088 57.28 5.51 CITIGROUP GLOBAL MKT HLD 17331CLF2 03/01/23 02/29/28 100.000 0.000 5.2220 43.97 0.148801 0.152686 0.156673 0.160741 0.164961 55.23 58.15 CITIGROUP GLOBAL MKT HLD 17331HK54 05/31/23 05/31/28 100.000 0.000 5.0270 29.57 0.143149 0.146747 0.150435 0.154216 0.158093 52.41 55.07 CITIGROUP GLOBAL MKT HLD 17331HJA5 06/05/23 06/05/28 100.000 0.000 5.0170 28.80 0.142857 0.146441 0.150114 0.153880 0.157740 52.26 54.92 CITIGROUP GLOBAL MKT HLD 17291RH62 08/03/23 08/05/26 100.000 0.000 5.2320 21.52 0.145376 0.149179 0.153081 0.157086 0.161195 54.14 57.01 CITIGROUP GLOBAL MKT HLD 17331HN51 05/02/23 04/30/26 100.000 0.000 4.5680 30.50 0.129755 0.132718 0.135750 0.138850 0.142022 47.61 49.81 CITIGROUP GLOBAL MKT HLD 17331HN93 05/22/23 05/22/25 100.000 0.000 4.8610 29.70 0.138310 0.141671 0.145115 50.66 20.46 CITIGROUP GLOBAL MKT HLD 17331HMZ6 06/05/23 06/05/25 100.000 0.000 5.0370 28.91 0.143440 0.147053 0.150757 52.48 23.22 CITIGROUP GLOBAL MKT HLD 17291RDY5 06/06/23 08/06/24 100.000 0.000 5.4360 31.15 0.152368 0.156509 33.50 CITIGROUP GLOBAL MKT HLD 17291R3M2 06/06/23 06/04/26 100.000 0.000 4.8320 27.60 0.137429 0.140749 0.144150 0.147632 0.151199 50.25 52.71 CITIGROUP GLOBAL MKT HLD 17331HM37 05/22/23 05/22/25 100.000 0.000 4.8610 29.70 0.138310 0.141671 0.145115 50.66 20.46 CITIGROUP GLOBAL MKT HLD 17291RFJ6 07/31/23 07/31/25 100.000 0.000 5.4170 22.72 0.150472 0.154548 0.158734 0.163033 56.15 33.95 CITIGROUP GLOBAL MKT HLD 17331HLV6 05/31/23 03/02/26 100.000 0.000 4.9590 29.27 0.139496 0.142955 0.146499 0.150132 0.153854 51.67 54.27 CITIGROUP GLOBAL MKT HLD 17291RF80 07/31/23 07/31/30 100.000 0.000 5.1340 21.53 0.142611 0.146272 0.150027 0.153878 0.157828 53.12 55.88 CITIGROUP GLOBAL MKT HLD 17291RL75 07/31/23 10/31/24 100.000 0.000 5.7090 24.08 0.160847 0.165438 48.92 CITIGROUP GLOBAL MKT HLD 17331HXN1 06/05/23 09/06/24 100.000 0.000 5.4260 31.29 0.152789 0.156935 38.18 CITIGROUP GLOBAL MKT HLD 17331HGQ3 05/31/23 05/30/25 100.000 0.000 4.9980 29.40 0.142303 0.145859 0.149504 52.09 22.28 CITIGROUP GLOBAL MKT HLD 17331HY34 06/07/23 09/06/24 100.000 0.000 5.3000 30.26 0.149151 0.153104 37.25 CITIGROUP GLOBAL MKT HLD 17331CHN0 03/03/23 09/03/24 100.000 0.000 5.4560 45.65 0.155690 0.159937 38.44 CITIGROUP GLOBAL MKT HLD 17291RM66 08/03/23 08/03/28 100.000 0.000 5.1050 20.99 0.141806 0.145425 0.149137 0.152944 0.156848 52.79 55.52 CITIGROUP GLOBAL MKT HLD 17331CGW1 02/03/23 02/05/25 100.000 0.000 5.0270 46.33 0.143189 0.146788 0.150477 53.26 5.12 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HLD 17331C7B7 02/28/23 08/28/25 100.000 0.000 5.1730 44.00 0.147411 0.151224 0.155135 0.159148 54.70 37.49 CITIGROUP GLOBAL MKT HLD 17331CHD2 01/31/23 01/29/26 100.000 0.000 4.8220 44.82 0.137156 0.140463 0.143849 0.147317 0.150869 50.99 53.48 CITIGROUP GLOBAL MKT HLD 17291RLH3 07/21/23 01/24/25 100.000 0.000 5.4460 24.22 0.151346 0.155468 0.159701 56.54 3.67 CITIGROUP GLOBAL MKT HLD 17331HF27 06/05/23 12/04/25 100.000 0.000 4.9490 28.41 0.140855 0.144341 0.147912 0.151572 51.53 49.91 CITIGROUP GLOBAL MKT HLD 17331C6A0 02/28/23 08/28/24 100.000 0.000 5.3780 45.76 0.153406 0.157531 37.10 CITIGROUP GLOBAL MKT HLD 17331HW51 06/05/23 06/05/25 100.000 0.000 5.0370 28.91 0.143440 0.147053 0.150757 52.48 23.22 CITIGROUP GLOBAL MKT HLD 17331HVV5 06/05/23 12/05/24 100.000 0.000 5.2410 30.09 0.149398 0.153313 50.60 CITIGROUP GLOBAL MKT HLD 17291RLG5 08/03/23 02/05/26 100.000 0.000 5.2900 21.75 0.146988 0.150875 0.154866 0.158962 0.163167 54.77 57.70 CITIGROUP GLOBAL MKT HLD 17331C6J1 02/08/23 08/10/26 100.000 0.000 4.5390 41.14 0.128977 0.131904 0.134898 0.137960 0.141091 47.79 49.99 CITIGROUP GLOBAL MKT HLD 17291RZN5 08/02/23 07/31/25 100.000 0.000 5.4600 22.60 0.151667 0.155761 0.160013 0.164382 56.60 34.23 CITIGROUP GLOBAL MKT HLD 17291RZJ4 08/09/23 08/05/25 100.000 0.000 5.3780 21.21 0.149389 0.153317 0.157439 0.161673 55.66 34.45 CITIGROUP GLOBAL MKT HLD 17331HYY6 06/02/23 03/04/27 100.000 0.000 5.1240 29.97 0.144197 0.147891 0.151680 0.155567 0.159552 53.45 56.23 CITIGROUP GLOBAL MKT HLD 17291RYW6 08/02/23 09/03/25 100.000 0.000 5.7470 23.88 0.160429 0.165039 0.169781 0.174660 59.69 41.97 CITIGROUP GLOBAL MKT HLD 17291RHW5 07/14/23 07/14/28 100.000 0.000 5.2610 24.41 0.146139 0.149983 0.153928 0.157977 0.162133 54.60 57.51 CITIGROUP GLOBAL MKT HLD 17291RK68 07/26/23 01/24/25 100.000 0.000 5.5530 23.91 0.154250 0.158485 0.162886 57.65 3.75 CITIGROUP GLOBAL MKT HLD 17291RJT0 07/14/23 01/16/25 100.000 0.000 5.6600 26.26 0.157272 0.161722 0.166299 58.91 2.49 CITIGROUP GLOBAL MKT HLD 17331HGZ3 05/31/23 08/29/24 100.000 0.000 5.3870 31.82 0.151632 0.155716 36.82 CITIGROUP GLOBAL MKT HOL 17330RW92 09/19/22 03/19/24 100.000 0.000 4.7140 61.69 0.137190 10.70 CITIGROUP GLOBAL MKT HOL 17330R4F9 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330R3N3 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330RV51 10/05/22 10/03/25 100.000 0.000 5.5530 70.32 0.162886 0.167408 0.172056 0.176833 60.26 47.66 CITIGROUP GLOBAL MKT HOL 17330RV93 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330R7A7 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330RGJ8 10/05/22 10/03/24 100.000 0.000 5.3870 68.17 0.157763 0.162012 43.68 CITIGROUP GLOBAL MKT HOL 17330R6L4 10/05/22 04/03/25 100.000 0.000 5.4560 69.06 0.159890 0.164252 0.168733 59.12 15.52 CITIGROUP GLOBAL MKT HOL 17330RFQ3 10/05/22 10/03/25 100.000 0.000 5.5530 70.32 0.162886 0.167408 0.172056 0.176833 60.26 47.66 CITIGROUP GLOBAL MKT HOL 17330RFR1 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330RS97 09/16/22 09/18/25 100.000 0.000 4.7540 62.64 0.138445 0.141735 0.145105 0.148554 51.12 37.91 CITIGROUP GLOBAL MKT HOL 17330RAZ8 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330RA54 10/05/22 10/03/25 100.000 0.000 5.5530 70.32 0.162886 0.167408 0.172056 0.176833 60.26 47.66 CITIGROUP GLOBAL MKT HOL 17330RDE2 09/13/22 09/11/26 100.000 0.000 4.7540 63.06 0.138372 0.141661 0.145029 0.148476 0.152005 51.14 53.60 CITIGROUP GLOBAL MKT HOL 17330RCV5 10/05/22 10/03/24 100.000 0.000 5.3870 68.17 0.157763 0.162012 43.68 CITIGROUP GLOBAL MKT HOL 17330N773 09/06/22 09/06/28 100.000 0.000 4.7440 63.88 0.138103 0.141379 0.144733 0.148166 0.151680 51.07 53.52 CITIGROUP GLOBAL MKT HOL 17330RSK2 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330RBP9 10/05/22 04/03/25 100.000 0.000 5.4560 69.06 0.159890 0.164252 0.168733 59.12 15.52 CITIGROUP GLOBAL MKT HOL 17330RSW6 10/05/22 04/03/25 100.000 0.000 5.4560 69.06 0.159890 0.164252 0.168733 59.12 15.52 CITIGROUP GLOBAL MKT HOL 17330PMP1 09/06/22 09/03/27 100.000 0.000 4.6850 63.08 0.136255 0.139447 0.142714 0.146057 0.149478 50.39 52.78 CITIGROUP GLOBAL MKT HOL 17330PHY8 09/06/22 09/03/27 100.000 0.000 4.6850 63.08 0.136255 0.139447 0.142714 0.146057 0.149478 50.39 52.78 CITIGROUP GLOBAL MKT HOL 17330PXM6 09/06/22 03/05/25 100.000 0.000 4.4700 60.13 0.129763 0.132663 0.135628 47.92 8.68 CITIGROUP GLOBAL MKT HOL 17330RMD4 10/05/22 10/03/25 100.000 0.000 5.5530 70.32 0.162886 0.167408 0.172056 0.176833 60.26 47.66 CITIGROUP GLOBAL MKT HOL 17330PXD6 09/06/22 09/05/25 100.000 0.000 4.5680 61.47 0.132735 0.135767 0.138867 0.142039 49.04 34.45 CITIGROUP GLOBAL MKT HOL 17330RQ99 10/05/22 10/03/25 100.000 0.000 5.5530 70.32 0.162886 0.167408 0.172056 0.176833 60.26 47.66 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKT HOL 17330RQA6 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKT HOL 17330PUM9 09/06/22 09/06/24 100.000 0.000 4.4020 59.19 0.127720 0.130531 31.80 CITIGROUP GLOBAL MKT HOL 17330PCQ0 09/06/22 09/03/27 100.000 0.000 4.6850 63.08 0.136255 0.139447 0.142714 0.146057 0.149478 50.39 52.78 CITIGROUP GLOBAL MKT HOL 17330PD63 09/06/22 03/05/25 100.000 0.000 4.4700 60.13 0.129763 0.132663 0.135628 47.92 8.68 CITIGROUP GLOBAL MKT HOL 17330RJ55 10/07/22 10/09/24 100.000 0.000 5.2900 66.61 0.154866 0.158962 43.79 CITIGROUP GLOBAL MKT HOL 17330RLK9 10/05/22 10/05/27 100.000 0.000 5.7180 72.45 0.168045 0.172850 0.177791 0.182874 0.188103 62.20 65.81 CITIGROUP GLOBAL MKTS HL 17331HTL0 04/28/23 10/30/24 100.000 0.000 4.9290 33.49 0.140329 0.143788 42.58 CITIGROUP GLOBAL MKTS HL 17331HRZ1 05/03/23 05/01/25 100.000 0.000 4.8410 32.20 0.137691 0.141024 0.144437 50.57 17.33 CITIGROUP GLOBAL MKTS HL 17331HB47 05/03/23 10/31/24 100.000 0.000 4.9100 32.66 0.139681 0.143111 42.38 CITIGROUP GLOBAL MKTS HL 17331HS72 05/03/23 05/31/24 100.000 0.000 5.6700 37.77 0.162654 24.24 CITIGROUP GLOBAL MKTS HL 17331HUW4 04/28/23 04/30/25 100.000 0.000 4.8510 32.95 0.138056 0.141404 0.144834 50.72 17.24 CITIGROUP GLOBAL MKTS HL 17331HU20 04/28/23 04/28/28 100.000 0.000 4.6560 31.62 0.132344 0.135425 0.138578 0.141804 0.145105 48.59 50.88 CITIGROUP GLOBAL MKTS HL 17331HCX2 04/28/23 04/29/24 100.000 0.000 4.6260 31.41 0.131489 15.52 CITIGROUP GLOBAL MKTS HL 17331HPC4 04/28/23 04/30/26 100.000 0.000 4.6850 31.82 0.133222 0.136343 0.139537 0.142805 0.146150 48.91 51.22 CITIGROUP GLOBAL MKTS HL 17331HQH2 05/03/23 10/31/25 100.000 0.000 4.7730 31.74 0.135695 0.138933 0.142249 0.145643 49.83 43.14 CITIGROUP GLOBAL MKTS HL 17331HQJ8 04/28/23 05/31/24 100.000 0.000 5.6400 38.37 0.161892 24.12 CITIGROUP GLOBAL MKTS HL 17331HQN9 05/03/23 05/01/26 100.000 0.000 4.7240 31.41 0.134287 0.137459 0.140706 0.144029 0.147431 49.30 51.66 CITIGROUP GLOBAL MKTS HL 17331HQU3 04/28/23 04/28/28 100.000 0.000 4.6560 31.62 0.132344 0.135425 0.138578 0.141804 0.145105 48.59 50.88 CITIGROUP GLOBAL MKTS HL 17331HMF0 04/28/23 01/29/26 100.000 0.000 4.8000 32.65 0.134951 0.138190 0.141506 0.144903 0.148380 50.16 52.60 CITIGROUP GLOBAL MKTS HL 17331HGS9 05/03/23 10/31/24 100.000 0.000 4.9100 32.66 0.139681 0.143111 42.38 CITIGROUP GLOBAL MKTS HL 17331HG91 04/28/23 10/30/25 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 0.146641 50.16 43.44 CITIGROUP GLOBAL MKTS HL 17331HGB6 04/28/23 04/30/30 100.000 0.000 4.1100 27.89 0.116539 0.118934 0.121378 0.123873 0.126418 42.68 44.45 CITIGROUP GLOBAL MKTS HL 17331HFH4 04/28/23 04/28/28 100.000 0.000 4.6560 31.62 0.132344 0.135425 0.138578 0.141804 0.145105 48.59 50.88 CITIGROUP GLOBAL MKTS HL 17331HW69 04/28/23 10/30/25 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 0.146641 50.16 43.44 CITIGROUP GLOBAL MKTS HL 17331HW85 05/03/23 10/31/25 100.000 0.000 4.7730 31.74 0.135695 0.138933 0.142249 0.145643 49.83 43.14 CITIGROUP GLOBAL MKTS HL 17331HEY8 05/01/23 04/28/25 100.000 0.000 4.8900 32.81 0.139099 0.142500 0.145984 51.12 17.08 CITIGROUP GLOBAL MKTS HL 17331CY43 03/31/23 07/03/24 100.000 0.000 5.2510 39.88 0.147840 0.151721 27.61 CITIGROUP GLOBAL MKTS HL 17331HHQ2 05/03/23 05/03/28 100.000 0.000 4.7140 31.34 0.134031 0.137190 0.140423 0.143733 0.147121 49.19 51.54 CITIGROUP GLOBAL MKTS HL 17331HHR0 05/02/23 10/31/24 100.000 0.000 4.8020 32.07 0.136556 0.139835 41.42 CITIGROUP GLOBAL MKTS HL 17331HHU3 05/03/23 05/01/26 100.000 0.000 4.7240 31.41 0.134287 0.137459 0.140706 0.144029 0.147431 49.30 51.66 CITIGROUP GLOBAL MKTS HL 17331H6W1 03/27/23 09/25/25 100.000 0.000 5.0370 38.67 0.143401 0.147013 0.150715 0.154511 52.98 40.47 CITIGROUP GLOBAL MKTS HL 17331CUQ8 04/05/23 04/06/26 100.000 0.000 4.8900 36.42 0.139173 0.142576 0.146062 0.149633 0.153291 51.30 53.84 CITIGROUP GLOBAL MKTS HL 17331CUU9 03/31/23 10/02/25 100.000 0.000 4.9780 37.79 0.141759 0.145287 0.148903 0.152609 52.30 41.02 CITIGROUP GLOBAL MKTS HL 17331CV95 03/31/23 10/03/24 100.000 0.000 5.0950 38.69 0.145195 0.148894 40.16 CITIGROUP GLOBAL MKTS HL 17331CUA3 03/31/23 01/02/26 100.000 0.000 4.9980 37.94 0.140607 0.144120 0.147722 0.151414 0.155197 52.52 55.18 CITIGROUP GLOBAL MKTS HL 17331CUE5 03/31/23 04/02/26 100.000 0.000 4.9390 37.49 0.140621 0.144094 0.147652 0.151298 0.155035 51.87 54.47 CITIGROUP GLOBAL MKTS HL 17331CUG0 04/05/23 10/03/25 100.000 0.000 4.9780 37.08 0.141681 0.145208 0.148822 0.152526 52.27 41.15 CITIGROUP GLOBAL MKTS HL 17331CUH8 03/31/23 10/02/25 100.000 0.000 4.9780 37.79 0.141759 0.145287 0.148903 0.152609 52.30 41.02 CITIGROUP GLOBAL MKTS HL 17331CUJ4 03/31/23 05/02/24 100.000 0.000 5.8350 44.41 0.167677 20.29 CITIGROUP GLOBAL MKTS HL 17331CTR8 03/31/23 10/03/24 100.000 0.000 5.0950 38.69 0.145195 0.148894 40.16 CITIGROUP GLOBAL MKTS HL 17331CTY3 03/20/23 03/20/28 100.000 0.000 5.3290 41.99 0.151972 0.156021 0.160178 0.164446 0.168828 56.27 59.31 CITIGROUP GLOBAL MKTS HL 17331CWC7 04/05/23 04/06/26 100.000 0.000 4.8900 36.42 0.139173 0.142576 0.146062 0.149633 0.153291 51.30 53.84 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBAL MKTS HL 17331CVT1 03/31/23 03/31/28 100.000 0.000 4.8320 36.67 0.137465 0.140786 0.144188 0.147671 0.151239 50.70 53.18 CITIGROUP GLOBAL MKTS HL 17331CW52 04/05/23 10/03/25 100.000 0.000 4.9780 37.08 0.141681 0.145208 0.148822 0.152526 52.27 41.15 CITIGROUP GLOBAL MKTS HL 17331CVW4 03/31/23 04/01/27 100.000 0.000 4.8410 36.74 0.137745 0.141079 0.144494 0.147992 0.151574 50.80 53.28 CITIGROUP GLOBAL MKTS HL 17331CVA2 03/31/23 04/02/30 100.000 0.000 4.9780 37.79 0.141759 0.145287 0.148903 0.152609 0.156408 52.30 54.94 CITIGROUP GLOBAL MKTS HL 17331CVC8 03/31/23 04/02/25 100.000 0.000 5.0460 38.31 0.143743 0.147370 0.151088 53.05 13.75 CITIGROUP GLOBAL MKTS HL 17331CVG9 04/05/23 10/03/24 100.000 0.000 5.1630 38.47 0.147078 0.150875 40.69 CITIGROUP GLOBAL MKTS HL 17331CVM6 04/05/23 05/03/24 100.000 0.000 5.8540 43.71 0.168133 20.51 CITIGROUP GLOBAL MKTS HL 17331CZB6 04/05/23 05/03/24 100.000 0.000 5.8540 43.71 0.168133 20.51 CITIGROUP GLOBAL MKTS HL 17331CYF8 03/29/23 03/27/26 100.000 0.000 4.7930 36.51 0.136294 0.139560 0.142905 0.146330 0.149836 50.28 52.71 CITIGROUP GLOBAL MKTS HL 17331CYS0 04/05/23 10/03/25 100.000 0.000 4.9780 37.08 0.141681 0.145208 0.148822 0.152526 52.27 41.15 CITIGROUP GLOBAL MKTS HL 17331CZX8 04/03/23 04/03/28 100.000 0.000 4.8800 36.62 0.138863 0.142251 0.145722 0.149278 0.152920 51.20 53.73 CITIGROUP GLOBAL MKTS HL 17331CZS9 03/15/23 03/15/28 100.000 0.000 5.3580 42.99 0.152821 0.156915 0.161118 0.165435 0.169867 56.63 59.71 CITIGROUP GLOBAL MKTS HL 17291R2F8 07/06/23 01/05/26 100.000 0.000 5.3870 26.19 0.149639 0.153647 0.157786 0.162035 0.166400 56.03 59.08 CITIGROUP GLOBAL MKTS HL 17291RTA0 06/30/23 05/03/27 100.000 0.000 5.2510 26.55 0.148478 0.152376 0.156377 0.160483 0.164696 54.61 57.52 CITIGROUP GLOBAL MKTS HL 17291R2Q4 07/06/23 01/03/25 100.000 0.000 5.7570 27.99 0.159917 0.164443 0.169177 60.03 0.34 CITIGROUP GLOBAL MKTS HL 17291RCN0 07/05/23 07/05/28 100.000 0.000 4.9880 24.39 0.138556 0.142011 0.145553 0.149183 0.152904 51.73 54.35 CITIGROUP GLOBAL MKTS HL 17291RBD3 06/29/23 07/01/26 100.000 0.000 5.1150 25.87 0.145759 0.145759 0.153309 0.153309 0.161251 53.14 55.90 CITIGROUP GLOBAL MKTS HL 17291RGP1 06/29/23 12/31/24 100.000 0.000 5.5530 28.08 0.158557 0.162959 57.71 CITIGROUP GLOBAL MKTS HL 17291R6B3 07/06/23 07/06/28 100.000 0.000 5.1340 24.96 0.142611 0.146272 0.150027 0.153878 0.157828 53.30 56.07 CITIGROUP GLOBAL MKTS HL 17291R5U2 07/06/23 07/03/25 100.000 0.000 5.5330 26.90 0.153694 0.157876 0.162243 0.166732 57.60 30.34 CITIGROUP GLOBAL MKTS HL 17291R6R8 07/06/23 07/06/28 100.000 0.000 5.1340 24.96 0.142611 0.146272 0.150027 0.153878 0.157828 53.30 56.07 CITIGROUP GLOBAL MKTS HL 17291RDQ2 06/26/23 06/27/24 100.000 0.000 5.6990 29.30 0.162842 28.66 CITIGROUP GLOBAL MKTS HL 17291RFM9 06/30/23 07/01/27 100.000 0.000 5.0370 25.32 0.143460 0.143460 0.150777 0.150777 0.158467 52.30 54.96 CITIGROUP GLOBAL MKTS HL 17291R4T6 07/06/23 07/03/25 100.000 0.000 5.5330 26.90 0.153694 0.157876 0.162243 0.166732 57.60 30.34 CITIGROUP GLOBAL MKTS HL 17291R4N9 07/06/23 07/06/26 100.000 0.000 5.2800 25.67 0.146667 0.150539 0.154513 0.158592 0.162779 54.87 57.81 CITIGROUP GLOBAL MKTS HL 17331HXQ4 07/06/23 10/03/24 100.000 0.000 5.8930 28.85 0.166026 0.170918 46.04 CITIGROUP GLOBAL MKTS HL 17331HWT9 06/30/23 07/03/30 100.000 0.000 5.0660 25.48 0.140782 0.144348 0.148004 0.151753 0.155597 52.61 55.31 CITIGROUP GLOBAL MKTS HL 17331HWE2 06/30/23 04/01/26 100.000 0.000 5.1930 26.28 0.146144 0.149938 0.153831 0.157826 0.161923 53.99 56.83 CITIGROUP GLOBAL MKTS HL 17331HWL6 06/30/23 10/02/24 100.000 0.000 5.7280 29.01 0.161440 0.166064 44.58 CITIGROUP GLOBAL MKTS HL 17331HZR0 06/30/23 01/02/25 100.000 0.000 5.5720 28.02 0.154826 0.159139 0.163573 58.08 0.16 CITIGROUP GLOBAL MKTS HL 17291RJR4 07/03/23 08/01/24 100.000 0.000 6.3880 31.72 0.178326 0.184022 38.47 CITIGROUP GLOBAL MKTS HL 17331HYU4 06/30/23 01/02/26 100.000 0.000 5.2020 26.16 0.144542 0.148301 0.152159 0.156116 0.160177 54.08 56.92 CITIGROUP GLOBAL MKTS HL 17331HYV2 06/30/23 06/30/28 100.000 0.000 5.0370 25.33 0.143440 0.147053 0.150757 0.154553 0.158446 52.30 54.96 CITIGROUP GLOBAL MKTS HL 17331HY75 06/30/23 07/02/25 100.000 0.000 5.3390 26.85 0.148350 0.152310 0.156376 0.160550 55.56 29.06 CITIGROUP GLOBAL MKTS HL 17331HYD2 06/30/23 01/02/26 100.000 0.000 5.2020 26.16 0.144542 0.148301 0.152159 0.156116 0.160177 54.08 56.92 CITIGROUP GLOBAL MKTS HL 17331HYF7 07/06/23 01/03/25 100.000 0.000 5.7470 27.94 0.159639 0.164150 0.168866 59.92 0.34 CITIGROUP GLOBALMARKETS 17330PPS2 06/22/22 06/22/27 100.000 0.000 5.0170 78.51 0.150114 0.153880 0.157740 0.161697 0.165753 54.79 57.57 CITIGROUP GLOBALMARKETS 17330PPY9 06/23/22 06/23/25 100.000 0.000 4.6850 73.05 0.139500 0.142768 0.146112 50.86 25.13 CITIGROUP GLOBALMARKETS 17330FSB8 06/30/22 07/02/25 100.000 0.000 4.5970 70.69 0.133666 0.136738 0.139881 0.143097 49.79 25.90 CITIGROUP GLOBALMARKETS 17330AXE7 05/04/22 05/04/27 100.000 0.000 4.3130 73.38 0.127725 0.130479 0.133293 0.136167 0.139104 46.79 48.83 CITIGROUP GLOBALMARKETS 17330FUP4 06/30/22 06/30/28 100.000 0.000 4.8410 74.53 0.144475 0.147972 0.151554 0.155222 0.158979 52.65 55.23 CITIGROUP GLOBALMARKETS 17330PKU2 06/29/22 06/29/27 100.000 0.000 4.7630 73.44 0.141985 0.145366 0.148828 0.152373 0.156001 51.74 54.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLOBALMARKETS 17330PKB4 06/30/22 06/30/27 100.000 0.000 4.7830 73.62 0.142623 0.146034 0.149526 0.153102 0.156764 51.97 54.48 CITIGROUP GLOBALMARKETS 17330P7J2 07/06/22 07/05/24 100.000 0.000 4.4310 67.31 0.128582 0.131431 24.17 CITIGROUP GLOBALMARKETS 17330P7E3 06/30/22 01/02/25 100.000 0.000 4.4800 68.85 0.130114 0.133029 0.136009 48.42 0.14 CITIGROUP GLOBALMARKETS 17330PK32 07/06/22 07/06/27 100.000 0.000 4.8320 73.54 0.140786 0.144188 0.147671 0.151239 0.154893 52.50 55.07 CITIGROUP GLOBALMARKETS 17330PJW0 07/15/22 01/16/25 100.000 0.000 4.4110 65.84 0.128007 0.130831 0.133716 47.53 2.01 CITIGROUP GLOBALMARKETS 17330FMN8 06/30/22 07/02/29 100.000 0.000 4.8900 75.31 0.142596 0.146082 0.149654 0.153313 0.157061 53.23 55.86 CITIGROUP GLOBALMARKETS 17330PJ42 06/29/22 06/29/27 100.000 0.000 4.7630 73.44 0.141985 0.145366 0.148828 0.152373 0.156001 51.74 54.23 CITIGROUP GLOBALMARKETS 17330PDG1 06/28/22 06/27/24 100.000 0.000 4.4210 68.19 0.131115 23.08 CITIGROUP GLOBALMARKETS 17330PU49 07/15/22 01/18/24 100.000 0.000 4.2160 62.88 0.122143 2.08 CITIGROUP GLOBALMARKETS 17330PD22 06/30/22 07/02/25 100.000 0.000 4.5970 70.69 0.133666 0.136738 0.139881 0.143097 49.79 25.90 CITIGROUP GLOBALMARKETS 17330AYK2 05/04/22 05/04/27 100.000 0.000 4.3130 73.38 0.127725 0.130479 0.133293 0.136167 0.139104 46.79 48.83 CITIGROUP GLOBALMARKETS 17330FWP2 06/30/22 07/01/27 100.000 0.000 4.7830 73.61 0.142642 0.142642 0.149546 0.149546 0.156784 51.96 54.48 CITIGROUP GLOBALMARKETS 17330PTQ2 06/23/22 06/23/26 100.000 0.000 4.7930 74.78 0.142942 0.146368 0.149875 0.153467 0.157145 52.13 54.66 CITIGROUP GLOBALMARKETS 17330FZS3 06/30/22 01/02/25 100.000 0.000 4.4800 68.85 0.130114 0.133029 0.136009 48.42 0.14 CITIGROUP GLOBALMARKETS 17330P5M7 06/30/22 06/30/25 100.000 0.000 4.5970 70.69 0.136704 0.139846 0.143060 49.79 25.61 CITIGROUP GLOBALMARKETS 17330FZ61 06/30/22 07/02/29 100.000 0.000 4.8900 75.31 0.142596 0.146082 0.149654 0.153313 0.157061 53.23 55.86 CITIGROUP GLOBALMARKETS 17330P4N6 06/30/22 07/02/26 100.000 0.000 4.6750 71.92 0.136038 0.139218 0.142473 0.145803 0.149211 50.70 53.10 CITIGROUP GLOBALMARKETS 17330FHR5 05/03/22 11/03/28 100.000 0.000 4.4800 76.43 0.132996 0.135975 0.139021 0.142135 0.145319 48.76 50.97 CITIGROUP GLOBALMARKETS 17330PVP1 07/08/22 01/10/24 100.000 0.000 4.1180 62.22 0.119175 1.07 CITIGROUP GLOBALMARKETS 17330PF46 06/23/22 06/21/24 100.000 0.000 4.4500 69.31 0.132015 22.44 CITIGROUP GLOBALMARKETS 17330PV89 07/12/22 07/10/25 100.000 0.000 4.3820 65.78 0.127084 0.129869 0.132714 0.135622 47.21 25.61 CITIGROUP GLOBALMARKETS 17330PVC0 06/29/22 06/27/25 100.000 0.000 4.5780 70.53 0.136067 0.139181 0.142367 49.57 25.06 CITIGROUP GLOBALMARKETS 17330AZX3 05/04/22 05/04/27 100.000 0.000 4.3130 73.38 0.127725 0.130479 0.133293 0.136167 0.139104 46.79 48.83 CITIGROUP INC 17290AFJ4 09/22/22 09/22/37 42.925 0.000 5.7120 32.00 0.072054 0.074112 0.076229 0.078406 0.080645 26.72 28.27 CLEVELAND-CLIFFS INC 185899AE1 03/16/20 03/15/27 81.330 7.000 10.8801 84.09 0.074388 0.078435 0.082702 0.087201 0.091945 28.39 31.56 CLEVELAND-CLIFFS INC U1852LAD9 03/16/20 03/15/27 81.330 7.000 10.8801 84.09 0.074388 0.078435 0.082702 0.087201 0.091945 28.39 31.56 CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24 97.067 0.000 0.8832 28.26 0.024426 1.07 CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27 91.776 0.000 1.3501 41.10 0.035777 0.036018 0.036261 0.036506 0.036753 12.99 13.16 CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28 88.641 0.000 1.6409 48.45 0.042349 0.042697 0.043047 0.043400 0.043756 15.40 15.66 CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25 95.506 0.000 1.0530 33.23 0.028794 0.028945 0.029098 10.43 1.28 CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26 93.518 0.000 1.2500 38.73 0.033657 0.033867 0.034079 0.034292 0.034506 12.21 12.36 CLINT TEX INDPT SCH DIST 187270G80 09/29/20 02/15/29 86.482 0.000 1.7410 50.22 0.043964 0.044346 0.044732 0.045122 0.045515 16.00 16.28 CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30 84.210 0.000 1.8409 51.78 0.045395 0.045813 0.046234 0.046660 0.047089 16.53 16.84 CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33 76.828 0.000 2.1408 55.17 0.048576 0.049096 0.049621 0.050152 0.050689 17.72 18.10 CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34 74.122 0.000 2.2509 56.05 0.049428 0.049984 0.050547 0.051116 0.051691 18.05 18.46 CLINT TEX INDPT SCH 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for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ COLUMBUS-FRANKLIN CNTY 19909PAG1 03/11/21 06/15/27 93.000 8.750 10.2938 26.06 0.030179 0.031732 0.033365 0.035083 0.036888 11.19 12.38 COOK CNTY ILL SCH DIST 214183KP9 06/15/10 06/01/30 25.818 0.000 6.8998 388.96 0.123323 0.127578 0.131979 0.136532 0.141242 45.42 48.61 COOK CNTY ILL SCH DIST 214183KR5 06/15/10 12/01/26 33.796 0.000 6.6998 487.24 0.152721 0.157837 0.163124 0.168589 0.174236 56.21 60.04 COOK CNTY ILL SCH DIST 214183KS3 06/15/10 12/01/27 31.375 0.000 6.7498 457.37 0.143771 0.148623 0.153639 0.158824 0.164185 52.93 56.56 COOK CNTY ILL SCH DIST 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21979LAA4 05/12/21 05/15/26 98.122 10.750 11.2507 8.61 0.010579 0.011174 0.011802 0.012466 0.013167 3.97 4.43 CORSICANA TEX INDPT SCH 220435SA0 07/21/20 02/15/25 93.644 0.000 1.4431 47.56 0.039232 0.039515 0.039800 14.25 1.75 CORSICANA TEX INDPT SCH 220435SB8 07/21/20 02/15/26 91.047 0.000 1.6920 54.41 0.045061 0.045442 0.045826 0.046214 0.046605 16.39 16.67 CORSICANA TEX INDPT SCH 220435RZ6 07/21/20 02/15/24 95.338 0.000 1.3430 44.99 0.037056 1.63 CREDIT AGRICOLE 22533AN60 03/06/24 03/05/26 100.000 0.000 5.1049 0.141803 0.145402 0.149113 0.152919 42.25 53.88 CREDIT AGRICOLE 22533AND5 03/13/24 03/12/26 100.000 0.000 5.1049 0.141803 0.145402 0.149113 0.152919 41.23 53.83 CREDIT AGRICOLE CORP 22533AK63 06/21/23 06/20/28 100.000 0.000 4.1100 21.72 0.116500 0.118894 0.121337 0.123831 0.126375 42.42 44.19 CREDIT AGRICOLE CORPORAT 22533AES2 10/20/21 10/20/31 100.000 VARIES 1.8471 40.03 0.050313 0.050371 0.050430 0.050489 0.050549 18.13 18.17 CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36 100.000 VARIES 2.1485 55.80 0.059679 0.059679 0.059679 0.059679 0.059679 21.48 21.48 CREDIT AGRICOLE CORPORAT 22533AE29 06/11/21 06/11/36 100.000 VARIES 2.0640 52.75 0.057332 0.057332 0.057332 0.057332 0.057332 20.64 20.64 CREDIT SUISSE AG LONDON 22551N4R4 11/07/19 11/07/29 100.000 0.000 2.4600 106.81 0.075354 0.076280 0.077219 0.078168 0.079130 27.39 28.07 CREDIT SUISSE AG LONDON 22553PPZ6 03/30/22 03/30/26 100.000 0.000 3.4399 61.64 0.100568 0.102298 0.104058 0.105847 0.107668 36.83 38.11 CREDIT SUISSE AG LONDON 22551NWN2 04/07/20 04/07/25 100.000 0.000 2.4500 95.19 0.074111 0.075019 0.075938 27.00 7.29 CREDIT SUISSE AG LONDON 22553PR43 04/07/22 04/09/25 100.000 0.000 3.4699 61.48 0.101508 0.103270 0.105061 37.15 10.30 CREDIT SUISSE AG LONDON 22553PR76 04/07/22 04/09/25 100.000 0.000 3.4699 61.48 0.101508 0.103270 0.105061 37.15 10.30 CREDIT SUISSE AG LONDON 22552XNX7 07/01/21 07/03/28 100.000 0.000 1.8775 47.83 0.054144 0.054652 0.055165 0.055683 0.056206 19.77 20.14 CREDIT SUISSE AG LONDON 22551NY67 04/21/20 04/21/25 100.000 0.000 2.6886 103.72 0.082001 0.083103 0.084220 29.87 9.26 CREDIT SUISSE AG LONDON 22551NH58 01/31/20 05/02/24 100.000 0.000 1.8197 73.60 0.054107 6.55 CREDIT SUISSE AG LONDON 22551NXV3 04/24/20 10/22/25 100.000 0.000 1.8700 71.03 0.055435 0.055953 0.056476 0.057004 20.12 16.53 CREDIT SUISSE AG LONDON 22553PRR2 05/04/22 05/02/25 100.000 0.000 4.0400 68.63 0.119135 0.121542 0.123997 43.61 15.00 CREDIT SUISSE AG LONDON 22553PRP6 04/28/22 04/29/27 100.000 0.000 3.9900 68.46 0.117612 0.119958 0.122351 0.124792 0.127282 43.06 44.79 CREDIT SUISSE AG LONDON 22551NHA7 01/31/20 07/31/25 100.000 0.000 2.0500 83.23 0.061158 0.061785 0.062418 0.063058 22.32 13.16 CREDIT SUISSE AG LONDON 22551NHB5 01/31/20 01/31/24 100.000 0.000 1.7401 70.27 0.051357 1.49 CREDIT SUISSE AG LONDON 22552WLX1 09/24/20 09/24/27 100.000 0.000 1.2420 41.32 0.035806 0.036029 0.036252 0.036478 0.036704 12.97 13.14 CREDIT SUISSE AG LONDON 22550V521 03/31/20 03/31/25 100.000 0.000 3.1499 124.48 0.097612 0.099149 0.100711 35.70 8.96 CREDIT SUISSE AG LONDON 22551NAX4 12/02/19 12/01/26 100.000 0.000 2.2800 96.93 0.069341 0.070131 0.070931 0.071740 0.072557 25.15 25.73 CREDIT SUISSE AG LONDON 22551NCE4 12/30/19 06/27/25 100.000 0.000 2.3800 99.34 0.072659 0.073524 0.074399 26.32 13.09 CREDIT SUISSE AG LONDON 22552FY97 10/25/19 04/28/25 100.000 0.000 2.1699 94.50 0.065723 0.066436 0.067157 23.88 7.86 CREDIT SUISSE AG LONDON 22551N4H6 11/29/19 05/29/25 100.000 0.000 2.2500 95.81 0.068351 0.069120 0.069897 24.79 10.34 CREDIT SUISSE AG LONDON 22552J336 03/21/22 04/04/29 100.000 0.000 3.5998 65.54 0.105630 0.107531 0.109467 0.111437 0.113443 38.70 40.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CREDIT SUISSE AG LONDON 22551NNC6 02/28/20 08/29/24 100.000 0.000 1.7501 69.24 0.051673 0.052125 12.38 CREDIT SUISSE AG LONDON 22549JY95 08/14/19 03/25/24 100.000 0.125 2.2368 102.13 0.067754 5.69 CREDIT SUISSE AG LONDON 22552W3S2 05/27/20 11/26/25 100.000 0.000 1.5600 57.45 0.045754 0.046111 0.046471 0.046833 16.56 15.17 CREDIT SUISSE AG LONDON 22552XDE0 03/02/21 03/02/28 100.000 0.000 1.6030 46.24 0.046342 0.046713 0.047088 0.047465 0.047846 16.84 17.11 CREDIT SUISSE AG LONDON 22551NMV5 02/28/20 03/02/26 100.000 0.000 1.7500 69.24 0.051678 0.052130 0.052587 0.053047 0.053511 18.79 19.12 CREDIT SUISSE AG LONDON 22551NMX1 02/28/20 02/28/24 100.000 0.000 1.5699 61.92 0.046063 2.63 CREDIT SUISSE AG LONDON 22553PYE3 05/26/22 05/27/25 100.000 0.000 4.0300 65.83 0.118862 0.121257 0.123700 43.39 18.06 CREDIT SUISSE AG LONDON 22553QNV5 12/05/22 06/04/24 100.000 0.000 8.2700 90.90 0.249058 38.11 CREDIT SUISSE AG LONDON 22553PV89 05/18/22 05/18/27 100.000 0.000 4.3100 71.54 0.127630 0.130381 0.133190 0.136061 0.138993 46.68 48.71 CREDIT SUISSE AG LONDON 22553PXR5 05/18/22 05/17/29 100.000 0.000 4.4700 74.27 0.132663 0.135628 0.138660 0.141759 0.144927 48.56 50.75 CREDIT SUISSE AG NASSAU 22549K2A4 06/23/17 06/24/24 100.000 0.500 1.9627 133.87 0.060028 10.38 CREDIT SUISSE AG, LON BR 22553Q2R7 06/03/22 06/03/26 100.000 0.000 4.1000 66.16 0.121038 0.123519 0.126051 0.128635 0.131272 44.16 45.99 CREDIT SUISSE AG, LON BR 22553Q3X3 06/30/22 07/01/27 100.000 0.000 4.9800 76.72 0.148946 0.148946 0.156456 0.156456 0.164345 54.29 57.03 CREDIT SUISSE AG, LON BR 22553Q5J2 06/15/22 06/13/25 100.000 0.000 4.4100 69.72 0.130752 0.133635 0.136582 47.69 22.13 CREDIT SUISSE AG, LON BR 22553PZM4 06/13/22 06/13/24 100.000 0.000 3.8900 61.55 0.114484 18.55 CREDIT SUISSE AG, LON BR 22552J856 06/29/22 06/29/27 100.000 0.000 4.7600 73.40 0.141889 0.145266 0.148724 0.152263 0.155887 51.70 54.19 CREDIT SUISSE AG, LON BR 22553PVE6 05/31/22 05/28/27 100.000 0.000 4.2800 69.52 0.126657 0.129367 0.132135 0.134963 0.137851 46.27 48.27 CREDIT SUISSE AG, LON BR 22553PVF3 06/03/22 06/04/25 100.000 0.000 3.7100 59.74 0.108909 0.110929 0.112987 39.68 17.29 CREDIT SUISSE AG, LONDON 22553QBX4 08/03/22 08/01/25 100.000 0.000 4.1800 60.15 0.120988 0.123516 0.126098 0.128733 44.78 26.95 CREDIT SUISSE AG, LONDON 22553QCG0 08/04/22 08/05/27 100.000 0.000 4.9500 71.34 0.144410 0.147984 0.151647 0.155400 0.159246 53.69 56.38 CREDIT SUISSE AG, LONDON 22553QDE4 08/03/22 08/01/25 100.000 0.000 4.6000 66.32 0.133690 0.136765 0.139910 0.143128 49.61 29.96 CREDIT SUISSE AG, LONDON 22553QDQ7 08/04/22 02/04/26 100.000 0.000 4.3500 62.52 0.126147 0.128890 0.131694 0.134558 0.137485 46.72 48.78 CREDIT SUISSE AG, LONDON 22553QEE3 08/03/22 08/01/25 100.000 0.000 4.6000 66.32 0.133690 0.136765 0.139910 0.143128 49.61 29.96 CREDIT SUISSE AG, LONDON 22553QEQ6 08/03/22 08/03/27 100.000 0.000 4.7200 68.09 0.137373 0.140615 0.143933 0.147330 0.150807 51.01 53.44 CREDIT SUISSE AG, LONDON 22553QAL1 08/02/22 08/02/27 100.000 0.000 4.4300 63.95 0.128567 0.131415 0.134326 0.137301 0.140342 47.65 49.79 CREDIT SUISSE AG, LONDON 22553QAW7 07/06/22 07/06/26 100.000 0.000 4.4800 68.07 0.130082 0.132996 0.135975 0.139021 0.142135 48.39 50.58 CREDIT SUISSE AG, LONDON 22553QFL6 08/17/22 02/18/25 100.000 0.000 4.3800 61.30 0.127069 0.129852 0.132696 46.99 6.24 CREDIT SUISSE AG, LONDON 22553QGH4 08/18/22 08/20/26 100.000 0.000 4.3700 61.04 0.126782 0.129553 0.132383 0.135276 0.138232 46.87 48.94 CREDIT SUISSE AG, LONDON 22553QGG6 08/18/22 08/20/25 100.000 0.000 4.3800 61.18 0.127085 0.129868 0.132712 0.135619 46.99 30.91 CREDIT SUISSE AG, LONDON 22553QGJ0 08/18/22 08/19/27 100.000 0.000 4.3800 61.18 0.127069 0.129852 0.132696 0.135602 0.138571 46.99 49.07 CREDIT 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4.9800 67.76 0.147117 0.150780 0.154535 0.158383 0.162326 53.84 56.55 CREDIT SUISSE AG,LONDON 22553QFJ1 08/31/22 08/29/25 100.000 0.000 5.1800 70.80 0.151418 0.155339 0.159363 0.163467 56.19 38.67 CREDIT SUISSE AG,LONDON 22553QPB7 01/05/23 10/03/25 100.000 0.000 7.8500 79.52 0.230963 0.240028 0.249449 0.259240 86.41 69.61 CREDIT SUISSE AG,LONDON 22553QPD3 01/05/23 07/03/24 100.000 0.000 7.9600 80.26 0.229814 0.238960 43.47 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CREDIT SUISSE AG,LONDON 22553QPC5 01/05/23 01/05/26 100.000 0.000 7.3900 74.41 0.212863 0.220728 0.228884 0.237341 0.246111 80.87 86.95 CREDIT SUISSE AG,LONDON 22553QG84 09/07/22 10/06/27 100.000 0.000 5.2700 71.03 0.154860 0.158940 0.163129 0.167427 0.171839 57.19 60.24 CREDIT SUISSE AG,LONDON 22553QFU6 08/31/22 08/31/27 100.000 0.000 5.3000 72.47 0.155128 0.159216 0.163459 0.167743 0.172237 57.59 60.69 CREDIT SUISSE AG,LONDON 22553QGCS 08/12/22 08/14/24 100.000 0.000 4.5500 64.40 0.132238 0.135247 30.03 CREDIT SUISSE AG,LONDON 22553QGM3 08/19/22 08/20/26 100.000 0.000 4.6300 64.61 0.134652 0.137769 0.140958 0.144221 0.147560 49.86 52.20 CREDIT SUISSE AG,LONDON 22553QGL5 08/19/22 08/21/25 100.000 0.000 4.6000 64.18 0.133757 0.136834 0.139981 0.143200 49.52 32.78 CREDIT SUISSE AG,LONDON 22553QH26 08/19/22 08/17/27 100.000 0.000 4.5200 63.04 0.131263 0.134229 0.137263 0.140365 0.143537 48.59 50.81 CREDIT SUISSE AG,LONDON 22553QHK6 09/06/22 09/05/24 100.000 0.000 4.9600 66.86 0.144677 0.148265 35.95 CREDIT SUISSE AG,LONDON 22553QHJ9 08/23/22 08/23/27 100.000 0.000 4.7700 66.05 0.138896 0.142208 0.145600 0.149073 0.152628 51.46 53.94 CREDIT SUSSE AG LONDON 22553QKQ9 10/06/22 10/08/26 100.000 0.000 6.7400 85.55 0.200129 0.206873 0.213844 0.221051 0.228500 74.40 79.50 CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29 85.602 0.000 1.9139 51.03 0.047876 0.048334 0.048796 0.049263 0.049735 17.44 17.78 CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30 83.152 0.000 2.0240 52.49 0.049324 0.049823 0.050327 0.050837 0.051351 17.98 18.35 CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24 96.792 0.000 1.0340 30.82 0.028576 1.26 CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25 95.206 0.000 1.1840 34.78 0.032312 0.032504 0.032696 11.72 1.44 CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26 92.947 0.000 1.4221 40.91 0.038127 0.038398 0.038671 0.038946 0.039223 13.85 14.05 CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27 90.747 0.000 1.5820 44.53 0.041588 0.041916 0.042248 0.042582 0.042919 15.12 15.36 CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28 87.931 0.000 1.8040 49.34 0.046221 0.046638 0.047059 0.047483 0.047912 16.83 17.13 CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24 97.246 0.000 0.7411 23.24 0.020434 0.020510 4.30 CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26 93.899 0.000 1.0930 33.25 0.029383 0.029544 0.029705 0.029868 0.030031 10.66 10.77 CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25 95.934 0.000 0.8712 26.99 0.023782 0.023885 0.023989 0.024094 8.61 5.06 Canadian Imperial Bank 13607Y238 10/27/23 10/30/26 100.000 0.000 6.0679 10.79 0.168638 0.173754 0.179026 0.184458 0.190054 62.26 66.10 Canadian Imperial Bank 13607Y295 09/29/23 09/25/26 100.000 0.000 5.6307 14.39 0.156408 0.160714 0.165239 0.169891 0.174674 57.93 61.23 Canadian Imperial Bank 13607Y261 09/29/23 09/25/26 100.000 0.000 5.6307 14.39 0.156408 0.160714 0.165239 0.169891 0.174674 57.93 61.23 Canadian Imperial Bank 13607Y352 08/24/23 08/28/26 100.000 0.000 5.5140 19.46 0.153261 0.157486 0.161828 0.166289 0.170874 56.99 60.17 Canadian Imperial Bank 13607Y469 07/20/23 08/31/26 100.000 0.000 5.3500 24.03 0.149495 0.153471 0.157599 0.161768 0.166144 55.52 58.53 Canadian Imperial Bank 13607Y493 06/30/23 06/26/26 100.000 0.000 5.2700 26.52 0.150161 0.154117 0.158178 0.162346 0.166624 54.81 57.74 Canadian Imperial Bank 13607Y592 05/18/23 05/29/26 100.000 0.000 4.6265 28.79 0.131673 0.134719 0.137835 0.141023 0.144286 48.15 50.40 Canadian Imperial Bank 13607XLK1 08/06/23 09/05/29 100.000 0.000 5.4848 22.17 0.153029 0.157225 0.161537 0.165967 0.170519 56.83 59.99 Canadian Imperial Bank 13607XM87 08/16/23 08/16/28 100.000 VARIES 6.4714 2.19 0.016226 0.016752 0.016701 0.016647 0.016593 6.00 5.99 Canadian Imperial Bank 13607XLX3 08/02/23 08/02/27 100.000 0.000 5.3193 22.02 0.147758 0.151688 0.155723 0.159864 0.164116 55.09 58.06 Canadian Imperial Bank 13607XMK0 08/31/23 09/02/25 100.000 VARIES 6.2586 1.00 0.008211 0.008468 0.008386 0.008301 0.008200 3.02 2.00 Canadian Imperial Bank 13607XN60 09/15/23 09/15/28 100.000 VARIES 6.4657 1.07 0.010076 0.010046 0.010013 0.009973 0.009938 3.62 3.59 Canadian Imperial Bank 13607XN78 09/18/23 09/18/26 100.000 VARIES 6.5807 1.14 0.011048 0.010388 0.009707 0.010026 0.010356 3.72 3.62 Canadian Imperial Bank 13607Y105 02/02/23 01/26/29 100.000 0.000 4.5776 42.27 0.129969 0.132944 0.135986 0.139099 0.142283 48.26 50.49 Canadian Imperial Bank 13607W513 08/04/22 07/28/28 100.000 0.000 4.0510 58.14 0.117055 0.119426 0.121845 0.124313 0.126831 43.30 45.07 Canadian Imperial Bank 13608M324 09/19/23 09/19/28 100.000 0.000 5.6016 15.87 0.155600 0.159958 0.164438 0.169044 0.173778 57.70 60.98 Canadian Imperial Bank 13607XK22 06/27/23 06/27/26 100.000 VARIES 6.2300 1.63 0.007414 0.005397 0.005564 0.005771 0.005953 2.30 2.05 Canadian Imperial Bank 13607XKF3 08/02/23 05/04/26 100.000 0.000 5.3193 22.13 0.149767 0.153750 0.157839 0.162037 0.166347 55.09 58.06 Canadian Imperial Bank 13607XKG1 08/02/23 08/02/29 100.000 0.000 5.3059 21.96 0.147386 0.151296 0.155310 0.159430 0.163660 54.94 57.90 Canadian Imperial Bank 13608J537 10/27/23 10/27/28 100.000 0.000 6.2717 11.15 0.174214 0.179677 0.185311 0.191122 0.197116 64.41 68.51 Canadian Imperial Bank 13607Y774 03/23/23 03/27/26 100.000 0.000 5.0268 39.17 0.143223 0.146823 0.150513 0.154296 0.158174 52.89 55.59 Canadian Imperial Bank 13607Y873 03/09/23 02/23/29 100.000 0.000 5.1633 42.31 0.146799 0.150588 0.154476 0.158464 0.162555 54.51 57.36 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Canadian Imperial Bank 13607Y808 02/16/23 02/27/26 100.000 0.000 4.7340 41.87 0.134807 0.137998 0.141265 0.144608 0.148031 49.91 52.30 Canadian Imperial Bank 13607XF85 02/01/23 08/06/24 100.000 0.000 4.8707 45.16 0.138686 0.142063 30.43 Canadian Imperial Bank 13607XFC6 03/02/23 03/02/27 100.000 0.000 5.1926 43.57 0.147984 0.151826 0.155768 0.159812 0.163961 54.89 57.78 Canadian Imperial Bank 13607W349 11/03/22 10/27/28 100.000 0.000 5.6745 67.24 0.166543 0.171268 0.176128 0.181125 0.186264 61.42 64.95 Canadian Imperial Bank 13607XGX9 05/02/23 05/03/27 100.000 0.000 4.6265 30.89 0.131503 0.134545 0.137658 0.140842 0.144100 48.25 50.50 Canadian Pacific Railway 13648TAD9 04/19/23 05/15/43 86.549 4.300 5.4100 2.67 0.010833 0.011167 0.011444 0.011778 0.012111 3.99 4.21 Canadian Pacific Railway 13648TAC1 04/19/23 11/15/29 89.925 4.670 2.8750 9.34 0.037833 0.038722 0.039667 0.040556 0.041500 13.87 14.53 Canadian Pacific Railway 13648TAB3 04/19/23 06/01/26 95.979 4.520 3.1250 8.55 0.034722 0.035500 0.036333 0.037111 0.038000 12.69 13.27 Canadian Pacific Railway 13648TAH0 04/19/23 11/15/69 79.755 4.200 5.3900 0.70 0.002889 0.002944 0.003000 0.003167 0.003278 1.05 1.11 Canadian Pacific Railway 13648TAG2 04/19/23 05/01/50 74.921 3.500 5.2500 3.03 0.012278 0.012611 0.012944 0.013278 0.013667 4.52 4.77 Canadian Pacific Railway 13648TAF4 04/19/23 05/01/48 90.782 4.700 5.3700 1.26 0.005111 0.005222 0.005389 0.005556 0.005667 1.88 1.98 Canadian Pacific Railway 13648TAE7 04/19/23 08/15/45 93.689 4.950 5.4400 1.04 0.004167 0.004333 0.004444 0.004556 0.004667 1.56 1.65 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1994 464.57 0.152411 0.157135 0.162006 0.167028 56.29 49.51 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 486.34 0.158313 0.163101 48.36 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 395.61 0.132499 0.136871 0.141388 0.146053 0.150872 49.02 52.31 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 418.18 0.138978 0.143459 0.148085 0.152860 0.157790 51.39 54.75 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3493 442.23 0.146213 0.150854 0.155644 0.160585 0.165683 54.04 57.52 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 327.24 0.111011 0.114813 0.118745 0.122812 0.127018 41.11 43.98 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7995 349.55 0.118277 0.122298 0.126456 0.130755 0.135201 43.79 46.82 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6994 372.27 0.125320 0.129518 0.133857 0.138340 0.142974 46.38 49.54 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 7885.48 2.234945 2.342829 2.456074 2.574948 2.699729 847.44 931.41 Champaign County, IL 158199BB4 11/04/15 12/01/26 98.267 VARIES 4.1631 331.52 0.111436 0.111269 0.111099 0.111768 0.112450 40.08 40.16 CitiGroup Global Markets 17291QJS4 09/13/23 03/13/25 100.000 0.000 5.6400 16.92 0.156667 0.161085 0.165627 58.16 11.93 CitiGroup Global Markets 17330PSN0 07/29/22 01/30/25 100.000 0.000 4.3620 63.32 0.126525 0.129284 0.132104 46.89 3.83 CitiGroup Global Markets 17291QJD7 08/30/23 09/03/24 100.000 0.000 5.6998 19.17 0.158403 0.162917 39.15 CitiGroup Global Markets 17330PAF6 07/05/22 01/02/26 100.000 0.000 4.7240 72.00 0.137441 0.140688 0.144011 0.147412 0.150894 51.24 53.69 CitiGroup Global Markets 17330PLN7 07/25/22 01/24/25 100.000 0.000 4.5580 66.76 0.132431 0.135450 0.138536 49.18 3.19 CitiGroup Global Markets 17291RUJ9 08/31/23 03/05/26 100.000 0.000 5.5330 18.61 0.153813 0.158068 0.162441 0.166935 0.171553 57.14 60.34 CitiGroup Global Markets 17330PL49 07/29/22 07/31/24 100.000 0.000 4.3130 62.60 0.125043 0.127740 26.62 CitiGroup Global Markets 17331AJC6 07/20/23 08/20/24 100.000 0.000 5.8504 26.27 0.163303 0.168080 38.26 CitiGroup Global Markets 17291QAD6 08/18/23 08/18/28 100.000 0.000 5.3780 19.87 0.149389 0.153406 0.157531 0.161767 0.166117 55.59 58.62 CitiGroup Global Markets 17330N542 07/29/22 07/31/24 100.000 0.000 4.3130 62.60 0.125043 0.127740 26.62 CitiGroup Global Markets 17330PKE8 07/29/22 07/31/25 100.000 0.000 4.4110 64.05 0.128008 0.130831 0.133716 0.136666 47.45 28.48 CitiGroup Global Markets 17330PKF5 07/27/22 07/25/25 100.000 0.000 4.4700 65.19 0.129747 0.132647 0.135612 0.138643 48.15 28.21 CitiGroup Global Markets 17330PKH1 07/29/22 07/31/28 100.000 0.000 4.5870 66.66 0.133345 0.136404 0.139532 0.142732 0.146006 49.49 51.79 CitiGroup Global Markets 17330PMR7 07/27/22 07/27/26 100.000 0.000 4.5090 65.77 0.130961 0.133914 0.136933 0.140020 0.143177 48.60 50.81 CitiGroup Global Markets 17291RRK0 07/31/23 10/31/24 100.000 0.000 5.6781 23.95 0.159964 0.164505 48.65 CitiGroup Global Markets 17291RXP2 08/31/23 08/31/28 100.000 0.000 5.4560 18.34 0.151556 0.155667 0.159937 0.164252 0.168782 56.32 59.43 CitiGroup Global Markets 17291Q3K8 08/23/23 11/21/24 100.000 0.000 5.7380 20.49 0.161625 0.166262 52.55 CitiGroup Global Markets 17291RGJ5 06/30/23 07/03/24 100.000 0.000 5.5648 27.99 0.154649 0.158952 28.92 CitiGroup Global Markets 17291RXH0 09/06/23 03/05/25 100.000 0.000 5.5920 17.86 0.155333 0.159652 0.164116 57.72 10.50 CitiGroup Global Markets 17291RX31 09/06/23 12/05/24 100.000 0.000 5.7380 18.39 0.161650 0.166288 54.83 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CitiGroup Global Markets 17291Q2L7 08/31/23 08/31/28 100.000 0.000 5.4560 18.34 0.151556 0.155667 0.159937 0.164252 0.168782 56.32 59.43 CitiGroup Global Markets 17291RWT5 08/31/23 09/03/25 100.000 0.000 5.6020 18.84 0.155684 0.160044 0.164527 0.169136 57.87 40.65 CitiGroup Global Markets 17291RYU0 09/01/23 09/03/26 100.000 0.000 5.4850 18.29 0.152408 0.156587 0.160882 0.165294 0.169827 56.62 59.77 CitiGroup Global Markets 17330PH77 07/29/22 07/29/27 100.000 0.000 4.5480 66.08 0.132144 0.135149 0.138223 0.141366 0.144580 49.04 51.29 CitiGroup Global Markets 17330P5U9 07/06/22 07/06/26 100.000 0.000 4.7140 71.70 0.137190 0.140423 0.143733 0.147121 0.150589 51.12 53.55 CitiGroup Global Markets 17330PJS9 07/29/22 07/31/25 100.000 0.000 4.4110 64.05 0.128008 0.130831 0.133716 0.136666 47.45 28.48 CitiGroup Global Markets 17330PK99 08/01/22 07/30/27 100.000 0.000 4.5090 65.24 0.130945 0.133897 0.136916 0.140003 0.143159 48.57 50.79 CitiGroup Global Markets 17291QB45 08/15/23 09/13/24 100.000 0.000 6.1360 23.27 0.171258 0.176512 44.10 CitiGroup Global Markets 17291RUX8 08/08/23 11/08/24 100.000 0.000 5.6310 22.48 0.158619 0.163085 49.50 CitiGroup Global Markets 17291RV33 09/06/23 03/05/26 100.000 0.000 5.3870 17.21 0.149639 0.153647 0.157786 0.162035 0.166400 55.54 58.57 CitiGroup Global Markets 17291RUR1 09/06/23 09/05/25 100.000 0.000 5.4560 17.43 0.151556 0.155667 0.159914 0.164276 56.27 39.80 CitiGroup Global Markets 17330PJH3 07/26/22 07/24/25 100.000 0.000 4.6560 68.09 0.135391 0.138543 0.141768 0.145068 50.31 29.37 CitiGroup Global Markets 17291RWK4 08/31/23 03/05/25 100.000 0.000 5.7380 19.30 0.159516 0.164092 0.168800 59.33 10.80 CitiGroup Global Markets 17291RVT6 08/31/23 09/03/30 100.000 0.000 5.4170 18.22 0.150540 0.154618 0.158805 0.163107 0.167524 55.90 58.97 CitiGroup Global Markets 17291QBL7 08/31/23 03/05/25 100.000 0.000 5.7380 19.30 0.159516 0.164092 0.168800 59.33 10.80 CitiGroup Global Markets 17291RW40 08/16/23 09/16/24 100.000 0.000 5.6597 21.30 0.157955 0.162425 41.08 CitiGroup Global Markets 17330P3K3 07/06/22 07/03/25 100.000 0.000 4.6360 70.49 0.134766 0.137890 0.141086 0.144357 50.20 26.27 CitiGroup Global Markets 17330PD55 07/29/22 01/30/25 100.000 0.000 4.3620 63.32 0.126525 0.129284 0.132104 46.89 3.83 CitiGroup Global Markets 17291Q7A6 08/23/23 02/21/25 100.000 0.000 5.6020 19.92 0.155611 0.159921 0.164401 57.94 8.22 CitiGroup Global Markets 17291Q6X7 08/23/23 08/23/28 100.000 0.000 5.5240 19.64 0.153444 0.157683 0.162038 0.166513 0.171112 57.10 60.30 CitiGroup Global Markets 17291Q6U3 08/22/23 08/20/26 100.000 0.000 5.4850 19.65 0.152361 0.156493 0.160785 0.165195 0.169725 56.70 59.85 CitiGroup Global Markets 17330PCA5 07/28/22 07/30/24 100.000 0.000 4.2350 61.57 0.122703 0.125301 26.11 CitiGroup Global Markets 17330PCM9 08/02/22 07/31/25 100.000 0.000 4.3040 62.09 0.124727 0.127412 0.130153 0.132954 46.20 27.71 CitiGroup Global Markets 17291RZL9 08/31/23 12/04/24 100.000 0.000 5.8640 19.78 0.165383 0.170232 55.95 CitiGroup Global Markets 17291QFA7 09/13/23 09/11/25 100.000 0.000 5.5040 16.51 0.152889 0.157050 0.161372 0.165813 56.72 41.14 CitiGroup Global Markets 17291RZG0 08/31/23 03/05/26 100.000 0.000 5.5330 18.61 0.153813 0.158068 0.162441 0.166935 0.171553 57.14 60.34 CitiGroup Global Markets 17291RYZ9 08/31/23 09/03/26 100.000 0.000 5.4950 18.48 0.152709 0.156904 0.161215 0.165645 0.170196 56.73 59.89 CitiGroup Global Markets 17291RYV8 08/31/23 06/02/26 100.000 0.000 5.5530 18.73 0.156439 0.160782 0.165247 0.169835 0.174550 57.36 60.58 CitiGroup Global Markets 17330PES4 07/29/22 01/30/25 100.000 0.000 4.3620 63.32 0.126525 0.129284 0.132104 46.89 3.83 CitiGroup Global Markets 17330PV63 07/29/22 01/30/25 100.000 0.000 4.3620 63.32 0.126525 0.129284 0.132104 46.89 3.83 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3200 295.23 0.082781 0.085810 0.088951 0.092207 0.095581 30.63 32.91 Citigroup Funding, Inc. 1730T0TK5 05/30/13 05/30/33 100.000 VARIES 4.1925 393.09 0.111412 0.113201 0.114567 0.115961 0.117384 40.53 41.58 Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8404 954.41 0.158037 0.158141 0.158249 0.158359 0.158473 56.94 57.02 Citigroup Funding, Inc. 1730T03J6 12/29/14 12/29/34 100.000 VARIES 4.3208 369.80 0.118117 0.118856 0.119612 0.120383 0.121172 42.66 43.20 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5699 627.59 0.139760 0.141056 0.142389 0.143477 0.144596 50.68 51.57 Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1246 623.28 0.135153 0.135587 0.136032 0.136488 0.136956 48.77 49.09 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9942 712.76 0.150892 0.152123 0.153391 0.154696 0.155837 54.70 55.61 Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1832 1110.02 0.225268 26.36 Citigroup Global Markets 17327TZ82 01/31/20 02/02/27 100.000 0.000 2.6047 106.77 0.079222 0.080254 0.081299 0.082358 0.083430 29.02 29.78 Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27 100.000 VARIES 2.7213 19.48 0.008422 0.008537 0.008653 0.008771 0.008890 3.07 3.15 Citigroup Global Markets 17330AE24 02/23/22 02/22/27 100.000 0.000 2.8508 53.95 0.082618 0.083796 0.084990 0.086202 0.087430 30.26 31.13 Citigroup Global Markets 17328VYS3 07/06/20 07/05/24 100.000 0.000 1.2060 42.81 0.034730 0.034940 6.43 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330AE57 02/28/22 02/26/27 100.000 0.000 2.8999 54.48 0.084094 0.085313 0.086550 0.087805 0.089079 30.80 31.70 Citigroup Global Markets 17329QCY4 08/04/21 08/03/28 100.000 0.000 1.8322 44.91 0.052782 0.053265 0.053753 0.054246 0.054743 19.23 19.59 Citigroup Global Markets 17328VYQ7 07/31/20 08/02/27 100.000 0.000 1.5241 53.29 0.044313 0.044651 0.044991 0.045334 0.045679 16.11 16.36 Citigroup Global Markets 17329QCW8 08/31/21 08/31/28 100.000 0.000 1.9013 45.21 0.054851 0.055369 0.055898 0.056424 0.056966 19.97 20.35 Citigroup Global Markets 17330L454 04/05/22 04/05/29 100.000 0.000 3.6383 64.75 0.106680 0.108621 0.110597 0.112609 0.114657 39.09 40.53 Citigroup Global Markets 17329FCW2 05/26/21 05/27/26 100.000 0.000 1.4552 38.38 0.041915 0.042220 0.042527 0.042836 0.043148 15.16 15.39 Citigroup Global Markets 17328YQV9 02/19/21 02/19/41 100.000 VARIES 2.8472 80.02 0.075965 0.075481 0.075059 0.074690 0.074373 27.14 26.86 Citigroup Global Markets 17330F2B6 04/11/22 08/09/24 100.000 0.000 3.6974 65.20 0.107830 0.109823 23.87 Citigroup Global Markets 17328VHM5 03/31/20 07/01/24 100.000 0.000 3.2340 127.98 0.101331 0.101331 18.24 Citigroup Global Markets 17329QD72 08/31/21 08/31/28 100.000 0.000 1.9013 45.21 0.054851 0.055369 0.055898 0.056424 0.056966 19.97 20.35 Citigroup Global Markets 17329FTY0 08/04/21 08/04/26 100.000 0.000 1.4752 36.03 0.042199 0.042510 0.042824 0.043140 0.043458 15.34 15.57 Citigroup Global Markets 17328YRG1 03/31/21 03/30/28 100.000 0.000 2.0694 58.32 0.060519 0.061145 0.061778 0.062417 0.063063 22.01 22.47 Citigroup Global Markets 17328YRC0 04/06/21 04/06/26 100.000 0.000 1.6533 46.09 0.047856 0.048252 0.048651 0.049053 0.049458 17.37 17.66 Citigroup Global Markets 17327THY5 11/01/19 11/01/24 100.000 0.000 2.5315 110.53 0.077763 0.078748 23.51 Citigroup Global Markets 17329FUE2 07/01/21 12/31/26 100.000 0.000 1.7520 44.57 0.050833 0.051279 0.051728 0.052181 0.052638 18.38 18.70 Citigroup Global Markets 17328VYX2 06/30/20 06/30/27 100.000 0.000 1.7917 64.47 0.052975 0.053450 0.053928 0.054412 0.054899 19.16 19.50 Citigroup Global Markets 17329B848 04/21/21 05/07/26 100.000 0.000 1.5037 41.20 0.043392 0.043718 0.044047 0.044378 0.044712 15.72 15.95 Citigroup Global Markets 17328YRL0 04/06/21 04/06/26 100.000 0.000 1.6533 46.09 0.047856 0.048252 0.048651 0.049053 0.049458 17.37 17.66 Citigroup Global Markets 17329UPX3 02/03/22 02/04/27 100.000 0.000 2.4354 47.36 0.070158 0.071012 0.071877 0.072752 0.073638 25.66 26.29 Citigroup Global Markets 17329F3J1 04/28/21 10/28/26 100.000 0.000 1.7233 46.98 0.049968 0.050399 0.050833 0.051271 0.051713 18.12 18.43 Citigroup Global Markets 17330FC25 04/22/22 04/23/26 100.000 2.600 4.0001 68.63 0.114983 0.114394 0.116681 0.116126 0.118449 41.40 42.03 Citigroup Global Markets 17330A3B6 03/02/22 03/02/29 100.000 0.000 3.0668 57.32 0.089167 0.090534 0.091922 0.093332 0.094763 32.67 33.68 Citigroup Global Markets 17330FSR3 05/11/22 05/11/27 100.000 0.000 4.4129 74.21 0.130876 0.133764 0.136715 0.139732 0.142815 47.93 50.07 Citigroup Global Markets 17330A3D2 02/25/22 02/25/27 100.000 0.000 2.8609 53.98 0.082928 0.084114 0.085317 0.086538 0.087775 30.37 31.24 Citigroup Global Markets 17328WLC0 09/30/20 09/30/27 100.000 0.000 1.5842 52.68 0.046139 0.046505 0.046873 0.047245 0.047619 16.74 17.01 Citigroup Global Markets 17329F3G7 05/05/21 05/05/26 100.000 0.000 1.5643 42.25 0.045178 0.045531 0.045887 0.046246 0.046608 16.37 16.62 Citigroup Global Markets 17324CJ64 04/28/17 04/28/27 100.000 VARIES 2.8252 31.91 0.013526 0.013717 0.013911 0.014108 0.014307 4.93 5.07 Citigroup Global Markets 17329QE89 09/02/21 03/04/27 100.000 0.000 1.6633 39.37 0.047763 0.048160 0.048561 0.048964 0.049372 17.36 17.65 Citigroup Global Markets 17328YAT1 01/12/21 01/10/25 100.000 0.000 0.8580 25.75 0.024349 0.024453 0.024558 8.82 0.22 Citigroup Global Markets 17328YB37 01/06/21 01/08/29 100.000 0.000 1.5840 48.24 0.045775 0.046138 0.046503 0.046871 0.047243 16.67 16.94 Citigroup Global Markets 17329FE42 06/30/21 06/29/28 100.000 0.000 1.9800 50.55 0.057774 0.058346 0.058923 0.059507 0.060096 20.90 21.32 Citigroup Global Markets 17329F3P7 04/30/21 05/02/28 100.000 0.000 2.0793 56.79 0.060832 0.061464 0.062103 0.062749 0.063401 22.09 22.55 Citigroup Global Markets 17329FE26 06/30/21 06/30/27 100.000 0.000 1.7920 45.66 0.052048 0.052514 0.052985 0.053460 0.053939 18.82 19.16 Citigroup Global Markets 17328WJT6 08/12/20 08/12/25 100.000 0.000 1.0971 37.75 0.031492 0.031665 0.031838 0.032013 11.42 7.07 Citigroup Global Markets 17330AU34 03/31/22 04/03/29 100.000 0.000 3.8243 68.70 0.112476 0.114627 0.116819 0.119052 0.121329 41.26 42.85 Citigroup Global Markets 17327TXT8 09/10/19 09/10/24 100.000 0.250 2.3208 104.05 0.070030 0.070762 17.57 Citigroup Global Markets 17330ACR1 02/25/22 02/25/32 100.000 VARIES 2.3569 43.00 0.064411 0.064795 0.064913 0.064867 0.064732 23.32 23.34 Citigroup Global Markets 17328VXW5 07/06/20 07/06/28 100.000 0.000 1.8910 67.82 0.055580 0.056106 0.056636 0.057172 0.057712 20.29 20.67 Citigroup Global Markets 17328VY79 08/05/20 08/05/25 100.000 0.000 1.2061 41.80 0.034734 0.034943 0.035154 0.035366 12.60 7.56 Citigroup Global Markets 17329Q2K5 07/20/21 07/19/29 100.000 0.000 2.0691 51.67 0.059888 0.060507 0.061133 0.061766 0.062405 21.87 22.33 Citigroup Global Markets 17328VYC8 06/30/20 06/30/27 100.000 0.000 1.7917 64.47 0.052975 0.053450 0.053928 0.054412 0.054899 19.16 19.50 Citigroup Global Markets 17330FAM3 04/29/22 04/29/37 100.000 VARIES 2.3669 37.74 0.059194 0.059401 0.059611 0.059824 0.060039 21.37 21.52 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WKC1 09/21/20 09/21/27 100.000 0.000 1.4782 49.47 0.042916 0.043233 0.043553 0.043875 0.044199 15.57 15.80 Citigroup Global Markets 17326YLW4 12/11/18 12/11/25 100.000 VARIES 3.4423 24.87 0.014097 0.014340 0.014587 0.014838 5.13 5.00 Citigroup Global Markets 17328YQH0 02/26/21 02/28/28 100.000 0.000 1.7232 50.08 0.049970 0.050401 0.050835 0.051273 0.051715 18.17 18.49 Citigroup Global Markets 17329FCF9 04/30/21 10/30/26 100.000 0.000 1.7623 47.96 0.051148 0.051599 0.052054 0.052513 0.052975 18.55 18.88 Citigroup Global Markets 17329FCV4 06/30/21 06/29/28 100.000 0.000 1.9800 50.55 0.057774 0.058346 0.058923 0.059507 0.060096 20.90 21.32 Citigroup Global Markets 17325E804 04/12/17 12/12/24 100.000 0.000 3.3138 247.18 0.114601 0.116500 39.42 Citigroup Global Markets 17329FTW4 08/04/21 08/04/26 100.000 0.000 1.4752 36.03 0.042199 0.042510 0.042824 0.043140 0.043458 15.34 15.57 Citigroup Global Markets 17329FD68 05/28/21 12/01/26 100.000 0.000 1.6332 43.06 0.047255 0.047640 0.048029 0.048422 0.048817 17.10 17.38 Citigroup Global Markets 17329QU65 10/05/21 10/05/26 100.000 0.000 1.6533 37.56 0.047464 0.047856 0.048252 0.048651 0.049053 17.23 17.51 Citigroup Global Markets 17329FD43 06/30/21 06/29/28 100.000 0.000 1.9800 50.55 0.057774 0.058346 0.058923 0.059507 0.060096 20.90 21.32 Citigroup Global Markets 17330ATK8 04/01/22 04/01/27 100.000 0.000 3.6877 66.08 0.108207 0.110203 0.112235 0.114304 0.116412 39.68 41.15 Citigroup Global Markets 17328YQP2 03/03/21 03/05/29 100.000 0.000 2.0693 59.96 0.060523 0.061149 0.061782 0.062421 0.063067 22.05 22.51 Citigroup Global Markets 17330FAW1 04/26/22 04/26/32 100.000 VARIES 2.6165 42.79 0.069286 0.069466 0.069648 0.069832 0.070019 25.00 25.13 Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27 100.000 VARIES 2.7384 25.81 0.011071 0.011223 0.011376 0.011532 0.011690 4.03 4.14 Citigroup Global Markets 17330ATL6 03/18/22 03/18/37 100.000 VARIES 4.0501 72.26 0.112316 0.112310 0.112306 0.112308 0.112317 40.43 40.43 Citigroup Global Markets 17328YQN7 01/29/21 01/31/28 100.000 0.000 1.4841 44.16 0.042779 0.043097 0.043417 0.043739 0.044063 15.55 15.79 Citigroup Global Markets 17330AFT4 02/15/22 02/15/37 100.000 VARIES 2.0896 38.39 0.056346 0.056821 0.057058 0.057135 0.057112 20.47 20.56 Citigroup Global Markets 17330AWT5 03/08/22 03/08/29 100.000 0.000 3.0178 55.86 0.087679 0.089002 0.090345 0.091708 0.093092 32.10 33.08 Citigroup Global Markets 17328VJW1 06/30/20 06/30/27 100.000 0.000 1.8120 65.22 0.053613 0.054099 0.054589 0.055084 0.055583 19.39 19.74 Citigroup Global Markets 17324CKB1 07/06/17 07/06/27 100.000 VARIES 2.8475 33.69 0.014499 0.014705 0.014915 0.015127 0.015342 5.33 5.48 Citigroup Global Markets 17330F4C2 04/21/22 04/22/27 100.000 0.000 4.0709 70.73 0.120142 0.122587 0.125082 0.127628 0.130226 44.03 45.84 Citigroup Global Markets 17329QWA4 10/04/21 04/03/25 100.000 0.000 1.2163 27.56 0.034614 0.034824 0.035036 12.54 3.22 Citigroup Global Markets 17328VK58 05/19/20 11/18/27 100.000 0.000 2.4153 90.73 0.072969 0.073851 0.074742 0.075645 0.076559 26.50 27.15 Citigroup Global Markets 17330AWY4 03/23/22 03/23/27 100.000 0.000 3.3824 61.28 0.098804 0.100475 0.102174 0.103902 0.105660 36.20 37.44 Citigroup Global Markets 17330F4G3 05/06/22 05/08/24 100.000 0.000 3.9750 67.26 0.117157 14.88 Citigroup Global Markets 17329F4Z4 04/28/21 10/28/26 100.000 0.000 1.7233 46.98 0.049968 0.050399 0.050833 0.051271 0.051713 18.12 18.43 Citigroup Global Markets 17329QFJ4 09/30/21 04/01/27 100.000 0.000 1.7523 40.10 0.050407 0.050849 0.051295 0.051744 0.052197 18.31 18.63 Citigroup Global Markets 17328WND6 11/04/20 11/04/25 100.000 0.000 1.2962 41.65 0.037428 0.037670 0.037915 0.038160 13.55 11.53 Citigroup Global Markets 17330F4L2 04/29/22 04/30/26 100.000 2.200 4.1669 70.84 0.120562 0.120527 0.123038 0.123055 0.125619 43.54 44.45 Citigroup Global Markets 17328Y2F0 12/28/20 12/26/25 100.000 0.000 1.1170 34.08 0.032080 0.032260 0.032440 0.032621 11.58 11.55 Citigroup Global Markets 17330FEL1 04/28/22 04/30/24 100.000 0.000 3.8571 66.13 0.113484 13.50 Citigroup Global Markets 17329FFH2 04/19/21 04/20/28 100.000 0.000 2.1036 58.14 0.061574 0.062222 0.062876 0.063538 0.064206 22.38 22.85 Citigroup Global Markets 17328Y2D5 11/24/20 11/24/27 100.000 0.000 1.5489 49.04 0.045065 0.045414 0.045765 0.046120 0.046477 16.31 16.57 Citigroup Global Markets 17328YTF1 03/01/21 02/27/26 100.000 0.000 1.1861 34.08 0.033933 0.034134 0.034336 0.034540 0.034745 12.30 12.45 Citigroup Global Markets 17330AGB2 03/01/22 08/27/27 100.000 0.000 3.0769 57.61 0.089445 0.090821 0.092219 0.093637 0.095078 32.79 33.81 Citigroup Global Markets 17328YCP7 01/29/21 01/30/31 100.000 0.000 2.0301 60.81 0.059317 0.059919 0.060527 0.061142 0.061762 21.65 22.09 Citigroup Global Markets 17328YTQ7 03/23/21 09/23/24 100.000 0.000 1.0472 29.38 0.029859 0.030015 7.85 Citigroup Global Markets 17328YCM4 01/29/21 01/30/31 100.000 0.000 2.0301 60.81 0.059317 0.059919 0.060527 0.061142 0.061762 21.65 22.09 Citigroup Global Markets 17329F5L4 04/30/21 04/30/27 100.000 0.000 1.8423 50.18 0.053576 0.054070 0.054568 0.055071 0.055578 19.44 19.80 Citigroup Global Markets 17328Y2W3 12/28/20 12/26/25 100.000 0.000 1.1170 34.08 0.032080 0.032260 0.032440 0.032621 11.58 11.55 Citigroup Global Markets 17329FFZ2 05/28/21 05/31/28 100.000 0.000 1.9802 52.40 0.057789 0.058361 0.058939 0.059523 0.060112 20.94 21.36 Citigroup Global Markets 17328WNR5 12/03/20 12/04/25 100.000 0.000 1.1771 36.78 0.033869 0.034069 0.034269 0.034471 12.24 11.45 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330F3Y5 04/22/22 04/22/37 100.000 VARIES 4.9654 80.70 0.128406 0.128714 0.128420 0.128119 0.127682 46.28 46.13 Citigroup Global Markets 17328Y2T0 12/24/20 12/27/27 100.000 0.000 1.4840 45.66 0.043098 0.043417 0.043739 0.044064 0.044391 15.58 15.81 Citigroup Global Markets 17328Y2S2 12/24/20 12/27/27 100.000 0.000 1.4840 45.66 0.043098 0.043417 0.043739 0.044064 0.044391 15.58 15.81 Citigroup Global Markets 17329F5V2 04/30/21 05/02/28 100.000 0.000 2.0793 56.79 0.060832 0.061464 0.062103 0.062749 0.063401 22.09 22.55 Citigroup Global Markets 17329QEA4 09/30/21 10/02/28 100.000 0.000 1.9703 45.17 0.056927 0.057488 0.058054 0.058626 0.059203 20.69 21.10 Citigroup Global Markets 17328VZX1 07/06/20 07/05/24 100.000 0.000 1.2060 42.81 0.034730 0.034940 6.43 Citigroup Global Markets 17330FDA6 04/13/22 04/11/25 100.000 0.000 3.7088 65.16 0.108837 0.110855 0.112911 39.87 11.29 Citigroup Global Markets 17330AF56 02/28/22 02/28/29 100.000 0.000 3.0477 57.31 0.088589 0.089938 0.091309 0.092700 0.094113 32.47 33.47 Citigroup Global Markets 17330AVU3 03/29/22 09/27/24 100.000 0.000 3.3938 60.90 0.099136 0.100818 26.67 Citigroup Global Markets 17328WLU0 10/05/20 10/03/25 100.000 0.000 1.2962 42.74 0.037426 0.037669 0.037913 0.038158 13.56 10.36 Citigroup Global Markets 17328VZR4 07/31/20 08/02/27 100.000 0.000 1.5241 53.29 0.044313 0.044651 0.044991 0.045334 0.045679 16.11 16.36 Citigroup Global Markets 17329FVK7 06/16/21 06/16/31 100.000 VARIES 2.0752 51.70 0.055231 0.055207 0.055295 0.055460 0.055632 19.88 19.94 Citigroup Global Markets 17329UQT1 01/31/22 01/29/27 100.000 0.000 2.3464 45.80 0.067494 0.068286 0.069087 0.069897 0.070717 24.68 25.26 Citigroup Global Markets 17326YNT9 03/29/19 04/01/24 100.000 0.000 3.2016 163.09 0.102615 9.24 Citigroup Global Markets 17329FEG5 06/09/21 06/09/33 100.000 VARIES 2.0633 50.37 0.050056 0.048861 0.048438 0.048633 0.049135 17.77 17.49 Citigroup Global Markets 17326YNS1 03/29/19 04/01/24 100.000 0.500 3.2003 161.53 0.100674 9.06 Citigroup Global Markets 17329FED2 06/02/21 06/01/26 100.000 0.000 1.4151 37.06 0.040718 0.041006 0.041297 0.041589 0.041883 14.73 14.94 Citigroup Global Markets 17329F4C5 04/15/21 04/17/31 100.000 0.000 2.6134 72.95 0.077474 0.078487 0.079512 0.080551 0.081604 28.22 28.97 Citigroup Global Markets 17328YBB9 02/03/21 02/03/26 100.000 0.000 1.0671 31.47 0.030441 0.030603 0.030766 0.030931 0.031096 11.04 11.15 Citigroup Global Markets 17328VZZ6 08/05/20 08/05/25 100.000 0.000 1.2061 41.80 0.034734 0.034943 0.035154 0.035366 12.60 7.56 Citigroup Global Markets 17330F2N0 03/31/22 03/31/37 100.000 VARIES 2.2180 37.06 0.055880 0.056499 0.057126 0.057665 0.057756 20.34 20.72 Citigroup Global Markets 17328YBM5 12/21/20 12/21/40 100.000 VARIES 2.5695 74.86 0.066857 0.066581 0.066339 0.066141 0.065976 24.01 23.84 Citigroup Global Markets 17329FVL5 07/30/21 07/31/31 100.000 0.000 2.2282 55.08 0.064698 0.065419 0.066148 0.066885 0.067630 23.64 24.17 Citigroup Global Markets 17330FTV3 05/17/22 05/15/25 100.000 0.000 4.1696 69.28 0.123190 0.125759 0.128381 45.05 17.20 Citigroup Global Markets 17328WMR6 11/30/20 11/30/27 100.000 0.000 1.4941 47.01 0.043398 0.043723 0.044049 0.044378 0.044710 15.70 15.94 Citigroup Global Markets 17328YSW5 02/22/21 02/22/41 100.000 VARIES 2.8536 78.97 0.074604 0.074044 0.073566 0.073166 0.072835 26.62 26.32 Citigroup Global Markets 17329QVX5 09/15/21 09/15/33 100.000 VARIES 1.7790 39.75 0.046975 0.046748 0.046602 0.046520 0.046497 16.83 16.75 Citigroup Global Markets 17330F2Z3 04/25/22 10/24/24 100.000 0.000 3.8764 66.81 0.114050 0.116261 33.81 Citigroup Global Markets 17328YSU9 02/26/21 02/26/41 100.000 VARIES 2.9720 80.29 0.073412 0.071582 0.070832 0.070071 0.069742 25.78 25.23 Citigroup Global Markets 17329FF74 05/26/21 05/26/27 100.000 0.000 1.7422 46.09 0.050539 0.050979 0.051423 0.051871 0.052323 18.30 18.62 Citigroup Global Markets 17329F4R2 04/28/21 04/27/28 100.000 0.000 2.0693 56.63 0.060514 0.061140 0.061773 0.062412 0.063058 21.98 22.44 Citigroup Global Markets 17329F4Q4 05/05/21 05/05/26 100.000 0.000 1.5643 42.25 0.045178 0.045531 0.045887 0.046246 0.046608 16.37 16.62 Citigroup Global Markets 17328WML9 11/30/20 11/30/27 100.000 0.000 1.4941 47.01 0.043398 0.043723 0.044049 0.044378 0.044710 15.70 15.94 Citigroup Global Markets 17328YT38 02/26/21 02/26/31 100.000 VARIES 1.6111 44.53 0.041553 0.041155 0.040950 0.040916 0.041038 14.81 14.75 Citigroup Global Markets 17328V3K4 04/14/20 04/11/25 100.000 1.000 2.6920 103.02 0.079786 0.080112 0.081191 28.89 8.12 Citigroup Global Markets 17328W6M5 07/22/20 07/22/24 100.000 0.000 1.1071 38.73 0.031788 0.031964 6.42 Citigroup Global Markets 17329FQ56 06/09/21 06/09/31 100.000 0.000 2.5442 66.90 0.075282 0.076240 0.077210 0.078192 0.079186 27.32 28.02 Citigroup Global Markets 17329QPS3 09/29/21 09/29/33 100.000 VARIES 1.7595 38.64 0.046375 0.046174 0.046069 0.046030 0.046040 16.63 16.58 Citigroup Global Markets 17328YN26 02/24/21 08/22/24 100.000 0.000 0.6991 20.11 0.019760 0.019829 4.58 Citigroup Global Markets 17326W282 03/05/19 03/04/26 100.000 0.000 3.7445 195.95 0.122901 0.125202 0.127546 0.129934 0.132366 45.20 46.91 Citigroup Global Markets 17328VUJ7 05/19/20 05/19/25 100.000 0.000 1.9503 72.73 0.057984 0.058549 0.059120 21.02 8.16 Citigroup Global Markets 17328WXK9 11/02/20 02/02/26 100.000 0.000 1.3450 43.33 0.038766 0.039026 0.039289 0.039553 0.039819 14.08 14.27 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WXL7 12/03/20 12/04/25 100.000 0.000 1.1771 36.78 0.033869 0.034069 0.034269 0.034471 12.24 11.45 Citigroup Global Markets 17327TV86 12/20/19 12/23/26 100.000 0.170 2.6310 110.78 0.080635 0.081634 0.082645 0.083670 0.084709 29.22 29.95 Citigroup Global Markets 17328V3S7 03/31/20 10/01/25 100.000 0.000 3.3432 132.54 0.104305 0.106049 0.107821 0.109624 38.18 29.44 Citigroup Global Markets 17327TUT1 11/29/19 05/30/25 100.000 0.000 2.5704 110.09 0.079086 0.080102 0.081132 28.72 12.09 Citigroup Global Markets 17324CDY9 01/31/17 01/31/24 100.000 0.000 3.3783 260.90 0.116670 3.38 Citigroup Global Markets 17328WYB8 10/26/20 04/25/24 100.000 0.000 0.8781 28.26 0.025041 2.85 Citigroup Global Markets 17324CED4 02/16/17 02/16/27 100.000 VARIES 2.9107 32.86 0.013524 0.013721 0.013920 0.014123 0.014328 4.96 5.10 Citigroup Global Markets 17329ULR0 10/29/21 10/29/41 98.000 VARIES 2.9484 58.76 0.071672 0.071334 0.071012 0.070733 0.070470 25.70 25.48 Citigroup Global Markets 17329ULQ2 12/23/21 12/26/28 100.000 0.000 2.1480 44.16 0.062284 0.062953 0.063629 0.064312 0.065003 22.55 23.04 Citigroup Global Markets 17328YND2 03/02/21 05/29/26 100.000 0.000 1.3451 38.68 0.038762 0.039022 0.039285 0.039549 0.039815 14.02 14.21 Citigroup Global Markets 17328VUY4 04/30/20 05/01/25 100.000 0.000 2.2185 84.34 0.066578 0.067316 0.068063 24.19 8.17 Citigroup Global Markets 17328W6Y9 08/21/20 02/23/24 100.000 0.000 0.8681 29.54 0.024750 1.29 Citigroup Global Markets 17330AQB1 03/28/22 03/29/27 100.000 0.000 3.5696 64.23 0.104570 0.106436 0.108336 0.110269 0.112237 38.33 39.71 Citigroup Global Markets 17329FQL1 05/28/21 05/28/27 100.000 0.000 1.7232 45.48 0.049964 0.050395 0.050829 0.051267 0.051708 18.09 18.41 Citigroup Global Markets 17328W7B8 09/03/20 09/05/25 100.000 0.000 1.1571 39.15 0.033277 0.033470 0.033663 0.033858 12.06 8.25 Citigroup Global Markets 17328WFL7 08/31/20 08/31/27 100.000 0.000 1.4942 50.92 0.043400 0.043723 0.044051 0.044377 0.044712 15.76 16.00 Citigroup Global Markets 17328WFH6 09/11/20 03/13/24 100.000 0.000 0.8181 27.36 0.023289 1.68 Citigroup Global Markets 17329UJX0 11/29/21 05/27/27 100.000 0.000 2.0993 44.60 0.060794 0.061432 0.062077 0.062728 0.063387 22.04 22.51 Citigroup Global Markets 17328YLL6 02/26/21 02/28/28 100.000 0.000 1.7232 50.08 0.049970 0.050401 0.050835 0.051273 0.051715 18.17 18.49 Citigroup Global Markets 17328WX60 10/30/20 11/01/27 100.000 0.000 1.5642 50.63 0.045531 0.045887 0.046246 0.046608 0.046972 16.50 16.76 Citigroup Global Markets 17326YYH3 05/31/19 12/04/24 100.000 0.000 3.1681 155.08 0.101409 0.103015 34.06 Citigroup Global Markets 17330APT3 03/31/22 04/03/29 100.000 0.000 3.8243 68.70 0.112476 0.114627 0.116819 0.119052 0.121329 41.26 42.85 Citigroup Global Markets 17328VCM0 03/31/20 04/01/27 100.000 0.000 3.4611 137.48 0.108420 0.110296 0.112205 0.114146 0.116122 39.71 41.10 Citigroup Global Markets 17324CCV6 12/13/16 12/13/46 100.000 VARIES 0.8469 33.55 0.013401 0.013391 0.013381 0.013371 0.013360 4.82 4.81 Citigroup Global Markets 17328YME1 03/03/21 03/03/26 100.000 0.000 1.3652 39.23 0.039235 0.039502 0.039772 0.040044 0.040317 14.24 14.43 Citigroup Global Markets 17328VTY6 05/20/20 05/20/27 100.000 0.000 2.2283 83.39 0.066889 0.067635 0.068388 0.069150 0.069920 24.28 24.82 Citigroup Global Markets 17329FPC2 05/28/21 12/01/26 100.000 0.000 1.6332 43.06 0.047255 0.047640 0.048029 0.048422 0.048817 17.10 17.38 Citigroup Global Markets 17329FPB4 06/02/21 06/01/26 100.000 0.000 1.4151 37.06 0.040718 0.041006 0.041297 0.041589 0.041883 14.73 14.94 Citigroup Global Markets 17328VD64 04/15/20 03/31/25 100.000 0.000 2.4947 96.40 0.075500 0.076442 0.077395 27.52 6.89 Citigroup Global Markets 17329UKJ9 12/15/21 06/15/27 100.000 0.000 2.0491 42.57 0.059290 0.059897 0.060511 0.061131 0.061757 21.47 21.92 Citigroup Global Markets 17328WFW3 09/30/20 06/30/26 100.000 0.000 1.4250 47.28 0.041453 0.041749 0.042046 0.042346 0.042647 14.98 15.19 Citigroup Global Markets 17328WXE3 10/23/20 10/25/27 100.000 0.000 1.5742 51.28 0.045838 0.046199 0.046562 0.046929 0.047298 16.61 16.88 Citigroup Global Markets 17330FNN7 05/11/22 05/11/27 100.000 0.000 4.4129 74.21 0.130876 0.133764 0.136715 0.139732 0.142815 47.93 50.07 Citigroup Global Markets 17330FNQ0 05/12/22 05/12/37 100.000 VARIES 5.1635 82.82 0.136065 0.133482 0.132648 0.131793 0.131087 48.35 47.52 Citigroup Global Markets 17329UNE7 02/01/22 07/30/27 100.000 0.000 2.4554 47.90 0.070743 0.071611 0.072491 0.073381 0.074281 25.89 26.53 Citigroup Global Markets 17328WZR2 10/30/20 11/01/27 100.000 0.000 1.5642 50.63 0.045531 0.045887 0.046246 0.046608 0.046972 16.50 16.76 Citigroup Global Markets 17329QS84 09/30/21 10/02/28 100.000 0.000 1.9703 45.17 0.056927 0.057488 0.058054 0.058626 0.059203 20.69 21.10 Citigroup Global Markets 17329FS96 06/30/21 06/30/33 100.000 VARIES 2.0721 49.80 0.050636 0.049172 0.048644 0.048807 0.049313 17.96 17.54 Citigroup Global Markets 17330L223 04/05/22 04/04/29 100.000 0.000 3.6386 64.75 0.106679 0.108620 0.110596 0.112608 0.114657 39.09 40.53 Citigroup Global Markets 17327TX84 02/04/20 02/04/25 100.000 0.000 2.4251 98.80 0.073295 0.074183 0.075083 26.81 2.48 Citigroup Global Markets 17328VWV8 05/05/20 05/05/25 100.000 0.000 1.9904 75.10 0.059258 0.059848 0.060443 21.51 7.49 Citigroup Global Markets 17327TFW1 09/30/19 09/30/25 100.000 0.000 2.5748 114.96 0.079227 0.080247 0.081281 0.082327 28.89 22.05 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330FAF8 04/27/22 04/28/25 100.000 0.000 4.1792 71.91 0.123535 0.126117 0.128752 45.27 15.06 Citigroup Global Markets 17328WJ58 09/30/20 12/31/26 100.000 0.000 1.5240 50.63 0.044475 0.044814 0.045155 0.045499 0.045846 16.07 16.32 Citigroup Global Markets 17326X819 01/04/19 01/05/26 100.000 0.000 4.1130 225.35 0.137237 0.140059 0.142940 0.145879 0.148879 50.92 53.03 Citigroup Global Markets 17329QT42 10/01/21 04/01/27 100.000 0.000 1.7824 40.74 0.051299 0.051756 0.052217 0.052682 0.053152 18.63 18.97 Citigroup Global Markets 17330ABF8 02/28/22 02/28/29 100.000 0.000 3.0477 57.31 0.088589 0.089938 0.091309 0.092700 0.094113 32.47 33.47 Citigroup Global Markets 17330FA68 04/08/22 04/10/25 100.000 0.000 3.5215 62.31 0.103098 0.104913 0.106761 37.74 10.57 Citigroup Global Markets 17327TXH4 10/02/19 10/02/24 100.000 0.000 2.4893 110.81 0.076340 0.077290 20.86 Citigroup Global Markets 17329FSP0 07/30/21 02/01/27 100.000 0.000 1.6132 39.64 0.046275 0.046649 0.047025 0.047404 0.047787 16.84 17.11 Citigroup Global Markets 17328VXE5 07/01/20 07/01/25 100.000 0.000 1.4940 53.48 0.043719 0.043719 0.044375 0.044375 15.80 7.99 Citigroup Global Markets 17330ASK9 03/31/22 04/03/29 100.000 0.000 3.8243 68.70 0.112476 0.114627 0.116819 0.119052 0.121329 41.26 42.85 Citigroup Global Markets 17328WJG4 09/21/20 09/21/27 100.000 0.000 1.4782 49.47 0.042916 0.043233 0.043553 0.043875 0.044199 15.57 15.80 Citigroup Global Markets 17328WHP6 09/30/20 03/31/28 100.000 0.000 1.7012 56.66 0.049721 0.050143 0.050570 0.051000 0.051434 18.05 18.36 Citigroup Global Markets 17330ARL8 03/25/22 09/25/25 100.000 0.000 3.5212 63.65 0.103069 0.104884 0.106730 0.108609 37.78 28.51 Citigroup Global Markets 17328WHM3 08/31/20 05/29/26 100.000 0.000 1.3060 44.39 0.037846 0.038093 0.038342 0.038592 0.038844 13.68 13.86 Citigroup Global Markets 17328WYN2 11/30/20 11/30/27 100.000 0.000 1.4941 47.01 0.043398 0.043723 0.044049 0.044378 0.044710 15.70 15.94 Citigroup Global Markets 17329QQS2 09/29/21 09/29/33 100.000 VARIES 1.7344 38.30 0.045836 0.045398 0.045216 0.045229 0.045460 16.36 16.30 Citigroup Global Markets 17329QR36 10/29/21 10/31/28 100.000 0.000 2.2084 48.88 0.064103 0.064810 0.065526 0.066250 0.066981 23.29 23.81 Citigroup Global Markets 17327T4W3 12/24/19 12/24/24 100.000 0.000 2.4008 100.68 0.073369 0.074249 26.06 Citigroup Global Markets 17330AAT9 02/28/22 08/27/26 100.000 0.000 2.8110 52.78 0.081414 0.082559 0.083719 0.084896 0.086089 29.80 30.64 Citigroup Global Markets 17330AAS1 02/28/22 08/28/25 100.000 0.000 2.6531 49.76 0.076669 0.077686 0.078717 0.079761 28.04 18.84 Citigroup Global Markets 17330AS94 03/23/22 03/23/27 100.000 0.000 3.3824 61.28 0.098804 0.100475 0.102174 0.103902 0.105660 36.20 37.44 Citigroup Global Markets 17327TET9 12/02/19 12/02/24 100.000 0.000 2.4449 104.25 0.074845 0.075760 24.94 Citigroup Global Markets 17328VEP1 03/31/20 03/31/25 100.000 0.750 3.2898 128.99 0.100326 0.101291 0.102957 36.52 9.16 Citigroup Global Markets 17328VW22 07/06/20 07/03/25 100.000 0.000 1.4650 52.20 0.042512 0.042823 0.043137 0.043453 15.47 7.91 Citigroup Global Markets 17329FRK2 07/06/21 07/06/26 100.000 0.000 1.5640 39.49 0.044820 0.045171 0.045524 0.045880 0.046239 16.32 16.58 Citigroup Global Markets 17330AQZ8 03/31/22 04/02/27 100.000 0.000 3.7567 67.46 0.110368 0.112441 0.114553 0.116705 0.118897 40.48 42.01 Citigroup Global Markets 17329QRJ1 09/30/21 10/02/28 100.000 0.000 1.9703 45.17 0.056927 0.057488 0.058054 0.058626 0.059203 20.69 21.10 Citigroup Global Markets 17325K776 08/03/17 02/05/24 100.000 0.000 3.0276 212.48 0.100731 3.42 Citigroup Global Markets 17329QRG7 10/29/21 10/31/28 100.000 0.000 2.2084 48.88 0.064103 0.064810 0.065526 0.066250 0.066981 23.29 23.81 Citigroup Global Markets 17329FAD6 04/30/21 05/01/31 100.000 0.000 2.5734 70.66 0.076206 0.077187 0.078180 0.079186 0.080205 27.73 28.45 Citigroup Global Markets 17324CFE1 03/10/17 03/10/27 100.000 VARIES 2.9100 26.94 0.011198 0.011361 0.011526 0.011694 0.011864 4.10 4.22 Citigroup Global Markets 17328V5E6 04/15/20 03/31/25 100.000 0.000 2.4947 96.40 0.075500 0.076442 0.077395 27.52 6.89 Citigroup Global Markets 17330ARG9 04/05/22 04/05/27 100.000 0.000 3.5796 63.68 0.104868 0.106745 0.108656 0.110600 0.112580 38.42 39.80 Citigroup Global Markets 17329FRM8 06/30/21 12/31/26 100.000 0.000 1.7230 43.87 0.049958 0.050389 0.050823 0.051261 0.051702 18.06 18.38 Citigroup Global Markets 17329FAK0 04/21/21 04/21/31 100.000 0.000 2.5734 71.35 0.076202 0.077182 0.078175 0.079181 0.080200 27.75 28.47 Citigroup Global Markets 17329UGY1 12/23/21 12/26/28 100.000 0.000 2.1480 44.16 0.062284 0.062953 0.063629 0.064312 0.065003 22.55 23.04 Citigroup Global Markets 17328VQB9 05/20/20 05/20/25 100.000 0.000 1.9603 73.05 0.058302 0.058873 0.059450 21.14 8.26 Citigroup Global Markets 17329U6U0 11/24/21 11/22/24 100.000 0.000 1.3362 28.40 0.038117 0.038372 12.28 Citigroup Global Markets 17329UGR6 12/27/21 12/24/26 100.000 0.000 1.8910 38.58 0.054535 0.055051 0.055571 0.056097 0.056627 19.73 20.11 Citigroup Global Markets 17328VQN3 04/29/20 04/29/25 100.000 0.000 2.2376 85.16 0.067189 0.067940 0.068700 24.42 8.11 Citigroup Global Markets 17330AMH2 03/31/22 01/02/26 100.000 0.000 3.6961 66.34 0.107504 0.109490 0.111514 0.113575 0.115674 39.78 41.26 Citigroup Global Markets 17328YZV9 03/17/21 03/17/31 100.000 VARIES 1.6101 43.96 0.043215 0.043246 0.043336 0.043438 0.043540 15.58 15.64 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17329QM56 09/03/21 09/03/26 100.000 0.000 1.4843 35.03 0.042467 0.042782 0.043100 0.043420 0.043742 15.42 15.65 Citigroup Global Markets 17329UYA3 12/17/21 06/20/25 100.000 0.000 1.6041 33.11 0.046011 0.046380 0.046752 16.64 7.90 Citigroup Global Markets 17328WCK2 10/05/20 10/03/25 100.000 0.000 1.2962 42.74 0.037426 0.037669 0.037913 0.038158 13.56 10.36 Citigroup Global Markets 17329UGZ8 12/27/21 12/24/26 100.000 0.000 1.8910 38.58 0.054535 0.055051 0.055571 0.056097 0.056627 19.73 20.11 Citigroup Global Markets 17328W2G2 07/31/20 02/02/26 100.000 0.000 1.3551 47.27 0.039201 0.039467 0.039734 0.040004 0.040275 14.24 14.43 Citigroup Global Markets 17327TA55 03/02/20 08/29/25 100.000 0.000 2.1805 86.63 0.065333 0.066045 0.066765 0.067489 23.82 16.02 Citigroup Global Markets 17328WTW8 12/03/20 12/04/25 100.000 0.000 1.1771 36.78 0.033869 0.034069 0.034269 0.034471 12.24 11.45 Citigroup Global Markets 17328VR44 05/29/20 05/30/25 100.000 0.000 1.9013 70.28 0.056432 0.056968 0.057510 20.45 8.57 Citigroup Global Markets 17328VQS2 04/30/20 05/01/25 100.000 0.000 2.2285 84.74 0.066901 0.067647 0.068400 24.31 8.21 Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29 100.000 2.000 3.7071 180.93 0.112671 0.112700 0.114789 0.114857 0.116986 40.69 41.47 Citigroup Global Markets 17329QLZ1 09/30/21 10/02/28 100.000 0.000 1.9703 45.17 0.056927 0.057488 0.058054 0.058626 0.059203 20.69 21.10 Citigroup Global Markets 17328WU48 10/23/20 10/25/27 100.000 0.000 1.5475 50.39 0.045024 0.045372 0.045723 0.046077 0.046434 16.32 16.57 Citigroup Global Markets 17329UHD6 11/26/21 11/28/28 100.000 0.000 2.1392 45.65 0.062014 0.062677 0.063348 0.064025 0.064710 22.49 22.97 Citigroup Global Markets 17329UZ61 01/31/22 01/31/29 100.000 0.000 2.5733 50.31 0.074276 0.075232 0.076200 0.077180 0.078173 27.20 27.91 Citigroup Global Markets 17328YJG0 01/29/21 01/31/29 100.000 0.000 1.6831 50.20 0.048756 0.049167 0.049580 0.049998 0.050418 17.75 18.05 Citigroup Global Markets 17329UYU9 01/31/22 01/29/27 100.000 0.000 2.3464 45.80 0.067494 0.068286 0.069087 0.069897 0.070717 24.68 25.26 Citigroup Global Markets 17326YF68 03/29/19 03/28/24 100.000 0.000 3.1838 162.12 0.101939 8.87 Citigroup Global Markets 17328W2Y3 08/05/20 08/04/28 100.000 0.000 1.5941 55.57 0.046440 0.046810 0.047183 0.047559 0.047938 16.89 17.16 Citigroup Global Markets 17329U5V9 12/23/21 12/26/28 100.000 0.000 2.1480 44.16 0.062284 0.062953 0.063629 0.064312 0.065003 22.55 23.04 Citigroup Global Markets 17329FKL7 05/28/21 05/31/28 100.000 0.000 1.9802 52.40 0.057789 0.058361 0.058939 0.059523 0.060112 20.94 21.36 Citigroup Global Markets 17326YU95 03/13/19 03/13/26 100.000 0.000 3.6227 188.12 0.118277 0.120419 0.122601 0.124821 0.127082 43.43 45.02 Citigroup Global Markets 17330FJN2 04/08/22 04/09/26 100.000 0.000 3.5900 63.55 0.105199 0.107087 0.109010 0.110966 0.112958 38.52 39.92 Citigroup Global Markets 17328Y7E8 01/29/21 01/29/27 100.000 0.000 1.2761 37.87 0.036592 0.036826 0.037061 0.037297 0.037535 13.29 13.46 Citigroup Global Markets 17328WBA5 09/30/20 09/30/30 100.000 0.000 2.0203 67.58 0.059606 0.060208 0.060817 0.061431 0.062051 21.68 22.12 Citigroup Global Markets 17329U5Q0 11/26/21 11/28/28 100.000 0.000 2.1392 45.65 0.062014 0.062677 0.063348 0.064025 0.064710 22.49 22.97 Citigroup Global Markets 17328Y7D0 12/21/20 06/20/24 100.000 0.000 0.7780 23.79 0.022120 3.74 Citigroup Global Markets 17328YYU2 03/31/21 03/31/31 100.000 VARIES 1.6136 42.38 0.040389 0.040232 0.040376 0.040702 0.041030 14.51 14.65 Citigroup Global Markets 17328YHR8 02/18/21 05/15/26 100.000 0.000 1.1860 34.52 0.034032 0.034233 0.034436 0.034641 0.034846 12.31 12.45 Citigroup Global Markets 17328VPK0 07/01/20 04/01/24 100.000 0.000 1.2260 43.72 0.035436 3.19 Citigroup Global Markets 17330FJX0 05/02/22 04/30/27 100.000 0.000 4.2079 71.80 0.124392 0.127009 0.129681 0.132410 0.135195 45.57 47.51 Citigroup Global Markets 17329UG96 10/29/21 04/29/27 100.000 0.000 2.1885 48.43 0.063496 0.064191 0.064893 0.065603 0.066321 23.07 23.58 Citigroup Global Markets 17328WC71 09/18/20 12/18/25 100.000 0.000 1.2660 42.35 0.036640 0.036872 0.037105 0.037340 13.24 12.92 Citigroup Global Markets 17329UXG1 01/28/22 07/30/25 100.000 0.000 1.9804 38.67 0.056667 0.057228 0.057795 0.058367 20.67 12.18 Citigroup Global Markets 17328YHY3 01/29/21 01/29/41 100.000 VARIES 2.6993 77.58 0.072520 0.072124 0.071768 0.071451 0.071174 25.92 25.69 Citigroup Global Markets 17328YHW7 02/26/21 02/26/27 100.000 0.000 1.4752 42.74 0.042511 0.042825 0.043141 0.043459 0.043779 15.44 15.67 Citigroup Global Markets 17329QKY5 09/03/21 09/03/33 100.000 VARIES 1.7822 40.14 0.046727 0.046546 0.046434 0.046380 0.046377 16.75 16.70 Citigroup Global Markets 17329FL93 05/21/21 05/21/31 100.000 VARIES 2.1464 54.94 0.057221 0.057216 0.057332 0.057497 0.057664 20.60 20.68 Citigroup Global Markets 17328YHU1 02/26/21 02/27/31 100.000 0.000 2.3173 67.81 0.068190 0.068980 0.069779 0.070588 0.071406 24.89 25.47 Citigroup Global Markets 17329U6P1 10/22/21 10/22/36 100.000 VARIES 2.7993 58.74 0.071440 0.071044 0.070664 0.070466 0.070284 25.59 25.38 Citigroup Global Markets 17330FJC6 03/31/22 03/31/37 100.000 VARIES 2.1578 36.61 0.057028 0.057643 0.058265 0.058894 0.059208 20.75 21.17 Citigroup Global Markets 17330FJH5 04/29/22 04/29/27 100.000 0.000 4.2270 72.51 0.125020 0.127662 0.130360 0.133116 0.135929 45.81 47.77 Citigroup Global Markets 17328WBY3 08/31/20 03/02/28 100.000 0.000 1.4842 50.57 0.043100 0.043420 0.043742 0.044067 0.044394 15.65 15.88 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328VPV6 05/20/20 05/18/28 100.000 0.000 2.3763 89.14 0.071688 0.072540 0.073402 0.074274 0.075157 26.03 26.66 Citigroup Global Markets 17328WSY5 10/30/20 11/01/27 100.000 0.000 1.5642 50.63 0.045531 0.045887 0.046246 0.046608 0.046972 16.50 16.76 Citigroup Global Markets 17328WVK1 11/04/20 11/04/25 100.000 0.000 1.2962 41.65 0.037428 0.037670 0.037915 0.038160 13.55 11.53 Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25 100.000 0.000 2.6129 114.33 0.080522 0.081574 0.082640 0.083720 29.31 24.90 Citigroup Global Markets 17328VSB7 06/03/20 06/05/28 100.000 0.000 2.2772 84.39 0.068481 0.069261 0.070049 0.070847 0.071654 24.83 25.40 Citigroup Global Markets 17325E242 01/05/17 07/03/24 100.000 0.000 3.3441 260.85 0.115219 0.117146 21.32 Citigroup Global Markets 17328W4Q8 07/31/20 08/02/27 100.000 0.000 1.5441 54.01 0.044922 0.045268 0.045618 0.045970 0.046325 16.34 16.59 Citigroup Global Markets 17328WEQ7 09/30/20 09/30/25 100.000 0.000 1.2862 42.59 0.037129 0.037368 0.037608 0.037850 13.45 10.16 Citigroup Global Markets 17328WVS4 10/30/20 07/30/26 100.000 0.000 1.3950 45.06 0.040262 0.040543 0.040825 0.041110 0.041397 14.63 14.83 Citigroup Global Markets 17330AP55 04/05/22 04/05/27 100.000 0.000 3.5796 63.68 0.104868 0.106745 0.108656 0.110600 0.112580 38.42 39.80 Citigroup Global Markets 17329QNT3 10/05/21 10/05/26 100.000 0.000 1.6533 37.56 0.047464 0.047856 0.048252 0.048651 0.049053 17.23 17.51 Citigroup Global Markets 17330AP48 03/17/22 03/12/26 100.000 0.000 3.1664 57.84 0.092161 0.093620 0.095102 0.096608 0.098138 33.76 34.84 Citigroup Global Markets 17328VSX9 06/22/20 06/22/28 100.000 0.000 2.4751 90.59 0.074934 0.075861 0.076800 0.077750 0.078713 27.16 27.84 Citigroup Global Markets 17328W4W5 08/03/20 05/02/24 100.000 0.000 1.0070 34.86 0.028901 3.50 Citigroup Global Markets 17329UJJ1 11/26/21 11/27/26 100.000 0.000 1.8613 39.63 0.053656 0.054155 0.054659 0.055168 0.055681 19.44 19.80 Citigroup Global Markets 17327TSV9 08/14/19 08/13/26 100.000 0.000 2.5545 117.63 0.078536 0.079540 0.080556 0.081584 0.082626 28.73 29.47 Citigroup Global Markets 17328WF60 09/03/20 09/05/25 100.000 0.000 1.1571 39.15 0.033277 0.033470 0.033663 0.033858 12.06 8.25 Citigroup Global Markets 17326YY59 03/01/19 03/03/25 100.000 1.000 3.5616 182.63 0.111741 0.112742 0.114749 40.76 7.11 Citigroup Global Markets 17330FLS8 05/06/22 05/08/24 100.000 0.000 3.9650 67.09 0.116845 14.84 Citigroup Global Markets 17328WUG1 10/01/20 01/02/26 100.000 0.000 1.3750 45.55 0.039663 0.039936 0.040210 0.040487 0.040765 14.43 14.62 Citigroup Global Markets 17325K263 07/06/17 01/03/24 100.000 0.000 3.1136 221.89 0.104079 0.21 Citigroup Global Markets 17329FML5 06/30/21 06/30/31 100.000 0.000 2.3860 61.16 0.070327 0.071166 0.072015 0.072874 0.073743 25.47 26.08 Citigroup Global Markets 17328W3C0 07/20/20 07/18/25 100.000 0.000 1.3751 48.38 0.039797 0.040071 0.040346 0.040624 14.47 8.00 Citigroup Global Markets 17328WUD8 10/30/20 02/01/27 100.000 0.000 1.4941 48.32 0.043238 0.043561 0.043886 0.044214 0.044544 15.72 15.96 Citigroup Global Markets 17330FM81 05/09/22 05/08/25 100.000 0.000 4.2771 72.12 0.126579 0.129286 0.132051 46.35 16.77 Citigroup Global Markets 17329QMJ6 08/06/21 08/06/26 100.000 0.000 1.4152 34.47 0.040434 0.040721 0.041009 0.041299 0.041591 14.69 14.90 Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25 100.000 0.000 2.8012 130.83 0.086970 0.088188 0.089423 31.90 2.59 Citigroup Global Markets 17328YJX3 02/26/21 02/28/28 100.000 0.000 1.7232 50.08 0.049970 0.050401 0.050835 0.051273 0.051715 18.17 18.49 Citigroup Global Markets 17328YJV7 03/03/21 03/03/26 100.000 0.000 1.3652 39.23 0.039235 0.039502 0.039772 0.040044 0.040317 14.24 14.43 Citigroup Global Markets 17330ANM0 03/17/22 03/12/26 100.000 0.000 3.1664 57.84 0.092161 0.093620 0.095102 0.096608 0.098138 33.76 34.84 Citigroup Global Markets 17324P784 10/05/16 04/03/24 100.000 0.000 2.6555 210.44 0.088709 8.16 Citigroup Global Markets 17328W3W6 07/31/20 07/31/25 100.000 0.000 1.2561 43.75 0.036228 0.036455 0.036684 0.036915 13.15 7.71 Citigroup Global Markets 17330AMQ2 03/15/22 03/16/37 100.000 VARIES 3.9112 69.21 0.105898 0.105719 0.105253 0.104777 0.104292 38.02 37.70 Citigroup Global Markets 17328VB58 03/31/20 07/01/24 100.000 0.000 3.2340 127.98 0.101331 0.101331 18.24 Citigroup Global Markets 17328WV96 12/01/20 03/02/26 100.000 0.000 1.2860 40.33 0.037007 0.037245 0.037484 0.037725 0.037968 13.42 13.60 Citigroup Global Markets 17328VRU6 06/30/20 06/30/25 100.000 0.000 1.5040 53.89 0.044027 0.044358 0.044692 15.91 8.00 Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24 100.000 0.000 2.6784 127.44 0.083876 0.085000 30.31 Citigroup Global Markets 17328YK94 02/26/21 02/28/28 100.000 0.000 1.7232 50.08 0.049970 0.050401 0.050835 0.051273 0.051715 18.17 18.49 Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24 100.000 0.000 3.2236 161.08 0.103402 0.105069 31.22 Citigroup Global Markets 17330AYY2 04/05/22 04/05/27 100.000 0.000 3.5796 63.68 0.104868 0.106745 0.108656 0.110600 0.112580 38.42 39.80 Citigroup Global Markets 17329Q7D6 09/03/21 09/03/26 100.000 0.000 1.4843 35.03 0.042467 0.042782 0.043100 0.043420 0.043742 15.42 15.65 Citigroup Global Markets 17329QYD6 11/03/21 11/03/26 100.000 0.000 2.0494 45.06 0.059299 0.059906 0.060520 0.061140 0.061767 21.53 21.97 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328YEA8 01/29/21 04/30/26 100.000 0.000 1.1770 34.90 0.033769 0.033968 0.034168 0.034369 0.034571 12.22 12.36 Citigroup Global Markets 17329UTN1 01/31/22 01/31/29 100.000 0.000 2.5733 50.31 0.074276 0.075232 0.076200 0.077180 0.078173 27.20 27.91 Citigroup Global Markets 17329FHB3 07/06/21 07/06/26 100.000 0.000 1.5640 39.49 0.044820 0.045171 0.045524 0.045880 0.046239 16.32 16.58 Citigroup Global Markets 17328YEM2 02/03/21 02/05/29 100.000 0.000 1.7231 51.22 0.049968 0.050398 0.050832 0.051270 0.051712 18.19 18.51 Citigroup Global Markets 17328VME7 05/20/20 05/22/28 100.000 0.000 2.3713 88.94 0.071544 0.072392 0.073250 0.074119 0.074998 25.98 26.59 Citigroup Global Markets 17329QHM5 08/31/21 08/31/28 100.000 0.000 1.9013 45.21 0.054851 0.055369 0.055898 0.056424 0.056966 19.97 20.35 Citigroup Global Markets 17329UTY7 02/03/22 02/04/27 100.000 0.000 2.4354 47.36 0.070158 0.071012 0.071877 0.072752 0.073638 25.66 26.29 Citigroup Global Markets 17328WPG7 10/19/20 10/19/27 100.000 0.000 1.5142 49.46 0.044008 0.044341 0.044677 0.045015 0.045356 15.95 16.19 Citigroup Global Markets 17329U2U4 10/06/21 10/05/28 100.000 1.000 2.0590 46.58 0.058428 0.059030 0.059065 0.059673 0.059716 21.20 21.43 Citigroup Global Markets 17329QYM6 10/29/21 10/31/28 100.000 0.000 2.2084 48.88 0.064103 0.064810 0.065526 0.066250 0.066981 23.29 23.81 Citigroup Global Markets 17328YEG5 01/25/21 07/25/24 100.000 0.000 0.7090 20.98 0.020047 0.020118 4.10 Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27 100.000 VARIES 2.7273 29.50 0.013117 0.013296 0.013478 0.013661 0.013848 4.79 4.92 Citigroup Global Markets 17329UD40 11/22/21 11/22/33 100.000 VARIES 1.8518 38.21 0.049639 0.049617 0.049620 0.049649 0.049712 17.87 17.87 Citigroup Global Markets 17329F7G3 04/30/21 05/02/28 100.000 0.000 2.0793 56.79 0.060832 0.061464 0.062103 0.062749 0.063401 22.09 22.55 Citigroup Global Markets 17328YET7 12/30/20 12/30/27 100.000 0.000 1.4932 45.68 0.043371 0.043695 0.044021 0.044349 0.044681 15.67 15.91 Citigroup Global Markets 17329FZ72 06/25/21 06/27/29 100.000 0.000 2.1190 54.48 0.062054 0.062712 0.063376 0.064048 0.064726 22.46 22.94 Citigroup Global Markets 17330AYL0 04/29/22 05/01/29 100.000 0.000 4.3735 75.09 0.129662 0.132497 0.135395 0.138356 0.141381 47.53 49.63 Citigroup Global Markets 17330AHM7 03/16/22 09/16/24 100.000 0.000 2.9501 53.90 0.085628 0.086891 22.06 Citigroup Global Markets 17328WPW2 10/30/20 11/01/27 100.000 0.000 1.5642 50.63 0.045531 0.045887 0.046246 0.046608 0.046972 16.50 16.76 Citigroup Global Markets 17326YAH9 07/03/19 07/03/24 100.000 0.000 2.5848 122.35 0.079568 0.080596 14.67 Citigroup Global Markets 17328YVZ4 04/06/21 04/06/29 100.000 0.000 2.3564 66.21 0.069405 0.070222 0.071050 0.071887 0.072734 25.27 25.87 Citigroup Global Markets 17330AYV8 03/30/22 03/28/25 100.000 0.000 3.4925 62.61 0.102166 0.103950 0.105765 37.44 9.20 Citigroup Global Markets 17328WPR3 11/04/20 11/04/25 100.000 0.000 1.2962 41.65 0.037428 0.037670 0.037915 0.038160 13.55 11.53 Citigroup Global Markets 17330F5C1 04/08/22 04/10/25 100.000 2.000 3.5191 61.75 0.101033 0.100856 0.102630 36.47 10.16 Citigroup Global Markets 17330AXV9 03/30/22 03/31/27 100.000 0.000 3.5996 64.57 0.105486 0.107385 0.109317 0.111285 0.113288 38.67 40.07 Citigroup Global Markets 17324CLA2 08/02/17 08/02/27 100.000 VARIES 2.7689 28.81 0.012540 0.012714 0.012890 0.013068 0.013249 4.60 4.73 Citigroup Global Markets 17328YDA9 01/29/21 01/31/28 100.000 0.000 1.4841 44.16 0.042779 0.043097 0.043417 0.043739 0.044063 15.55 15.79 Citigroup Global Markets 17328VL81 05/20/20 05/20/25 100.000 0.000 1.9603 73.05 0.058302 0.058873 0.059450 21.14 8.26 Citigroup Global Markets 17330F5D9 04/29/22 04/29/37 100.000 VARIES 4.9132 80.61 0.130001 0.127735 0.127387 0.127030 0.126673 46.23 45.75 Citigroup Global Markets 17329FGA6 05/24/21 11/24/26 100.000 0.000 1.7032 45.14 0.049361 0.049781 0.050205 0.050632 0.051064 17.88 18.18 Citigroup Global Markets 17330F5F4 04/29/22 10/30/25 100.000 0.000 4.1497 71.15 0.122608 0.125152 0.127749 0.130399 44.91 38.67 Citigroup Global Markets 17329USL6 12/06/21 12/06/28 100.000 0.000 2.1582 45.43 0.062580 0.063255 0.063937 0.064627 0.065325 22.68 23.18 Citigroup Global Markets 17328VL65 06/03/20 06/03/25 100.000 0.000 1.8512 68.16 0.054848 0.055356 0.055869 19.87 8.49 Citigroup Global Markets 17328VL40 06/22/20 06/20/25 100.000 0.500 1.4840 53.16 0.042783 0.042894 0.043212 15.42 7.30 Citigroup Global Markets 17328Y2Y9 12/24/20 03/26/26 100.000 0.000 1.2260 37.60 0.035223 0.035438 0.035656 0.035874 0.036094 12.76 12.92 Citigroup Global Markets 17329Q6K1 08/02/21 02/02/27 100.000 0.000 1.5942 39.08 0.045712 0.046076 0.046443 0.046813 0.047186 16.63 16.90 Citigroup Global Markets 17330FG47 05/04/22 05/02/25 100.000 0.000 4.1400 70.37 0.122263 0.124794 0.127377 44.77 15.41 Citigroup Global Markets 17330AYG1 04/29/22 05/01/29 100.000 0.000 4.3735 75.09 0.129662 0.132497 0.135395 0.138356 0.141381 47.53 49.63 Citigroup Global Markets 17330FG39 04/27/22 04/25/24 100.000 0.000 3.8181 65.56 0.112226 12.79 Citigroup Global Markets 17329QXG0 07/30/21 08/01/28 100.000 0.000 1.8422 45.37 0.053086 0.053574 0.054068 0.054566 0.055069 19.35 19.70 Citigroup Global Markets 17329FY81 06/22/21 06/22/26 100.000 VARIES 2.0841 51.88 0.056596 0.056731 0.056942 0.057211 0.057528 20.40 20.55 Citigroup Global Markets 17329QGU8 08/31/21 03/03/27 100.000 0.000 1.6733 39.70 0.048062 0.048464 0.048869 0.049278 0.049690 17.47 17.76 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17324CLR5 08/17/17 08/17/27 100.000 VARIES 2.6967 29.95 0.013120 0.013297 0.013476 0.013658 0.013842 4.80 4.93 Citigroup Global Markets 17324CLU8 08/25/17 08/25/29 100.000 VARIES 2.5876 15.71 0.006967 0.007057 0.007148 0.007241 0.007335 2.55 2.61 Citigroup Global Markets 17329QH29 08/31/21 08/31/28 100.000 0.000 1.9013 45.21 0.054851 0.055369 0.055898 0.056424 0.056966 19.97 20.35 Citigroup Global Markets 17328VLH1 05/20/20 05/20/25 100.000 0.000 1.9603 73.05 0.058302 0.058873 0.059450 21.14 8.26 Citigroup Global Markets 17329QXR6 10/20/21 10/20/31 100.000 VARIES 1.7328 37.52 0.047138 0.047196 0.047255 0.047314 0.047374 16.99 17.03 Citigroup Global Markets 17329FH23 05/28/21 05/30/31 100.000 0.000 2.5342 67.46 0.074980 0.075930 0.076892 0.077866 0.078853 27.22 27.92 Citigroup Global Markets 17328Y3M4 12/24/20 12/27/27 100.000 0.000 1.4840 45.66 0.043098 0.043417 0.043739 0.044064 0.044391 15.58 15.81 Citigroup Global Markets 17328YUP7 03/31/21 03/30/28 100.000 0.000 2.0694 58.32 0.060519 0.061145 0.061778 0.062417 0.063063 22.01 22.47 Citigroup Global Markets 17328YDL5 01/25/21 01/25/31 100.000 VARIES 1.4542 41.57 0.038088 0.037749 0.037531 0.037437 0.037465 13.56 13.48 Citigroup Global Markets 17328YUN2 03/01/21 02/27/26 100.000 0.000 1.1861 34.08 0.033933 0.034134 0.034336 0.034540 0.034745 12.30 12.45 Citigroup Global Markets 17329UTG6 01/31/22 01/31/29 100.000 0.000 2.5733 50.31 0.074276 0.075232 0.076200 0.077180 0.078173 27.20 27.91 Citigroup Global Markets 17330A6P2 03/03/22 03/04/27 100.000 0.000 2.9590 55.18 0.085903 0.087174 0.088464 0.089773 0.091101 31.45 32.39 Citigroup Global Markets 17330A6Q0 02/24/22 02/23/26 100.000 0.000 2.6729 50.44 0.077259 0.078291 0.079338 0.080398 0.081472 28.27 29.03 Citigroup Global Markets 17329F6W9 04/28/21 04/26/24 100.000 0.000 0.9482 25.63 0.026966 3.10 Citigroup Global Markets 17330AGQ9 03/03/22 03/04/27 100.000 0.000 2.9590 55.18 0.085903 0.087174 0.088464 0.089773 0.091101 31.45 32.39 Citigroup Global Markets 17329QXY1 10/29/21 04/29/27 100.000 0.000 2.1885 48.43 0.063496 0.064191 0.064893 0.065603 0.066321 23.07 23.58 Citigroup Global Markets 17329QGW4 08/04/21 08/03/28 100.000 0.000 1.8322 44.91 0.052782 0.053265 0.053753 0.054246 0.054743 19.23 19.59 Citigroup Global Markets 17330AY55 04/29/22 05/01/29 100.000 0.000 4.3735 75.09 0.129662 0.132497 0.135395 0.138356 0.141381 47.53 49.63 Citigroup Global Markets 17329F6U3 04/30/21 05/02/28 100.000 0.000 2.0793 56.79 0.060832 0.061464 0.062103 0.062749 0.063401 22.09 22.55 Citigroup Global Markets 17329UF71 11/26/21 11/28/28 100.000 0.000 2.1392 45.65 0.062014 0.062677 0.063348 0.064025 0.064710 22.49 22.97 Citigroup Global Markets 17328WAA6 09/30/20 09/30/27 100.000 0.000 1.5842 52.68 0.046139 0.046505 0.046873 0.047245 0.047619 16.74 17.01 Citigroup Global Markets 17328Y6B5 02/03/21 02/03/26 100.000 0.000 1.0671 31.47 0.030441 0.030603 0.030766 0.030931 0.031096 11.04 11.15 Citigroup Global Markets 17329U4N8 11/26/21 11/28/28 100.000 0.000 2.1392 45.65 0.062014 0.062677 0.063348 0.064025 0.064710 22.49 22.97 Citigroup Global Markets 17326YCA2 04/26/19 04/26/29 100.000 VARIES 3.0551 22.13 0.012957 0.013155 0.013356 0.013560 0.013767 4.73 4.87 Citigroup Global Markets 17329FJR6 06/30/21 06/29/28 100.000 0.000 1.9800 50.55 0.057774 0.058346 0.058923 0.059507 0.060096 20.90 21.32 Citigroup Global Markets 17328YY24 04/06/21 10/05/26 100.000 0.000 1.8324 51.18 0.053271 0.053760 0.054252 0.054749 0.055251 19.35 19.71 Citigroup Global Markets 17328Y6K5 01/12/21 01/10/25 100.000 0.000 0.8580 25.75 0.024349 0.024453 0.024558 8.82 0.22 Citigroup Global Markets 17329U4U2 11/17/21 11/17/31 100.000 VARIES 1.8560 38.71 0.050199 0.050277 0.050356 0.050437 0.050518 18.09 18.15 Citigroup Global Markets 17328YXX7 03/31/21 03/30/28 100.000 0.000 2.0694 58.32 0.060519 0.061145 0.061778 0.062417 0.063063 22.01 22.47 Citigroup Global Markets 17328YHB3 12/30/20 12/30/27 100.000 0.000 1.4932 45.68 0.043371 0.043695 0.044021 0.044349 0.044681 15.67 15.91 Citigroup Global Markets 17329FKC7 05/28/21 05/31/28 100.000 0.000 1.9802 52.40 0.057789 0.058361 0.058939 0.059523 0.060112 20.94 21.36 Citigroup Global Markets 17328YHA5 01/29/21 01/31/28 100.000 0.000 1.4841 44.16 0.042779 0.043097 0.043417 0.043739 0.044063 15.55 15.79 Citigroup Global Markets 17330AJU7 03/23/22 03/23/26 100.000 0.000 3.4519 62.57 0.100936 0.102678 0.104450 0.106253 0.108086 36.99 38.28 Citigroup Global Markets 17328WRX8 11/30/20 05/30/24 100.000 0.000 0.8281 25.83 0.023579 3.51 Citigroup Global Markets 17329UWL1 12/23/21 12/24/26 100.000 0.000 1.9011 39.01 0.054847 0.055368 0.055895 0.056426 0.056962 19.85 20.23 Citigroup Global Markets 17328VP61 05/20/20 05/20/25 100.000 0.000 1.9603 73.05 0.058302 0.058873 0.059450 21.14 8.26 Citigroup Global Markets 17328WB80 08/21/20 11/21/25 100.000 0.000 1.2860 44.04 0.037243 0.037483 0.037724 0.037966 13.47 12.12 Citigroup Global Markets 17329QZJ2 10/29/21 10/31/28 100.000 0.000 2.2084 48.88 0.064103 0.064810 0.065526 0.066250 0.066981 23.29 23.81 Citigroup Global Markets 17329FZJ6 07/30/21 08/01/28 100.000 0.000 1.8422 45.37 0.053086 0.053574 0.054068 0.054566 0.055069 19.35 19.70 Citigroup Global Markets 17328Y5D2 02/02/21 02/02/28 100.000 0.000 1.4841 44.03 0.042778 0.043095 0.043415 0.043737 0.044062 15.55 15.78 Citigroup Global Markets 17329UV24 01/31/22 01/31/29 100.000 0.000 2.5733 50.31 0.074276 0.075232 0.076200 0.077180 0.078173 27.20 27.91 Citigroup Global Markets 17330F7M7 04/21/22 04/23/24 100.000 0.000 3.5326 61.17 0.103439 11.59 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330F7L9 04/29/22 05/01/25 100.000 0.000 4.0129 68.75 0.118341 0.120716 0.123138 43.32 14.78 Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25 100.000 0.000 2.1981 99.45 0.066655 0.067388 0.068128 24.30 4.29 Citigroup Global Markets 17328YFN9 01/29/21 01/31/28 100.000 0.000 1.4841 44.16 0.042779 0.043097 0.043417 0.043739 0.044063 15.55 15.79 Citigroup Global Markets 17328Y5K6 12/24/20 09/24/26 100.000 0.000 1.2860 39.48 0.037005 0.037242 0.037482 0.037723 0.037965 13.41 13.58 Citigroup Global Markets 17328YWJ9 03/31/21 03/31/31 100.000 0.000 2.6134 74.11 0.077464 0.078476 0.079501 0.080540 0.081593 28.25 29.00 Citigroup Global Markets 17330FHV6 04/08/22 04/10/24 100.000 0.000 3.3654 59.49 0.098301 9.73 Citigroup Global Markets 17328YWY6 03/31/21 04/01/27 100.000 0.000 1.8423 51.79 0.053580 0.054074 0.054572 0.055074 0.055582 19.47 19.83 Citigroup Global Markets 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 210.17 0.086174 2.93 Citigroup Global Markets 17329FZY3 07/30/21 08/01/28 100.000 0.000 1.8422 45.37 0.053086 0.053574 0.054068 0.054566 0.055069 19.35 19.70 Citigroup Global Markets 17330F6Z9 04/08/22 04/08/27 100.000 0.000 3.6386 64.43 0.106691 0.108632 0.110608 0.112621 0.114670 39.08 40.52 Citigroup Global Markets 17328VNJ5 06/22/20 03/21/24 100.000 0.000 1.2560 45.14 0.036337 2.91 Citigroup Global Markets 17329FZT4 07/30/21 08/01/28 100.000 0.000 1.8422 45.37 0.053086 0.053574 0.054068 0.054566 0.055069 19.35 19.70 Citigroup Global Markets 17329FJC9 05/28/21 05/31/28 100.000 0.000 1.9802 52.40 0.057789 0.058361 0.058939 0.059523 0.060112 20.94 21.36 Citigroup Global Markets 17330AZR6 04/29/22 05/01/29 100.000 0.000 4.3735 75.09 0.129662 0.132497 0.135395 0.138356 0.141381 47.53 49.63 Citigroup Global Markets 17329U4J7 11/29/21 11/27/26 100.000 0.000 1.9803 42.03 0.057213 0.057779 0.058351 0.058929 0.059513 20.74 21.15 Citigroup Global Markets 17330AZU9 04/29/22 04/29/27 100.000 0.000 4.2270 72.51 0.125020 0.127662 0.130360 0.133116 0.135929 45.81 47.77 Citigroup Global Markets 17326YSN7 02/28/19 03/04/24 100.000 0.000 3.5717 187.02 0.116419 7.33 Citigroup Global Markets 17330AJ78 04/05/22 04/05/27 100.000 0.000 3.5796 63.68 0.104868 0.106745 0.108656 0.110600 0.112580 38.42 39.80 Citigroup Global Markets 17328WA73 08/31/20 08/31/27 100.000 0.000 1.4842 50.57 0.043097 0.043415 0.043739 0.044060 0.044391 15.65 15.88 Citigroup Global Markets 17327TNS1 09/03/19 09/03/24 100.000 0.000 1.8671 83.76 0.055867 0.056389 13.61 Citigroup Global Markets 17291QLX0 09/29/23 10/01/30 100.000 0.000 5.7380 14.67 0.159440 0.164014 0.168720 0.173560 0.178540 59.06 62.49 Citigroup Global Markets 17291QMT8 09/29/23 10/01/26 100.000 0.000 5.6400 14.42 0.156716 0.161135 0.165679 0.170351 0.175155 58.02 61.34 Citigroup Global Markets 17291QML5 09/29/23 12/30/24 100.000 0.000 5.8961 15.07 0.166222 0.171122 60.56 Citigroup Global Markets 17291QJT2 09/29/23 03/31/26 100.000 0.000 5.6700 14.49 0.157500 0.161990 0.166582 0.171305 0.176161 58.33 61.69 Citigroup Global Markets 17291QJF2 09/15/23 12/17/24 100.000 0.000 5.7960 17.10 0.163385 0.168120 57.38 Citigroup Global Markets 17291QPQ1 10/04/23 01/03/25 100.000 0.000 5.9320 14.34 0.164778 0.167194 0.172153 61.07 0.34 Citigroup Global Markets 17291QR71 09/11/23 09/11/28 100.000 0.000 5.4170 16.55 0.150472 0.154548 0.158734 0.163033 0.167449 55.81 58.88 Citigroup Global Markets 17291QQR8 09/25/23 09/24/26 100.000 0.000 5.5630 14.83 0.154528 0.158802 0.163219 0.167759 0.172425 57.24 60.47 Citigroup Global Markets 17291QR55 09/29/23 07/01/26 100.000 0.000 5.6990 14.56 0.160611 0.165188 0.169895 0.174736 0.179715 58.64 62.03 Citigroup Global Markets 17291QQK3 10/04/23 01/03/25 100.000 0.000 5.9320 14.34 0.164778 0.167194 0.172153 61.07 0.34 Citigroup Global Markets 17291RXD9 09/06/23 09/03/26 100.000 0.000 5.3480 17.08 0.148556 0.152462 0.156539 0.160724 0.165022 55.13 58.11 Citigroup Global Markets 17291QDA9 10/04/23 10/02/25 100.000 0.000 5.7180 13.82 0.158833 0.163324 0.167993 0.172796 58.80 46.39 Citigroup Global Markets 17291QCW2 09/28/23 09/30/26 100.000 0.000 5.6400 14.57 0.156716 0.161135 0.165679 0.170351 0.175155 58.03 61.35 Citigroup Global Markets 17291QD27 09/28/23 09/28/28 100.000 0.000 5.6020 14.47 0.155611 0.159970 0.164451 0.169057 0.173792 57.63 60.90 Citigroup Global Markets 17291RYH9 09/06/23 09/06/28 100.000 0.000 5.3290 17.02 0.148028 0.151972 0.156021 0.160178 0.164446 54.92 57.88 Citigroup Global Markets 17291RY71 09/06/23 09/06/28 100.000 0.000 5.3290 17.02 0.148028 0.151972 0.156021 0.160178 0.164446 54.92 57.88 Citigroup Global Markets 17291QRV8 10/04/23 10/02/26 100.000 0.000 5.6310 13.61 0.156417 0.160772 0.165298 0.169952 0.174737 57.88 61.19 Citigroup Global Markets 17291QCJ1 09/29/23 10/01/25 100.000 0.000 5.7090 14.59 0.158634 0.163162 0.167819 0.172610 58.75 46.17 Citigroup Global Markets 17291QTM6 09/29/23 03/31/25 100.000 0.000 5.8250 14.89 0.161806 0.166544 0.171395 59.98 15.25 Citigroup Global Markets 17291QTG9 10/04/23 04/02/26 100.000 0.000 5.6600 13.68 0.157222 0.161622 0.166196 0.170899 0.175736 58.19 61.53 Citigroup Global Markets 17291QCG7 10/03/23 10/01/26 100.000 0.000 5.7180 13.98 0.158833 0.163324 0.167993 0.172796 0.177737 58.81 62.22 Citigroup Global Markets 17291QC44 09/15/23 10/15/24 100.000 0.000 5.6998 16.84 0.159080 0.163613 45.99 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17291QHR8 09/29/23 09/29/28 100.000 0.000 5.6500 14.44 0.156944 0.161378 0.165937 0.170625 0.175445 58.13 61.46 Citigroup Global Markets 17291QHG2 09/29/23 10/01/30 100.000 0.000 5.7380 14.67 0.159440 0.164014 0.168720 0.173560 0.178540 59.06 62.49 Citigroup Global Markets 17291QGX6 09/29/23 03/31/26 100.000 0.000 5.6700 14.49 0.157500 0.161990 0.166582 0.171305 0.176161 58.33 61.69 Citigroup Global Markets 17291QFJ8 09/29/23 12/31/24 100.000 0.000 5.9220 15.14 0.166962 0.171906 60.83 Citigroup Global Markets 17291QGG3 10/04/23 04/03/25 100.000 0.000 5.8350 14.10 0.162083 0.166786 0.171652 60.04 15.79 Citigroup Global Markets 17291QFV1 09/29/23 09/29/28 100.000 0.000 5.6500 14.44 0.156944 0.161378 0.165937 0.170625 0.175445 58.13 61.46 Citigroup Global Markets 17331C3N5 01/31/23 01/29/26 100.000 0.000 4.8220 44.82 0.137156 0.140463 0.143849 0.147317 0.150869 50.99 53.48 Citigroup Global Markets 17331CE37 02/01/23 02/01/27 100.000 0.000 4.7930 44.41 0.136330 0.139597 0.142942 0.146368 0.149875 50.66 53.12 Citigroup Global Markets 17331CDZ7 01/27/23 01/27/28 100.000 0.000 4.8610 45.60 0.138310 0.141671 0.145115 0.148642 0.152254 51.44 53.98 Citigroup Global Markets 17331CDE4 01/25/23 07/25/28 100.000 0.000 4.8410 45.69 0.137727 0.141061 0.144475 0.147972 0.151554 51.23 53.74 Citigroup Global Markets 17330YJP6 12/28/22 06/27/24 100.000 0.000 5.3480 54.67 0.156584 27.56 Citigroup Global Markets 17330YJ27 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 Citigroup Global Markets 17331C2L0 01/31/23 01/29/26 100.000 0.000 4.8220 44.82 0.137156 0.140463 0.143849 0.147317 0.150869 50.99 53.48 Citigroup Global Markets 17330YZY9 01/04/23 01/02/26 100.000 0.000 5.3680 53.94 0.153069 0.157177 0.161396 0.165728 0.170176 57.33 60.45 Citigroup Global Markets 17331C2P1 01/31/23 07/31/24 100.000 0.000 5.1050 47.48 0.145425 0.149137 31.06 Citigroup Global Markets 17331C2Q9 01/05/23 01/04/28 100.000 0.000 5.3870 53.98 0.153647 0.157786 0.162035 0.166400 0.170882 57.54 60.68 Citigroup Global Markets 17331C2U0 01/31/23 01/31/28 100.000 0.000 4.7930 44.55 0.136330 0.139597 0.142942 0.146368 0.149875 50.67 53.12 Citigroup Global Markets 17331C2T3 12/30/22 07/02/24 100.000 0.000 5.4850 55.77 0.156587 0.160882 29.12 Citigroup Global Markets 17330YZG8 12/28/22 12/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 0.164249 55.50 57.58 Citigroup Global Markets 17330YLH1 12/02/22 12/04/25 100.000 0.000 5.3870 59.17 0.157856 0.162108 0.166474 0.170958 57.83 56.24 Citigroup Global Markets 17331C5F0 01/31/23 01/30/25 100.000 0.000 4.9980 46.48 0.142303 0.145859 0.149504 52.96 4.34 Citigroup Global Markets 17330YLQ1 12/05/22 12/03/26 100.000 0.000 5.3290 58.06 0.155976 0.160132 0.164399 0.168779 0.173277 57.14 60.22 Citigroup Global Markets 17330YM31 12/28/22 12/27/24 100.000 0.000 5.2610 53.77 0.153906 0.157955 55.52 Citigroup Global Markets 17331CEQ6 01/27/23 01/27/28 100.000 0.000 4.8610 45.60 0.138310 0.141671 0.145115 0.148642 0.152254 51.44 53.98 Citigroup Global Markets 17331C4S3 01/31/23 01/31/28 100.000 0.000 4.7930 44.55 0.136330 0.139597 0.142942 0.146368 0.149875 50.67 53.12 Citigroup Global Markets 17331C4R5 01/31/23 07/31/25 100.000 0.000 4.8710 45.28 0.138601 0.141977 0.145434 0.148976 51.54 31.03 Citigroup Global Markets 17331C4U8 01/31/23 01/31/30 100.000 0.000 4.8510 45.10 0.138018 0.141366 0.144795 0.148307 0.151904 51.31 53.83 Citigroup Global Markets 17331C4V6 01/20/23 01/23/25 100.000 0.000 5.1730 49.61 0.147475 0.151289 0.155202 55.00 3.41 Citigroup Global Markets 17331C4Y0 01/31/23 07/31/25 100.000 0.000 4.8710 45.28 0.138601 0.141977 0.145434 0.148976 51.54 31.03 Citigroup Global Markets 17331CEY9 01/27/23 01/27/28 100.000 0.000 4.8610 45.60 0.138310 0.141671 0.145115 0.148642 0.152254 51.44 53.98 Citigroup Global Markets 17331C4D6 01/31/23 02/29/24 100.000 0.000 5.7470 53.62 0.164986 9.57 Citigroup Global Markets 17331C4F1 12/30/22 12/30/27 100.000 0.000 5.3580 54.45 0.156915 0.161118 0.165435 0.169867 0.174417 57.25 60.36 Citigroup Global Markets 17331C4J3 01/31/23 02/05/26 100.000 0.000 4.8220 44.84 0.137266 0.140575 0.143964 0.147435 0.150990 50.99 53.48 Citigroup Global Markets 17330YWV8 12/30/22 01/02/26 100.000 0.000 5.3100 53.96 0.151461 0.155482 0.159610 0.163848 0.168198 56.71 59.76 Citigroup Global Markets 17330YFY1 12/28/22 06/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 55.50 28.01 Citigroup Global Markets 17330YWC0 01/05/23 07/06/26 100.000 0.000 5.3680 53.79 0.153135 0.157246 0.161466 0.165800 0.170250 57.33 60.45 Citigroup Global Markets 17330YVK3 12/22/22 12/23/27 100.000 0.000 5.0460 52.42 0.147349 0.151066 0.154878 0.158785 0.162792 53.77 56.52 Citigroup Global Markets 17330YF21 12/07/22 12/07/26 100.000 0.000 5.0660 54.85 0.147941 0.151689 0.155531 0.159471 0.163510 54.12 56.89 Citigroup Global Markets 17330YES5 12/28/22 12/28/27 100.000 0.000 5.2510 53.66 0.153621 0.157654 0.161793 0.166041 0.170401 56.05 59.04 Citigroup Global Markets 17330YW89 12/30/22 12/31/25 100.000 0.000 5.3780 54.66 0.157531 0.161767 0.166117 0.170584 57.48 60.44 Citigroup Global Markets 17330YVF4 12/14/22 12/12/24 100.000 0.000 5.3190 56.55 0.155669 0.159809 53.83 Citigroup Global Markets 17330YHS2 12/27/22 01/25/24 100.000 0.000 6.0190 61.91 0.173032 4.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330YZ94 01/31/23 10/30/25 100.000 0.000 4.9000 45.66 0.141154 0.144612 0.148155 0.151785 51.87 44.95 Citigroup Global Markets 17330YZ86 12/30/22 12/31/25 100.000 0.000 5.3780 54.66 0.157531 0.161767 0.166117 0.170584 57.48 60.44 Citigroup Global Markets 17331CBT3 02/01/23 01/30/26 100.000 0.000 4.8320 44.78 0.137447 0.140768 0.144169 0.147652 0.151219 51.09 53.59 Citigroup Global Markets 17330YHA1 12/27/22 06/26/24 100.000 0.000 5.3780 55.14 0.157508 27.56 Citigroup Global Markets 17330YYC8 12/28/22 12/28/27 100.000 0.000 5.2510 53.66 0.153621 0.157654 0.161793 0.166041 0.170401 56.05 59.04 Citigroup Global Markets 17330YYG9 12/14/22 12/12/24 100.000 0.000 5.3190 56.55 0.155669 0.159809 53.83 Citigroup Global Markets 17331CBB2 01/25/23 07/24/25 100.000 0.000 4.8800 46.06 0.138845 0.142233 0.145703 0.149258 51.67 30.22 Citigroup Global Markets 17330YXP0 12/23/22 12/26/25 100.000 0.000 5.1930 53.82 0.151904 0.155848 0.159895 0.164046 55.44 57.51 Citigroup Global Markets 17330YY46 12/22/22 12/24/24 100.000 0.000 5.2120 54.17 0.152466 0.156439 54.54 Citigroup Global Markets 17330YH60 12/27/22 06/26/25 100.000 0.000 5.2320 53.62 0.153015 0.157018 0.161125 55.85 28.20 Citigroup Global Markets 17330YXB1 12/28/22 12/27/24 100.000 0.000 5.2610 53.77 0.153906 0.157955 55.52 Citigroup Global Markets 17330YXG0 01/05/23 01/05/27 100.000 0.000 5.3390 53.49 0.152265 0.156329 0.160502 0.164787 0.169186 57.00 60.08 Citigroup Global Markets 17331CAB3 01/12/23 07/14/25 100.000 0.000 5.2410 51.46 0.149442 0.153358 0.157377 0.161501 55.83 31.12 Citigroup Global Markets 17330YSP6 12/02/22 12/02/27 100.000 0.000 5.3390 58.64 0.156329 0.160502 0.164787 0.169186 0.173703 57.27 60.37 Citigroup Global Markets 17330YSR2 12/27/22 06/26/24 100.000 0.000 5.3780 55.14 0.157508 27.56 Citigroup Global Markets 17330YSQ4 12/27/22 12/27/24 100.000 0.000 5.3000 54.32 0.155128 0.159239 55.97 Citigroup Global Markets 17331CLN5 01/23/23 01/23/26 100.000 0.000 4.9880 47.38 0.142011 0.145553 0.149183 0.152904 0.156717 52.89 55.57 Citigroup Global Markets 17330YRF9 12/30/22 01/05/26 100.000 0.000 5.2410 53.27 0.149507 0.153425 0.157445 0.161571 0.165805 55.92 58.89 Citigroup Global Markets 17331CLD7 01/25/23 07/23/27 100.000 0.000 4.8220 45.51 0.137138 0.140444 0.143830 0.147298 0.150850 51.02 53.51 Citigroup Global Markets 17330YRQ5 12/05/22 12/03/27 100.000 0.000 5.3390 58.17 0.156284 0.160456 0.164739 0.169137 0.173652 57.25 60.35 Citigroup Global Markets 17330YR77 12/27/22 09/25/25 100.000 0.000 5.3000 54.49 0.153082 0.157138 0.161302 0.165577 56.63 43.35 Citigroup Global Markets 17331CKR7 01/31/23 07/31/24 100.000 0.000 5.1050 47.48 0.145425 0.149137 31.06 Citigroup Global Markets 17331CKS5 01/13/23 01/13/28 100.000 0.000 5.1240 50.14 0.145980 0.149720 0.153556 0.157490 0.161525 54.50 57.33 Citigroup Global Markets 17331CL88 01/20/23 01/23/26 100.000 0.000 5.0950 48.85 0.145195 0.148894 0.152687 0.156576 0.160565 54.12 56.91 Citigroup Global Markets 17330YDM9 12/28/22 12/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 0.164249 55.50 57.58 Citigroup Global Markets 17330YUU2 12/14/22 12/12/24 100.000 0.000 5.3190 56.55 0.155669 0.159809 53.83 Citigroup Global Markets 17330YE71 12/27/22 12/27/27 100.000 0.000 5.2710 54.02 0.154236 0.158301 0.162473 0.166755 0.171150 56.29 59.30 Citigroup Global Markets 17330YUF5 12/02/22 06/03/24 100.000 0.000 5.5820 61.35 0.163856 24.91 Citigroup Global Markets 17330YTG5 12/28/22 12/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 0.164249 55.50 57.58 Citigroup Global Markets 17330YD31 12/27/22 06/26/25 100.000 0.000 5.2320 53.62 0.153015 0.157018 0.161125 55.85 28.20 Citigroup Global Markets 17330YTU4 12/28/22 12/28/27 100.000 0.000 5.2510 53.66 0.153621 0.157654 0.161793 0.166041 0.170401 56.05 59.04 Citigroup Global Markets 17330YC81 12/27/22 12/27/27 100.000 0.000 5.2710 54.02 0.154236 0.158301 0.162473 0.166755 0.171150 56.29 59.30 Citigroup Global Markets 17330YTA8 12/28/22 12/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 0.164249 55.50 57.58 Citigroup Global Markets 17331CHW0 01/31/23 07/31/24 100.000 0.000 5.1050 47.48 0.145425 0.149137 31.06 Citigroup Global Markets 17330YNP1 12/28/22 06/26/25 100.000 0.000 5.2020 53.16 0.152072 0.156027 0.160085 55.50 28.01 Citigroup Global Markets 17331C6H5 01/25/23 01/25/27 100.000 0.000 4.7830 45.14 0.136038 0.139292 0.142623 0.146034 0.149526 50.59 53.04 Citigroup Global Markets 17330YQD5 12/05/22 12/04/25 100.000 0.000 5.4070 58.92 0.158402 0.162684 0.167083 0.171600 58.03 56.45 Citigroup Global Markets 17330YPR5 12/27/22 12/27/29 100.000 0.000 5.3680 55.03 0.157223 0.161443 0.165776 0.170225 0.174794 57.39 60.52 Citigroup Global Markets 17331CJP3 01/27/23 01/28/27 100.000 0.000 4.8410 45.41 0.137745 0.141079 0.144494 0.147992 0.151574 51.22 53.73 Citigroup Global Markets 17331CJQ1 01/19/23 01/19/28 100.000 0.000 4.9680 47.75 0.141428 0.144941 0.148541 0.152231 0.156013 52.70 55.35 Citigroup Global Markets 17331CK63 01/25/23 01/25/27 100.000 0.000 4.7830 45.14 0.136038 0.139292 0.142623 0.146034 0.149526 50.59 53.04 Citigroup Global Markets 17331CJX6 01/23/23 01/23/26 100.000 0.000 4.9880 47.38 0.142011 0.145553 0.149183 0.152904 0.156717 52.89 55.57 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17330YPG9 12/27/22 12/24/26 100.000 0.000 5.2220 53.52 0.152664 0.156651 0.160741 0.164938 0.169244 55.73 58.68 Citigroup Global Markets 17291TUY2 01/31/24 07/31/25 100.000 0.000 4.9500 0.137500 0.140903 0.144390 46.03 30.08 Citigroup Global Markets 17291TDX3 12/26/23 12/23/27 100.000 0.000 4.8100 0.67 0.133611 0.136771 0.140060 0.143429 0.146878 48.72 51.08 Citigroup Global Markets 17291TV62 02/05/24 08/05/25 100.000 0.000 5.1100 0.141944 0.145571 0.149290 46.80 31.82 Citigroup Global Markets 17291TUS5 02/01/24 02/03/28 100.000 0.000 4.9300 0.136944 0.136982 0.140359 0.143818 0.147364 45.70 52.19 Citigroup Global Markets 17291TFF0 12/27/23 03/26/26 100.000 0.000 5.2000 0.58 0.144444 0.146301 0.150105 0.154008 0.158012 52.87 55.49 Citigroup Global Markets 17291T5E4 11/30/23 12/03/30 100.000 0.000 5.5600 4.79 0.154516 0.158812 0.163227 0.167764 0.172428 56.64 59.84 Citigroup Global Markets 17291T4U9 12/05/23 12/03/26 100.000 0.000 5.2000 3.76 0.144444 0.148158 0.152010 0.155963 0.160018 52.88 55.66 Citigroup Global Markets 17291TF29 12/27/23 06/26/25 100.000 0.000 5.2000 0.58 0.144444 0.148179 0.152032 52.71 26.61 Citigroup Global Markets 17291TEK0 12/27/23 06/25/26 100.000 0.000 5.2000 0.58 0.144444 0.148158 0.152010 0.155963 0.160018 52.71 55.48 Citigroup Global Markets 17291TSQ2 01/10/24 01/08/26 100.000 0.000 5.0100 0.139167 0.142614 0.146187 0.149849 49.44 53.24 Citigroup Global Markets 17291TCY2 12/26/23 12/26/30 100.000 0.000 4.7700 0.66 0.132500 0.135660 0.138896 0.142208 0.145600 48.30 50.63 Citigroup Global Markets 17291TU55 01/31/24 01/30/31 100.000 0.000 4.3300 0.120278 0.122882 0.125542 0.128260 40.21 45.53 Citigroup Global Markets 17291TCP1 12/27/23 03/26/25 100.000 0.000 5.3600 0.60 0.148889 0.150862 0.154905 54.53 13.17 Citigroup Global Markets 17291TZH4 01/19/24 01/22/27 100.000 0.000 4.6300 0.128611 0.128661 0.131639 0.134687 0.137805 44.48 48.92 Citigroup Global Markets 17291LAD7 01/25/24 12/26/25 100.000 0.000 5.0200 0.139444 0.142381 0.145954 0.149618 47.41 52.47 Citigroup Global Markets 17291TYZ5 01/31/24 05/01/25 100.000 0.000 5.2100 0.144722 0.146628 0.150448 48.59 18.05 Citigroup Global Markets 17291THP6 12/27/23 12/24/26 100.000 0.000 5.2000 0.58 0.144444 0.148137 0.151989 0.155941 0.159995 52.72 55.48 Citigroup Global Markets 17291TXB9 01/10/24 01/10/29 100.000 0.000 5.0300 0.139722 0.143236 0.146839 0.150532 49.64 53.46 Citigroup Global Markets 17291TXE3 01/31/24 07/30/26 100.000 0.000 4.9500 0.137500 0.140903 0.144390 0.147964 46.03 52.42 Citigroup Global Markets 17291TWY0 01/10/24 01/08/27 100.000 0.000 4.9500 0.137500 0.140865 0.144352 0.147924 48.84 52.56 Citigroup Global Markets 17291TFM5 12/26/23 06/25/26 100.000 0.000 5.2000 0.72 0.144444 0.148179 0.152032 0.155985 0.160040 52.72 55.49 Citigroup Global Markets 17291TX06 02/05/24 08/05/26 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 45.14 52.16 Citigroup Global Markets 17291THF8 12/15/23 12/15/28 100.000 0.000 5.2500 2.33 0.145833 0.149661 0.153590 0.157622 0.161759 53.31 56.15 Citigroup Global Markets 17290A5G1 12/29/23 12/29/28 100.000 0.000 5.0800 0.28 0.141111 0.144695 0.148371 0.152139 0.156004 51.46 54.11 Citigroup Global Markets 17291TY44 02/05/24 05/05/26 100.000 0.000 5.0100 0.139167 0.140910 0.144440 0.148058 0.151767 45.98 53.06 Citigroup Global Markets 17291TGL6 12/26/23 12/26/25 100.000 0.000 5.2000 0.72 0.144444 0.148200 0.152053 0.156007 52.71 54.69 Citigroup Global Markets 17291TMA3 12/28/23 01/27/25 100.000 0.000 5.8700 0.49 0.163056 0.163827 0.168635 59.70 4.38 Citigroup Global Markets 17291TNH7 02/05/24 05/05/25 100.000 0.000 5.2500 0.145833 0.147747 0.151626 48.21 18.80 Citigroup Global Markets 17291TNB0 01/31/24 10/29/26 100.000 0.000 4.9500 0.137500 0.139183 0.142627 0.146157 0.149775 46.13 52.42 Citigroup Global Markets 17291TL30 12/26/23 09/24/26 100.000 0.000 5.2000 0.72 0.144444 0.146280 0.150084 0.153986 0.157990 52.88 55.50 Citigroup Global Markets 17291TKJ6 12/26/23 06/25/25 100.000 0.000 5.2000 0.72 0.144444 0.148179 0.152032 52.72 26.45 Citigroup Global Markets 17291TLP1 12/26/23 03/25/25 100.000 0.000 5.4100 0.75 0.150278 0.152288 0.156407 55.05 13.14 Citigroup Global Markets 17291LDQ5 02/01/24 05/02/25 100.000 0.000 5.2500 0.145833 0.147769 0.151648 48.82 18.35 Citigroup Global Markets 17291TKZ0 12/26/23 12/26/28 100.000 0.000 4.7700 0.66 0.132500 0.135660 0.138896 0.142208 0.145600 48.30 50.63 Citigroup Global Markets 17291TQF8 12/29/23 12/29/26 100.000 0.000 4.8900 0.27 0.135833 0.139154 0.142557 0.146042 0.149613 49.51 51.96 Citigroup Global Markets 17291TB23 12/13/23 03/13/25 100.000 0.000 5.3600 2.68 0.148889 0.150884 0.154928 54.61 11.15 Citigroup Global Markets 17291LJU0 02/07/24 02/05/27 100.000 0.000 4.7300 0.131389 0.134462 0.137642 0.140897 43.02 49.92 Citigroup Global Markets 17291TPU6 01/02/24 04/01/25 100.000 0.000 5.3000 0.147222 0.149151 0.153104 53.73 13.78 Citigroup Inc. 1730T0A90 10/30/13 10/30/33 100.000 VARIES 4.6216 410.99 0.115944 0.117312 0.118712 0.120144 0.121609 42.15 43.17 Citigroup Inc. 1730T0A82 11/15/13 11/15/28 100.000 VARIES 4.5367 407.39 0.115590 0.116770 0.117977 0.119211 0.120473 41.93 42.81 Citigroup Inc. 1730T0R76 06/27/14 06/27/34 100.000 VARIES 4.4526 371.90 0.110063 0.111174 0.112400 0.113653 0.114934 39.83 40.70 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0A58 10/22/13 10/22/33 100.000 VARIES 4.6765 405.35 0.112527 0.114202 0.115916 0.117671 0.119466 41.05 42.29 Citigroup Inc. 1730T0R50 06/18/14 06/18/34 100.000 VARIES 4.4513 373.57 0.117920 0.120493 0.122902 0.125365 0.127883 42.98 44.75 Citigroup Inc. 1730T0RN1 02/27/13 02/27/28 100.000 VARIES 3.2574 310.36 0.081577 0.082597 0.083610 0.084639 0.085685 29.80 30.54 Citigroup Inc. 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 383.85 0.121351 0.122483 0.123640 0.124606 0.125594 44.03 44.80 Citigroup Inc. 1730T02D0 10/31/14 10/31/29 100.000 VARIES 4.0094 328.41 0.100968 0.101898 0.102847 0.103797 0.104767 36.63 37.31 Citigroup Inc. 1730T0T58 06/27/14 06/27/34 100.000 VARIES 4.3618 368.46 0.104637 0.104829 0.105199 0.105576 0.105962 37.71 37.94 Citigroup Inc. 1730T0C23 11/12/13 11/12/33 100.000 VARIES 4.7621 420.22 0.116673 0.118204 0.119772 0.121377 0.123020 42.43 43.57 Citigroup Inc. 1730T0SM2 04/29/13 04/29/33 100.000 VARIES 3.4970 336.02 0.092490 0.093609 0.094493 0.095393 0.096308 33.62 34.29 Citigroup Inc. 1730T0C56 11/26/13 11/26/33 100.000 VARIES 4.7711 423.28 0.120478 0.121834 0.123221 0.124642 0.126096 43.71 44.72 Citigroup Inc. 1730T0UG2 07/09/13 07/09/28 100.000 VARIES 4.4999 431.59 0.119583 0.120572 0.121582 0.122616 0.123673 43.57 44.32 Citigroup Inc. 1730T0UB3 07/09/13 07/09/33 100.000 VARIES 4.7565 464.01 0.130766 0.132327 0.133925 0.134992 0.136085 47.90 48.78 Citigroup Inc. 17298CJ82 03/20/20 03/20/30 100.000 VARIES 2.2121 13.17 0.009342 0.009445 0.009549 0.009655 0.009762 3.40 3.48 Citigroup Inc. 17298CJ74 03/04/20 03/04/30 100.000 VARIES 1.9573 11.70 0.008240 0.008321 0.008402 0.008485 0.008568 3.00 3.06 Citigroup Inc. 1730T0UK3 07/30/13 07/30/33 100.000 VARIES 4.8333 448.85 0.125337 0.127095 0.128896 0.130740 0.132628 45.98 47.30 Citigroup Inc. 1730T0TT6 06/28/13 06/28/33 100.000 VARIES 4.5398 429.32 0.125225 0.127211 0.129241 0.131318 0.132469 45.45 46.91 Citigroup Inc. 1730T02P3 10/31/14 10/31/34 100.000 VARIES 4.7455 395.52 0.114971 0.115035 0.115100 0.115397 0.115701 41.41 41.53 Citigroup Inc. 1730T0U49 07/31/14 07/31/34 100.000 VARIES 4.3417 370.72 0.111622 0.112643 0.113686 0.114766 0.115869 40.68 41.45 Citigroup Inc. 1730T0TQ2 06/11/13 06/11/33 100.000 VARIES 4.2945 413.82 0.115104 0.116507 0.117575 0.118666 0.119781 41.74 42.57 Citigroup Inc. 1730T0TZ2 06/27/13 06/27/33 100.000 VARIES 4.6405 448.29 0.127282 0.128811 0.130375 0.131976 0.132884 46.11 47.23 Citigroup Inc. 1730T02V0 11/26/14 11/26/34 100.000 VARIES 4.2546 346.56 0.115906 0.118222 0.120589 0.122737 0.124932 42.31 43.95 Citigroup Inc. 1730T0N62 04/29/14 04/29/34 100.000 VARIES 4.5423 380.65 0.111163 0.112483 0.113818 0.115183 0.116579 40.42 41.39 Citigroup Inc. 1730T0P86 05/30/14 05/30/34 100.000 VARIES 4.4254 360.57 0.105700 0.107248 0.108825 0.110437 0.112085 38.43 39.57 Citigroup Inc. 1730T3AX1 09/30/15 09/30/35 100.000 VARIES 4.3723 318.36 0.111111 0.113456 0.115853 0.118302 0.120805 40.85 42.60 Citigroup Inc. 1730T3AW3 08/31/15 08/31/35 100.000 VARIES 4.4100 330.23 0.109875 0.109752 0.112685 0.111893 0.114834 40.54 41.25 Citigroup Inc. 1730T3AV5 08/31/15 08/31/35 100.000 VARIES 4.4143 329.43 0.115116 0.116235 0.120625 0.120907 0.125248 43.02 44.65 Citigroup Inc. 1730T3AZ6 11/30/15 11/30/35 100.000 VARIES 4.3523 320.20 0.117782 0.119969 0.122204 0.124488 0.126821 42.93 44.55 Citigroup Inc. 1730T3AY9 10/30/15 10/30/35 100.000 VARIES 4.3036 314.73 0.113922 0.116297 0.118723 0.121201 0.123733 41.73 43.49 Citigroup Inc. 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 22.45 0.007698 0.007796 0.007896 2.80 1.15 Citigroup Inc. 17298CAR9 05/28/15 05/28/35 100.000 VARIES 4.3835 340.13 0.119642 0.121869 0.124146 0.126473 0.128304 43.62 45.25 Citigroup Inc. 1730T0L31 03/28/14 03/28/34 100.000 VARIES 4.6422 399.37 0.116887 0.118283 0.119670 0.121090 0.122543 42.59 43.60 Citigroup Inc. 1730T0L64 03/12/14 03/12/34 100.000 VARIES 4.7152 389.43 0.110693 0.112236 0.113916 0.115636 0.117395 40.48 41.70 Citigroup Inc. 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 31.24 0.009886 0.010017 0.010149 0.010283 0.010419 3.59 3.69 Citigroup Inc. 17298CFV5 01/22/18 01/22/28 100.000 VARIES 3.0673 23.06 0.010955 0.011123 0.011293 0.011466 0.011642 4.03 4.15 Citigroup Inc. 1730T0VD8 09/18/13 09/18/33 100.000 VARIES 5.1093 466.63 0.133421 0.135278 0.137184 0.139138 0.141142 48.75 50.15 Citigroup Inc. 17298CFQ6 12/01/17 12/01/27 100.000 VARIES 2.8600 25.87 0.011877 0.012046 0.012219 0.012393 0.012571 4.32 4.44 Citigroup Inc. 1730T0W21 08/28/14 08/28/34 100.000 VARIES 4.2433 371.90 0.113593 0.114469 0.115364 0.116242 0.117138 41.27 41.91 Citigroup Inc. 1730T03W7 01/30/15 01/30/35 100.000 VARIES 3.9694 346.85 0.121242 0.123293 0.124911 0.126560 0.128243 44.57 45.77 Citigroup Inc. 1730T0E96 01/29/14 01/29/34 100.000 VARIES 4.6111 378.96 0.106408 0.108033 0.109758 0.111522 0.113327 39.11 40.37 Citigroup Inc. 17298CGZ5 06/19/19 06/19/26 100.000 VARIES 2.5629 24.53 0.015220 0.015415 0.015612 0.015812 0.016015 5.52 5.66 Citigroup Inc. 17298CGS1 03/29/19 03/29/29 100.000 VARIES 3.1121 24.21 0.013949 0.014166 0.014387 0.014611 0.014838 5.10 5.26 Citigroup Inc. 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 38.73 0.014071 0.014241 0.014413 0.014587 0.014764 5.15 5.27 Citigroup Inc. 17298CGL6 11/28/18 11/28/28 100.000 VARIES 3.8162 29.78 0.015663 0.015962 0.016266 0.016577 0.016893 5.71 5.93 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 17298CGC6 08/16/18 08/16/28 100.000 VARIES 3.4665 14.24 0.007265 0.007393 0.007523 0.007656 0.007790 2.72 2.81 Citigroup Inc. 17298CGD4 09/26/18 09/26/28 100.000 VARIES 3.8142 13.89 0.007340 0.007480 0.007623 0.007768 0.007917 2.69 2.80 Citigroup Inc. 1730T06D6 03/27/15 03/27/25 100.000 VARIES 3.1775 286.31 0.089567 0.089183 0.088727 32.10 7.63 Citigroup Inc. 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 26.41 0.009393 0.009505 0.009619 0.009734 3.42 2.88 Citigroup Inc. 1730T0G78 02/19/14 02/19/34 100.000 VARIES 4.7124 410.78 0.122770 0.124866 0.126725 0.128627 0.130575 45.10 46.47 Citigroup Inc. 1730T07K9 04/30/15 04/30/35 100.000 VARIES 4.1098 325.35 0.101130 0.101107 0.101268 0.101433 0.101601 36.41 36.51 Citigroup Inc. 1730T07D5 04/27/15 04/27/25 100.000 VARIES 2.3818 204.01 0.065813 0.065927 0.066043 23.73 7.66 City of Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2063 96.65 0.029923 0.031002 7.79 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1398 605.18 0.155148 0.160687 0.166423 0.172365 0.178518 57.87 62.07 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1397 397.27 0.101846 0.105482 0.109247 0.113147 0.117186 37.99 40.75 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1398 457.11 0.117187 0.121370 0.125703 0.130190 0.134838 43.71 46.88 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 426.14 0.109248 0.113148 0.117187 0.121371 0.125704 40.75 43.71 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 490.32 0.125703 0.130190 0.134838 0.139651 0.144636 46.88 50.29 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1397 564.18 0.144636 0.149799 0.155147 0.160685 0.166421 53.94 57.86 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 525.96 0.134838 0.139651 0.144636 0.149800 0.155147 50.29 53.94 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4445 80.98 0.025148 4.12 Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3811 8957.65 2.697232 2.834349 2.978584 3.130305 3.289901 1008.63 1113.92 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 9359.52 2.823093 2.968602 3.121762 3.282974 3.452662 1065.20 1178.00 Compucredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1299 3207.16 0.864676 0.888800 0.939123 323.29 139.93 Compucredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1299 3207.16 0.864676 0.888800 0.939123 323.29 139.93 Cook County, IL 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2997 570.24 0.149856 0.154576 0.159445 0.164467 0.169647 55.09 58.61 Cook County, IL 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 623.40 0.163244 0.168345 54.79 Cook County, IL 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 587.00 0.153930 0.158756 0.163733 0.168865 56.58 54.96 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3096 563.55 0.154789 0.159673 0.164710 0.169906 56.90 55.29 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 599.17 0.164463 0.169643 55.21 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3296 514.00 0.141368 0.145842 0.150457 0.155219 0.160131 51.97 55.31 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 529.93 0.145653 0.150255 0.155003 0.159900 0.164953 53.54 56.98 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7994 577.46 0.176656 0.182661 59.38 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8494 541.94 0.166284 0.171979 0.177869 0.183960 61.23 59.79 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0995 446.78 0.139134 0.144073 0.149187 0.154483 0.159966 51.28 54.98 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 432.07 0.134952 0.139776 0.144772 0.149948 0.155308 49.75 53.37 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 508.09 0.156361 0.161755 0.167335 0.173108 0.179080 57.59 61.63 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 476.95 0.147653 0.152820 0.158169 0.163704 0.169433 54.40 58.28 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2497 514.20 0.179808 0.187225 0.194947 0.202989 0.211362 66.31 71.89 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9997 550.61 0.189950 0.197548 0.205450 0.213667 70.00 72.15 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 1078.25 0.219691 0.218792 0.217858 0.216889 0.215882 78.90 78.22 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 587.38 0.200221 0.208010 70.28 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4699 603.90 0.168632 0.174087 56.63 Cook County, Illinois 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 610.03 0.149420 0.153670 50.07 Cook County, Illinois 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6101 610.58 0.147447 0.151583 49.40 Credit Agricole Corp and 22533AL96 09/13/23 09/11/25 100.000 0.000 5.3500 16.05 0.148611 0.152542 0.156623 0.160812 55.09 39.91 Credit Agricole Corporat 22533AHZ3 01/18/23 01/18/25 100.000 VARIES 4.4505 41.90 0.123624 0.123624 0.123624 44.50 2.21 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG 22551NWL6 04/01/20 10/02/25 100.000 0.000 3.0199 118.99 0.093173 0.094580 0.096008 0.097458 34.05 26.28 Credit Suisse AG 22552FJ52 06/28/19 06/28/24 100.000 0.000 2.3699 112.06 0.073195 12.96 Credit Suisse AG 22551N6K7 11/29/19 02/29/24 100.000 0.000 2.0697 87.87 0.062109 3.60 Credit Suisse AG 22552FDW9 06/05/19 06/05/24 100.000 0.000 2.3699 113.75 0.073195 11.27 Credit Suisse AG 22551LXX3 03/29/19 03/29/24 100.000 0.000 2.5700 129.14 0.080082 7.05 Credit Suisse AG 22551LVQ0 03/05/19 03/04/24 100.000 0.000 2.5700 131.07 0.080076 5.04 Credit Suisse AG London 22552FHW5 06/28/19 09/30/24 100.000 0.000 2.3697 112.09 0.072768 0.073630 19.73 Credit Suisse AG London 22548Y124 07/05/19 06/27/25 100.000 0.000 2.3699 111.56 0.073156 0.074023 0.074900 26.50 13.18 Credit Suisse AG London 22551LQP8 01/03/19 01/03/24 100.000 0.000 2.8700 152.95 0.090629 0.18 Credit Suisse AG London 22552FJ45 06/28/19 06/28/24 100.000 0.000 2.3699 112.06 0.073195 12.96 Credit Suisse AG London 22551LRH5 01/31/19 02/01/24 100.000 0.000 2.8700 150.50 0.090635 2.72 Credit Suisse AG London 22551LRW2 02/05/19 02/05/24 100.000 0.000 2.6101 135.67 0.081476 2.77 Credit Suisse AG London 22552FL26 07/29/19 07/29/24 100.000 0.000 2.4409 113.27 0.074712 0.075624 15.70 Credit Suisse AG London 22551LSS0 01/25/19 01/24/24 100.000 0.000 2.8700 150.96 0.090623 2.08 Credit Suisse AG London 22551LST8 01/25/19 01/24/24 100.000 0.000 2.8700 150.96 0.090623 2.08 Credit Suisse AG London 22552FLG5 07/26/19 07/26/24 100.000 0.000 2.4299 112.96 0.074345 0.075248 15.40 Credit Suisse AG London 22552FLJ9 07/26/19 07/26/24 100.000 0.000 2.4299 112.96 0.074345 0.075248 15.40 Credit Suisse AG London 22552FDP4 05/31/19 05/31/24 100.000 0.000 2.7591 133.92 0.086699 12.92 Credit Suisse AG London 22552FDM1 05/31/19 05/31/24 100.000 0.000 2.3601 113.61 0.072857 10.86 Credit Suisse AG London 22552FDV1 05/31/19 05/31/24 100.000 0.000 2.3601 113.61 0.072857 10.86 Credit Suisse AG London 22552FVG4 09/27/19 03/27/25 100.000 0.000 2.1800 96.81 0.066040 0.066760 0.067488 24.04 5.80 Credit Suisse AG London 22551LN48 01/03/19 01/03/24 100.000 0.000 2.8700 152.95 0.090629 0.18 Credit Suisse AG London 22552FWE8 09/30/19 06/28/24 100.000 0.000 2.1798 96.60 0.066386 11.75 Credit Suisse AG London 22551LXW5 03/29/19 03/29/24 100.000 0.000 2.5700 129.14 0.080082 7.05 Credit Suisse AG London 22552FA44 05/03/19 05/03/24 100.000 0.000 2.3601 115.58 0.072857 8.89 Credit Suisse AG London 22552FA36 04/30/19 04/30/24 100.000 0.000 2.5300 124.58 0.078696 9.36 Credit Suisse AG London 22551LZU7 03/29/19 03/29/24 100.000 0.000 2.5700 129.14 0.080082 7.05 Credit Suisse AG London 22551LZV5 04/03/19 04/02/24 100.000 0.000 2.5300 126.71 0.078690 7.16 Credit Suisse AG London 22552FBX9 05/31/19 06/03/24 100.000 0.000 2.3600 113.61 0.072871 11.08 Credit Suisse AG London 22552FBV3 05/31/19 06/03/24 100.000 0.000 2.3600 113.61 0.072871 11.08 Credit Suisse AG London 22551L3R9 08/10/18 08/12/25 100.000 0.000 2.9800 172.93 0.095988 0.097418 0.098869 0.100342 35.21 22.12 Credit Suisse AG London 22551LVE7 02/22/19 02/22/24 100.000 0.000 2.6101 134.29 0.081476 4.16 Credit Suisse AG London 22551LVC1 02/22/19 02/22/24 100.000 0.000 2.6101 134.29 0.081476 4.16 Credit Suisse AG London 22551LFL9 10/30/18 10/30/24 100.000 0.000 3.0899 171.80 0.100053 0.101599 30.19 Credit Suisse AG Nassau 22552WLY9 09/24/20 09/24/27 100.000 0.000 1.2420 41.32 0.035806 0.036029 0.036252 0.036478 0.036704 12.97 13.14 Credit Suisse AG Nassau 22552W4L6 05/28/20 05/28/27 100.000 0.000 1.9169 70.93 0.056923 0.057469 0.058020 0.058576 0.059137 20.63 21.02 Credit Suisse AG Nassau 22549M137 05/03/18 05/06/25 100.000 0.000 3.7900 236.88 0.129466 0.131919 0.134419 47.32 16.80 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26 100.000 VARIES 2.2723 46.27 0.016844 0.017036 0.017229 0.017425 0.017623 6.15 6.29 Credit Suisse USA, Inc. 22542DFF2 02/28/17 02/28/24 103.000 0.125 2.1990 165.64 0.071996 4.10 Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 100.92 0.040498 0.040768 10.78 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31 100.000 VARIES 3.7259 283.69 0.103497 0.103496 0.103497 0.103498 0.103499 37.26 37.26 Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25 100.000 VARIES 2.4835 24.61 0.009083 0.009196 0.009310 0.009426 3.29 3.30 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26 100.000 VARIES 2.2705 44.63 0.017665 0.017865 0.018068 0.018273 0.018480 6.42 6.57 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25 100.000 1.500 2.5533 217.66 0.076658 0.076273 0.077998 0.077185 28.07 23.48 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25 100.000 1.500 2.5442 214.39 0.077168 0.077620 0.078077 0.078540 27.89 25.61 Credit Suisse USA, Inc. 22548Q3E3 04/14/16 04/14/26 100.000 VARIES 2.5023 42.74 0.016245 0.016448 0.016654 0.016862 0.017073 5.92 6.07 Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26 100.000 VARIES 2.7488 67.73 0.025551 0.025902 0.026258 0.026619 0.026985 9.31 9.56 DAYTON-MONTGOMERY CNTY 23981CAC2 03/04/21 06/15/26 93.000 8.750 10.5102 32.77 0.037849 0.039838 0.041931 0.044135 0.046454 14.05 15.56 DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25 90.051 0.000 1.9399 69.39 0.051846 0.052349 0.052857 0.053370 18.91 11.19 DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24 92.210 0.000 1.8399 67.28 0.050182 0.050644 10.62 DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26 87.123 0.000 2.1560 74.89 0.056158 0.056763 0.057375 0.057993 0.058619 20.51 20.95 DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24 96.610 0.000 0.9442 28.06 0.025981 0.026104 5.84 DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25 95.041 0.000 1.0941 32.05 0.029736 0.029898 0.030062 0.030227 10.78 6.76 DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26 92.712 0.000 1.3411 38.44 0.035788 0.036028 0.036270 0.036513 0.036758 12.99 13.17 DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27 91.179 0.000 1.3911 39.24 0.036557 0.036811 0.037067 0.037325 0.037584 13.28 13.46 DEUTSCHE BANK 25160YAP3 03/25/24 03/25/29 100.000 0.000 5.5300 0.153611 0.157858 0.162223 0.166709 42.80 58.46 DEUTSCHE BANK 25160YAT5 05/31/24 03/31/36 48.312 6.250 6.2500 0.082611 0.085167 0.087778 0.090444 17.48 31.27 DEUTSCHE BANK 25160YAW8 06/17/24 06/17/36 48.312 6.250 6.2500 0.082611 0.085167 0.087778 0.090444 16.05 31.20 DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27 91.910 0.000 1.3230 40.57 0.035093 0.035325 0.035558 0.035794 0.036030 12.74 12.91 DRISCOLL TEX INDPT SCH 262068DE6 01/06/21 08/15/29 88.305 0.000 1.4500 38.94 0.036933 0.037201 0.037470 0.037742 0.038016 13.42 13.61 DRISCOLL TEX INDPT SCH 262068DF3 01/06/21 08/15/30 84.988 0.000 1.7000 44.08 0.041946 0.042302 0.042662 0.043025 0.043390 15.26 15.52 DRISCOLL TEX INDPT SCH 262068DC0 01/06/21 08/15/27 92.458 0.000 1.1901 33.35 0.031526 0.031714 0.031902 0.032092 0.032283 11.43 11.57 DRISCOLL TEX INDPT SCH 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Bank AG 25152RUV3 01/31/13 01/31/33 100.000 VARIES 2.3745 240.05 0.063303 0.063800 0.064177 0.064558 0.064944 23.01 23.29 Deutsche Bank AG 25152RVD2 06/28/13 06/28/33 100.000 VARIES 2.0551 200.20 0.055247 0.055643 0.055936 0.056233 0.056532 19.96 20.19 Deutsche Bank AG 25152RVT7 03/31/14 03/31/34 100.000 VARIES 1.1016 93.87 0.027266 0.027416 0.027567 0.027719 0.027872 9.87 9.98 Deutsche Bank AG 25152RXB4 06/30/14 06/30/34 100.000 VARIES 1.0463 87.61 0.026048 0.026184 0.026321 0.026459 0.026597 9.40 9.50 Deutsche Bank AG 25152RXE8 09/30/14 09/30/29 100.000 VARIES 1.1689 98.66 0.030276 0.030453 0.030631 0.030810 0.030990 10.96 11.09 Deutsche Bank AG 25152RXC2 08/28/14 08/28/34 100.000 VARIES 0.8844 73.57 0.022293 0.022392 0.022491 0.022590 0.022690 8.07 8.14 Deutsche Bank AG 25152R6M0 09/07/16 09/08/26 100.000 VARIES 3.0640 217.74 0.083449 0.083728 0.084012 0.084285 0.084563 30.16 30.36 Deutsche Bank AG 25152R2S1 07/31/15 07/31/25 100.000 VARIES 3.0783 259.14 0.085585 0.085566 0.085548 0.085528 30.80 17.88 Deutsche Bank AG 251526BZ1 06/01/18 01/13/26 95.724 4.100 4.7762 29.81 0.016693 0.017092 0.017500 0.017918 0.018346 6.22 6.52 Deutsche Bank AG London 251526BY4 06/01/18 05/30/24 95.400 3.700 4.5860 42.41 0.024060 3.58 Diebold Nixdorf Holding D3130AAA8 12/29/22 07/15/25 100.000 VARIES 13.4500 17.69 0.053944 0.058367 0.061456 0.061615 20.22 12.97 Diebold Nixdorf, Incorpo 25365TAF9 12/29/22 07/15/25 69.750 VARIES 26.6530 97.37 0.322200 0.368789 0.411233 0.411233 0.448733 124.38 80.75 Diebold Nixdorf, Incorpo 25365TAG7 12/29/22 07/15/25 69.000 7.900 24.6600 101.43 0.327473 0.367283 0.410165 0.421875 127.18 80.58 Diebold Nixdorf, Incorpo 253651AD5 12/29/22 07/15/25 69.000 9.375 26.9800 101.91 0.294744 0.334500 0.379622 0.397687 127.35 77.55 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ EAGLE MTN & SAGINAW TEX 269696PK0 12/17/20 08/15/24 96.646 0.000 0.9339 27.76 0.025702 0.025822 5.78 EAGLE MTN & SAGINAW TEX 269696PL8 12/17/20 08/15/25 95.306 0.000 1.0341 30.35 0.028137 0.028283 0.028429 0.028576 10.20 6.39 EAGLE MTN & SAGINAW TEX 269696MU1 07/02/20 08/15/25 92.667 0.000 1.4931 49.49 0.040258 0.040559 0.040862 0.041167 14.63 9.21 EAGLE MTN & SAGINAW TEX 269696MV9 07/02/20 08/15/26 89.494 0.000 1.8220 58.62 0.047931 0.048367 0.048808 0.049253 0.049701 17.45 17.77 EAGLE MTN & SAGINAW TEX 269696MT4 07/02/20 08/15/24 94.364 0.000 1.4131 47.64 0.038703 0.038977 8.72 ECONOMIC DEVELOPMENT 750209AE8 06/27/24 01/01/35 100.000 VARIES 6.0000 0.023330 0.143778 0.148111 0.152500 26.42 54.11 ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27 90.148 0.000 1.5630 43.69 0.040796 0.041115 0.041436 0.041760 0.042086 14.83 15.06 ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26 92.338 0.000 1.4130 40.38 0.037626 0.037892 0.038160 0.038429 0.038701 13.67 13.86 EDGEWOOD OHIO CITY SCH 280455FH4 12/19/19 12/01/27 77.391 0.000 3.2499 107.49 0.079353 0.080642 0.081952 0.083284 0.084637 28.88 29.82 EDGEWOOD OHIO CITY SCH 280455FJ0 12/19/19 12/01/28 74.279 0.000 3.3499 106.53 0.078811 0.080131 0.081473 0.082838 0.084225 28.69 29.66 EDGEWOOD OHIO CITY SCH 280455FG6 12/19/19 12/01/24 86.505 0.000 2.9500 108.48 0.079579 0.080753 26.47 EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24 95.211 0.000 1.2112 40.41 0.033240 0.033441 7.48 EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45 39.206 0.000 3.6499 66.05 0.045750 0.046585 0.047435 0.048301 0.049183 16.87 17.49 EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39 49.670 0.000 3.5499 81.22 0.056157 0.057154 0.058168 0.059201 0.060251 20.70 21.44 EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34 61.883 0.000 3.2498 92.10 0.063320 0.064349 0.065394 0.066457 0.067537 23.29 24.05 EURONET WORLDWIDE INC 298736AJ8 03/18/19 03/15/49 100.000 0.750 5.4000 286.14 0.184926 0.189357 0.193907 0.198580 0.203379 68.32 71.65 EURONET WORLDWIDE INC 298736AL3 03/18/19 03/15/49 100.000 0.750 5.4000 286.14 0.184926 0.189357 0.193907 0.198580 0.203379 68.32 71.65 EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24 97.048 0.000 0.9272 28.39 0.025637 1.13 EXPEDIA GROUP INC U3010DAM2 03/03/21 03/15/31 99.081 2.950 3.3084 92.78 0.091244 0.091283 0.091322 0.091362 0.091403 32.86 32.89 EXPEDIA GROUP INC 30212PBF1 03/03/21 03/15/31 99.081 2.950 3.3084 92.78 0.091244 0.091283 0.091322 0.091362 0.091403 32.86 32.89 EXPEDIA GROUP INC 30212PBB0 07/14/20 08/01/27 99.997 4.625 4.8755 168.88 0.135428 0.135429 0.135429 0.135429 0.135429 48.75 48.75 EXPEDIA GROUP INC 30212PAS4 05/05/20 05/01/25 100.000 6.250 6.7500 246.75 0.187500 0.187500 0.187500 67.50 22.50 East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 723.19 0.175133 15.76 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 679.13 0.164723 0.170101 0.175655 61.25 15.81 East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5499 637.50 0.154866 0.159937 0.165175 0.170585 0.176171 57.59 61.43 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 597.95 0.145375 0.150143 0.155068 0.160154 0.165407 54.07 57.67 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5700 560.74 0.136435 0.140917 0.145547 0.150328 0.155266 50.74 54.13 Exelon Corporation 30161NAE1 06/17/14 06/01/24Y 100.000 VARIES 4.8846 484.61 0.136527 20.48 FABENS TEX INDPT SCH DIS 302783MM4 12/21/21 02/15/30 84.263 0.000 2.1119 36.69 0.051176 0.051716 0.052262 0.052814 0.053372 18.67 19.06 FABENS TEX INDPT SCH DIS 302783ML6 12/21/21 02/15/29 86.663 0.000 2.0119 35.92 0.050060 0.050563 0.051072 0.051586 0.052105 18.25 18.62 FAIRFIELD OHIO CITY SCH 304657NX3 11/06/19 11/01/31 68.568 0.000 3.1731 95.79 0.068517 0.069604 0.070708 0.071830 0.072970 24.99 25.79 FAIRFIELD OHIO CITY SCH 304657NY1 11/06/19 11/01/32 66.020 0.000 3.2230 93.77 0.067141 0.068223 0.069323 0.070440 0.071575 24.50 25.29 FAIRFIELD OHIO CITY SCH 304657NV7 11/06/19 11/01/29 73.964 0.000 3.0430 98.86 0.070518 0.071591 0.072681 0.073787 0.074909 25.71 26.50 FAIRFIELD OHIO CITY SCH 304657NW5 11/06/19 11/01/30 71.376 0.000 3.0931 97.06 0.069306 0.070378 0.071467 0.072572 0.073694 25.27 26.06 FEDERAL HOME LOAN 3130B1GM3 05/28/24 08/27/25 99.745 5.000 5.2100 0.005351 0.005628 0.005638 1.19 1.36 FEDERAL HOME LOAN 3130B0F87 03/11/24 06/11/25 99.670 4.850 5.1300 0.006935 0.007213 0.007312 2.10 3.30 FEDERAL HOME LOAN 3130B0CD9 03/01/24 02/26/29 98.438 4.250 4.5900 0.010167 0.007527 0.007814 0.007903 2.79 2.87 FEDERAL HOME LOAN 3130B1JG3 05/24/24 05/24/29 98.734 4.250 4.5400 0.006129 0.006393 0.006398 0.006667 1.38 2.37 FEDERAL HOME LOAN 3130B0GC7 03/18/24 06/18/25 99.625 4.750 5.0600 0.007957 0.008000 0.008315 2.34 1.41 FEDERAL HOME LOAN 3130AYZP4 02/20/24 02/20/26 100.000 VARIES 4.8000 0.018315 0.017312 0.017705 0.017688 5.69 6.51 FEDERAL HOME LOAN 3130AYZS8 02/16/24 12/01/25 99.735 5.000 5.1600 0.003913 0.003925 0.004098 0.004167 1.26 0.14 FEDERAL HOME LOAN 3130B0M89 03/28/24 12/28/28 98.300 4.000 4.4000 0.008710 0.008919 0.009185 0.009297 0.009565 2.50 3.40 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ FEDERAL HOME LOAN 3130AXYC6 12/05/23 12/05/25 99.250 4.600 5.0000 0.27 0.009891 0.010109 0.010440 0.010710 3.68 3.59 FEDERAL HOME LOAN 3130B0KW8 03/21/24 03/21/29 97.500 4.000 4.5600 0.012151 0.012568 0.012634 0.013169 3.54 4.72 FEDERAL HOME LOAN 3130B0RB7 04/10/24 04/10/28 98.875 4.375 4.6900 0.006973 0.007228 0.007351 0.007554 1.89 2.71 FEDERAL HOME LOAN 3130B2DE2 08/15/24 12/15/25 99.700 4.350 4.5800 0.005914 0.006175 0.006260 0.82 2.18 FEDERAL HOME LOAN BANKS 3130AT4J3 09/15/22 09/15/27 100.000 VARIES 3.5100 19.12 0.039451 0.038696 0.039061 0.039500 0.039778 14.23 14.22 FEDERAL HOME LOAN BANKS 3130ASTQ2 08/25/22 08/25/27 100.000 VARIES 3.2700 30.19 0.059891 0.060110 0.059022 0.060056 0.060056 21.85 21.62 FEDERAL HOME LOAN MORT 3134H1ET6 10/10/23 07/01/33 92.000 3.700 4.7360 1.48 0.018583 0.018665 0.019162 0.019560 0.020080 6.72 7.04 FEDERAL HOME LOAN MORT 3134H1GB3 10/06/23 10/05/26 99.270 5.100 5.3669 0.54 0.006414 0.006492 0.006679 0.006845 0.007137 2.34 2.46 FEDERAL HOME LOAN MTG CO 3134GYH21 03/03/23 06/01/27 98.975 4.000 4.2665 1.86 0.005840 0.006477 0.006710 0.006756 0.006999 2.33 2.43 FEDERAL NATIONAL 3135GAMY4 02/05/24 08/05/27 98.700 4.000 4.4000 0.009656 0.009868 0.010086 0.010308 3.18 3.66 FEDERAL NATIONAL 3135GALK5 01/10/24 04/10/25 99.406 4.250 4.7500 0.012341 0.013257 0.013572 4.60 1.34 FEDERAL NATIONAL 3135GAM40 01/22/24 12/14/26 99.100 4.000 4.3300 0.008202 0.008380 0.008562 0.008747 2.81 3.11 FEDERAL NATIONAL 3135GALW9 01/16/24 01/14/28 99.150 4.500 4.7400 0.005424 0.005568 0.005700 0.005835 1.90 2.07 FEDERAL NATIONAL 3135GANM9 02/12/24 08/12/27 98.350 4.000 4.5100 0.012235 0.012511 0.012793 0.013082 3.94 4.63 FEDERAL NATIONAL 3135GAKP5 12/13/23 12/13/27 98.330 4.000 4.4600 0.19 0.010722 0.010961 0.011205 0.011455 0.011711 3.91 4.09 FEDERAL NATIONAL 3135GAJN2 07/24/23 07/24/26 98.800 4.500 4.9400 1.64 0.010445 0.010703 0.010967 0.011238 0.011515 3.89 4.08 FEDERAL NATIONAL 3135GAU33 08/06/24 08/07/28 98.945 4.250 4.5400 0.006759 0.006913 0.007070 0.98 2.51 FEDERAL NATIONAL 3135GAU58 08/14/24 08/14/28 98.500 3.620 4.0300 0.009704 0.009900 0.010099 1.33 3.58 FEDERAL NATIONAL 3135GAU66 08/12/24 08/12/27 98.500 3.480 4.0100 0.013209 0.013474 0.013744 1.84 4.88 FEDERAL NATIONAL 3135GAU74 08/16/24 08/13/27 99.305 4.000 4.2500 0.005986 0.006249 0.006382 0.83 2.26 FEDERAL NATIONAL 3135GAUD1 08/26/24 08/26/27 98.600 3.500 4.0000 0.012330 0.012576 0.012828 1.54 4.55 FEDERAL NATIONAL 3135GAUF6 08/30/24 08/28/29 99.000 4.000 4.2200 0.004930 0.005160 0.005269 0.61 1.87 FEDERAL NATIONAL 3135GADF5 12/13/22 02/13/26 98.950 4.500 4.8600 3.31 0.009060 0.009282 0.009505 0.009736 0.003273 3.31 3.35 FEDERAL NATIONAL 3135GAUH2 08/30/24 08/28/28 99.250 4.000 4.2100 0.004725 0.004945 0.005049 0.58 1.79 FEDERAL NATIONAL 3135GAQC8 03/20/24 03/19/27 99.430 4.650 4.8600 0.004986 0.005115 0.005239 0.005366 1.41 1.89 FEDERAL NATIONAL 3135GAR52 04/15/24 07/15/25 99.570 4.690 5.0500 0.009388 0.009626 0.004875 2.42 1.88 FEDERAL NATIONAL 3135GAR60 04/11/24 04/11/29 95.720 3.500 4.4600 0.021486 0.021965 0.022456 0.022957 5.62 8.08 FEDERAL NATIONAL 3135GAQU8 04/09/24 04/09/27 98.750 4.250 4.7000 0.010912 0.011169 0.011431 0.011700 2.88 4.11 FEDERAL NATIONAL 3135GAQV6 04/02/24 10/02/26 99.230 4.500 4.8300 0.008152 0.008349 0.008551 0.008757 2.21 3.08 FEDERAL NATIONAL 3135GAQW4 04/02/24 04/02/27 98.685 4.250 4.7300 0.011476 0.011747 0.012025 0.012309 3.11 4.33 FEDERAL NATIONAL 3135GASJ1 05/17/24 05/17/28 98.775 4.500 4.8400 0.007812 0.008001 0.008195 0.008393 1.76 2.93 FEDERAL NATIONAL 3135GAT27 05/28/24 05/28/27 98.825 4.500 4.9300 0.102290 0.010481 0.010739 0.011003 2.19 3.84 FEDERAL NATIONAL 3135GASS1 05/14/24 05/14/29 98.348 4.375 4.7500 0.008239 0.008435 0.008635 0.008840 1.88 3.09 FEDERAL NATIONAL 3135GAT84 05/29/24 05/29/29 98.725 4.500 4.7900 0.006353 0.006505 0.006661 0.006821 1.35 2.38 FEDERAL NATIONAL 3135GATE1 06/04/24 06/04/27 98.900 4.500 4.9000 0.009579 0.009814 0.010054 0.010300 1.99 3.59 FEDERAL NATIONAL 3135GAS51 04/26/24 12/01/27 99.100 4.750 5.0200 0.006491 0.006654 0.006821 0.006993 1.55 2.44 FEDERAL NATIONAL MORTGAG 3135GATL5 06/04/24 06/04/27 98.360 4.250 4.8400 0.014291 0.014638 0.014992 0.015355 2.97 5.35 FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31 93.000 8.250 9.3165 13.59 0.014964 0.015661 0.016391 0.017154 0.017954 5.54 6.06 FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24 96.122 0.000 0.9940 32.63 0.027339 0.027475 6.15 FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25 93.831 0.000 1.3940 46.23 0.037925 0.038189 0.038455 13.77 1.69 FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24 95.313 0.000 1.3441 45.24 0.037086 1.63 FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29 87.101 0.000 1.8140 40.65 0.045624 0.046038 0.046456 0.046877 0.047302 16.61 16.91 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan 3134A1H60 10/22/97 06/03/24 16.813 0.000 6.8127 804.05 0.183007 27.82 Federal Home Loan 312902VL0 04/25/01 01/04/25 20.007 0.000 6.6235 736.34 0.166854 0.172380 0.178089 63.05 0.53 Federal Home Loan 312902VK2 04/25/01 01/04/24 21.145 0.000 6.6664 788.01 0.179206 0.54 Federal Home Loan 312902VN6 04/25/01 01/04/27 17.654 0.000 6.6034 645.94 0.146121 0.150945 0.155929 0.161077 0.166396 55.21 58.91 Federal Home Loan 312902VM8 04/25/01 01/04/26 18.780 0.000 6.6160 689.67 0.156179 0.161346 0.166683 0.172197 0.177893 59.01 62.98 Federal Home Loan 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2411 538.95 0.119899 0.123640 0.127499 0.131477 0.135580 43.97 46.75 Federal Home Loan 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4199 568.38 0.115229 0.118352 0.121559 0.124853 0.128237 42.34 44.66 Federal Home Loan 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9700 692.99 0.147426 0.151827 0.156359 0.161026 54.04 54.00 Federal Home Loan 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 337.46 0.081007 0.083050 0.085145 0.087292 0.089494 29.90 31.43 Federal Home Loan 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 536.51 0.124177 0.128275 0.132508 0.136881 0.141398 45.56 48.61 Federal Home Loan 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 632.24 0.146518 0.151592 0.156841 0.162272 0.167892 55.06 58.94 Federal Home Loan 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2422 291.97 0.072414 0.074312 0.076259 0.078258 0.080310 26.75 28.17 Federal Home Loan Banks 3130AUWM2 02/28/23 02/28/28 100.000 VARIES 4.2900 10.71 0.034722 0.033667 0.033444 0.033167 0.033278 22.85 34.81 Federal Home Loan Banks 3130AYPR1 01/29/24 04/28/25 99.650 4.625 4.9200 0.007541 0.007581 0.007912 2.56 0.94 Federal Home Loan Banks 3130AYJQ0 01/17/24 04/17/26 98.500 3.500 4.1400 0.017391 0.016503 0.016409 0.016612 0.024011 5.82 6.02 Federal Home Loan Banks 3130AYK88 01/18/24 04/17/26 98.410 3.500 4.1800 0.018462 0.017541 0.017308 0.017596 0.025440 6.15 6.41 Federal Home Loan Banks 3130AWHW3 06/28/23 06/28/27 98.750 4.500 4.8500 1.46 0.008033 0.008251 0.008516 0.008556 0.008833 4.43 7.56 Federal Home Loan Mort 3134GYA28 12/30/22 12/30/24 100.000 VARIES 4.6431 6.27 0.017310 0.017310 6.23 Federal National 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 427.96 0.102278 0.104996 0.107787 0.110652 0.113593 37.56 39.59 Federal National 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 397.51 0.087255 0.089567 0.091941 0.094377 0.096878 32.24 33.97 Federal National 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 476.04 0.109025 0.112409 0.115898 0.119496 0.123205 40.57 43.13 Federal National 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 365.07 0.084552 0.086907 0.089328 0.091816 0.094373 30.94 32.69 Federal National 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 391.82 0.083729 0.085741 0.087801 0.089911 0.092072 30.57 32.06 Florida Developmenatal 34061WCD4 12/28/22 07/15/46 90.000 9.625 10.8030 5.59 0.026889 0.025500 0.024167 0.022944 0.021778 9.43 8.49 Forney Independent SD 3464243J1 02/18/14 08/15/53 4.514 0.000 8.0005 52.78 0.021123 0.021968 0.022847 0.023760 0.024711 7.99 8.64 Forney Independent SD 3464243F9 02/18/14 08/15/50 6.021 0.000 7.8503 68.55 0.027269 0.028339 0.029452 0.030608 0.031809 10.31 11.13 Forney Independent SD 3464243G7 02/18/14 08/15/51 5.475 0.000 7.9003 62.89 0.025069 0.026059 0.027088 0.028158 0.029271 9.48 10.24 Forney Independent SD 3464243H5 02/18/14 08/15/52 4.974 0.000 7.9503 57.64 0.023023 0.023939 0.024890 0.025880 0.026908 8.71 9.41 Forney Independent SD 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 106.39 0.041558 0.043096 0.044690 0.046344 0.048059 15.66 16.84 Forney Independent SD 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 97.67 0.038308 0.039745 0.041236 0.042782 0.044386 14.45 15.55 Forney Independent SD 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6001 89.49 0.035240 0.036579 0.037969 0.039412 0.040910 13.30 14.33 Forney Independent SD 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 81.81 0.032348 0.033593 0.034887 0.036230 0.037625 12.21 13.17 Forney Independent SD 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8003 74.64 0.029633 0.030788 0.031989 0.033237 0.034533 11.20 12.09 Forney Independent SD 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 134.06 0.052045 0.053932 0.055887 0.057913 0.060012 19.60 21.05 Forney Independent SD 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 124.24 0.048333 0.050097 0.051926 0.053821 0.055786 18.21 19.56 Forney Independent SD 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 115.03 0.044840 0.046488 0.048197 0.049968 0.051804 16.90 18.16 Forney Independent SD 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 167.39 0.064588 0.066881 0.069255 0.071714 0.074260 24.30 26.06 Forney Independent SD 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1501 155.60 0.060164 0.062315 0.064542 0.066850 0.069240 22.64 24.29 Forney Independent SD 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2001 144.50 0.055986 0.058001 0.060089 0.062253 0.064494 21.08 22.62 Forney Independent SD 346424X90 08/27/13 08/15/38 17.946 0.000 7.0000 186.24 0.069276 0.071701 0.074211 0.076808 0.079496 26.05 27.90 Forney Independent SD 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 150.38 0.056176 0.058171 0.060236 0.062374 0.064588 21.13 22.66 Forney Independent SD 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1001 140.24 0.052390 0.054250 0.056176 0.058170 0.060235 19.71 21.13 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Forney Independent SD 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 130.79 0.048860 0.050594 0.052390 0.054250 0.056176 18.38 19.71 Forney Independent SD 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 173.38 0.064631 0.066909 0.069268 0.071709 0.074237 24.31 26.05 Forney Independent SD 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0501 161.77 0.060304 0.062430 0.064631 0.066909 0.069267 22.68 24.31 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 260.99 0.068400 0.070158 0.071961 0.073810 0.075706 24.94 26.24 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 229.72 0.052525 0.053313 0.054113 0.054924 0.055748 19.27 19.85 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 252.03 0.063364 0.064743 0.066151 0.067589 0.069060 23.19 24.21 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 253.11 0.064054 0.065491 0.066960 0.068462 0.069998 23.45 24.52 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5434 262.77 0.070378 0.071977 0.073612 0.075284 0.076994 25.68 26.86 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5439 265.77 0.070381 0.071980 0.073615 0.075288 0.076998 25.97 27.16 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9803 274.32 0.069479 0.071209 0.072982 0.074800 0.076662 25.36 26.64 GCI LIBERTY INC 36164VAA5 06/18/18 09/30/46 100.000 1.750 6.9511 441.22 0.255931 0.263136 0.270592 0.278307 0.286291 94.77 100.23 GDB DEBT RECOVERY AUTH 36829QAA3 11/29/18 08/20/40 100.000 7.500 0.0000 74.32 0.041381 0.040874 0.037313 0.036833 0.033249 7.21 5.89 GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26 93.714 0.000 1.1575 33.05 0.031058 0.031237 0.031418 0.031600 0.031783 11.26 11.39 GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25 95.691 0.000 0.9546 27.76 0.026016 0.026140 0.026265 0.026390 9.42 5.91 GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24 97.131 0.000 0.8046 23.71 0.022171 0.022260 4.98 GO TO GROUP 38349YAA3 02/05/24 05/01/28 84.750 5.500 10.0046 0.082809 0.083322 0.087490 0.091866 0.096461 27.48 33.35 GO TO GROUP 38349YAB1 02/05/24 05/01/28 58.500 5.500 20.6755 0.177833 0.185752 0.204955 0.226142 0.249520 62.27 82.90 GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27 91.656 0.000 1.4001 40.82 0.037037 0.037296 0.037558 0.037820 0.038085 13.45 13.64 GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26 93.148 0.000 1.3579 40.21 0.036465 0.036713 0.036962 0.037213 0.037466 13.24 13.42 GRANBURY TEX INDPT SCH 385064SF8 06/25/20 08/01/28 83.987 0.000 2.1660 66.12 0.054021 0.054606 0.055198 0.055796 0.056400 19.73 20.16 GRANBURY TEX INDPT SCH 385064SB7 06/25/20 08/01/24 94.332 0.000 1.4281 48.42 0.039110 0.039389 8.26 GRANBURY TEX INDPT SCH 385064SC5 06/25/20 08/01/25 92.530 0.000 1.5280 50.89 0.041172 0.041487 0.041804 0.042123 14.97 8.84 GRANBURY TEX INDPT SCH 385064SD3 06/25/20 08/01/26 89.407 0.000 1.8439 59.63 0.048476 0.048923 0.049374 0.049829 0.050289 17.67 17.99 GRANBURY TEX INDPT SCH 385064SE1 06/25/20 08/01/27 87.165 0.000 1.9440 61.38 0.049980 0.050465 0.050956 0.051451 0.051951 18.23 18.58 GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27 82.085 0.000 2.8008 99.10 0.071572 0.072574 0.073590 0.074621 0.075666 25.95 26.68 GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25 87.834 0.000 2.5610 96.53 0.069350 0.070238 25.13 GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28 79.515 0.000 2.8508 97.80 0.070712 0.071720 0.072743 0.073779 0.074831 25.64 26.37 GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29 76.605 0.000 2.9509 97.70 0.070802 0.071847 0.072907 0.073982 0.075074 25.68 26.44 GREENWOOD TEX INDPT SCH 397370HZ3 12/05/19 02/15/25 87.541 0.000 2.5777 96.27 0.068905 0.069793 0.070693 25.21 3.11 GREENWOOD TEX INDPT SCH 397370HY6 12/05/19 02/15/24 90.290 0.000 2.4497 94.14 0.067223 2.96 GREENWOOD TEX INDPT SCH 397370JA6 12/05/19 02/15/26 84.807 0.000 2.6777 97.06 0.069596 0.070528 0.071473 0.072429 0.073399 25.48 26.16 GS FINANCE 40058ATR5 06/20/24 12/17/26 100.000 0.000 5.2533 0.145925 0.149694 0.153626 0.157661 27.92 54.71 GS FINANCE 40057XLZ6 02/02/24 02/08/27 100.000 0.000 5.0300 0.139722 0.139839 0.143356 0.146962 0.150658 46.51 53.30 GS FINANCE 40057XLY9 02/02/24 02/04/27 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 46.50 53.30 GS FINANCE 40057XM85 01/05/24 01/07/27 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 50.47 53.61 GS FINANCE 40057XLV5 02/05/24 02/05/26 100.000 0.000 5.0750 0.140972 0.144549 0.148217 0.151978 46.48 53.78 GS FINANCE 40058EP91 08/21/24 08/21/31 100.000 0.000 4.8600 0.135000 0.138281 0.141641 17.55 50.05 GS FINANCE 40057XM51 02/02/24 02/13/31 100.000 0.000 5.2300 0.145278 0.145510 0.149315 0.153220 0.157226 48.40 55.55 GS FINANCE 40058ATY0 06/25/24 06/25/29 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 26.84 53.98 GS FINANCE 40057YPE7 03/20/24 09/20/27 100.000 0.000 5.1925 0.144236 0.147981 0.151823 0.155764 40.91 54.75 GS FINANCE 40058AU69 06/18/24 06/18/29 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 27.50 53.28 GS FINANCE 40058ATU8 07/02/24 07/02/31 100.000 0.000 5.3000 0.147222 0.151124 0.155128 26.35 55.12 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058ACS1 05/28/24 05/28/26 100.000 0.000 5.4400 0.151111 0.155221 0.159443 0.163780 32.32 56.92 GS FINANCE 40058AUC6 06/26/24 06/28/29 100.000 0.000 5.2100 0.144722 0.144764 0.148535 0.152405 0.156375 26.79 54.19 GS FINANCE 40057YPK3 04/01/24 04/01/26 100.000 0.000 5.2600 0.146111 0.149954 0.153898 0.157945 39.80 55.41 GS FINANCE 40058EPG5 08/21/24 02/20/26 100.000 0.000 4.9012 0.136144 0.139462 0.142880 17.70 50.49 GS FINANCE 40058ADJ0 05/31/24 05/30/31 100.000 0.000 5.5063 0.152953 0.157164 0.161491 0.165937 32.40 57.63 GS FINANCE 40057YPV9 03/19/24 03/18/27 100.000 0.000 5.0758 0.140994 0.144553 0.148221 0.151983 40.13 53.46 GS FINANCE 40058ADH4 05/31/24 06/12/29 100.000 0.000 5.4200 0.150556 0.150828 0.154915 0.159113 0.163425 31.90 56.69 GS FINANCE 40057YQ55 04/01/24 03/29/29 100.000 0.000 5.1571 0.143253 0.146906 0.150694 0.154579 39.01 54.27 GS FINANCE 40058ADG6 05/31/24 05/30/31 100.000 0.000 5.5063 0.152953 0.157164 0.161491 0.165937 32.40 57.63 GS FINANCE 40058ADF8 05/31/24 06/02/27 100.000 0.000 5.4100 0.150278 0.150323 0.154389 0.158565 0.162855 31.84 56.58 GS FINANCE 40057XMP7 01/17/24 01/17/29 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 49.42 54.31 GS FINANCE 40058A3C6 04/15/24 10/16/25 100.000 0.000 5.5950 0.155417 0.159789 0.164259 40.11 46.34 GS FINANCE 38151F6J7 08/16/24 08/16/39 100.000 0.000 5.3800 0.149444 0.153465 0.157593 20.18 55.62 GS FINANCE 40058ADC5 05/31/24 12/03/26 100.000 0.000 5.4625 0.151736 0.151805 0.155951 0.160211 0.164587 32.15 57.15 GS FINANCE 40057YPP2 03/28/24 03/28/31 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 40.55 55.88 GS FINANCE 40058AE34 05/07/24 05/04/27 100.000 0.000 5.5750 0.154861 0.159106 0.163541 0.168100 36.48 58.59 GS FINANCE 40058AV35 07/01/24 07/01/31 100.000 0.000 5.3500 0.152586 0.152586 0.160859 26.75 55.67 GS FINANCE 40058ADL5 05/31/24 05/31/30 100.000 0.000 5.4038 0.150106 0.154161 0.158327 0.162604 31.80 56.51 GS FINANCE 40058EPY6 08/16/24 08/19/26 100.000 0.000 4.8900 0.135833 0.135889 0.139211 0.142615 18.34 50.41 GS FINANCE 40058ADK7 05/31/24 12/02/27 100.000 0.000 5.4125 0.150347 0.150392 0.154462 0.158643 0.162936 31.85 56.60 GS FINANCE 40057XND3 01/10/24 02/05/25 100.000 0.000 5.3900 0.149722 0.150283 0.154333 53.33 5.25 GS FINANCE 40057YQG1 03/22/24 03/26/31 100.000 0.000 5.3300 0.148056 0.148143 0.152091 0.156144 0.160306 41.71 56.26 GS FINANCE 40057XNB7 02/02/24 08/04/27 100.000 0.000 5.0500 0.140278 0.140317 0.143860 0.147493 0.151217 46.69 53.52 GS FINANCE 40058AUV4 06/20/24 06/17/27 100.000 0.000 5.1733 0.143703 0.147358 0.151170 0.155080 27.50 53.84 GS FINANCE 40058AUU6 06/20/24 06/20/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 27.36 53.59 GS FINANCE 38151F6Z1 08/26/24 08/26/34 100.000 0.000 5.3600 0.148889 0.152879 0.156976 18.61 55.33 GS FINANCE 40058EQP4 09/04/24 09/04/29 100.000 0.000 4.6200 0.128333 0.131298 0.134331 15.01 47.44 GS FINANCE 38151F7D9 08/23/24 08/23/34 100.000 0.000 5.3600 0.148889 0.152879 0.156976 19.06 55.35 GS FINANCE 40058EQY5 09/03/24 08/31/29 100.000 0.000 4.6142 0.128172 0.131047 0.134104 15.12 47.38 GS FINANCE 40057YA94 02/16/24 02/14/31 100.000 0.000 5.4846 0.152350 0.156481 0.160773 0.165182 48.56 58.30 GS FINANCE 40058ER99 08/20/24 08/22/29 100.000 0.000 4.7500 0.131944 0.131979 0.135114 0.138323 17.29 48.90 GS FINANCE 40058AVL5 06/24/24 12/23/25 100.000 0.000 5.4292 0.150811 0.154882 0.159087 28.23 55.28 GS FINANCE 40058ER57 09/05/24 09/06/28 100.000 0.000 4.5900 0.127500 0.130442 0.133436 14.79 47.11 GS FINANCE 40057YA37 03/05/24 03/04/27 100.000 0.000 5.2008 0.144467 0.148203 0.152056 0.156010 43.20 54.96 GS FINANCE 40058ER40 08/28/24 08/28/29 100.000 0.000 4.6800 0.130000 0.133042 0.136155 15.99 48.10 GS FINANCE 40058EQS8 08/15/24 08/17/27 100.000 0.000 4.6900 0.130278 0.130312 0.133368 0.136495 17.72 48.29 GS FINANCE 40058AEF7 05/13/24 06/13/25 100.000 0.000 5.4775 0.152153 0.152847 0.157033 34.90 25.44 GS FINANCE 40058AVH4 07/02/24 07/02/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 25.95 54.25 GS FINANCE 40057YR39 04/02/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 38.81 54.19 GS FINANCE 40058ERA6 08/21/24 08/21/29 100.000 0.000 4.7200 0.131111 0.134205 0.137373 17.04 48.57 GS FINANCE 40058AES9 05/29/24 11/29/28 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 31.75 56.15 GS FINANCE 40058AW42 07/03/24 07/02/26 100.000 0.000 5.4071 0.150197 0.154235 0.158405 26.74 56.27 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058AER1 05/29/24 11/28/29 100.000 0.000 5.3867 0.149631 0.153638 0.157776 0.162026 31.85 56.33 GS FINANCE 40058A4N1 05/07/24 05/04/29 100.000 0.000 5.6179 0.156053 0.160363 0.164868 0.169499 36.76 59.06 GS FINANCE 40057XNX9 01/17/24 01/21/31 100.000 0.000 5.2500 0.145833 0.145918 0.149749 0.153680 0.157714 50.81 55.89 GS FINANCE 40057YQZ9 03/26/24 03/26/29 100.000 0.000 5.1400 0.142778 0.146447 0.150211 0.154071 39.61 54.12 GS FINANCE 40057XNW1 01/17/24 10/16/26 100.000 0.000 5.0667 0.140742 0.142505 0.146115 0.149816 0.153612 49.14 53.83 GS FINANCE 40057YRK1 03/27/24 04/25/25 100.000 0.000 5.3900 0.149722 0.150350 0.154402 41.45 17.60 GS FINANCE 40057YAG8 02/29/24 03/03/27 100.000 0.000 5.1900 0.144167 0.144250 0.147993 0.151834 0.155774 44.00 54.89 GS FINANCE 40057YAF0 03/05/24 03/05/29 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 43.86 55.84 GS FINANCE 40057YAE3 03/05/24 03/15/27 100.000 0.000 5.1900 0.144167 0.144375 0.148121 0.151965 0.155908 43.13 54.84 GS FINANCE 40057YRD7 03/26/24 03/26/31 100.000 0.000 5.2555 0.145986 0.149822 0.153759 0.157800 40.51 55.40 GS FINANCE 40057YS38 03/26/24 03/25/27 100.000 0.000 5.0838 0.141217 0.144786 0.148467 0.152241 39.18 53.50 GS FINANCE 40058AFD1 05/31/24 05/31/29 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 32.37 57.56 GS FINANCE 40058EAM8 07/26/24 07/30/29 100.000 0.000 5.0900 0.141389 0.141469 0.145069 0.148761 21.93 52.68 GS FINANCE 40057YAZ6 03/05/24 03/03/28 100.000 0.000 5.2313 0.145314 0.149073 0.152972 0.156973 43.46 55.30 GS FINANCE 40058ERZ1 08/20/24 08/20/29 100.000 0.000 4.7500 0.131944 0.135078 0.138286 17.28 48.89 GS FINANCE 40057YB69 03/05/24 03/05/29 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 43.86 55.84 GS FINANCE 40057YAV5 03/05/24 03/05/26 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 44.20 56.29 GS FINANCE 40058AWL4 07/01/24 07/02/29 100.000 0.000 5.2700 0.146389 0.150268 0.154227 26.35 54.80 GS FINANCE 40058EAS5 07/19/24 07/21/27 100.000 0.000 4.9400 0.137222 0.137260 0.140650 0.144124 22.24 51.12 GS FINANCE 40058AWJ9 07/03/24 07/03/29 100.000 0.000 5.2500 0.145833 0.149661 0.153590 25.96 54.57 GS FINANCE 40057YSD6 03/22/24 03/24/26 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 0.158962 41.39 55.82 GS FINANCE 40058AX90 07/03/24 01/02/26 100.000 0.000 5.4796 0.152211 0.156358 0.160642 27.09 57.05 GS FINANCE 40057YBA0 02/21/24 08/20/26 100.000 0.000 5.1788 0.143856 0.147560 0.151381 0.155301 45.08 54.82 GS FINANCE 40057YBK8 02/13/24 02/13/29 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 46.36 55.01 GS FINANCE 40058EBH8 07/26/24 08/06/29 100.000 0.000 5.0900 0.141389 0.141589 0.145192 0.148887 21.94 52.68 GS FINANCE 40058EBG0 07/22/24 07/22/31 100.000 0.000 5.1200 0.142222 0.145863 0.149597 22.61 53.03 GS FINANCE 40058ESG2 09/05/24 09/05/28 100.000 0.000 4.5900 0.127500 0.130426 0.133419 14.79 47.11 GS FINANCE 40057YBF9 02/20/24 03/05/30 100.000 0.000 5.3550 0.148750 0.149082 0.153074 0.157172 0.161380 46.82 56.81 GS FINANCE 40057YBE2 03/05/24 03/06/25 100.000 0.000 5.4500 0.151389 0.155537 45.29 10.11 GS FINANCE 40058AWZ3 07/08/24 07/10/31 100.000 0.000 5.4200 0.150556 0.150601 0.154682 0.158874 26.05 56.37 GS FINANCE 40057XQ32 01/31/24 10/29/26 100.000 0.000 5.0867 0.141297 0.143074 0.146713 0.150444 0.154271 47.42 53.96 GS FINANCE 40057XQ24 01/31/24 10/29/27 100.000 0.000 5.0767 0.141019 0.142789 0.146414 0.150130 0.153941 47.33 53.84 GS FINANCE 40057YBL6 02/22/24 02/22/29 100.000 0.000 5.2700 0.146389 0.150246 0.154205 0.158269 45.73 55.84 GS FINANCE 40057XQ99 02/05/24 11/05/26 100.000 0.000 4.9587 0.137742 0.139449 0.142907 0.146450 0.150081 45.50 52.49 GS FINANCE 40057YBZ5 03/05/24 03/04/27 100.000 0.000 5.2008 0.144467 0.148203 0.152056 0.156010 43.20 54.96 GS FINANCE 40057YSZ7 03/26/24 06/30/25 100.000 0.000 5.3580 0.148833 0.150916 0.154959 41.31 27.74 GS FINANCE 40057YBY8 02/28/24 05/29/25 100.000 0.000 5.3725 0.149236 0.151263 0.155326 45.78 22.99 GS FINANCE 40057YC92 02/29/24 02/28/29 100.000 0.000 5.2667 0.146297 0.150128 0.154082 0.158139 44.65 55.74 GS FINANCE 40058AXN9 07/22/24 07/22/31 100.000 0.000 5.1200 0.142222 0.145863 0.149597 22.61 53.03 GS FINANCE 40057YBX0 03/13/24 09/11/25 100.000 0.000 5.2667 0.146297 0.150107 0.154060 42.55 38.24 GS FINANCE 40058FEY8 08/28/24 08/27/26 100.000 0.000 4.8900 0.135833 0.139136 0.142538 16.71 50.33 GS FINANCE 40057YC84 02/09/24 02/10/27 100.000 0.000 4.9800 0.138333 0.141797 0.145328 0.148946 45.03 52.69 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058EBU9 07/26/24 07/28/26 100.000 0.000 5.1650 0.143472 0.143513 0.147220 0.151022 22.24 53.48 GS FINANCE 40058ET63 08/28/24 08/28/29 100.000 0.000 4.6800 0.130000 0.133042 0.136155 15.99 48.10 GS FINANCE 40057Y2B8 02/12/24 02/12/30 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 46.51 55.02 GS FINANCE 40057YTF0 04/01/24 05/01/25 100.000 0.000 5.3468 0.148522 0.149184 0.153172 40.50 18.38 GS FINANCE 40057YTB9 04/05/24 07/07/26 100.000 0.000 5.3175 0.147708 0.149716 0.153696 0.157783 39.64 56.02 GS FINANCE 40057YCL5 03/05/24 09/04/25 100.000 0.000 5.3958 0.149883 0.153905 0.158057 44.84 38.15 GS FINANCE 40057XQK4 01/31/24 07/29/27 100.000 0.000 5.0629 0.140636 0.144176 0.147826 0.151568 47.09 53.68 GS FINANCE 40057XQJ7 01/31/24 02/09/29 100.000 0.000 5.1500 0.143056 0.143240 0.146928 0.150712 0.154592 47.93 54.66 GS FINANCE 40058E2G0 07/10/24 07/08/27 100.000 0.000 5.2417 0.145603 0.149376 0.153291 24.90 54.43 GS FINANCE 40058E2F2 07/24/24 07/22/27 100.000 0.000 5.0312 0.139756 0.143232 0.146835 21.94 52.06 GS FINANCE 40057YCH4 02/14/24 02/14/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 46.48 55.34 GS FINANCE 40057YTJ2 04/02/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 38.81 54.19 GS FINANCE 40058E2S4 07/12/24 07/12/29 100.000 0.000 5.0600 0.140556 0.144112 0.147758 23.75 52.46 GS FINANCE 40057XR56 01/31/24 01/29/27 100.000 0.000 5.0517 0.140325 0.143850 0.147483 0.151208 46.98 53.56 GS FINANCE 40057XQT5 01/31/24 01/31/30 100.000 0.000 5.1592 0.143311 0.147008 0.150800 0.154690 47.99 54.77 GS FINANCE 40057XR49 02/05/24 02/16/27 100.000 0.000 4.9200 0.136667 0.136872 0.140239 0.143689 0.147224 45.07 52.05 GS FINANCE 40057XR31 01/31/24 02/02/29 100.000 0.000 5.1500 0.143056 0.143096 0.146781 0.150561 0.154438 47.91 54.66 GS FINANCE 40058ETT3 09/06/24 09/11/29 100.000 0.000 4.6154 0.128206 0.128288 0.131248 0.134277 14.75 47.38 GS FINANCE 40057XQQ1 01/31/24 01/29/27 100.000 0.000 5.0517 0.140325 0.143850 0.147483 0.151208 46.98 53.56 GS FINANCE 40058EU46 08/28/24 02/26/26 100.000 0.000 4.8900 0.135833 0.139118 0.142519 16.71 50.33 GS FINANCE 40057YCQ4 02/20/24 02/20/30 100.000 0.000 5.3550 0.148750 0.152733 0.156822 0.161021 46.78 56.81 GS FINANCE 40058ED29 08/14/24 08/12/27 100.000 0.000 4.8900 0.135833 0.139118 0.142519 18.61 50.42 GS FINANCE 40057XQP3 01/31/24 01/31/28 100.000 0.000 5.0950 0.141528 0.145133 0.148830 0.152622 47.39 54.04 GS FINANCE 40057YU43 04/02/24 04/01/27 100.000 0.000 5.1342 0.142617 0.146257 0.150012 0.153863 38.69 54.01 GS FINANCE 40057YTS2 04/09/24 04/09/29 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 38.37 55.02 GS FINANCE 40057YU35 04/02/24 04/02/31 100.000 0.000 5.2700 0.146389 0.150246 0.154205 0.158269 39.72 55.52 GS FINANCE 40057XQN8 01/31/24 07/30/26 100.000 0.000 5.1217 0.142269 0.145913 0.149649 0.153482 47.64 54.34 GS FINANCE 40057YTQ6 03/27/24 03/27/31 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 40.24 55.22 GS FINANCE 40057YTP8 03/27/24 03/27/31 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 40.24 55.22 GS FINANCE 40057XQM0 02/05/24 02/04/27 100.000 0.000 4.9329 0.137025 0.140386 0.143848 0.147396 45.16 52.19 GS FINANCE 40057Y2M4 02/05/24 02/05/29 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 45.97 53.17 GS FINANCE 40058E2Z8 07/03/24 07/02/26 100.000 0.000 5.4071 0.150197 0.154235 0.158405 26.74 56.27 GS FINANCE 40057YTZ6 04/09/24 04/09/31 100.000 0.000 5.3600 0.148889 0.152879 0.156976 0.161183 39.34 56.45 GS FINANCE 40057XQW8 01/31/24 01/29/27 100.000 0.000 5.0517 0.140325 0.143850 0.147483 0.151208 46.98 53.56 GS FINANCE 40058ECX2 07/23/24 04/23/26 100.000 0.000 5.1438 0.142883 0.144721 0.148443 0.152261 22.70 53.28 GS FINANCE 40057XQV0 01/31/24 01/31/31 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 49.13 56.13 GS FINANCE 40058EU95 09/05/24 09/05/29 100.000 0.000 4.6600 0.129444 0.132461 0.135547 15.02 47.85 GS FINANCE 40057YTY9 03/29/24 04/01/26 100.000 0.000 5.2600 0.146111 0.146154 0.149998 0.153943 0.157991 40.10 55.43 GS FINANCE 40057XQU2 01/31/24 01/31/31 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 49.13 56.13 GS FINANCE 40058E3B0 07/05/24 07/07/27 100.000 0.000 5.3000 0.147222 0.147266 0.151168 0.155174 25.92 55.09 GS FINANCE 40058AYY4 07/09/24 07/09/29 100.000 0.000 5.0284 0.139678 0.143190 0.146790 24.02 52.14 GS FINANCE 40057YDD2 02/21/24 02/19/27 100.000 0.000 5.1112 0.141978 0.145566 0.149286 0.153101 44.49 54.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058E3A2 07/10/24 07/10/31 100.000 0.000 5.2000 0.144444 0.148200 0.152053 24.70 53.98 GS FINANCE 40058EUA2 09/05/24 09/05/29 100.000 0.000 4.6600 0.129444 0.132461 0.135547 15.02 47.85 GS FINANCE 40057XRN7 01/17/24 01/14/27 100.000 0.000 5.0242 0.139561 0.143009 0.146601 0.150284 48.58 53.34 GS FINANCE 40057Y3N1 02/22/24 08/21/28 100.000 0.000 5.2350 0.145417 0.149202 0.153107 0.157115 45.43 55.44 GS FINANCE 40058E3L8 07/22/24 08/04/27 100.000 0.000 4.9400 0.137222 0.137448 0.140843 0.144322 21.85 51.10 GS FINANCE 362273CE2 06/27/24 06/28/27 110.000 1.250 5.2000 0.159778 0.162111 0.165444 0.168833 29.09 58.98 GS FINANCE 40057Y3M3 02/22/24 08/21/29 100.000 0.000 5.2992 0.147200 0.151079 0.155082 0.159191 45.99 56.16 GS FINANCE 40057XRJ6 01/17/24 01/17/29 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 49.42 54.31 GS FINANCE 40057YDJ9 03/04/24 03/05/29 100.000 0.000 5.2700 0.146389 0.150268 0.154227 0.158291 43.93 55.74 GS FINANCE 362273CC6 05/13/24 05/13/27 110.000 1.000 5.2900 0.161667 0.165167 0.168833 0.172556 36.86 60.46 GS FINANCE 40057Y3V3 02/07/24 02/05/27 100.000 0.000 5.0329 0.139803 0.143282 0.146887 0.150584 45.80 53.30 GS FINANCE 40057YDS9 03/07/24 04/03/25 100.000 0.000 5.4500 0.151389 0.151985 0.156126 45.03 14.36 GS FINANCE 40057XRQ0 01/08/24 01/21/25 100.000 0.000 5.3900 0.149722 0.150014 0.154057 53.60 3.08 GS FINANCE 40057YDQ3 03/04/24 03/05/29 100.000 0.000 5.2700 0.146389 0.150268 0.154227 0.158291 43.93 55.74 GS FINANCE 40058AZV9 07/24/24 01/25/30 100.000 0.000 5.1125 0.142014 0.145664 0.149388 22.30 52.93 GS FINANCE 40058AZU1 07/24/24 01/24/29 100.000 0.000 5.0650 0.140694 0.144258 0.147911 22.09 52.42 GS FINANCE 40057XRW7 02/05/24 02/05/26 100.000 0.000 5.0750 0.140972 0.144549 0.148217 0.151978 46.48 53.78 GS FINANCE 40057Y4F7 02/21/24 02/21/31 100.000 0.000 5.3800 0.149444 0.153465 0.157593 0.161832 46.85 57.08 GS FINANCE 40057Y4G5 02/12/24 02/12/29 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 45.87 54.23 GS FINANCE 40057XSE6 02/05/24 02/03/28 100.000 0.000 4.9658 0.137939 0.141326 0.144835 0.148431 45.47 52.56 GS FINANCE 40057XSF3 01/22/24 01/22/29 100.000 0.000 5.2500 0.145833 0.149661 0.153590 0.157622 50.05 55.85 GS FINANCE 40057Y4E0 02/21/24 11/19/26 100.000 0.000 5.1450 0.142917 0.144714 0.148437 0.152255 0.156172 44.86 54.45 GS FINANCE 40057Y4C4 02/20/24 03/03/28 100.000 0.000 5.2100 0.144722 0.144995 0.148772 0.152647 0.156624 45.54 55.18 GS FINANCE 40057Y4B6 02/14/24 02/12/27 100.000 0.000 5.1004 0.141678 0.145251 0.148955 0.152754 45.41 54.00 GS FINANCE 40057YVC4 04/22/24 04/22/27 100.000 0.000 5.5400 0.153889 0.158152 0.162532 0.167035 38.61 58.34 GS FINANCE 40057YEB5 02/23/24 02/24/31 100.000 0.000 5.3600 0.148889 0.152901 0.156999 0.161207 46.37 56.84 GS FINANCE 40057Y4M2 03/04/24 03/04/27 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 43.00 54.51 GS FINANCE 40058EEL6 07/26/24 07/30/29 100.000 0.000 5.0700 0.140833 0.140913 0.144485 0.148147 21.84 52.46 GS FINANCE 40057XSL0 02/05/24 03/05/25 100.000 0.000 5.2171 0.144919 0.145549 0.149346 47.87 9.56 GS FINANCE 40057XSJ5 01/16/24 01/15/26 100.000 0.000 5.2879 0.146886 0.150748 0.154734 0.158825 51.32 56.33 GS FINANCE 40058E4H6 07/24/24 07/28/31 100.000 0.000 5.1543 0.143175 0.143257 0.146949 0.150736 22.49 53.38 GS FINANCE 40057Y4X8 03/05/24 03/08/27 100.000 0.000 5.1900 0.144167 0.144229 0.147972 0.151812 0.155751 43.11 54.84 GS FINANCE 40057XSW6 02/05/24 02/05/29 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 45.97 53.17 GS FINANCE 40057Y4V2 03/04/24 03/14/31 100.000 0.000 5.4000 0.150000 0.150225 0.154281 0.158447 0.162725 45.05 57.19 GS FINANCE 40058E4T0 07/24/24 04/22/27 100.000 0.000 5.0650 0.140694 0.142436 0.146044 0.149742 22.21 52.43 GS FINANCE 40058EW85 09/04/24 09/06/29 100.000 0.000 4.6200 0.128333 0.128366 0.131332 0.134365 15.02 47.44 GS FINANCE 40057Y4U4 03/05/24 03/05/26 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 44.20 56.29 GS FINANCE 40057YF73 02/29/24 02/28/34 100.000 0.000 5.4315 0.150875 0.154950 0.159158 0.163480 46.07 57.59 GS FINANCE 40057Y4S9 03/04/24 03/08/27 100.000 0.000 5.1600 0.143333 0.143416 0.147116 0.150911 0.154805 43.01 54.51 GS FINANCE 40058AJV7 05/30/24 08/28/25 100.000 0.000 5.5817 0.155047 0.157163 0.161549 32.98 38.04 GS FINANCE 40057YFC2 03/13/24 04/15/25 100.000 0.000 5.3333 0.148147 0.148850 0.152819 43.15 15.89 GS FINANCE 40058EFA9 08/20/24 08/19/27 100.000 0.000 4.6829 0.130081 0.133109 0.136226 17.04 48.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058AJU9 05/31/24 06/03/27 100.000 0.000 5.4100 0.150278 0.150346 0.154412 0.158589 0.162879 31.84 56.58 GS FINANCE 40057YWC3 04/04/24 04/05/29 100.000 0.000 5.2800 0.146667 0.150560 0.154535 0.158615 39.49 55.61 GS FINANCE 40057YWB5 04/04/24 04/05/29 100.000 0.000 5.2800 0.146667 0.150560 0.154535 0.158615 39.49 55.61 GS FINANCE 40058AK60 05/29/24 05/29/29 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 31.75 56.15 GS FINANCE 40058AJR6 05/29/24 06/02/31 100.000 0.000 5.3891 0.149697 0.149764 0.153800 0.157944 0.162200 31.87 56.36 GS FINANCE 40058E4Y9 07/08/24 07/08/30 100.000 0.000 5.3500 0.148611 0.152586 0.156668 25.71 55.61 GS FINANCE 40057XSY2 02/05/24 02/04/27 100.000 0.000 4.9329 0.137025 0.140386 0.143848 0.147396 45.16 52.19 GS FINANCE 40057XTJ4 02/05/24 02/05/26 100.000 0.000 5.0750 0.140972 0.144549 0.148217 0.151978 46.48 53.78 GS FINANCE 40057XTH8 02/05/24 02/04/27 100.000 0.000 4.9329 0.137025 0.140386 0.143848 0.147396 45.16 52.19 GS FINANCE 40057XTG0 02/05/24 02/04/27 100.000 0.000 4.9329 0.137025 0.140386 0.143848 0.147396 45.16 52.19 GS FINANCE 40058EFE1 08/21/24 08/23/29 100.000 0.000 4.6742 0.129839 0.129873 0.132908 0.136014 16.88 48.09 GS FINANCE 40057Y5C3 02/14/24 02/14/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 46.48 55.34 GS FINANCE 40057Y5D1 02/14/24 02/14/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 46.48 55.34 GS FINANCE 40058EX35 09/05/24 09/05/29 100.000 0.000 4.6600 0.129444 0.132461 0.135547 15.02 47.85 GS FINANCE 40057YFN8 03/06/24 09/05/25 100.000 0.000 5.3333 0.148147 0.152076 0.156131 44.16 37.84 GS FINANCE 40057YWP4 04/19/24 04/19/29 100.000 0.000 5.6900 0.158056 0.162552 0.167177 0.171933 40.15 60.03 GS FINANCE 40057XTM7 01/17/24 01/17/29 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 49.42 54.31 GS FINANCE 40057YFM0 02/28/24 02/26/26 100.000 0.000 5.2725 0.146458 0.150276 0.154238 0.158304 44.85 55.82 GS FINANCE 40057YFL2 03/05/24 03/04/27 100.000 0.000 5.2008 0.144467 0.148203 0.152056 0.156010 43.20 54.96 GS FINANCE 40057Y5Z2 03/04/24 03/04/27 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 43.00 54.51 GS FINANCE 40057Y5Y5 02/29/24 02/28/31 100.000 0.000 5.3850 0.149583 0.153588 0.157724 0.161971 45.67 57.07 GS FINANCE 40058EWZ5 09/05/24 12/03/26 100.000 0.000 4.6450 0.129028 0.130493 0.133524 0.136625 15.01 47.69 GS FINANCE 40057Y5X7 02/29/24 02/28/30 100.000 0.000 5.2669 0.146303 0.150134 0.154088 0.158146 44.65 55.75 GS FINANCE 40058EG91 09/03/24 03/05/26 100.000 0.000 4.6950 0.130417 0.130451 0.133513 0.136647 15.39 48.23 GS FINANCE 40057Y5V1 02/29/24 03/03/27 100.000 0.000 5.1900 0.144167 0.144250 0.147993 0.151834 0.155774 44.00 54.89 GS FINANCE 40058EFU5 08/30/24 06/02/28 100.000 0.000 4.5088 0.125244 0.126688 0.129544 0.132464 15.20 46.29 GS FINANCE 40057YG72 03/05/24 03/05/29 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 43.86 55.84 GS FINANCE 40058EWV4 09/04/24 09/04/29 100.000 0.000 4.6200 0.128333 0.131298 0.134331 15.01 47.44 GS FINANCE 40057Y5T6 02/29/24 03/02/28 100.000 0.000 5.2300 0.145278 0.145341 0.149142 0.153042 0.157044 44.35 55.33 GS FINANCE 40058EG59 09/05/24 06/04/27 100.000 0.000 4.5700 0.126944 0.128379 0.131312 0.134313 14.76 46.90 GS FINANCE 40057Y5S8 02/29/24 08/31/26 100.000 0.000 5.2575 0.146042 0.149902 0.153799 0.157887 44.57 55.64 GS FINANCE 40057XU45 01/31/24 01/31/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 47.91 54.66 GS FINANCE 40058EXF8 09/05/24 09/05/29 100.000 0.000 4.6600 0.129444 0.132461 0.135547 15.02 47.85 GS FINANCE 40058AKW3 05/31/24 06/02/26 100.000 0.000 5.5150 0.153194 0.153241 0.157467 0.161809 0.166271 32.46 57.73 GS FINANCE 40058AL51 05/28/24 05/29/29 100.000 0.000 5.2752 0.146533 0.150420 0.154387 0.158459 31.34 55.12 GS FINANCE 40058AKR4 06/10/24 12/10/25 100.000 0.000 5.4225 0.150625 0.154709 0.158903 30.36 53.20 GS FINANCE 40058AL28 06/03/24 06/04/27 100.000 0.000 5.4700 0.151944 0.156123 0.160393 0.164780 31.72 57.21 GS FINANCE 40057YGK3 03/06/24 03/05/26 100.000 0.000 5.2533 0.145925 0.149737 0.153670 0.157706 43.49 55.54 GS FINANCE 40057YXM0 04/09/24 04/09/26 100.000 0.000 5.2950 0.147083 0.150977 0.154974 0.159077 38.86 55.74 GS FINANCE 40057YGJ6 03/05/24 03/05/29 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 43.86 55.84 GS FINANCE 40057YGG2 02/29/24 02/28/31 100.000 0.000 5.3850 0.149583 0.153588 0.157724 0.161971 45.67 57.07 GS FINANCE 40057XUD5 01/22/24 01/22/31 100.000 0.000 5.3800 0.149444 0.153465 0.157593 0.161832 51.30 57.32 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40057YXV0 04/08/24 04/06/29 100.000 0.000 5.2567 0.146019 0.149815 0.153752 0.157794 38.73 55.32 GS FINANCE 40057YH55 03/05/24 03/05/29 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 43.86 55.84 GS FINANCE 40058EY67 09/06/24 09/06/30 100.000 0.000 4.7550 0.132083 0.135224 0.138439 15.19 48.85 GS FINANCE 40057Y6S7 02/29/24 12/01/27 100.000 0.000 5.2200 0.145000 0.146934 0.150769 0.154704 0.158742 44.31 55.22 GS FINANCE 40057YH48 03/05/24 03/04/27 100.000 0.000 5.2008 0.144467 0.148203 0.152056 0.156010 43.20 54.96 GS FINANCE 40058EH25 09/05/24 12/04/25 100.000 0.000 4.7950 0.133194 0.134773 0.138005 15.49 45.46 GS FINANCE 40057Y6P3 02/29/24 12/02/26 100.000 0.000 5.2237 0.145103 0.147061 0.150902 0.154843 0.158887 44.34 55.27 GS FINANCE 40057YGP2 02/28/24 08/28/25 100.000 0.000 5.3350 0.148194 0.152148 0.156206 45.39 36.79 GS FINANCE 40057XUN3 01/17/24 07/16/26 100.000 0.000 5.1092 0.141922 0.145528 0.149245 0.153058 49.42 54.30 GS FINANCE 40057XUY9 01/22/24 02/24/25 100.000 0.000 5.3292 0.148033 0.148735 0.152698 50.90 8.09 GS FINANCE 40058ALN2 05/30/24 06/03/25 100.000 0.000 5.5700 0.154722 0.154794 0.159105 32.78 24.18 GS FINANCE 40058EGX8 08/21/24 08/21/31 100.000 0.000 4.8600 0.135000 0.138281 0.141641 17.55 50.05 GS FINANCE 40058E6V3 07/15/24 07/15/26 100.000 0.000 5.2300 0.145278 0.149077 0.152975 24.12 54.26 GS FINANCE 40058ALL6 05/30/24 02/29/28 100.000 0.000 5.3767 0.149353 0.151338 0.155384 0.159584 31.76 56.22 GS FINANCE 40057Y6V0 03/05/24 12/03/26 100.000 0.000 5.2333 0.145369 0.147229 0.151082 0.155035 0.159092 43.52 55.33 GS FINANCE 40057YH89 03/20/24 03/20/28 100.000 0.000 5.2050 0.144583 0.148346 0.152207 0.156168 41.01 54.89 GS FINANCE 40057XUV5 02/14/24 08/14/25 100.000 0.000 5.2775 0.146597 0.150466 0.154436 47.00 34.27 GS FINANCE 40057YY98 04/11/24 04/15/25 100.000 0.000 5.5000 0.152778 0.152871 0.157075 40.07 16.34 GS FINANCE 40058EHB5 09/04/24 03/03/28 100.000 0.000 4.5092 0.125256 0.128064 0.130951 14.65 46.27 GS FINANCE 40058AM68 05/31/24 05/30/31 100.000 0.000 5.5063 0.152953 0.157164 0.161491 0.165937 32.40 57.63 GS FINANCE 40058EHM1 08/19/24 09/06/29 100.000 0.000 4.7200 0.131111 0.131403 0.134504 0.137679 17.34 48.59 GS FINANCE 40058AMB7 05/31/24 05/29/26 100.000 0.000 5.5238 0.153439 0.157653 0.162007 0.166482 32.51 57.82 GS FINANCE 40057YYM9 04/19/24 04/18/31 100.000 0.000 5.8050 0.161250 0.165904 0.170720 0.175675 40.97 61.31 GS FINANCE 40057YHK2 03/04/24 03/07/31 100.000 0.000 5.3402 0.148339 0.148405 0.152367 0.156436 0.160613 44.53 56.52 GS FINANCE 40057YYL1 04/15/24 04/24/29 100.000 0.000 5.5200 0.153333 0.153545 0.157783 0.162138 0.166613 39.59 58.18 GS FINANCE 40057YHJ5 03/06/24 03/04/27 100.000 0.000 5.0933 0.141481 0.145044 0.148737 0.152525 42.15 53.76 GS FINANCE 40057Y7F4 02/29/24 08/31/27 100.000 0.000 5.2100 0.144722 0.148513 0.152339 0.156351 44.16 55.11 GS FINANCE 40057Y7G2 02/29/24 03/12/29 100.000 0.000 5.2700 0.146389 0.146667 0.150532 0.154499 0.158570 44.71 55.78 GS FINANCE 40058EHG4 08/30/24 09/01/27 100.000 0.000 4.4600 0.123889 0.123904 0.126667 0.129492 14.99 45.77 GS FINANCE 40057YHU0 04/01/24 04/05/27 100.000 0.000 5.0900 0.141389 0.141469 0.145069 0.148761 0.152547 38.51 53.53 GS FINANCE 40058EHT6 09/04/24 09/02/27 100.000 0.000 4.5200 0.125556 0.128362 0.131263 14.69 46.38 GS FINANCE 40057YHT3 04/01/24 04/01/26 100.000 0.000 5.2600 0.146111 0.149954 0.153898 0.157945 39.80 55.41 GS FINANCE 40057XVS1 01/31/24 01/29/27 100.000 0.000 5.0517 0.140325 0.143850 0.147483 0.151208 46.98 53.56 GS FINANCE 40057XW43 01/22/24 01/22/29 100.000 0.000 5.2500 0.145833 0.149661 0.153590 0.157622 50.05 55.85 GS FINANCE 40058AMH4 06/20/24 06/18/31 100.000 0.000 5.2267 0.145186 0.148938 0.152830 0.156824 27.78 54.42 GS FINANCE 40057XVQ5 01/22/24 01/22/29 100.000 0.000 5.2500 0.145833 0.149661 0.153590 0.157622 50.05 55.85 GS FINANCE 40058EHQ2 09/04/24 09/07/27 100.000 0.000 4.4800 0.124444 0.124491 0.127279 0.130131 14.57 45.96 GS FINANCE 40058AMT8 07/03/24 07/02/26 100.000 0.000 5.4071 0.150197 0.154235 0.158405 26.74 56.27 GS FINANCE 40058AN42 07/02/24 04/01/27 100.000 0.000 5.2783 0.146619 0.148533 0.152453 0.156476 26.42 54.89 GS FINANCE 40058AN34 07/03/24 07/06/27 100.000 0.000 5.2500 0.145833 0.145897 0.149727 0.153657 25.97 54.57 GS FINANCE 40058AN26 07/02/24 07/14/31 100.000 0.000 5.3000 0.147222 0.147482 0.151391 0.155402 26.40 55.12 GS FINANCE 40057YHX4 04/01/24 04/01/27 100.000 0.000 5.0900 0.141389 0.144987 0.148677 0.152461 38.50 53.53 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40057XWD3 01/25/24 01/25/29 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 48.93 55.04 GS FINANCE 40057YZE6 05/13/24 11/14/25 100.000 0.000 5.4925 0.152569 0.156783 0.161088 34.98 49.85 GS FINANCE 40058AN83 07/02/24 12/30/27 100.000 0.000 5.2279 0.145219 0.148973 0.152867 0.156863 26.00 54.34 GS FINANCE 40058AMU5 07/02/24 07/01/27 100.000 0.000 5.2421 0.149409 0.153325 0.157344 26.06 54.49 GS FINANCE 40057YJ20 04/01/24 04/05/27 100.000 0.000 5.1000 0.141667 0.141747 0.145361 0.149068 0.152869 38.58 53.64 GS FINANCE 40058ANE0 07/03/24 04/01/27 100.000 0.000 5.2983 0.147175 0.149081 0.153031 0.157085 26.37 55.10 GS FINANCE 40057YZQ9 04/10/24 10/13/26 100.000 0.000 5.3075 0.147431 0.147496 0.151410 0.155428 0.159553 38.80 55.87 GS FINANCE 40058ANC4 07/03/24 07/13/27 100.000 0.000 5.2500 0.145833 0.146046 0.149880 0.153814 25.99 54.57 GS FINANCE 40058ANB6 06/28/24 12/30/27 100.000 0.000 5.2025 0.144514 0.144556 0.148316 0.152174 0.156132 26.46 54.10 GS FINANCE 40058ANA8 06/28/24 07/10/29 100.000 0.000 5.1800 0.143889 0.144137 0.147870 0.151700 26.37 53.85 GS FINANCE 40057YJ95 03/20/24 03/20/31 100.000 0.000 5.3500 0.148611 0.152586 0.156668 0.160859 42.16 56.50 GS FINANCE 40058EJ98 08/30/24 09/01/27 100.000 0.000 4.4600 0.123889 0.123904 0.126667 0.129492 14.99 45.77 GS FINANCE 40057YJ87 03/20/24 12/18/26 100.000 0.000 5.2283 0.145231 0.147087 0.150932 0.154877 0.158926 41.22 55.15 GS FINANCE 40058ANK6 06/28/24 03/30/28 100.000 0.000 5.1988 0.144411 0.146330 0.150133 0.154036 26.60 54.06 GS FINANCE 40057YJ79 03/06/24 03/06/30 100.000 0.000 5.2450 0.145694 0.149515 0.153436 0.157460 43.42 55.44 GS FINANCE 40058EJ72 08/30/24 09/11/29 100.000 0.000 4.5900 0.127500 0.127679 0.130609 0.133607 15.45 47.14 GS FINANCE 40057YZX4 04/16/24 04/15/27 100.000 0.000 5.4958 0.152661 0.156833 0.161142 0.165570 39.25 57.90 GS FINANCE 40057XX67 01/31/24 01/31/31 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 49.13 56.13 GS FINANCE 40058EJ64 08/30/24 03/02/28 100.000 0.000 4.4925 0.124792 0.124823 0.127627 0.130493 15.10 46.12 GS FINANCE 40057XWT8 01/31/24 12/29/27 100.000 0.000 5.0517 0.140325 0.143259 0.146877 0.150587 0.154391 46.99 53.56 GS FINANCE 40057XX42 02/05/24 02/05/30 100.000 0.000 5.0900 0.141389 0.144987 0.148677 0.152461 46.62 53.95 GS FINANCE 40057YJ46 04/01/24 04/09/31 100.000 0.000 5.3000 0.147222 0.147396 0.151302 0.155311 0.159427 40.12 55.86 GS FINANCE 40057XX34 02/05/24 02/03/28 100.000 0.000 4.9658 0.137939 0.141326 0.144835 0.148431 45.47 52.56 GS FINANCE 40058EJ31 09/05/24 09/07/27 100.000 0.000 4.5200 0.125556 0.125587 0.128425 0.131328 14.57 46.38 GS FINANCE 40058EJB3 08/30/24 08/29/31 100.000 0.000 4.7625 0.132292 0.135407 0.138649 16.01 48.96 GS FINANCE 40058EJA5 08/30/24 08/29/31 100.000 0.000 4.7625 0.132292 0.135407 0.138649 16.01 48.96 GS FINANCE 40058ANX8 06/28/24 03/30/27 100.000 0.000 5.2487 0.145797 0.147753 0.151630 0.155610 26.86 54.60 GS FINANCE 40058EJC1 09/04/24 09/14/27 100.000 0.000 4.5200 0.125556 0.125713 0.128554 0.131460 14.71 46.38 GS FINANCE 40058EJS6 09/04/24 09/04/29 100.000 0.000 4.6200 0.128333 0.131298 0.134331 15.01 47.44 GS FINANCE 40058EJR8 09/04/24 09/03/26 100.000 0.000 4.6479 0.129108 0.132092 0.135162 15.11 47.73 GS FINANCE 40057YJR5 03/28/24 12/31/26 100.000 0.000 5.1300 0.142500 0.144368 0.148071 0.151869 0.155765 39.24 54.00 GS FINANCE 40057YJN4 04/02/24 04/13/27 100.000 0.000 5.1200 0.142222 0.142445 0.146091 0.149831 0.153667 38.60 53.86 GS FINANCE 40057XXY6 02/06/24 08/06/25 100.000 0.000 5.1375 0.142708 0.146374 0.150134 46.91 32.15 GS FINANCE 40058EJY3 09/04/24 09/04/31 100.000 0.000 4.8100 0.133611 0.136824 0.140115 15.63 49.44 GS FINANCE 40057YJY0 04/02/24 12/31/26 100.000 0.000 5.1767 0.143797 0.145617 0.149386 0.153253 0.157219 39.01 54.48 GS FINANCE 40057YK85 03/28/24 09/30/26 100.000 0.000 5.1700 0.143611 0.143652 0.147366 0.151175 0.155083 39.55 54.44 GS FINANCE 40057YJT1 03/28/24 12/30/27 100.000 0.000 5.1163 0.142119 0.143978 0.147661 0.151438 0.155312 39.14 53.85 GS FINANCE 40057XY41 02/02/24 02/02/29 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 47.24 54.20 GS FINANCE 40057YKE2 03/28/24 04/09/29 100.000 0.000 5.1600 0.143333 0.143559 0.147263 0.151063 0.154960 39.49 54.33 GS FINANCE 40057XYB5 01/31/24 01/31/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 47.91 54.66 GS FINANCE 40057YKD4 03/28/24 03/30/27 100.000 0.000 5.0900 0.141389 0.141429 0.145028 0.148719 0.152504 38.94 53.55 GS FINANCE 40057YKC6 03/28/24 04/08/31 100.000 0.000 5.3000 0.147222 0.147439 0.151346 0.155357 0.159474 40.57 55.88 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40058AP81 06/28/24 07/02/29 100.000 0.000 5.1250 0.142361 0.142442 0.146092 0.149836 26.07 53.26 GS FINANCE 40058EKA3 09/04/24 09/02/27 100.000 0.000 4.5200 0.125556 0.128362 0.131263 14.69 46.38 GS FINANCE 40058AP24 07/02/24 07/02/26 100.000 0.000 5.3750 0.149306 0.153318 0.157439 26.73 55.93 GS FINANCE 40057XYL3 02/05/24 02/08/27 100.000 0.000 4.9200 0.136667 0.136723 0.140086 0.143532 0.147063 45.05 52.05 GS FINANCE 40058EKL9 08/20/24 08/19/27 100.000 0.000 4.8900 0.135833 0.139136 0.142538 17.79 50.38 GS FINANCE 40058EKK1 08/28/24 02/28/30 100.000 0.000 4.7150 0.130972 0.134060 0.137220 16.11 48.47 GS FINANCE 40058EKJ4 08/28/24 02/28/29 100.000 0.000 4.6550 0.129306 0.132315 0.135395 15.90 47.84 GS FINANCE 40057YKH5 03/28/24 03/27/31 100.000 0.000 5.2942 0.147061 0.150932 0.154928 0.159029 40.51 55.82 GS FINANCE 40057YKG7 03/28/24 09/30/27 100.000 0.000 5.1075 0.141875 0.141915 0.145539 0.149256 0.153068 39.07 53.75 GS FINANCE 40057YKF9 03/28/24 03/28/30 100.000 0.000 5.1739 0.143719 0.147437 0.151252 0.155164 39.58 54.48 GS FINANCE 40057XZ32 01/31/24 05/01/25 100.000 0.000 5.2850 0.146806 0.148767 0.152698 49.30 18.32 GS FINANCE 40057YL27 03/07/24 07/14/25 100.000 0.000 5.3767 0.149353 0.152186 0.156277 44.38 30.11 GS FINANCE 40057YKP7 03/28/24 03/28/29 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 39.47 54.33 GS FINANCE 40058AQ31 06/28/24 06/30/27 100.000 0.000 5.2100 0.144722 0.144764 0.148535 0.152405 0.156375 26.50 54.18 GS FINANCE 40058AQ23 06/28/24 06/27/31 100.000 0.000 5.2471 0.145753 0.149555 0.153479 0.157506 26.69 54.58 GS FINANCE 40057YKX0 03/27/24 09/27/28 100.000 0.000 5.0850 0.141250 0.144841 0.148524 0.152300 39.04 53.51 GS FINANCE 40057YKW2 03/27/24 09/27/29 100.000 0.000 5.1350 0.142639 0.146301 0.150057 0.153910 39.43 54.06 GS FINANCE 40057XHT5 01/17/24 07/16/25 100.000 0.000 5.2792 0.146644 0.150494 0.154466 51.08 30.06 GS FINANCE 40058EL87 09/05/24 09/02/27 100.000 0.000 4.5325 0.125903 0.128708 0.131625 14.60 46.51 GS FINANCE 40057YL84 03/20/24 03/20/29 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 41.21 55.17 GS FINANCE 40057YL76 03/20/24 03/20/29 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 41.21 55.17 GS FINANCE 40057XYU3 02/05/24 02/05/26 100.000 0.000 5.0750 0.140972 0.144549 0.148217 0.151978 46.48 53.78 GS FINANCE 40058APY4 06/20/24 07/06/27 100.000 0.000 5.1600 0.143333 0.143662 0.147369 0.151171 27.43 53.70 GS FINANCE 40058AQ98 06/12/24 06/11/26 100.000 0.000 5.4654 0.151817 0.155942 0.160204 0.164582 30.29 57.08 GS FINANCE 40058AQ80 06/12/24 06/12/31 100.000 0.000 5.4100 0.150278 0.154343 0.158518 0.162806 29.98 56.48 GS FINANCE 40058APU2 06/28/24 06/30/27 100.000 0.000 5.2100 0.144722 0.144764 0.148535 0.152405 0.156375 26.50 54.18 GS FINANCE 40057YLB7 04/02/24 03/31/28 100.000 0.000 5.1337 0.142603 0.146223 0.149976 0.153825 38.69 54.01 GS FINANCE 40058AQ49 06/28/24 06/27/31 100.000 0.000 5.2471 0.145753 0.149555 0.153479 0.157506 26.69 54.58 GS FINANCE 40057YLM3 04/01/24 04/01/27 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 38.58 53.64 GS FINANCE 40058AQB3 06/12/24 12/11/25 100.000 0.000 5.5279 0.153553 0.157773 0.162134 30.64 54.43 GS FINANCE 40057YLJ0 03/26/24 03/25/27 100.000 0.000 5.0838 0.141217 0.144786 0.148467 0.152241 39.18 53.50 GS FINANCE 40057XZH1 01/31/24 01/31/31 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 49.13 56.13 GS FINANCE 40057YLV3 04/02/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 38.81 54.19 GS FINANCE 40058AQJ6 07/02/24 07/02/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 25.95 54.25 GS FINANCE 38151F2F9 04/30/24 04/30/34 100.000 0.000 5.9651 0.165697 0.170639 0.175729 0.180970 40.23 62.98 GS FINANCE 40058AQH0 06/26/24 12/27/28 100.000 0.000 5.2125 0.144792 0.148586 0.152459 0.156432 26.80 54.22 GS FINANCE 40057YLP6 04/02/24 04/02/29 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 38.81 54.19 GS FINANCE 40058AQR8 07/02/24 06/30/28 100.000 0.000 5.2254 0.145150 0.148900 0.152791 0.156782 25.99 54.31 GS FINANCE 40058AR22 07/02/24 07/02/31 100.000 0.000 5.3000 0.147222 0.151124 0.155128 26.35 55.12 GS FINANCE 40057XZZ1 02/06/24 02/06/31 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 46.38 53.83 GS FINANCE 40058AQM9 06/26/24 12/27/29 100.000 0.000 5.2300 0.145278 0.149098 0.152997 0.156998 26.89 54.41 GS FINANCE 40058AQY3 07/01/24 07/31/25 100.000 0.000 5.5500 0.154167 0.154856 0.159153 27.85 33.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE 40057YMC4 03/15/24 03/26/32 100.000 0.000 5.2433 0.145647 0.145881 0.149705 0.153630 0.157657 42.08 55.36 GS FINANCE 40057YMB6 03/19/24 03/20/28 100.000 0.000 5.1716 0.143656 0.147391 0.151202 0.155112 40.89 54.53 GS FINANCE 40057YMQ3 03/20/24 03/20/29 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 41.21 55.17 GS FINANCE 40058ARE6 07/02/24 07/01/27 100.000 0.000 5.2421 0.149409 0.153325 0.157344 26.06 54.49 GS FINANCE 40058ARD8 07/02/24 01/02/26 100.000 0.000 5.4475 0.151319 0.155441 0.159675 27.09 56.71 GS FINANCE 40058ARA4 07/02/24 07/02/26 100.000 0.000 5.3750 0.149306 0.153318 0.157439 26.73 55.93 GS FINANCE 40057YMK6 03/13/24 03/11/27 100.000 0.000 4.9667 0.137964 0.141352 0.144862 0.148460 40.11 52.30 GS FINANCE 40057YN82 04/03/24 05/01/25 100.000 0.000 5.4200 0.150556 0.151190 0.155287 40.75 18.63 GS FINANCE 40058ARK2 07/09/24 01/08/26 100.000 0.000 5.4033 0.150092 0.154124 0.158288 25.82 56.18 GS FINANCE 40057YMV2 04/01/24 04/01/27 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 38.58 53.64 GS FINANCE 40057YMU4 03/18/24 04/17/25 100.000 0.000 5.4400 0.151111 0.151773 0.155902 43.24 16.53 GS FINANCE 40057YN33 03/27/24 06/26/25 100.000 0.000 5.3608 0.148911 0.150885 0.154929 41.19 27.11 GS FINANCE 40057YNA7 04/11/24 10/14/25 100.000 0.000 5.4500 0.151389 0.151458 0.155585 0.159825 39.70 44.79 GS FINANCE 40057YNB5 03/13/24 03/12/26 100.000 0.000 5.1667 0.143519 0.147206 0.151009 0.154910 41.74 54.52 GS FINANCE 40058ART3 06/11/24 06/11/30 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 29.19 54.64 GS FINANCE 40058AS21 06/20/24 06/17/27 100.000 0.000 5.1733 0.143703 0.147358 0.151170 0.155080 27.50 53.84 GS FINANCE 40058AAM6 06/10/24 06/10/28 100.000 0.000 5.1518 0.143106 0.146792 0.150573 0.154452 28.84 53.69 GS FINANCE 40058ARX4 06/28/24 06/28/29 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 26.34 53.85 GS FINANCE 40057XKB0 01/05/24 07/08/25 100.000 0.000 5.3025 0.147292 0.147357 0.151264 0.155274 53.13 29.01 GS FINANCE 40058ARW6 07/01/24 07/01/27 100.000 0.000 5.2900 0.150831 0.150831 0.158916 26.45 55.02 GS FINANCE 40058AB78 05/31/24 03/04/27 100.000 0.000 5.4362 0.151006 0.153149 0.157312 0.161588 32.11 56.87 GS FINANCE 40058ASH8 06/12/24 09/12/28 100.000 0.000 5.3300 0.148056 0.150028 0.154027 0.158131 29.68 55.61 GS FINANCE 40058ASG0 06/26/24 07/06/32 100.000 0.000 5.3067 0.147408 0.147626 0.151543 0.155564 27.31 55.24 GS FINANCE 40058ASF2 07/02/24 07/01/27 100.000 0.000 5.2421 0.149409 0.153325 0.157344 26.06 54.49 GS FINANCE 40058ABB9 05/31/24 03/02/28 100.000 0.000 5.4137 0.150381 0.152461 0.156588 0.160827 31.98 56.62 GS FINANCE 40058ENT9 08/14/24 08/12/27 100.000 0.000 4.8900 0.135833 0.139118 0.142519 18.61 50.42 GS FINANCE 40058ASX3 06/27/24 06/27/29 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 26.54 53.97 GS FINANCE 40058AC36 05/14/24 05/14/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 0.162481 34.24 56.60 GS FINANCE 40058AT38 06/20/24 06/22/29 100.000 0.000 5.1500 0.143056 0.143096 0.146781 0.150561 0.154438 27.36 53.59 GS FINANCE 40058ATB0 06/21/24 06/23/26 100.000 0.000 5.3800 0.149444 0.149489 0.153510 0.157640 0.161880 28.44 56.07 GS FINANCE 40058ATA2 06/21/24 06/22/29 100.000 0.000 5.2200 0.145000 0.148806 0.152689 0.156675 27.58 54.34 GS FINANCE 40058ASZ8 07/08/24 07/16/25 100.000 0.000 5.5400 0.153889 0.154078 0.158346 26.65 30.81 GS FINANCE 40058ASY1 06/26/24 06/24/27 100.000 0.000 5.2325 0.145347 0.149108 0.153009 0.157012 26.92 54.44 GS FINANCE 40057YP56 03/13/24 03/11/27 100.000 0.000 4.9667 0.137964 0.141352 0.144862 0.148460 40.11 52.30 GS FINANCE 40058EP42 08/30/24 08/31/28 100.000 0.000 4.5250 0.125694 0.128507 0.131446 15.21 46.46 GS FINANCE 38151F5A7 07/18/24 07/18/34 100.000 0.000 5.3600 0.148889 0.152879 0.156976 24.27 55.64 GS FINANCE 40058EP34 08/30/24 08/30/29 100.000 0.000 4.5900 0.127500 0.130394 0.133419 15.43 47.14 GS FINANCE 36255HBW7 05/15/24 05/13/27 100.000 VARIES 5.3300 0.148056 0.150333 0.145722 0.149611 33.49 53.48 GS FINANCE 40058ATG9 06/26/24 06/30/31 100.000 VARIES 5.2326 0.149136 0.138467 0.128667 0.123716 26.61 48.25 GS FINANCE 40058ATF1 06/13/24 06/15/26 100.000 0.000 5.4650 0.151806 0.151852 0.156001 0.160264 0.164643 30.13 57.07 GS FINANCE 40058ATE4 07/03/24 07/01/27 100.000 0.000 5.2621 0.149973 0.153918 0.157968 26.02 54.70 GS FINANCE 40058ATD6 06/28/24 06/28/29 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 26.34 53.85 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RKJ6 05/03/23 05/03/27 100.000 0.000 4.9900 33.19 0.142069 0.145614 0.149247 0.152971 0.156788 52.20 54.84 GS FINANCE CORP 40057PVD1 03/13/23 03/22/28 100.000 0.000 5.5900 45.21 0.159841 0.164308 0.168901 0.173622 0.178474 59.24 62.60 GS FINANCE CORP 40057PEC2 01/31/23 02/09/28 100.000 0.000 4.8500 45.11 0.138157 0.141507 0.144938 0.148453 0.152053 51.30 53.82 GS FINANCE CORP 40057LZW4 05/25/22 05/23/25 100.000 0.000 3.7528 61.33 0.110201 0.112269 0.114375 40.20 16.24 GS FINANCE CORP 40057PVC3 03/08/23 04/08/24 100.000 0.000 5.5625 45.82 0.159547 15.48 GS FINANCE CORP 40057TQN7 08/28/23 10/16/24 100.000 0.000 5.9800 20.53 0.167436 0.172442 48.62 GS FINANCE CORP 40057LZX2 05/25/22 05/23/25 100.000 0.000 3.7528 61.33 0.110201 0.112269 0.114375 40.20 16.24 GS FINANCE CORP 40057PVB5 04/04/23 04/04/28 100.000 0.000 5.0800 37.99 0.144695 0.148371 0.152139 0.156004 0.159966 53.40 56.15 GS FINANCE CORP 40057MLU1 07/21/22 07/20/27 100.000 0.000 4.7658 70.43 0.138750 0.142056 0.145441 0.148907 0.152455 51.62 54.11 GS FINANCE CORP 40057NP84 11/02/22 11/04/25 100.000 0.000 5.8600 69.64 0.172512 0.177567 0.182770 0.188125 63.60 56.34 GS FINANCE CORP 40057TQW7 08/31/23 06/03/27 100.000 0.000 5.7350 19.34 0.161666 0.166301 0.171070 0.175976 0.181022 59.30 62.75 GS FINANCE CORP 40057TQV9 08/31/23 06/02/26 100.000 0.000 5.7875 19.52 0.163142 0.167863 0.172720 0.177718 0.182861 59.86 63.37 GS FINANCE CORP 40057TQR8 08/09/23 08/18/28 100.000 0.000 5.4700 21.60 0.152152 0.156314 0.160589 0.164981 0.169493 56.65 59.79 GS FINANCE CORP 40057LZZ7 05/18/22 05/18/32 100.000 0.000 4.7100 78.36 0.140296 0.143600 0.146982 0.150443 0.153986 51.39 53.84 GS FINANCE CORP 40057RKK3 05/03/23 05/03/28 100.000 0.000 5.0200 33.39 0.142944 0.146532 0.150210 0.153981 0.157846 52.53 55.20 GS FINANCE CORP 40057PW73 03/31/23 04/11/28 100.000 0.000 5.1600 39.20 0.147263 0.151063 0.154960 0.158958 0.163059 54.31 57.15 GS FINANCE CORP 40057WJH1 10/18/23 10/17/30 100.000 0.000 6.2400 12.65 0.173333 0.178711 0.184287 0.190037 0.195966 64.18 68.24 GS FINANCE CORP 40057PW65 03/31/23 04/01/30 100.000 0.000 5.2500 39.87 0.149683 0.153612 0.157644 0.161782 0.166029 55.31 58.25 GS FINANCE CORP 40057PW57 03/31/23 03/31/28 100.000 0.000 5.1600 39.18 0.147031 0.150825 0.154716 0.158708 0.162802 54.31 57.15 GS FINANCE CORP 40057PVT6 03/28/23 04/02/29 100.000 0.146 5.1788 40.03 0.147691 0.151831 0.154569 0.158245 0.160278 54.96 56.82 GS FINANCE CORP 40057PW40 03/31/23 04/01/30 100.000 0.000 5.2500 39.87 0.149683 0.153612 0.157644 0.161782 0.166029 55.31 58.25 GS FINANCE CORP 40057WJE8 11/02/23 11/02/29 100.000 0.000 6.4800 10.62 0.180000 0.185832 0.191853 0.198069 0.204486 66.55 70.93 GS FINANCE CORP 40057PW32 03/31/23 04/02/26 100.000 0.000 5.1300 38.95 0.146197 0.149947 0.153793 0.157738 0.161784 53.98 56.79 GS FINANCE CORP 40057MMG1 07/22/22 07/20/27 100.000 0.000 4.7658 70.29 0.138732 0.142038 0.145422 0.148887 0.152435 51.62 54.10 GS FINANCE CORP 40057PW24 03/31/23 01/02/26 100.000 0.000 5.1713 39.27 0.145546 0.149309 0.153170 0.157130 0.161193 54.44 57.29 GS FINANCE CORP 40057NPH4 10/28/22 11/01/27 100.000 0.000 6.1800 74.25 0.182534 0.188174 0.193988 0.199983 0.206162 67.41 71.65 GS FINANCE CORP 40057XMT9 01/03/24 12/31/26 100.000 0.000 4.9775 0.138264 0.141648 0.145173 0.148786 0.152489 50.11 52.92 GS FINANCE CORP 40057NPX9 10/31/22 10/31/25 100.000 0.000 5.8200 69.49 0.171213 0.176195 0.181322 0.186599 63.15 55.17 GS FINANCE CORP 40057MMT3 08/03/22 08/03/27 100.000 0.000 4.2300 60.88 0.122523 0.125114 0.127760 0.130462 0.133222 45.35 47.29 GS FINANCE CORP 40057TAG9 06/14/23 06/25/24 100.000 0.000 5.8100 31.88 0.166372 28.95 GS FINANCE CORP 40057PEZ1 02/03/23 02/05/26 100.000 0.000 4.7400 43.65 0.134823 0.138018 0.141289 0.144638 0.148065 50.06 52.46 GS FINANCE CORP 40057TAF1 06/29/23 06/29/28 100.000 0.000 5.3600 27.11 0.152879 0.156976 0.161183 0.165503 0.169938 55.79 58.82 GS FINANCE CORP 40057TRF3 08/18/23 08/18/28 100.000 0.000 5.6900 21.02 0.158056 0.162552 0.167177 0.171933 0.176825 58.92 62.32 GS FINANCE CORP 40057NQ67 10/31/22 11/02/27 100.000 0.000 6.1000 72.91 0.179999 0.185489 0.191147 0.196977 0.202984 66.45 70.56 GS FINANCE CORP 40057MN21 07/14/22 07/14/28 100.000 0.000 4.4700 66.87 0.129779 0.132680 0.135645 0.138677 0.141776 48.22 50.40 GS FINANCE CORP 40057MMQ9 08/03/22 08/01/25 100.000 0.000 3.8597 55.46 0.111369 0.113518 0.115708 0.117941 41.13 24.70 GS FINANCE CORP 40057PVY5 04/05/23 04/14/26 100.000 0.000 5.0400 37.56 0.143709 0.147330 0.151043 0.154849 0.158752 52.95 55.65 GS FINANCE CORP 40057PW99 04/05/23 04/03/26 100.000 0.000 5.0588 37.69 0.144037 0.147680 0.151416 0.155246 0.159172 53.16 55.88 GS FINANCE CORP 40057NQ34 10/31/22 10/29/27 100.000 0.000 6.0883 72.77 0.179543 0.185009 0.190641 0.196444 0.202424 66.31 70.41 GS FINANCE CORP 40057P4U3 12/05/22 12/05/24 100.000 0.000 5.3000 57.74 0.155128 0.159239 52.55 GS FINANCE CORP 40057PW81 03/31/23 03/31/28 100.000 0.000 5.1600 39.18 0.147031 0.150825 0.154716 0.158708 0.162802 54.31 57.15 GS FINANCE CORP 40057MMN6 08/03/22 08/01/25 100.000 0.000 3.8597 55.46 0.111369 0.113518 0.115708 0.117941 41.13 24.70 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PVW9 03/31/23 04/01/30 100.000 0.000 5.2500 39.87 0.149683 0.153612 0.157644 0.161782 0.166029 55.31 58.25 GS FINANCE CORP 40057WJU2 11/03/23 08/05/26 100.000 0.000 6.2787 10.12 0.174408 0.177207 0.182770 0.188508 0.194426 64.51 68.53 GS FINANCE CORP 40057PWB4 03/31/23 04/02/26 100.000 0.000 5.1300 38.95 0.146197 0.149947 0.153793 0.157738 0.161784 53.98 56.79 GS FINANCE CORP 40057RM54 06/02/23 06/02/28 100.000 0.000 5.2800 30.77 0.150539 0.154513 0.158592 0.162779 0.167076 55.14 58.09 GS FINANCE CORP 40057TB86 06/28/23 06/28/30 100.000 0.000 5.4200 27.56 0.154636 0.158826 0.163130 0.167551 0.172092 56.45 59.55 GS FINANCE CORP 40057WKB2 11/03/23 11/14/30 100.000 0.000 6.5600 10.59 0.182587 0.188576 0.194762 0.201150 0.207748 67.38 71.87 GS FINANCE CORP 40057PWM0 03/31/23 10/02/25 100.000 0.000 5.2125 39.59 0.148608 0.152481 0.156455 0.160533 54.89 43.13 GS FINANCE CORP 40057WKA4 11/03/23 11/05/26 100.000 0.000 6.2900 10.14 0.174783 0.180280 0.185950 0.191798 0.197830 64.54 68.66 GS FINANCE CORP 40057TS54 08/15/23 08/15/30 100.000 0.000 5.6000 21.16 0.155556 0.159911 0.164389 0.168992 0.173723 57.99 61.28 GS FINANCE CORP 40057PFV9 02/01/23 03/01/24 100.000 0.000 5.3550 49.77 0.153414 9.20 GS FINANCE CORP 40057WKK2 10/31/23 10/31/30 100.000 0.000 6.5300 11.06 0.181389 0.187311 0.193427 0.199742 0.206264 67.10 71.55 GS FINANCE CORP 38150AP90 09/20/22 09/20/32 100.000 VARIES 5.8500 6.24 0.011889 0.010444 0.009444 0.009722 0.010056 3.75 3.51 GS FINANCE CORP 40057PG63 02/03/23 02/05/24 100.000 0.000 5.3700 49.53 0.153217 5.21 GS FINANCE CORP 40057NQQ3 11/02/22 10/31/25 100.000 0.000 5.8608 69.65 0.172427 0.177479 0.182680 0.188034 63.61 55.58 GS FINANCE CORP 40057WKJ5 10/31/23 10/31/30 100.000 0.000 6.5300 11.06 0.181389 0.187311 0.193427 0.199742 0.206264 67.10 71.55 GS FINANCE CORP 40057RLZ9 04/27/23 04/30/25 100.000 0.000 4.9900 34.05 0.142129 0.145675 0.149309 52.24 17.77 GS FINANCE CORP 40057WKH9 10/31/23 10/31/29 100.000 0.000 6.3699 10.79 0.176942 0.182577 0.188392 0.194392 0.200584 65.41 69.64 GS FINANCE CORP 40057PWS7 03/31/23 10/01/26 100.000 0.000 5.1375 39.01 0.146395 0.150155 0.154012 0.157968 0.162026 54.06 56.88 GS FINANCE CORP 40057NQN0 11/02/22 11/02/26 100.000 0.000 5.9750 71.03 0.176037 0.181296 0.186713 0.192291 0.198035 64.95 68.89 GS FINANCE CORP 40057WKG1 10/31/23 10/29/26 100.000 0.000 6.2267 10.55 0.172964 0.178319 0.183871 0.189595 0.195498 63.91 67.94 GS FINANCE CORP 40057MNG0 07/22/22 07/24/25 100.000 0.000 4.4400 65.39 0.128902 0.131764 0.134689 0.137679 47.83 27.88 GS FINANCE CORP 40057WKS5 10/23/23 10/23/30 100.000 0.000 6.6200 12.50 0.183889 0.189976 0.196264 0.202760 0.209471 68.14 72.72 GS FINANCE CORP 40057KHQ9 12/31/21 01/29/29 100.000 VARIES 2.2100 44.43 0.062889 0.063278 0.062889 0.063944 0.063611 22.71 22.83 GS FINANCE CORP 40057WL21 10/31/23 10/31/28 100.000 0.000 6.3800 10.81 0.177222 0.182876 0.188709 0.194729 0.200941 65.52 69.77 GS FINANCE CORP 40057NQX8 10/31/22 11/02/27 100.000 0.000 6.1000 72.91 0.179999 0.185489 0.191147 0.196977 0.202984 66.45 70.56 GS FINANCE CORP 40057WKP1 10/25/23 10/23/26 100.000 0.000 6.3225 11.59 0.175625 0.181115 0.186841 0.192747 0.198840 64.98 69.14 GS FINANCE CORP 40057NA64 10/13/22 10/10/25 100.000 0.000 5.5433 68.89 0.162561 0.167067 0.171697 0.176456 60.07 48.76 GS FINANCE CORP 40057NR82 11/03/22 11/08/27 100.000 0.000 6.1100 72.50 0.180404 0.185915 0.191595 0.197448 0.203480 66.53 70.66 GS FINANCE CORP 40057NQV2 10/31/22 10/31/25 100.000 0.000 5.8200 69.49 0.171213 0.176195 0.181322 0.186599 63.15 55.17 GS FINANCE CORP 40057TSF2 09/01/23 09/03/26 100.000 0.000 5.6400 18.81 0.156716 0.161135 0.165679 0.170351 0.175155 58.27 61.60 GS FINANCE CORP 40057NA49 09/21/22 09/21/27 100.000 VARIES 5.2000 67.88 0.151556 0.154500 0.157611 0.160778 0.164111 55.68 57.95 GS FINANCE CORP 40057TSG0 08/07/23 08/07/25 100.000 0.000 5.6600 22.64 0.157222 0.161672 0.166247 0.170952 58.70 36.76 GS FINANCE CORP 40057TSE5 09/01/23 09/01/28 100.000 0.000 5.6100 18.70 0.155833 0.160204 0.164698 0.169318 0.174067 57.95 61.25 GS FINANCE CORP 40057PFX5 02/03/23 08/03/28 100.000 0.000 4.7425 43.67 0.134860 0.138058 0.141331 0.144683 0.148114 50.08 52.49 GS FINANCE CORP 40057PWZ1 04/05/23 10/03/25 100.000 0.000 5.1713 38.53 0.147320 0.151129 0.155037 0.159046 54.40 42.89 GS FINANCE CORP 40057NQT7 10/31/22 10/29/27 100.000 0.000 6.0883 72.77 0.179543 0.185009 0.190641 0.196444 0.202424 66.31 70.41 GS FINANCE CORP 40057NR41 11/02/22 05/01/25 100.000 0.000 5.8658 69.71 0.172609 0.177672 0.182883 63.67 21.95 GS FINANCE CORP 40057PWY4 04/05/23 10/03/25 100.000 0.000 5.1713 38.53 0.147320 0.151129 0.155037 0.159046 54.40 42.89 GS FINANCE CORP 40057NRC3 11/02/22 11/04/25 100.000 0.000 5.8600 69.64 0.172512 0.177567 0.182770 0.188125 63.60 56.34 GS FINANCE CORP 40057TST2 08/07/23 02/08/29 100.000 0.000 5.5475 22.19 0.154097 0.158395 0.162789 0.167304 0.171945 57.49 60.73 GS FINANCE CORP 40057TBQ6 07/06/23 08/05/24 100.000 0.000 5.8600 28.60 0.163546 0.168338 35.86 GS FINANCE CORP 40057NRB5 11/02/22 11/04/27 100.000 0.000 6.0900 72.43 0.179687 0.185158 0.190796 0.196606 0.202592 66.31 70.40 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057WKY2 11/03/23 11/17/26 100.000 0.000 6.2900 10.15 0.175150 0.180658 0.186340 0.192200 0.198245 64.54 68.66 GS FINANCE CORP 40057TT38 08/09/23 08/09/28 100.000 0.000 5.4700 21.58 0.151944 0.156100 0.160369 0.164756 0.169262 56.64 59.79 GS FINANCE CORP 38150APL3 09/30/22 10/05/32 100.000 VARIES 6.3100 10.72 0.020833 0.018167 0.016222 0.016722 0.017278 6.45 6.02 GS FINANCE CORP 40057WL88 10/18/23 11/18/24 100.000 0.000 6.0696 12.34 0.169453 0.174595 54.64 GS FINANCE CORP 40057WKV8 10/31/23 11/09/28 100.000 0.000 6.3800 10.83 0.177505 0.183167 0.189010 0.195040 0.201262 65.52 69.77 GS FINANCE CORP 40057PXC1 03/20/23 03/20/28 100.000 0.000 5.3900 42.48 0.153757 0.157901 0.162156 0.166527 0.171014 56.95 60.06 GS FINANCE CORP 40057WKU0 10/31/23 10/29/26 100.000 0.000 6.2267 10.55 0.172964 0.178319 0.183871 0.189595 0.195498 63.91 67.94 GS FINANCE CORP 40057PXB3 04/05/23 04/03/26 100.000 0.000 5.0588 37.69 0.144037 0.147680 0.151416 0.155246 0.159172 53.16 55.88 GS FINANCE CORP 40057PY30 03/29/23 03/27/26 100.000 0.000 4.9254 37.53 0.140149 0.143600 0.147136 0.150760 0.154473 51.73 54.31 GS FINANCE CORP 40057N0G6 11/03/22 11/05/25 100.000 0.000 5.8900 69.83 0.173446 0.178554 0.183813 0.189226 63.94 56.85 GS FINANCE CORP 40057RMU9 05/04/23 11/06/24 100.000 0.000 5.2800 34.98 0.150583 0.154558 46.64 GS FINANCE CORP 40057PXN7 03/20/23 03/20/25 100.000 0.000 5.5200 43.51 0.157565 0.161914 0.166383 58.40 13.14 GS FINANCE CORP 40057RMS4 05/04/23 05/07/24 100.000 0.000 5.3600 35.52 0.152947 19.27 GS FINANCE CORP 40057WLA3 10/18/23 11/18/24 100.000 0.000 6.0696 12.34 0.169453 0.174595 54.64 GS FINANCE CORP 40057RMR6 05/03/23 05/03/30 100.000 0.000 5.0800 33.79 0.144695 0.148371 0.152139 0.156004 0.159966 53.18 55.92 GS FINANCE CORP 40057TT79 08/09/23 08/18/27 100.000 0.000 5.4450 21.50 0.151456 0.155579 0.159815 0.164166 0.168635 56.38 59.49 GS FINANCE CORP 40057RMP0 05/02/23 05/02/28 100.000 0.000 5.0900 34.00 0.144987 0.148677 0.152461 0.156341 0.160320 53.30 56.05 GS FINANCE CORP 40057TC44 06/20/23 09/19/24 100.000 0.000 5.9042 31.57 0.166399 0.171312 43.82 GS FINANCE CORP 40057NAC1 09/29/22 10/01/25 100.000 0.000 5.5300 70.99 0.162273 0.166760 0.171371 0.176109 60.04 47.12 GS FINANCE CORP 40057T2B9 06/30/23 04/01/27 100.000 0.000 5.4600 27.64 0.153760 0.157958 0.162270 0.166700 0.171251 56.88 60.02 GS FINANCE CORP 40057NAR8 10/13/22 10/15/25 100.000 0.000 5.5500 68.98 0.162892 0.167412 0.172058 0.176832 60.15 49.72 GS FINANCE CORP 40057TTE4 08/17/23 08/16/30 100.000 0.000 5.7167 21.28 0.158797 0.163311 0.167979 0.172780 0.177719 59.22 62.65 GS FINANCE CORP 40057PGX4 02/01/23 02/01/28 100.000 0.000 4.8800 45.23 0.138863 0.142251 0.145722 0.149278 0.152920 51.63 54.18 GS FINANCE CORP 40057TCD4 06/29/23 07/03/28 100.000 0.000 5.3600 27.11 0.148978 0.152970 0.157070 0.161279 0.165602 55.79 58.82 GS FINANCE CORP 40057WLL9 11/03/23 11/04/27 100.000 0.000 6.3650 10.25 0.176806 0.182464 0.188271 0.194262 0.200445 65.32 69.55 GS FINANCE CORP 40057P6V9 12/07/22 12/05/25 100.000 0.000 4.9979 54.11 0.145816 0.149460 0.153195 0.157023 53.34 51.86 GS FINANCE CORP 40057PXY3 03/10/23 03/10/28 100.000 0.000 5.5300 45.17 0.157858 0.162223 0.166709 0.171318 0.176055 58.60 61.88 GS FINANCE CORP 40057NAP2 09/28/22 09/28/27 100.000 0.000 5.6300 72.47 0.165318 0.169971 0.174756 0.179675 0.184733 61.23 64.73 GS FINANCE CORP 40057NS32 11/01/22 10/27/25 100.000 0.000 5.7608 68.61 0.169268 0.174144 0.179160 0.184320 62.45 53.96 GS FINANCE CORP 40057PXV9 03/20/23 03/20/25 100.000 0.000 5.5200 43.51 0.157565 0.161914 0.166383 58.40 13.14 GS FINANCE CORP 40057NRN9 10/31/22 10/31/24 100.000 0.000 5.7700 68.88 0.169659 0.174554 51.61 GS FINANCE CORP 40057RN95 05/31/23 08/28/25 100.000 0.000 5.5408 32.73 0.155996 0.160317 0.164759 0.169323 58.01 39.87 GS FINANCE CORP 40057PGR7 02/03/23 03/05/24 100.000 0.000 5.3438 49.36 0.153129 9.80 GS FINANCE CORP 40057PY55 04/05/23 05/03/24 100.000 0.000 5.4900 40.96 0.157355 19.20 GS FINANCE CORP 40057PHA3 02/01/23 01/30/25 100.000 0.000 5.1050 47.34 0.145405 0.149116 0.152923 54.15 4.43 GS FINANCE CORP 40057WM61 10/18/23 10/18/28 100.000 0.000 6.1500 12.47 0.170833 0.176086 0.181501 0.187082 0.192835 63.22 67.17 GS FINANCE CORP 40057MP94 08/08/22 08/08/24 100.000 0.000 2.8600 40.49 0.081733 0.082902 17.95 GS FINANCE CORP 40057TCK8 06/29/23 07/31/24 100.000 0.000 5.8504 29.70 0.163330 0.168108 35.00 GS FINANCE CORP 40057NAX5 09/28/22 09/30/27 100.000 0.000 5.6300 72.47 0.165369 0.170024 0.174811 0.179731 0.184791 61.23 64.73 GS FINANCE CORP 40057WLS4 11/01/23 10/30/25 100.000 0.000 6.1629 10.27 0.171192 0.176438 0.181874 0.187479 63.22 55.39 GS FINANCE CORP 40057NB97 09/27/22 09/27/27 100.000 0.000 5.5500 71.58 0.162842 0.167360 0.172005 0.176778 0.181683 60.30 63.69 GS FINANCE CORP 40057RND6 05/17/23 05/16/30 100.000 0.000 5.1950 32.49 0.148033 0.151878 0.155823 0.159871 0.164023 54.33 57.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NAW7 10/05/22 04/04/24 100.000 0.000 5.3558 67.77 0.156824 14.58 GS FINANCE CORP 40057WM38 10/11/23 09/29/28 100.000 0.000 6.2838 13.96 0.174550 0.179669 0.185314 0.191136 0.197141 64.75 68.85 GS FINANCE CORP 40057MP78 08/02/22 08/02/27 100.000 0.000 4.2800 61.74 0.124032 0.126686 0.129397 0.132166 0.134995 45.93 47.92 GS FINANCE CORP 40057MP60 08/03/22 08/03/27 100.000 0.000 4.2300 60.88 0.122523 0.125114 0.127760 0.130462 0.133222 45.35 47.29 GS FINANCE CORP 40057NAU1 10/19/22 10/21/25 100.000 0.000 5.8800 72.13 0.173135 0.178225 0.183465 0.188859 63.97 54.18 GS FINANCE CORP 40057RNB0 05/17/23 08/17/26 100.000 0.000 5.0275 31.52 0.141408 0.144963 0.148607 0.152342 0.156172 52.51 55.18 GS FINANCE CORP 40057NS81 11/01/22 10/31/24 100.000 0.000 5.7708 68.72 0.169658 0.174553 51.61 GS FINANCE CORP 40057RNA2 05/01/23 10/31/24 100.000 0.000 5.1454 34.53 0.146584 0.150356 44.51 GS FINANCE CORP 40057NRV1 11/09/22 11/02/26 100.000 0.000 5.9371 69.37 0.174660 0.179845 0.185184 0.190681 0.196342 64.43 68.31 GS FINANCE CORP 40057T2C7 06/30/23 04/01/26 100.000 0.000 5.5375 28.04 0.155973 0.160291 0.164729 0.169290 0.173977 57.72 60.96 GS FINANCE CORP 40057NRU3 11/02/22 10/31/25 100.000 0.000 5.8608 69.65 0.172427 0.177479 0.182680 0.188034 63.61 55.58 GS FINANCE CORP 40057NSE8 11/23/22 11/24/28 100.000 0.000 5.5450 62.40 0.162711 0.167223 0.171859 0.176624 0.181520 59.73 63.08 GS FINANCE CORP 40057MPB9 07/28/22 07/25/24 100.000 0.000 4.2300 61.49 0.122481 0.125071 25.45 GS FINANCE CORP 40057NSD0 11/23/22 11/23/27 100.000 0.000 5.5000 61.89 0.161296 0.165732 0.170289 0.174972 0.179784 59.21 62.51 GS FINANCE CORP 40057TCS1 06/29/23 08/12/24 100.000 0.000 5.8817 29.89 0.164528 0.169367 37.23 GS FINANCE CORP 40057TD43 07/11/23 10/16/25 100.000 0.000 5.7562 27.36 0.162323 0.166995 0.171801 0.176746 59.99 49.85 GS FINANCE CORP 40057NSC2 11/18/22 11/23/29 100.000 0.000 5.5900 63.74 0.164206 0.168796 0.173514 0.178364 0.183349 60.29 63.71 GS FINANCE CORP 40057TCR3 06/29/23 07/24/24 100.000 0.000 5.9000 29.93 0.164560 0.169415 34.28 GS FINANCE CORP 40057RNN4 06/02/23 06/04/26 100.000 0.000 5.3000 30.88 0.151168 0.155174 0.159286 0.163507 0.167840 55.36 58.33 GS FINANCE CORP 40057T2Q6 07/05/23 04/06/26 100.000 0.000 5.5675 27.40 0.156829 0.161195 0.165682 0.170294 0.175035 58.00 61.27 GS FINANCE CORP 40057T2P8 07/05/23 07/05/29 100.000 0.000 5.4650 26.72 0.151806 0.155954 0.160215 0.164593 0.169090 56.88 60.03 GS FINANCE CORP 40057NBA4 09/30/22 10/06/25 100.000 0.000 5.5800 71.49 0.163922 0.168495 0.173196 0.178029 60.62 48.50 GS FINANCE CORP 40057RNL8 06/05/23 03/05/25 100.000 0.000 5.4788 31.59 0.154273 0.158500 0.162842 57.29 10.42 GS FINANCE CORP 40057NSA6 11/18/22 11/23/29 100.000 0.000 5.5900 63.74 0.164206 0.168796 0.173514 0.178364 0.183349 60.29 63.71 GS FINANCE CORP 40057PHD7 02/03/23 05/06/24 100.000 0.000 5.2913 48.90 0.152931 19.12 GS FINANCE CORP 38150AQP3 12/07/22 12/07/27 100.000 VARIES 5.9300 5.06 0.012222 0.012611 0.013000 0.013333 0.013722 4.49 4.76 GS FINANCE CORP 40057PHC9 02/03/23 05/06/24 100.000 0.000 5.2913 48.90 0.152931 19.12 GS FINANCE CORP 40057TCM4 06/21/23 06/20/25 100.000 0.000 5.6592 29.92 0.161623 0.166197 0.170899 59.11 28.88 GS FINANCE CORP 40057WMG9 11/03/23 08/05/26 100.000 0.000 6.2787 10.12 0.174408 0.177207 0.182770 0.188508 0.194426 64.51 68.53 GS FINANCE CORP 40057MPH6 07/27/22 07/29/25 100.000 0.000 4.1300 60.14 0.119537 0.122005 0.124524 0.127096 44.24 26.36 GS FINANCE CORP 40057TTZ7 08/01/23 09/09/24 100.000 0.000 5.8200 24.36 0.162660 0.167393 41.19 GS FINANCE CORP 40057TCW2 07/06/23 07/10/28 100.000 0.000 5.3800 26.17 0.149534 0.153556 0.157687 0.161929 0.166285 55.95 59.00 GS FINANCE CORP 40057TD84 06/30/23 06/30/28 100.000 0.000 5.4100 27.20 0.154343 0.158518 0.162806 0.167210 0.171733 56.32 59.41 GS FINANCE CORP 40057RNS3 06/05/23 06/08/26 100.000 0.000 5.2100 29.91 0.148557 0.152427 0.156397 0.160471 0.164652 54.36 57.23 GS FINANCE CORP 40057MPD5 07/28/22 08/08/29 100.000 0.000 4.6700 68.06 0.136027 0.139203 0.142454 0.145780 0.149184 50.46 52.84 GS FINANCE CORP 40057NBF3 09/28/22 09/28/27 100.000 0.000 5.6300 72.47 0.165318 0.169971 0.174756 0.179675 0.184733 61.23 64.73 GS FINANCE CORP 40057RNR5 06/02/23 06/08/26 100.000 0.000 5.3000 30.89 0.151257 0.155265 0.159380 0.163604 0.167939 55.36 58.33 GS FINANCE CORP 40057TTW4 08/29/23 08/29/28 100.000 0.000 5.7300 19.42 0.159167 0.163727 0.168418 0.173216 0.178206 59.25 62.69 GS FINANCE CORP 40057TUG7 08/16/23 08/16/28 100.000 0.000 5.6100 21.04 0.155833 0.160204 0.164698 0.169318 0.174067 58.08 61.39 GS FINANCE CORP 40057MPS2 08/03/22 08/02/29 100.000 0.000 4.3642 62.85 0.126561 0.129323 0.132145 0.135028 0.137975 46.89 48.96 GS FINANCE CORP 40057T3C6 07/06/23 07/03/25 100.000 0.000 5.6767 27.60 0.157686 0.162087 0.166688 0.171419 59.16 31.19 GS FINANCE CORP 40057T3B8 07/05/23 07/06/26 100.000 0.000 5.5200 26.99 0.153333 0.157589 0.161938 0.166408 0.171001 57.47 60.69 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TUE2 08/18/23 08/18/28 100.000 0.000 5.6900 21.02 0.158056 0.162552 0.167177 0.171933 0.176825 58.92 62.32 GS FINANCE CORP 40057MPQ6 08/03/22 08/05/25 100.000 0.000 3.9700 57.07 0.114725 0.117002 0.119324 0.121693 42.38 25.96 GS FINANCE CORP 40057NSR9 11/07/22 11/05/27 100.000 0.000 5.9625 70.01 0.175591 0.180826 0.186217 0.191768 0.197485 64.75 68.67 GS FINANCE CORP 40057WML8 10/23/23 10/22/26 100.000 0.000 6.3617 12.02 0.176714 0.182304 0.188102 0.194086 0.200259 65.41 69.63 GS FINANCE CORP 40057NSS7 12/05/22 12/05/24 100.000 0.000 5.3000 57.74 0.155128 0.159239 52.55 GS FINANCE CORP 40057PZ96 03/31/23 04/02/25 100.000 0.000 5.2950 40.22 0.151022 0.155020 0.159124 55.81 14.48 GS FINANCE CORP 40057NT31 11/03/22 11/05/24 100.000 0.000 5.9350 70.37 0.174848 0.180037 54.09 GS FINANCE CORP 40057NSQ1 10/31/22 10/31/27 100.000 VARIES 6.4200 71.53 0.161278 0.162389 0.162667 0.163000 0.162611 58.36 58.64 GS FINANCE CORP 40057MPL7 07/22/22 07/24/25 100.000 0.000 4.4400 65.39 0.128902 0.131764 0.134689 0.137679 47.83 27.88 GS FINANCE CORP 36263Q603 07/06/22 07/03/25 100.000 0.000 4.1611 63.12 0.120405 0.122910 0.125467 0.128078 44.70 23.30 GS FINANCE CORP 40057WN86 11/03/23 12/04/24 100.000 0.000 6.2038 10.02 0.173248 0.178622 58.66 GS FINANCE CORP 40057T3M4 06/20/23 09/17/26 100.000 0.000 5.5067 29.43 0.155000 0.159267 0.163652 0.168158 0.172788 57.47 60.68 GS FINANCE CORP 40057WN60 10/25/23 10/25/28 100.000 0.000 6.5200 11.95 0.181111 0.187015 0.193112 0.199407 0.205908 67.05 71.50 GS FINANCE CORP 40057TUN2 08/23/23 08/23/27 100.000 0.000 5.7700 20.52 0.160278 0.164902 0.169659 0.174554 0.179590 59.73 63.23 GS FINANCE CORP 40057TUL6 08/21/23 08/20/26 100.000 0.000 5.7496 20.76 0.159711 0.164277 0.169000 0.173858 0.178856 59.53 63.01 GS FINANCE CORP 40057T3J1 07/06/23 07/07/26 100.000 0.000 5.4600 26.54 0.151667 0.155830 0.160084 0.164455 0.168944 56.81 59.96 GS FINANCE CORP 40057MPX1 07/29/22 10/29/27 100.000 0.000 4.5500 66.21 0.133709 0.136751 0.139862 0.143044 0.146298 49.06 51.32 GS FINANCE CORP 40057WN45 10/03/23 11/05/26 100.000 0.000 6.2900 15.43 0.175699 0.181225 0.186924 0.192803 0.198867 64.87 69.02 GS FINANCE CORP 40057MPW3 07/29/22 07/31/25 100.000 0.000 4.2000 60.93 0.121632 0.124187 0.126795 0.129457 45.03 26.98 GS FINANCE CORP 40057NSZ1 11/30/22 11/28/25 100.000 0.000 5.3146 58.68 0.155533 0.159666 0.163909 0.168264 57.01 54.38 GS FINANCE CORP 40057MPV5 08/15/22 08/13/27 100.000 0.000 4.3504 61.14 0.126129 0.128873 0.131676 0.134540 0.137467 46.67 48.72 GS FINANCE CORP 40057T3F9 07/05/23 07/02/26 100.000 0.000 5.5358 27.06 0.153772 0.157958 0.162330 0.166823 0.171440 57.64 60.88 GS FINANCE CORP 40057WMQ7 11/03/23 11/05/26 100.000 0.000 6.2900 10.14 0.174783 0.180280 0.185950 0.191798 0.197830 64.54 68.66 GS FINANCE CORP 40057NT98 12/02/22 06/03/25 100.000 0.000 5.3050 58.25 0.155305 0.159424 0.163653 56.88 24.88 GS FINANCE CORP 40057MPU7 08/03/22 08/03/27 100.000 0.000 4.2300 60.88 0.122523 0.125114 0.127760 0.130462 0.133222 45.35 47.29 GS FINANCE CORP 40057MPT0 08/03/22 08/03/27 100.000 0.000 4.2300 60.88 0.122523 0.125114 0.127760 0.130462 0.133222 45.35 47.29 GS FINANCE CORP 40057NSW8 11/28/22 11/30/27 100.000 0.000 5.4600 60.63 0.160109 0.164480 0.168971 0.173583 0.178322 58.70 61.95 GS FINANCE CORP 40057WMP9 11/03/23 05/05/26 100.000 0.000 6.2675 10.10 0.174158 0.179616 0.185244 0.191049 0.197036 64.30 68.39 GS FINANCE CORP 36264Q396 09/21/22 10/03/29 100.000 0.000 5.3200 69.51 0.156020 0.160170 0.164431 0.168805 0.173295 57.65 60.76 GS FINANCE CORP 40057NTE7 12/05/22 12/08/25 100.000 0.000 5.1200 55.75 0.149661 0.153492 0.157422 0.161452 54.75 53.78 GS FINANCE CORP 40057TUV4 08/23/23 08/23/30 100.000 0.000 5.8600 20.84 0.162778 0.167547 0.172456 0.177509 0.182710 60.70 64.31 GS FINANCE CORP 38150AS30 05/05/23 05/06/24 100.000 VARIES 0.4800 5.44 0.020273 0.018065 2.59 GS FINANCE CORP 40057T3N2 06/20/23 06/20/30 100.000 0.000 5.5000 29.23 0.156979 0.161296 0.165732 0.170289 0.174972 57.39 60.59 GS FINANCE CORP 40057TVA9 08/23/23 08/23/30 100.000 0.000 5.8600 20.84 0.162778 0.167547 0.172456 0.177509 0.182710 60.70 64.31 GS FINANCE CORP 40057PZR6 04/05/23 04/05/28 100.000 0.000 5.0500 37.62 0.143820 0.147451 0.151174 0.154992 0.158905 53.06 55.77 GS FINANCE CORP 40057WNF0 11/01/23 10/30/25 100.000 0.000 6.1629 10.27 0.171192 0.176438 0.181874 0.187479 63.22 55.39 GS FINANCE CORP 40057PZQ8 03/15/23 03/13/25 100.000 0.000 5.4146 43.45 0.154432 0.158613 0.162907 57.26 11.73 GS FINANCE CORP 40057NTK3 12/05/22 12/04/25 100.000 0.000 5.1350 55.91 0.150037 0.153889 0.157840 0.161892 54.92 53.29 GS FINANCE CORP 40057T3X0 06/01/23 06/12/24 100.000 0.000 5.7700 33.80 0.165193 26.60 GS FINANCE CORP 40057PZP0 03/13/23 06/13/24 100.000 0.000 5.7617 46.63 0.167030 27.06 GS FINANCE CORP 40057RP69 06/05/23 09/05/24 100.000 0.000 5.5862 32.22 0.157339 0.161734 39.18 GS FINANCE CORP 40057RP51 06/05/23 12/04/24 100.000 0.000 5.5504 31.88 0.158433 0.162830 53.55 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NCH8 09/30/22 09/30/27 100.000 0.000 5.7100 73.18 0.167797 0.172588 0.177515 0.182583 0.187796 62.15 65.75 GS FINANCE CORP 40057PZN5 03/15/23 03/13/25 100.000 0.000 5.4146 43.45 0.154432 0.158613 0.162907 57.26 11.73 GS FINANCE CORP 40057TE83 07/06/23 01/06/25 100.000 0.000 5.7600 28.00 0.160000 0.164608 0.169349 60.07 0.85 GS FINANCE CORP 40057TE91 07/03/23 07/03/25 100.000 0.000 5.7100 28.23 0.158611 0.163139 0.167797 0.172588 59.55 31.40 GS FINANCE CORP 40057T4F8 06/30/23 04/01/26 100.000 0.000 5.5375 28.04 0.155973 0.160291 0.164729 0.169290 0.173977 57.72 60.96 GS FINANCE CORP 40057NCV7 10/05/22 04/02/26 100.000 0.000 5.5946 70.86 0.164147 0.168739 0.173459 0.178311 0.183299 60.75 64.19 GS FINANCE CORP 40057XA39 11/22/23 11/22/30 100.000 0.000 5.9200 6.41 0.164444 0.169312 0.174324 0.179484 0.184796 60.46 64.09 GS FINANCE CORP 40057YD75 02/27/24 02/25/27 100.000 0.000 5.1317 0.142547 0.146164 0.149914 0.153761 43.79 54.25 GS FINANCE CORP 40057T4E1 06/30/23 06/28/30 100.000 0.000 5.4292 27.31 0.154860 0.159063 0.163381 0.167816 0.172372 56.53 59.64 GS FINANCE CORP 40057TVH4 08/23/23 08/23/28 100.000 0.000 5.7800 20.55 0.160556 0.165196 0.169970 0.174882 0.179936 59.84 63.35 GS FINANCE CORP 40057T4D3 06/30/23 07/02/26 100.000 0.000 5.4900 27.61 0.152547 0.156734 0.161036 0.165457 0.169998 57.19 60.37 GS FINANCE CORP 40057TVG6 08/31/23 12/05/25 100.000 0.000 5.8625 19.77 0.165367 0.170214 0.175203 0.180339 60.66 59.44 GS FINANCE CORP 40057NTV9 11/28/22 05/28/25 100.000 0.000 5.3600 59.50 0.156976 0.161183 0.165503 57.55 24.33 GS FINANCE CORP 40057T4C5 06/30/23 06/28/30 100.000 0.000 5.4292 27.31 0.154860 0.159063 0.163381 0.167816 0.172372 56.53 59.64 GS FINANCE CORP 40057NCS4 10/05/22 10/07/27 100.000 0.000 5.8400 74.04 0.171890 0.176909 0.182075 0.187392 0.192863 63.64 67.41 GS FINANCE CORP 40057NTT4 12/05/22 12/03/27 100.000 0.000 5.3692 58.51 0.157214 0.161435 0.165769 0.170219 0.174788 57.60 60.73 GS FINANCE CORP 40057PZY1 03/28/23 09/06/24 100.000 0.000 5.2000 39.81 0.147741 0.151582 36.89 GS FINANCE CORP 40057TEB6 07/19/23 10/19/26 100.000 0.000 5.4000 24.45 0.152025 0.156130 0.160345 0.164674 0.169121 56.07 59.14 GS FINANCE CORP 40057PZX3 03/28/23 03/27/25 100.000 0.000 5.0800 38.86 0.144675 0.148350 0.152118 53.44 13.08 GS FINANCE CORP 40057PZV7 03/20/23 03/20/25 100.000 0.000 5.5200 43.51 0.157565 0.161914 0.166383 58.40 13.14 GS FINANCE CORP 40057TEA8 07/19/23 07/19/30 100.000 0.000 5.4600 24.57 0.151667 0.155807 0.160061 0.164430 0.168919 56.71 59.84 GS FINANCE CORP 40057TEP5 07/31/23 04/30/26 100.000 0.000 5.5033 23.21 0.154973 0.159237 0.163619 0.168121 0.172747 57.09 60.27 GS FINANCE CORP 40057RPK8 05/31/23 05/30/25 100.000 0.000 5.5771 32.82 0.159239 0.163680 0.168244 58.40 25.07 GS FINANCE CORP 40057PJF0 03/02/23 03/06/26 100.000 0.000 5.3500 44.92 0.152677 0.156761 0.160955 0.165260 0.169681 56.65 59.72 GS FINANCE CORP 40057T4N1 06/05/23 06/05/30 100.000 0.000 5.2228 29.98 0.148866 0.152754 0.156743 0.160836 0.165036 54.50 57.38 GS FINANCE CORP 40057TEN0 07/31/23 07/31/30 100.000 0.000 5.4100 22.69 0.150278 0.154343 0.158518 0.162806 0.167210 56.08 59.15 GS FINANCE CORP 40057WNW3 10/16/23 10/15/26 100.000 0.000 6.0121 12.53 0.167003 0.171995 0.177165 0.182491 0.187977 61.79 65.56 GS FINANCE CORP 40057PJC7 02/28/23 02/26/27 100.000 0.000 5.2742 44.87 0.150326 0.154290 0.158359 0.162535 0.166821 55.84 58.82 GS FINANCE CORP 40057RPJ1 05/24/23 11/24/27 100.000 0.000 5.2950 32.06 0.150977 0.154974 0.159077 0.163289 0.167612 55.37 58.34 GS FINANCE CORP 40057TEM2 07/31/23 07/30/26 100.000 0.000 5.4558 22.88 0.151550 0.155684 0.159931 0.164294 0.168776 56.57 59.70 GS FINANCE CORP 40057WNV5 10/25/23 10/23/25 100.000 0.000 6.2325 11.43 0.173125 0.178460 0.184021 0.189756 64.03 54.77 GS FINANCE CORP 40057RPH5 05/24/23 11/24/28 100.000 0.000 5.3300 32.27 0.152001 0.156052 0.160211 0.164480 0.168864 55.75 58.76 GS FINANCE CORP 38150ASL0 05/30/23 07/01/24 100.000 VARIES 0.5000 3.48 0.017611 0.009667 2.88 GS FINANCE CORP 40057MQX0 08/03/22 08/03/26 100.000 0.000 4.1000 58.97 0.118606 0.121038 0.123519 0.126051 0.128635 43.86 45.68 GS FINANCE CORP 40057ND95 09/28/22 03/27/25 100.000 0.000 5.2588 67.59 0.153839 0.157884 0.162035 56.88 13.94 GS FINANCE CORP 40057T4G6 06/30/23 07/12/28 100.000 0.000 5.4100 27.25 0.150549 0.154621 0.158804 0.163099 0.167511 56.33 59.41 GS FINANCE CORP 40057NCW5 10/05/22 04/02/27 100.000 0.000 5.7496 72.87 0.168947 0.173804 0.178801 0.183941 0.189229 62.57 66.22 GS FINANCE CORP 40057N2V8 10/05/22 04/03/25 100.000 0.000 5.4658 69.19 0.160192 0.164570 0.169068 59.24 15.55 GS FINANCE CORP 40057TEX8 08/03/23 08/05/25 100.000 0.000 5.6150 23.09 0.156021 0.160401 0.164904 0.169534 58.25 36.12 GS FINANCE CORP 40057PJM5 03/03/23 03/09/26 100.000 0.000 5.3800 45.02 0.153602 0.157734 0.161977 0.166334 0.170809 56.98 60.09 GS FINANCE CORP 40057MRD3 08/03/22 02/03/25 100.000 0.000 3.3083 47.41 0.094963 0.096533 0.098130 34.94 3.14 GS FINANCE CORP 40057TEV6 08/02/23 08/04/26 100.000 0.000 5.4800 22.69 0.152269 0.156441 0.160727 0.165131 0.169656 56.81 59.97 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MAC3 07/06/22 07/08/25 100.000 0.000 4.2800 64.97 0.124061 0.126716 0.129428 0.132198 46.07 24.70 GS FINANCE CORP 40057NUF2 11/18/22 11/20/25 100.000 0.000 5.2400 59.68 0.153327 0.157344 0.161467 0.165697 56.25 52.27 GS FINANCE CORP 40057T4T8 06/28/23 07/03/24 100.000 0.000 5.8700 29.86 0.163188 0.167978 30.56 GS FINANCE CORP 40057RQ27 05/31/23 03/02/27 100.000 0.000 5.4238 32.04 0.152749 0.156892 0.161147 0.165517 0.170005 56.73 59.85 GS FINANCE CORP 40057TET7 08/03/23 08/05/26 100.000 0.000 5.4200 22.29 0.150601 0.154682 0.158874 0.163180 0.167602 56.16 59.24 GS FINANCE CORP 40057MRB7 08/03/22 02/03/25 100.000 0.000 3.3083 47.41 0.094963 0.096533 0.098130 34.94 3.14 GS FINANCE CORP 40057T4S0 07/06/23 07/03/26 100.000 0.000 5.4767 26.62 0.152131 0.156227 0.160505 0.164900 0.169416 57.00 60.16 GS FINANCE CORP 40057TVV3 09/01/23 08/30/30 100.000 0.000 5.6675 18.89 0.157431 0.161842 0.166454 0.171118 0.176021 58.57 61.93 GS FINANCE CORP 40057TF41 08/03/23 08/07/26 100.000 0.000 5.4200 22.30 0.150646 0.154729 0.158922 0.163229 0.167652 56.16 59.24 GS FINANCE CORP 40057PJG8 03/02/23 03/04/26 100.000 0.000 5.3500 44.91 0.152632 0.156715 0.160907 0.165211 0.169630 56.65 59.72 GS FINANCE CORP 40057TER1 07/31/23 07/31/30 100.000 0.000 5.4100 22.69 0.150278 0.154343 0.158518 0.162806 0.167210 56.08 59.15 GS FINANCE CORP 40057T4Q4 07/06/23 07/14/28 100.000 0.000 5.4600 26.57 0.151851 0.155996 0.160255 0.164630 0.169124 56.82 59.96 GS FINANCE CORP 40057NUC9 11/28/22 11/27/26 100.000 0.000 5.3517 59.41 0.156698 0.160891 0.165196 0.169616 0.174155 57.45 60.57 GS FINANCE CORP 40057NDB0 10/04/22 10/03/24 100.000 0.000 5.3729 68.14 0.157351 0.161578 43.56 GS FINANCE CORP 40057TEQ3 07/31/23 08/09/28 100.000 0.000 5.3700 22.55 0.149367 0.153377 0.157496 0.161724 0.166067 55.65 58.68 GS FINANCE CORP 362273BZ6 09/27/23 09/28/26 110.980 4.000 5.8800 16.86 0.182278 0.183333 0.185444 0.187667 0.189889 66.02 67.57 GS FINANCE CORP 40057TFB5 08/03/23 02/05/25 100.000 0.000 5.7125 23.49 0.158731 0.163265 0.167928 59.30 5.71 GS FINANCE CORP 40057PK68 02/28/23 08/27/26 100.000 0.000 5.2392 44.57 0.149325 0.153236 0.157250 0.161370 0.165597 55.44 58.39 GS FINANCE CORP 40057PJU7 02/28/23 02/28/28 100.000 0.000 5.3500 45.52 0.152586 0.156668 0.160859 0.165162 0.169580 56.68 59.76 GS FINANCE CORP 38150ASX4 06/27/23 07/29/24 100.000 VARIES 0.5300 3.35 0.018222 0.010667 3.53 GS FINANCE CORP 40057PJT0 02/28/23 02/28/30 100.000 0.000 5.4400 46.29 0.155221 0.159443 0.163780 0.168235 0.172811 57.69 60.87 GS FINANCE CORP 40057PK50 02/28/23 08/28/25 100.000 0.000 5.3225 45.28 0.151782 0.155821 0.159968 0.164225 56.38 38.68 GS FINANCE CORP 40057PJS2 02/28/23 02/26/26 100.000 0.000 5.2288 44.48 0.149000 0.152895 0.156892 0.160994 0.165203 55.33 58.26 GS FINANCE CORP 40057RPY8 05/31/23 03/02/26 100.000 0.000 5.4562 32.23 0.153674 0.157867 0.162174 0.166598 0.171143 57.09 60.25 GS FINANCE CORP 40057NUM7 11/18/22 11/18/27 100.000 0.000 5.4500 62.11 0.159752 0.164105 0.168577 0.173171 0.177890 58.67 61.92 GS FINANCE CORP 40057TEZ3 08/02/23 07/31/26 100.000 0.000 5.4954 22.74 0.152650 0.156798 0.161106 0.165533 0.170081 56.98 60.15 GS FINANCE CORP 40057NDJ3 09/30/22 10/12/27 100.000 0.000 5.9500 76.36 0.175606 0.180830 0.186210 0.191749 0.197454 65.00 68.92 GS FINANCE CORP 40057PJP8 03/03/23 03/09/26 100.000 0.000 5.3800 45.02 0.153602 0.157734 0.161977 0.166334 0.170809 56.98 60.09 GS FINANCE CORP 40057MS83 08/03/22 08/01/24 100.000 0.000 2.8600 40.90 0.081720 0.082889 17.37 GS FINANCE CORP 40057MRW1 08/31/22 09/11/29 100.000 0.000 4.7600 64.96 0.138792 0.142096 0.145478 0.148940 0.152485 51.30 53.77 GS FINANCE CORP 40057TFJ8 07/31/23 04/30/26 100.000 0.000 5.5033 23.21 0.154973 0.159237 0.163619 0.168121 0.172747 57.09 60.27 GS FINANCE CORP 40057TWJ9 08/30/23 03/02/26 100.000 0.000 5.8575 19.69 0.162761 0.167528 0.172435 0.177485 0.182683 60.60 64.21 GS FINANCE CORP 40057XB46 12/01/23 12/12/31 100.000 0.000 5.8067 4.84 0.161583 0.166275 0.171102 0.176070 0.181182 59.20 62.68 GS FINANCE CORP 40057NDW4 10/13/22 10/23/29 100.000 0.000 5.9600 74.20 0.175860 0.181101 0.186498 0.192055 0.197779 64.98 68.91 GS FINANCE CORP 40057N3V7 10/05/22 10/03/25 100.000 0.000 5.5208 69.90 0.161891 0.166359 0.170952 0.175670 59.88 47.35 GS FINANCE CORP 40057MRV3 08/31/22 08/29/25 100.000 0.000 4.2583 57.97 0.123362 0.125989 0.128671 0.131396 45.53 31.12 GS FINANCE CORP 40057T5F7 07/06/23 07/03/26 100.000 0.000 5.4767 26.62 0.152131 0.156227 0.160505 0.164900 0.169416 57.00 60.16 GS FINANCE CORP 40057XRT4 01/29/24 01/28/27 100.000 0.000 5.1312 0.142533 0.146170 0.149920 0.153766 47.88 54.46 GS FINANCE CORP 40057MRU5 08/31/22 03/03/27 100.000 0.000 4.5750 62.37 0.133015 0.136057 0.139170 0.142353 0.145609 49.16 51.43 GS FINANCE CORP 40057NUX3 12/05/22 12/04/25 100.000 0.000 5.1350 55.91 0.150037 0.153889 0.157840 0.161892 54.92 53.29 GS FINANCE CORP 40057NV79 11/28/22 11/28/25 100.000 0.000 5.2600 58.37 0.153898 0.157945 0.162099 0.166362 56.40 53.77 GS FINANCE CORP 40057MRT8 08/31/22 09/11/29 100.000 0.000 7.0000 96.48 0.208739 0.216045 0.223607 0.231433 0.239533 78.10 83.66 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NV87 11/28/22 12/07/29 100.000 0.000 5.5300 61.42 0.162448 0.166939 0.171555 0.176299 0.181173 59.51 62.84 GS FINANCE CORP 40057XRR8 01/26/24 01/26/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 49.16 55.48 GS FINANCE CORP 40057MRS0 08/31/22 08/29/25 100.000 0.000 4.2583 57.97 0.123362 0.125989 0.128671 0.131396 45.53 31.12 GS FINANCE CORP 40057MRR2 08/31/22 08/31/27 100.000 0.000 4.6400 63.27 0.134939 0.138052 0.141272 0.144514 0.147904 49.91 52.25 GS FINANCE CORP 40057NV61 11/28/22 11/26/27 100.000 0.000 5.4517 60.54 0.159757 0.164112 0.168586 0.173181 0.177902 58.61 61.84 GS FINANCE CORP 40057NV46 12/05/22 12/04/25 100.000 0.000 5.1350 55.91 0.150037 0.153889 0.157840 0.161892 54.92 53.29 GS FINANCE CORP 40057NDR5 10/12/22 10/10/24 100.000 0.000 5.3850 67.04 0.157701 0.161947 44.76 GS FINANCE CORP 40057NUT2 11/28/22 12/10/29 100.000 0.000 5.5300 61.42 0.162522 0.167016 0.171634 0.176380 0.181257 59.51 62.84 GS FINANCE CORP 40057XAM7 11/27/23 05/27/25 100.000 0.000 5.8190 5.50 0.161639 0.166342 0.171181 59.36 24.99 GS FINANCE CORP 40057NUR6 11/28/22 12/01/25 100.000 0.000 5.2600 58.37 0.153965 0.158014 0.162170 0.166435 56.40 54.28 GS FINANCE CORP 40057PJW3 03/02/23 09/05/28 100.000 0.000 5.4625 45.87 0.155951 0.160211 0.164587 0.169082 0.173700 57.91 61.12 GS FINANCE CORP 40057NDQ7 09/29/22 01/04/24 100.000 0.000 5.2413 67.21 0.151474 0.45 GS FINANCE CORP 40057NUS4 11/28/22 11/28/28 100.000 0.000 5.4950 61.02 0.161142 0.165569 0.170118 0.174792 0.179594 59.10 62.40 GS FINANCE CORP 40057PKF8 03/03/23 09/03/25 100.000 0.000 5.4275 45.41 0.154855 0.159058 0.163374 0.167808 57.51 40.33 GS FINANCE CORP 40057RQM3 06/05/23 03/05/26 100.000 0.000 5.2637 30.34 0.148138 0.152037 0.156038 0.160145 0.164360 54.95 57.88 GS FINANCE CORP 40057WP92 10/23/23 10/23/25 100.000 0.000 6.2700 11.84 0.174167 0.179627 0.185258 0.191066 64.44 55.14 GS FINANCE CORP 40057T5N0 06/14/23 06/17/30 100.000 0.000 5.3891 29.56 0.153800 0.157944 0.162200 0.166571 0.171059 56.23 59.30 GS FINANCE CORP 40057TX25 08/29/23 09/02/31 100.000 0.000 5.8333 19.78 0.162115 0.166843 0.171709 0.176718 0.181872 60.35 63.93 GS FINANCE CORP 40057WP76 10/25/23 10/25/28 100.000 0.000 6.5200 11.95 0.181111 0.187015 0.193112 0.199407 0.205908 67.05 71.50 GS FINANCE CORP 40057MB99 06/30/22 06/30/28 100.000 0.000 4.9300 75.94 0.147323 0.150955 0.154676 0.158488 0.162395 53.70 56.38 GS FINANCE CORP 40057N3Z8 10/05/22 10/05/27 100.000 0.000 5.8400 74.03 0.171834 0.176852 0.182016 0.187331 0.192801 63.64 67.41 GS FINANCE CORP 40057T5J9 06/07/23 06/07/28 100.000 0.000 5.2500 29.84 0.149661 0.153590 0.157622 0.161759 0.166006 54.78 57.69 GS FINANCE CORP 40057N3X3 10/05/22 10/05/27 100.000 0.000 5.8400 74.03 0.171834 0.176852 0.182016 0.187331 0.192801 63.64 67.41 GS FINANCE CORP 40057TFK5 07/31/23 04/29/27 100.000 0.000 5.4167 22.84 0.152479 0.156608 0.160850 0.165206 0.169681 56.15 59.24 GS FINANCE CORP 40057MSH3 09/06/22 09/09/25 100.000 0.000 4.5300 60.95 0.131648 0.134630 0.137679 0.140797 48.61 34.71 GS FINANCE CORP 40057NVK0 12/05/22 06/04/25 100.000 0.000 5.2250 56.91 0.152800 0.156792 0.160888 55.94 24.62 GS FINANCE CORP 40057WPE1 11/15/23 05/15/25 100.000 0.000 6.1125 7.81 0.169792 0.174981 0.180329 62.54 24.16 GS FINANCE CORP 40057T5Y6 06/30/23 06/30/28 100.000 0.000 5.4100 27.20 0.154343 0.158518 0.162806 0.167210 0.171733 56.32 59.41 GS FINANCE CORP 40057MSG5 09/02/22 09/05/25 100.000 0.000 4.5100 61.20 0.131041 0.133996 0.137017 0.140107 48.40 33.99 GS FINANCE CORP 40057RQU5 06/05/23 06/15/26 100.000 0.000 5.2100 29.91 0.148707 0.152581 0.156556 0.160634 0.164818 54.36 57.23 GS FINANCE CORP 40057RQT8 05/31/23 06/09/28 100.000 0.000 5.4300 31.96 0.155139 0.159351 0.163677 0.168121 0.172685 56.80 59.92 GS FINANCE CORP 40057RR59 05/15/23 06/13/24 100.000 0.000 5.3200 33.59 0.152336 24.68 GS FINANCE CORP 40057WPA9 10/23/23 11/21/24 100.000 0.000 6.1700 11.69 0.172211 0.177524 56.06 GS FINANCE CORP 40057RQS0 05/31/23 05/31/30 100.000 0.000 5.4800 32.25 0.156393 0.160678 0.165081 0.169604 0.174251 57.34 60.53 GS FINANCE CORP 40057RR42 05/18/23 05/20/26 100.000 0.000 5.0100 31.19 0.142692 0.146267 0.149931 0.153687 0.157537 52.31 54.96 GS FINANCE CORP 40057NEF0 10/31/22 05/01/25 100.000 0.000 5.7950 69.18 0.170462 0.175402 0.180484 62.86 21.66 GS FINANCE CORP 40057RQR2 05/31/23 03/02/26 100.000 0.000 5.4562 32.23 0.153674 0.157867 0.162174 0.166598 0.171143 57.09 60.25 GS FINANCE CORP 40057RR34 06/05/23 06/04/26 100.000 0.000 5.2279 30.02 0.148994 0.152889 0.156885 0.160986 0.165194 54.55 57.44 GS FINANCE CORP 40057NVF1 11/28/22 12/10/29 100.000 0.000 5.5300 61.42 0.162522 0.167016 0.171634 0.176380 0.181257 59.51 62.84 GS FINANCE CORP 40057T5T7 06/30/23 06/30/25 100.000 0.000 5.6800 28.56 0.162259 0.166867 0.171606 59.25 30.72 GS FINANCE CORP 40057TX82 08/31/23 08/30/30 100.000 0.000 5.7675 19.39 0.160208 0.164803 0.169582 0.174418 0.179503 59.64 63.13 GS FINANCE CORP 40057NVE4 11/28/22 08/27/25 100.000 0.000 5.3267 59.24 0.153905 0.158004 0.162212 0.166533 57.17 39.06 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RQP6 05/31/23 05/31/30 100.000 0.000 5.4800 32.25 0.156393 0.160678 0.165081 0.169604 0.174251 57.34 60.53 GS FINANCE CORP 40057T6B5 06/30/23 07/02/26 100.000 0.000 5.4900 27.61 0.152547 0.156734 0.161036 0.165457 0.169998 57.19 60.37 GS FINANCE CORP 40057MSP5 09/06/22 09/03/27 100.000 0.000 4.8079 64.77 0.139996 0.143362 0.146808 0.150337 0.153951 51.81 54.33 GS FINANCE CORP 40057XBN4 11/29/23 11/28/25 100.000 0.000 5.8392 5.19 0.162200 0.166909 0.171782 0.176798 59.56 57.08 GS FINANCE CORP 40057MSQ3 09/06/22 09/05/25 100.000 0.000 4.4042 59.22 0.127771 0.130585 0.133460 0.136399 47.16 33.09 GS FINANCE CORP 40057NW52 11/16/22 05/15/24 100.000 0.000 5.5258 63.32 0.162069 21.72 GS FINANCE CORP 40057TGD0 08/03/23 08/14/26 100.000 0.000 5.4200 22.32 0.150805 0.154892 0.159089 0.163401 0.167829 56.16 59.25 GS FINANCE CORP 40057NVT1 11/28/22 11/28/25 100.000 0.000 5.2600 58.37 0.153898 0.157945 0.162099 0.166362 56.40 53.77 GS FINANCE CORP 40057PL83 02/28/23 02/27/26 100.000 0.000 5.2288 44.48 0.149021 0.152917 0.156914 0.161017 0.165226 55.33 58.26 GS FINANCE CORP 40057TXD1 08/30/23 08/30/28 100.000 0.000 5.7500 19.33 0.159722 0.164289 0.169038 0.173844 0.178898 59.45 62.92 GS FINANCE CORP 40057NF28 11/03/22 11/04/27 100.000 0.000 6.1100 72.48 0.180280 0.185788 0.191464 0.197313 0.203341 66.53 70.66 GS FINANCE CORP 40057NVS3 12/05/22 06/04/25 100.000 0.000 5.2250 56.91 0.152800 0.156792 0.160888 55.94 24.62 GS FINANCE CORP 40057TXB5 08/31/23 08/30/30 100.000 0.000 5.7675 19.39 0.160208 0.164803 0.169582 0.174418 0.179503 59.64 63.13 GS FINANCE CORP 40057PL59 03/03/23 09/03/25 100.000 0.000 5.4275 45.41 0.154855 0.159058 0.163374 0.167808 57.51 40.33 GS FINANCE CORP 40057RQW1 06/05/23 06/04/26 100.000 0.000 5.2279 30.02 0.148994 0.152889 0.156885 0.160986 0.165194 54.55 57.44 GS FINANCE CORP 40057MBW8 06/03/22 06/05/24 100.000 0.000 2.4000 38.37 0.069105 10.64 GS FINANCE CORP 40057RRG5 05/10/23 05/10/28 100.000 0.000 5.0600 32.65 0.144112 0.147758 0.151496 0.155329 0.159259 52.91 55.62 GS FINANCE CORP 40057PLA8 02/28/23 03/11/30 100.000 0.000 5.4400 46.33 0.155526 0.159757 0.164102 0.168566 0.173151 57.69 60.88 GS FINANCE CORP 40057NEY9 10/31/22 10/30/25 100.000 0.000 5.8158 69.44 0.171082 0.176057 0.181176 0.186445 63.10 55.12 GS FINANCE CORP 40057NEX1 10/31/22 11/09/29 100.000 0.000 6.2300 74.51 0.184291 0.190032 0.195952 0.202055 0.208350 67.98 72.29 GS FINANCE CORP 40057NEW3 10/31/22 11/09/29 100.000 0.000 6.2300 74.51 0.184291 0.190032 0.195952 0.202055 0.208350 67.98 72.29 GS FINANCE CORP 40057NF77 11/03/22 11/04/27 100.000 0.000 6.1100 72.48 0.180280 0.185788 0.191464 0.197313 0.203341 66.53 70.66 GS FINANCE CORP 40057NEV5 10/31/22 10/29/27 100.000 0.000 6.0883 72.77 0.179543 0.185009 0.190641 0.196444 0.202424 66.31 70.41 GS FINANCE CORP 40057RRC4 05/31/23 05/31/28 100.000 0.000 5.4300 31.95 0.154928 0.159135 0.163455 0.167893 0.172451 56.80 59.92 GS FINANCE CORP 40057TGH1 07/12/23 01/12/27 100.000 0.000 5.6275 26.42 0.156319 0.160718 0.165240 0.169890 0.174670 58.57 61.92 GS FINANCE CORP 40057MT66 08/31/22 08/29/25 100.000 0.000 4.2583 57.97 0.123362 0.125989 0.128671 0.131396 45.53 31.12 GS FINANCE CORP 40057NEU7 10/31/22 04/30/26 100.000 0.000 5.8783 70.20 0.173026 0.178111 0.183346 0.188735 0.194282 63.83 67.64 GS FINANCE CORP 40057TXH2 09/01/23 09/01/28 100.000 0.000 5.6100 18.70 0.155833 0.160204 0.164698 0.169318 0.174067 57.95 61.25 GS FINANCE CORP 40057NF69 11/03/22 05/05/25 100.000 0.000 5.9125 70.10 0.174147 0.179296 0.184596 64.20 22.89 GS FINANCE CORP 40057NVW4 11/15/22 11/14/24 100.000 0.000 5.7987 66.68 0.170524 0.175468 54.26 GS FINANCE CORP 40057TXF6 09/01/23 09/01/28 100.000 0.000 5.6100 18.70 0.155833 0.160204 0.164698 0.169318 0.174067 57.95 61.25 GS FINANCE CORP 40057N4R5 10/05/22 10/03/25 100.000 0.000 5.5208 69.90 0.161891 0.166359 0.170952 0.175670 59.88 47.35 GS FINANCE CORP 40057T6S8 06/30/23 07/02/29 100.000 0.000 5.3598 26.96 0.148928 0.152919 0.157017 0.161225 0.165545 55.78 58.81 GS FINANCE CORP 40057MTB5 08/31/22 08/31/26 100.000 0.000 4.5100 61.46 0.130992 0.133929 0.136966 0.140020 0.143213 48.41 50.62 GS FINANCE CORP 40057TXV1 08/30/23 03/01/29 100.000 0.000 5.7650 19.38 0.160139 0.164781 0.169530 0.174417 0.179445 59.61 63.10 GS FINANCE CORP 40057TY73 08/30/23 06/28/25 100.000 0.000 5.9363 19.96 0.168106 0.173095 0.178233 61.45 31.55 GS FINANCE CORP 40057NFB8 10/13/22 10/10/24 100.000 0.000 5.4633 67.88 0.160092 0.164465 45.45 GS FINANCE CORP 40057TY57 08/31/23 09/03/25 100.000 0.000 5.9000 19.84 0.163969 0.168807 0.173786 0.178913 61.06 42.98 GS FINANCE CORP 40057PLH3 03/03/23 03/05/26 100.000 0.000 5.3800 45.01 0.153510 0.157640 0.161880 0.166235 0.170707 56.98 60.08 GS FINANCE CORP 40057RRK6 09/15/23 09/17/25 100.000 0.000 5.9300 17.47 0.164776 0.169662 0.174693 0.179872 61.23 45.65 GS FINANCE CORP 40057RRL4 11/09/23 11/12/25 100.000 0.000 6.0450 8.74 0.168001 0.173079 0.178310 0.183700 61.90 56.42 GS FINANCE CORP 40057PLD2 02/28/23 02/28/30 100.000 0.000 5.4400 46.29 0.155221 0.159443 0.163780 0.168235 0.172811 57.69 60.87 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TXQ2 08/28/23 02/28/29 100.000 0.000 5.7325 19.59 0.159236 0.163800 0.168495 0.173325 0.178293 59.29 62.73 GS FINANCE CORP 40057TY24 09/13/23 09/13/30 100.000 0.000 5.8200 17.46 0.161667 0.166371 0.171213 0.176195 0.181322 60.08 63.63 GS FINANCE CORP 40057PLE0 02/28/23 03/09/28 100.000 0.000 5.3500 45.55 0.152836 0.156924 0.161122 0.165432 0.169857 56.68 59.76 GS FINANCE CORP 40057PLC4 03/03/23 03/16/26 100.000 0.000 5.3800 45.04 0.153763 0.157899 0.162146 0.166508 0.170987 56.98 60.09 GS FINANCE CORP 40057TGN8 08/03/23 08/05/26 100.000 0.000 5.4200 22.29 0.150601 0.154682 0.158874 0.163180 0.167602 56.16 59.24 GS FINANCE CORP 40057PLB6 02/28/23 12/01/25 100.000 0.000 5.2663 44.86 0.152181 0.156188 0.160300 0.164521 55.75 53.66 GS FINANCE CORP 40057RRH3 05/17/23 05/17/28 100.000 0.000 5.0000 31.26 0.142361 0.145920 0.149568 0.153307 0.157140 52.21 54.85 GS FINANCE CORP 40057MBX6 06/03/22 06/04/27 100.000 0.000 4.0700 65.66 0.120112 0.122557 0.125051 0.127595 0.130192 43.81 45.62 GS FINANCE CORP 40057RB72 05/02/23 05/02/28 100.000 0.000 5.0900 34.00 0.144987 0.148677 0.152461 0.156341 0.160320 53.30 56.05 GS FINANCE CORP 40057RRW0 05/25/23 05/25/28 100.000 0.000 5.3000 31.94 0.151124 0.155128 0.159239 0.163459 0.167791 55.42 58.39 GS FINANCE CORP 40057PLQ3 03/03/23 03/05/26 100.000 0.000 5.3800 45.01 0.153510 0.157640 0.161880 0.166235 0.170707 56.98 60.08 GS FINANCE CORP 40057T6Z2 07/06/23 07/08/24 100.000 0.000 5.8600 28.50 0.162831 0.167602 31.31 GS FINANCE CORP 40057PLP5 02/28/23 02/28/28 100.000 0.000 5.3500 45.52 0.152586 0.156668 0.160859 0.165162 0.169580 56.68 59.76 GS FINANCE CORP 40057WQE0 10/25/23 10/25/28 100.000 0.000 6.5200 11.95 0.181111 0.187015 0.193112 0.199407 0.205908 67.05 71.50 GS FINANCE CORP 40057NFJ1 11/03/22 11/05/25 100.000 0.000 5.8900 69.83 0.173446 0.178554 0.183813 0.189226 63.94 56.85 GS FINANCE CORP 40057T6Y5 07/06/23 01/05/29 100.000 0.000 5.3842 26.17 0.149561 0.153565 0.157699 0.161945 0.166304 56.00 59.05 GS FINANCE CORP 40057RS74 05/31/23 05/31/28 100.000 0.000 5.4300 31.95 0.154928 0.159135 0.163455 0.167893 0.172451 56.80 59.92 GS FINANCE CORP 40057NWJ2 11/23/22 11/25/25 100.000 0.000 5.2900 59.48 0.154866 0.158962 0.163167 0.167483 56.79 53.64 GS FINANCE CORP 40057N5G8 09/20/22 09/18/25 100.000 0.000 4.8125 62.87 0.140155 0.143527 0.146981 0.150518 51.77 38.41 GS FINANCE CORP 40057WQD2 10/25/23 10/25/28 100.000 0.000 6.5200 11.95 0.181111 0.187015 0.193112 0.199407 0.205908 67.05 71.50 GS FINANCE CORP 40057RS66 06/05/23 06/04/26 100.000 0.000 5.2279 30.02 0.148994 0.152889 0.156885 0.160986 0.165194 54.55 57.44 GS FINANCE CORP 40057TH98 07/31/23 07/31/28 100.000 0.000 5.3700 22.52 0.149167 0.153172 0.157284 0.161508 0.165844 55.65 58.68 GS FINANCE CORP 40057RRT7 05/31/23 05/29/26 100.000 0.000 5.4321 31.97 0.154967 0.159176 0.163499 0.167940 0.172502 56.82 59.95 GS FINANCE CORP 40057T6W9 06/30/23 07/12/30 100.000 0.000 5.4300 27.35 0.151106 0.155209 0.159423 0.163751 0.168197 56.54 59.65 GS FINANCE CORP 40057TGW8 07/31/23 07/31/25 100.000 0.000 5.6300 23.61 0.156389 0.160791 0.165318 0.169971 58.44 35.39 GS FINANCE CORP 40057NFF9 10/03/22 10/03/24 100.000 0.000 5.2400 66.58 0.153283 0.157299 42.42 GS FINANCE CORP 40057NWH6 11/17/22 11/19/25 100.000 0.000 5.3500 61.11 0.156715 0.160907 0.165211 0.169630 57.53 53.33 GS FINANCE CORP 40057RRS9 05/31/23 05/28/27 100.000 0.000 5.4246 31.93 0.154725 0.158922 0.163232 0.167659 0.172207 56.74 59.86 GS FINANCE CORP 40057MTE9 09/06/22 09/05/25 100.000 0.000 4.4042 59.22 0.127771 0.130585 0.133460 0.136399 47.16 33.09 GS FINANCE CORP 40057NFG7 10/04/22 04/03/25 100.000 0.000 5.4454 69.08 0.159587 0.163932 0.168395 59.01 15.49 GS FINANCE CORP 40057RS41 05/31/23 05/31/30 100.000 0.000 5.4800 32.25 0.156393 0.160678 0.165081 0.169604 0.174251 57.34 60.53 GS FINANCE CORP 40057TH72 07/31/23 07/30/26 100.000 0.000 5.4558 22.88 0.151550 0.155684 0.159931 0.164294 0.168776 56.57 59.70 GS FINANCE CORP 40057MTD1 08/31/22 09/11/29 100.000 0.000 4.7600 64.96 0.138792 0.142096 0.145478 0.148940 0.152485 51.30 53.77 GS FINANCE CORP 40057TXX7 09/01/23 08/30/30 100.000 0.000 5.6017 18.67 0.155603 0.159913 0.164416 0.168970 0.173755 57.86 61.15 GS FINANCE CORP 40057TY99 08/30/23 11/04/24 100.000 0.000 6.0375 20.40 0.169508 0.174625 52.28 GS FINANCE CORP 40057T6U3 06/21/23 06/20/25 100.000 0.000 5.6592 29.92 0.161623 0.166197 0.170899 59.11 28.88 GS FINANCE CORP 40057RS33 05/31/23 05/31/29 100.000 0.000 5.3940 31.74 0.153874 0.158024 0.162286 0.166663 0.171158 56.40 59.49 GS FINANCE CORP 40057MTC3 08/31/22 08/31/28 100.000 VARIES 4.7000 64.06 0.136611 0.139056 0.141556 0.144111 0.146778 50.07 51.90 GS FINANCE CORP 40057T6T6 06/30/23 07/02/26 100.000 0.000 5.4900 27.61 0.152547 0.156734 0.161036 0.165457 0.169998 57.19 60.37 GS FINANCE CORP 40057TY81 08/30/23 08/28/26 100.000 0.000 5.8012 19.50 0.161144 0.165767 0.170575 0.175523 0.180614 60.00 63.53 GS FINANCE CORP 40057NFE2 10/03/22 10/02/25 100.000 0.000 5.3592 68.12 0.156929 0.161134 0.165452 0.169885 58.01 45.64 GS FINANCE CORP 40057NX69 11/10/22 10/31/29 100.000 VARIES 5.9400 66.91 0.159389 0.156889 0.155667 0.158500 0.160611 56.67 56.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MD22 06/30/22 10/03/24 100.000 0.000 3.3450 51.19 0.096881 0.098501 26.64 GS FINANCE CORP 40057NFT9 10/26/22 10/24/24 100.000 0.000 5.8583 70.65 0.172349 0.177397 51.41 GS FINANCE CORP 40057N5S2 09/22/22 09/23/27 100.000 0.000 5.2900 68.93 0.154843 0.158938 0.163142 0.167457 0.171887 57.29 60.36 GS FINANCE CORP 40057M2P3 05/25/22 05/27/27 100.000 0.000 4.3500 71.32 0.128922 0.131726 0.134591 0.137518 0.140509 47.11 49.18 GS FINANCE CORP 40057NFS1 10/26/22 10/24/24 100.000 0.000 5.8637 70.72 0.172517 0.177575 51.46 GS FINANCE CORP 40057N5R4 09/22/22 09/23/27 100.000 0.000 5.2900 68.93 0.154843 0.158938 0.163142 0.167457 0.171887 57.29 60.36 GS FINANCE CORP 40057N5P8 09/13/22 09/12/24 100.000 0.000 3.0300 39.90 0.086729 0.088043 22.01 GS FINANCE CORP 40057THD9 08/03/23 05/05/26 100.000 0.000 5.4688 22.60 0.154034 0.158246 0.162573 0.167019 0.171586 56.69 59.83 GS FINANCE CORP 40057NWT0 11/23/22 11/25/26 100.000 0.000 5.3950 60.69 0.158103 0.162367 0.166747 0.171245 0.175865 58.00 61.17 GS FINANCE CORP 40057NX36 12/01/22 12/03/25 100.000 0.000 5.1700 56.90 0.151175 0.155083 0.159092 0.163204 55.35 53.56 GS FINANCE CORP 40057T7A6 07/06/23 07/08/24 100.000 0.000 5.8600 28.50 0.162831 0.167602 31.31 GS FINANCE CORP 40057NWR4 11/15/22 11/14/24 100.000 0.000 5.7967 66.65 0.170462 0.175402 54.24 GS FINANCE CORP 40057NX28 11/09/22 05/09/24 100.000 0.000 5.9175 69.11 0.174246 22.30 GS FINANCE CORP 40057N5M5 09/13/22 09/12/24 100.000 0.000 3.0300 39.90 0.086729 0.088043 22.01 GS FINANCE CORP 40057MTM1 09/06/22 03/05/25 100.000 0.000 3.6492 48.91 0.105089 0.107006 0.108959 38.63 6.97 GS FINANCE CORP 40057PM66 02/15/23 02/13/25 100.000 0.000 5.2029 46.18 0.148243 0.152099 0.156056 55.14 6.55 GS FINANCE CORP 40057MTL3 08/31/22 03/03/25 100.000 0.000 3.6500 49.56 0.105155 0.107074 0.109029 38.66 6.76 GS FINANCE CORP 40057PM58 02/21/23 02/18/28 100.000 0.000 5.2067 45.33 0.148333 0.152195 0.156157 0.160222 0.164393 55.14 58.04 GS FINANCE CORP 40057N5K9 09/14/22 09/14/27 100.000 0.000 4.9800 65.97 0.145308 0.148926 0.152635 0.156435 0.160330 53.75 56.46 GS FINANCE CORP 40057WQH3 10/23/23 10/23/25 100.000 0.000 6.2700 11.84 0.174167 0.179627 0.185258 0.191066 64.44 55.14 GS FINANCE CORP 40057RRY6 05/31/23 05/29/26 100.000 0.000 5.4321 31.97 0.154967 0.159176 0.163499 0.167940 0.172502 56.82 59.95 GS FINANCE CORP 40057WQW0 11/03/23 11/03/27 100.000 0.000 6.4663 10.42 0.179619 0.185427 0.191422 0.197611 0.204000 66.39 70.76 GS FINANCE CORP 40057WR74 10/23/23 10/23/28 100.000 0.000 6.5000 12.28 0.180556 0.186424 0.192482 0.198738 0.205197 66.87 71.28 GS FINANCE CORP 40057T7L2 06/14/23 06/16/28 100.000 0.000 5.4000 29.62 0.154096 0.158257 0.162530 0.166918 0.171425 56.35 59.43 GS FINANCE CORP 40057WQU4 11/09/23 05/09/25 100.000 0.000 6.0725 8.77 0.168681 0.173802 0.179079 62.19 22.92 GS FINANCE CORP 40057WR41 10/25/23 04/23/26 100.000 0.000 6.2775 11.51 0.174375 0.179787 0.185430 0.191251 0.197254 64.50 68.61 GS FINANCE CORP 40057NWZ6 11/09/22 02/08/24 100.000 0.000 5.9325 69.38 0.172168 6.37 GS FINANCE CORP 40057M2R9 05/25/22 05/20/27 100.000 VARIES 4.3296 70.74 0.126567 0.128494 0.130500 0.132511 0.134606 46.06 47.50 GS FINANCE CORP 40057MD55 08/24/22 03/24/25 100.000 0.000 3.6942 50.83 0.106770 0.108742 0.110751 39.18 9.19 GS FINANCE CORP 40057X2R5 11/07/23 11/06/25 100.000 0.000 6.1025 9.15 0.169514 0.174657 0.179987 0.185479 62.53 55.88 GS FINANCE CORP 40057MU72 08/31/22 08/29/25 100.000 0.000 4.2583 57.97 0.123362 0.125989 0.128671 0.131396 45.53 31.12 GS FINANCE CORP 40057T7F5 07/06/23 08/05/24 100.000 0.000 5.8600 28.60 0.163546 0.168338 35.86 GS FINANCE CORP 40057RSC3 05/05/23 05/07/25 100.000 0.000 5.0950 33.60 0.145174 0.148873 0.152665 53.33 19.24 GS FINANCE CORP 40057MD48 08/03/22 08/01/25 100.000 0.000 3.8597 55.46 0.111369 0.113518 0.115708 0.117941 41.13 24.70 GS FINANCE CORP 40057RSB5 05/04/23 05/06/24 100.000 0.000 5.3600 35.52 0.152925 19.12 GS FINANCE CORP 40057T7E8 06/29/23 07/01/26 100.000 0.000 5.4000 27.31 0.154096 0.154096 0.162530 0.162530 0.171425 56.22 59.30 GS FINANCE CORP 40057MTS8 09/06/22 03/05/25 100.000 0.000 3.6492 48.91 0.105089 0.107006 0.108959 38.63 6.97 GS FINANCE CORP 40057MD30 07/06/22 01/06/25 100.000 0.000 3.5667 53.95 0.102640 0.104471 0.106334 37.93 0.53 GS FINANCE CORP 40057MU56 08/24/22 08/22/24 100.000 0.000 2.8600 39.19 0.081720 0.082889 19.09 GS FINANCE CORP 40057XUC7 01/24/24 01/22/27 100.000 0.000 5.1608 0.143356 0.147014 0.150807 0.154699 48.89 54.83 GS FINANCE CORP 40057M3A5 06/03/22 06/04/30 100.000 0.000 4.3600 70.45 0.129221 0.132038 0.134916 0.137858 0.140863 47.18 49.26 GS FINANCE CORP 40057PML3 02/21/23 02/23/28 100.000 0.000 5.2100 45.36 0.148535 0.152405 0.156375 0.160448 0.164628 55.17 58.08 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PMJ8 02/22/23 02/19/27 100.000 0.000 5.1758 44.91 0.147431 0.151246 0.155160 0.159176 0.163295 54.78 57.65 GS FINANCE CORP 40057THU1 07/31/23 07/30/26 100.000 0.000 5.4558 22.88 0.151550 0.155684 0.159931 0.164294 0.168776 56.57 59.70 GS FINANCE CORP 40057RT24 05/17/23 05/17/28 100.000 0.000 5.0800 31.77 0.144695 0.148371 0.152139 0.156004 0.159966 53.08 55.81 GS FINANCE CORP 40057THT4 07/31/23 07/31/29 100.000 0.000 5.3305 22.36 0.148069 0.152016 0.156067 0.160227 0.164498 55.22 58.21 GS FINANCE CORP 40057NGD3 11/03/22 11/07/25 100.000 0.000 5.8900 69.83 0.173503 0.178613 0.183873 0.189288 63.94 57.24 GS FINANCE CORP 40057THS6 07/31/23 08/09/30 100.000 0.000 5.4100 22.72 0.150481 0.154552 0.158732 0.163026 0.167436 56.08 59.15 GS FINANCE CORP 40057N6A0 10/05/22 04/03/25 100.000 0.000 5.4658 69.19 0.160192 0.164570 0.169068 59.24 15.55 GS FINANCE CORP 40057NGA9 11/02/22 10/31/25 100.000 0.000 5.8608 69.65 0.172427 0.177479 0.182680 0.188034 63.61 55.58 GS FINANCE CORP 40057PMH2 02/23/23 02/25/30 100.000 0.000 5.3300 46.11 0.152046 0.156098 0.160258 0.164529 0.168914 56.50 59.55 GS FINANCE CORP 40057RSK5 05/19/23 05/21/26 100.000 0.000 5.0700 31.42 0.144444 0.148106 0.151860 0.155710 0.159657 52.96 55.67 GS FINANCE CORP 40057TZ28 09/20/23 02/19/27 100.000 0.000 5.8183 16.32 0.161619 0.165511 0.170326 0.175281 0.180381 60.03 63.54 GS FINANCE CORP 40057RSJ8 05/05/23 05/07/25 100.000 0.000 5.0630 33.39 0.144240 0.147891 0.151635 52.98 19.11 GS FINANCE CORP 40057M2Y4 05/25/22 05/23/24 100.000 0.000 2.4661 40.01 0.071059 10.09 GS FINANCE CORP 40057RBX5 04/19/23 04/18/30 100.000 0.000 5.1571 36.37 0.146926 0.150715 0.154601 0.158587 0.162677 54.14 56.96 GS FINANCE CORP 40057PMT6 02/16/23 03/18/24 100.000 0.000 5.4121 47.98 0.155147 11.95 GS FINANCE CORP 40057NGN1 10/04/22 10/03/24 100.000 0.000 5.3729 68.14 0.157351 0.161578 43.56 GS FINANCE CORP 40057RC89 05/03/23 05/05/26 100.000 0.000 4.9600 32.99 0.141234 0.144736 0.148326 0.152004 0.155774 51.87 54.48 GS FINANCE CORP 40057MUK3 08/17/22 08/17/27 100.000 0.000 4.3300 60.59 0.125542 0.128260 0.131037 0.133874 0.136772 46.42 48.45 GS FINANCE CORP 40057WAF4 09/19/23 09/19/28 100.000 0.000 5.7700 16.35 0.160278 0.164902 0.169659 0.174554 0.179590 59.49 62.97 GS FINANCE CORP 40057RBW7 04/19/23 07/17/26 100.000 0.000 5.0258 35.46 0.141321 0.144872 0.148512 0.152244 0.156070 52.69 55.38 GS FINANCE CORP 40057NGM3 10/19/22 10/19/26 100.000 0.000 6.0450 74.20 0.178221 0.183607 0.189157 0.194874 0.200764 65.92 69.96 GS FINANCE CORP 40057RSX7 05/31/23 05/29/26 100.000 0.000 5.4321 31.97 0.154967 0.159176 0.163499 0.167940 0.172502 56.82 59.95 GS FINANCE CORP 40057XUH6 01/24/24 01/24/31 100.000 0.000 5.3600 0.148889 0.152879 0.156976 0.161183 50.80 57.08 GS FINANCE CORP 40057RC63 05/03/23 01/31/25 100.000 0.000 5.1933 34.61 0.146069 0.149862 0.153753 54.43 4.46 GS FINANCE CORP 40057MUH0 08/17/22 08/15/25 100.000 0.000 4.0056 55.97 0.115743 0.118061 0.120426 0.122837 42.72 27.41 GS FINANCE CORP 40057XUG8 01/24/24 01/24/31 100.000 0.000 5.3600 0.148889 0.152879 0.156976 0.161183 50.80 57.08 GS FINANCE CORP 40057RC55 05/02/23 04/30/26 100.000 0.000 5.0421 33.69 0.143550 0.147169 0.150879 0.154683 0.158583 52.78 55.47 GS FINANCE CORP 40057NGJ0 10/31/22 11/09/29 100.000 0.000 6.2300 74.51 0.184291 0.190032 0.195952 0.202055 0.208350 67.98 72.29 GS FINANCE CORP 40057RSU3 05/17/23 05/17/28 100.000 0.000 5.0800 31.77 0.144695 0.148371 0.152139 0.156004 0.159966 53.08 55.81 GS FINANCE CORP 40057RBR8 04/05/23 10/03/25 100.000 0.000 5.1713 38.53 0.147320 0.151129 0.155037 0.159046 54.40 42.89 GS FINANCE CORP 40057XUE3 01/24/24 01/24/29 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 49.65 55.72 GS FINANCE CORP 40057M3C1 05/25/22 05/28/25 100.000 0.000 3.8600 63.11 0.113588 0.115780 0.118014 41.43 17.35 GS FINANCE CORP 40057RST6 05/11/23 06/13/24 100.000 0.000 5.3663 34.50 0.153794 24.91 GS FINANCE CORP 40057TYZ1 09/20/23 12/18/26 100.000 0.000 5.8192 16.36 0.163944 0.168714 0.173623 0.178675 0.183873 60.00 63.55 GS FINANCE CORP 40057WAA5 10/02/23 10/02/25 100.000 0.000 6.1150 15.12 0.169861 0.175055 0.180407 0.185923 63.02 49.88 GS FINANCE CORP 40057X3A1 11/13/23 11/13/28 100.000 0.000 6.0100 8.01 0.166944 0.171961 0.177129 0.182451 0.187934 61.49 65.24 GS FINANCE CORP 40057RC22 05/02/23 05/04/26 100.000 0.000 5.0300 33.60 0.143276 0.146880 0.150574 0.154361 0.158243 52.64 55.33 GS FINANCE CORP 40057MUE7 08/17/22 08/13/25 100.000 0.000 4.0153 56.11 0.116009 0.118338 0.120714 0.123137 42.83 27.23 GS FINANCE CORP 40057TYY4 09/20/23 09/20/30 100.000 0.000 5.8800 16.50 0.163333 0.168135 0.173079 0.178167 0.183405 60.65 64.27 GS FINANCE CORP 40057NH75 10/26/22 10/26/27 100.000 0.000 6.3400 76.59 0.187454 0.193396 0.199526 0.205851 0.212377 69.34 73.80 GS FINANCE CORP 40057MV63 08/24/22 08/24/27 100.000 0.000 4.5200 62.39 0.131295 0.134262 0.137296 0.140399 0.143572 48.56 50.78 GS FINANCE CORP 40057XDP7 01/03/24 01/12/27 100.000 0.000 4.9600 0.137778 0.137949 0.141370 0.144876 0.148469 49.96 52.72 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RTA6 06/05/23 07/03/24 100.000 0.000 5.6400 32.40 0.157354 0.161791 29.44 GS FINANCE CORP 40057NXU6 11/14/22 11/14/24 100.000 0.000 5.8400 67.33 0.171834 0.176852 54.69 GS FINANCE CORP 40057NH59 10/26/22 10/26/28 100.000 0.000 6.4200 77.58 0.189966 0.196064 0.202358 0.208853 0.215558 70.29 74.88 GS FINANCE CORP 40057NGT8 10/05/22 10/05/27 100.000 0.000 5.8400 74.03 0.171834 0.176852 0.182016 0.187331 0.192801 63.64 67.41 GS FINANCE CORP 40057XV36 01/24/24 01/22/27 100.000 0.000 5.1608 0.143356 0.147014 0.150807 0.154699 48.89 54.83 GS FINANCE CORP 40057XUQ6 01/23/24 02/03/32 100.000 0.000 5.3700 0.149167 0.149389 0.153400 0.157519 0.161748 51.08 57.20 GS FINANCE CORP 40057M3M9 05/31/22 05/28/27 100.000 0.000 4.0029 64.92 0.117977 0.120338 0.122747 0.125203 0.127709 43.05 44.79 GS FINANCE CORP 40057XUP8 01/22/24 01/22/29 100.000 0.000 5.2500 0.145833 0.149661 0.153590 0.157622 50.05 55.85 GS FINANCE CORP 40057WRL3 10/30/23 11/08/30 100.000 0.000 6.6400 11.27 0.184717 0.190849 0.197185 0.203732 0.210496 68.26 72.87 GS FINANCE CORP 40057NGQ4 10/31/22 10/30/25 100.000 0.000 5.8158 69.44 0.171082 0.176057 0.181176 0.186445 63.10 55.12 GS FINANCE CORP 40057TZD9 09/29/23 10/01/26 100.000 0.000 5.9300 15.16 0.164776 0.169662 0.174693 0.179872 0.185205 61.09 64.77 GS FINANCE CORP 40057TZC1 09/29/23 09/27/30 100.000 0.000 6.1346 15.68 0.170406 0.175574 0.180960 0.186510 0.192231 63.27 67.20 GS FINANCE CORP 40057NGP6 10/11/22 10/08/27 100.000 0.000 5.6483 70.56 0.165808 0.170491 0.175306 0.180257 0.185348 61.32 64.83 GS FINANCE CORP 40057TZB3 09/29/23 10/11/28 100.000 0.000 6.0100 15.39 0.167279 0.172306 0.177483 0.182817 0.188310 61.94 65.72 GS FINANCE CORP 40057M3J6 06/01/22 05/29/25 100.000 0.000 3.5097 56.66 0.102695 0.104497 0.106331 37.41 15.74 GS FINANCE CORP 40057WAW7 09/20/23 09/18/26 100.000 0.000 5.8312 16.36 0.161978 0.166648 0.171507 0.176507 0.181653 60.13 63.69 GS FINANCE CORP 40057WB97 10/04/23 10/04/30 100.000 0.000 6.2300 15.06 0.173056 0.178446 0.184005 0.189737 0.195647 64.22 68.29 GS FINANCE CORP 40057X3X1 11/10/23 11/10/30 100.000 VARIES 6.0640 8.59 0.168278 0.167611 0.167222 0.167278 0.167444 60.40 60.22 GS FINANCE CORP 36264U298 11/21/22 12/05/28 100.000 0.000 5.4700 61.87 0.160711 0.165106 0.169622 0.174261 0.179027 58.88 62.14 GS FINANCE CORP 40057WB71 10/18/23 04/17/25 100.000 0.000 6.0679 12.30 0.168553 0.173638 0.178906 62.36 18.96 GS FINANCE CORP 40057M3V9 06/01/22 06/12/29 100.000 0.000 4.2600 69.06 0.126221 0.128910 0.131655 0.134460 0.137324 46.03 48.01 GS FINANCE CORP 40057MV89 09/06/22 01/15/26 100.000 0.000 4.5783 61.62 0.132220 0.135247 0.138343 0.141510 0.144749 49.16 51.44 GS FINANCE CORP 40057XDU6 01/03/24 10/01/26 100.000 0.000 5.0300 0.139722 0.141440 0.144997 0.148644 0.152382 50.80 53.52 GS FINANCE CORP 40057WAR8 10/04/23 10/06/28 100.000 0.000 6.0800 14.70 0.168946 0.174082 0.179374 0.184827 0.190446 62.63 66.50 GS FINANCE CORP 40057MV97 10/28/22 10/30/24 100.000 0.000 5.8050 69.65 0.170801 0.175759 51.96 GS FINANCE CORP 40057MUX5 08/31/22 08/29/24 100.000 0.000 2.8600 38.69 0.081726 0.082895 19.66 GS FINANCE CORP 40057WS40 10/30/23 10/30/30 100.000 0.000 6.6400 11.25 0.184444 0.190568 0.196895 0.203432 0.210186 68.26 72.87 GS FINANCE CORP 40057R2B3 03/22/23 03/22/27 100.000 0.000 5.1050 39.92 0.145425 0.149137 0.152944 0.156848 0.160851 53.77 56.55 GS FINANCE CORP 40057W114 10/24/23 10/22/26 100.000 0.000 6.3808 11.88 0.177244 0.182836 0.188670 0.194689 0.200900 65.60 69.85 GS FINANCE CORP 40057RCC0 05/03/23 05/05/26 100.000 0.000 4.9600 32.99 0.141234 0.144736 0.148326 0.152004 0.155774 51.87 54.48 GS FINANCE CORP 40057RD39 04/28/23 04/28/28 100.000 0.000 4.9300 33.49 0.140320 0.143779 0.147323 0.150955 0.154676 51.58 54.15 GS FINANCE CORP 40057N7F8 09/14/22 09/12/25 100.000 0.000 4.5597 60.30 0.132467 0.135487 0.138576 0.141735 48.90 35.35 GS FINANCE CORP 40057TZZ0 10/03/23 10/03/29 100.000 0.000 6.1550 15.05 0.170972 0.176234 0.181657 0.187248 0.193011 63.44 67.40 GS FINANCE CORP 40057WBA4 09/27/23 09/29/31 100.000 0.000 6.0400 15.78 0.167834 0.172903 0.178124 0.183504 0.189045 62.28 66.10 GS FINANCE CORP 40057M4B2 06/03/22 12/03/26 100.000 0.000 3.9650 63.93 0.116820 0.119136 0.121498 0.123907 0.126363 42.60 44.31 GS FINANCE CORP 40057RD21 05/03/23 05/01/26 100.000 0.000 4.9746 33.09 0.141582 0.145104 0.148713 0.152412 0.156203 52.03 54.65 GS FINANCE CORP 40057RCP1 04/28/23 04/29/26 100.000 0.000 4.8000 32.60 0.136551 0.139828 0.143184 0.146621 0.150140 50.16 52.60 GS FINANCE CORP 40057N7D3 10/03/22 09/29/25 100.000 0.000 5.3592 68.13 0.156861 0.161064 0.165380 0.169811 58.01 45.12 GS FINANCE CORP 40057TJ70 07/19/23 07/17/25 100.000 0.000 5.6058 25.23 0.155717 0.160033 0.164518 0.169130 58.28 33.08 GS FINANCE CORP 40057MVD8 10/21/22 10/22/25 100.000 0.000 6.0100 73.40 0.177157 0.182481 0.187964 0.193613 65.48 55.71 GS FINANCE CORP 40057TJ62 07/31/23 07/30/26 100.000 0.000 5.4558 22.88 0.151550 0.155684 0.159931 0.164294 0.168776 56.57 59.70 GS FINANCE CORP 40057RTQ1 05/23/23 05/21/26 100.000 0.000 5.2496 31.94 0.149607 0.153534 0.157564 0.161700 0.165944 54.88 57.80 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MVB2 11/04/22 11/06/24 100.000 0.000 5.9000 69.77 0.173758 0.178884 53.92 GS FINANCE CORP 40057R2L1 03/24/23 03/26/25 100.000 0.000 5.3750 41.75 0.153364 0.157486 0.161718 56.75 13.75 GS FINANCE CORP 40057MVA4 10/26/22 10/24/25 100.000 0.000 5.9988 72.38 0.176722 0.182023 0.187482 0.193106 65.29 55.94 GS FINANCE CORP 40057TJ39 08/03/23 07/31/28 100.000 0.000 5.3931 22.17 0.149808 0.153781 0.157927 0.162186 0.166559 55.87 58.92 GS FINANCE CORP 40057RCK2 05/03/23 05/01/26 100.000 0.000 4.9746 33.09 0.141582 0.145104 0.148713 0.152412 0.156203 52.03 54.65 GS FINANCE CORP 40057NYQ4 11/28/22 11/29/24 100.000 0.000 5.4600 60.62 0.160084 0.164455 53.29 GS FINANCE CORP 40057TJB1 08/03/23 02/05/26 100.000 0.000 5.5175 22.69 0.153311 0.157540 0.161886 0.166353 0.170942 57.21 60.41 GS FINANCE CORP 40057R2Y3 03/17/23 03/19/25 100.000 0.000 5.3750 42.82 0.153364 0.157486 0.161718 56.81 12.61 GS FINANCE CORP 40057MVM8 08/22/22 08/24/27 100.000 0.000 4.4100 61.10 0.127993 0.130815 0.133700 0.136648 0.139661 47.31 49.42 GS FINANCE CORP 40057WSJ7 11/01/23 11/01/28 100.000 0.000 6.3500 10.58 0.176389 0.181989 0.187767 0.193729 0.199880 65.19 69.40 GS FINANCE CORP 40057R2X5 03/17/23 03/19/25 100.000 0.000 5.3750 42.82 0.153364 0.157486 0.161718 56.81 12.61 GS FINANCE CORP 40057MVL0 09/01/22 09/13/30 100.000 0.000 4.9000 66.77 0.143096 0.146601 0.150193 0.153873 0.157643 52.91 55.54 GS FINANCE CORP 40057RD88 04/28/23 04/30/26 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 0.146641 0.150160 50.16 52.60 GS FINANCE CORP 40057X4H5 11/10/23 11/17/25 100.000 0.000 6.0150 8.53 0.167279 0.172310 0.177492 0.182830 61.58 57.05 GS FINANCE CORP 40057RD62 04/28/23 04/29/27 100.000 0.000 4.8650 33.04 0.138444 0.141812 0.145262 0.148795 0.152415 50.87 53.37 GS FINANCE CORP 40057RU89 05/12/23 05/14/24 100.000 0.000 5.3800 34.42 0.153510 20.42 GS FINANCE CORP 36264U207 11/03/22 11/04/24 100.000 0.000 6.0000 71.15 0.176845 0.182151 54.54 GS FINANCE CORP 40057NYK7 11/18/22 05/20/24 100.000 0.000 5.5175 62.90 0.161886 22.50 GS FINANCE CORP 40057N7H4 09/28/22 09/26/24 100.000 0.000 5.2063 66.90 0.152204 0.156166 41.05 GS FINANCE CORP 40057MVH9 08/18/22 02/19/26 100.000 0.000 4.1725 58.22 0.120803 0.123323 0.125896 0.128523 0.131204 44.62 46.50 GS FINANCE CORP 40057NHJ9 10/05/22 10/03/24 100.000 0.000 5.4108 68.48 0.158496 0.162784 43.88 GS FINANCE CORP 40057WBB2 09/22/23 09/20/30 100.000 0.000 5.9367 16.33 0.164908 0.169749 0.174788 0.179976 0.185318 61.24 64.92 GS FINANCE CORP 40057WBQ9 09/27/23 10/01/26 100.000 0.000 5.8900 15.39 0.163718 0.168540 0.173503 0.178613 0.183873 60.69 64.31 GS FINANCE CORP 40057MVV8 08/31/22 08/29/25 100.000 0.000 4.2583 57.97 0.123362 0.125989 0.128671 0.131396 45.53 31.12 GS FINANCE CORP 40057R3A4 03/20/23 03/19/26 100.000 0.000 5.4283 42.79 0.154856 0.159059 0.163376 0.167810 0.172365 57.37 60.53 GS FINANCE CORP 40057MW62 08/26/22 08/27/26 100.000 0.000 4.4950 61.77 0.130553 0.133487 0.136487 0.139554 0.142691 48.26 50.46 GS FINANCE CORP 40057NZ91 11/29/22 05/29/24 100.000 0.000 5.5000 60.92 0.161296 23.87 GS FINANCE CORP 40057NZ75 11/18/22 02/21/24 100.000 0.000 5.5638 63.54 0.161133 8.06 GS FINANCE CORP 40057MW54 08/26/22 08/26/37 100.000 VARIES 5.6000 72.07 0.143111 0.144944 0.145667 0.145778 0.145056 52.21 52.41 GS FINANCE CORP 40057NHT7 10/19/22 10/21/27 100.000 0.000 6.2100 76.27 0.183442 0.189138 0.195010 0.201065 0.207309 67.87 72.15 GS FINANCE CORP 40057NYV3 11/22/22 11/22/27 100.000 0.000 5.4900 61.93 0.160987 0.165406 0.169947 0.174612 0.179405 59.10 62.39 GS FINANCE CORP 40057M4N6 06/02/22 05/30/24 100.000 0.000 2.3958 38.37 0.068961 10.28 GS FINANCE CORP 40057WSN8 11/03/23 11/03/28 100.000 0.000 6.4400 10.38 0.178889 0.184649 0.190595 0.196732 0.203067 66.12 70.44 GS FINANCE CORP 40057WBK2 09/29/23 01/05/26 100.000 0.000 6.0200 15.38 0.167222 0.169907 0.175021 0.180289 0.185716 62.06 65.84 GS FINANCE CORP 40057PNW8 02/22/23 02/22/30 100.000 0.000 5.3200 46.17 0.151709 0.155744 0.159887 0.164140 0.168506 56.40 59.44 GS FINANCE CORP 40057R3K2 03/29/23 03/29/28 100.000 0.000 4.9700 37.87 0.141486 0.145002 0.148605 0.152298 0.156083 52.22 54.85 GS FINANCE CORP 40057TJR6 07/31/23 07/30/26 100.000 0.000 5.4558 22.88 0.151550 0.155684 0.159931 0.164294 0.168776 56.57 59.70 GS FINANCE CORP 40057RDK1 04/19/23 05/03/28 100.000 0.000 5.0900 35.91 0.145274 0.148971 0.152763 0.156651 0.160637 53.40 56.15 GS FINANCE CORP 40057WBX4 10/04/23 10/02/26 100.000 0.000 5.9717 14.43 0.165881 0.170778 0.175878 0.181129 0.186537 61.49 65.21 GS FINANCE CORP 40057RUJ5 05/17/23 11/15/24 100.000 0.000 5.3050 33.19 0.151226 0.155238 48.21 GS FINANCE CORP 40057WSV0 10/31/23 10/31/28 100.000 VARIES 6.3004 10.50 0.174749 0.173611 0.172849 0.173167 0.173408 62.40 62.14 GS FINANCE CORP 40057MVZ9 08/31/22 08/31/27 100.000 0.000 4.6400 63.27 0.134939 0.138052 0.141272 0.144514 0.147904 49.91 52.25 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057WT64 10/31/23 01/30/25 100.000 0.000 6.1567 10.43 0.171019 0.173652 0.178997 63.25 5.19 GS FINANCE CORP 40057WC39 09/27/23 03/26/26 100.000 0.000 5.9629 15.57 0.165636 0.170547 0.175632 0.180868 0.186261 61.46 65.18 GS FINANCE CORP 40057RUF3 05/11/23 05/13/24 100.000 0.000 5.3800 34.58 0.153510 20.26 GS FINANCE CORP 40057WST5 10/31/23 10/31/28 100.000 VARIES 6.3004 10.50 0.174413 0.171944 0.170223 0.170833 0.170444 61.88 61.28 GS FINANCE CORP 40057TJK1 07/18/23 01/16/25 100.000 0.000 5.6062 25.38 0.155728 0.160044 0.164531 58.29 2.47 GS FINANCE CORP 40057M4U0 06/03/22 06/04/32 100.000 0.000 4.4600 72.11 0.132379 0.135331 0.138349 0.141434 0.144588 48.35 50.53 GS FINANCE CORP 40057NZK6 11/28/22 11/28/37 100.000 VARIES 5.5100 59.22 0.146722 0.143778 0.141833 0.142667 0.142889 52.09 51.26 GS FINANCE CORP 40057M5E5 06/03/22 12/02/24 100.000 0.000 2.9403 47.15 0.085324 0.086578 28.47 GS FINANCE CORP 40057RDT2 04/28/23 10/30/25 100.000 0.000 4.8950 33.25 0.139338 0.142748 0.146242 0.149821 51.20 44.37 GS FINANCE CORP 40057WCC9 10/02/23 10/12/28 100.000 0.000 6.1100 15.13 0.170010 0.175204 0.180557 0.186073 0.191757 62.97 66.88 GS FINANCE CORP 40057X5E1 11/22/23 11/20/26 100.000 0.000 5.7600 6.24 0.160000 0.164557 0.169296 0.174172 0.179188 58.80 62.23 GS FINANCE CORP 40057WTC1 10/30/23 10/29/26 100.000 0.000 6.3233 10.71 0.175647 0.181170 0.186898 0.192807 0.198903 64.92 69.09 GS FINANCE CORP 40057RDR6 04/26/23 10/26/27 100.000 0.000 5.1085 35.00 0.145527 0.149244 0.153057 0.156966 0.160975 53.55 56.32 GS FINANCE CORP 40057WTB3 10/30/23 10/30/25 100.000 0.000 6.2500 10.59 0.173611 0.179036 0.184631 0.190401 64.15 56.24 GS FINANCE CORP 40057RDQ8 04/26/23 10/26/28 100.000 0.000 5.1375 35.20 0.146374 0.150134 0.153991 0.157946 0.162004 53.87 56.67 GS FINANCE CORP 40057WTA5 10/30/23 10/28/27 100.000 0.000 6.4079 10.86 0.177997 0.183637 0.189520 0.195593 0.201859 65.82 70.10 GS FINANCE CORP 40057TK78 07/26/23 01/24/25 100.000 0.000 5.7513 24.76 0.159758 0.164301 0.169026 59.79 3.89 GS FINANCE CORP 40057RUQ9 05/24/23 05/24/30 100.000 0.000 5.3900 32.64 0.153757 0.157901 0.162156 0.166527 0.171014 56.41 59.49 GS FINANCE CORP 40057TK60 08/03/23 09/05/24 100.000 0.000 5.7937 23.91 0.161765 0.166451 40.31 GS FINANCE CORP 40057NZF7 11/29/22 11/29/24 100.000 0.000 5.4000 59.79 0.158209 0.162481 52.66 GS FINANCE CORP 40057TK45 08/02/23 08/04/31 100.000 0.000 5.5033 22.78 0.152916 0.157124 0.161447 0.165890 0.170455 57.06 60.24 GS FINANCE CORP 40057R3L0 03/22/23 09/20/24 100.000 0.000 5.4446 42.61 0.155310 0.159538 40.99 GS FINANCE CORP 40057MWA3 08/31/22 11/30/27 100.000 VARIES 4.6500 63.50 0.136556 0.139222 0.141889 0.144722 0.147500 49.81 51.77 GS FINANCE CORP 40057WCK1 10/04/23 10/02/26 100.000 0.000 5.9717 14.43 0.165881 0.170778 0.175878 0.181129 0.186537 61.49 65.21 GS FINANCE CORP 40057MWP0 09/06/22 03/04/27 100.000 0.000 4.7354 63.77 0.137806 0.141069 0.144409 0.147828 0.151328 50.97 53.41 GS FINANCE CORP 40057TKC7 07/28/23 07/26/30 100.000 0.000 5.4896 23.33 0.152489 0.156628 0.160927 0.165344 0.169883 56.95 60.12 GS FINANCE CORP 40057TKD5 07/26/23 07/28/28 100.000 0.000 5.4400 23.43 0.151157 0.155268 0.159492 0.163830 0.168286 56.43 59.54 GS FINANCE CORP 40057MX20 08/30/22 08/29/24 100.000 0.000 2.8600 38.69 0.081726 0.082895 19.66 GS FINANCE CORP 40057WCJ4 09/27/23 09/27/28 100.000 0.000 5.9200 15.46 0.164444 0.169312 0.174324 0.179484 0.184796 61.00 64.67 GS FINANCE CORP 40057M5K1 06/02/22 06/02/27 100.000 0.000 4.0000 64.63 0.117912 0.120270 0.122676 0.125129 0.127632 43.01 44.75 GS FINANCE CORP 40057X5K7 11/22/23 11/22/27 100.000 0.000 5.7800 6.26 0.160556 0.165196 0.169970 0.174882 0.179936 59.00 62.46 GS FINANCE CORP 40057M5J4 06/03/22 06/08/27 100.000 0.000 4.0700 65.67 0.120167 0.122612 0.125107 0.127653 0.130251 43.81 45.62 GS FINANCE CORP 40057WCG0 09/28/23 09/30/26 100.000 0.000 5.9400 15.35 0.165054 0.169957 0.175004 0.180202 0.185554 61.21 64.90 GS FINANCE CORP 40057RUZ9 06/05/23 06/05/28 100.000 0.000 5.2200 29.97 0.148784 0.152668 0.156652 0.160741 0.164936 54.47 57.35 GS FINANCE CORP 40057R3W6 04/03/23 04/04/24 100.000 0.000 5.5100 41.39 0.157296 14.63 GS FINANCE CORP 40057W2D8 09/29/23 07/01/27 100.000 0.000 5.9600 15.23 0.168077 0.173086 0.178244 0.183555 0.189025 61.41 65.12 GS FINANCE CORP 40057R3V8 04/03/23 07/05/24 100.000 0.000 5.4613 41.03 0.153820 0.158020 29.06 GS FINANCE CORP 40057X5H4 11/30/23 11/30/28 100.000 0.000 5.7100 4.92 0.158611 0.163139 0.167797 0.172588 0.177515 58.20 61.57 GS FINANCE CORP 40057MWJ4 08/31/22 08/31/27 100.000 VARIES 4.6400 63.22 0.134333 0.136722 0.139167 0.141611 0.144222 49.38 51.15 GS FINANCE CORP 40057PP30 02/22/23 02/22/28 100.000 0.000 5.2300 45.38 0.149077 0.152975 0.156975 0.161080 0.165293 55.39 58.32 GS FINANCE CORP 40057RDU9 04/28/23 10/29/26 100.000 0.000 4.8325 32.82 0.137498 0.140820 0.144222 0.147707 0.151276 50.51 52.98 GS FINANCE CORP 40057WTE7 11/03/23 11/05/25 100.000 0.000 6.2450 10.06 0.173532 0.178951 0.184539 0.190301 64.06 57.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PP22 03/03/23 04/04/24 100.000 0.000 5.5621 46.62 0.159560 14.84 GS FINANCE CORP 40057W2C0 09/29/23 07/01/26 100.000 0.000 5.9600 15.23 0.168077 0.173086 0.178244 0.183555 0.189025 61.41 65.12 GS FINANCE CORP 40057XX91 01/24/24 01/24/29 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 49.65 55.72 GS FINANCE CORP 40057WTU1 11/20/23 08/20/26 100.000 0.000 5.8525 6.67 0.162569 0.164948 0.169775 0.174743 0.179856 59.90 63.33 GS FINANCE CORP 40057WD46 10/02/23 04/01/26 100.000 0.000 6.0713 15.01 0.168647 0.173738 0.179012 0.184447 0.190046 62.56 66.42 GS FINANCE CORP 40057XX83 01/24/24 01/22/27 100.000 0.000 5.1608 0.143356 0.147014 0.150807 0.154699 48.89 54.83 GS FINANCE CORP 40057MWX3 09/06/22 09/07/27 100.000 VARIES 4.8200 64.84 0.139628 0.142078 0.144617 0.148061 0.150744 51.27 53.12 GS FINANCE CORP 40057WTS6 11/20/23 11/21/30 100.000 0.000 6.0300 6.87 0.167500 0.172578 0.177781 0.183142 0.188663 61.63 65.40 GS FINANCE CORP 40057XX75 01/24/24 01/22/27 100.000 0.000 5.1608 0.143356 0.147014 0.150807 0.154699 48.89 54.83 GS FINANCE CORP 40057WU39 11/03/23 11/03/26 100.000 0.000 6.2863 10.13 0.174619 0.180108 0.185769 0.191608 0.197631 64.50 68.62 GS FINANCE CORP 40057NZY6 11/29/22 12/01/27 100.000 0.000 5.4000 59.79 0.158257 0.162530 0.166918 0.171425 0.176053 58.00 61.18 GS FINANCE CORP 40057XWU5 01/24/24 01/24/29 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 49.65 55.72 GS FINANCE CORP 40057W2N6 10/04/23 07/02/26 100.000 0.000 6.0067 14.52 0.166853 0.169303 0.174387 0.179625 0.185020 61.86 65.63 GS FINANCE CORP 40057WTQ0 11/01/23 01/30/25 100.000 0.000 6.1442 10.24 0.170672 0.173265 0.178588 63.10 5.18 GS FINANCE CORP 40057WU21 11/24/23 05/23/25 100.000 0.000 5.9158 6.08 0.164328 0.169161 0.174165 60.40 24.73 GS FINANCE CORP 40057WCN5 10/02/23 10/02/28 100.000 0.000 6.1100 15.11 0.169722 0.174907 0.180251 0.185757 0.191432 62.97 66.88 GS FINANCE CORP 40057W2M8 10/04/23 07/02/26 100.000 0.000 6.0067 14.52 0.166853 0.169303 0.174387 0.179625 0.185020 61.86 65.63 GS FINANCE CORP 40057TKG8 07/27/23 08/29/24 100.000 0.000 5.8258 25.02 0.162666 0.167404 39.57 GS FINANCE CORP 40057NJ65 11/03/22 05/05/25 100.000 0.000 5.9125 70.10 0.174147 0.179296 0.184596 64.20 22.89 GS FINANCE CORP 40057MWQ8 09/06/22 02/05/26 100.000 0.000 4.5904 61.79 0.132916 0.135967 0.139087 0.142280 0.145545 49.30 51.59 GS FINANCE CORP 40057NJ40 11/03/22 05/05/25 100.000 0.000 5.9125 70.10 0.174147 0.179296 0.184596 64.20 22.89 GS FINANCE CORP 40057TKE3 07/27/23 07/31/28 100.000 0.000 5.4300 23.24 0.150902 0.154999 0.159207 0.163529 0.167969 56.32 59.42 GS FINANCE CORP 40057R4L9 04/05/23 10/05/28 100.000 0.000 5.0650 37.73 0.144258 0.147911 0.151657 0.155497 0.159435 53.23 55.96 GS FINANCE CORP 40057WCZ8 09/29/23 09/27/30 100.000 0.000 6.1346 15.68 0.170406 0.175574 0.180960 0.186510 0.192231 63.27 67.20 GS FINANCE CORP 40057NJA6 10/19/22 10/19/27 100.000 0.000 6.2100 76.27 0.183379 0.189072 0.194943 0.200996 0.207237 67.87 72.15 GS FINANCE CORP 40057R4K1 03/29/23 06/20/24 100.000 0.000 5.2492 40.03 0.151405 25.59 GS FINANCE CORP 40057WTZ0 11/22/23 11/22/28 100.000 0.000 5.7684 6.25 0.160233 0.164855 0.169610 0.174501 0.179534 58.88 62.33 GS FINANCE CORP 40057R4H8 03/31/23 03/31/25 100.000 0.000 5.2950 40.21 0.150977 0.154974 0.159077 55.81 14.16 GS FINANCE CORP 40057WCW5 09/29/23 09/29/28 100.000 0.000 6.0100 15.36 0.166944 0.171961 0.177129 0.182451 0.187934 61.94 65.72 GS FINANCE CORP 40057MFZ7 07/06/22 07/03/25 100.000 0.000 4.1611 63.12 0.120405 0.122910 0.125467 0.128078 44.70 23.30 GS FINANCE CORP 40057WU96 11/20/23 05/22/25 100.000 0.000 5.9650 6.80 0.165749 0.170693 0.175784 60.95 24.79 GS FINANCE CORP 40057X5X9 11/17/23 11/22/27 100.000 0.000 5.7850 7.08 0.160824 0.165475 0.170262 0.175187 0.180254 59.10 62.57 GS FINANCE CORP 40057R4F2 03/31/23 03/31/28 100.000 0.000 5.1600 39.18 0.147031 0.150825 0.154716 0.158708 0.162802 54.31 57.15 GS FINANCE CORP 40057REH7 05/03/23 10/31/25 100.000 0.000 5.0621 33.68 0.144114 0.147761 0.151501 0.155336 52.99 45.99 GS FINANCE CORP 40057WTW7 10/30/21 10/30/28 100.000 VARIES 6.3299 10.55 0.175587 0.174500 0.172778 0.173944 0.173278 62.71 62.44 GS FINANCE CORP 40057TKN3 08/02/23 07/31/25 100.000 0.000 5.6804 23.51 0.157789 0.162221 0.166828 0.171566 58.97 35.72 GS FINANCE CORP 40057REG9 05/03/23 10/31/25 100.000 0.000 5.0621 33.68 0.144114 0.147761 0.151501 0.155336 52.99 45.99 GS FINANCE CORP 40057REV6 05/03/23 05/01/26 100.000 0.000 4.9746 33.09 0.141582 0.145104 0.148713 0.152412 0.156203 52.03 54.65 GS FINANCE CORP 40057W3C9 10/04/23 10/14/26 100.000 0.000 5.9600 14.42 0.165830 0.170771 0.175860 0.181101 0.186498 61.36 65.07 GS FINANCE CORP 40057M6G9 06/06/22 06/05/25 100.000 0.000 3.5486 56.78 0.103903 0.105746 0.107623 37.83 16.57 GS FINANCE CORP 40057REU8 04/28/23 04/26/30 100.000 0.000 5.0354 34.22 0.143355 0.146964 0.150664 0.154457 0.158346 52.73 55.42 GS FINANCE CORP 40057RW87 05/17/23 05/30/24 100.000 0.000 5.3800 33.66 0.153763 22.91 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057WDD6 09/27/23 09/25/25 100.000 0.000 6.0254 15.73 0.167372 0.172359 0.177551 0.182900 62.13 47.84 GS FINANCE CORP 40057RF52 04/26/23 10/26/27 100.000 0.000 5.1025 34.96 0.145352 0.149060 0.152863 0.156763 0.160763 53.48 56.25 GS FINANCE CORP 40057RVV7 06/01/23 05/29/26 100.000 0.000 5.4825 32.11 0.156420 0.160708 0.165113 0.169639 0.174290 57.36 60.55 GS FINANCE CORP 40057PQ18 03/03/23 03/02/28 100.000 0.000 5.4567 45.66 0.155688 0.159935 0.164299 0.168781 0.173386 57.84 61.04 GS FINANCE CORP 40057RF45 04/26/23 10/26/28 100.000 0.000 5.1375 35.20 0.146374 0.150134 0.153991 0.157946 0.162004 53.87 56.67 GS FINANCE CORP 40057XGE9 01/03/24 12/31/26 100.000 0.000 4.9775 0.138264 0.141648 0.145173 0.148786 0.152489 50.11 52.92 GS FINANCE CORP 40057WDB0 10/04/23 10/15/30 100.000 0.000 6.2300 15.08 0.173385 0.178786 0.184355 0.190098 0.196019 64.22 68.29 GS FINANCE CORP 40057RW61 05/31/23 05/31/38 100.000 VARIES 5.6594 32.82 0.153889 0.151167 0.148333 0.143722 0.134111 54.74 52.19 GS FINANCE CORP 40057X6B6 11/15/23 05/15/25 100.000 0.000 6.1125 7.81 0.169792 0.174981 0.180329 62.54 24.16 GS FINANCE CORP 40057RER5 04/28/23 05/02/29 100.000 0.000 4.9340 33.52 0.140514 0.143980 0.147532 0.151172 0.154901 51.62 54.20 GS FINANCE CORP 40057M6C8 06/02/22 05/31/24 100.000 0.000 2.3000 36.82 0.066110 9.85 GS FINANCE CORP 40057MGE3 07/06/22 07/06/27 100.000 0.000 4.7400 72.11 0.137982 0.141252 0.144599 0.148026 0.151535 51.42 53.89 GS FINANCE CORP 40057REQ7 04/28/23 04/30/26 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 0.146641 0.150160 50.16 52.60 GS FINANCE CORP 40057RVS4 05/19/23 05/21/25 100.000 0.000 5.2300 32.41 0.149120 0.153020 0.157021 54.70 21.98 GS FINANCE CORP 40057RW46 05/24/23 05/26/28 100.000 0.000 5.3100 32.15 0.151461 0.155482 0.159610 0.163848 0.168198 55.53 58.52 GS FINANCE CORP 40057RF29 04/28/23 04/28/28 100.000 0.000 4.9300 33.49 0.140320 0.143779 0.147323 0.150955 0.154676 51.58 54.15 GS FINANCE CORP 40057XGC3 01/03/24 01/03/29 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 50.54 53.40 GS FINANCE CORP 40057MXD6 09/06/22 09/03/26 100.000 0.000 4.6629 62.77 0.135584 0.138745 0.141979 0.145290 0.148677 50.13 52.50 GS FINANCE CORP 40057PPL0 03/02/23 04/01/24 100.000 0.000 5.5300 46.50 0.158562 14.27 GS FINANCE CORP 40057XGA7 01/03/24 01/03/29 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 50.54 53.40 GS FINANCE CORP 40057MXC8 09/06/22 03/05/26 100.000 0.000 4.5904 61.78 0.133415 0.136477 0.139609 0.142814 0.146092 49.30 51.59 GS FINANCE CORP 40057WDM6 10/04/23 10/04/28 100.000 0.000 6.0800 14.69 0.168889 0.174023 0.179313 0.184765 0.190381 62.63 66.50 GS FINANCE CORP 40057MY29 09/02/22 09/02/27 100.000 0.000 4.7500 64.52 0.138286 0.141571 0.144933 0.148375 0.151899 51.17 53.62 GS FINANCE CORP 40057W3K1 10/03/23 10/01/26 100.000 0.000 5.9712 14.60 0.165867 0.170764 0.175862 0.181113 0.186520 61.49 65.21 GS FINANCE CORP 40057TLE2 07/26/23 07/26/30 100.000 0.000 5.4700 23.55 0.151944 0.156100 0.160369 0.164756 0.169262 56.75 59.90 GS FINANCE CORP 40057WDK0 09/26/23 09/25/25 100.000 0.000 6.0492 15.96 0.168033 0.173087 0.178323 0.183716 62.39 48.05 GS FINANCE CORP 40057PQ96 03/01/23 08/29/24 100.000 0.000 5.5583 46.84 0.158640 0.163049 38.55 GS FINANCE CORP 40057W3H8 10/04/23 10/02/25 100.000 0.000 6.1117 14.77 0.169769 0.174900 0.180244 0.185752 62.97 49.84 GS FINANCE CORP 40057TLB8 07/25/23 01/24/25 100.000 0.000 5.6953 24.68 0.158203 0.162683 0.167315 59.19 3.85 GS FINANCE CORP 40057NJQ1 10/31/22 10/31/28 100.000 0.000 6.1700 73.76 0.182127 0.187745 0.193537 0.199508 0.205663 67.27 71.49 GS FINANCE CORP 40057X6J9 11/30/23 11/30/28 100.000 0.000 5.7100 4.92 0.158611 0.163139 0.167797 0.172588 0.177515 58.20 61.57 GS FINANCE CORP 40057REZ7 04/28/23 04/26/30 100.000 0.000 5.0354 34.22 0.143355 0.146964 0.150664 0.154457 0.158346 52.73 55.42 GS FINANCE CORP 40057NJP3 10/31/22 10/29/26 100.000 0.000 5.9483 71.06 0.175177 0.180387 0.185752 0.191277 0.196965 64.66 68.56 GS FINANCE CORP 40057REY0 04/28/23 04/30/26 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 0.146641 0.150160 50.16 52.60 GS FINANCE CORP 40057W3G0 10/03/23 10/05/26 100.000 0.000 5.9600 14.57 0.165610 0.170546 0.175628 0.180862 0.186251 61.37 65.08 GS FINANCE CORP 40057PQ62 02/23/23 02/22/27 100.000 0.000 5.1704 44.71 0.147315 0.151123 0.155030 0.159038 0.163149 54.71 57.58 GS FINANCE CORP 40057REX2 05/03/23 05/12/26 100.000 0.000 4.9600 33.00 0.141370 0.144876 0.148469 0.152151 0.155924 51.87 54.48 GS FINANCE CORP 40057RF94 04/28/23 04/26/30 100.000 0.000 5.0354 34.22 0.143355 0.146964 0.150664 0.154457 0.158346 52.73 55.42 GS FINANCE CORP 40057PPT3 03/08/23 04/02/24 100.000 0.000 5.5700 45.87 0.159622 14.53 GS FINANCE CORP 40057NJN8 10/13/22 10/10/24 100.000 0.000 5.4633 67.88 0.160092 0.164465 45.45 GS FINANCE CORP 40057REW4 04/28/23 04/28/28 100.000 0.000 4.9300 33.49 0.140320 0.143779 0.147323 0.150955 0.154676 51.58 54.15 GS FINANCE CORP 40057RFH6 04/11/23 04/10/25 100.000 0.000 5.0421 36.70 0.143570 0.147189 0.150900 52.93 14.94 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TLN2 07/25/23 07/01/26 100.000 0.000 5.5233 23.93 0.157097 0.161436 0.165894 0.170475 0.175183 57.34 60.55 GS FINANCE CORP 40057R5E4 03/24/23 09/26/24 100.000 0.000 5.4825 42.59 0.156514 0.160804 42.25 GS FINANCE CORP 40057RFG8 04/11/23 04/10/25 100.000 0.000 5.0421 36.70 0.143570 0.147189 0.150900 52.93 14.94 GS FINANCE CORP 40057TLM4 07/31/23 07/31/25 100.000 0.000 5.6300 23.61 0.156389 0.160791 0.165318 0.169971 58.44 35.39 GS FINANCE CORP 40057WE45 10/12/23 10/16/28 100.000 0.000 6.3100 13.86 0.175401 0.180935 0.186643 0.192532 0.198606 64.98 69.15 GS FINANCE CORP 40057RWF1 06/01/23 06/05/28 100.000 0.000 5.4500 31.92 0.155608 0.159849 0.164205 0.168679 0.173276 57.01 60.15 GS FINANCE CORP 40057RFE3 05/03/23 05/01/26 100.000 0.000 4.9746 33.09 0.141582 0.145104 0.148713 0.152412 0.156203 52.03 54.65 GS FINANCE CORP 40057RFD5 04/19/23 04/17/26 100.000 0.000 5.0354 35.51 0.143355 0.146964 0.150664 0.154457 0.158346 52.80 55.49 GS FINANCE CORP 40057MGU7 07/05/22 07/03/25 100.000 0.000 4.2583 64.75 0.123348 0.125974 0.128657 0.131396 45.82 23.91 GS FINANCE CORP 40057TLJ1 08/03/23 08/07/26 100.000 0.000 5.4200 22.30 0.150646 0.154729 0.158922 0.163229 0.167652 56.16 59.24 GS FINANCE CORP 40057MGT0 07/05/22 07/02/26 100.000 0.000 4.5817 69.78 0.133118 0.136167 0.139287 0.142477 0.145741 49.58 51.87 GS FINANCE CORP 40057RFC7 04/28/23 01/29/26 100.000 0.000 4.8475 32.97 0.136303 0.139606 0.142990 0.146456 0.150006 50.68 53.17 GS FINANCE CORP 40057XXT7 01/30/24 01/30/29 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 48.57 55.45 GS FINANCE CORP 40057W3N5 10/04/23 10/06/26 100.000 0.000 5.9600 14.41 0.165610 0.170546 0.175628 0.180862 0.186251 61.36 65.07 GS FINANCE CORP 40057RFA1 04/28/23 05/09/28 100.000 0.000 4.9300 33.50 0.140532 0.143996 0.147545 0.151182 0.154909 51.58 54.15 GS FINANCE CORP 40057XXS9 01/30/24 01/28/27 100.000 0.000 5.1312 0.142533 0.146150 0.149899 0.153745 47.73 54.45 GS FINANCE CORP 40057TLG7 07/25/23 07/24/25 100.000 0.000 5.6833 24.63 0.157869 0.162331 0.166943 0.171687 59.06 34.74 GS FINANCE CORP 40057MY52 09/30/22 04/01/25 100.000 0.000 5.4825 70.20 0.160779 0.165187 0.169715 59.48 15.27 GS FINANCE CORP 40057M7A1 07/05/22 07/06/27 100.000 0.000 4.8200 73.49 0.140438 0.143823 0.147289 0.150839 0.154474 52.37 54.92 GS FINANCE CORP 40057NKD8 11/02/22 10/31/25 100.000 0.000 5.8608 69.65 0.172427 0.177479 0.182680 0.188034 63.61 55.58 GS FINANCE CORP 40057PQK1 03/03/23 03/05/25 100.000 0.000 5.4750 45.82 0.156294 0.160573 0.164968 58.04 10.56 GS FINANCE CORP 40057NKC0 11/02/22 10/31/25 100.000 0.000 5.8608 69.65 0.172427 0.177479 0.182680 0.188034 63.61 55.58 GS FINANCE CORP 40057TLT9 08/07/23 08/07/25 100.000 0.000 5.6600 22.64 0.157222 0.161672 0.166247 0.170952 58.70 36.76 GS FINANCE CORP 40057WDZ7 10/04/23 10/02/26 100.000 0.000 5.9717 14.43 0.165881 0.170778 0.175878 0.181129 0.186537 61.49 65.21 GS FINANCE CORP 40057TLR3 08/07/23 08/09/27 100.000 0.000 5.4775 21.92 0.152199 0.156367 0.160650 0.165050 0.169570 56.74 59.89 GS FINANCE CORP 40057RFL7 05/03/23 05/31/24 100.000 0.000 5.3100 35.35 0.152019 22.65 GS FINANCE CORP 40057PQF2 03/01/23 03/01/27 100.000 0.000 5.4450 45.87 0.155368 0.159598 0.163943 0.168406 0.172991 57.72 60.91 GS FINANCE CORP 40057RWL8 05/31/23 05/30/25 100.000 0.000 5.5771 32.82 0.159239 0.163680 0.168244 58.40 25.07 GS FINANCE CORP 40057TLP7 07/26/23 07/24/25 100.000 0.000 5.6833 24.47 0.157869 0.162306 0.166918 0.171661 59.05 34.74 GS FINANCE CORP 40057X6X8 11/30/23 12/03/25 100.000 0.000 5.7650 4.97 0.160216 0.164834 0.169585 0.174474 58.77 57.18 GS FINANCE CORP 40057NKN6 10/26/22 10/26/27 100.000 0.000 6.3400 76.59 0.187454 0.193396 0.199526 0.205851 0.212377 69.34 73.80 GS FINANCE CORP 40057NKM8 10/24/22 10/27/25 100.000 0.000 6.0100 72.88 0.177217 0.182543 0.188028 0.193678 65.45 56.67 GS FINANCE CORP 40057RG77 04/19/23 04/20/28 100.000 0.000 5.0900 35.89 0.145007 0.148698 0.152482 0.156363 0.160342 53.40 56.15 GS FINANCE CORP 40057X7F6 11/22/23 02/21/25 100.000 0.000 5.9700 6.47 0.165833 0.168281 0.173304 61.11 8.67 GS FINANCE CORP 40057NKL0 10/24/22 10/26/27 100.000 0.000 6.3300 76.84 0.187206 0.193131 0.199243 0.205549 0.212055 69.24 73.70 GS FINANCE CORP 40057RWX2 06/05/23 06/05/28 100.000 0.000 5.2200 29.97 0.148784 0.152668 0.156652 0.160741 0.164936 54.47 57.35 GS FINANCE CORP 40057X7E9 11/22/23 11/20/25 100.000 0.000 5.8800 6.37 0.163333 0.168082 0.173024 0.178110 60.05 56.11 GS FINANCE CORP 36264U348 11/21/22 12/04/24 100.000 0.000 5.4000 61.07 0.158518 0.162798 53.56 GS FINANCE CORP 40057X7D1 11/22/23 05/21/26 100.000 0.000 5.8200 6.30 0.161667 0.166345 0.171186 0.176167 0.181294 59.42 62.93 GS FINANCE CORP 40057LVE8 05/31/22 05/31/28 100.000 0.000 4.2300 68.68 0.125114 0.127760 0.130462 0.133222 0.136039 45.68 47.64 GS FINANCE CORP 40057NKJ5 10/19/22 10/17/25 100.000 0.000 5.8708 72.02 0.172738 0.177808 0.183027 0.188400 63.86 53.31 GS FINANCE CORP 40057X7B5 11/22/23 11/24/26 100.000 0.000 5.7500 6.23 0.159773 0.164367 0.169092 0.173954 0.178955 58.69 62.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RG36 04/19/23 01/17/25 100.000 0.000 5.2667 37.18 0.148181 0.152083 0.156088 55.34 2.50 GS FINANCE CORP 40057TLX0 08/02/23 08/04/28 100.000 0.000 5.4200 22.44 0.150601 0.154682 0.158874 0.163180 0.167602 56.17 59.25 GS FINANCE CORP 40057NL70 10/12/22 10/09/25 100.000 0.000 5.4450 67.81 0.159527 0.163870 0.168332 0.172914 58.93 47.62 GS FINANCE CORP 40057TMH4 08/02/23 08/02/28 100.000 0.000 5.4200 22.43 0.150556 0.154636 0.158826 0.163130 0.167551 56.17 59.25 GS FINANCE CORP 40057WEN3 09/29/23 10/02/28 100.000 0.000 6.1100 15.62 0.169809 0.174996 0.180342 0.185852 0.191530 63.00 66.91 GS FINANCE CORP 40057MYT0 09/30/22 10/02/25 100.000 0.000 5.5800 71.49 0.163820 0.168391 0.173089 0.177918 60.62 47.78 GS FINANCE CORP 40057MZ51 09/30/22 10/01/26 100.000 0.000 5.7650 73.90 0.169530 0.174417 0.179445 0.184617 0.189939 62.80 66.48 GS FINANCE CORP 40057NL54 10/17/22 10/17/24 100.000 0.000 5.5450 68.26 0.162687 0.167198 47.34 GS FINANCE CORP 40057WEL7 09/29/23 10/13/26 100.000 0.000 5.9300 15.18 0.165102 0.169997 0.175038 0.180228 0.185571 61.09 64.77 GS FINANCE CORP 40057WVN4 11/20/23 12/03/25 100.000 0.000 5.9200 6.75 0.164796 0.169674 0.174696 0.179867 60.48 58.93 GS FINANCE CORP 40057TMB4 08/01/23 07/30/27 100.000 0.000 5.5271 23.03 0.153531 0.157750 0.162109 0.166589 0.171193 57.33 60.54 GS FINANCE CORP 40057R5Z7 04/04/23 05/03/24 100.000 0.000 5.5200 41.35 0.158266 19.31 GS FINANCE CORP 40057NKP1 10/26/22 10/24/25 100.000 0.000 5.9983 72.38 0.176706 0.182006 0.187465 0.193087 65.29 55.94 GS FINANCE CORP 40057WVY0 11/16/23 11/16/28 100.000 0.000 6.0233 7.53 0.167314 0.172353 0.177543 0.182890 0.188398 61.60 65.37 GS FINANCE CORP 40057RGJ1 04/26/23 04/28/28 100.000 0.000 5.1200 35.08 0.145905 0.149640 0.153471 0.157399 0.161429 53.67 56.46 GS FINANCE CORP 40057WEV5 10/12/23 10/13/26 100.000 VARIES 6.1231 13.61 0.171092 0.175187 0.179455 0.183752 0.188214 64.02 66.96 GS FINANCE CORP 40057WF77 10/24/23 01/22/25 100.000 0.000 6.1883 11.52 0.171897 0.174498 0.179897 63.62 3.78 GS FINANCE CORP 40057LVW8 05/31/22 02/28/25 100.000 0.000 3.3333 53.90 0.096484 0.098092 0.099726 35.42 5.68 GS FINANCE CORP 40057R6F0 03/29/23 03/27/26 100.000 0.000 4.9254 37.53 0.140149 0.143600 0.147136 0.150760 0.154473 51.73 54.31 GS FINANCE CORP 3626EQ876 07/22/22 08/03/29 100.000 0.000 4.4400 65.41 0.129045 0.131910 0.134838 0.137832 0.140891 47.83 49.98 GS FINANCE CORP 40057LVX6 05/31/22 06/11/29 100.000 0.000 4.4800 72.84 0.133178 0.136161 0.139211 0.142329 0.145518 48.60 50.80 GS FINANCE CORP 40057MYY9 09/30/22 10/12/29 100.000 0.000 6.0800 78.07 0.179677 0.185139 0.190767 0.196567 0.202542 66.54 70.65 GS FINANCE CORP 40057WW78 12/04/23 12/07/26 100.000 0.000 5.4300 4.07 0.150902 0.154999 0.159207 0.163529 0.167969 55.26 58.30 GS FINANCE CORP 40057WVV6 11/22/23 05/22/28 100.000 0.000 5.7950 6.28 0.160972 0.165636 0.170436 0.175374 0.180456 59.16 62.64 GS FINANCE CORP 40057NKZ9 10/14/22 04/15/24 100.000 0.000 5.4650 67.73 0.160239 16.66 GS FINANCE CORP 40057LVV0 05/31/22 05/29/26 100.000 0.000 3.9700 64.37 0.116963 0.119285 0.121653 0.124068 0.126530 42.67 44.39 GS FINANCE CORP 40057RGE2 04/26/23 04/28/28 100.000 0.000 5.1200 35.08 0.145905 0.149640 0.153471 0.157399 0.161429 53.67 56.46 GS FINANCE CORP 40057WVT1 11/22/23 05/22/29 100.000 0.000 5.8375 6.32 0.162153 0.166886 0.171757 0.176770 0.181929 59.60 63.13 GS FINANCE CORP 40057XZ81 01/30/24 01/27/26 100.000 0.000 5.1725 0.143681 0.147335 0.151145 0.155054 48.12 54.92 GS FINANCE CORP 40057MYX1 09/30/22 10/12/29 100.000 0.000 6.0800 78.07 0.179677 0.185139 0.190767 0.196567 0.202542 66.54 70.65 GS FINANCE CORP 40057RXE3 05/31/23 08/29/24 100.000 0.000 5.6858 33.60 0.160159 0.164712 38.94 GS FINANCE CORP 40057MZ77 09/30/22 10/02/28 100.000 VARIES 6.0200 76.72 0.174222 0.177333 0.180556 0.183833 0.187278 63.86 66.21 GS FINANCE CORP 40057MYV5 09/30/22 04/02/27 100.000 0.000 5.8575 75.12 0.172435 0.177485 0.182683 0.188033 0.193540 63.90 67.70 GS FINANCE CORP 40057MYW3 09/30/22 10/02/25 100.000 0.000 5.5800 71.49 0.163820 0.168391 0.173089 0.177918 60.62 47.78 GS FINANCE CORP 40057MZ69 09/30/22 10/12/29 100.000 0.000 6.0800 78.07 0.179677 0.185139 0.190767 0.196567 0.202542 66.54 70.65 GS FINANCE CORP 40057MYU7 09/30/22 09/30/27 100.000 0.000 5.9500 76.33 0.175258 0.180472 0.185841 0.191370 0.197063 64.99 68.92 GS FINANCE CORP 40057TN91 08/08/23 08/07/25 100.000 0.000 5.7108 22.68 0.158633 0.163138 0.167796 0.172587 59.24 37.11 GS FINANCE CORP 40057LWC1 05/31/22 05/28/27 100.000 0.000 4.2100 68.35 0.124458 0.127077 0.129752 0.132484 0.135272 45.45 47.38 GS FINANCE CORP 40057WFA0 10/18/23 10/18/30 100.000 0.000 6.2800 12.73 0.174444 0.179922 0.185572 0.191398 0.197408 64.60 68.72 GS FINANCE CORP 40057NLF2 10/26/22 10/24/24 100.000 0.000 5.8583 70.65 0.172349 0.177397 51.41 GS FINANCE CORP 40057RY36 05/22/23 06/03/24 100.000 0.000 5.4200 33.14 0.154892 23.54 GS FINANCE CORP 40057LWA5 05/05/22 05/17/29 100.000 VARIES 4.6800 78.50 0.134279 0.135573 0.136927 0.138283 0.139686 48.72 49.69 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RXP8 06/05/23 06/07/28 100.000 0.000 5.2200 29.97 0.148828 0.152712 0.156698 0.160788 0.164984 54.47 57.35 GS FINANCE CORP 40057W4Z7 09/29/23 09/29/28 100.000 0.000 6.0100 15.36 0.166944 0.171961 0.177129 0.182451 0.187934 61.94 65.72 GS FINANCE CORP 40057W4Y0 09/29/23 10/01/29 100.000 VARIES 5.9995 15.55 0.169795 0.175815 0.176253 0.179591 0.183050 62.62 64.85 GS FINANCE CORP 40057WEZ6 10/18/23 10/18/28 100.000 0.000 6.1034 12.38 0.169539 0.174713 0.180044 0.185539 0.191201 62.73 66.62 GS FINANCE CORP 40057NLA3 10/26/22 10/24/25 100.000 0.000 5.9983 72.38 0.176706 0.182006 0.187465 0.193087 65.29 55.94 GS FINANCE CORP 40057W4X2 09/29/23 10/01/26 100.000 0.000 5.9300 15.16 0.164776 0.169662 0.174693 0.179872 0.185205 61.09 64.77 GS FINANCE CORP 40057W4W4 09/29/23 10/10/30 100.000 0.000 6.1400 15.72 0.170876 0.176121 0.181528 0.187101 0.192845 63.32 67.27 GS FINANCE CORP 40057TN26 08/17/23 11/19/26 100.000 0.000 5.6750 21.22 0.159925 0.164463 0.169130 0.173929 0.178864 58.78 62.16 GS FINANCE CORP 40057NLP0 10/24/22 10/24/24 100.000 0.000 5.8900 71.38 0.173390 0.178496 51.72 GS FINANCE CORP 40057RGY8 05/03/23 05/03/28 100.000 0.000 5.0200 33.39 0.142944 0.146532 0.150210 0.153981 0.157846 52.53 55.20 GS FINANCE CORP 40057RGX0 04/26/23 10/24/24 100.000 0.000 5.3033 36.35 0.151177 0.155185 45.02 GS FINANCE CORP 40057MZL6 10/05/22 10/07/25 100.000 0.000 5.5300 70.02 0.162273 0.166760 0.171371 0.176109 59.99 48.15 GS FINANCE CORP 40057WWH6 11/03/23 11/05/26 100.000 0.000 6.2900 10.14 0.174783 0.180280 0.185950 0.191798 0.197830 64.54 68.66 GS FINANCE CORP 40057WWG8 11/03/23 11/05/25 100.000 0.000 6.2450 10.06 0.173532 0.178951 0.184539 0.190301 64.06 57.14 GS FINANCE CORP 40057WFF9 11/02/23 11/06/26 100.000 0.000 6.2400 10.23 0.173454 0.178865 0.184446 0.190201 0.196135 64.02 68.08 GS FINANCE CORP 40057TMZ4 08/17/23 08/16/30 100.000 0.000 5.7160 21.28 0.158778 0.163290 0.167957 0.172757 0.177695 59.21 62.64 GS FINANCE CORP 40057RY69 06/05/23 06/05/30 100.000 0.000 5.2800 30.31 0.150539 0.154513 0.158592 0.162779 0.167076 55.12 58.07 GS FINANCE CORP 40057MZH5 10/04/22 10/02/25 100.000 0.000 5.5179 70.03 0.161801 0.166265 0.170852 0.175566 59.86 47.15 GS FINANCE CORP 40057LWE7 05/31/22 06/11/29 100.000 0.000 4.4800 72.84 0.133178 0.136161 0.139211 0.142329 0.145518 48.60 50.80 GS FINANCE CORP 40057RGS1 04/27/23 10/22/26 100.000 0.000 4.9887 34.04 0.141936 0.145476 0.149105 0.152824 0.156636 52.23 54.87 GS FINANCE CORP 40057NLH8 10/26/22 11/04/27 100.000 0.000 6.3400 76.60 0.187718 0.193668 0.199808 0.206141 0.212676 69.34 73.80 GS FINANCE CORP 40057WFB8 10/18/23 01/19/27 100.000 0.000 6.0713 12.31 0.168647 0.171235 0.176434 0.181789 0.187308 62.44 66.24 GS FINANCE CORP 40057LWD9 05/31/22 02/28/25 100.000 0.000 3.3333 53.90 0.096484 0.098092 0.099726 35.42 5.68 GS FINANCE CORP 40057LX48 05/31/22 05/29/26 100.000 0.000 3.9700 64.37 0.116963 0.119285 0.121653 0.124068 0.126530 42.67 44.39 GS FINANCE CORP 40057WX36 11/22/23 11/20/26 100.000 0.000 5.7600 6.24 0.160000 0.164557 0.169296 0.174172 0.179188 58.80 62.23 GS FINANCE CORP 40057W5M5 09/27/23 03/27/29 100.000 0.000 5.9425 15.52 0.165069 0.169974 0.175024 0.180225 0.185580 61.24 64.94 GS FINANCE CORP 40057TNG5 08/16/23 08/18/28 100.000 0.000 5.6100 21.04 0.155882 0.160254 0.164750 0.169371 0.174122 58.08 61.39 GS FINANCE CORP 40057WFM4 11/02/23 11/04/26 100.000 0.000 6.2400 10.23 0.173393 0.178803 0.184382 0.190135 0.196067 64.02 68.08 GS FINANCE CORP 40057NLT2 10/19/22 10/21/25 100.000 0.000 5.8800 72.13 0.173135 0.178225 0.183465 0.188859 63.97 54.18 GS FINANCE CORP 40057NM46 10/18/22 04/17/25 100.000 0.000 5.7546 70.73 0.169155 0.174022 0.179029 62.50 18.98 GS FINANCE CORP 40057WWL7 11/03/23 11/03/28 100.000 0.000 6.4400 10.38 0.178889 0.184649 0.190595 0.196732 0.203067 66.12 70.44 GS FINANCE CORP 40057WWM5 11/30/23 12/02/26 100.000 0.000 5.6400 4.86 0.156716 0.161135 0.165679 0.170351 0.175155 57.47 60.76 GS FINANCE CORP 40057WFJ1 11/03/23 11/05/25 100.000 0.000 6.2450 10.06 0.173532 0.178951 0.184539 0.190301 64.06 57.14 GS FINANCE CORP 40057WWK9 11/30/23 12/11/28 100.000 0.000 5.7100 4.92 0.158888 0.163424 0.168090 0.172889 0.177825 58.20 61.57 GS FINANCE CORP 40057W5X1 09/29/23 10/01/26 100.000 0.000 5.9300 15.16 0.164776 0.169662 0.174693 0.179872 0.185205 61.09 64.77 GS FINANCE CORP 40057R7H5 03/29/23 03/31/28 100.000 0.000 4.9700 37.87 0.141506 0.145022 0.148626 0.152319 0.156104 52.22 54.85 GS FINANCE CORP 40057R7G7 04/05/23 04/05/27 100.000 0.000 5.0450 37.58 0.143674 0.147298 0.151014 0.154823 0.158728 53.01 55.71 GS FINANCE CORP 40057WWX1 11/06/23 11/06/28 100.000 0.000 6.3300 9.67 0.175833 0.181398 0.187140 0.193063 0.199173 64.92 69.10 GS FINANCE CORP 40057WFU6 10/12/23 10/09/25 100.000 0.000 6.1429 13.48 0.170636 0.175790 0.181189 0.186754 63.22 51.37 GS FINANCE CORP 40057W5T0 09/27/23 03/27/28 100.000 0.000 5.9125 15.44 0.164236 0.169091 0.174090 0.179237 0.184535 60.93 64.58 GS FINANCE CORP 40057MJ91 07/06/22 07/03/25 100.000 0.000 4.1611 63.12 0.120405 0.122910 0.125467 0.128078 44.70 23.30 GS FINANCE CORP 40057NLZ8 10/25/22 10/23/25 100.000 0.000 6.0783 73.54 0.179202 0.184648 0.190259 0.196042 66.24 56.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LX55 05/31/22 06/11/29 100.000 0.000 4.4800 72.84 0.133178 0.136161 0.139211 0.142329 0.145518 48.60 50.80 GS FINANCE CORP 40057WFR3 11/03/23 11/09/26 100.000 0.000 6.2900 10.14 0.174905 0.180406 0.186080 0.191932 0.197968 64.54 68.66 GS FINANCE CORP 40057LX63 05/31/22 05/31/28 100.000 0.000 4.2300 68.68 0.125114 0.127760 0.130462 0.133222 0.136039 45.68 47.64 GS FINANCE CORP 40057MZX0 09/07/22 09/05/25 100.000 0.000 4.5306 60.83 0.131584 0.134565 0.137613 0.140730 48.61 34.14 GS FINANCE CORP 40057W6A0 10/04/23 10/02/26 100.000 0.000 5.9717 14.43 0.165881 0.170778 0.175878 0.181129 0.186537 61.49 65.21 GS FINANCE CORP 40057WGC5 10/31/23 07/29/27 100.000 0.000 6.2800 10.64 0.174444 0.177153 0.182715 0.188453 0.194370 64.54 68.58 GS FINANCE CORP 40057RZ76 07/06/23 01/06/25 100.000 0.000 5.7600 28.00 0.160000 0.164608 0.169349 60.07 0.85 GS FINANCE CORP 40057WGB7 10/31/23 07/30/26 100.000 0.000 6.2167 10.53 0.172686 0.175370 0.180821 0.186442 0.192237 63.88 67.83 GS FINANCE CORP 40057LXD8 05/18/22 05/27/27 100.000 0.000 4.2400 70.36 0.125561 0.128223 0.130942 0.133718 0.136552 45.86 47.83 GS FINANCE CORP 40057WXB8 11/03/23 11/05/25 100.000 0.000 6.2450 10.06 0.173532 0.178951 0.184539 0.190301 64.06 57.14 GS FINANCE CORP 40057LXC0 05/18/22 05/27/27 100.000 0.000 4.2400 70.36 0.125561 0.128223 0.130942 0.133718 0.136552 45.86 47.83 GS FINANCE CORP 40057NMF1 11/03/22 11/05/24 100.000 0.000 5.9350 70.37 0.174848 0.180037 54.09 GS FINANCE CORP 40057RYP7 06/01/23 06/03/24 100.000 0.000 5.7290 33.56 0.163750 24.89 GS FINANCE CORP 40057MJA8 07/06/22 07/05/24 100.000 0.000 2.7344 41.19 0.078041 0.079108 14.55 GS FINANCE CORP 40057WXL6 11/30/23 12/04/28 100.000 0.000 5.7100 4.92 0.158712 0.163243 0.167904 0.172697 0.177628 58.20 61.57 GS FINANCE CORP 40057W6J1 09/22/23 09/20/30 100.000 0.000 5.9367 16.33 0.164908 0.169749 0.174788 0.179976 0.185318 61.24 64.92 GS FINANCE CORP 40057PT85 03/02/23 03/04/25 100.000 0.000 5.4400 45.68 0.155268 0.159492 0.163830 57.66 10.32 GS FINANCE CORP 40057PC59 01/31/23 01/29/27 100.000 0.000 4.7958 44.58 0.136393 0.139664 0.143013 0.146442 0.149954 50.70 53.16 GS FINANCE CORP 40057NMP9 10/31/22 11/02/27 100.000 0.000 6.1000 72.91 0.179999 0.185489 0.191147 0.196977 0.202984 66.45 70.56 GS FINANCE CORP 40057PT77 03/02/23 08/30/24 100.000 0.000 5.4925 46.12 0.156713 0.160993 38.23 GS FINANCE CORP 40057MJM2 08/02/22 02/02/26 100.000 0.000 4.0550 58.43 0.117253 0.119630 0.122055 0.124530 0.127055 43.35 45.13 GS FINANCE CORP 40057W6F9 09/13/23 09/11/25 100.000 0.000 5.9217 17.77 0.164492 0.169308 0.174321 0.179482 61.17 44.51 GS FINANCE CORP 40057PT69 03/02/23 03/04/26 100.000 0.000 5.3500 44.91 0.152632 0.156715 0.160907 0.165211 0.169630 56.65 59.72 GS FINANCE CORP 40057W6E2 10/04/23 11/01/24 100.000 0.000 6.2400 15.13 0.174145 0.179578 53.22 GS FINANCE CORP 40057NML8 10/26/22 10/26/27 100.000 0.000 6.3500 76.71 0.187767 0.193729 0.199880 0.206226 0.212774 69.46 73.94 GS FINANCE CORP 40057W6D4 10/04/23 11/01/24 100.000 0.000 6.2400 15.13 0.174145 0.179578 53.22 GS FINANCE CORP 40057RYY8 07/06/23 01/08/25 100.000 0.000 5.7600 28.01 0.160051 0.164661 0.169403 60.07 1.19 GS FINANCE CORP 40057LXH9 05/06/22 05/06/27 100.000 0.000 4.4200 74.99 0.131099 0.133996 0.136958 0.139985 0.143078 48.04 50.19 GS FINANCE CORP 40057PT44 02/28/23 02/26/26 100.000 0.000 5.2288 44.48 0.149000 0.152895 0.156892 0.160994 0.165203 55.33 58.26 GS FINANCE CORP 40057LXG1 05/06/22 05/06/27 100.000 0.000 4.4200 74.99 0.131099 0.133996 0.136958 0.139985 0.143078 48.04 50.19 GS FINANCE CORP 40057PT36 02/28/23 02/26/26 100.000 0.000 5.2288 44.48 0.149000 0.152895 0.156892 0.160994 0.165203 55.33 58.26 GS FINANCE CORP 40057RYX0 07/06/23 07/03/26 100.000 0.000 5.4767 26.62 0.152131 0.156227 0.160505 0.164900 0.169416 57.00 60.16 GS FINANCE CORP 40057RZ92 07/06/23 07/03/26 100.000 0.000 5.4962 26.72 0.152672 0.156798 0.161107 0.165534 0.170083 57.21 60.39 GS FINANCE CORP 40057LXF3 05/06/22 05/06/27 100.000 0.000 4.4200 74.99 0.131099 0.133996 0.136958 0.139985 0.143078 48.04 50.19 GS FINANCE CORP 40057RYW2 06/05/23 07/05/24 100.000 0.000 5.6221 32.30 0.156901 0.161312 29.66 GS FINANCE CORP 40057PTA0 03/08/23 03/10/28 100.000 0.000 5.4800 45.08 0.156441 0.160727 0.165131 0.169656 0.174304 58.05 61.28 GS FINANCE CORP 40057WXU6 11/30/23 11/29/30 100.000 0.000 5.8250 5.02 0.161806 0.166492 0.171341 0.176331 0.181467 59.40 62.91 GS FINANCE CORP 40057WXT9 11/30/23 12/02/26 100.000 0.000 5.6400 4.86 0.156716 0.161135 0.165679 0.170351 0.175155 57.47 60.76 GS FINANCE CORP 36263Q330 06/03/22 06/05/28 100.000 0.000 4.1900 67.64 0.123887 0.126483 0.129132 0.131838 0.134600 45.20 47.12 GS FINANCE CORP 40057W6P7 10/04/23 10/04/27 100.000 0.000 6.0200 14.55 0.167222 0.172256 0.177441 0.182781 0.188283 62.00 65.78 GS FINANCE CORP 40057XJS5 01/02/24 12/30/27 100.000 0.000 4.9529 0.137581 0.140950 0.144440 0.148017 0.151683 50.00 52.65 GS FINANCE CORP 40057PBZ4 02/03/23 02/05/26 100.000 0.000 4.7400 43.65 0.134823 0.138018 0.141289 0.144638 0.148065 50.06 52.46 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LY21 05/24/22 06/03/27 100.000 0.000 4.4500 73.14 0.132194 0.135135 0.138142 0.141216 0.144358 48.29 50.46 GS FINANCE CORP 40057P1Y1 03/03/23 03/05/26 100.000 0.000 5.3800 45.01 0.153510 0.157640 0.161880 0.166235 0.170707 56.98 60.08 GS FINANCE CORP 40057WXQ5 11/30/23 12/02/26 100.000 0.000 5.6400 4.86 0.156716 0.161135 0.165679 0.170351 0.175155 57.47 60.76 GS FINANCE CORP 40057WXP7 11/30/23 12/02/27 100.000 0.000 5.6750 4.89 0.157689 0.162163 0.166764 0.171496 0.176363 57.84 61.17 GS FINANCE CORP 40057W6K8 09/15/23 09/17/26 100.000 0.000 5.8000 17.08 0.161163 0.165837 0.170646 0.175595 0.180687 59.85 63.37 GS FINANCE CORP 40057RZA9 06/01/23 05/30/25 100.000 0.000 5.6325 32.99 0.160840 0.165370 0.170027 59.00 25.33 GS FINANCE CORP 40057NNC7 10/19/22 10/17/25 100.000 0.000 5.8708 72.02 0.172738 0.177808 0.183027 0.188400 63.86 53.31 GS FINANCE CORP 40057W6Y8 09/18/23 09/20/28 100.000 0.000 5.7600 16.49 0.160051 0.164661 0.169403 0.174282 0.179301 59.39 62.86 GS FINANCE CORP 40057PCF7 02/03/23 02/09/26 100.000 0.000 4.7400 43.66 0.134894 0.138091 0.141363 0.144714 0.148143 50.06 52.46 GS FINANCE CORP 40057LXZ9 05/24/22 06/03/25 100.000 0.000 4.0100 65.74 0.118343 0.120715 0.123136 43.16 18.72 GS FINANCE CORP 40057WXZ5 11/03/23 11/01/30 100.000 0.000 6.5933 10.62 0.183147 0.189118 0.195352 0.201792 0.208445 67.74 72.27 GS FINANCE CORP 40057RZK7 07/06/23 07/03/26 100.000 0.000 5.4767 26.62 0.152131 0.156227 0.160505 0.164900 0.169416 57.00 60.16 GS FINANCE CORP 40057WH83 10/31/23 10/29/26 100.000 0.000 6.2267 10.55 0.172964 0.178319 0.183871 0.189595 0.195498 63.91 67.94 GS FINANCE CORP 40057WXX0 11/15/23 11/15/28 100.000 0.000 6.1400 7.85 0.170556 0.175792 0.181188 0.186751 0.192484 62.83 66.75 GS FINANCE CORP 40057RZJ0 06/14/23 06/14/30 100.000 0.000 5.4500 29.89 0.155514 0.159752 0.164105 0.168577 0.173171 56.89 60.04 GS FINANCE CORP 40057P2A9 12/06/22 12/06/27 100.000 0.000 5.2000 56.48 0.152053 0.156007 0.160063 0.164224 0.168494 55.65 58.58 GS FINANCE CORP 40057PCC4 02/02/23 02/06/26 100.000 0.000 4.8100 44.45 0.136898 0.140190 0.143562 0.147014 0.150550 50.84 53.32 GS FINANCE CORP 40057LXW6 06/03/22 06/09/25 100.000 0.000 3.6500 58.75 0.107107 0.109062 0.111052 39.00 17.55 GS FINANCE CORP 40057PTC6 03/01/23 02/27/25 100.000 0.000 5.5083 46.41 0.157129 0.161456 0.165903 58.43 9.29 GS FINANCE CORP 40057WXW2 11/30/23 11/29/30 100.000 0.000 5.8250 5.02 0.161806 0.166492 0.171341 0.176331 0.181467 59.40 62.91 GS FINANCE CORP 40057PCB6 02/02/23 02/04/26 100.000 0.000 4.8100 44.44 0.136861 0.140153 0.143523 0.146975 0.150510 50.84 53.32 GS FINANCE CORP 40057PTB8 03/08/23 03/10/28 100.000 0.000 5.4800 45.08 0.156441 0.160727 0.165131 0.169656 0.174304 58.05 61.28 GS FINANCE CORP 40057WXV4 11/30/23 11/30/29 100.000 VARIES 5.7018 4.91 0.161199 0.161979 0.164607 0.167280 0.170071 58.98 60.74 GS FINANCE CORP 40057LYG0 05/18/22 05/29/29 100.000 0.000 4.5000 74.78 0.133813 0.136823 0.139902 0.143050 0.146268 48.91 51.13 GS FINANCE CORP 40057MKG3 07/29/22 08/09/29 100.000 0.000 4.6900 68.22 0.136637 0.139841 0.143121 0.146477 0.149912 50.69 53.09 GS FINANCE CORP 40057WYE1 11/02/23 02/04/25 100.000 0.000 6.1700 10.11 0.171389 0.174091 0.179462 63.37 5.92 GS FINANCE CORP 40057RZW1 07/06/23 01/05/26 100.000 0.000 5.5767 27.11 0.154908 0.159204 0.163643 0.168206 0.172896 58.08 61.36 GS FINANCE CORP 40057MKH1 07/29/22 05/01/25 100.000 0.000 3.8500 55.82 0.112195 0.114354 0.116556 41.04 13.99 GS FINANCE CORP 40057MKF5 07/29/22 05/01/25 100.000 0.000 3.8500 55.82 0.112195 0.114354 0.116556 41.04 13.99 GS FINANCE CORP 40057PCN0 01/31/23 01/29/26 100.000 0.000 4.7754 44.39 0.135800 0.139042 0.142362 0.145761 0.149242 50.47 52.91 GS FINANCE CORP 40057NNJ2 10/25/22 10/24/24 100.000 0.000 5.9383 71.81 0.174866 0.180058 52.17 GS FINANCE CORP 40057MKE8 07/29/22 08/09/29 100.000 0.000 4.6900 68.22 0.136637 0.139841 0.143121 0.146477 0.149912 50.69 53.09 GS FINANCE CORP 40057P2K7 11/28/22 11/30/27 100.000 0.000 5.4600 60.63 0.160109 0.164480 0.168971 0.173583 0.178322 58.70 61.95 GS FINANCE CORP 40057PCM2 01/31/23 02/11/30 100.000 0.000 4.9500 46.06 0.141116 0.144609 0.148188 0.151856 0.155614 52.42 55.05 GS FINANCE CORP 40057MKD0 07/29/22 07/29/27 100.000 0.000 4.5300 65.82 0.131598 0.134579 0.137627 0.140744 0.143932 48.83 51.07 GS FINANCE CORP 40057LYB1 05/12/22 05/13/27 100.000 0.000 4.4000 73.85 0.130483 0.133354 0.136288 0.139286 0.142350 47.77 49.89 GS FINANCE CORP 40057NNE3 10/24/22 10/24/24 100.000 0.000 5.8900 71.38 0.173390 0.178496 51.72 GS FINANCE CORP 40057WHM2 10/25/23 04/25/28 100.000 0.000 6.4725 11.87 0.179792 0.185610 0.191617 0.197818 0.204220 66.55 70.93 GS FINANCE CORP 40057W7K7 09/15/23 06/17/25 100.000 0.000 5.9625 17.59 0.168149 0.173162 0.178324 61.58 29.60 GS FINANCE CORP 40057TPE8 08/31/23 09/02/26 100.000 0.000 5.7500 19.33 0.159773 0.164367 0.169092 0.173954 0.178955 59.45 62.92 GS FINANCE CORP 40057PCX8 01/31/23 02/11/30 100.000 0.000 4.9500 46.06 0.141116 0.144609 0.148188 0.151856 0.155614 52.42 55.05 GS FINANCE CORP 40057PCW0 01/31/23 01/31/28 100.000 0.000 4.8500 45.09 0.137989 0.141335 0.144763 0.148273 0.151869 51.30 53.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NNS2 10/28/22 10/30/24 100.000 0.000 5.8050 69.65 0.170801 0.175759 51.96 GS FINANCE CORP 40057PCV2 01/31/23 10/30/25 100.000 0.000 4.8517 45.20 0.139713 0.143102 0.146574 0.150129 51.33 44.47 GS FINANCE CORP 40057TPC2 08/31/23 08/30/30 100.000 0.000 5.7675 19.39 0.160208 0.164803 0.169582 0.174418 0.179503 59.64 63.13 GS FINANCE CORP 40057PU91 04/05/23 01/06/25 100.000 0.000 5.3213 39.67 0.149802 0.153788 0.157880 56.06 0.79 GS FINANCE CORP 40057W7J0 09/14/23 09/16/24 100.000 0.000 5.9951 17.82 0.166586 0.171580 43.38 GS FINANCE CORP 40057TPD0 08/31/23 06/02/26 100.000 0.000 5.7875 19.52 0.163142 0.167863 0.172720 0.177718 0.182861 59.86 63.37 GS FINANCE CORP 40057TPB4 08/31/23 08/30/30 100.000 0.000 5.7675 19.39 0.160208 0.164803 0.169582 0.174418 0.179503 59.64 63.13 GS FINANCE CORP 40057PU83 04/04/23 04/02/26 100.000 0.000 5.0696 37.91 0.144352 0.148011 0.151763 0.155610 0.159554 53.28 56.02 GS FINANCE CORP 40057P2T8 12/02/22 12/06/27 100.000 0.000 5.4700 60.10 0.160467 0.164856 0.169365 0.173997 0.178755 58.78 62.04 GS FINANCE CORP 40057NNQ6 10/24/22 10/24/24 100.000 0.000 5.8900 71.38 0.173390 0.178496 51.72 GS FINANCE CORP 40057TPA6 08/31/23 09/12/28 100.000 0.000 5.7100 19.22 0.158913 0.163450 0.168116 0.172916 0.177853 59.03 62.45 GS FINANCE CORP 40057NNP8 11/02/22 11/02/27 100.000 0.000 6.0900 72.43 0.179626 0.185095 0.190732 0.196539 0.202524 66.31 70.40 GS FINANCE CORP 40057PU75 04/04/23 04/06/26 100.000 0.000 5.0500 37.77 0.143860 0.147493 0.151217 0.155035 0.158950 53.07 55.78 GS FINANCE CORP 40057PD41 01/31/23 07/30/26 100.000 0.000 4.7708 44.34 0.135683 0.138920 0.142234 0.145627 0.149100 50.42 52.85 GS FINANCE CORP 40057LYJ4 05/18/22 05/18/27 100.000 0.000 4.2400 70.35 0.125428 0.128087 0.130803 0.133576 0.136408 45.86 47.83 GS FINANCE CORP 40057WHH3 10/31/23 10/31/28 100.000 0.000 6.3800 10.81 0.177222 0.182876 0.188709 0.194729 0.200941 65.52 69.77 GS FINANCE CORP 40057RJ90 04/21/23 04/21/38 100.000 VARIES 5.3838 36.99 0.145222 0.141611 0.137944 0.135222 0.135389 51.12 48.93 GS FINANCE CORP 40057PD33 01/31/23 07/31/25 100.000 0.000 4.9025 45.58 0.139519 0.142939 0.146442 0.150032 51.89 31.25 GS FINANCE CORP 40057WYH4 11/10/23 11/12/27 100.000 0.000 5.9950 8.50 0.166583 0.171577 0.176720 0.182017 0.187473 61.37 65.10 GS FINANCE CORP 40057RZZ4 07/06/23 04/02/26 100.000 0.000 5.5267 27.05 0.155546 0.159845 0.164262 0.168801 0.173465 57.55 60.77 GS FINANCE CORP 40057PTT9 03/14/23 06/12/26 100.000 0.000 5.4183 43.67 0.156633 0.160877 0.165235 0.169712 0.174309 57.32 60.46 GS FINANCE CORP 40057P2Q4 12/02/22 12/04/24 100.000 0.000 5.3900 59.21 0.157948 0.162205 53.36 GS FINANCE CORP 40057WHG5 10/31/23 10/29/26 100.000 0.000 6.2267 10.55 0.172964 0.178319 0.183871 0.189595 0.195498 63.91 67.94 GS FINANCE CORP 40057WYG6 11/15/23 11/14/25 100.000 0.000 6.0979 7.79 0.169386 0.174522 0.179843 0.185326 62.39 57.28 GS FINANCE CORP 40057PTS1 03/14/23 03/14/30 100.000 0.000 5.5600 44.78 0.158738 0.163151 0.167687 0.172348 0.177139 58.90 62.22 GS FINANCE CORP 40057LYW5 05/17/22 05/14/24 100.000 0.000 2.4800 40.81 0.071469 9.51 GS FINANCE CORP 36264U876 03/22/23 04/03/29 100.000 0.000 5.1150 40.02 0.145945 0.149677 0.153505 0.157431 0.161458 53.88 56.67 GS FINANCE CORP 40057RJH2 04/25/23 04/27/28 100.000 0.000 5.1000 35.09 0.145320 0.149026 0.152826 0.156723 0.160720 53.46 56.22 GS FINANCE CORP 40057TPN8 08/02/23 07/31/25 100.000 0.000 5.6804 23.51 0.157789 0.162221 0.166828 0.171566 58.97 35.72 GS FINANCE CORP 36263Q223 05/13/22 09/15/27 100.000 0.000 4.4517 74.68 0.131174 0.134094 0.137078 0.140130 0.143249 48.37 50.55 GS FINANCE CORP 40057RJE9 04/28/23 10/30/24 100.000 0.000 5.0850 34.55 0.144882 0.148566 43.98 GS FINANCE CORP 40057MKW8 07/29/22 07/30/26 100.000 0.000 4.3650 63.37 0.126615 0.129379 0.132202 0.135088 0.138036 46.92 48.99 GS FINANCE CORP 40057NNZ6 11/02/22 05/02/24 100.000 0.000 5.8750 69.82 0.172923 20.92 GS FINANCE CORP 40057PUA8 04/05/23 04/07/26 100.000 0.000 5.0400 37.55 0.143568 0.147186 0.150895 0.154698 0.158596 52.95 55.65 GS FINANCE CORP 40057NNX1 10/31/22 10/31/29 100.000 VARIES 6.1500 71.08 0.166889 0.165111 0.163833 0.164333 0.164722 59.54 59.13 GS FINANCE CORP 40057WZ42 12/01/23 12/03/26 100.000 0.000 5.5400 4.62 0.153936 0.158200 0.162582 0.167086 0.171714 56.43 59.60 GS FINANCE CORP 40057ML56 07/26/22 07/24/25 100.000 0.000 4.1611 60.71 0.120419 0.122924 0.125481 0.128092 44.60 25.94 GS FINANCE CORP 40057NNW3 11/02/22 11/04/25 100.000 0.000 5.8600 69.64 0.172512 0.177567 0.182770 0.188125 63.60 56.34 GS FINANCE CORP 40057RJC3 04/26/23 04/24/25 100.000 0.000 5.2233 35.80 0.148839 0.152726 0.156715 54.81 17.71 GS FINANCE CORP 40057WHNO 10/25/23 04/25/29 100.000 0.000 6.5575 12.02 0.182153 0.188125 0.194293 0.200664 0.207243 67.45 71.95 GS FINANCE CORP 36265J227 04/05/23 04/04/29 100.000 0.000 5.0775 37.83 0.144602 0.148274 0.152038 0.155898 0.159856 53.36 56.11 GS FINANCE CORP 40057MKS7 08/03/22 08/05/25 100.000 0.000 3.9700 57.07 0.114725 0.117002 0.119324 0.121693 42.38 25.96 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PCY6 01/31/23 02/11/30 100.000 0.000 4.9500 46.06 0.141116 0.144609 0.148188 0.151856 0.155614 52.42 55.05 GS FINANCE CORP 40057TQ49 08/31/23 08/31/28 100.000 0.000 5.7100 19.19 0.158611 0.163114 0.167797 0.172534 0.177515 59.03 62.45 GS FINANCE CORP 40057WYZ4 11/22/23 11/23/26 100.000 0.000 5.7093 6.19 0.158592 0.163144 0.167801 0.172591 0.177518 58.26 61.64 GS FINANCE CORP 40057PUE0 04/05/23 04/07/26 100.000 0.000 5.0400 37.55 0.143568 0.147186 0.150895 0.154698 0.158596 52.95 55.65 GS FINANCE CORP 40057WYY7 11/30/23 12/02/26 100.000 0.000 5.6400 4.86 0.156716 0.161135 0.165679 0.170351 0.175155 57.47 60.76 GS FINANCE CORP 40057LYY1 05/25/22 05/23/25 100.000 0.000 3.7528 61.33 0.110201 0.112269 0.114375 40.20 16.24 GS FINANCE CORP 40057RK98 04/28/23 04/30/24 100.000 0.000 5.1800 35.20 0.147658 17.57 GS FINANCE CORP 40057MLK3 07/29/22 07/30/26 100.000 0.000 4.3650 63.37 0.126615 0.129379 0.132202 0.135088 0.138036 46.92 48.99 GS FINANCE CORP 40057LZH7 05/25/22 05/25/27 100.000 0.000 4.3500 71.32 0.128890 0.131694 0.134558 0.137485 0.140475 47.11 49.18 GS FINANCE CORP 40057RJV1 04/28/23 04/30/25 100.000 0.000 4.9900 33.90 0.142109 0.145654 0.149289 52.24 17.77 GS FINANCE CORP 40057PDP4 02/03/23 08/05/25 100.000 0.000 4.8975 45.12 0.139411 0.142825 0.146322 0.149905 51.81 31.96 GS FINANCE CORP 40057MLG2 07/29/22 07/31/25 100.000 0.000 4.2000 60.93 0.121632 0.124187 0.126795 0.129457 45.03 26.98 GS FINANCE CORP 40057PV25 04/05/23 10/03/24 100.000 0.000 5.3963 40.22 0.153897 0.158049 42.61 GS FINANCE CORP 40057WZD2 11/22/23 11/22/27 100.000 0.000 5.7800 6.26 0.160556 0.165196 0.169970 0.174882 0.179936 59.00 62.46 GS FINANCE CORP 40057PDN9 02/03/23 08/05/25 100.000 0.000 4.8975 45.12 0.139411 0.142825 0.146322 0.149905 51.81 31.96 GS FINANCE CORP 36255HBY3 04/11/23 04/11/28 100.000 0.500 4.8300 35.85 0.140500 0.143556 0.146722 0.149889 0.153167 51.62 53.90 GS FINANCE CORP 40057LZE4 06/03/22 06/05/25 100.000 0.000 3.6500 58.75 0.107064 0.109017 0.111007 39.00 17.10 GS FINANCE CORP 40057WZC4 11/13/23 03/28/25 100.000 0.000 6.0817 8.11 0.168936 0.172789 0.178043 62.36 15.49 GS FINANCE CORP 40057WZB6 11/03/23 05/05/25 100.000 0.000 6.1525 9.92 0.170961 0.176220 0.181641 63.09 22.52 GS FINANCE CORP 40057TPX6 08/23/23 02/24/28 100.000 0.000 5.7750 20.53 0.160417 0.165074 0.169841 0.174745 0.179791 59.79 63.29 GS FINANCE CORP 40057TQ98 07/31/23 10/25/24 100.000 0.000 5.8433 24.66 0.164553 0.169361 49.24 GS FINANCE CORP 40057LZB0 06/03/22 06/05/25 100.000 0.000 3.6500 58.75 0.107064 0.109017 0.111007 39.00 17.10 GS FINANCE CORP 40057TPW8 08/23/23 02/23/29 100.000 0.000 5.8000 20.62 0.161111 0.165783 0.170591 0.175538 0.180629 60.05 63.59 GS FINANCE CORP 40057XM36 02/05/24 02/08/27 100.000 0.000 4.9200 0.136667 0.136723 0.140086 0.143532 0.147063 45.05 52.05 GS FINANCE CORP 40057WZQ3 11/27/23 11/27/25 100.000 0.000 5.7500 5.43 0.159722 0.164314 0.169038 0.173898 58.64 55.98 GS FINANCE CORP 36263Q181 05/18/22 06/05/29 100.000 0.000 4.5000 74.78 0.133913 0.136926 0.140007 0.143157 0.146378 48.91 51.14 GS FINANCE CORP 40057TQD9 08/31/23 09/12/30 100.000 0.000 5.7700 19.43 0.160586 0.165219 0.169986 0.174890 0.179935 59.67 63.16 GS FINANCE CORP 40057WZN0 11/30/23 06/01/26 100.000 0.000 5.7025 4.91 0.158403 0.162944 0.167590 0.172369 0.177283 58.12 61.48 GS FINANCE CORP 40057TQC1 08/31/23 08/31/29 100.000 0.000 5.6725 19.07 0.157569 0.162014 0.166634 0.171308 0.176221 58.63 62.00 GS FINANCE CORP 40057PUX8 03/31/23 04/02/26 100.000 0.000 5.1300 38.95 0.146197 0.149947 0.153793 0.157738 0.161784 53.98 56.79 GS FINANCE CORP 40057MLM9 07/29/22 07/31/28 100.000 0.000 4.6100 67.01 0.134044 0.137134 0.140295 0.143529 0.146837 49.76 52.08 GS FINANCE CORP 40057TQB3 08/31/23 09/02/26 100.000 0.000 5.7500 19.33 0.159773 0.164367 0.169092 0.173954 0.178955 59.45 62.92 GS FINANCE CORP 40057MLN7 07/15/22 07/15/27 100.000 0.000 4.6700 69.80 0.135851 0.139023 0.142269 0.145591 0.148991 50.54 52.93 GS FINANCE CORP 40057PV74 04/05/23 04/03/26 100.000 0.000 5.0588 37.69 0.144037 0.147680 0.151416 0.155246 0.159172 53.16 55.88 GS FINANCE CORP 36265J193 04/05/23 04/05/28 100.000 0.000 5.0500 37.62 0.143820 0.147451 0.151174 0.154992 0.158905 53.06 55.77 GS FINANCE CORP 40057MLL1 07/29/22 08/09/29 100.000 0.000 4.6900 68.22 0.136637 0.139841 0.143121 0.146477 0.149912 50.69 53.09 GS Fin Corp Medium Term 40057KY31 02/28/22 03/12/29 100.000 0.000 3.2400 61.02 0.094565 0.096097 0.097653 0.099235 0.100843 34.66 35.79 GS Fin Corp Medium Term 36255H2A5 06/22/18 06/23/25 100.000 0.500 4.0576 245.51 0.137159 0.139660 0.142212 49.87 24.46 GS Finance Cor 40057TUH5 09/06/23 09/17/30 100.000 0.000 6.6500 21.28 0.185098 0.191252 0.197611 0.204182 0.210971 69.04 73.71 GS Finance Corp 40057P4H2 12/27/22 12/26/25 100.000 0.000 5.0613 51.85 0.147777 0.151517 0.155351 0.159283 53.91 55.86 GS Finance Corp 40057PEJ7 01/25/23 01/25/28 100.000 0.000 4.9600 46.83 0.141195 0.144696 0.148285 0.151962 0.155731 52.57 55.21 GS Finance Corp 40057P4F6 12/27/22 12/28/27 100.000 0.000 5.3200 54.53 0.155767 0.159910 0.164164 0.168530 0.173013 56.85 59.91 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057PEH1 01/25/23 01/25/29 100.000 0.000 4.9950 47.16 0.142215 0.145767 0.149408 0.153139 0.156964 52.96 55.64 GS Finance Corp 40057TQST 09/06/23 09/03/26 100.000 0.000 5.6142 17.93 0.155950 0.160255 0.164753 0.169378 0.174133 57.96 61.25 GS Finance Corp 40057P4C3 01/03/23 01/03/28 100.000 0.000 5.4600 55.03 0.155807 0.160061 0.164430 0.168919 0.173531 58.39 61.62 GS Finance Corp 40057P4S8 12/28/22 01/11/30 100.000 0.000 5.4300 55.55 0.155232 0.159447 0.163776 0.168222 0.172790 58.09 61.29 GS Finance Corp 40057P4R0 12/28/22 01/09/30 100.000 0.000 5.4300 55.55 0.155186 0.159399 0.163726 0.168172 0.172738 58.09 61.29 GS Finance Corp 40057P4Q2 12/28/22 12/26/25 100.000 0.000 5.0725 51.82 0.148100 0.151856 0.155708 0.159657 54.03 55.99 GS Finance Corp 40057PF23 01/31/23 01/31/28 100.000 0.000 4.8500 45.09 0.137989 0.141335 0.144763 0.148273 0.151869 51.30 53.82 GS Finance Corp 40057PEQ1 01/11/23 01/11/27 100.000 0.000 5.1850 51.04 0.147762 0.151592 0.155522 0.159554 0.163691 55.20 58.10 GS Finance Corp 40057P4P4 12/28/22 12/27/27 100.000 0.000 5.3092 54.27 0.155389 0.159514 0.163749 0.168096 0.172558 56.72 59.77 GS Finance Corp 40057PEN8 01/11/23 01/14/30 100.000 0.000 5.3700 52.90 0.153240 0.157355 0.161580 0.165918 0.170373 57.30 60.42 GS Finance Corp 40057PF98 01/17/23 01/14/28 100.000 0.000 5.1908 50.22 0.147869 0.151707 0.155644 0.159684 0.163828 55.22 58.13 GS Finance Corp 40057TRD8 09/06/23 03/05/26 100.000 0.000 5.6992 18.21 0.158311 0.162797 0.167436 0.172208 0.177115 58.86 62.26 GS Finance Corp 40057PF72 01/27/23 01/29/24 100.000 0.000 5.3200 49.97 0.151754 4.25 GS Finance Corp 40057PEU2 01/23/23 01/28/30 100.000 0.000 4.9000 46.55 0.139541 0.142959 0.146462 0.150050 0.153727 51.91 54.48 GS Finance Corp 40057P4T6 12/28/22 12/30/25 100.000 0.000 5.0600 51.68 0.147799 0.151538 0.155372 0.159303 53.89 56.49 GS Finance Corp 40057P5D0 12/30/22 12/31/26 100.000 0.000 5.2400 53.24 0.153283 0.157299 0.161420 0.165649 0.169989 55.91 58.88 GS Finance Corp 40057PFF4 01/25/23 01/25/28 100.000 0.000 4.9600 46.83 0.141195 0.144696 0.148285 0.151962 0.155731 52.57 55.21 GS Finance Corp 40057PFD9 01/13/23 01/14/27 100.000 0.000 5.1850 50.75 0.147782 0.151614 0.155544 0.159577 0.163714 55.19 58.09 GS Finance Corp 40057PFB3 01/23/23 01/22/27 100.000 0.000 4.7650 45.24 0.135497 0.138725 0.142030 0.145414 0.148879 50.40 52.83 GS Finance Corp 36263Q496 06/21/22 07/05/29 100.000 0.000 5.1100 80.17 0.149587 0.153409 0.157329 0.161348 0.165471 55.90 58.79 GS Finance Corp 40057TRL0 09/06/23 06/04/26 100.000 0.000 5.6567 18.13 0.159303 0.163809 0.168442 0.173206 0.178105 58.41 61.76 GS Finance Corp 40057P5L2 12/28/22 09/25/25 100.000 0.000 5.1100 52.36 0.147369 0.151134 0.154996 0.158956 54.46 41.63 GS Finance Corp 40057P5K4 12/28/22 06/25/26 100.000 0.000 5.1142 52.25 0.149357 0.153176 0.157093 0.161110 0.165230 54.50 57.33 GS Finance Corp 40057PFM9 01/11/23 01/09/25 100.000 0.000 5.1892 51.09 0.147843 0.151679 0.155614 55.25 1.24 GS Finance Corp 40057P5J7 12/30/22 01/04/29 100.000 VARIES 5.5050 55.63 0.158667 0.160222 0.163500 0.168389 0.169667 57.79 59.75 GS Finance Corp 40057PFL1 01/18/23 07/17/24 100.000 0.000 5.1392 49.56 0.146403 0.150165 29.37 GS Finance Corp 40057PFK3 01/18/23 07/17/24 100.000 0.000 5.1392 49.56 0.146403 0.150165 29.37 GS Finance Corp 40057P5H1 12/30/22 01/11/30 100.000 0.000 5.4900 55.85 0.156949 0.161257 0.165684 0.170232 0.174905 58.76 62.03 GS Finance Corp 40057P5G3 12/30/22 01/02/26 100.000 0.000 5.1100 51.91 0.145612 0.149333 0.153148 0.157061 0.161074 54.44 57.26 GS Finance Corp 40057PFH0 01/30/23 01/30/26 100.000 0.000 4.7600 44.24 0.135369 0.138591 0.141889 0.145266 0.148724 50.30 52.72 GS Finance Corp 40057P5U2 12/28/22 12/27/27 100.000 0.000 5.3092 54.27 0.155389 0.159514 0.163749 0.168096 0.172558 56.72 59.77 GS Finance Corp 40057PFU1 01/23/23 01/29/24 100.000 0.000 5.2100 49.53 0.148621 4.16 GS Finance Corp 40057P5P3 12/14/22 12/16/27 100.000 0.000 5.2700 56.02 0.154250 0.158315 0.162486 0.166768 0.171162 56.39 59.40 GS Finance Corp 40057PFY3 01/23/23 01/23/26 100.000 0.000 4.7100 44.71 0.133914 0.137068 0.140296 0.143600 0.146982 49.79 52.16 GS Finance Corp 40057P5X6 12/28/22 12/26/25 100.000 0.000 5.0725 51.82 0.148100 0.151856 0.155708 0.159657 54.03 55.99 GS Finance Corp 40057PG89 01/26/23 01/31/28 100.000 0.000 4.9700 46.79 0.141564 0.145082 0.148688 0.152382 0.156169 52.67 55.32 GS Finance Corp 40057PFW7 02/03/23 02/06/24 100.000 0.000 5.3700 49.53 0.153240 5.36 GS Finance Corp 40057P6E7 12/27/22 12/27/28 100.000 0.000 5.3800 55.15 0.157593 0.161832 0.166185 0.170656 0.175246 57.53 60.67 GS Finance Corp 40057TT46 09/06/23 03/05/29 100.000 0.000 5.5946 17.87 0.155406 0.159729 0.164197 0.168790 0.173511 57.74 61.02 GS Finance Corp 40057P6N7 12/27/22 12/24/27 100.000 0.000 5.3088 54.43 0.155332 0.159455 0.163688 0.168033 0.172493 56.72 59.77 GS Finance Corp 40057P6W7 12/14/22 12/12/25 100.000 0.000 5.0871 54.05 0.148547 0.152326 0.156200 0.160173 54.30 53.98 GS Finance Corp 40057TTC8 09/06/23 10/03/24 100.000 0.000 5.9400 19.04 0.165735 0.170657 45.97 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057P6U1 12/20/22 12/19/24 100.000 0.000 5.2238 54.60 0.152763 0.156753 53.88 GS Finance Corp 40057P6T4 12/20/22 12/20/27 100.000 0.000 5.1200 53.50 0.149597 0.153427 0.157355 0.161383 0.165514 54.63 57.46 GS Finance Corp 40057TTL8 09/05/23 12/05/24 100.000 0.000 5.9262 19.16 0.167056 0.172006 56.69 GS Finance Corp 40057TTM6 09/05/23 10/03/24 100.000 0.000 5.9700 19.30 0.166603 0.171576 46.21 GS Finance Corp 40057P7H9 01/06/23 01/09/24 100.000 0.000 5.4900 54.88 0.156758 1.25 GS Finance Corp 40057P7B2 12/29/22 12/29/27 100.000 0.000 5.3700 54.74 0.157284 0.161508 0.165844 0.170297 0.174869 57.40 60.52 GS Finance Corp 36263Q660 06/15/22 06/13/25 100.000 0.000 4.1319 65.22 0.122009 0.124530 0.127102 44.47 20.59 GS Finance Corp 36263Q678 06/15/22 06/15/26 100.000 0.000 4.4440 70.26 0.131857 0.134787 0.137782 0.140844 0.143973 48.09 50.25 GS Finance Corp 40057TUZ5 09/06/23 09/06/28 100.000 0.000 5.5800 17.83 0.155000 0.159325 0.163770 0.168339 0.173035 57.59 60.85 GS Finance Corp 40057MAL3 06/30/22 07/02/26 100.000 0.000 4.6500 71.53 0.135278 0.138423 0.141641 0.144934 0.148304 50.41 52.78 GS Finance Corp 40057MAK5 06/30/22 07/02/25 100.000 0.000 4.4500 68.38 0.129205 0.132080 0.135019 0.138023 48.07 24.98 GS Finance Corp 40057MAP4 06/30/22 06/30/28 100.000 0.000 4.9300 75.94 0.147323 0.150955 0.154676 0.158488 0.162395 53.70 56.38 GS Finance Corp 40057TX58 09/06/23 09/03/26 100.000 0.000 5.6142 17.93 0.155950 0.160255 0.164753 0.169378 0.174133 57.96 61.25 GS Finance Corp 40057TWR1 09/06/23 09/03/26 100.000 0.000 5.6142 17.93 0.155950 0.160255 0.164753 0.169378 0.174133 57.96 61.25 GS Finance Corp 40057MB81 06/30/22 07/12/29 100.000 0.000 5.0100 77.24 0.146470 0.150140 0.153901 0.157756 0.161708 54.65 57.42 GS Finance Corp 40057T5X3 09/06/23 09/03/27 100.000 0.000 5.5908 17.86 0.155300 0.159569 0.164029 0.168615 0.173328 57.71 60.97 GS Finance Corp 40057MBF5 06/30/22 07/12/29 100.000 0.000 5.0100 77.24 0.146470 0.150140 0.153901 0.157756 0.161708 54.65 57.42 GS Finance Corp 40057TXE9 09/05/23 09/05/28 100.000 0.000 5.6000 18.04 0.155556 0.159911 0.164389 0.168992 0.173723 57.81 61.09 GS Finance Corp 40057XC52 12/15/23 09/17/26 100.000 0.000 5.4688 2.43 0.151911 0.154034 0.158246 0.162573 0.167019 55.73 58.66 GS Finance Corp 40057MC49 06/23/22 06/22/27 100.000 0.000 4.8529 75.74 0.144837 0.148351 0.151951 0.155638 0.159414 52.84 55.43 GS Finance Corp 40057MCN7 06/21/22 06/22/27 100.000 0.000 4.9100 76.94 0.146702 0.150304 0.153994 0.157774 0.161647 53.53 56.19 GS Finance Corp 40057MCV9 06/21/22 06/18/27 100.000 0.000 4.8917 76.66 0.146039 0.149610 0.153270 0.157018 0.160859 53.31 55.95 GS Finance Corp 40057MCR8 06/15/22 06/15/27 100.000 0.000 4.6300 73.27 0.137752 0.140940 0.144203 0.147542 0.150957 50.27 52.62 GS Finance Corp 40057TYU2 09/06/23 06/04/26 100.000 0.000 5.6567 18.13 0.159303 0.163809 0.168442 0.173206 0.178105 58.41 61.76 GS Finance Corp 40057MCZ0 06/21/22 08/08/24 100.000 0.000 4.2600 66.60 0.124114 0.126758 27.41 GS Finance Corp 40057XDM4 12/27/23 12/27/30 100.000 0.000 5.2200 0.58 0.145000 0.148784 0.152668 0.156652 0.160741 52.91 55.71 GS Finance Corp 40057MDN6 06/23/22 06/21/24 100.000 0.000 2.8494 44.02 0.082568 14.04 GS Finance Corp 40057ME54 06/15/22 12/15/25 100.000 0.000 4.3450 68.66 0.128733 0.131530 0.134387 0.137307 46.94 46.75 GS Finance Corp 40057MED7 06/23/22 12/20/24 100.000 0.000 3.5928 55.71 0.105245 0.107135 37.07 GS Finance Corp 40057MEC9 06/23/22 06/20/24 100.000 0.000 2.8494 44.02 0.082562 13.95 GS Finance Corp 40057XEJ0 12/27/23 09/24/26 100.000 0.000 5.1900 0.58 0.144167 0.145975 0.149763 0.153649 0.157636 52.77 55.38 GS Finance Corp 40057XF42 12/05/23 12/04/25 100.000 0.000 5.6571 4.09 0.157142 0.161562 0.166132 0.170831 57.61 56.17 GS Finance Corp 40057XF34 12/20/23 12/20/28 100.000 0.000 5.0383 1.54 0.139953 0.143478 0.147093 0.150798 0.154597 51.10 53.70 GS Finance Corp 40057XF26 12/29/23 12/31/26 100.000 0.000 5.0000 0.28 0.138908 0.142381 0.145940 0.149589 0.153329 50.64 53.20 GS Finance Corp 40057XEV3 12/27/23 06/26/29 100.000 0.000 5.1329 0.57 0.142581 0.146219 0.149972 0.153821 0.157769 52.02 54.72 GS Finance Corp 40057MFD6 06/24/22 06/28/27 100.000 0.000 4.8700 75.86 0.145481 0.149024 0.152652 0.156369 0.160177 53.03 55.65 GS Finance Corp 40057XFN2 12/27/23 12/27/30 100.000 0.000 5.2200 0.58 0.145000 0.148784 0.152668 0.156652 0.160741 52.91 55.71 GS Finance Corp 36264U504 12/21/22 01/04/29 100.000 0.000 5.1850 54.05 0.148038 0.151876 0.155814 0.159853 0.163997 55.36 58.27 GS Finance Corp 40057MFK0 06/21/22 06/20/25 100.000 0.000 4.3458 67.90 0.128743 0.131540 0.134399 46.91 22.71 GS Finance Corp 40057XFH3 12/05/23 12/04/25 100.000 0.000 5.5496 4.01 0.154156 0.158409 0.162805 0.167322 56.50 55.03 GS Finance Corp 40057M5U9 06/21/22 06/23/25 100.000 0.000 4.4700 69.89 0.132712 0.135679 0.138711 48.36 23.86 GS Finance Corp 40057XFW0 12/20/23 12/20/27 100.000 0.000 5.0550 1.54 0.140417 0.143966 0.147604 0.151335 0.155160 51.27 53.89 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057XG58 12/20/23 12/20/28 100.000 0.000 5.0700 1.55 0.140833 0.144403 0.148064 0.151818 0.155666 51.42 54.06 GS Finance Corp 40057WTY3 12/05/23 01/06/25 100.000 0.000 5.7779 4.17 0.160497 0.161296 0.165956 58.88 0.83 GS Finance Corp 40057MGF0 06/23/22 06/22/27 100.000 0.000 4.8529 75.74 0.144837 0.148351 0.151951 0.155638 0.159414 52.84 55.43 GS Finance Corp 40057MGC7 06/27/22 06/29/26 100.000 0.000 4.5800 70.83 0.136199 0.139318 0.142508 0.145771 0.149110 49.61 51.90 GS Finance Corp 40057MGM5 06/27/22 06/25/26 100.000 0.000 4.5617 70.55 0.135550 0.138642 0.141804 0.145038 0.148346 49.39 51.67 GS Finance Corp 40057MGV5 06/30/22 07/01/27 100.000 0.000 4.8500 74.67 0.144782 0.144782 0.151889 0.151889 0.159345 52.75 55.34 GS Finance Corp 40057XH65 12/14/23 12/14/28 100.000 0.000 5.5200 2.61 0.153333 0.157565 0.161914 0.166383 0.170975 56.11 59.25 GS Finance Corp 40057XH40 12/14/23 12/16/27 100.000 0.000 5.4900 2.59 0.152547 0.156734 0.161036 0.165457 0.169998 55.80 58.90 GS Finance Corp 40057XH24 12/14/23 12/16/25 100.000 0.000 5.5900 2.64 0.155326 0.159667 0.164130 0.168717 56.83 57.45 GS Finance Corp 40057M6Z7 06/23/22 06/23/26 100.000 0.000 4.6650 72.73 0.138864 0.142103 0.145418 0.148809 0.152280 50.63 53.02 GS Finance Corp 40057M6Y0 06/23/22 06/23/28 100.000 0.000 4.9550 77.37 0.148124 0.151794 0.155555 0.159409 0.163358 54.04 56.76 GS Finance Corp 40057XGZ2 12/14/23 12/16/26 100.000 0.000 5.4600 2.58 0.151713 0.155854 0.160109 0.164480 0.168971 55.49 58.56 GS Finance Corp 40057M7H6 06/30/22 07/02/26 100.000 0.000 4.6500 71.53 0.135278 0.138423 0.141641 0.144934 0.148304 50.41 52.78 GS Finance Corp 40057WVG9 12/05/23 09/03/26 100.000 0.000 5.5483 4.01 0.154119 0.156210 0.160543 0.164997 0.169574 56.62 59.66 GS Finance Corp 40057M7G8 06/30/22 04/01/25 100.000 0.000 4.0792 62.67 0.119197 0.121628 0.124109 43.79 11.17 GS Finance Corp 40057M7F0 06/30/22 07/12/29 100.000 0.000 5.0100 77.24 0.146470 0.150140 0.153901 0.157756 0.161708 54.65 57.42 GS Finance Corp 40057M7E3 06/30/22 07/01/27 100.000 0.000 4.8500 74.67 0.144782 0.144782 0.151889 0.151889 0.159345 52.75 55.34 GS Finance Corp 40057MHR3 06/30/22 07/02/24 100.000 0.000 2.9667 45.25 0.084885 0.086144 15.59 GS Finance Corp 40057X7L3 12/05/23 12/05/28 100.000 0.000 5.6100 4.05 0.155833 0.160204 0.164698 0.169318 0.174067 57.12 60.37 GS Finance Corp 40057PA51 12/27/22 12/30/24 100.000 0.000 5.1850 53.13 0.151658 0.155590 55.15 GS Finance Corp 40057M7K9 06/30/22 07/12/29 100.000 0.000 5.0100 77.24 0.146470 0.150140 0.153901 0.157756 0.161708 54.65 57.42 GS Finance Corp 40057M7J2 06/30/22 04/01/25 100.000 0.000 4.0792 62.67 0.119197 0.121628 0.124109 43.79 11.17 GS Finance Corp 40057MHZ5 06/29/22 06/27/25 100.000 0.000 4.2583 65.50 0.125974 0.128657 0.131396 45.86 23.13 GS Finance Corp 40057PAA0 12/27/22 12/26/25 100.000 0.000 5.0613 51.85 0.147777 0.151517 0.155351 0.159283 53.91 55.86 GS Finance Corp 40057WWB9 12/05/23 12/07/26 100.000 0.000 5.5000 3.97 0.152824 0.157027 0.161345 0.165782 0.170341 55.98 59.10 GS Finance Corp 40057PAL6 12/28/22 12/30/25 100.000 0.000 5.0600 51.68 0.147799 0.151538 0.155372 0.159303 53.89 56.49 GS Finance Corp 40057WWA1 12/04/23 12/03/26 100.000 0.000 5.4446 4.08 0.151239 0.155333 0.159562 0.163906 0.168368 55.42 58.47 GS Finance Corp 40057PAG7 12/28/22 12/27/24 100.000 0.000 5.2225 53.37 0.152723 0.156711 55.09 GS Finance Corp 40057TNF7 09/06/23 09/03/26 100.000 0.000 5.6142 17.93 0.155950 0.160255 0.164753 0.169378 0.174133 57.96 61.25 GS Finance Corp 40057PB84 01/05/23 01/06/28 100.000 0.000 5.4200 54.32 0.154658 0.158850 0.163154 0.167576 0.172117 57.92 61.10 GS Finance Corp 40057PBF8 12/29/22 12/27/24 100.000 0.000 5.2617 53.62 0.153906 0.157955 55.52 GS Finance Corp 40057TNP5 09/06/23 09/06/28 100.000 0.000 5.5800 17.83 0.155000 0.159325 0.163770 0.168339 0.173035 57.59 60.85 GS Finance Corp 36264U603 01/05/23 01/04/29 100.000 0.000 5.4788 54.91 0.156335 0.160617 0.165017 0.169538 0.174182 58.59 61.84 GS Finance Corp 40057WWV5 12/04/23 12/13/30 100.000 0.000 5.7000 4.28 0.158559 0.163078 0.167726 0.172506 0.177422 58.06 61.42 GS Finance Corp 40057XJ63 12/21/23 12/12/28 100.000 0.000 5.1100 1.42 0.141944 0.145390 0.149105 0.152914 0.156821 51.86 54.51 GS Finance Corp 40057TNK6 09/06/23 12/11/24 100.000 0.000 5.8975 18.89 0.166369 0.171275 57.45 GS Finance Corp 40057PBN1 02/02/23 02/02/28 100.000 0.000 4.9300 45.56 0.140320 0.143779 0.147323 0.150955 0.154676 52.18 54.79 GS Finance Corp 40057MJD2 07/01/22 07/01/27 100.000 0.000 4.8900 75.16 0.146042 0.146042 0.153271 0.153271 0.160858 53.22 55.85 GS Finance Corp 40057PBJ0 01/06/23 07/07/28 100.000 0.000 5.4425 54.39 0.155317 0.159544 0.163886 0.168345 0.172926 58.17 61.37 GS Finance Corp 40057PBH4 01/03/23 12/29/27 100.000 0.500 5.3100 54.61 0.158500 0.162333 0.166278 0.170333 0.174444 57.76 60.59 GS Finance Corp 40057PBQ4 01/04/23 01/03/28 100.000 0.000 5.3983 54.25 0.153978 0.158134 0.162402 0.166786 0.171287 57.68 60.84 GS Finance Corp 40057XJR7 12/20/23 12/22/26 100.000 0.000 5.0400 1.54 0.140039 0.143568 0.147186 0.150895 0.154698 51.11 53.72 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057TP57 09/06/23 09/03/26 100.000 0.000 5.6346 18.00 0.156517 0.160853 0.165384 0.170044 0.174834 58.17 61.49 GS Finance Corp 40057TP40 09/06/23 09/05/25 100.000 0.000 5.7842 18.48 0.160672 0.165293 0.170074 0.174992 59.76 42.38 GS Finance Corp 40057TP32 09/06/23 09/08/26 100.000 0.000 5.6200 17.96 0.156160 0.160548 0.165059 0.169698 0.174466 58.01 61.32 GS Finance Corp 40057PCP5 02/03/23 02/05/26 100.000 0.000 4.7400 43.65 0.134823 0.138018 0.141289 0.144638 0.148065 50.06 52.46 GS Finance Corp 40057TP73 09/06/23 09/08/26 100.000 0.000 5.6000 17.89 0.155604 0.159961 0.164440 0.169044 0.173777 57.80 61.08 GS Finance Corp 40057TPH1 09/06/23 09/03/26 100.000 0.000 5.6142 17.93 0.155950 0.160255 0.164753 0.169378 0.174133 57.96 61.25 GS Finance Corp 40057TPF5 09/06/23 09/15/26 100.000 0.000 5.6000 17.91 0.155773 0.160135 0.164619 0.169228 0.173966 57.80 61.08 GS Finance Corp 40057P3G5 12/28/22 06/26/25 100.000 0.000 5.1475 52.60 0.150399 0.154270 0.158241 54.88 27.69 GS Finance Corp 40057PE81 01/25/23 01/25/27 100.000 0.000 4.8900 46.16 0.139154 0.142557 0.146042 0.149613 0.153271 51.78 54.35 GS Finance Corp 40057P3V2 01/04/23 07/03/25 100.000 0.000 5.2204 52.44 0.148775 0.152658 0.156643 0.160732 55.66 29.25 GS Finance Corp 40057PE73 01/25/23 01/25/28 100.000 0.000 4.9600 46.83 0.141195 0.144696 0.148285 0.151962 0.155731 52.57 55.21 GS Finance Corp 40057P3S9 01/04/23 07/03/25 100.000 0.000 5.2204 52.44 0.148775 0.152658 0.156643 0.160732 55.66 29.25 GS Finance Corp. 40055QCU4 06/29/18 07/11/25 100.000 0.000 4.0800 249.06 0.138886 0.141719 0.144610 0.147560 51.48 28.01 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2999 285.49 0.117178 0.119111 0.121076 0.123074 0.125105 42.77 44.19 GS Finance Corp. 40055A4D6 11/30/17 12/13/27 100.000 0.000 3.3000 220.45 0.111691 0.113534 0.115407 0.117311 0.119247 40.61 41.96 GS Finance Corp. 40055QCS9 06/29/18 03/31/25 100.000 0.000 4.0414 246.55 0.138523 0.141322 0.144177 50.89 12.83 GS Finance Corp. 36254F582 02/05/18 02/05/25 100.000 0.000 3.4781 225.88 0.116791 0.118822 0.120888 43.01 4.11 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 256.70 0.104205 12.50 GS Finance Corp. 40055Q2R2 05/04/18 05/02/24 100.000 1.450 3.8675 234.17 0.124014 15.01 GS Finance Corp. 40055A4B0 11/27/17 05/27/25 100.000 0.000 3.1501 209.86 0.105552 0.107214 0.108903 38.41 15.90 GS Finance Corp. 40057HNH9 06/30/21 06/30/31 100.000 VARIES 2.3198 56.92 0.062102 0.062290 0.062505 0.062718 0.062929 22.39 22.54 GS Finance Corp. 40055A4C8 11/30/17 12/12/24 100.000 0.000 2.9999 198.70 0.099731 0.101227 34.28 GS Finance Corp. 40055QCN0 06/29/18 12/31/25 100.000 0.000 4.1267 252.18 0.143523 0.146485 0.149507 0.152592 52.21 54.23 GS Finance Corp. 40054KYJ9 03/31/17 03/31/25 100.000 0.000 3.2999 247.39 0.113396 0.115267 0.117169 41.50 10.43 GS Finance Corp. 40056XSK3 12/27/19 01/08/27 100.000 0.000 2.7200 114.47 0.083119 0.084250 0.085395 0.086557 0.087734 30.52 31.36 GS Finance Corp. 40054LKV5 07/28/17 07/28/25 100.000 0.000 3.1002 218.56 0.103572 0.105178 0.106808 0.108464 38.07 22.41 GS Finance Corp. 40055AVQ7 04/30/18 01/30/25 100.000 0.000 4.0014 251.94 0.136854 0.139592 0.142385 50.60 4.13 GS Finance Corp. 40055AVR5 04/30/18 10/30/25 100.000 0.000 4.0867 257.85 0.141807 0.144704 0.147661 0.150678 51.93 44.69 GS Finance Corp. 40055AW37 04/27/18 04/29/26 100.000 0.000 4.0867 258.27 0.141839 0.144737 0.147695 0.150713 0.153792 51.95 54.09 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8998 235.78 0.098534 0.099963 0.101412 0.102883 0.104374 36.09 37.15 GS Finance Corp. 36262Y227 02/16/22 03/05/29 100.000 0.000 3.0267 57.98 0.088092 0.089425 0.090778 0.092152 0.093547 32.26 33.25 GS Finance Corp. 40057F7J7 01/29/21 01/29/36 100.000 VARIES 2.3898 67.12 0.060810 0.059999 0.059439 0.059081 0.058916 21.54 21.25 GS Finance Corp. 40055A4K0 11/27/17 11/24/25 100.000 0.000 3.2000 213.49 0.107512 0.109233 0.110980 0.112756 39.14 36.17 GS Finance Corp. 40055Q2X9 05/17/18 05/29/25 100.000 0.000 3.9900 248.77 0.137917 0.140669 0.143475 50.32 21.23 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 256.80 0.104205 12.40 GS Finance Corp. 40056EKM9 12/27/18 09/25/25 100.000 0.000 4.5267 251.62 0.155505 0.159024 0.162623 0.166304 57.30 43.60 GS Finance Corp. 40057KWY5 02/28/22 08/28/29 100.000 0.000 3.2767 61.72 0.095567 0.097133 0.098724 0.100342 0.101985 35.07 36.23 GS Finance Corp. 40056XSF4 12/27/19 06/26/25 100.000 0.000 2.5775 108.19 0.079316 0.080338 0.081373 28.75 14.24 GS Finance Corp. 40056EKN7 12/27/18 06/25/26 100.000 0.000 4.5781 254.63 0.159430 0.163079 0.166812 0.170631 0.174536 58.10 60.79 GS Finance Corp. 40057FYJ7 04/21/21 07/21/28 100.000 0.000 2.0792 57.34 0.060509 0.061138 0.061773 0.062416 0.063064 22.10 22.56 GS Finance Corp. 40055Q2V3 05/25/18 05/28/25 100.000 0.000 4.0600 252.47 0.140727 0.143583 0.146498 51.37 21.54 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3498 301.21 0.119399 0.121399 25.31 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056YET7 03/04/20 09/03/24 100.000 0.000 1.7759 69.98 0.052477 0.052943 12.78 GS Finance Corp. 40056XSQ0 12/27/19 01/09/30 100.000 0.000 2.8800 121.54 0.088506 0.089781 0.091073 0.092385 0.093715 32.53 33.48 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 271.03 0.106321 2.98 GS Finance Corp. 40055Q3C4 05/30/18 02/27/25 100.000 0.000 3.9600 245.00 0.135107 0.137782 0.140510 49.79 7.87 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6001 326.70 0.130686 0.133039 0.135433 0.137871 0.140353 48.19 49.94 GS Finance Corp. 40055AF51 01/31/18 02/11/28 100.000 0.000 3.6599 239.52 0.124247 0.126521 0.128836 0.131194 0.133595 45.78 47.47 GS Finance Corp. 40056XSP2 12/27/19 01/08/27 100.000 0.000 2.7200 114.47 0.083119 0.084250 0.085395 0.086557 0.087734 30.52 31.36 GS Finance Corp. 40055AW45 04/27/18 04/29/24 100.000 0.000 3.8501 241.80 0.131931 15.57 GS Finance Corp. 40055AES2 01/29/18 02/07/25 100.000 0.000 3.4299 223.16 0.114959 0.116931 0.118936 42.31 4.28 GS Finance Corp. 40055Q3M2 05/30/18 06/10/25 100.000 0.000 4.0101 248.35 0.138729 0.141511 0.144348 50.56 22.95 GS Finance Corp. 40055QUP5 09/19/18 09/30/25 100.000 0.000 4.0500 236.02 0.137643 0.140430 0.143273 0.146175 50.57 39.06 GS Finance Corp. 40057FZC1 04/28/21 04/28/31 100.000 VARIES 2.4400 64.17 0.065655 0.065811 0.066020 0.066220 0.066410 23.69 23.83 GS Finance Corp. 40055QUQ3 09/19/18 09/30/25 100.000 0.000 4.0500 236.02 0.137643 0.140430 0.143273 0.146175 50.57 39.06 GS Finance Corp. 40054LLF9 07/28/17 07/30/24 100.000 0.000 2.9497 207.01 0.097689 0.099130 20.68 GS Finance Corp. 40055AWD5 04/30/18 05/09/28 100.000 0.000 4.3200 274.27 0.151963 0.155245 0.158599 0.162024 0.165524 55.64 58.07 GS Finance Corp. 40054LLJ1 07/31/17 08/09/24 100.000 0.000 2.9498 206.83 0.097748 0.099189 21.57 GS Finance Corp. 40055Q3J9 05/30/18 06/08/28 100.000 0.000 4.3000 268.32 0.151079 0.154327 0.157645 0.161034 0.164496 55.12 57.52 GS Finance Corp. 40055Q3K6 05/30/18 06/10/25 100.000 0.000 4.0101 248.35 0.138729 0.141511 0.144348 50.56 22.95 GS Finance Corp. 40055Q3H3 05/30/18 06/10/25 100.000 0.000 4.0101 248.35 0.138729 0.141511 0.144348 50.56 22.95 GS Finance Corp. 40055Q3F7 05/30/18 05/30/28 100.000 0.000 4.3000 268.32 0.150935 0.154180 0.157495 0.160881 0.164340 55.12 57.52 GS Finance Corp. 40055Q3G5 05/30/18 06/10/25 100.000 0.000 4.0101 248.35 0.138729 0.141511 0.144348 50.56 22.95 GS Finance Corp. 40057KGH0 01/12/22 01/12/29 100.000 0.000 2.5499 51.17 0.073576 0.074514 0.075464 0.076426 0.077400 26.98 27.67 GS Finance Corp. 40057KXX6 02/28/22 12/01/25 100.000 0.000 2.7651 51.91 0.080610 0.081724 0.082854 0.084000 29.29 27.55 GS Finance Corp. 40055A5H6 12/26/17 12/26/24 100.000 0.000 3.0002 196.13 0.099641 0.101136 35.64 GS Finance Corp. 40057KXY4 02/28/22 02/28/29 100.000 0.000 3.2400 61.01 0.094445 0.095975 0.097530 0.099110 0.100715 34.66 35.79 GS Finance Corp. 40055QV90 09/28/18 10/09/25 100.000 0.000 4.1100 238.61 0.140095 0.142974 0.145912 0.148910 51.43 41.10 GS Finance Corp. 40055Q3U4 05/30/18 12/11/25 100.000 0.000 4.0583 251.65 0.140784 0.143641 0.146555 0.149529 51.31 50.36 GS Finance Corp. 40055Q3V2 05/30/18 06/12/28 100.000 0.000 4.3000 268.32 0.151150 0.154400 0.157720 0.161111 0.164575 55.12 57.52 GS Finance Corp. 40055Q3S9 05/30/18 06/08/28 100.000 0.000 4.3000 268.32 0.151079 0.154327 0.157645 0.161034 0.164496 55.12 57.52 GS Finance Corp. 40055QDU3 06/29/18 07/11/28 100.000 0.000 4.3600 268.06 0.150479 0.153759 0.157111 0.160536 0.164036 55.89 58.35 GS Finance Corp. 40057KXV0 02/28/22 03/01/29 100.000 0.000 3.2400 61.01 0.094471 0.096002 0.097557 0.099137 0.100743 34.66 35.79 GS Finance Corp. 40055QUW0 09/28/18 10/09/25 100.000 0.000 4.1100 238.61 0.140095 0.142974 0.145912 0.148910 51.43 41.10 GS Finance Corp. 40055A5G8 12/26/17 12/26/24 100.000 0.000 3.0002 196.13 0.099641 0.101136 35.64 GS Finance Corp. 40057J3N4 08/31/21 09/10/31 100.000 0.000 2.2800 54.41 0.066313 0.067069 0.067833 0.068607 0.069389 24.18 24.73 GS Finance Corp. 40057K6Q1 11/29/21 11/30/26 100.000 0.000 2.0600 43.75 0.059619 0.060233 0.060854 0.061481 0.062114 21.61 22.06 GS Finance Corp. 36264H495 04/22/22 05/03/29 100.000 0.000 4.4749 77.81 0.133015 0.135991 0.139034 0.142145 0.145325 48.77 50.98 GS Finance Corp. 40055QV58 09/04/18 09/04/25 100.000 0.000 3.9600 232.26 0.133826 0.136476 0.139178 0.141934 49.28 34.32 GS Finance Corp. 40057J3M6 08/31/21 09/12/28 100.000 0.000 1.9000 45.18 0.054848 0.055369 0.055895 0.056426 0.056962 19.95 20.33 GS Finance Corp. 40055QUU4 09/28/18 10/09/25 100.000 0.000 4.1100 238.61 0.140095 0.142974 0.145912 0.148910 51.43 41.10 GS Finance Corp. 40055Q3R1 05/30/18 11/28/25 100.000 0.000 4.0503 251.11 0.140240 0.143080 0.145978 0.148934 51.19 48.27 GS Finance Corp. 40057KY23 02/28/22 02/26/27 100.000 0.000 2.9749 55.92 0.086366 0.087650 0.088954 0.090277 0.091620 31.65 32.60 GS Finance Corp. 40055Q3P5 05/30/18 06/10/25 100.000 0.000 4.0101 248.35 0.138729 0.141511 0.144348 50.56 22.95 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056XTK2 12/03/19 12/03/24 100.000 0.000 2.4500 104.41 0.075019 0.075938 25.07 GS Finance Corp. 40057J3Y0 08/31/21 03/02/28 100.000 0.000 1.7999 42.76 0.051828 0.052295 0.052765 0.053240 0.053719 18.85 19.19 GS Finance Corp. 40057J3X2 08/31/21 08/31/28 100.000 0.000 1.9000 45.18 0.054811 0.055329 0.055857 0.056382 0.056924 19.95 20.33 GS Finance Corp. 40057JDX1 09/30/21 10/02/29 100.000 0.000 2.0967 48.12 0.060730 0.061366 0.062010 0.062660 0.063317 22.09 22.56 GS Finance Corp. 40055A5L7 12/26/17 01/07/25 100.000 0.000 2.9999 196.12 0.098250 0.099724 0.101220 36.15 0.61 GS Finance Corp. 40055QUZ3 09/28/18 10/09/25 100.000 0.000 4.1100 238.61 0.140095 0.142974 0.145912 0.148910 51.43 41.10 GS Finance Corp. 40056EM21 01/03/19 01/03/24 100.000 0.000 4.2400 233.13 0.142252 0.28 GS Finance Corp. 40054LLU6 08/16/17 08/26/24 100.000 0.000 2.9499 205.28 0.097760 0.099202 23.23 GS Finance Corp. 40057KXZ1 02/28/22 03/09/29 100.000 0.000 3.2400 61.02 0.094539 0.096070 0.097626 0.099208 0.100815 34.66 35.79 GS Finance Corp. 40057KHF3 12/27/21 01/09/29 100.000 0.000 2.2401 45.83 0.064386 0.065107 0.065837 0.066574 0.067320 23.56 24.09 GS Finance Corp. 40055A5W3 12/26/17 12/26/24 100.000 0.000 3.0002 196.13 0.099641 0.101136 35.64 GS Finance Corp. 40055A5T0 12/13/17 12/23/24 100.000 0.000 3.0499 200.98 0.101678 0.103229 36.07 GS Finance Corp. 40055QVC3 09/28/18 10/10/28 100.000 0.000 4.3700 255.31 0.150897 0.154194 0.157563 0.161006 0.164524 55.46 57.91 GS Finance Corp. 40057J4L7 08/25/21 08/28/28 100.000 0.000 1.8700 44.72 0.053924 0.054428 0.054937 0.055450 0.055969 19.63 20.00 GS Finance Corp. 40057LKT7 03/30/22 04/09/29 100.000 0.000 3.8500 69.18 0.113350 0.115532 0.117756 0.120023 0.122333 41.56 43.18 GS Finance Corp. 40057KYQ0 02/24/22 02/27/29 100.000 0.000 3.1601 59.84 0.092030 0.093485 0.094962 0.096462 0.097986 33.76 34.83 GS Finance Corp. 40054KJE7 09/30/16 10/01/26 100.000 0.000 3.0000 241.10 0.102656 0.104196 0.105759 0.107345 0.108955 37.51 38.65 GS Finance Corp. 40057KYP2 02/24/22 02/25/27 100.000 0.000 2.9000 54.82 0.084118 0.085337 0.086575 0.087830 0.089104 30.81 31.71 GS Finance Corp. 40057LL33 03/30/22 03/30/26 100.000 0.000 3.5451 63.57 0.103805 0.105645 0.107517 0.109423 0.111363 38.04 39.40 GS Finance Corp. 40057LL25 03/31/22 04/01/27 100.000 0.000 3.6600 65.68 0.107361 0.109326 0.111326 0.113364 0.115438 39.36 40.81 GS Finance Corp. 40057E5Y9 06/03/20 12/04/24 100.000 0.000 1.7526 64.43 0.051751 0.052204 17.31 GS Finance Corp. 40054LME1 08/30/17 08/28/25 100.000 0.000 3.0491 211.38 0.101542 0.103090 0.104661 0.106257 37.22 25.09 GS Finance Corp. 40056XTW6 12/27/19 12/28/27 100.000 0.000 2.7733 116.81 0.086016 0.087209 0.088418 0.089644 0.090887 31.19 32.06 GS Finance Corp. 40054KJD9 09/30/16 10/02/25 100.000 0.000 2.8001 223.48 0.094509 0.095832 0.097174 0.098534 34.50 26.58 GS Finance Corp. 40057KHK2 12/27/21 12/28/28 100.000 0.000 2.2401 45.82 0.065063 0.065792 0.066528 0.067274 0.068027 23.56 24.09 GS Finance Corp. 40056YFZ2 02/28/20 03/01/28 100.000 0.000 2.3000 91.84 0.069225 0.070021 0.070826 0.071640 0.072464 25.26 25.84 GS Finance Corp. 40055AGK7 02/16/18 02/28/25 100.000 0.000 3.6799 238.96 0.125074 0.127375 0.129719 46.01 7.39 GS Finance Corp. 40057JW85 11/29/21 05/27/27 100.000 0.000 2.1329 45.33 0.061809 0.062469 0.063135 0.063808 0.064489 22.42 22.90 GS Finance Corp. 40054LN34 08/31/17 09/12/24 100.000 0.000 2.8996 200.14 0.095825 0.097214 24.30 GS Finance Corp. 40055A6J1 12/27/17 01/04/28 100.000 0.000 3.2999 217.44 0.109815 0.111627 0.113469 0.115341 0.117244 40.51 41.85 GS Finance Corp. 40057JW93 11/29/21 11/29/28 100.000 0.000 2.4100 51.33 0.070229 0.071075 0.071932 0.072799 0.073676 25.49 26.11 GS Finance Corp. 40057JW77 11/29/21 11/29/28 100.000 0.000 2.4100 51.33 0.070229 0.071075 0.071932 0.072799 0.073676 25.49 26.11 GS Finance Corp. 40055AGL5 02/16/18 02/28/25 100.000 0.000 3.6799 238.96 0.125074 0.127375 0.129719 46.01 7.39 GS Finance Corp. 40057JF68 09/30/21 10/02/28 100.000 0.000 1.9700 45.16 0.056916 0.057476 0.058043 0.058614 0.059192 20.69 21.10 GS Finance Corp. 40055A6K8 12/27/17 01/08/25 100.000 0.000 2.9998 196.01 0.098246 0.099719 0.101215 36.15 0.71 GS Finance Corp. 40057JW69 11/29/21 05/27/27 100.000 0.000 2.1329 45.33 0.061809 0.062469 0.063135 0.063808 0.064489 22.42 22.90 GS Finance Corp. 40054LN59 08/31/17 09/12/24 100.000 0.000 2.8996 200.14 0.095825 0.097214 24.30 GS Finance Corp. 40057JF50 09/30/21 10/02/28 100.000 0.000 1.9700 45.16 0.056916 0.057476 0.058043 0.058614 0.059192 20.69 21.10 GS Finance Corp. 40057LKZ3 03/31/22 03/31/28 100.000 0.000 3.7350 67.06 0.109671 0.111719 0.113805 0.115930 0.118095 40.23 41.74 GS Finance Corp. 40055A6H5 12/27/17 01/08/25 100.000 0.000 2.9998 196.01 0.098246 0.099719 0.101215 36.15 0.71 GS Finance Corp. 40057E6E2 05/29/20 05/29/26 100.000 0.000 2.0800 77.10 0.062117 0.062763 0.063415 0.064075 0.064741 22.52 22.99 GS Finance Corp. 40056YXG4 04/14/20 04/14/27 100.000 0.000 2.3699 91.46 0.071490 0.072338 0.073195 0.074062 0.074940 26.02 26.64 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JF43 09/30/21 10/01/26 100.000 0.000 1.5801 36.10 0.045297 0.045654 0.046015 0.046379 0.046745 16.44 16.70 GS Finance Corp. 40057E6D4 06/03/20 06/03/24 100.000 0.000 1.6451 60.37 0.048394 7.36 GS Finance Corp. 40057LKX8 03/25/22 03/27/25 100.000 0.000 3.2501 58.65 0.094771 0.096311 0.097876 34.69 8.42 GS Finance Corp. 40057JF35 09/30/21 10/02/28 100.000 0.000 1.9700 45.16 0.056916 0.057476 0.058043 0.058614 0.059192 20.69 21.10 GS Finance Corp. 40055A6F9 12/27/17 01/08/25 100.000 0.000 2.9998 196.01 0.098246 0.099719 0.101215 36.15 0.71 GS Finance Corp. 40057JW51 11/29/21 05/29/26 100.000 0.000 1.9350 41.05 0.055859 0.056400 0.056945 0.057496 0.058053 20.24 20.63 GS Finance Corp. 40054KJJ6 09/29/16 10/01/24 100.000 0.000 2.7000 214.84 0.090504 0.091726 24.66 GS Finance Corp. 40057JF27 09/30/21 09/30/27 100.000 0.000 1.7751 40.63 0.051081 0.051535 0.051992 0.052454 0.052919 18.55 18.88 GS Finance Corp. 40056YXF6 04/14/20 10/15/25 100.000 0.000 2.1451 82.48 0.064209 0.064897 0.065593 0.066297 23.34 18.76 GS Finance Corp. 40057J4N3 08/25/21 03/01/27 100.000 0.000 1.5774 37.62 0.045229 0.045585 0.045945 0.046307 0.046673 16.43 16.69 GS Finance Corp. 40054LMZ4 08/31/17 09/03/24 100.000 0.000 2.9002 200.17 0.095777 0.097165 23.43 GS Finance Corp. 40057JWA0 11/29/21 11/29/28 100.000 0.000 2.4100 51.33 0.070229 0.071075 0.071932 0.072799 0.073676 25.49 26.11 GS Finance Corp. 40056Y6P4 01/31/20 01/31/24 100.000 0.000 2.1851 88.92 0.065494 1.90 GS Finance Corp. 40056YGN8 02/28/20 08/28/25 100.000 0.000 2.0300 80.69 0.060518 0.061132 0.061753 0.062380 22.05 14.75 GS Finance Corp. 40056EMU9 01/02/19 01/02/24 100.000 0.000 4.3600 240.53 0.147056 GS Finance Corp. 40054CCB8 02/29/16 02/29/24 100.000 0.000 3.3000 292.49 0.115886 6.84 GS Finance Corp. 40057JEZ5 09/30/21 09/30/27 100.000 0.000 1.7751 40.63 0.051081 0.051535 0.051992 0.052454 0.052919 18.55 18.88 GS Finance Corp. 40054LN67 08/31/17 09/14/27 100.000 0.000 2.9002 200.18 0.095862 0.097252 0.098663 0.100093 0.101545 35.06 36.08 GS Finance Corp. 40057JEY8 09/22/21 03/24/27 100.000 0.000 1.6075 37.10 0.046110 0.046480 0.046854 0.047231 0.047610 16.74 17.01 GS Finance Corp. 40057FJM7 02/24/21 02/24/28 100.000 0.000 1.5700 45.63 0.045351 0.045707 0.046066 0.046427 0.046792 16.48 16.74 GS Finance Corp. 40056FPU3 07/03/19 07/08/24 100.000 0.000 2.7199 129.11 0.084207 0.085352 15.95 GS Finance Corp. 40057JEX0 09/22/21 09/25/28 100.000 0.000 1.9000 43.97 0.054819 0.055340 0.055866 0.056397 0.056932 19.93 20.31 GS Finance Corp. 40057E6W2 05/29/20 06/01/28 100.000 0.000 2.3367 86.96 0.070415 0.071238 0.072070 0.072912 0.073764 25.55 26.15 GS Finance Corp. 40056YGZ1 02/28/20 03/11/30 100.000 0.000 2.4800 99.34 0.075162 0.076094 0.077038 0.077993 0.078960 27.43 28.12 GS Finance Corp. 40056XDT0 09/27/19 10/05/26 100.000 0.000 2.7000 121.10 0.083544 0.084672 0.085815 0.086973 0.088148 30.47 31.30 GS Finance Corp. 40055AGZ4 01/31/18 02/12/25 100.000 0.000 3.4499 224.47 0.115799 0.117796 0.119828 42.61 4.91 GS Finance Corp. 40057LLL3 04/05/22 04/07/27 100.000 0.000 3.4801 61.87 0.101823 0.103595 0.105397 0.107231 0.109097 37.28 38.58 GS Finance Corp. 40056YXV1 04/13/20 04/11/25 100.000 0.000 2.5468 98.65 0.077285 0.078269 0.079265 28.16 7.93 GS Finance Corp. 40056YH56 02/28/20 03/11/27 100.000 0.000 2.2100 88.12 0.066351 0.067084 0.067826 0.068575 0.069333 24.18 24.72 GS Finance Corp. 40056YXW9 04/13/20 04/11/24 100.000 0.000 2.3867 92.21 0.072030 7.20 GS Finance Corp. 40056YH64 02/28/20 08/28/24 100.000 0.000 1.9925 79.15 0.059324 0.059915 14.17 GS Finance Corp. 40057JWC6 11/29/21 12/08/28 100.000 0.000 2.4099 51.33 0.070271 0.071117 0.071974 0.072842 0.073719 25.49 26.11 GS Finance Corp. 40056YGS7 02/28/20 03/11/27 100.000 0.000 2.2100 88.12 0.066351 0.067084 0.067826 0.068575 0.069333 24.18 24.72 GS Finance Corp. 40057JWB8 11/29/21 12/08/28 100.000 0.000 2.4099 51.33 0.070271 0.071117 0.071974 0.072842 0.073719 25.49 26.11 GS Finance Corp. 40055AHE0 02/28/18 02/27/25 100.000 0.000 3.6753 237.12 0.124721 0.127013 0.129347 45.89 7.24 GS Finance Corp. 40054LNL4 08/31/17 09/03/24 100.000 0.000 2.9002 200.17 0.095777 0.097165 23.43 GS Finance Corp. 40057HQK9 07/30/21 08/01/28 100.000 0.000 1.7900 44.06 0.051528 0.051989 0.052454 0.052924 0.053397 18.77 19.11 GS Finance Corp. 40054LNK6 08/31/17 09/03/24 100.000 0.000 2.9002 200.17 0.095777 0.097165 23.43 GS Finance Corp. 40057HQJ2 07/30/21 04/30/27 100.000 0.000 1.5401 37.83 0.044282 0.044623 0.044967 0.045313 0.045662 16.04 16.29 GS Finance Corp. 40055AHF7 02/28/18 02/27/25 100.000 0.000 3.6753 237.12 0.124721 0.127013 0.129347 45.89 7.24 GS Finance Corp. 40056Y7A6 01/27/20 02/05/30 100.000 0.000 2.6900 110.68 0.082096 0.083200 0.084319 0.085454 0.086603 30.08 30.89 GS Finance Corp. 40055QWR9 09/28/18 09/30/26 100.000 0.000 4.1967 244.14 0.143513 0.146524 0.149599 0.152738 0.155943 52.76 55.00 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AHD2 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 40057LLS8 03/29/22 03/27/25 100.000 0.000 3.1595 56.61 0.091975 0.093428 0.094904 33.65 8.16 GS Finance Corp. 40057LLQ2 04/05/22 04/03/24 100.000 0.000 2.1915 38.64 0.062891 5.79 GS Finance Corp. 36259E770 02/05/20 08/05/25 100.000 0.000 2.1693 87.93 0.064987 0.065691 0.066404 0.067124 23.73 14.34 GS Finance Corp. 40057E6Y8 05/29/20 06/01/28 100.000 0.000 2.3367 86.96 0.070415 0.071238 0.072070 0.072912 0.073764 25.55 26.15 GS Finance Corp. 40056XDX1 10/08/19 10/09/29 100.000 0.000 2.9000 129.56 0.090394 0.091705 0.093035 0.094384 0.095752 32.99 33.96 GS Finance Corp. 40057LLP4 04/05/22 04/03/25 100.000 0.000 3.1988 56.77 0.093170 0.094660 0.096174 34.07 8.85 GS Finance Corp. 40055QWN8 09/28/18 09/30/24 100.000 0.000 3.9849 230.64 0.134865 0.137552 36.76 GS Finance Corp. 40057J5G7 09/03/21 09/06/28 100.000 0.000 1.8400 43.57 0.053027 0.053515 0.054007 0.054504 0.055006 19.29 19.65 GS Finance Corp. 40055AHM2 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 40057JG91 09/30/21 10/02/28 100.000 0.000 1.9700 45.16 0.056916 0.057476 0.058043 0.058614 0.059192 20.69 21.10 GS Finance Corp. 40057HR51 07/30/21 08/01/29 100.000 0.000 1.9200 47.32 0.055413 0.055945 0.056482 0.057024 0.057572 20.20 20.59 GS Finance Corp. 40056Y7G3 01/22/20 03/20/25 100.000 0.000 2.3879 98.12 0.072354 0.073218 0.074092 26.38 5.85 GS Finance Corp. 40055AHK6 02/28/18 03/10/28 100.000 0.000 3.9678 258.06 0.136983 0.139701 0.142472 0.145299 0.148181 50.41 52.43 GS Finance Corp. 40057HQP8 07/30/21 08/11/31 100.000 0.000 2.1800 53.87 0.063282 0.063972 0.064669 0.065374 0.066086 23.10 23.61 GS Finance Corp. 40055AHL4 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 40057JG67 09/30/21 03/30/28 100.000 0.000 1.8725 42.89 0.053989 0.054495 0.055005 0.055520 0.056040 19.62 19.99 GS Finance Corp. 40055AYK7 04/26/18 05/07/25 100.000 0.000 3.9700 250.27 0.137060 0.139781 0.142555 50.13 17.96 GS Finance Corp. 40057HQN3 07/30/21 08/11/31 100.000 0.000 2.1800 53.87 0.063282 0.063972 0.064669 0.065374 0.066086 23.10 23.61 GS Finance Corp. 40055AHJ9 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 40057HQM5 07/30/21 04/30/27 100.000 0.000 1.5401 37.83 0.044282 0.044623 0.044967 0.045313 0.045662 16.04 16.29 GS Finance Corp. 40055AHG5 02/28/18 02/27/25 100.000 0.000 3.7053 239.25 0.125942 0.128275 0.130652 46.34 7.32 GS Finance Corp. 40057LLX7 04/14/22 04/21/27 100.000 0.000 3.9900 70.11 0.117690 0.120038 0.122433 0.124875 0.127366 43.12 44.86 GS Finance Corp. 40055AHH3 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 40057HQL7 07/30/21 08/01/28 100.000 0.000 1.7900 44.06 0.051528 0.051989 0.052454 0.052924 0.053397 18.77 19.11 GS Finance Corp. 40055AYW1 05/17/18 05/29/25 100.000 0.000 3.9900 248.77 0.137917 0.140669 0.143475 50.32 21.23 GS Finance Corp. 40056YHR8 02/12/20 02/23/27 100.000 0.000 2.3500 95.06 0.070891 0.071724 0.072567 0.073419 0.074282 25.89 26.50 GS Finance Corp. 40055AYU5 05/17/18 05/29/25 100.000 0.000 3.9900 248.77 0.137917 0.140669 0.143475 50.32 21.23 GS Finance Corp. 40055AZ67 05/09/18 05/08/25 100.000 0.000 3.9777 249.02 0.137203 0.139932 0.142715 50.18 18.12 GS Finance Corp. 40055QGB2 06/29/18 12/31/25 100.000 0.000 4.1267 252.18 0.143523 0.146485 0.149507 0.152592 52.21 54.23 GS Finance Corp. 40057JXA9 11/29/21 05/29/29 100.000 0.000 2.4617 52.45 0.071811 0.072695 0.073590 0.074496 0.075413 26.07 26.71 GS Finance Corp. 40056YZ49 04/13/20 04/13/27 100.000 0.000 2.8100 109.31 0.086062 0.087271 0.088498 0.089741 0.091002 31.39 32.28 GS Finance Corp. 40055AHU4 02/28/18 03/11/25 100.000 0.000 3.6869 237.96 0.125373 0.127685 0.130038 46.06 9.10 GS Finance Corp. 36264H651 05/04/22 05/03/29 100.000 0.000 4.5500 77.52 0.135197 0.138273 0.141419 0.144636 0.147927 49.59 51.87 GS Finance Corp. 40055AYT8 05/17/18 05/29/25 100.000 0.000 3.9900 248.77 0.137917 0.140669 0.143475 50.32 21.23 GS Finance Corp. 40054KL87 10/28/16 10/30/24 100.000 0.000 2.7498 216.50 0.092489 0.093760 27.88 GS Finance Corp. 40055AYR2 04/26/18 10/28/25 100.000 0.000 4.0117 253.18 0.138676 0.141458 0.144296 0.147190 50.78 43.38 GS Finance Corp. 40057HAC4 05/14/21 05/14/31 100.000 VARIES 2.5799 66.84 0.069585 0.069751 0.070000 0.070247 0.070484 25.10 25.27 GS Finance Corp. 40057J6E1 08/31/21 08/31/36 100.000 VARIES 2.5599 57.73 0.065770 0.065627 0.065950 0.066355 0.066756 23.67 23.91 GS Finance Corp. 40057LML2 04/13/22 04/23/29 100.000 0.000 4.0900 72.04 0.120862 0.123333 0.125856 0.128429 0.131056 44.29 46.13 GS Finance Corp. 40056FAB1 05/03/19 05/14/24 100.000 0.000 3.2699 163.25 0.105210 13.99 GS Finance Corp. 40057JGE0 09/30/21 10/12/28 100.000 0.000 1.9700 45.17 0.056948 0.057509 0.058075 0.058647 0.059225 20.69 21.10 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JGC4 09/15/21 09/15/31 100.000 VARIES 2.2298 50.45 0.060339 0.060413 0.060556 0.060703 0.060846 21.76 21.86 GS Finance Corp. 40057HAL4 05/19/21 05/18/28 100.000 0.000 1.9374 51.76 0.056473 0.057020 0.057572 0.058130 0.058693 20.48 20.87 GS Finance Corp. 40056YZE7 04/30/20 10/30/25 100.000 0.000 2.2800 86.77 0.068565 0.069346 0.070137 0.070936 24.92 21.11 GS Finance Corp. 40055AZG5 05/02/18 05/15/28 100.000 0.000 4.2400 268.32 0.148574 0.151724 0.154941 0.158225 0.161580 54.35 56.68 GS Finance Corp. 40056YZD9 05/05/20 05/03/24 100.000 0.000 1.8596 70.02 0.055107 6.72 GS Finance Corp. 40056XEZ5 10/02/19 10/04/24 100.000 0.000 2.4700 109.92 0.075701 0.076636 20.83 GS Finance Corp. 40057LNA5 04/06/22 04/06/27 100.000 0.000 3.5800 63.58 0.104881 0.106759 0.108670 0.110615 0.112595 38.42 39.80 GS Finance Corp. 40056FRX5 07/31/19 07/31/25 100.000 0.000 2.8851 134.97 0.089870 0.091166 0.092481 0.093815 32.98 19.57 GS Finance Corp. 40054KLR5 10/31/16 10/29/26 100.000 0.000 2.9991 237.94 0.102602 0.104141 0.105703 0.107288 0.108896 37.41 38.54 GS Finance Corp. 40056XFJ0 10/31/19 05/01/25 100.000 0.000 2.5800 112.83 0.079412 0.080436 0.081474 28.90 9.78 GS Finance Corp. 40057EZL4 01/29/21 01/31/28 100.000 0.000 1.4700 43.73 0.042358 0.042670 0.042983 0.043299 0.043618 15.40 15.63 GS Finance Corp. 40057HB33 05/28/21 05/31/28 100.000 0.000 1.9100 50.51 0.055645 0.056177 0.056713 0.057255 0.057802 20.16 20.55 GS Finance Corp. 40056XWH5 12/31/19 12/30/24 100.000 2.000 2.4808 100.67 0.070331 0.071204 25.41 GS Finance Corp. 40057EZK6 01/29/21 07/31/28 100.000 0.000 1.5383 45.80 0.044400 0.044741 0.045085 0.045432 0.045782 16.15 16.40 GS Finance Corp. 40057HS27 07/30/21 11/01/27 100.000 0.000 1.6399 40.32 0.047262 0.047649 0.048040 0.048434 0.048831 17.13 17.41 GS Finance Corp. 40055QGX4 07/17/18 07/28/25 100.000 0.000 4.0100 241.89 0.136014 0.138741 0.141523 0.144361 50.30 29.81 GS Finance Corp. 40055AZM2 05/30/18 05/30/25 100.000 0.000 4.0099 248.34 0.138571 0.141349 0.144183 50.56 21.48 GS Finance Corp. 40057EZJ9 01/29/21 01/31/28 100.000 0.000 1.4700 43.73 0.042358 0.042670 0.042983 0.043299 0.043618 15.40 15.63 GS Finance Corp. 40055Q6X5 05/25/18 11/25/26 100.000 0.000 4.2450 265.25 0.148565 0.151718 0.154938 0.158227 0.161585 54.28 56.61 GS Finance Corp. 40055QGV8 07/17/18 07/28/25 100.000 0.000 4.0100 241.89 0.136014 0.138741 0.141523 0.144361 50.30 29.81 GS Finance Corp. 40055QXX5 09/28/18 06/30/25 100.000 0.000 4.0788 236.61 0.140092 0.142949 0.145864 50.95 26.11 GS Finance Corp. 40055AZL4 05/30/18 05/30/25 100.000 0.000 4.0099 248.34 0.138571 0.141349 0.144183 50.56 21.48 GS Finance Corp. 40055AZY6 05/29/18 05/29/26 100.000 0.000 4.1267 256.49 0.143505 0.146466 0.149488 0.152573 0.155721 52.39 54.57 GS Finance Corp. 40057FLX0 03/12/21 03/12/36 100.000 VARIES 2.8689 75.79 0.069761 0.068917 0.068663 0.068813 0.069279 24.84 24.81 GS Finance Corp. 40056XFQ4 10/31/19 11/02/27 100.000 0.000 2.8600 125.72 0.089014 0.090286 0.091578 0.092887 0.094215 32.43 33.36 GS Finance Corp. 40057FLW2 03/11/21 03/11/31 100.000 VARIES 2.5191 68.09 0.064695 0.064900 0.065348 0.065794 0.066228 23.40 23.70 GS Finance Corp. 40055AZX8 05/29/18 05/29/24 100.000 0.000 3.9300 243.02 0.135224 20.01 GS Finance Corp. 40056FAX3 04/11/19 04/11/24 100.000 0.000 3.3601 170.45 0.108434 10.84 GS Finance Corp. 40057CTW1 09/30/20 09/30/26 100.000 0.000 1.5050 49.99 0.043728 0.044057 0.044388 0.044722 0.045059 15.86 16.10 GS Finance Corp. 40057JHJ8 10/05/21 10/03/31 100.000 0.000 2.4583 56.25 0.071697 0.072579 0.073471 0.074374 0.075288 26.13 26.77 GS Finance Corp. 40056EPF9 01/31/19 02/02/27 100.000 0.000 4.1367 223.19 0.138189 0.141048 0.143965 0.146943 0.149982 51.12 53.26 GS Finance Corp. 40057CTV3 09/30/20 09/30/26 100.000 0.000 1.5050 49.99 0.043728 0.044057 0.044388 0.044722 0.045059 15.86 16.10 GS Finance Corp. 40056X5V4 09/30/19 10/09/26 100.000 0.000 2.7800 124.61 0.086298 0.087498 0.088714 0.089947 0.091197 31.48 32.36 GS Finance Corp. 40057JHH2 10/05/21 10/05/28 100.000 0.000 2.0500 46.73 0.059314 0.059922 0.060536 0.061156 0.061783 21.57 22.01 GS Finance Corp. 40056FSC0 07/31/19 08/10/26 100.000 0.000 3.0000 140.68 0.093952 0.095361 0.096791 0.098243 0.099717 34.48 35.52 GS Finance Corp. 40057KL84 01/31/22 01/31/29 100.000 0.000 2.7900 54.64 0.080790 0.081917 0.083060 0.084219 0.085394 29.63 30.46 GS Finance Corp. 40056FSQ9 08/05/19 08/14/24 100.000 0.000 2.7501 127.89 0.085269 0.086441 19.23 GS Finance Corp. 40055AJG3 02/22/18 06/22/26 100.000 0.000 3.8739 252.10 0.134605 0.137212 0.139870 0.142579 0.145341 48.97 50.89 GS Finance Corp. 40057KL68 01/31/22 07/29/27 100.000 0.000 2.5682 50.21 0.074119 0.075070 0.076034 0.077011 0.078000 27.15 27.85 GS Finance Corp. 40056FSN6 07/31/19 07/31/25 100.000 0.000 2.8851 134.97 0.089870 0.091166 0.092481 0.093815 32.98 19.57 GS Finance Corp. 40057KL50 01/31/22 01/31/29 100.000 0.000 2.7900 54.64 0.080790 0.081917 0.083060 0.084219 0.085394 29.63 30.46 GS Finance Corp. 40057KL43 01/31/22 07/30/26 100.000 0.000 2.3787 46.45 0.068462 0.069276 0.070100 0.070934 0.071778 25.04 25.64 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056EPG7 01/31/19 01/31/25 100.000 0.000 3.9350 211.34 0.130256 0.132818 0.135432 48.13 3.93 GS Finance Corp. 40057J7L4 08/17/21 08/16/29 100.000 0.000 2.0292 49.07 0.058687 0.059282 0.059884 0.060491 0.061105 21.40 21.83 GS Finance Corp. 40056X5Z5 10/03/19 10/15/24 100.000 0.000 2.4599 109.38 0.075414 0.076342 21.58 GS Finance Corp. 40056FBU8 05/02/19 05/02/24 100.000 0.000 3.3001 164.96 0.106215 12.85 GS Finance Corp. 40057HST8 07/30/21 08/01/28 100.000 0.000 1.7900 44.06 0.051528 0.051989 0.052454 0.052924 0.053397 18.77 19.11 GS Finance Corp. 40056YJM7 02/21/20 02/21/30 100.000 VARIES 2.5596 96.57 0.068087 0.067872 0.067730 0.067658 0.067657 24.43 24.36 GS Finance Corp. 40056FSS5 08/05/19 02/05/25 100.000 0.000 2.8100 130.83 0.087274 0.088500 0.089744 32.00 3.05 GS Finance Corp. 40057KL92 01/31/22 02/09/29 100.000 0.000 2.7900 54.64 0.080844 0.081972 0.083115 0.084275 0.085451 29.63 30.46 GS Finance Corp. 40056X6P6 09/30/19 10/09/26 100.000 0.000 2.7800 124.61 0.086298 0.087498 0.088714 0.089947 0.091197 31.48 32.36 GS Finance Corp. 40056XXT8 02/05/20 02/14/25 100.000 0.000 2.1100 85.44 0.063113 0.063779 0.064452 23.02 2.77 GS Finance Corp. 40055AJY4 02/27/18 02/26/26 100.000 0.000 3.8056 246.53 0.130052 0.132527 0.135049 0.137618 0.140237 47.89 49.73 GS Finance Corp. 40056XXQ4 02/05/20 02/05/24 100.000 0.000 2.0150 81.46 0.060041 2.04 GS Finance Corp. 40056XXR2 02/05/20 02/05/24 100.000 0.000 2.0150 81.46 0.060041 2.04 GS Finance Corp. 40055AK89 02/27/18 02/27/25 100.000 0.000 3.7200 240.42 0.126556 0.128910 0.131308 46.57 7.35 GS Finance Corp. 40057FN42 03/31/21 03/30/28 100.000 0.000 2.0392 57.45 0.059591 0.060199 0.060813 0.061433 0.062059 21.67 22.12 GS Finance Corp. 40057CDX6 07/31/20 08/02/28 100.000 0.000 1.6767 58.76 0.048973 0.049384 0.049798 0.050216 0.050637 17.83 18.13 GS Finance Corp. 40054KNH5 11/28/16 11/27/26 100.000 0.000 3.4699 276.33 0.122620 0.124747 0.126912 0.129114 0.131354 44.67 46.24 GS Finance Corp. 40057HTE0 07/28/21 02/01/27 100.000 0.000 1.5051 37.03 0.043085 0.043409 0.043736 0.044065 0.044397 15.67 15.90 GS Finance Corp. 40056XXZ4 01/31/20 07/31/25 100.000 0.000 2.2875 93.25 0.068807 0.069594 0.070390 0.071195 25.15 14.86 GS Finance Corp. 40057HTD2 07/28/21 07/31/28 100.000 0.000 1.8200 44.92 0.052426 0.052903 0.053384 0.053870 0.054360 19.10 19.45 GS Finance Corp. 40056YJY1 02/26/20 03/07/30 100.000 0.000 2.4900 99.91 0.075483 0.076423 0.077374 0.078337 0.079313 27.56 28.25 GS Finance Corp. 40056YJX3 02/26/20 03/07/30 100.000 0.000 2.4900 99.91 0.075483 0.076423 0.077374 0.078337 0.079313 27.56 28.25 GS Finance Corp. 40054LQQ0 09/15/17 09/26/24 100.000 0.000 2.8003 191.33 0.091990 0.093278 24.61 GS Finance Corp. 40056FCP8 05/31/19 05/31/24 100.000 0.000 3.1099 152.05 0.099256 14.79 GS Finance Corp. 40056EQN1 01/31/19 10/31/25 100.000 0.000 4.0688 219.27 0.136862 0.139647 0.142488 0.145387 50.11 43.13 GS Finance Corp. 40055QJ52 07/31/18 07/30/26 100.000 0.000 4.1364 248.46 0.141003 0.143920 0.146896 0.149934 0.153035 52.18 54.36 GS Finance Corp. 40057LP96 04/29/22 05/01/29 100.000 0.000 4.4700 76.79 0.132712 0.135679 0.138711 0.141811 0.144981 48.67 50.87 GS Finance Corp. 40055QJ60 07/31/18 07/31/24 100.000 0.000 3.9250 234.52 0.132418 0.135016 28.14 GS Finance Corp. 40056EQL5 01/31/19 07/31/26 100.000 0.000 4.1350 223.08 0.138089 0.140944 0.143858 0.146833 0.149868 51.10 53.23 GS Finance Corp. 40057H2H2 04/21/21 04/21/27 100.000 0.000 1.7850 49.06 0.051837 0.052300 0.052767 0.053238 0.053713 18.81 19.15 GS Finance Corp. 40055AKQ9 02/28/18 03/10/28 100.000 0.000 3.9678 258.06 0.136983 0.139701 0.142472 0.145299 0.148181 50.41 52.43 GS Finance Corp. 40056EA32 10/12/18 10/24/25 100.000 0.000 4.2199 243.63 0.144643 0.147695 0.150811 0.153993 53.03 44.76 GS Finance Corp. 40057HU73 08/04/21 08/03/28 100.000 0.000 1.7533 42.94 0.050430 0.050872 0.051318 0.051768 0.052222 18.37 18.69 GS Finance Corp. 40054LA53 04/28/17 10/31/24 100.000 0.000 3.1210 229.67 0.106047 0.107702 32.01 GS Finance Corp. 40054LQU1 09/28/17 09/30/25 100.000 0.000 3.1000 212.34 0.103582 0.105188 0.106818 0.108474 37.87 29.03 GS Finance Corp. 40054LR97 09/29/17 10/10/24 100.000 0.000 2.9500 201.08 0.097772 0.099215 27.54 GS Finance Corp. 40054KNU6 11/28/16 11/27/24 100.000 0.000 3.2301 255.15 0.112275 0.114088 36.93 GS Finance Corp. 40054LR89 09/29/17 10/10/24 100.000 0.000 2.9500 201.08 0.097772 0.099215 27.54 GS Finance Corp. 40054LRB2 09/29/17 10/12/27 100.000 0.000 3.3500 231.06 0.113722 0.115627 0.117564 0.119533 0.121535 41.59 42.99 GS Finance Corp. 40056FDA0 05/17/19 05/29/26 100.000 0.000 3.4900 173.46 0.113408 0.115387 0.117400 0.119449 0.121533 41.31 42.77 GS Finance Corp. 40057FNY6 03/31/21 04/09/31 100.000 0.000 2.5000 70.81 0.073941 0.074865 0.075801 0.076749 0.077708 26.94 27.62 GS Finance Corp. 40057EKV8 11/30/20 11/30/27 100.000 0.000 1.4899 46.88 0.043272 0.043594 0.043919 0.044246 0.044576 15.66 15.89 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056XZ41 01/31/20 02/11/27 100.000 0.000 2.4300 99.31 0.073510 0.074403 0.075307 0.076222 0.077148 26.88 27.53 GS Finance Corp. 40057EKU0 11/30/20 11/30/27 100.000 0.000 1.4899 46.88 0.043272 0.043594 0.043919 0.044246 0.044576 15.66 15.89 GS Finance Corp. 40057FNX8 03/31/21 04/09/31 100.000 0.000 2.5000 70.81 0.073941 0.074865 0.075801 0.076749 0.077708 26.94 27.62 GS Finance Corp. 40056XYT7 01/31/20 02/02/28 100.000 0.000 2.5000 102.29 0.075764 0.076711 0.077670 0.078641 0.079624 27.73 28.43 GS Finance Corp. 40056XZ25 01/31/20 02/11/30 100.000 0.000 2.6400 108.29 0.080449 0.081511 0.082586 0.083677 0.084781 29.45 30.23 GS Finance Corp. 40057HCZ1 05/28/21 05/28/31 100.000 VARIES 2.4405 62.05 0.065337 0.065523 0.065773 0.066025 0.066268 23.57 23.74 GS Finance Corp. 40054LRA4 09/29/17 10/10/24 100.000 0.000 2.9500 201.08 0.097772 0.099215 27.54 GS Finance Corp. 40057LQ79 04/29/22 05/01/28 100.000 0.000 4.3700 75.03 0.129554 0.132385 0.135277 0.138233 0.141254 47.49 49.59 GS Finance Corp. 40057LQ61 04/29/22 07/30/26 100.000 0.000 4.1237 70.73 0.120565 0.123051 0.125588 0.128177 0.130820 44.61 46.47 GS Finance Corp. 40057H3F5 05/05/21 05/05/28 100.000 0.000 2.0100 54.56 0.058695 0.059285 0.059881 0.060483 0.061091 21.30 21.73 GS Finance Corp. 40056FDH5 05/31/19 06/11/26 100.000 0.000 3.3900 166.71 0.109657 0.111516 0.113406 0.115328 0.117283 39.89 41.25 GS Finance Corp. 40057LPT2 04/29/22 05/01/29 100.000 0.000 4.4700 76.79 0.132712 0.135679 0.138711 0.141811 0.144981 48.67 50.87 GS Finance Corp. 40055ALA3 02/20/18 02/20/25 100.000 0.000 3.7500 243.45 0.127783 0.130179 0.132620 47.07 6.50 GS Finance Corp. 40057LQ20 04/27/22 04/25/25 100.000 0.000 3.7917 65.10 0.111407 0.113520 0.115672 40.77 13.19 GS Finance Corp. 40056XYY6 01/31/20 02/11/27 100.000 0.000 2.4300 99.31 0.073510 0.074403 0.075307 0.076222 0.077148 26.88 27.53 GS Finance Corp. 40057HUS7 08/04/21 08/04/31 100.000 0.000 2.1800 53.61 0.063239 0.063928 0.064625 0.065330 0.066042 23.09 23.60 GS Finance Corp. 40054LS47 09/29/17 10/01/24 100.000 0.000 2.9500 201.08 0.097703 0.099144 26.64 GS Finance Corp. 40054LAQ7 05/30/17 05/30/25 100.000 0.000 3.1002 224.62 0.105178 0.106808 0.108464 38.26 16.16 GS Finance Corp. 40057C5A5 06/30/20 06/29/28 100.000 0.000 1.9400 69.97 0.057654 0.058214 0.058778 0.059349 0.059924 20.86 21.27 GS Finance Corp. 40057LPZ8 04/11/22 04/03/25 100.000 0.000 3.3832 59.52 0.098756 0.100427 0.102126 36.15 9.40 GS Finance Corp. 40054LAP9 05/31/17 05/31/24 100.000 0.000 2.9498 212.73 0.099119 14.77 GS Finance Corp. 40057LQ95 04/29/22 01/30/25 100.000 0.000 3.5568 60.79 0.103267 0.105103 0.106973 38.07 3.10 GS Finance Corp. 40054LS21 09/29/17 10/01/24 100.000 0.000 2.9500 201.08 0.097703 0.099144 26.64 GS Finance Corp. 40056XZC3 01/31/20 02/11/30 100.000 0.000 2.6400 108.29 0.080449 0.081511 0.082586 0.083677 0.084781 29.45 30.23 GS Finance Corp. 40057LQ87 04/29/22 05/10/29 100.000 0.000 4.3900 75.38 0.130325 0.133186 0.136109 0.139097 0.142150 47.73 49.85 GS Finance Corp. 40057EM38 11/30/20 05/30/28 100.000 0.000 1.5518 48.86 0.045150 0.045501 0.045854 0.046209 0.046568 16.34 16.59 GS Finance Corp. 40056F3Y9 03/28/19 03/28/24 100.000 0.000 3.3001 168.57 0.106215 9.24 GS Finance Corp. 40057FP57 03/31/21 09/29/28 100.000 0.000 2.1210 59.82 0.062105 0.062764 0.063430 0.064102 0.064782 22.60 23.08 GS Finance Corp. 40057LQD6 04/29/22 01/30/25 100.000 0.000 3.5568 60.79 0.103267 0.105103 0.106973 38.07 3.10 GS Finance Corp. 40057FP40 03/31/21 09/29/28 100.000 0.000 2.1210 59.82 0.062105 0.062764 0.063430 0.064102 0.064782 22.60 23.08 GS Finance Corp. 40057FP24 03/31/21 04/01/27 100.000 0.000 1.8100 50.86 0.052598 0.053074 0.053554 0.054039 0.054528 19.11 19.45 GS Finance Corp. 40057LQC8 04/29/22 05/10/29 100.000 0.000 4.4700 76.79 0.132860 0.135829 0.138865 0.141969 0.145141 48.67 50.87 GS Finance Corp. 40057FP32 03/31/21 04/01/27 100.000 0.000 1.7900 50.29 0.051989 0.052454 0.052923 0.053397 0.053875 18.88 19.22 GS Finance Corp. 40057LQB0 04/29/22 05/10/29 100.000 0.000 4.4700 76.79 0.132860 0.135829 0.138865 0.141969 0.145141 48.67 50.87 GS Finance Corp. 40057LQA2 04/29/22 07/29/27 100.000 0.000 4.2951 73.74 0.125823 0.128525 0.131285 0.134105 0.136985 46.61 48.64 GS Finance Corp. 40056F3T0 03/28/19 03/30/26 100.000 2.000 3.6081 177.86 0.108025 0.108972 0.109936 0.110917 0.111915 39.24 39.94 GS Finance Corp. 40057HE48 05/28/21 05/28/31 100.000 VARIES 2.4396 60.54 0.062541 0.062757 0.063259 0.063760 0.064247 22.58 22.90 GS Finance Corp. 40057CFU0 07/31/20 08/02/27 100.000 0.000 1.5699 54.93 0.045708 0.046067 0.046428 0.046793 0.047160 16.63 16.89 GS Finance Corp. 40057CFT3 07/31/20 08/02/27 100.000 0.000 1.5699 54.93 0.045708 0.046067 0.046428 0.046793 0.047160 16.63 16.89 GS Finance Corp. 40057LQM6 04/13/22 04/11/25 100.000 0.000 3.4028 59.67 0.099411 0.101102 0.102822 36.37 10.28 GS Finance Corp. 40057CFS5 07/31/20 08/11/27 100.000 0.000 1.5700 54.94 0.045727 0.046086 0.046447 0.046812 0.047180 16.63 16.89 GS Finance Corp. 40057CFR7 07/31/20 08/11/27 100.000 0.000 1.5700 54.94 0.045727 0.046086 0.046447 0.046812 0.047180 16.63 16.89 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057EM61 11/30/20 12/10/30 100.000 0.000 1.8600 58.81 0.054646 0.055154 0.055667 0.056185 0.056707 19.79 20.16 GS Finance Corp. 40057EM46 11/30/20 05/30/28 100.000 0.000 1.5518 48.86 0.045150 0.045501 0.045854 0.046209 0.046568 16.34 16.59 GS Finance Corp. 40057LQH7 04/14/22 04/20/26 100.000 0.000 3.7400 65.62 0.109896 0.111951 0.114044 0.116177 0.118349 40.23 41.75 GS Finance Corp. 40055ALY1 02/28/18 08/28/25 100.000 0.000 3.7368 241.50 0.127244 0.129622 0.132043 0.134511 46.83 31.74 GS Finance Corp. 40057EM53 11/30/20 12/10/30 100.000 0.000 1.8600 58.81 0.054646 0.055154 0.055667 0.056185 0.056707 19.79 20.16 GS Finance Corp. 40056ESL3 02/05/19 02/05/24 100.000 0.000 3.5800 190.16 0.116662 3.97 GS Finance Corp. 40057JKP0 09/30/21 10/12/29 100.000 0.000 2.0967 48.13 0.060766 0.061403 0.062046 0.062697 0.063354 22.09 22.56 GS Finance Corp. 40057C5X5 07/06/20 01/03/25 100.000 0.000 1.2962 46.07 0.037424 0.037667 0.037911 13.60 0.08 GS Finance Corp. 40057LR37 05/04/22 05/05/27 100.000 0.000 4.3200 73.50 0.127961 0.130724 0.133548 0.136433 0.139380 46.88 48.92 GS Finance Corp. 40055QL26 07/31/18 08/11/25 100.000 0.000 4.0600 243.43 0.138053 0.140856 0.143715 0.146633 51.00 32.14 GS Finance Corp. 40057LQQ7 04/13/22 04/23/29 100.000 0.000 4.0900 72.04 0.120862 0.123333 0.125856 0.128429 0.131056 44.29 46.13 GS Finance Corp. 40054LBJ2 05/31/17 06/11/24 100.000 0.000 2.9497 212.73 0.099205 15.87 GS Finance Corp. 40057H4D9 05/03/21 05/01/28 100.000 0.000 1.9900 54.12 0.058076 0.058654 0.059237 0.059827 0.060422 21.08 21.50 GS Finance Corp. 40057LQR5 04/07/22 04/07/37 100.000 VARIES 3.9995 68.21 0.106845 0.105711 0.106271 0.106762 0.107135 38.21 38.42 GS Finance Corp. 40057CG70 07/23/20 07/24/25 100.000 0.000 1.2699 44.50 0.036643 0.036876 0.037110 0.037345 13.31 7.58 GS Finance Corp. 40056FEG6 05/31/19 06/02/25 100.000 0.000 3.2500 159.36 0.104393 0.106089 0.107813 37.99 16.28 GS Finance Corp. 40054LSV7 09/13/17 09/12/24 100.000 0.000 2.8499 195.18 0.093806 0.095142 23.79 GS Finance Corp. 40054LSU9 09/29/17 10/01/24 100.000 0.000 2.9500 201.08 0.097703 0.099144 26.64 GS Finance Corp. 40055AMP9 02/26/18 03/05/25 100.000 0.000 3.7000 239.14 0.125857 0.128185 0.130557 46.27 8.36 GS Finance Corp. 40054KPR1 11/25/16 11/26/24 100.000 0.000 3.2499 257.23 0.113139 0.114978 37.10 GS Finance Corp. 40054LBV5 05/31/17 05/31/24 100.000 0.000 2.9498 212.73 0.099119 14.77 GS Finance Corp. 40056FF59 05/31/19 06/03/27 100.000 0.000 3.4933 172.16 0.113434 0.115415 0.117431 0.119482 0.121569 41.30 42.76 GS Finance Corp. 40055QKY7 07/31/18 08/11/25 100.000 0.000 4.0600 243.43 0.138053 0.140856 0.143715 0.146633 51.00 32.14 GS Finance Corp. 40057LA92 02/28/22 02/29/24 100.000 0.000 1.7601 32.81 0.050197 2.91 GS Finance Corp. 40055QL75 07/31/18 08/11/25 100.000 0.000 4.0600 243.43 0.138053 0.140856 0.143715 0.146633 51.00 32.14 GS Finance Corp. 40057JKT2 09/30/21 09/30/31 100.000 VARIES 2.4405 54.32 0.066272 0.066419 0.066561 0.066702 0.066838 23.91 24.01 GS Finance Corp. 40054LSS4 09/29/17 09/26/24 100.000 1.500 2.9596 193.33 0.090004 0.090719 23.98 GS Finance Corp. 40055QKW1 07/31/18 05/01/25 100.000 0.000 4.0263 241.26 0.137898 0.140674 0.143506 50.48 17.22 GS Finance Corp. 40055AMX2 02/28/18 03/10/28 100.000 0.000 3.9678 258.06 0.136983 0.139701 0.142472 0.145299 0.148181 50.41 52.43 GS Finance Corp. 40057H4Z0 05/28/21 05/31/29 100.000 0.000 2.0800 55.10 0.060853 0.061486 0.062126 0.062772 0.063425 22.06 22.52 GS Finance Corp. 40055AMU8 02/28/18 03/10/28 100.000 0.000 3.9678 258.06 0.136983 0.139701 0.142472 0.145299 0.148181 50.41 52.43 GS Finance Corp. 40055QLC4 07/31/18 01/29/26 100.000 0.000 4.0947 245.70 0.139280 0.142132 0.145042 0.148011 0.151041 51.53 53.66 GS Finance Corp. 40054LTA2 09/29/17 09/30/24 100.000 0.000 2.9501 201.08 0.097695 0.099136 26.54 GS Finance Corp. 40057FQ72 03/10/21 03/10/31 100.000 VARIES 2.5198 69.61 0.067943 0.068050 0.068244 0.068441 0.068635 24.51 24.65 GS Finance Corp. 40055AMV6 02/28/18 03/10/28 100.000 0.000 3.9678 258.06 0.136983 0.139701 0.142472 0.145299 0.148181 50.41 52.43 GS Finance Corp. 40054LSZ8 09/20/17 09/22/25 100.000 0.000 3.0502 209.43 0.101620 0.103169 0.104743 0.106340 37.17 27.63 GS Finance Corp. 36259Y735 04/07/21 04/05/28 100.000 0.000 2.1083 59.02 0.061710 0.062361 0.063018 0.063682 0.064354 22.45 22.92 GS Finance Corp. 40057LAC5 03/02/22 03/01/28 100.000 0.000 3.0754 57.49 0.089423 0.090798 0.092195 0.093612 0.095052 32.77 33.79 GS Finance Corp. 40056FF83 05/31/19 06/02/26 100.000 0.000 3.3900 166.71 0.109566 0.111423 0.113311 0.115232 0.117185 39.89 41.25 GS Finance Corp. 40056FF91 05/31/19 05/31/24 100.000 0.000 3.1099 152.05 0.099256 14.79 GS Finance Corp. 36258L742 12/04/19 06/04/25 100.000 0.000 2.4932 106.25 0.076471 0.077424 0.078389 27.75 11.99 GS Finance Corp. 40055ANA1 02/28/18 03/12/25 100.000 0.000 3.6670 236.55 0.124572 0.126856 0.129182 45.76 9.17 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QLJ9 07/31/18 08/11/25 100.000 0.000 4.0600 243.43 0.138053 0.140856 0.143715 0.146633 51.00 32.14 GS Finance Corp. 40057LAX9 03/23/22 03/26/29 100.000 0.000 3.4800 63.09 0.101829 0.103601 0.105404 0.107238 0.109104 37.32 38.63 GS Finance Corp. 40057LAW1 03/23/22 03/25/27 100.000 0.000 3.3200 60.13 0.096908 0.098517 0.100152 0.101814 0.103505 35.49 36.68 GS Finance Corp. 40057KP72 01/31/22 01/31/30 100.000 0.000 2.8700 56.24 0.083205 0.084399 0.085610 0.086839 0.088085 30.53 31.41 GS Finance Corp. 40056F5L5 04/30/19 04/30/25 100.000 0.000 3.4500 173.22 0.111779 0.113707 0.115668 40.82 13.76 GS Finance Corp. 40054LCJ1 05/18/17 05/20/24 100.000 0.000 3.0299 220.28 0.102352 14.23 GS Finance Corp. 40055ANE3 03/16/18 03/27/25 100.000 0.000 3.8098 244.37 0.130394 0.132878 0.135409 47.86 11.65 GS Finance Corp. 40054KQH2 12/30/16 01/03/25 100.000 0.000 3.3999 266.29 0.117613 0.119612 0.121646 43.42 0.24 GS Finance Corp. 40055ANF0 03/16/18 03/27/25 100.000 0.000 3.8098 244.37 0.130394 0.132878 0.135409 47.86 11.65 GS Finance Corp. 40057LS51 04/27/22 05/07/29 100.000 0.000 4.5200 77.95 0.134430 0.137468 0.140575 0.143752 0.147001 49.27 51.53 GS Finance Corp. 40057H5T3 05/19/21 05/19/31 100.000 VARIES 2.4694 61.82 0.063145 0.063337 0.063860 0.064383 0.064895 22.80 23.13 GS Finance Corp. 40054KQU3 12/30/16 12/31/26 100.000 0.000 3.6499 288.39 0.130611 0.132994 0.135421 0.137892 0.140409 47.45 49.20 GS Finance Corp. 40057HG79 06/30/21 06/29/28 100.000 0.000 1.9816 50.59 0.057824 0.058397 0.058976 0.059560 0.060150 20.92 21.34 GS Finance Corp. 40057HG61 06/30/21 03/30/27 100.000 0.000 1.7249 43.94 0.049803 0.050233 0.050666 0.051103 0.051544 18.08 18.40 GS Finance Corp. 40057LSB8 05/04/22 05/02/25 100.000 0.000 3.8015 64.48 0.111709 0.113832 0.115996 40.85 14.04 GS Finance Corp. 40056YNL4 04/03/20 04/04/24 100.000 0.000 2.6801 104.85 0.081722 7.60 GS Finance Corp. 40057HG53 06/30/21 03/30/27 100.000 0.000 1.7249 43.94 0.049803 0.050233 0.050666 0.051103 0.051544 18.08 18.40 GS Finance Corp. 40056FX75 08/30/19 09/02/25 100.000 0.000 2.4350 110.67 0.074526 0.075433 0.076352 0.077281 27.21 18.57 GS Finance Corp. 40057C7E5 06/30/20 06/30/27 100.000 0.000 1.8299 65.89 0.054178 0.054674 0.055174 0.055679 0.056188 19.59 19.95 GS Finance Corp. 40056FFV2 06/05/19 06/05/24 100.000 0.000 3.0199 146.90 0.096000 14.78 GS Finance Corp. 40056FX91 09/05/19 03/05/25 100.000 0.000 2.3900 108.16 0.073006 0.073879 0.074761 26.64 4.78 GS Finance Corp. 40054KQQ2 12/30/16 07/01/24 100.000 0.000 3.4000 266.29 0.119594 21.53 GS Finance Corp. 40055ANM5 03/16/18 03/27/25 100.000 0.000 3.8098 244.37 0.130394 0.132878 0.135409 47.86 11.65 GS Finance Corp. 40056XKH8 10/28/19 10/22/27 100.000 1.000 2.8087 121.58 0.083933 0.085112 0.085527 0.086728 0.087166 30.54 31.12 GS Finance Corp. 40057HX39 07/30/21 07/31/28 100.000 0.000 1.7900 44.07 0.051528 0.051989 0.052454 0.052923 0.053397 18.77 19.11 GS Finance Corp. 40056YNK6 03/31/20 10/01/25 100.000 0.000 3.2325 127.91 0.100465 0.102088 0.103738 0.105415 36.75 28.31 GS Finance Corp. 40057C7B1 06/30/20 07/12/27 100.000 0.000 1.8300 65.90 0.053722 0.054214 0.054710 0.055211 0.055716 19.60 19.96 GS Finance Corp. 40057HWP1 07/30/21 07/30/36 100.000 VARIES 2.5273 58.85 0.064534 0.064314 0.064604 0.065033 0.065460 23.20 23.46 GS Finance Corp. 40057LSK8 04/26/22 04/24/25 100.000 0.000 3.7917 65.21 0.111407 0.113520 0.115672 40.77 13.07 GS Finance Corp. 40054LUA0 10/13/17 10/25/24 100.000 0.000 2.9399 198.97 0.097387 0.098818 28.89 GS Finance Corp. 40056YNR1 03/27/20 03/27/25 100.000 0.000 3.8599 154.70 0.122571 0.124937 0.127348 45.00 10.95 GS Finance Corp. 40057LSD4 04/22/22 04/26/27 100.000 0.000 4.2500 73.79 0.125803 0.128476 0.131206 0.133994 0.136842 46.12 48.10 GS Finance Corp. 40057HG87 06/30/21 06/29/28 100.000 0.000 1.9816 50.59 0.057824 0.058397 0.058976 0.059560 0.060150 20.92 21.34 GS Finance Corp. 40057LT50 05/03/22 05/03/27 100.000 0.000 4.3101 73.46 0.127633 0.130383 0.133193 0.136063 0.138995 46.77 48.80 GS Finance Corp. 40057LC25 03/31/22 04/11/29 100.000 0.000 3.8100 68.45 0.112127 0.114263 0.116439 0.118658 0.120918 41.10 42.68 GS Finance Corp. 40057LSP7 04/28/22 04/24/24 100.000 0.000 2.4919 42.37 0.071820 8.12 GS Finance Corp. 40054LUG7 10/30/17 10/30/24 100.000 0.000 3.0002 201.71 0.099641 0.101136 30.06 GS Finance Corp. 40054LUF9 10/30/17 10/30/25 100.000 0.000 3.1001 209.03 0.103568 0.105174 0.106804 0.108460 37.77 32.23 GS Finance Corp. 40057LBZ3 03/31/22 04/11/29 100.000 0.000 3.8100 68.45 0.112127 0.114263 0.116439 0.118658 0.120918 41.10 42.68 GS Finance Corp. 40057JN77 10/29/21 10/29/27 100.000 0.000 2.0450 45.20 0.059164 0.059769 0.060380 0.060998 0.061621 21.48 21.93 GS Finance Corp. 40057LBY6 03/31/22 03/31/28 100.000 0.000 3.7350 67.06 0.109671 0.111719 0.113805 0.115930 0.118095 40.23 41.74 GS Finance Corp. 40056FXS9 08/30/19 03/04/25 100.000 0.000 2.3825 108.18 0.072776 0.073643 0.074521 26.56 4.69 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JN69 10/29/21 10/31/28 100.000 0.000 2.2300 49.37 0.064759 0.065481 0.066211 0.066950 0.067696 23.53 24.06 GS Finance Corp. 40057LBX8 03/31/22 01/03/25 100.000 0.000 3.1443 56.24 0.090841 0.092270 0.093720 33.47 0.19 GS Finance Corp. 40057JN51 10/29/21 10/31/28 100.000 0.000 2.2300 49.37 0.064759 0.065481 0.066211 0.066950 0.067696 23.53 24.06 GS Finance Corp. 40057HGN4 06/30/21 07/10/31 100.000 0.000 2.3900 61.27 0.069665 0.070498 0.071340 0.072193 0.073055 25.52 26.13 GS Finance Corp. 40057LSZ5 04/26/22 05/07/29 100.000 0.000 4.5200 78.08 0.134447 0.137485 0.140592 0.143770 0.147019 49.28 51.53 GS Finance Corp. 40057JN44 10/29/21 10/29/27 100.000 0.000 2.0450 45.20 0.059164 0.059769 0.060380 0.060998 0.061621 21.48 21.93 GS Finance Corp. 40057LBV2 03/31/22 04/02/26 100.000 0.000 3.5449 63.57 0.103821 0.105661 0.107534 0.109440 0.111379 38.04 39.40 GS Finance Corp. 36255U232 08/03/18 08/05/25 100.000 0.000 4.0135 239.94 0.136023 0.138753 0.141537 0.144377 50.26 30.80 GS Finance Corp. 40057LSW2 05/04/22 05/02/24 100.000 0.000 2.4980 42.05 0.072012 8.71 GS Finance Corp. 40056E3F3 10/31/18 10/29/26 100.000 0.000 4.2586 243.44 0.146021 0.149130 0.152305 0.155548 0.158860 53.52 55.82 GS Finance Corp. 40057LST9 05/04/22 05/04/27 100.000 0.000 4.3200 73.50 0.127944 0.130708 0.133531 0.136416 0.139362 46.88 48.92 GS Finance Corp. 40056E3G1 10/31/18 10/31/24 100.000 0.000 4.0300 229.12 0.136660 0.139413 41.36 GS Finance Corp. 40056F6X8 05/03/19 05/03/24 100.000 0.000 3.2700 163.25 0.105108 12.82 GS Finance Corp. 40057H6T2 05/28/21 06/10/31 100.000 0.000 2.4200 64.34 0.071446 0.072310 0.073185 0.074071 0.074967 25.91 26.54 GS Finance Corp. 40054L3Y8 04/28/17 04/28/25 100.000 0.000 3.3000 244.22 0.113400 0.115271 0.117173 41.40 13.71 GS Finance Corp. 40057H6S4 05/28/21 06/10/31 100.000 0.000 2.4200 64.34 0.071446 0.072310 0.073185 0.074071 0.074967 25.91 26.54 GS Finance Corp. 40056EUV8 02/28/19 12/01/25 100.000 0.000 3.8350 202.00 0.127638 0.130085 0.132580 0.135122 46.54 44.21 GS Finance Corp. 40054L3S1 04/28/17 04/30/24 100.000 0.000 3.0498 223.92 0.103153 12.28 GS Finance Corp. 40054LV76 10/31/17 11/12/24 100.000 0.000 3.0000 201.70 0.099736 0.101232 31.29 GS Finance Corp. 40057H6R6 05/28/21 05/31/28 100.000 0.000 1.9100 50.51 0.055645 0.056177 0.056713 0.057255 0.057802 20.16 20.55 GS Finance Corp. 40056EV47 02/28/19 03/02/27 100.000 0.000 3.9567 208.94 0.131157 0.133751 0.136397 0.139096 0.141848 48.31 50.24 GS Finance Corp. 40056F6S9 04/30/19 01/29/26 100.000 0.000 3.5433 178.29 0.114265 0.116290 0.118350 0.120447 0.122581 42.12 43.63 GS Finance Corp. 40054LUU6 10/31/17 10/31/24 100.000 0.000 2.9999 201.69 0.099632 0.101127 30.06 GS Finance Corp. 40057H6Q8 05/28/21 05/31/28 100.000 0.000 1.9100 50.51 0.055645 0.056177 0.056713 0.057255 0.057802 20.16 20.55 GS Finance Corp. 40056EV54 02/28/19 02/28/25 100.000 0.000 3.7301 195.99 0.122360 0.124642 0.126967 45.03 7.24 GS Finance Corp. 40054L3U6 04/27/17 04/29/25 100.000 0.000 3.3000 244.33 0.113418 0.115289 0.117191 41.40 13.83 GS Finance Corp. 40057H6P0 05/28/21 12/01/26 100.000 0.000 1.5051 39.63 0.043409 0.043736 0.044065 0.044397 0.044731 15.71 15.94 GS Finance Corp. 40054LV92 10/31/17 11/12/24 100.000 0.000 3.0000 201.70 0.099736 0.101232 31.29 GS Finance Corp. 40057JN93 10/29/21 10/31/28 100.000 0.000 2.2300 49.37 0.064759 0.065481 0.066211 0.066950 0.067696 23.53 24.06 GS Finance Corp. 40054LV84 10/31/17 11/12/24 100.000 0.000 3.0000 201.70 0.099736 0.101232 31.29 GS Finance Corp. 40056F6R1 04/30/19 01/30/24 100.000 0.000 3.2726 163.72 0.104356 3.03 GS Finance Corp. 40057JN85 10/29/21 10/29/26 100.000 0.000 1.8600 41.05 0.053616 0.054114 0.054617 0.055125 0.055638 19.45 19.82 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8998 244.40 0.099985 14.90 GS Finance Corp. 40054LVA9 10/31/17 11/09/27 100.000 0.000 3.3500 227.52 0.113677 0.115581 0.117517 0.119485 0.121486 41.47 42.87 GS Finance Corp. 40057FS62 03/31/21 03/29/29 100.000 0.000 2.1944 61.93 0.064369 0.065075 0.065789 0.066511 0.067241 23.43 23.95 GS Finance Corp. 40055APE1 03/29/18 10/01/25 100.000 0.000 3.9000 249.02 0.134005 0.136618 0.139282 0.141998 49.19 38.10 GS Finance Corp. 40056EEG9 11/30/18 12/02/26 100.000 0.000 4.4667 251.97 0.154781 0.158238 0.161772 0.165385 0.169079 56.55 59.10 GS Finance Corp. 40055APF8 03/29/18 12/31/24 100.000 0.000 3.8275 243.91 0.132239 0.134770 47.93 GS Finance Corp. 40057LCS8 03/31/22 04/02/29 100.000 0.000 3.8100 68.44 0.112020 0.114154 0.116329 0.118545 0.120803 41.09 42.68 GS Finance Corp. 40055QNS7 08/16/18 08/27/25 100.000 0.000 3.9600 234.69 0.133987 0.136640 0.139345 0.142104 49.38 33.38 GS Finance Corp. 40057H7F1 05/28/21 05/31/28 100.000 0.000 1.9100 50.51 0.055645 0.056177 0.056713 0.057255 0.057802 20.16 20.55 GS Finance Corp. 40057LCQ2 03/31/22 04/02/29 100.000 0.000 3.8100 68.44 0.112020 0.114154 0.116329 0.118545 0.120803 41.09 42.68 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057KQM8 01/24/22 01/22/27 100.000 0.000 2.4107 47.50 0.069406 0.070243 0.071090 0.071946 0.072814 25.40 26.02 GS Finance Corp. 40054LEE0 06/30/17 07/02/24 100.000 0.000 2.8998 205.89 0.095754 0.097143 17.58 GS Finance Corp. 40054L4C5 04/25/17 04/25/24 100.000 0.000 3.0999 228.28 0.105168 11.99 GS Finance Corp. 40057L2N0 02/14/22 02/14/29 100.000 0.000 2.9501 56.64 0.085626 0.086889 0.088171 0.089471 0.090791 31.40 32.33 GS Finance Corp. 40055APM3 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40054LVS0 10/31/17 10/31/24 100.000 0.000 2.9999 201.69 0.099632 0.101127 30.06 GS Finance Corp. 40055APN1 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40056XME3 11/29/19 05/30/25 100.000 0.000 2.4675 105.49 0.075611 0.076544 0.077488 27.45 11.55 GS Finance Corp. 40055APL5 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40057JNT9 10/29/21 10/31/29 100.000 0.000 2.3400 51.85 0.068101 0.068898 0.069704 0.070520 0.071345 24.76 25.34 GS Finance Corp. 40054L4L5 04/28/17 01/30/24 100.000 0.000 3.0000 219.95 0.100400 2.91 GS Finance Corp. 40057HHL7 06/30/21 06/28/29 100.000 0.000 2.1192 54.18 0.062045 0.062702 0.063367 0.064038 0.064716 22.46 22.94 GS Finance Corp. 40054LEM2 06/29/17 07/01/25 100.000 0.000 3.0998 221.54 0.105180 0.105180 0.108465 0.108465 38.16 19.52 GS Finance Corp. 40056YPD0 03/31/20 04/01/27 100.000 0.000 3.3000 130.73 0.102802 0.104498 0.106222 0.107975 0.109756 37.62 38.87 GS Finance Corp. 40056EEJ3 11/30/18 12/03/24 100.000 0.000 4.2600 239.15 0.146147 0.149260 49.08 GS Finance Corp. 40057FSG0 03/24/21 03/24/31 100.000 VARIES 2.5493 67.44 0.064410 0.064594 0.065109 0.065627 0.066140 23.29 23.63 GS Finance Corp. 40054KSN7 01/30/17 01/30/25 100.000 0.000 3.3999 262.76 0.117580 0.119579 0.121612 43.30 3.53 GS Finance Corp. 40055APU5 03/29/18 10/10/25 100.000 0.000 3.9000 249.03 0.134135 0.136750 0.139417 0.142136 49.19 39.39 GS Finance Corp. 40055APV3 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40056E4X3 10/31/18 07/31/25 100.000 0.000 4.1350 235.73 0.139518 0.142402 0.145347 0.148352 51.63 30.92 GS Finance Corp. 40056E4W5 10/31/18 04/30/26 100.000 0.000 4.2103 240.41 0.144041 0.147073 0.150169 0.153331 0.156559 52.77 55.02 GS Finance Corp. 40056EET1 11/30/18 06/01/26 100.000 0.000 4.4283 249.58 0.153142 0.156533 0.159999 0.163541 0.167162 55.95 58.45 GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 258.15 0.106312 15.84 GS Finance Corp. 40056EW61 03/05/19 03/04/24 100.000 0.000 3.5562 185.33 0.115754 7.29 GS Finance Corp. 40055APR2 03/29/18 04/10/28 100.000 0.000 4.0900 262.50 0.142126 0.145033 0.147999 0.151025 0.154114 52.16 54.32 GS Finance Corp. 40054KT55 01/31/17 01/31/24 100.000 0.000 3.2500 249.93 0.111322 3.23 GS Finance Corp. 40054KT48 01/31/17 01/29/27 100.000 0.000 3.6999 288.78 0.130417 0.132830 0.135287 0.137790 0.140339 48.12 49.92 GS Finance Corp. 36257D808 07/03/19 01/03/24 100.000 0.000 2.6546 125.84 0.081943 0.16 GS Finance Corp. 40056FYV1 08/30/19 03/04/27 100.000 0.000 2.5733 117.27 0.079199 0.080218 0.081250 0.082296 0.083355 28.93 29.68 GS Finance Corp. 36256M858 02/05/19 02/05/24 100.000 0.000 3.5778 190.04 0.116578 3.96 GS Finance Corp. 40056EES3 11/30/18 09/02/25 100.000 0.000 4.3363 243.96 0.147721 0.150923 0.154196 0.157539 54.53 37.76 GS Finance Corp. 40055APP6 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2989 281.76 0.117112 0.119043 0.121007 0.123003 0.125032 42.63 44.05 GS Finance Corp. 40056FYW9 08/30/19 09/02/25 100.000 0.000 2.4350 110.67 0.074526 0.075433 0.076352 0.077281 27.21 18.57 GS Finance Corp. 40054KTB2 01/27/17 01/29/24 100.000 0.000 3.1998 246.00 0.109273 3.06 GS Finance Corp. 40057KAK9 12/31/21 01/03/29 100.000 0.000 2.2100 45.00 0.063457 0.064158 0.064867 0.065584 0.066309 23.22 23.74 GS Finance Corp. 40054LFC3 06/30/17 07/02/24 100.000 0.000 2.8998 205.89 0.095754 0.097143 17.58 GS Finance Corp. 40057KAJ2 12/31/21 01/03/29 100.000 0.000 2.2100 45.00 0.063457 0.064158 0.064867 0.065584 0.066309 23.22 23.74 GS Finance Corp. 40054KTD8 01/30/17 01/30/24 100.000 0.000 3.2500 249.93 0.111322 3.23 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6002 322.65 0.130651 0.133003 0.135397 0.137835 0.140316 48.05 49.79 GS Finance Corp. 40056XN77 11/29/19 12/01/27 100.000 0.000 2.7267 117.12 0.084420 0.085570 0.086737 0.087920 0.089118 30.67 31.51 GS Finance Corp. 40057HZB9 08/31/21 08/30/29 100.000 0.000 2.0160 47.99 0.058294 0.058878 0.059475 0.060068 0.060680 21.23 21.66 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057KAH6 12/31/21 07/02/26 100.000 0.000 1.8399 37.36 0.052538 0.053021 0.053509 0.054001 0.054498 19.17 19.53 GS Finance Corp. 40057EQ75 12/29/20 12/28/27 100.000 0.000 1.4339 43.88 0.041572 0.041870 0.042170 0.042472 0.042777 15.02 15.24 GS Finance Corp. 40057KRG0 02/03/22 02/05/29 100.000 0.000 2.7600 53.80 0.079897 0.081000 0.082117 0.083251 0.084399 29.29 30.10 GS Finance Corp. 40057L3F6 03/03/22 03/04/27 100.000 0.000 2.8099 52.35 0.081396 0.082540 0.083700 0.084875 0.086068 29.78 30.62 GS Finance Corp. 40056YQ56 03/31/20 03/30/28 100.000 0.000 3.3672 133.54 0.105127 0.106897 0.108697 0.110527 0.112388 38.49 39.80 GS Finance Corp. 40057FSX3 03/24/21 03/24/31 100.000 VARIES 2.5501 68.93 0.067909 0.068046 0.068283 0.068522 0.068759 24.51 24.67 GS Finance Corp. 40057FBU7 02/26/21 02/28/28 100.000 0.000 1.6601 48.20 0.048063 0.048462 0.048864 0.049270 0.049679 17.47 17.76 GS Finance Corp. 40055AQE0 03/29/18 03/31/25 100.000 0.000 3.8700 246.90 0.132745 0.135313 0.137932 48.72 12.28 GS Finance Corp. 40057KAQ6 12/31/21 01/12/29 100.000 0.000 2.2100 45.01 0.063494 0.064196 0.064905 0.065623 0.066348 23.22 23.74 GS Finance Corp. 40057KAP8 12/31/21 01/12/29 100.000 0.000 2.2100 45.01 0.063494 0.064196 0.064905 0.065623 0.066348 23.22 23.74 GS Finance Corp. 40057KAN3 12/31/21 07/01/27 100.000 0.000 2.0000 40.66 0.057814 0.058393 0.058976 0.059566 0.060162 20.92 21.34 GS Finance Corp. 40057LUQ2 05/04/22 05/02/24 100.000 0.000 2.4980 42.05 0.072012 8.71 GS Finance Corp. 40057KAM5 12/31/21 01/03/29 100.000 0.000 2.2100 45.00 0.063457 0.064158 0.064867 0.065584 0.066309 23.22 23.74 GS Finance Corp. 40055AQA8 03/28/18 03/27/25 100.000 0.000 3.8492 245.56 0.131853 0.134390 0.136977 48.41 11.78 GS Finance Corp. 40057LUP4 05/04/22 05/02/25 100.000 0.000 3.8015 64.48 0.111709 0.113832 0.115996 40.85 14.04 GS Finance Corp. 40057KAL7 12/31/21 07/01/27 100.000 0.000 2.0000 40.66 0.057814 0.058393 0.058976 0.059566 0.060162 20.92 21.34 GS Finance Corp. 40055AQB6 03/28/18 03/26/26 100.000 0.000 3.9333 251.50 0.135333 0.137994 0.140708 0.143475 0.146297 49.71 51.68 GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 232.07 0.095795 16.86 GS Finance Corp. 40057HJ50 06/30/21 09/30/27 100.000 0.000 1.8350 46.80 0.053112 0.053599 0.054091 0.054587 0.055088 19.30 19.65 GS Finance Corp. 40055AQP5 03/29/18 04/10/28 100.000 0.000 4.0900 262.50 0.142126 0.145033 0.147999 0.151025 0.154114 52.16 54.32 GS Finance Corp. 40057HJ43 06/30/21 06/29/28 100.000 0.000 1.9816 50.59 0.057824 0.058397 0.058976 0.059560 0.060150 20.92 21.34 GS Finance Corp. 40055AQM2 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40056XNH5 11/29/19 12/10/26 100.000 0.000 2.6400 113.22 0.081509 0.082585 0.083675 0.084779 0.085899 29.58 30.37 GS Finance Corp. 40056XNE2 12/02/19 12/04/24 100.000 0.000 2.4200 103.15 0.074023 0.074919 24.81 GS Finance Corp. 40055AQK6 03/29/18 04/09/25 100.000 0.000 3.8700 246.91 0.132871 0.135442 0.138063 48.72 13.53 GS Finance Corp. 40056FZS7 08/30/19 09/04/24 100.000 0.000 2.3300 105.68 0.071023 0.071851 17.41 GS Finance Corp. 40057L3V1 03/03/22 03/05/30 100.000 0.000 3.1233 58.31 0.090904 0.092323 0.093765 0.095229 0.096716 33.31 34.36 GS Finance Corp. 40055QPC0 08/31/18 09/03/24 100.000 0.000 3.8250 224.12 0.128453 0.130910 31.53 GS Finance Corp. 40057FD43 01/29/21 01/29/36 100.000 VARIES 2.3895 67.04 0.060600 0.059747 0.059152 0.058771 0.058591 21.44 21.14 GS Finance Corp. 40057LEB3 03/31/22 12/31/26 100.000 0.000 3.6314 65.15 0.107432 0.109383 0.111369 0.113391 0.115450 39.03 40.46 GS Finance Corp. 40055QPB2 08/31/18 09/02/26 100.000 0.000 4.0567 239.06 0.137776 0.140570 0.143421 0.146330 0.149298 50.77 52.85 GS Finance Corp. 40057LEA5 03/31/22 10/03/28 100.000 0.000 3.7725 67.75 0.110870 0.112961 0.115092 0.117263 0.119474 40.66 42.21 GS Finance Corp. 40057FU28 04/09/21 04/09/31 100.000 VARIES 2.4795 64.50 0.063282 0.063698 0.064181 0.064655 0.065118 22.93 23.27 GS Finance Corp. 40055AR25 03/14/18 03/25/25 100.000 0.000 3.7899 243.23 0.129572 0.132028 0.134530 47.56 11.30 GS Finance Corp. 40056XNL6 11/29/19 12/10/26 100.000 0.000 2.6400 113.22 0.081509 0.082585 0.083675 0.084779 0.085899 29.58 30.37 GS Finance Corp. 40057FUA0 03/31/21 03/31/28 100.000 VARIES 2.1198 57.86 0.058102 0.058190 0.058310 0.058425 0.058536 20.95 21.03 GS Finance Corp. 40056EGA0 11/30/18 11/30/28 100.000 0.000 4.6200 261.55 0.161259 0.164984 0.168795 0.172694 0.176684 58.96 61.71 GS Finance Corp. 40057F2Y9 01/29/21 02/10/31 100.000 0.000 1.8800 56.22 0.054755 0.055270 0.055790 0.056314 0.056844 19.95 20.33 GS Finance Corp. 36264H107 03/16/22 03/14/25 100.000 0.000 3.0228 55.25 0.087818 0.089145 0.090492 32.14 6.61 GS Finance Corp. 40054LGG3 06/30/17 06/30/25 100.000 0.000 3.0999 221.44 0.105166 0.106796 0.108451 38.16 19.41 GS Finance Corp. 36264H131 03/16/22 03/16/27 100.000 0.000 3.4238 62.75 0.100075 0.101788 0.103531 0.105303 0.107106 36.70 37.97 GS Finance Corp. 36264H123 03/16/22 03/14/25 100.000 0.000 3.0228 55.25 0.087818 0.089145 0.090492 32.14 6.61 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057ER90 12/29/20 01/08/31 100.000 0.000 1.9000 58.49 0.055359 0.055885 0.056416 0.056952 0.057493 20.21 20.59 GS Finance Corp. 40057F2X1 01/29/21 02/10/31 100.000 0.000 1.8800 56.22 0.054755 0.055270 0.055790 0.056314 0.056844 19.95 20.33 GS Finance Corp. 40056XNS1 11/22/19 11/23/29 100.000 0.000 2.9800 129.24 0.093182 0.094570 0.095979 0.097409 0.098860 33.90 34.92 GS Finance Corp. 40055AQZ3 03/14/18 03/25/25 100.000 0.000 3.7899 243.23 0.129572 0.132028 0.134530 47.56 11.30 GS Finance Corp. 36264H149 03/16/22 03/16/27 100.000 0.000 3.4238 62.75 0.100075 0.101788 0.103531 0.105303 0.107106 36.70 37.97 GS Finance Corp. 40054KUL8 01/30/17 07/30/24 100.000 0.000 3.3302 256.78 0.114659 0.116568 24.31 GS Finance Corp. 36260W405 04/20/21 04/20/26 100.000 0.000 0.8823 24.03 0.025053 0.025164 0.025275 0.025386 0.025498 9.05 9.13 GS Finance Corp. 40054LXN9 10/31/17 10/31/24 100.000 0.000 2.9999 201.69 0.099632 0.101127 30.06 GS Finance Corp. 40054LXR0 10/31/17 11/10/27 100.000 0.000 3.3499 227.52 0.113684 0.115588 0.117524 0.119493 0.121494 41.46 42.87 GS Finance Corp. 40057HJK7 06/16/21 06/16/31 100.000 VARIES 2.3104 57.55 0.061724 0.061918 0.062155 0.062390 0.062621 22.26 22.43 GS Finance Corp. 36260W421 05/06/21 05/04/28 100.000 0.000 1.9831 53.75 0.057864 0.058438 0.059017 0.059603 0.060194 21.00 21.42 GS Finance Corp. 40057ERB5 12/29/20 06/28/28 100.000 0.000 1.5125 46.33 0.043956 0.044288 0.044623 0.044961 0.045301 15.89 16.13 GS Finance Corp. 40057KC27 12/31/21 07/05/29 100.000 0.000 2.3116 47.11 0.066486 0.067255 0.068032 0.068818 0.069614 24.35 24.91 GS Finance Corp. 40057HJH4 06/23/21 12/28/26 100.000 0.000 1.6224 41.60 0.046937 0.047317 0.047701 0.048088 0.048478 16.97 17.24 GS Finance Corp. 40057ERA7 12/29/20 06/28/28 100.000 0.000 1.5125 46.33 0.043956 0.044288 0.044623 0.044961 0.045301 15.89 16.13 GS Finance Corp. 40057HJG6 06/23/21 06/26/28 100.000 0.000 1.9299 49.64 0.056256 0.056799 0.057347 0.057900 0.058459 20.36 20.75 GS Finance Corp. 40057JPN0 10/29/21 11/09/28 100.000 0.000 2.2300 49.37 0.064795 0.065517 0.066248 0.066987 0.067733 23.53 24.06 GS Finance Corp. 40057CKY6 09/03/20 09/06/24 100.000 0.000 0.9900 33.41 0.028330 0.028470 6.97 GS Finance Corp. 40057LFA4 03/31/22 04/11/29 100.000 0.000 3.8100 68.45 0.112127 0.114263 0.116439 0.118658 0.120918 41.10 42.68 GS Finance Corp. 36257W178 08/05/19 08/05/24 100.000 0.000 2.7442 127.60 0.085008 0.086175 18.40 GS Finance Corp. 40055ARR0 03/21/18 03/20/25 100.000 0.000 3.7991 242.95 0.129787 0.132252 0.134765 47.67 10.65 GS Finance Corp. 40056FK46 06/17/19 06/26/26 100.000 0.000 3.2600 158.11 0.104826 0.106534 0.108271 0.110036 0.111829 38.06 39.31 GS Finance Corp. 40054LH23 07/31/17 07/31/24 100.000 0.000 2.9499 206.83 0.097683 0.099124 20.68 GS Finance Corp. 40057L4Z1 03/01/22 02/28/25 100.000 0.000 2.5668 47.89 0.074066 0.075016 0.075979 27.07 4.33 GS Finance Corp. 40057JQ82 10/07/21 10/07/27 100.000 0.000 1.8000 40.84 0.051825 0.052291 0.052762 0.053236 0.053716 18.82 19.16 GS Finance Corp. 40057JQ74 10/07/21 10/10/28 100.000 0.000 2.0200 45.92 0.058422 0.059012 0.059608 0.060210 0.060818 21.23 21.67 GS Finance Corp. 40057EAE7 05/29/20 06/01/27 100.000 0.000 2.2400 83.24 0.067277 0.068030 0.068792 0.069563 0.070342 24.40 24.95 GS Finance Corp. 40054LXT6 10/31/17 11/12/24 100.000 0.000 3.0000 201.70 0.099736 0.101232 31.29 GS Finance Corp. 40054KV29 02/27/17 08/26/24 100.000 0.000 3.2501 246.94 0.111316 0.113125 26.48 GS Finance Corp. 40055ARW9 03/29/18 04/10/28 100.000 0.000 4.0900 262.50 0.142126 0.145033 0.147999 0.151025 0.154114 52.16 54.32 GS Finance Corp. 40056YS39 03/31/20 04/01/27 100.000 0.000 3.3000 130.73 0.102802 0.104498 0.106222 0.107975 0.109756 37.62 38.87 GS Finance Corp. 40057KCA9 12/10/21 12/10/26 100.000 0.000 1.9700 41.18 0.056909 0.057469 0.058035 0.058607 0.059184 20.61 21.02 GS Finance Corp. 40055ARV1 03/21/18 03/20/25 100.000 0.000 3.7991 242.95 0.129787 0.132252 0.134765 47.67 10.65 GS Finance Corp. 40057FE42 02/03/21 02/03/28 100.000 0.000 1.4700 43.56 0.042355 0.042666 0.042980 0.043296 0.043614 15.40 15.62 GS Finance Corp. 40055ART6 03/21/18 03/21/24 100.000 0.000 3.6850 234.93 0.125128 10.01 GS Finance Corp. 40054LHJ6 07/28/17 07/30/25 100.000 0.000 3.0997 218.53 0.103570 0.105176 0.106806 0.108461 38.06 22.62 GS Finance Corp. 40057CM81 08/31/20 08/31/26 100.000 0.000 1.3750 46.78 0.039796 0.040068 0.040345 0.040620 0.040902 14.44 14.64 GS Finance Corp. 40057CM73 08/31/20 08/31/26 100.000 0.000 1.3750 46.78 0.039796 0.040068 0.040345 0.040620 0.040902 14.44 14.64 GS Finance Corp. 40054KVB9 02/27/17 02/27/25 100.000 0.000 3.3001 251.15 0.113404 0.115275 0.117178 41.63 6.56 GS Finance Corp. 40054LYD0 11/15/17 11/25/24 100.000 0.000 2.9499 196.58 0.097760 0.099202 31.93 GS Finance Corp. 40056FKE4 07/03/19 07/03/24 100.000 0.000 2.7200 129.10 0.084177 0.085321 15.53 GS Finance Corp. 40056FKB0 06/28/19 06/28/24 100.000 0.000 2.6900 128.02 0.084270 14.92 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KVC7 02/27/17 02/27/24 100.000 0.000 3.1501 238.57 0.107215 6.00 GS Finance Corp. 40056FKC8 06/28/19 06/30/26 100.000 0.000 2.9700 142.15 0.094219 0.095618 0.097038 0.098479 0.099941 34.17 35.20 GS Finance Corp. 40055QR95 08/31/18 03/04/26 100.000 0.000 4.0083 235.93 0.135841 0.138563 0.141340 0.144173 0.147062 50.04 52.06 GS Finance Corp. 40057JR73 10/21/21 10/21/36 100.000 VARIES 2.8389 60.06 0.073176 0.073675 0.074156 0.074609 0.075040 26.50 26.84 GS Finance Corp. 40057LFX4 04/05/22 04/05/27 100.000 0.000 3.4801 61.87 0.101803 0.103574 0.105377 0.107210 0.109076 37.28 38.58 GS Finance Corp. 40057LG96 03/30/22 03/30/27 100.000 0.000 3.6901 66.23 0.108280 0.110278 0.112313 0.114385 0.116496 39.71 41.19 GS Finance Corp. 40055QA69 05/24/18 08/26/25 100.000 0.000 4.1042 255.73 0.141147 0.144043 0.146999 0.150016 52.07 35.09 GS Finance Corp. 40055QR87 08/31/18 06/02/25 100.000 0.000 3.8963 228.73 0.132570 0.135153 0.137786 48.34 20.81 GS Finance Corp. 40055ABF3 12/19/17 06/19/25 100.000 0.000 3.1000 203.95 0.103565 0.105171 0.106801 37.61 17.94 GS Finance Corp. 40057HKH2 07/06/21 07/06/28 100.000 0.000 1.9099 48.39 0.055110 0.055636 0.056167 0.056704 0.057245 20.12 20.51 GS Finance Corp. 40056FKY0 06/28/19 07/09/26 100.000 0.000 2.9701 142.17 0.092912 0.094292 0.095692 0.097113 0.098555 34.17 35.20 GS Finance Corp. 40057FW42 04/30/21 05/12/31 100.000 0.000 2.4800 68.03 0.073327 0.074236 0.075156 0.076088 0.077032 26.65 27.32 GS Finance Corp. 40057L6B2 03/02/22 03/02/27 100.000 0.000 2.9701 55.48 0.086232 0.087512 0.088812 0.090131 0.091469 31.58 32.53 GS Finance Corp. 40054LZ98 11/30/17 12/03/24 100.000 0.000 2.9998 198.70 0.099653 0.101148 33.35 GS Finance Corp. 40057CMG3 08/31/20 09/10/30 100.000 0.000 1.9400 66.54 0.057134 0.057688 0.058248 0.058813 0.059384 20.79 21.20 GS Finance Corp. 40056FL60 06/28/19 12/31/24 100.000 0.000 2.7600 131.54 0.086746 0.087943 31.36 GS Finance Corp. 40054KVS2 02/28/17 02/28/24 100.000 0.000 3.0999 234.28 0.105168 5.99 GS Finance Corp. 40054LZ72 11/30/17 12/03/24 100.000 0.000 2.9998 198.70 0.099653 0.101148 33.35 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 226.58 0.093945 0.095246 0.096565 34.21 11.59 GS Finance Corp. 40056EYS1 03/29/19 03/31/25 100.000 0.000 3.4250 175.31 0.110858 0.112756 0.114687 40.60 10.21 GS Finance Corp. 40057JA89 09/03/21 09/05/31 100.000 0.000 2.2400 53.24 0.065065 0.065794 0.066531 0.067276 0.068029 23.72 24.26 GS Finance Corp. 40054LZ80 11/30/17 12/03/24 100.000 0.000 2.9998 198.70 0.099653 0.101148 33.35 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 240.97 0.099769 0.101230 0.102713 0.104218 0.105744 36.62 37.71 GS Finance Corp. 40057FEZ3 02/26/21 02/28/28 100.000 0.000 1.6601 48.20 0.048063 0.048462 0.048864 0.049270 0.049679 17.47 17.76 GS Finance Corp. 40057L6J5 02/24/22 03/06/29 100.000 0.000 3.1600 59.85 0.092102 0.093557 0.095035 0.096537 0.098062 33.76 34.83 GS Finance Corp. 40054LZC1 11/30/17 12/03/24 100.000 0.000 2.9998 198.70 0.099653 0.101148 33.35 GS Finance Corp. 40056EZB7 03/29/19 12/31/25 100.000 0.000 3.5625 182.90 0.117046 0.119131 0.121253 0.123412 42.52 43.92 GS Finance Corp. 40056EZA9 03/29/19 04/01/27 100.000 0.000 3.6700 188.86 0.120097 0.122301 0.124545 0.126830 0.129158 44.03 45.66 GS Finance Corp. 40057JAE6 08/31/21 09/12/28 100.000 0.000 1.9000 45.18 0.054848 0.055369 0.055895 0.056426 0.056962 19.95 20.33 GS Finance Corp. 40054LZE7 11/30/17 12/03/25 100.000 0.000 3.1001 205.92 0.103595 0.105201 0.106831 0.108487 37.67 35.77 GS Finance Corp. 40057FW83 04/30/21 05/02/28 100.000 0.000 2.0200 55.13 0.059010 0.059606 0.060208 0.060816 0.061430 21.42 21.86 GS Finance Corp. 40055AC70 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40057FF74 02/12/21 02/12/31 100.000 VARIES 1.9200 54.77 0.052560 0.052647 0.052741 0.052825 0.052902 18.96 19.02 GS Finance Corp. 40057FW75 04/30/21 05/02/28 100.000 0.000 2.0200 55.13 0.059010 0.059606 0.060208 0.060816 0.061430 21.42 21.86 GS Finance Corp. 40055AC88 01/31/18 01/30/25 100.000 0.000 3.4101 221.61 0.114084 0.116029 0.118007 42.01 3.42 GS Finance Corp. 40057FF66 02/26/21 02/28/28 100.000 0.000 1.6601 48.20 0.048063 0.048462 0.048864 0.049270 0.049679 17.47 17.76 GS Finance Corp. 40057FW67 04/30/21 10/30/26 100.000 0.000 1.6375 44.50 0.047378 0.047766 0.048157 0.048551 0.048949 17.17 17.46 GS Finance Corp. 40055QAB8 06/04/18 06/13/25 100.000 0.000 3.9400 243.02 0.135774 0.138449 0.141176 49.46 22.87 GS Finance Corp. 40055AC54 01/31/18 01/30/25 100.000 0.000 3.4101 221.61 0.114084 0.116029 0.118007 42.01 3.42 GS Finance Corp. 40057FF58 02/26/21 08/28/28 100.000 0.000 1.7417 50.62 0.050529 0.050969 0.051413 0.051861 0.052313 18.38 18.70 GS Finance Corp. 40057FW59 04/30/21 10/30/26 100.000 0.000 1.6375 44.50 0.047378 0.047766 0.048157 0.048551 0.048949 17.17 17.46 GS Finance Corp. 40057FF41 02/26/21 03/10/31 100.000 0.000 2.1500 62.80 0.063056 0.063734 0.064419 0.065111 0.065811 22.97 23.47 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AC62 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40055QRR5 08/31/18 09/12/25 100.000 0.000 3.9600 232.82 0.134004 0.136657 0.139363 0.142123 49.30 35.48 GS Finance Corp. 40057JRM0 10/27/21 04/29/27 100.000 0.000 1.9850 43.97 0.057367 0.057936 0.058511 0.059092 0.059678 20.83 21.24 GS Finance Corp. 40057JRL2 10/27/21 10/30/28 100.000 0.000 2.2700 50.40 0.065979 0.066727 0.067485 0.068251 0.069025 23.98 24.53 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 215.92 0.088528 0.089701 18.71 GS Finance Corp. 40056FLD5 07/03/19 07/15/24 100.000 0.000 2.7200 129.12 0.084254 0.085400 16.55 GS Finance Corp. 40054LJ39 07/31/17 08/09/24 100.000 0.000 2.9498 206.83 0.097748 0.099189 21.57 GS Finance Corp. 40057E2G1 04/30/20 04/30/27 100.000 0.000 2.4600 93.88 0.074439 0.075355 0.076282 0.077220 0.078170 27.08 27.75 GS Finance Corp. 40056YCH5 01/24/20 01/25/30 100.000 0.000 2.7100 111.78 0.082721 0.083842 0.084978 0.086129 0.087296 30.33 31.16 GS Finance Corp. 40055QRZ7 08/31/18 09/12/25 100.000 0.000 3.9600 232.82 0.134004 0.136657 0.139363 0.142123 49.30 35.48 GS Finance Corp. 40054LZS6 11/30/17 12/12/24 100.000 0.000 2.9999 198.70 0.099731 0.101227 34.28 GS Finance Corp. 40055ACL9 01/31/18 01/30/25 100.000 0.000 3.3896 220.16 0.113276 0.115195 0.117148 41.71 3.40 GS Finance Corp. 40057FWL4 04/30/21 05/02/28 100.000 0.000 2.0200 55.13 0.059010 0.059606 0.060208 0.060816 0.061430 21.42 21.86 GS Finance Corp. 40057JS80 10/20/21 10/20/31 100.000 VARIES 2.6096 56.60 0.070282 0.070280 0.070469 0.070684 0.070893 25.31 25.44 GS Finance Corp. 40055QAV4 06/15/18 06/26/25 100.000 0.000 4.0700 250.33 0.141277 0.144152 0.147086 51.41 25.74 GS Finance Corp. 40055ATK3 04/17/18 04/28/25 100.000 0.000 3.7800 238.26 0.129164 0.131605 0.134093 47.25 15.69 GS Finance Corp. 40054LJ54 07/31/17 08/09/27 100.000 0.000 3.3497 237.74 0.113668 0.115572 0.117507 0.119475 0.121476 41.81 43.22 GS Finance Corp. 40054LZU1 11/30/17 12/12/24 100.000 0.000 2.9999 198.70 0.099731 0.101227 34.28 GS Finance Corp. 40055QB84 06/29/18 07/11/25 100.000 0.000 4.0800 249.06 0.138886 0.141719 0.144610 0.147560 51.48 28.01 GS Finance Corp. 40054LJ47 07/31/17 08/09/24 100.000 0.000 2.9498 206.83 0.097748 0.099189 21.57 GS Finance Corp. 40054LZT4 11/30/17 12/12/24 100.000 0.000 2.9999 198.70 0.099731 0.101227 34.28 GS Finance Corp. 40054KWL6 02/17/17 08/19/24 100.000 0.000 3.2499 248.04 0.111341 0.113150 25.71 GS Finance Corp. 40055ATJ6 04/17/18 04/28/25 100.000 0.000 3.7800 238.26 0.129164 0.131605 0.134093 47.25 15.69 GS Finance Corp. 40055ACE5 01/18/18 01/29/25 100.000 0.000 3.3498 218.70 0.111819 0.113692 0.115596 41.17 3.24 GS Finance Corp. 40055QAR3 06/15/18 06/26/25 100.000 0.000 4.0700 250.33 0.141277 0.144152 0.147086 51.41 25.74 GS Finance Corp. 40055ACF2 01/18/18 01/29/25 100.000 0.000 3.3498 218.70 0.111819 0.113692 0.115596 41.17 3.24 GS Finance Corp. 40055ATH0 04/17/18 04/28/25 100.000 0.000 3.7800 238.26 0.129164 0.131605 0.134093 47.25 15.69 GS Finance Corp. 40055QSC7 08/08/18 02/06/26 100.000 0.000 4.0319 240.46 0.136707 0.139463 0.142274 0.145142 0.148068 50.52 52.58 GS Finance Corp. 40055ATU1 04/02/18 10/03/24 100.000 0.000 3.7376 237.22 0.127286 0.129665 35.05 GS Finance Corp. 40057KVD2 02/04/22 02/04/27 100.000 0.000 2.5400 49.36 0.073278 0.074209 0.075151 0.076106 0.077072 26.82 27.51 GS Finance Corp. 40055QBB7 06/29/18 07/11/25 100.000 0.000 4.0800 249.06 0.138886 0.141719 0.144610 0.147560 51.48 28.01 GS Finance Corp. 40057FX58 04/05/21 10/03/24 100.000 0.000 1.0638 29.49 0.030341 0.030503 8.28 GS Finance Corp. 40057FX41 04/05/21 04/02/26 100.000 0.000 1.5814 44.09 0.045685 0.046046 0.046410 0.046777 0.047147 16.58 16.84 GS Finance Corp. 40055AU47 04/30/18 05/09/25 100.000 0.000 4.0400 254.59 0.139976 0.142803 0.145688 51.20 18.65 GS Finance Corp. 40055AU54 04/30/18 05/09/28 100.000 0.000 4.3200 274.27 0.151963 0.155245 0.158599 0.162024 0.165524 55.64 58.07 GS Finance Corp. 40055QSB9 08/08/18 02/06/26 100.000 0.000 4.0319 240.46 0.136707 0.139463 0.142274 0.145142 0.148068 50.52 52.58 GS Finance Corp. 40056FM85 06/28/19 06/30/25 100.000 0.000 2.8299 135.07 0.089220 0.090482 0.091763 32.35 16.43 GS Finance Corp. 40056EZU5 04/03/19 04/04/24 100.000 0.000 3.3401 170.22 0.107704 10.02 GS Finance Corp. 40055AU39 04/30/18 05/09/25 100.000 0.000 4.0400 254.59 0.139976 0.142803 0.145688 51.20 18.65 GS Finance Corp. 40054LZV9 11/30/17 12/13/27 100.000 0.000 3.3000 220.45 0.111691 0.113534 0.115407 0.117311 0.119247 40.61 41.96 GS Finance Corp. 40057K3Z4 12/03/21 12/05/28 100.000 0.000 2.2800 48.24 0.066279 0.067035 0.067799 0.068572 0.069353 24.04 24.59 GS Finance Corp. 40057E2H9 04/30/20 01/30/26 100.000 0.000 2.3100 87.96 0.069141 0.069939 0.070747 0.071564 0.072391 25.28 25.86 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057L7L9 02/24/22 02/23/24 100.000 0.000 1.6034 30.04 0.045617 2.37 GS Finance Corp. 40057KVK6 02/03/22 02/05/30 100.000 0.000 2.8333 55.26 0.082108 0.083271 0.084450 0.085647 0.086860 30.11 30.97 GS Finance Corp. 40055QBK7 06/08/18 10/08/26 100.000 0.000 4.1144 254.45 0.142021 0.144943 0.147925 0.150968 0.154074 52.14 54.31 GS Finance Corp. 40057L7J4 03/02/22 03/12/29 100.000 0.000 3.1999 59.87 0.093305 0.094798 0.096315 0.097856 0.099422 34.19 35.29 GS Finance Corp. 40057FFY5 02/22/21 02/23/28 100.000 0.000 1.5700 45.72 0.045353 0.045709 0.046068 0.046430 0.046794 16.48 16.74 GS Finance Corp. 40057LHH7 03/28/22 04/06/29 100.000 0.000 3.6600 65.90 0.107438 0.109404 0.111406 0.113445 0.115521 39.37 40.82 GS Finance Corp. 40057FX82 04/30/21 05/02/29 100.000 0.000 2.1733 59.41 0.063729 0.064421 0.065121 0.065829 0.066544 23.15 23.65 GS Finance Corp. 40055AU88 04/30/18 05/09/25 100.000 0.000 4.0400 254.59 0.139976 0.142803 0.145688 51.20 18.65 GS Finance Corp. 40054LJA3 07/31/17 08/09/24 100.000 0.000 2.9498 206.83 0.097748 0.099189 21.57 GS Finance Corp. 40057FWV2 04/30/21 05/12/31 100.000 0.000 2.4800 68.03 0.073327 0.074236 0.075156 0.076088 0.077032 26.65 27.32 GS Finance Corp. 40055ATX5 04/30/18 04/30/25 100.000 0.000 4.0400 254.59 0.139838 0.142662 0.145544 51.20 17.32 GS Finance Corp. 40055ACW5 01/30/18 01/29/26 100.000 0.000 3.4733 226.12 0.116588 0.118613 0.120673 0.122769 0.124901 42.96 44.46 GS Finance Corp. 40055ADF1 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40055QC42 06/29/18 07/01/26 100.000 0.000 4.1733 255.34 0.145526 0.145526 0.151662 0.151662 0.158058 52.94 55.17 GS Finance Corp. 40055QSU7 08/09/18 08/13/25 100.000 0.000 3.9699 236.27 0.134287 0.136953 0.139671 0.142444 49.57 31.51 GS Finance Corp. 40055ADC8 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40055ADD6 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40055AUC9 04/30/18 05/09/28 100.000 0.000 4.3200 274.27 0.151963 0.155245 0.158599 0.162024 0.165524 55.64 58.07 GS Finance Corp. 40054LJJ4 07/31/17 07/31/24 100.000 0.000 2.9499 206.83 0.097683 0.099124 20.68 GS Finance Corp. 40057KVN0 02/04/22 02/04/27 100.000 0.000 2.5000 48.57 0.072081 0.072982 0.073894 0.074818 0.075753 26.38 27.04 GS Finance Corp. 40055AUA3 04/30/18 05/09/25 100.000 0.000 4.0400 254.59 0.139976 0.142803 0.145688 51.20 18.65 GS Finance Corp. 40055AUB1 04/30/18 05/09/25 100.000 0.000 4.0400 254.59 0.139976 0.142803 0.145688 51.20 18.65 GS Finance Corp. 40055AUP0 04/30/18 11/10/25 100.000 0.000 4.0867 257.86 0.141969 0.144870 0.147830 0.150851 51.93 46.22 GS Finance Corp. 40054KGP5 08/31/16 08/31/26 100.000 0.000 2.8001 226.38 0.093457 0.093735 0.096623 0.096379 0.099348 34.65 35.56 GS Finance Corp. 40054KH41 08/30/16 08/29/24 100.000 0.000 2.5993 208.64 0.084623 0.086665 20.77 GS Finance Corp. 40056EJQ2 12/28/18 12/27/24 100.000 0.000 4.4909 249.12 0.155744 0.159242 56.07 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 233.28 0.096535 0.097910 0.099306 0.100721 0.102156 35.40 36.42 GS Finance Corp. 40054LJP0 07/31/17 07/31/24 100.000 0.000 2.9499 206.83 0.097683 0.099124 20.68 GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 213.07 0.089089 0.090269 0.091465 32.36 13.63 GS Finance Corp. 40056FN27 06/28/19 12/31/26 100.000 0.000 3.0233 144.86 0.096139 0.097593 0.099068 0.100565 0.102086 34.87 35.94 GS Finance Corp. 40055ADK0 01/31/18 02/11/25 100.000 0.000 3.4199 222.33 0.114592 0.116552 0.118545 42.16 4.74 GS Finance Corp. 40055ADG9 01/31/18 02/11/28 100.000 0.000 3.6599 239.52 0.124247 0.126521 0.128836 0.131194 0.133595 45.78 47.47 GS Finance Corp. 40057JST4 11/03/21 11/02/28 100.000 0.000 2.2046 48.54 0.063980 0.064685 0.065398 0.066119 0.066848 23.24 23.76 GS Finance Corp. 40057FGF5 02/11/21 02/11/24 100.000 0.000 0.6198 18.04 0.017486 0.70 GS Finance Corp. 36260W587 05/19/21 06/03/26 100.000 0.000 1.4218 37.77 0.040940 0.041231 0.041524 0.041820 0.042117 14.81 15.02 GS Finance Corp. 40055QBU5 06/29/18 07/01/24 100.000 0.000 3.9250 238.62 0.135043 0.135043 24.31 GS Finance Corp. 36261Y566 01/20/22 02/05/29 100.000 0.000 2.6418 52.45 0.076415 0.077425 0.078447 0.079484 0.080533 27.99 28.73 GS Finance Corp. 40056YE34 02/06/20 02/19/30 100.000 0.000 2.5700 104.82 0.078136 0.079140 0.080157 0.081187 0.082231 28.58 29.32 GS Finance Corp. 40057KFD0 12/07/21 12/06/29 100.000 0.000 2.4094 50.75 0.070208 0.071054 0.071910 0.072776 0.073653 25.47 26.09 GS Finance Corp. 40054KXY7 03/30/17 04/01/24 100.000 0.000 3.1002 230.93 0.105188 9.47 GS Finance Corp. 40055AUQ8 04/30/18 11/10/25 100.000 0.000 4.0867 257.86 0.141969 0.144870 0.147830 0.150851 51.93 46.22 GS Finance Corp. 40054KXX9 03/30/17 04/01/25 100.000 0.000 3.3001 247.41 0.113415 0.115286 0.117189 41.51 10.55 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057J2H8 08/31/21 08/31/28 100.000 0.000 1.9000 45.18 0.054811 0.055329 0.055857 0.056382 0.056924 19.95 20.33 GS Finance Corp. 40056XRY4 01/03/20 10/03/24 100.000 0.000 2.4313 101.38 0.073944 0.074843 20.27 GS Finance Corp. 40056EKC1 12/27/18 12/27/28 100.000 0.000 4.7400 264.61 0.166419 0.170364 0.174401 0.178534 0.182766 60.65 63.56 GS Finance Corp. 40057J2G0 08/31/21 08/31/28 100.000 0.000 1.9000 45.18 0.054811 0.055329 0.055857 0.056382 0.056924 19.95 20.33 GS Finance Corp. 40056XRZ1 01/03/20 01/05/24 100.000 0.000 2.3449 97.60 0.070683 0.28 GS Finance Corp. 40054KYF7 03/31/17 04/02/24 100.000 0.000 3.1000 230.92 0.105189 9.57 GS Finance Corp. 40057J2F2 08/31/21 08/31/28 100.000 0.000 1.9000 45.18 0.054811 0.055329 0.055857 0.056382 0.056924 19.95 20.33 GS Finance Corp. 40055QCJ9 06/29/18 07/11/28 100.000 0.000 4.3600 268.06 0.150479 0.153759 0.157111 0.160536 0.164036 55.89 58.35 GS Finance Corp. 40057J2E5 08/31/21 08/31/27 100.000 0.000 1.7001 40.35 0.048850 0.049263 0.049684 0.050102 0.050532 17.76 18.06 GS Finance Corp. 40056XAT3 09/30/19 09/30/27 100.000 0.000 2.8633 128.55 0.089115 0.090390 0.091685 0.092997 0.094328 32.54 33.48 GS Finance Corp. 40057J2D7 08/31/21 08/31/27 100.000 0.000 1.7001 40.35 0.048850 0.049263 0.049684 0.050102 0.050532 17.76 18.06 GS Finance Corp. 40056XAS5 09/30/19 03/28/25 100.000 0.000 2.5900 115.68 0.079734 0.080767 0.081813 29.08 7.12 GS Finance Corp. 40057FXZ2 04/09/21 04/09/31 100.000 VARIES 2.4796 66.15 0.066544 0.066719 0.066932 0.067141 0.067344 24.02 24.17 GS Finance Corp. 40057J2C9 08/31/21 08/31/26 100.000 0.000 1.5000 35.53 0.042929 0.043250 0.043576 0.043899 0.044232 15.59 15.83 GS Finance Corp. 40055QTG7 09/04/18 09/08/25 100.000 0.000 3.9400 230.98 0.133078 0.135700 0.138373 0.141099 48.98 34.67 GS Finance Group 40057XME2 12/28/23 12/26/25 100.000 0.000 5.2296 0.44 0.145267 0.149023 0.152920 0.156918 53.01 55.01 GS Finance Group 40057XNC5 12/29/23 01/02/26 100.000 0.000 5.1900 0.29 0.144167 0.144229 0.147972 0.151812 0.155751 52.59 55.35 GS Finance Group 40057XC78 12/15/23 12/13/30 100.000 0.000 5.5658 2.47 0.154606 0.158860 0.163281 0.167825 0.172496 56.58 59.76 GS Finance Group 40057XC86 12/27/23 12/24/26 100.000 0.000 5.1900 0.58 0.144167 0.147845 0.151682 0.155618 0.159656 52.61 55.37 GS Finance Group 40057XC60 12/27/23 07/01/26 100.000 0.000 5.1900 0.58 0.144250 0.147993 0.151834 0.155774 0.159816 52.60 55.37 GS Finance Group 40057XBT1 12/05/23 12/05/28 100.000 0.000 5.6100 4.05 0.155833 0.160204 0.164698 0.169318 0.174067 57.12 60.37 GS Finance Group 40057XBZ7 12/08/23 06/16/25 100.000 0.000 5.6225 3.60 0.156376 0.160772 0.165292 57.22 27.27 GS Finance Group 40057XCH6 12/26/23 12/24/26 100.000 0.000 5.1900 0.72 0.144167 0.147866 0.151703 0.155640 0.159679 52.62 55.38 GS Finance Group 40057XCF0 12/26/23 12/29/26 100.000 0.000 5.0700 0.70 0.140893 0.144464 0.148127 0.151882 0.155732 51.38 54.02 GS Finance Group 40057XCN3 12/27/23 12/29/26 100.000 0.000 5.0500 0.56 0.140317 0.143860 0.147493 0.151217 0.155035 51.17 53.78 GS Finance Group 40057XCK9 12/27/23 12/26/25 100.000 0.000 5.2504 0.58 0.145844 0.149652 0.153581 0.157612 53.23 55.25 GS Finance Group 40057XCJ2 12/26/23 01/07/31 100.000 0.000 5.2200 0.72 0.145000 0.145231 0.149022 0.152911 0.156902 52.94 55.72 GS Finance Group 40057XD93 12/29/23 01/24/25 100.000 0.000 5.4200 0.30 0.150556 0.151122 0.155218 55.03 3.57 GS Finance Group 40057XD77 12/27/23 12/24/26 100.000 0.000 5.1900 0.58 0.144167 0.147845 0.151682 0.155618 0.159656 52.61 55.37 GS Finance Group 40057XD85 12/18/23 12/18/25 100.000 0.000 5.3500 1.93 0.148611 0.152586 0.156668 0.160859 54.32 55.12 GS Finance Group 40057XCT0 12/20/23 12/20/27 100.000 0.000 5.0550 1.54 0.140417 0.143966 0.147604 0.151335 0.155160 51.27 53.89 GS Finance Group 40057XDB8 12/27/23 12/26/25 100.000 0.000 5.2504 0.58 0.145844 0.149652 0.153581 0.157612 53.23 55.25 GS Finance Group 40057XDA0 12/29/23 01/24/25 100.000 0.000 5.4200 0.30 0.150556 0.151122 0.155218 55.03 3.57 GS Finance Group 40057XDJ1 12/29/23 12/31/26 100.000 0.000 5.0000 0.28 0.138908 0.142381 0.145940 0.149589 0.153329 50.64 53.20 GS Finance Group 40057XDF9 12/08/23 01/08/25 100.000 0.000 5.6188 3.59 0.156078 0.156809 0.161214 57.21 1.13 GS Finance Group 40057XDD4 12/27/23 12/26/25 100.000 0.000 5.2504 0.58 0.145844 0.149652 0.153581 0.157612 53.23 55.25 GS Finance Group 40057XDC6 12/27/23 12/26/25 100.000 0.000 5.2504 0.58 0.145844 0.149652 0.153581 0.157612 53.23 55.25 GS Finance Group 40057XDL6 12/29/23 01/24/25 100.000 0.000 5.4200 0.30 0.150556 0.151122 0.155218 55.03 3.57 GS Finance Group 40057XDK8 12/29/23 12/30/27 100.000 0.000 5.0350 0.28 0.139861 0.143402 0.147012 0.150713 0.154507 50.99 53.60 GS Finance Group 40057XEK7 12/27/23 09/24/27 100.000 0.000 5.0700 0.56 0.140833 0.142559 0.146173 0.149878 0.153678 51.53 54.02 GS Finance Group 40057XEF8 12/27/23 12/24/26 100.000 0.000 5.1900 0.58 0.144167 0.147845 0.151682 0.155618 0.159656 52.61 55.37 GS Finance Group 40057XEX9 12/27/23 06/26/28 100.000 0.000 5.0925 0.57 0.141458 0.145040 0.148733 0.152520 0.156404 51.61 54.26 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Group 40057XFF7 12/29/23 12/31/26 100.000 0.000 4.9300 0.27 0.136963 0.140339 0.143799 0.147343 0.150975 49.92 52.41 GS Finance Group 40057XFE0 12/29/23 12/31/29 100.000 0.000 4.9830 0.28 0.138436 0.141885 0.145420 0.149043 0.152757 50.46 53.01 GS Finance Group 40057XFD2 12/29/23 12/27/30 100.000 0.000 5.0854 0.28 0.141261 0.144813 0.148495 0.152271 0.156143 51.52 54.17 GS Finance Group 40057XFC4 12/29/23 12/27/30 100.000 0.000 5.0854 0.28 0.141261 0.144813 0.148495 0.152271 0.156143 51.52 54.17 GS Finance Group 40057XFG5 12/26/23 12/26/28 100.000 0.000 5.1100 0.71 0.141944 0.145571 0.149290 0.153105 0.157017 51.79 54.47 GS Finance Group 40057XFS9 12/29/23 01/03/29 100.000 0.000 5.0700 0.28 0.140833 0.140913 0.144485 0.148147 0.151903 51.36 53.99 GS Finance Group 40057XGY5 12/27/23 12/27/28 100.000 0.000 5.1100 0.57 0.141944 0.145571 0.149290 0.153105 0.157017 51.78 54.46 GS Finance Group 40057XHN8 12/20/23 12/20/28 100.000 0.000 5.0700 1.55 0.140833 0.144403 0.148064 0.151818 0.155666 51.42 54.06 GS Finance Group 40057XHM0 12/27/23 12/28/26 100.000 0.000 5.1900 0.58 0.144167 0.147929 0.151767 0.155706 0.159746 52.60 55.37 GS Finance Group 40057XKW4 12/29/23 12/31/25 100.000 0.000 5.1900 0.29 0.144187 0.147929 0.151768 0.155706 52.59 55.19 GS Finance Group 40057XKU8 12/28/23 07/01/26 100.000 0.000 5.1900 0.43 0.144229 0.147972 0.151812 0.155751 0.159793 52.60 55.36 GS Finance Group 40057XL52 12/26/23 12/24/26 100.000 0.000 5.1900 0.72 0.144167 0.147866 0.151703 0.155640 0.159679 52.62 55.38 GS Finance Group 40057XL29 12/29/23 12/31/25 100.000 0.000 5.1900 0.29 0.144187 0.147929 0.151768 0.155706 52.59 55.19 GS.FINANCE CORP 40057WUJ4 11/30/23 09/01/26 100.000 0.000 5.6713 4.88 0.157536 0.159795 0.164326 0.168985 0.173777 57.93 61.13 GSFINANCE CORP 40057WUK1 11/30/23 09/01/27 100.000 0.000 5.6662 4.88 0.157394 0.159649 0.164172 0.168823 0.173606 57.88 61.07 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 3505.58 1.325506 1.398984 1.477056 1.560007 1.648143 497.38 554.54 Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26 100.000 VARIES 3.7570 51.76 0.018859 0.018817 0.018712 0.018604 0.018443 6.76 6.68 Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28 100.000 VARIES 4.8903 472.48 0.128185 0.128928 0.129689 0.130441 0.131212 46.50 47.05 Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 299.33 0.117153 0.119085 21.67 Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25 100.000 VARIES 3.3914 296.95 0.094405 0.094356 0.094282 33.97 8.39 Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28 100.000 VARIES 4.2924 429.05 0.111696 0.112483 0.113286 0.114106 0.114943 40.57 41.16 Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28 100.000 VARIES 4.9007 475.04 0.128397 0.129138 0.129897 0.130643 0.131406 46.59 47.14 Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29 100.000 VARIES 4.4103 392.81 0.115006 0.115557 0.116186 0.116829 0.117485 41.55 41.99 Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28 100.000 VARIES 4.9491 441.41 0.123640 0.124851 0.126092 0.127363 0.128666 44.77 45.67 Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28 100.000 VARIES 4.3421 435.51 0.112675 0.113510 0.114357 0.115223 0.116108 40.98 41.60 Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25 100.000 VARIES 3.7095 22.88 0.007843 0.007684 0.007522 0.007325 2.78 2.35 Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28 100.000 VARIES 3.7824 35.04 0.017892 0.018231 0.018576 0.018927 0.019285 6.51 6.76 Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30 100.000 VARIES 3.7644 18.01 0.009032 0.009202 0.009375 0.009552 0.009732 3.29 3.41 Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25 100.000 0.000 2.9501 295.54 0.103964 0.104350 0.107645 38.57 6.24 Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26 100.000 VARIES 3.8760 31.81 0.011206 0.011131 0.011055 0.010946 0.010835 4.01 3.95 Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 318.56 0.125927 0.128099 0.130308 0.132555 45.87 43.02 Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28 100.000 VARIES 3.7555 15.51 0.008198 0.008352 0.008508 0.008668 0.008831 3.01 3.12 Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27 100.000 VARIES 3.9047 39.28 0.013960 0.013979 0.014000 0.013955 0.013909 5.03 5.03 Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25 100.000 VARIES 3.6654 24.94 0.008565 0.008438 0.008309 0.008146 3.04 2.46 Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29 100.000 VARIES 4.6241 408.31 0.118289 0.119097 0.119934 0.120789 0.121665 42.89 43.50 Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 359.14 0.135425 0.137896 0.140413 0.142975 50.06 26.72 Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26 100.000 VARIES 3.5868 27.34 0.015677 0.015958 0.016244 0.016536 0.016832 5.78 5.99 Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28 100.000 VARIES 3.7010 27.26 0.014360 0.014626 0.014897 0.015173 0.015453 5.24 5.43 Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28 100.000 VARIES 3.6601 16.34 0.008993 0.009158 0.009326 0.009496 0.009670 3.27 3.39 Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 322.42 0.125989 0.128163 0.130373 0.132622 46.01 39.39 Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27Y 100.000 VARIES 3.8872 267.03 0.108486 0.108457 0.108427 0.108396 0.108294 39.04 39.01 Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28 100.000 VARIES 4.6926 460.07 0.123548 0.124235 0.124957 0.125695 0.126451 44.62 45.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29 100.000 VARIES 4.6202 416.32 0.119887 0.120563 0.121260 0.121974 0.122704 43.42 43.93 Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28 100.000 VARIES 4.8590 452.44 0.125405 0.126271 0.127157 0.128066 0.128996 45.42 46.06 Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25 100.000 VARIES 3.7872 30.76 0.010261 0.010060 0.009854 0.009612 3.62 2.61 Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27 100.000 VARIES 3.6989 24.95 0.010734 0.010792 0.010821 0.010850 0.010855 3.88 3.90 Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27 100.000 VARIES 3.6688 23.85 0.010277 0.010387 0.010488 0.010590 0.010688 3.73 3.80 Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27 100.000 VARIES 4.0948 425.28 0.108651 0.109268 0.109897 0.110539 0.111194 39.28 39.73 Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27 100.000 VARIES 3.6160 233.08 0.100606 0.100657 0.100693 0.100715 0.100723 36.24 36.26 Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27 100.000 VARIES 3.5643 227.26 0.098813 0.098896 0.098964 0.099017 0.099058 35.61 35.65 Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25 100.000 VARIES 3.9250 39.58 0.012439 0.012232 0.012020 4.43 1.91 Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24 100.000 VARIES 3.1510 201.69 0.087840 0.087695 19.65 Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27 100.000 VARIES 4.6427 483.42 0.123033 0.123769 0.124523 0.125294 0.126083 44.52 45.06 Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6001 342.46 0.133039 0.135433 0.137871 0.140353 48.76 37.53 Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27 100.000 VARIES 3.5451 220.79 0.098055 0.098153 0.098234 0.098302 0.098358 35.34 35.39 Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.5000 347.20 0.130583 0.132868 0.135193 47.56 20.14 Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27 100.000 VARIES 3.5757 222.11 0.099610 0.099637 0.099645 0.099630 0.099597 35.87 35.87 Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27 100.000 VARIES 3.6040 224.03 0.099813 0.099899 0.099969 0.100024 0.100065 35.96 36.01 Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27 100.000 VARIES 3.6048 222.98 0.099613 0.099725 0.099821 0.099903 0.099971 35.90 35.96 Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29 100.000 VARIES 4.3665 390.33 0.115140 0.115625 0.116159 0.116705 0.117262 41.54 41.92 Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27 100.000 VARIES 3.5339 214.43 0.098078 0.098111 0.098135 0.098151 0.098161 35.32 35.33 Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27 100.000 VARIES 2.7977 20.41 0.009637 0.009772 0.009908 0.010047 0.010188 3.50 3.60 Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28 100.000 VARIES 5.0554 469.00 0.127902 0.128976 0.130077 0.131273 0.132498 46.49 47.32 Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25 100.000 2.000 3.6202 322.35 0.115504 0.116590 0.117694 42.04 28.48 Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25 100.000 VARIES 3.7599 47.90 0.014895 0.014674 0.014421 5.30 1.82 Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28 100.000 VARIES 3.1064 19.08 0.009101 0.009243 0.009386 0.009532 0.009680 3.34 3.45 Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25 100.000 VARIES 3.9131 26.59 0.008740 0.008574 0.008405 0.008206 3.07 1.94 Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27 100.000 VARIES 3.6188 27.08 0.011721 0.011852 0.011972 0.012095 0.012213 4.25 4.34 Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28 100.000 VARIES 3.3846 29.29 0.013962 0.014198 0.014438 0.014683 0.014931 5.11 5.29 Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27 100.000 VARIES 3.9238 31.43 0.010754 0.010718 0.010681 0.010621 0.010559 3.85 3.82 Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 346.34 0.132975 0.135368 0.137804 0.140284 48.89 33.24 Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 361.65 0.137809 0.140358 0.142955 0.145600 50.85 30.35 Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28 100.000 VARIES 4.4916 437.10 0.116877 0.117693 0.118540 0.119407 0.120293 42.29 42.90 Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28 100.000 VARIES 4.4921 438.10 0.117625 0.118380 0.119158 0.119955 0.120769 42.52 43.08 Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28 100.000 VARIES 4.3920 428.85 0.114724 0.115483 0.116269 0.117073 0.117895 41.49 42.05 Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28 100.000 VARIES 4.3925 434.99 0.115018 0.115709 0.116450 0.117207 0.117981 41.62 42.15 Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26 100.000 VARIES 2.2302 20.28 0.008374 0.008468 0.008562 0.008658 0.008754 3.04 3.11 Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26 100.000 VARIES 2.3290 11.30 0.004586 0.004639 0.004693 0.004748 0.004803 1.67 1.71 Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28 100.000 VARIES 4.6888 464.17 0.121954 0.122791 0.123647 0.124523 0.125433 44.21 44.84 Goldman Sachs Group, Inc 38150AM36 04/29/22 04/29/32 100.000 VARIES 4.0171 9.79 0.014115 0.012873 0.013132 0.013396 0.013665 4.80 4.81 Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28 100.000 VARIES 4.9004 453.05 0.126519 0.127399 0.128300 0.129223 0.130169 45.79 46.44 Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28 100.000 VARIES 4.6902 465.38 0.121968 0.122799 0.123649 0.124520 0.125433 44.22 44.85 Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28 100.000 VARIES 4.1925 412.12 0.107728 0.108596 0.109510 0.110443 0.111396 39.14 39.81 Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30 100.000 VARIES 3.7833 32.17 0.010539 0.010507 0.010739 0.010622 0.010836 3.86 3.90 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28 100.000 VARIES 4.2915 420.58 0.108279 0.108017 0.110820 0.110031 0.112911 39.89 40.56 HAMILTON OHIO CITY SCH 407774GJ1 09/10/20 12/01/25 93.492 0.000 1.2920 40.70 0.034976 0.035202 0.035429 0.035658 12.65 11.73 HENDERSON TEX INDPT SCH 425308PA5 11/12/20 08/15/26 92.809 0.000 1.3001 38.50 0.034737 0.034962 0.035190 0.035418 0.035649 12.61 12.77 HENDERSON TEX INDPT SCH 425308NZ2 11/12/20 08/15/25 95.364 0.000 1.0000 30.31 0.027230 0.027366 0.027503 0.027640 9.86 6.19 HENDERSON TEX INDPT SCH 425308NY5 11/12/20 08/15/24 96.681 0.000 0.9000 27.62 0.024778 0.024889 5.57 HSBC 40447AZE7 03/05/24 06/05/25 100.000 0.000 4.6600 0.129444 0.130952 0.134004 38.71 20.64 HSBC 40447AYR9 02/29/24 05/29/25 100.000 0.000 4.6300 0.128611 0.130100 0.133112 39.25 19.70 HSBC 40447AJ39 03/28/24 06/30/25 100.000 0.000 4.6600 0.129444 0.130986 0.134038 35.62 23.99 HSBC 40447AZX5 02/16/24 02/16/29 100.000 0.000 3.9400 0.109444 0.111601 0.113799 0.116041 34.77 41.17 HSBC 40441XS92 03/16/23 03/16/26 100.000 0.000 4.4505 35.52 0.126376 0.129188 0.132063 0.135002 0.138006 46.60 48.70 HSBC 40447B7E6 07/30/24 10/30/25 100.000 0.000 4.9976 0.138822 0.140557 0.144069 21.07 42.66 HSBC 40441XL24 02/28/23 05/28/24 100.000 0.000 5.8393 49.81 0.169376 24.90 HSBC 40447BGM8 09/17/24 09/17/26 100.000 0.000 4.5189 0.125525 0.128361 0.131261 13.05 46.30 HSBC 40447BGN6 09/17/24 09/17/26 100.000 0.000 4.5189 0.125525 0.128361 0.131261 13.05 46.30 HSBC 40447B6F4 08/05/24 08/05/26 100.000 0.000 4.8902 0.135839 0.139160 0.142563 19.83 50.48 HSBC 40447B6G2 08/05/24 11/05/25 100.000 0.000 4.8902 0.135839 0.137500 0.140862 19.93 42.41 HSBC 40441XM72 02/28/23 03/02/26 100.000 0.000 5.2803 44.93 0.150636 0.154613 0.158695 0.162885 0.167185 55.90 58.89 HSBC 40447AVH4 01/31/24 04/30/25 100.000 0.000 4.9400 0.137222 0.138917 0.142348 46.04 16.94 HSBC 40447AVV3 02/05/24 05/05/25 100.000 0.000 4.6300 0.128611 0.130100 0.133112 42.45 16.51 HSBC 40447AG81 04/01/24 07/01/25 100.000 0.000 5.8300 0.161944 0.169094 0.169094 44.15 30.44 HSBC 40447BCT7 09/05/24 12/05/25 100.000 0.000 4.5189 0.125525 0.126943 0.129811 14.60 42.92 HSBC 40447AQS6 11/30/23 02/28/25 100.000 0.000 5.2300 4.50 0.145278 0.147135 0.150983 53.34 8.61 HSBC 40447B2N1 06/28/24 09/29/25 100.000 0.000 5.0561 0.140447 0.142242 0.145838 25.87 38.77 HSBC 40447BCP5 09/05/24 09/08/26 100.000 0.000 4.5189 0.125525 0.125572 0.128410 0.131311 14.57 46.37 HSBC 40447B2Z4 07/03/24 10/03/25 100.000 0.000 4.9976 0.138822 0.140557 0.144069 24.86 38.86 HSBC 40447BCC4 08/30/24 12/01/25 100.000 0.000 4.8902 0.135839 0.137518 0.140880 16.49 45.99 HSBC 40447BCD2 08/30/24 12/01/25 100.000 0.000 4.8902 0.135839 0.137518 0.140880 16.49 45.99 HSBC 40447BCA8 08/30/24 12/01/25 100.000 0.000 4.8902 0.135839 0.137518 0.140880 16.49 45.99 HSBC 40441XG46 03/03/23 04/03/24 100.000 0.000 5.9393 49.82 0.170721 15.71 HSBC 40447BCB6 08/30/24 09/02/25 100.000 0.000 4.8902 0.135839 0.135876 0.139198 16.44 33.34 HSBC 40447BCN0 09/05/24 12/05/25 100.000 0.000 4.5189 0.125525 0.126943 0.129811 14.60 42.92 HSBC 40447B2M3 06/27/24 09/29/25 100.000 0.000 5.0561 0.140447 0.142262 0.145858 26.01 38.77 HSBC 40441XG79 02/28/23 03/28/24 100.000 0.000 5.8714 50.08 0.168704 14.68 HSBC 40441XG61 03/03/23 04/03/24 100.000 0.000 5.9321 49.76 0.170507 15.69 HSBC 40441XG53 02/28/23 03/28/24 100.000 0.000 5.8714 50.08 0.168704 14.68 HSBC 40441XG95 02/28/23 05/28/24 100.000 0.000 5.8393 49.81 0.169376 24.90 HSBC 40447ARY2 12/05/23 03/05/25 100.000 0.000 5.1900 3.75 0.144167 0.146037 0.149827 52.89 9.59 HSBC 40447BDF6 08/29/24 03/02/26 100.000 0.000 4.8902 0.135839 0.135894 0.139217 0.142621 16.58 50.32 HSBC 40441XH37 02/28/23 05/28/24 100.000 0.000 5.8393 49.81 0.169376 24.90 HSBC 40447AT61 04/30/24 07/30/25 100.000 0.000 4.8300 0.134167 0.135787 0.139066 32.58 28.97 HSBC 40441XJ27 03/03/23 03/03/25 100.000 0.000 5.5825 46.72 0.159398 0.163847 0.168420 59.25 10.44 HSBC 40447AU93 05/03/24 08/04/25 100.000 0.000 4.9100 0.136389 0.138082 0.141472 32.71 30.02 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC 40447B5V0 07/31/24 10/30/25 100.000 0.000 4.9976 0.138822 0.140557 0.144069 21.07 42.66 HSBC 40447A2R4 05/01/24 06/02/25 100.000 0.000 4.9100 0.136389 0.136966 0.140328 32.95 21.19 HSBC 40447AUE2 12/22/23 03/24/25 100.000 0.000 5.1900 1.30 0.144167 0.146079 0.149870 52.80 12.44 HSBC 40447B6B3 08/05/24 11/05/25 100.000 0.000 4.8902 0.135839 0.137500 0.140862 19.93 42.41 HSBC 40447A2E3 04/15/24 07/01/25 100.000 0.000 4.8300 0.134167 0.138808 0.138808 34.59 24.99 HSBC 40441XJ35 03/03/23 03/03/26 100.000 0.000 5.2191 43.65 0.148758 0.152640 0.156623 0.160710 0.164904 55.18 58.10 HSBC 40447ATR5 12/21/23 03/21/25 100.000 0.000 5.1900 1.44 0.144167 0.146037 0.149827 52.80 11.99 HSBC 40447B5L2 07/31/24 10/31/25 100.000 0.000 4.9976 0.138822 0.140557 0.144069 21.07 42.66 HSBC 40447AQ23 04/01/24 07/01/25 100.000 0.000 4.8300 0.134167 0.139066 0.139066 36.52 25.03 HSBC 40447BBW1 08/14/24 02/12/26 100.000 0.000 4.8902 0.135839 0.139123 0.142525 18.61 50.42 HSBC USA INC 40441XPU8 10/20/22 10/20/25 100.000 0.000 5.0853 62.05 0.148533 0.152310 0.156182 0.160154 54.69 45.85 HSBC USA INC 40441X0Q7 08/23/22 08/25/25 100.000 0.000 3.9204 54.08 0.113236 0.115455 0.117719 0.120026 41.73 27.96 HSBC USA INC 40441XND8 09/23/22 09/23/25 100.000 0.000 4.1568 53.79 0.120316 0.122817 0.125370 0.127975 44.26 33.32 HSBC USA INC 40441XGN4 08/31/22 09/02/25 100.000 0.000 4.1176 56.02 0.119163 0.121616 0.124120 0.126676 43.93 30.37 HSBC USA INC 40441XUW8 01/17/22 05/17/24 100.000 0.000 5.4491 111.02 0.167056 22.72 HSBC USA, INC 40441XP61 02/28/23 03/02/26 100.000 0.000 5.0458 42.91 0.143778 0.147405 0.151124 0.154937 0.158846 53.29 56.01 HSBC USA, INC 40447AHY3 09/06/23 12/06/24 100.000 0.000 5.0561 16.20 0.142223 0.145818 48.29 HSBC USA, INC 40447AJB1 09/06/23 03/06/25 100.000 0.000 5.0561 16.15 0.140447 0.143998 0.147638 52.03 9.60 HSBC USA, INC 40447AJC9 09/06/23 03/06/25 100.000 0.000 5.0561 16.15 0.140447 0.143998 0.147638 52.03 9.60 HSBC USA, INC 40447AJA3 09/06/23 12/06/24 100.000 0.000 5.0561 16.20 0.142223 0.145818 48.29 HSBC USA, INC 40441XQ94 02/28/23 10/28/24 100.000 0.000 5.7183 48.79 0.164940 0.169656 49.84 HSBC USA, INC 40441XQZ6 11/03/22 11/03/25 100.000 0.000 5.0247 59.39 0.146676 0.150361 0.154139 0.158011 53.90 47.25 HSBC USA, INC 40447AJR6 08/18/23 08/20/25 100.000 0.000 5.0073 18.50 0.139130 0.142614 0.146184 0.149844 51.64 34.13 HSBC USA, INC 40447AJP0 08/21/23 11/21/24 100.000 0.000 5.0073 18.15 0.140833 0.144359 45.70 HSBC USA, INC 40447AJQ8 08/21/23 11/21/24 100.000 0.000 5.0073 18.15 0.140833 0.144359 45.70 HSBC USA, INC 40447ALD4 08/29/23 12/30/24 100.000 0.000 5.0561 17.14 0.142834 0.146445 51.93 HSBC USA, INC 40441TX67 04/05/23 05/06/24 100.000 0.000 5.1578 38.46 0.147620 18.45 HSBC USA, INC 40441XSD3 11/03/22 05/03/24 100.000 0.000 5.2316 61.88 0.153024 18.67 HSBC USA, INC 40441XSC5 10/31/22 04/30/24 100.000 0.000 5.2803 62.93 0.154522 18.39 HSBC USA, INC 40441XS27 03/16/23 03/16/26 100.000 0.000 4.4505 35.52 0.126376 0.129188 0.132063 0.135002 0.138006 46.60 48.70 HSBC USA, INC 40441XKU3 09/30/22 09/30/25 100.000 0.000 4.9585 63.36 0.144650 0.148237 0.151912 0.155678 53.38 41.54 HSBC USA, INC 40441XKT6 10/05/22 10/06/25 100.000 0.000 4.9075 61.98 0.143110 0.146622 0.150220 0.153906 52.76 41.97 HSBC USA, INC 40441XL32 03/03/23 06/03/24 100.000 0.000 5.9063 49.53 0.171403 26.05 HSBC USA, INC 40447AFL3 07/20/23 07/20/26 100.000 0.000 4.7400 21.20 0.131667 0.134787 0.137982 0.141252 0.144599 48.98 51.33 HSBC USA, INC 40447AHK3 08/31/23 12/02/24 100.000 0.000 5.0073 16.88 0.140872 0.144398 47.26 HSBC USA, INC 40441X6K1 05/31/23 09/03/24 100.000 0.000 5.4200 32.02 0.152664 0.156801 37.69 HSBC USA, INC 40441X6J4 05/31/23 09/03/24 100.000 0.000 5.4177 32.00 0.152598 0.156732 37.67 HSBC USA, INC 40441XG87 03/03/23 04/03/24 100.000 0.000 5.9321 49.76 0.170507 15.69 HSBC USA, INC 40441X7A2 06/05/23 09/05/24 100.000 0.000 5.2971 30.54 0.149090 0.153039 37.09 HSBC USA, INC 40441X7F1 06/05/23 09/05/24 100.000 0.000 5.3105 30.62 0.149472 0.153441 37.19 HSBC USA, INC 40441X7D6 06/05/23 09/05/24 100.000 0.000 5.2971 30.54 0.149090 0.153039 37.09 HSBC USA, INC 40441X7C8 06/05/23 09/05/24 100.000 0.000 5.2971 30.54 0.149090 0.153039 37.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, INC 40441X7B0 06/05/23 09/05/24 100.000 0.000 5.2971 30.54 0.149090 0.153039 37.09 HSBC USA, INC 40441X7L8 06/05/23 12/05/24 100.000 0.000 5.1400 29.51 0.146447 0.150211 49.59 HSBC USA, INC 40441X6P0 05/31/23 09/03/24 100.000 0.000 5.4206 32.02 0.152681 0.156819 37.69 HSBC USA, INC 40441XH29 03/03/23 06/03/24 100.000 0.000 5.9063 49.53 0.171403 26.05 HSBC USA, INC 40447AAE4 06/05/23 06/05/26 100.000 0.000 4.5280 25.98 0.128625 0.131537 0.134515 0.137561 0.140675 46.98 49.13 HSBC USA, INC 40441X6M7 05/31/23 09/03/24 100.000 0.000 5.4156 31.99 0.152538 0.156668 37.66 HSBC USA, INC 40441X6L9 05/31/23 09/03/24 100.000 0.000 5.4177 32.00 0.152598 0.156732 37.67 HSBC USA, INC 40441B744 12/05/22 12/04/24 100.000 0.000 5.2019 56.65 0.152090 0.156046 51.36 HSBC USA, INC 40441XH45 03/03/23 06/03/24 100.000 0.000 5.9063 49.53 0.171403 26.05 HSBC USA, INC 40441X6Q8 05/31/23 12/02/24 100.000 0.000 5.2900 31.13 0.150875 0.154866 50.66 HSBC USA, INC 40441X6X3 06/05/23 07/05/24 100.000 0.000 5.4037 31.04 0.150779 0.154853 28.48 HSBC USA, INC 40447AAJ3 05/18/23 06/18/26 100.000 0.000 4.2500 26.44 0.120991 0.123562 0.126188 0.128869 0.131608 44.09 45.98 HSBC USA, INC 40441X6Z8 06/05/23 07/05/24 100.000 0.000 5.4037 31.04 0.150779 0.154853 28.48 HSBC USA, INC 40441X6Y1 06/05/23 07/05/24 100.000 0.000 5.4037 31.04 0.150779 0.154853 28.48 HSBC USA, INC 40441XZF0 02/03/23 05/03/24 100.000 0.000 5.5928 51.73 0.161933 19.76 HSBC USA, INC 40441XZE3 01/31/23 04/30/24 100.000 0.000 5.4790 51.14 0.158506 18.86 HSBC USA, INC 40441XZD5 02/03/23 05/03/24 100.000 0.000 5.4972 50.83 0.159053 19.40 HSBC USA, INC 40441XZC7 01/31/23 04/30/24 100.000 0.000 5.4790 51.14 0.158506 18.86 HSBC USA, INC 40441XZG8 02/03/23 02/03/26 100.000 0.000 4.6056 42.40 0.130879 0.133893 0.136977 0.140131 0.143358 48.56 50.82 HSBC USA, INC 40439J6A8 06/02/22 06/03/24 100.000 0.000 2.6129 41.90 0.075468 11.47 HSBC USA, INC 40441B827 11/30/22 11/24/28 100.000 0.000 4.4700 49.24 0.129684 0.132583 0.135546 0.138575 0.141673 47.42 49.57 HSBC USA, INC 40441XYY0 02/03/23 03/04/24 100.000 0.000 5.5782 51.55 0.160037 10.08 HSBC USA, INC 40447ABC7 05/31/23 06/01/26 100.000 0.000 4.6900 27.58 0.133350 0.136477 0.139677 0.142953 0.146305 48.76 51.07 HSBC USA, INC 40441XYZ7 02/03/23 02/03/25 100.000 0.000 5.5873 51.55 0.159539 0.163996 0.168577 59.57 5.39 HSBC USA, INC 40441XZB9 02/03/23 03/04/24 100.000 0.000 5.5800 51.57 0.160090 10.09 HSBC USA, INC 40441XC73 01/31/23 02/02/26 100.000 0.000 4.5972 42.72 0.130669 0.133672 0.136745 0.139888 0.143103 48.49 50.74 HSBC USA, INC 40441XT83 04/05/23 07/05/24 100.000 0.000 5.0752 37.81 0.142767 0.146389 26.92 HSBC USA, INC 40447ALV4 10/04/23 01/06/25 100.000 0.000 5.1536 12.45 0.143156 0.145041 0.148778 52.86 0.74 HSBC USA, INC 40447ALW2 09/21/23 12/23/24 100.000 0.000 5.0561 14.06 0.142262 0.145858 50.72 HSBC USA, INC 40447ALX0 09/21/23 12/23/24 100.000 0.000 5.0561 14.06 0.142262 0.145858 50.72 HSBC USA, INC 40441XSJ0 11/08/22 11/10/25 100.000 0.000 5.3365 62.36 0.156299 0.160469 0.164751 0.169147 57.45 51.70 HSBC USA, INC 40441XT26 04/05/23 05/06/24 100.000 0.000 5.1468 38.38 0.147296 18.41 HSBC USA, INC 40441XT42 04/05/23 05/06/24 100.000 0.000 5.0427 37.60 0.144230 18.03 HSBC USA, INC 40441X2W9 04/28/23 05/28/24 100.000 0.000 5.2718 35.85 0.150959 22.19 HSBC USA, INC 40441X2V1 05/03/23 06/03/24 100.000 0.000 5.1609 34.35 0.147690 22.45 HSBC USA, INC 40447ANL4 10/31/23 01/31/25 100.000 0.000 5.1536 8.73 0.143156 0.145000 0.148736 52.71 4.31 HSBC USA, INC 40441X3F5 04/28/23 07/29/24 100.000 0.000 5.1333 34.93 0.144442 0.148149 30.71 HSBC USA, INC 40441X3E8 05/03/23 08/05/24 100.000 0.000 5.0657 33.76 0.142536 0.146146 31.15 HSBC USA, INC 40441X3D0 04/28/23 07/29/24 100.000 0.000 5.1333 34.93 0.144442 0.148149 30.71 HSBC USA, INC 40441X3C2 05/03/23 08/05/24 100.000 0.000 5.0657 33.76 0.142536 0.146146 31.15 HSBC USA, INC 40441X3B4 05/03/23 06/03/24 100.000 0.000 5.1845 34.51 0.148385 22.55 HSBC USA, INC 40441XTK6 11/25/22 05/28/24 100.000 0.000 5.5164 61.75 0.161877 23.80 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, INC 40441XTJ9 12/05/22 03/05/24 100.000 0.000 5.4457 59.48 0.157504 10.08 HSBC USA, INC 40441XTH3 11/25/22 02/26/24 100.000 0.000 5.5803 62.60 0.161581 8.89 HSBC USA, INC 40441XTL4 12/05/22 06/05/24 100.000 0.000 5.3407 58.19 0.156382 24.08 HSBC USA, INC 40441X311 04/28/23 10/28/24 100.000 0.000 4.9670 33.74 0.141399 0.144910 42.63 HSBC USA, INC 40441XU40 04/05/23 07/05/24 100.000 0.000 5.0752 37.81 0.142767 0.146389 26.92 HSBC USA, INC 40441XU24 04/05/23 07/05/24 100.000 0.000 5.0752 37.81 0.142767 0.146389 26.92 HSBC USA, INC 40441XU65 04/05/23 04/06/26 100.000 0.000 4.2421 31.56 0.120349 0.122902 0.125509 0.128171 0.130890 44.22 46.12 HSBC USA, INC 40441X2Q2 04/20/23 04/20/26 100.000 0.000 4.8023 33.71 0.136600 0.139880 0.143239 0.146678 0.150200 50.24 52.68 HSBC USA, INC 40441XU57 04/05/23 04/07/25 100.000 0.000 4.8023 35.76 0.136637 0.139918 0.143277 50.34 13.75 HSBC USA, INC 40441X3J7 05/03/23 11/04/24 100.000 0.000 4.9074 32.64 0.139680 0.143107 42.94 HSBC USA, INC 40441X3G3 05/03/23 08/05/24 100.000 0.000 5.0657 33.76 0.142536 0.146146 31.15 HSBC USA, INC 40441X3N8 05/03/23 11/04/24 100.000 0.000 4.9074 32.64 0.139680 0.143107 42.94 HSBC USA, INC 40441X3M0 04/28/23 10/28/24 100.000 0.000 4.9670 33.74 0.141399 0.144910 42.63 HSBC USA, INC 40441X3L2 05/03/23 11/04/24 100.000 0.000 4.9074 32.64 0.139680 0.143107 42.94 HSBC USA, INC 40447ANY6 11/03/23 02/03/25 100.000 0.000 5.2316 8.43 0.145322 0.147223 0.151074 53.51 4.83 HSBC USA, INC 40441X3K4 04/28/23 10/28/24 100.000 0.000 4.9670 33.74 0.141399 0.144910 42.63 HSBC USA, INC 40441XUY4 11/28/22 11/28/25 100.000 0.000 5.0853 56.40 0.148533 0.152310 0.156182 0.160154 54.40 51.79 HSBC USA, INC 40441X3U2 05/03/23 05/04/26 100.000 0.000 4.2650 28.34 0.121013 0.123593 0.126229 0.128921 0.131670 44.33 46.24 HSBC USA, INC 40441X5J5 04/28/23 04/28/26 100.000 0.000 4.8023 32.62 0.136600 0.139880 0.143239 0.146678 0.150200 50.18 52.62 HSBC USA, INC 40447APT5 10/31/23 01/31/25 100.000 0.000 5.1536 8.73 0.143156 0.145000 0.148736 52.71 4.31 HSBC USA, INC 40447APU2 10/31/23 01/31/25 100.000 0.000 5.1538 8.73 0.143161 0.145006 0.148742 52.71 4.31 HSBC USA, INC 40441X4K3 05/03/23 06/03/24 100.000 0.000 5.1845 34.51 0.148385 22.55 HSBC USA, INC 40441X4J6 04/28/23 05/28/24 100.000 0.000 5.1341 34.91 0.146901 21.59 HSBC USA, Inc. 40435U3T9 02/04/20 02/05/24 100.000 0.000 1.7442 70.24 0.051490 1.75 HSBC USA, Inc. 40435FJ99 07/27/18 07/28/25 100.000 0.000 3.7400 222.80 0.125047 0.127385 0.129767 0.132194 46.16 27.30 HSBC USA, Inc. 40435UEW0 02/22/19 02/22/24 100.000 0.000 3.3153 173.25 0.106777 5.45 HSBC USA, Inc. 40435FJL2 10/25/17 10/25/24 100.000 0.000 3.0894 208.76 0.103147 0.104740 30.61 HSBC USA, Inc. 40435UEV2 02/22/19 02/22/24 100.000 0.000 3.3153 173.25 0.106777 5.45 HSBC USA, Inc. 40435FJQ1 10/30/17 10/30/24 100.000 0.500 3.1256 208.27 0.101760 0.103350 30.71 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29 100.000 VARIES 4.0230 374.50 0.110204 0.110331 0.110460 0.110592 0.110727 39.70 39.79 HSBC USA, Inc. 40435FVW4 03/06/18 03/06/26 100.000 0.000 3.5803 229.43 0.120888 0.123052 0.125255 0.127497 0.129780 44.41 46.02 HSBC USA, Inc. 40435FG35 06/29/18 06/30/25 100.000 0.000 3.7007 223.71 0.125780 0.128108 0.130478 45.70 23.36 HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28 100.000 VARIES 3.4249 329.35 0.092533 0.092774 0.093019 0.093269 0.093522 33.37 33.55 HSBC USA, Inc. 40435FZ26 09/28/18 09/29/25 100.000 0.000 3.8667 223.15 0.130092 0.132607 0.135171 0.137784 47.75 36.70 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 642.34 0.204516 0.209197 0.213985 0.218883 0.223893 76.04 79.56 HSBC USA, Inc. 40435FQZ3 12/29/17 12/31/24 100.000 0.000 2.1006 133.71 0.066149 0.066844 23.87 HSBC USA, Inc. 40435FR90 08/31/18 09/02/25 100.000 0.000 3.6706 214.25 0.122322 0.124567 0.126853 0.129181 44.98 30.99 HSBC USA, Inc. 40435FB48 05/24/18 05/27/25 100.000 0.000 2.6745 160.52 0.086001 0.087151 0.088316 31.25 12.89 HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 651.49 0.209036 0.213892 0.218861 0.223945 0.229147 77.62 81.27 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29 100.000 VARIES 3.9810 371.69 0.108520 0.108690 0.108863 0.109039 0.109219 39.11 39.24 HSBC USA, Inc. 40435FTA5 02/28/18 02/28/25 100.000 0.000 3.5313 226.93 0.118917 0.121016 0.123153 43.71 7.02 HSBC USA, Inc. 40435FCC9 07/28/17 07/29/24 100.000 0.000 3.0414 214.04 0.101265 0.102805 21.34 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435G725 08/31/17 08/30/24 100.000 0.000 2.8720 198.06 0.094666 0.096018 22.87 HSBC USA, Inc. 40441XDM9 07/05/22 07/05/24 100.000 0.000 3.6664 55.59 0.105613 0.107549 19.78 HSBC USA, Inc. 40435FPC5 12/18/17 06/18/25 100.000 0.000 2.0994 134.36 0.066103 0.066797 0.067498 23.94 11.27 HSBC USA, Inc. 40441XDT4 07/07/22 07/08/24 100.000 0.000 3.8136 57.64 0.110023 0.112121 20.95 HSBC USA, Inc. 40435FPK7 12/27/17 12/29/25 100.000 0.000 3.2733 215.52 0.110499 0.112308 0.114146 0.116014 40.11 41.20 HSBC USA, Inc. 40435FPY7 01/31/18 01/31/25 100.000 0.000 3.4220 222.47 0.114560 0.116520 0.118513 42.19 3.44 HSBC USA, NC 40441XZA1 01/31/23 02/29/24 100.000 0.000 5.5699 51.95 0.159741 9.26 HSBC USA,INC 40447AEE0 07/31/23 10/31/24 100.000 0.000 4.7437 19.99 0.133332 0.136495 40.44 HSBC USA,INC 40447AES9 08/03/23 02/03/25 100.000 0.000 5.0073 20.59 0.139092 0.142574 0.146144 51.74 4.68 HSBC USA,INC 40447AEP5 08/03/23 11/04/24 100.000 0.000 5.0100 20.70 0.140929 0.144459 43.34 HSBC USA,INC 40447AEQ3 08/03/23 11/04/24 100.000 0.000 5.0073 20.69 0.140852 0.144379 43.31 HSBC USA,INC 40447AER1 08/03/23 02/03/25 100.000 0.000 5.0073 20.59 0.139092 0.142574 0.146144 51.74 4.68 HSBC USA,INC 40447AGY4 08/01/23 07/26/26 100.000 0.000 5.0730 21.14 0.140917 0.144392 0.148054 0.151810 0.155660 52.46 55.15 HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27 92.155 0.000 1.4000 29.69 0.036779 0.037036 0.037295 0.037556 0.037819 13.36 13.55 HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26 94.447 0.000 1.1800 25.60 0.031641 0.031828 0.032016 0.032205 0.032395 11.48 11.62 HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25 96.116 0.000 1.0300 22.71 0.028030 0.028175 0.028320 0.028466 10.16 5.97 HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24 97.885 0.000 0.7500 16.79 0.020677 0.020754 4.36 Healthcare Realty Holdin 42225UAQ7 07/22/22 01/15/28 94.340 3.625 4.2000 7.44 0.013778 0.013722 0.013667 0.013611 0.013500 4.96 4.94 Healthcare Realty Holdin 42225UAP9 07/22/22 03/15/30 84.130 2.400 4.4200 21.04 0.046444 0.046500 0.046389 0.046333 0.046278 16.72 16.70 ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25 76.873 6.500 12.0451 364.53 0.360938 0.382676 0.405723 140.61 11.77 ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25 76.873 6.500 11.1575 411.27 0.349367 0.368858 0.389435 135.33 11.29 JACKSONVILLE TEX INDPT 469736PL0 12/09/21 02/15/24 98.015 0.000 0.9203 18.73 0.025447 1.12 JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28 90.653 0.000 1.3001 35.33 0.033848 0.034068 0.034290 0.034513 0.034737 12.29 12.45 JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27 93.165 0.000 1.0801 30.09 0.028738 0.028893 0.029049 0.029206 0.029364 10.42 10.53 JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25 96.591 0.000 0.7600 21.86 0.020794 0.020873 0.020952 0.021032 7.52 4.71 JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24 97.673 0.000 0.6602 19.18 0.018218 0.018278 4.09 JEFFERIES GROUP 47233WGS2 09/04/24 09/05/25 100.000 0.000 5.2300 0.145278 0.149098 17.00 36.14 JEFFERIES GROUP 47233WGV5 08/31/24 08/31/36 100.000 VARIES 5.5269 0.153315 0.151374 0.149382 18.40 54.37 JEFFERIES GROUP 47233WGB9 08/02/24 08/04/25 100.000 0.000 5.5200 0.153333 0.153380 0.157614 22.85 33.43 JEFFERIES GROUP 47233WGAI 08/02/24 08/04/25 100.000 0.000 5.5200 0.153333 0.153380 0.157614 22.85 33.43 JEFFERIES GROUP 47233WEM7 04/15/24 04/18/29 105.000 0.000 5.8300 0.170042 0.170124 0.175083 0.180187 0.185440 43.91 64.70 JEFFERIES GROUP 47233WEV7 06/05/24 06/06/25 100.000 0.000 5.8400 0.162222 0.166985 33.54 25.88 JEFFERIES GROUP 47233WAT6 12/11/23 12/11/28 100.000 0.000 5.6700 3.15 0.157500 0.161965 0.166557 0.171279 0.176134 57.68 61.00 JOHNSON & UN CNTYS ILL 478169AA3 07/19/17 12/01/27 100.000 5.700 5.6760 368.48 0.157800 0.157785 0.157769 0.157753 0.157737 56.80 56.79 JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25 95.042 0.000 1.0381 32.93 0.028245 0.028391 0.028538 0.028687 10.23 6.42 JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24 96.406 0.000 0.9380 30.14 0.025813 0.025934 5.80 JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26 92.615 0.000 1.3020 40.39 0.034787 0.035013 0.035241 0.035471 0.035702 12.63 12.79 JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27 90.795 0.000 1.4021 42.70 0.036830 0.037088 0.037348 0.037610 0.037874 13.38 13.56 JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28 87.771 0.000 1.8099 50.71 0.046360 0.046780 0.047203 0.047630 0.048061 16.88 17.19 JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25 95.255 0.000 1.1500 34.67 0.031400 0.031581 0.031762 11.39 1.40 JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27 90.367 0.000 1.6300 46.91 0.042777 0.043126 0.043477 0.043832 0.044189 15.56 15.81 JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26 92.951 0.000 1.4001 41.32 0.037557 0.037820 0.038085 0.038352 0.038620 13.64 13.83 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24 96.976 0.000 0.9502 29.08 0.026270 1.16 JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29 85.363 0.000 1.9300 52.68 0.048236 0.048701 0.049171 0.049646 0.050125 17.58 17.92 JP MORGAN 48135M7D4 06/05/24 06/04/27 100.000 0.000 5.5100 0.153056 0.157249 0.161581 0.166033 31.64 57.63 JP MORGAN 48134TSD7 01/19/24 01/22/27 100.000 0.000 6.1700 0.171389 0.171477 0.176767 0.182220 0.187842 59.49 66.38 JP MORGAN 48135M6Z6 06/05/24 06/05/29 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 31.47 57.30 JP MORGAN 48134TSW5 01/25/24 01/25/29 100.000 0.000 6.1500 0.170833 0.176086 0.181501 0.187082 58.22 66.08 JP MORGAN 48135PAF8 07/19/24 08/20/25 100.000 0.000 5.2400 0.145556 0.146212 0.150043 23.67 34.17 JP MORGAN 48134RNP9 01/02/24 01/02/29 100.000 0.000 6.1500 0.170833 0.176086 0.181501 0.187082 62.27 66.33 JP MORGAN 48134RNN4 12/26/23 12/26/28 100.000 0.000 6.2300 0.87 0.173056 0.178446 0.184005 0.189737 0.195647 63.33 67.33 JP MORGAN 48134RNT1 01/02/24 12/31/26 100.000 0.000 6.1700 0.171389 0.176617 0.182066 0.187683 0.193473 62.48 66.57 JP MORGAN 48134RNQ7 01/02/24 10/02/25 100.000 0.000 6.1700 0.171389 0.174033 0.179401 0.184936 62.72 49.61 JP MORGAN 48134TDE1 01/10/24 01/08/27 100.000 0.000 6.1700 0.171389 0.176617 0.182066 0.187683 61.06 66.48 JP MORGAN 48135MJJ8 06/04/24 06/04/27 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 29.19 52.74 JP MORGAN 48134TDD3 01/10/24 01/08/27 100.000 0.000 6.1700 0.171389 0.176617 0.182066 0.187683 61.06 66.48 JP MORGAN 48134RNW4 01/02/24 12/31/26 100.000 0.000 6.1700 0.171389 0.176617 0.182066 0.187683 0.193473 62.48 66.57 JP MORGAN 48134RNX2 12/26/23 12/24/26 100.000 0.000 6.1700 0.86 0.171389 0.176617 0.182066 0.187683 0.193473 62.72 66.63 JP MORGAN 48134TV84 03/05/24 03/05/29 100.000 0.000 6.2300 0.173056 0.178446 0.184005 0.189737 51.85 66.55 JP MORGAN 48134T4G6 02/06/24 11/06/25 100.000 0.000 6.1100 0.169722 0.172315 0.177579 0.183004 56.06 55.14 JP MORGAN 48134T4H4 02/05/24 01/29/26 100.000 0.000 6.1600 0.171111 0.176206 0.181633 0.187227 56.56 66.09 JP MORGAN 48134WNH6 02/26/24 02/26/29 100.000 0.000 5.0400 0.140000 0.143528 0.147145 0.150853 43.14 53.24 JP MORGAN 48135P3A7 08/21/24 08/19/27 100.000 0.000 5.5100 0.153056 0.157225 0.161557 19.90 56.97 JP MORGAN 48134T4Z4 03/05/24 03/04/27 100.000 0.000 5.0300 0.139722 0.143217 0.146819 0.150511 41.77 53.06 JP MORGAN 48134T4Y7 03/05/24 12/04/25 100.000 0.000 5.1900 0.144167 0.146016 0.149806 0.153693 43.16 50.58 JP MORGAN 48135PUB5 08/21/24 08/19/27 100.000 0.000 5.5100 0.153056 0.157225 0.161557 19.90 56.97 JP MORGAN 48135M2Y3 07/03/24 07/01/27 100.000 0.000 5.5100 0.157225 0.161557 0.166008 27.24 57.38 JP MORGAN 48134RYS1 12/26/23 12/24/26 100.000 0.000 6.1700 0.86 0.171389 0.176617 0.182066 0.187683 0.193473 62.72 66.63 JP MORGAN 48135M2Z0 06/28/24 06/30/27 100.000 0.000 5.5100 0.153056 0.153102 0.157320 0.161655 0.166108 28.02 57.42 JP MORGAN 48134XJD8 04/03/24 04/02/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 38.06 53.30 JP MORGAN 48134RYT9 12/26/23 12/26/26 100.000 0.000 6.2300 0.87 0.173056 0.178446 0.184005 0.189737 0.195647 63.33 67.33 JP MORGAN 48135M3A4 06/28/24 05/29/26 100.000 0.000 5.6200 0.156111 0.159791 0.164281 0.168898 28.69 58.62 JP MORGAN 48134RYZ5 01/02/24 01/02/29 100.000 0.000 6.2300 0.173056 0.178446 0.184005 0.189737 63.09 67.26 JP MORGAN 48134RYX0 01/02/24 01/30/25 100.000 0.000 6.1400 0.170556 0.171370 0.176631 62.29 5.12 JP MORGAN 48135MD54 07/03/24 07/03/29 100.000 0.000 5.4800 0.152222 0.156393 0.160678 27.10 57.06 JP MORGAN 48135MD39 07/03/24 07/01/27 100.000 0.000 5.5100 0.157225 0.161557 0.166008 27.24 57.38 JP MORGAN 48135MD96 06/28/24 06/28/26 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 27.87 57.10 JP MORGAN 48135M2W7 07/03/24 04/02/26 100.000 0.000 5.6700 0.157500 0.159708 0.164235 0.168892 28.23 59.13 JP MORGAN 48135M2X5 07/03/24 07/01/27 100.000 0.000 5.5100 0.157225 0.161557 0.166008 27.24 57.38 JP MORGAN 48135M2U1 07/02/24 07/02/31 100.000 0.000 5.5400 0.153889 0.158152 0.162532 27.55 57.71 JP MORGAN 48134RZF8 01/02/24 01/02/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 62.37 66.45 JP MORGAN 48134RZE1 12/26/23 06/25/25 100.000 0.000 5.5600 0.77 0.154444 0.158714 0.163126 56.42 28.38 JP MORGAN 48135NH12 06/28/24 06/30/27 100.000 0.000 5.5100 0.153056 0.153102 0.157320 0.161655 0.166108 28.02 57.42 JP MORGAN 48135ME46 06/28/24 06/30/31 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 0.167086 28.17 57.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN 48135MDS4 06/05/24 06/05/28 100.000 0.000 5.0500 0.140278 0.143820 0.147451 0.151174 28.99 52.62 JP MORGAN 48134WXY8 04/02/24 04/01/27 100.000 0.000 5.0300 0.139722 0.143217 0.146819 0.150511 37.90 52.86 JP MORGAN 48134RZL5 12/26/23 12/26/25 100.000 0.000 6.1600 0.86 0.171111 0.176381 0.181814 0.187414 62.60 65.55 JP MORGAN 48134RZH4 12/26/23 12/26/25 100.000 0.000 5.9000 0.82 0.163889 0.168724 0.173701 0.178825 59.92 62.59 JP MORGAN 48134WH67 04/10/24 04/08/27 100.000 0.000 5.0300 0.139722 0.143197 0.146799 0.150491 36.76 52.80 JP MORGAN 48135NGT7 06/17/24 07/16/25 100.000 0.000 5.1700 0.143611 0.144209 0.147937 27.96 28.79 JP MORGAN 48135M3B2 06/28/24 12/30/27 100.000 0.000 5.4900 0.152500 0.152547 0.156734 0.161036 0.165457 27.92 57.21 JP MORGAN 48135N6E1 07/01/24 07/01/26 100.000 0.000 5.6000 0.159911 0.159911 0.168992 28.00 58.37 JP MORGAN 48134RZB7 01/02/24 07/02/25 100.000 0.000 6.2400 0.173333 0.178741 0.184318 63.19 33.36 JP MORGAN 48134WXP7 03/28/24 09/30/27 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 38.55 53.00 JP MORGAN 48130CDT9 11/09/23 11/09/35 100.000 0.000 5.6800 8.20 0.157778 0.162259 0.166867 0.171606 0.176479 58.08 61.42 JP MORGAN 48134WXN2 03/28/24 03/02/26 100.000 0.000 5.1000 0.141667 0.144757 0.148449 0.152234 39.04 53.67 JP MORGAN 48130CEH4 12/21/23 12/21/33 100.000 0.000 6.2700 1.74 0.174167 0.179627 0.185258 0.191066 0.197056 63.79 67.86 JP MORGAN 48135N7B6 07/05/24 01/07/26 100.000 0.000 5.7400 0.159444 0.159495 0.164073 0.168782 28.07 59.86 JP MORGAN 48130CEJ0 12/21/23 12/26/38 100.000 0.000 6.2700 1.74 0.174318 0.179783 0.185419 0.191232 0.197227 63.79 67.86 JP MORGAN 48134WYD3 03/28/24 03/29/29 100.000 0.000 5.1000 0.141667 0.145299 0.149004 0.152804 39.01 53.67 JP MORGAN 48134RZZ4 01/02/24 01/02/29 100.000 0.000 6.1500 0.170833 0.176086 0.181501 0.187082 62.27 66.33 JP MORGAN 48135NGZ3 06/18/24 06/18/26 100.000 0.000 5.6000 0.155556 0.159911 0.164389 0.168992 30.08 58.49 JP MORGAN 48134WXZ5 04/02/24 04/02/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 38.43 53.64 JP MORGAN 48135MDU9 06/04/24 06/04/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 29.94 54.15 JP MORGAN 48135MUW6 05/31/24 06/01/29 100.000 0.000 5.1000 0.141667 0.145299 0.149004 0.152804 30.00 53.20 JP MORGAN 48135MDZ8 06/05/24 06/04/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 29.11 52.84 JP MORGAN 48134WYA9 03/14/24 04/15/25 100.000 0.000 4.8400 0.134444 0.135005 0.138272 38.98 14.38 JP MORGAN 48134TQ23 02/05/24 05/05/25 100.000 0.000 6.0000 0.166667 0.169167 0.174242 55.21 21.61 JP MORGAN 48134WYL5 04/02/24 03/30/28 100.000 0.000 5.0500 0.140278 0.143780 0.147411 0.151133 38.05 53.08 JP MORGAN 48134WYM3 03/28/24 03/28/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 39.71 54.66 JP MORGAN 48134WZH3 03/20/24 03/20/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 40.89 54.72 JP MORGAN 48135M5D6 07/03/24 07/03/28 100.000 0.000 5.4800 0.152222 0.156393 0.160678 27.10 57.06 JP MORGAN 48135MF94 07/03/24 07/02/26 100.000 0.000 5.6000 0.155556 0.159887 0.164364 27.69 58.36 JP MORGAN 48135MEZ7 05/29/24 05/29/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 30.15 53.21 JP MORGAN 48135MG36 07/03/24 07/02/26 100.000 0.000 5.6000 0.155556 0.159887 0.164364 27.69 58.36 JP MORGAN 48134RKG2 11/20/23 11/20/28 100.000 0.000 6.2300 7.10 0.173056 0.178446 0.184005 0.189737 0.195647 63.72 67.75 JP MORGAN 48135MG28 07/02/24 07/01/27 100.000 0.000 5.5100 0.157249 0.161581 0.166033 27.40 57.39 JP MORGAN 48135M5F1 07/02/24 07/02/31 100.000 0.000 5.5400 0.153889 0.158152 0.162532 27.55 57.71 JP MORGAN 48134TQE7 01/18/24 04/17/25 100.000 0.000 5.7500 0.159722 0.161993 0.166650 55.71 17.66 JP MORGAN 48134TR97 03/05/24 03/05/26 100.000 0.000 6.0900 0.169167 0.174318 0.179626 0.185095 50.67 64.96 JP MORGAN 48134TS21 02/29/24 03/03/26 100.000 0.000 4.6300 0.128611 0.128677 0.131656 0.134704 0.137822 39.21 48.67 JP MORGAN 48134TAU8 01/08/24 01/17/25 100.000 0.000 5.4300 0.150833 0.151038 0.155139 53.99 2.48 JP MORGAN 48135NJM9 06/20/24 06/17/27 100.000 0.000 5.5100 0.153056 0.157202 0.161533 0.165983 29.29 57.50 JP MORGAN 48134RUM8 12/26/23 12/24/26 100.000 0.000 6.1700 0.86 0.171389 0.176617 0.182066 0.187683 0.193473 62.72 66.63 JP MORGAN 48134RUN6 12/27/23 12/24/26 100.000 0.000 6.1700 0.69 0.171389 0.176588 0.182036 0.187652 0.193441 62.71 66.62 JP MORGAN 48134XF34 06/05/24 06/04/27 100.000 0.000 5.5100 0.153056 0.157249 0.161581 0.166033 31.64 57.63 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN 48134WSV0 04/03/24 03/30/26 100.000 0.000 5.1100 0.141944 0.145511 0.149228 0.153041 38.37 53.74 JP MORGAN 48134WSW8 04/01/24 03/31/31 100.000 0.000 5.1900 0.144167 0.147887 0.151725 0.155662 39.26 54.64 JP MORGAN 48134RVB1 12/26/23 12/26/25 100.000 0.000 6.1600 0.86 0.171111 0.176381 0.181814 0.187414 62.60 65.55 JP MORGAN 48134RVC9 12/26/23 12/23/27 100.000 0.000 6.2900 0.87 0.174722 0.180126 0.185791 0.191634 0.197661 63.96 68.03 JP MORGAN 48135N2L9 07/03/24 07/03/29 100.000 0.000 5.4800 0.152222 0.156393 0.160678 27.10 57.06 JP MORGAN 48134XX26 04/24/24 04/23/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 35.03 53.14 JP MORGAN 48134WCC9 02/22/24 02/22/28 100.000 0.000 5.0500 0.140278 0.143820 0.147451 0.151174 43.80 53.38 JP MORGAN 48134XWE1 04/12/24 04/14/27 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 36.47 52.79 JP MORGAN 48134WTC1 03/13/24 03/13/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 41.19 53.78 JP MORGAN 48134RUZ9 12/20/23 03/20/25 100.000 0.000 5.8300 1.78 0.161944 0.164305 0.169094 59.45 13.36 JP MORGAN 48135N2B1 07/01/24 12/26/25 100.000 0.000 5.7400 0.159444 0.163893 0.168597 28.72 59.03 JP MORGAN 48135PJA0 07/17/24 07/15/26 100.000 0.000 5.6000 0.155556 0.159863 0.164339 25.51 58.23 JP MORGAN 48135MR83 06/10/24 12/08/25 100.000 0.000 5.7400 0.159444 0.163970 0.168676 32.15 56.10 JP MORGAN 48134TKR4 01/31/24 01/29/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 57.53 66.26 JP MORGAN 48134TKK9 02/05/24 02/05/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 56.55 66.09 JP MORGAN 48134TKL7 02/05/24 02/05/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 56.55 66.09 JP MORGAN 48134RVD7 12/27/23 12/24/26 100.000 0.000 6.1700 0.69 0.171389 0.176588 0.182036 0.187652 0.193441 62.71 66.62 JP MORGAN 48134TKP8 01/31/24 01/31/29 100.000 0.000 6.2300 0.173056 0.178446 0.184005 0.189737 58.10 66.95 JP MORGAN 48134TKM5 01/31/24 01/29/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 57.53 66.26 JP MORGAN 48134WUN5 04/02/24 04/01/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 38.20 53.30 JP MORGAN 48134TLF9 01/31/24 01/02/26 100.000 0.000 6.1700 0.171389 0.175854 0.181279 0.186871 57.53 66.26 JP MORGAN 48134WUM7 03/20/24 12/18/25 100.000 0.000 5.1400 0.142778 0.144572 0.148287 0.152098 40.52 52.14 JP MORGAN 48134TLJ1 01/31/24 07/29/27 100.000 0.000 6.1800 0.171667 0.176942 0.182409 0.188046 57.62 66.37 JP MORGAN 48134RWF1 01/02/24 01/02/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 62.37 66.45 JP MORGAN 48135MAB4 05/31/24 06/02/31 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 0.167086 32.60 58.00 JP MORGAN 48135MRZ3 06/26/24 06/25/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 26.08 52.68 JP MORGAN 48134TLU6 02/05/24 02/05/29 100.000 0.000 6.2300 0.173056 0.178446 0.184005 0.189737 57.20 66.89 JP MORGAN 48134TLV4 01/31/24 01/29/26 100.000 0.000 6.1600 0.171111 0.176352 0.181784 0.187383 57.43 66.14 JP MORGAN 48135MRX8 06/26/24 07/03/25 100.000 0.000 5.1400 0.142778 0.142920 0.146594 26.44 26.67 JP MORGAN 48135MRY6 06/26/24 12/26/25 100.000 0.000 5.2100 0.144722 0.148492 0.152360 26.79 53.41 JP MORGAN 48134R5R5 12/28/23 12/28/28 100.000 0.000 6.2300 0.52 0.173056 0.178446 0.184005 0.189737 0.195647 63.30 67.31 JP MORGAN 48134X7A7 06/05/24 06/05/28 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 29.33 53.27 JP MORGAN 48134R5P9 12/28/23 12/28/27 100.000 0.000 6.1900 0.52 0.171944 0.177266 0.182753 0.188409 0.194240 62.89 66.84 JP MORGAN 48134X7B5 06/04/24 06/04/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 29.94 54.15 JP MORGAN 48134TLM4 01/31/24 01/31/29 100.000 0.000 6.2300 0.173056 0.178446 0.184005 0.189737 58.10 66.95 JP MORGAN 48134TLN2 01/31/24 01/30/31 100.000 0.000 6.2900 0.174722 0.180217 0.185885 0.191731 58.66 67.64 JP MORGAN 48134RWG9 01/02/24 01/02/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 62.37 66.45 JP MORGAN 48134TLR3 02/05/24 02/04/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 56.65 66.20 JP MORGAN 48135MBJ6 06/05/24 06/04/27 100.000 0.000 5.5100 0.153056 0.157249 0.161581 0.166033 31.64 57.63 JP MORGAN 48135N4M5 07/03/24 07/03/29 100.000 0.000 5.4800 0.152222 0.156393 0.160678 27.10 57.06 JP MORGAN 48135MBH0 06/05/24 03/05/26 100.000 0.000 5.1400 0.142778 0.144612 0.148329 0.152141 29.63 53.60 JP MORGAN 48134W4Q8 04/05/24 04/08/26 100.000 0.000 5.0700 0.140833 0.140893 0.144464 0.148127 0.151882 37.77 53.28 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN 48134WVU8 04/02/24 01/02/26 100.000 0.000 5.1400 0.142778 0.144612 0.148329 0.152141 38.74 54.08 JP MORGAN 48134RXD5 12/26/23 12/26/25 100.000 0.000 6.1600 0.86 0.171111 0.176381 0.181814 0.187414 62.60 65.55 JP MORGAN 48135MBL1 06/05/24 06/04/27 100.000 0.000 5.5100 0.153056 0.157249 0.161581 0.166033 31.64 57.63 JP MORGAN 48134R6B9 12/26/23 12/24/26 100.000 0.000 6.1700 0.86 0.171389 0.176617 0.182066 0.187683 0.193473 62.72 66.63 JP MORGAN 48134RXF0 01/02/24 01/02/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 62.37 66.45 JP MORGAN 48135MBM9 05/31/24 06/03/27 100.000 0.000 5.0300 0.139722 0.139781 0.143296 0.146900 0.150595 29.59 52.44 JP MORGAN 48135N4D5 06/28/24 06/30/26 100.000 0.000 5.6000 0.155556 0.155604 0.159961 0.164440 0.169044 28.48 58.40 JP MORGAN 48134R5Y0 12/28/23 12/28/27 100.000 0.000 6.1900 0.52 0.171944 0.177266 0.182753 0.188409 0.194240 62.89 66.84 JP MORGAN 48134TMW1 02/05/24 08/05/25 100.000 0.000 5.6300 0.156389 0.160791 0.165318 51.63 35.22 JP MORGAN 48134XZB4 04/19/24 04/21/28 100.000 0.000 5.0500 0.140278 0.140317 0.143860 0.147493 0.151217 35.61 52.96 JP MORGAN 48135MBY3 06/05/24 06/04/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 29.11 52.84 JP MORGAN 48135TGS6 08/23/24 02/25/26 100.000 0.000 5.7400 0.159444 0.159495 0.164073 0.168782 20.42 59.41 JP MORGAN 48135MCA4 06/04/24 06/04/27 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 29.19 52.74 JP MORGAN 48134WVX2 04/02/24 04/01/27 100.000 0.000 4.9700 0.138056 0.141467 0.144983 0.148585 37.44 52.20 JP MORGAN 48134WVY0 03/28/24 03/31/27 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 38.47 52.89 JP MORGAN 48134R6H6 12/26/23 09/25/25 100.000 0.000 6.1800 0.86 0.171667 0.174289 0.179675 0.185227 63.04 48.43 JP MORGAN 48135MBS6 05/31/24 12/02/27 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 29.65 52.55 JP MORGAN 48135MSR0 06/03/24 06/04/27 100.000 0.000 5.5100 0.153056 0.157296 0.161629 0.166082 31.95 57.64 JP MORGAN 48135MBQ0 05/31/24 05/01/26 100.000 0.000 5.1000 0.141667 0.144697 0.148387 0.152171 30.07 53.20 JP MORGAN 48134WVW4 04/02/24 04/01/27 100.000 0.000 5.0300 0.139722 0.143217 0.146819 0.150511 37.90 52.86 JP MORGAN 48134RXJ2 12/26/23 12/24/26 100.000 0.000 6.1700 0.86 0.171389 0.176617 0.182066 0.187683 0.193473 62.72 66.63 JP MORGAN 48135NET9 07/03/24 07/02/26 100.000 0.000 5.6000 0.155556 0.159887 0.164364 27.69 58.36 JP MORGAN 48135MC71 05/30/24 05/27/27 100.000 0.000 5.0300 0.139722 0.143178 0.146779 0.150470 29.60 52.44 JP MORGAN 48134TNG5 02/05/24 02/05/26 100.000 0.000 6.0000 0.166667 0.171667 0.176817 0.182121 55.06 64.25 JP MORGAN 48134TNH3 01/31/24 01/29/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 45.93 52.31 JP MORGAN 48134WWV5 03/13/24 03/13/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 41.19 53.78 JP MORGAN 48135NFS0 06/20/24 06/17/27 100.000 0.000 5.5100 0.153056 0.157202 0.161533 0.165983 29.29 57.50 JP MORGAN 48130CCZ6 11/15/23 11/15/38 100.000 0.000 6.2700 8.01 0.174167 0.179627 0.185258 0.191066 0.197056 64.19 68.28 JP MORGAN 48134WWT0 04/02/24 04/01/26 100.000 0.000 5.0700 0.140833 0.144384 0.148044 0.151797 38.20 53.30 JP MORGAN 48134WWU7 04/01/24 04/01/27 100.000 0.000 5.0300 0.139722 0.143236 0.146839 0.150532 38.04 52.87 JP MORGAN 48134TNE0 01/31/24 07/31/25 100.000 0.000 4.9500 0.137500 0.140903 0.144390 46.03 30.08 JP MORGAN 48134XB53 04/26/24 04/28/27 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 34.46 52.69 JP MORGAN 48134XB61 04/26/24 04/28/27 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 34.46 52.69 JP MORGAN 48134T5J9 02/29/24 08/31/27 100.000 0.000 6.1800 0.171667 0.177001 0.182409 0.188108 52.49 66.05 JP MORGAN 48134XB87 04/18/24 10/20/27 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 35.68 52.86 JP MORGAN 48134XRK3 04/09/24 04/09/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 38.08 54.58 JP MORGAN 48133WV62 11/09/23 11/09/26 100.000 0.000 5.3600 7.74 0.148889 0.152879 0.156976 0.161183 0.165503 54.74 57.71 JP MORGAN 48134T5D2 02/29/24 02/28/26 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 52.41 65.94 JP MORGAN 48134T5A8 03/05/24 03/04/27 100.000 0.000 5.0300 0.139722 0.143217 0.146819 0.150511 41.77 53.06 JP MORGAN 48134T5B6 02/29/24 03/03/27 100.000 0.000 6.1700 0.171389 0.171506 0.176797 0.182252 0.187874 52.42 65.94 JP MORGAN 48134TWY6 01/26/24 01/27/28 100.000 0.000 6.1900 0.171944 0.177296 0.182783 0.188440 58.43 66.53 JP MORGAN 48134XSL0 04/17/24 04/15/27 100.000 0.000 5.0300 0.139722 0.143197 0.146799 0.150491 35.75 52.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN 48135PEC1 07/11/24 04/02/26 100.000 0.000 5.6700 0.157500 0.159509 0.164031 0.168682 26.95 59.05 JP MORGAN 48135PED9 07/11/24 07/01/27 100.000 0.000 5.5100 0.157038 0.161364 0.165810 26.02 57.31 JP MORGAN 48134TWX8 01/26/24 01/28/27 100.000 0.000 6.1700 0.171389 0.171448 0.176737 0.182189 0.187810 58.24 66.30 JP MORGAN 48134TWV2 01/26/24 01/28/26 100.000 0.000 6.1600 0.171111 0.171170 0.176442 0.181876 0.187478 58.15 66.19 JP MORGAN 48134TGP3 02/02/24 02/03/28 100.000 0.000 6.1900 0.171944 0.177296 0.182783 0.188440 57.36 66.46 JP MORGAN 48134XSP1 04/08/24 04/08/26 100.000 0.000 5.0700 0.140833 0.144403 0.148064 0.151818 37.34 53.26 JP MORGAN 48134XSS5 04/08/24 04/08/27 100.000 0.000 5.1300 0.142500 0.146155 0.149904 0.153749 37.78 53.92 JP MORGAN 48134XTJ4 04/19/24 04/21/31 100.000 0.000 5.1900 0.144167 0.144208 0.147950 0.151790 0.155729 36.60 54.50 JP MORGAN 48134THB3 02/05/24 11/05/25 100.000 0.000 6.1700 0.171389 0.174033 0.179401 0.184936 56.80 55.53 JP MORGAN 48134T6R0 03/05/24 09/04/25 100.000 0.000 5.6700 0.157500 0.161940 0.166531 47.14 40.18 JP MORGAN 48135MMV7 05/31/24 06/02/31 100.000 0.000 5.1900 0.144167 0.144208 0.147950 0.151790 0.155729 30.54 54.18 JP MORGAN 48134T6U3 02/26/24 08/29/25 100.000 0.000 4.6300 0.128611 0.128661 0.131639 0.134670 39.60 31.88 JP MORGAN 48133W5Y0 05/28/24 06/09/25 100.000 0.000 4.9100 0.136389 0.136594 0.139947 29.17 22.11 JP MORGAN 48134THL1 01/10/24 02/05/25 100.000 0.000 5.4300 0.150833 0.151402 0.155513 53.73 5.29 JP MORGAN 48134THE7 02/05/24 02/04/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 56.65 66.20 JP MORGAN 48135PX22 08/14/24 11/14/25 100.000 0.000 5.4400 0.151111 0.153166 0.157332 20.80 48.69 JP MORGAN 48134THC1 02/05/24 02/04/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 56.65 66.20 JP MORGAN 48134WQR1 03/13/24 03/13/31 100.000 0.000 5.1900 0.144167 0.147908 0.151746 0.155684 41.92 54.78 JP MORGAN 48134THJ6 02/05/24 02/04/27 100.000 0.000 6.1700 0.171389 0.176647 0.182096 0.187714 56.65 66.20 JP MORGAN 48134WAG2 02/29/24 03/03/31 100.000 0.000 6.2900 0.174722 0.174844 0.180343 0.186015 0.191865 53.45 67.30 JP MORGAN 48134WRK5 03/06/24 04/04/25 100.000 0.000 4.8400 0.134444 0.134951 0.138216 40.08 12.85 JP MORGAN 48134THV9 02/05/24 02/05/26 100.000 0.000 6.1600 0.171111 0.176381 0.181814 0.187414 56.55 66.09 JP MORGAN 48133W6B9 05/30/24 06/09/25 100.000 0.000 4.9100 0.136389 0.136556 0.139909 28.89 22.11 JP MORGAN 48134WAC1 02/29/24 03/01/29 100.000 0.000 6.2300 0.173056 0.178506 0.184067 0.189800 52.92 66.62 JP MORGAN 48134XUY9 04/17/24 04/17/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 36.25 53.52 JP MORGAN 48134XUZ6 04/30/24 04/30/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 34.36 53.43 JP MORGAN 48135MP93 06/26/24 06/24/27 100.000 0.000 5.5100 0.153056 0.157225 0.161557 0.166008 28.34 57.44 JP MORGAN 48135PHA2 07/15/24 07/14/26 100.000 0.000 5.6000 0.155556 0.159887 0.164364 25.82 58.25 JP MORGAN 48134XE76 05/31/24 06/01/29 100.000 0.000 5.4800 0.152222 0.156416 0.160702 0.165105 32.24 57.34 JP MORGAN 48134XE50 06/05/24 06/05/29 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 29.28 53.16 JP MORGAN 48134R2C1 12/15/23 04/17/25 100.000 0.000 5.9700 2.65 0.165833 0.169188 0.174239 60.93 18.47 JP MORGAN 48134TJA3 02/02/24 02/04/27 100.000 0.000 6.1700 0.171389 0.171448 0.176737 0.182189 0.187810 57.18 66.23 JP MORGAN 48135MPE2 05/31/24 06/03/27 100.000 0.000 5.0300 0.139722 0.139781 0.143296 0.146900 0.150595 29.59 52.44 JP MORGAN 48135PHC8 07/15/24 07/14/27 100.000 0.000 5.5100 0.153056 0.157249 0.161581 25.41 57.28 JP MORGAN 48135TCM3 08/22/24 08/23/29 100.000 0.000 5.4800 0.152222 0.156416 0.160702 19.64 56.64 JP MORGAN CHASE FIN COM 48133DJ68 06/23/22 06/23/25 100.000 0.000 3.4100 52.82 0.099650 0.101349 0.103077 36.21 17.73 JP MORGAN CHASE FIN COM 48133GC92 07/06/22 07/03/25 100.000 0.000 4.8100 73.20 0.140060 0.143429 0.146878 0.150411 52.24 27.37 JP MORGAN CHASE FIN COM 48133GTK9 07/06/22 07/03/25 100.000 0.000 4.8100 73.20 0.140060 0.143429 0.146878 0.150411 52.24 27.37 JP MORGAN CHASE FIN COM 48133GTD5 06/30/22 07/01/27 100.000 0.000 5.0100 77.19 0.149910 0.149910 0.157514 0.157514 0.165504 54.64 57.42 JP MORGAN CHASE FIN COM 48133GNZ2 07/06/22 07/06/26 100.000 0.000 4.9300 75.07 0.143779 0.147323 0.150955 0.154676 0.158488 53.65 56.33 JP MORGAN CHASE FIN COM 48133GNR0 06/30/22 07/02/25 100.000 0.000 4.8100 74.05 0.140153 0.143523 0.146975 0.150510 52.28 27.24 JP MORGAN CHASE FIN COM 48133GNV1 07/06/22 07/03/25 100.000 0.000 4.8100 73.20 0.140060 0.143429 0.146878 0.150411 52.24 27.37 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN CHASE FIN COM 48133GNX7 06/30/22 07/02/25 100.000 0.000 4.8100 74.05 0.140153 0.143523 0.146975 0.150510 52.28 27.24 JP MORGAN CHASE FIN COM 48133GPA5 07/06/22 07/06/27 100.000 0.000 5.0100 76.32 0.146226 0.149889 0.153644 0.157493 0.161438 54.60 57.37 JP MORGAN CHASE FIN COM 48133GPC1 06/30/22 07/01/27 100.000 0.000 5.0100 77.19 0.149910 0.149910 0.157514 0.157514 0.165504 54.64 57.42 JP MORGAN CHASE FIN COM 48133LHN5 07/11/22 07/11/24 100.000 0.000 4.6100 69.42 0.134027 0.137116 26.02 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25 100.000 VARIES 2.5712 24.93 0.008619 0.008635 0.008891 0.008859 3.19 2.15 JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35 100.000 VARIES 4.2124 345.22 0.121874 0.123121 0.124394 0.125695 0.127022 44.40 45.33 JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30 100.000 VARIES 4.4810 347.86 0.112662 0.113129 0.113814 0.114514 0.115230 40.64 41.10 JP Morgan Chase & Co. 48128GYV6 12/20/18 12/20/28 100.000 VARIES 3.6202 25.40 0.014051 0.014305 0.014564 0.014827 0.015096 5.11 5.30 JP Morgan Chase & Co. 48128GYU8 12/19/18 11/10/36 47.489 0.000 4.2056 110.72 0.068006 0.069436 0.070896 0.072387 0.073909 24.89 25.94 JP Morgan Chase & Co. 48128GYQ7 11/27/18 11/27/68 12.184 0.000 4.2547 29.15 0.017774 0.018152 0.018538 0.018932 0.019335 6.49 6.77 JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30 100.000 VARIES 2.6025 35.93 0.011626 0.011777 0.011930 0.012085 0.012243 4.24 4.35 JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35 100.000 VARIES 4.4624 375.08 0.130422 0.131306 0.132210 0.133134 0.134079 47.38 48.04 JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28 100.000 VARIES 3.8747 371.04 0.099222 0.100082 0.100958 0.101852 0.102788 35.95 36.59 JP Morgan Chase & Co. 48130WND9 01/31/19 02/02/26 100.000 0.000 3.7407 200.03 0.122792 0.125088 0.127428 0.129811 0.132239 45.31 47.02 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28 100.000 VARIES 3.8928 378.33 0.099190 0.100030 0.100885 0.101758 0.102757 35.96 36.59 JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29 100.000 VARIES 4.4199 410.24 0.116515 0.116818 0.117271 0.117734 0.118207 42.07 42.39 JP Morgan Chase & Co. 48130W5U1 03/29/19 03/31/26 100.000 0.000 3.2713 166.89 0.105166 0.106886 0.108635 0.110412 0.112218 38.49 39.75 JP Morgan Chase & Co. 48128GF88 05/24/17 05/24/27 100.000 VARIES 2.5870 23.32 0.010181 0.010313 0.010446 0.010581 0.010718 3.70 3.80 JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 440.60 0.151518 18.03 JP Morgan Chase & Co. 48130U2N4 10/31/18 10/31/25 100.000 0.000 4.1115 234.21 0.139982 0.142859 0.145796 0.148793 51.27 44.13 JP Morgan Chase & Co. 48130UU29 11/30/18 11/28/25 100.000 0.000 4.1207 230.58 0.140326 0.143217 0.146168 0.149180 51.23 48.34 JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28 100.000 VARIES 4.6982 444.00 0.125657 0.126236 0.126828 0.127435 0.128056 45.39 45.82 JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28 100.000 VARIES 4.4385 421.71 0.118182 0.118741 0.119312 0.119895 0.120492 42.72 43.13 JP Morgan Chase Financia 48133VZN3 04/26/23 04/24/25 100.000 0.000 6.0500 41.51 0.173083 0.178319 0.183713 63.96 20.76 JPMORGAN CHASE FINANCE 48133NXZ6 10/12/22 04/11/24 100.000 0.000 4.7400 58.86 0.137964 13.80 JPMORGAN CHASE FINANCE 48133ME71 09/30/22 10/02/29 100.000 0.000 5.2900 67.69 0.154866 0.158962 0.163167 0.167483 0.171913 57.23 60.30 JPMORGAN CHASE FINANCE 48133MDX5 10/19/22 10/21/24 100.000 0.000 4.8500 59.27 0.141374 0.144802 41.62 JPMORGAN CHASE FINANCE 48133MDL1 09/28/22 09/24/25 100.000 0.000 4.9800 63.94 0.145230 0.148846 0.152552 0.156351 53.64 40.80 JPMORGAN CHASE FINANCE 48133M5M8 10/05/22 10/05/27 100.000 0.000 5.1900 65.62 0.151746 0.155684 0.159724 0.163869 0.168121 56.02 58.97 JPMORGAN CHASE FINANCE 48133M5B2 10/05/22 10/05/27 100.000 0.000 5.1900 65.62 0.151746 0.155684 0.159724 0.163869 0.168121 56.02 58.97 JPMORGAN CHASE FINANCE 48133M6A3 10/05/22 10/05/27 100.000 0.000 5.0100 63.30 0.146226 0.149889 0.153644 0.157493 0.161438 53.94 56.67 JPMORGAN CHASE FINANCE 48133MC73 09/28/22 09/28/26 100.000 0.000 4.9300 63.28 0.143779 0.147323 0.150955 0.154676 0.158488 53.07 55.71 JPMORGAN CHASE FINANCE 48133MC57 09/28/22 09/28/28 100.000 0.000 5.0800 65.24 0.148371 0.152139 0.156004 0.159966 0.164029 54.80 57.62 JPMORGAN CHASE FINANCE 48133NEZ7 10/05/22 10/03/25 100.000 0.000 4.9800 62.92 0.145269 0.148886 0.152593 0.156393 53.59 42.19 JPMORGAN CHASE FINANCE 48133NRB6 10/26/22 10/26/28 100.000 0.000 5.2600 63.30 0.153898 0.157945 0.162099 0.166362 0.170738 56.66 59.68 JPMORGAN CHASE FINANCE 48133NA32 10/14/22 04/16/24 100.000 0.000 4.7400 58.59 0.138018 14.49 JPMORGAN CHASE FINANCE 48133NRE0 10/26/22 10/26/26 100.000 0.000 5.1000 61.33 0.148984 0.152783 0.156679 0.160674 0.164771 54.82 57.65 JPMORGAN CHASE FINANCE 48133NAU2 09/27/22 09/17/27 100.000 0.000 5.1900 66.85 0.151533 0.155465 0.159499 0.163638 0.167885 56.09 59.04 JPMORGAN CHASE FINANCE 48133M6X3 09/30/22 10/02/25 100.000 0.000 4.9800 63.65 0.145348 0.148967 0.152677 0.156478 53.63 42.06 JPMORGAN CHASE FINANCE 48133MYT1 09/21/22 09/21/26 100.000 0.000 5.1000 66.55 0.148984 0.152783 0.156679 0.160674 0.164771 55.09 57.93 JPMORGAN CHASE FINANCE 48133MQ60 09/30/22 09/30/27 100.000 0.000 5.1900 66.38 0.151746 0.155684 0.159724 0.163869 0.168121 56.06 59.01 JPMORGAN CHASE FINANCIAL 48133LCE0 08/03/22 08/01/25 100.000 0.000 4.8100 69.42 0.140079 0.143447 0.146897 0.150430 52.06 31.48 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCIAL 48133LCA8 08/03/22 08/01/25 100.000 0.000 4.8100 69.42 0.140079 0.143447 0.146897 0.150430 52.06 31.48 JPMORGAN CHASE FINANCIAL 48133MPW4 08/24/22 08/22/24 100.000 0.000 4.6100 63.65 0.133993 0.137082 31.51 JPMORGAN CHASE FINANCIAL 48133MPV6 08/24/22 08/22/24 100.000 0.000 4.6100 63.65 0.133993 0.137082 31.51 JPMORGAN CHASE FINANCIAL 48133MGT1 08/18/22 08/20/24 100.000 0.000 4.6100 64.46 0.134061 0.137151 31.26 JPMORGAN CHASE FINANCIAL 48133MHH6 08/18/22 08/20/24 100.000 0.000 4.6100 64.46 0.134061 0.137151 31.26 JPMORGAN CHASE FINANCIAL 48133MHT0 08/18/22 08/19/27 100.000 0.000 5.0100 70.17 0.146246 0.149910 0.153665 0.157514 0.161460 54.29 57.04 JPMORGAN CHASE FINANCIAL 48133LF72 08/24/22 08/24/26 100.000 0.000 4.9300 68.17 0.143779 0.147323 0.150955 0.154676 0.158488 53.31 55.97 JPMORGAN CHASE FINANCIAL 48133LF64 08/24/22 08/24/28 100.000 0.000 5.0800 70.29 0.148371 0.152139 0.156004 0.159966 0.164029 55.06 57.89 JPMORGAN CHASE FINANCIAL 48133DP87 08/05/22 08/05/24 100.000 0.000 2.7500 39.15 0.078504 0.079583 16.99 JPMORGAN CHASE FINANCIAL 48133LCH3 08/03/22 08/03/26 100.000 0.000 4.9300 71.19 0.143779 0.147323 0.150955 0.154676 0.158488 53.46 56.13 JPMORGAN CHASE FINANCIAL 48133LCJ9 08/03/22 08/03/27 100.000 0.000 5.0100 72.37 0.146226 0.149889 0.153644 0.157493 0.161438 54.40 57.16 JPMORGAN CHASE FINANCIAL 48133LUQ3 08/03/22 08/01/25 100.000 0.000 4.8100 69.42 0.140079 0.143447 0.146897 0.150430 52.06 31.48 JPMORGAN CHASE FINANCIAL 48133DP79 08/05/22 02/05/25 100.000 0.000 2.9100 41.46 0.083203 0.084413 0.085642 30.53 2.91 JPMORGAN CHASE FINANCIAL 48133E181 08/03/22 08/05/25 100.000 0.000 4.8100 69.42 0.140153 0.143523 0.146975 0.150510 52.06 32.09 JPMORGAN CHASE FINANCIAL 48133LX23 08/10/22 08/08/24 100.000 0.000 4.6100 65.53 0.133993 0.137082 29.63 JPMORGAN CHASE FINANCIAL 48133LX49 08/10/22 08/08/25 100.000 0.000 4.8100 68.44 0.140079 0.143447 0.146897 0.150430 52.01 32.51 JPMORGAN CHASE FINANCIAL 48133LFC1 08/03/22 08/01/25 100.000 0.000 4.8100 69.42 0.140079 0.143447 0.146897 0.150430 52.06 31.48 JPMorgan Chase Finance 48133TZK4 01/25/23 07/25/24 100.000 0.000 5.7800 54.67 0.165196 0.169970 34.56 JPMorgan Chase Finance 48133TZQ1 01/25/23 07/25/24 100.000 0.000 6.7700 64.18 0.194421 0.201002 40.85 JPMorgan Chase Finance 48133TJK2 02/03/23 02/04/27 100.000 0.000 5.6600 52.23 0.161696 0.166272 0.170978 0.175817 0.180792 60.40 63.87 JPMorgan Chase Finance 48133VPT1 05/03/23 11/02/26 100.000 0.000 5.7900 38.55 0.165464 0.170254 0.175183 0.180254 0.185473 61.00 64.59 JPMorgan Chase Finance 48133TJJ5 02/03/23 02/04/27 100.000 0.000 5.6600 52.23 0.161696 0.166272 0.170978 0.175817 0.180792 60.40 63.87 JPMorgan Chase Finance 48133TKD6 02/03/23 02/05/26 100.000 0.000 5.6400 52.05 0.161135 0.165679 0.170351 0.175155 0.180095 60.17 63.61 JPMorgan Chase Finance 48133TKC8 02/03/23 11/05/24 100.000 0.000 5.7200 52.92 0.165822 0.170565 51.26 JPMorgan Chase Finance 48133TJY2 02/03/23 02/04/27 100.000 0.000 5.6600 52.23 0.161696 0.166272 0.170978 0.175817 0.180792 60.40 63.87 JPMorgan Chase Finance 48133TKE4 02/03/23 02/05/25 100.000 0.000 5.7200 52.80 0.163485 0.168161 0.172970 61.08 5.88 JPMorgan Chase Finance 48133TKH7 02/03/23 02/05/26 100.000 0.000 5.6400 52.05 0.161135 0.165679 0.170351 0.175155 0.180095 60.17 63.61 JPMorgan Chase Finance 48133TVC6 01/19/23 01/22/24 100.000 0.000 5.1700 49.73 0.147387 3.10 JPMorgan Chase Finance 48133TVE2 01/19/23 02/16/24 100.000 0.000 5.2700 50.77 0.150840 6.79 JPMorgan Chase Finance 48133T5S0 02/02/23 05/03/24 100.000 0.000 5.4700 50.73 0.158259 19.31 JPMorgan Chase Finance 48133TWM3 01/23/23 02/23/24 100.000 0.000 5.2700 50.17 0.150906 7.85 JPMorgan Chase Finance 48133VM49 05/03/23 05/09/24 100.000 0.000 5.2300 34.80 0.149207 19.10 JPMorgan Chase Finance 48133VM72 05/10/23 08/08/24 100.000 0.000 5.6700 36.69 0.159683 0.164210 35.47 JPMorgan Chase Finance 48133T6E0 02/03/23 08/05/24 100.000 0.000 5.7800 53.36 0.165249 0.170024 36.22 JPMorgan Chase Finance 48133VN22 05/03/23 08/01/24 100.000 0.000 5.6600 37.75 0.159397 0.163908 34.29 JPMorgan Chase Finance 48133U2D3 01/19/23 02/20/24 100.000 0.000 5.2200 50.29 0.149453 7.32 JPMorgan Chase Finance 48133PDU4 01/19/23 01/31/24 100.000 0.000 5.1700 49.75 0.147556 4.28 JPMorgan Chase Finance 48133U2F8 02/03/23 03/04/24 100.000 0.000 5.1500 47.54 0.147390 9.29 JPMorgan Chase Finance 48133U2G6 01/25/23 02/07/24 100.000 0.000 5.1700 48.87 0.147577 5.31 JPMorgan Chase Finance 48133TA21 02/03/23 02/05/26 100.000 0.000 5.6400 52.05 0.161135 0.165679 0.170351 0.175155 0.180095 60.17 63.61 JPMorgan Chase Finance 48133TA47 02/03/23 02/05/26 100.000 0.000 5.6400 52.05 0.161135 0.165679 0.170351 0.175155 0.180095 60.17 63.61 JPMorgan Chase Finance 48133TSC0 01/20/23 04/22/24 100.000 0.000 5.4800 52.73 0.158583 17.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Finance 48133TB46 02/03/23 02/05/24 100.000 0.000 5.1700 47.66 0.147366 5.01 JPMorgan Chase Finance 48133TB87 02/03/23 08/05/26 100.000 0.000 5.0400 46.45 0.143568 0.147186 0.150895 0.154698 0.158596 53.41 56.13 JPMorgan Chase Finance 48133TC45 02/02/23 02/04/25 100.000 0.000 5.7200 52.96 0.163485 0.168161 0.172970 61.09 5.71 JPMorgan Chase Finance 48133TC86 02/02/23 02/04/26 100.000 0.000 6.0100 55.68 0.172019 0.177188 0.182512 0.187997 0.193646 64.40 68.33 JPMorgan Chase Finance 48133TC78 02/02/23 02/04/25 100.000 0.000 5.7200 52.96 0.163485 0.168161 0.172970 61.09 5.71 JPMorgan Chase Finance 48133TD28 02/03/23 02/05/26 100.000 0.000 4.9800 45.89 0.141817 0.145348 0.148967 0.152677 0.156478 52.73 55.39 JPMorgan Chase Finance 48133U5M0 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Finance 48133TLS2 02/03/23 02/05/25 100.000 0.000 4.8500 44.68 0.138026 0.141374 0.144802 51.28 4.92 JPMorgan Chase Finance 48133TLU7 02/03/23 02/05/25 100.000 0.000 4.8500 44.68 0.138026 0.141374 0.144802 51.28 4.92 JPMorgan Chase Finance 48133TLL7 02/03/23 02/05/24 100.000 0.000 5.1700 47.66 0.147366 5.01 JPMorgan Chase Finance 48133TLK9 02/03/23 02/05/24 100.000 0.000 5.1700 47.66 0.147366 5.01 JPMorgan Chase Finance 48133TLM5 02/03/23 08/05/24 100.000 0.000 5.7800 53.36 0.165249 0.170024 36.22 JPMorgan Chase Finance 48133VSL5 05/03/23 10/31/24 100.000 0.000 6.1900 41.24 0.177177 0.182661 53.96 JPMorgan Chase Finance 48133VSX9 05/03/23 05/01/26 100.000 0.000 5.8200 38.76 0.166319 0.171159 0.176139 0.181265 0.186540 61.34 64.96 JPMorgan Chase Finance 48133VSY7 05/03/23 05/01/26 100.000 0.000 5.8200 38.76 0.166319 0.171159 0.176139 0.181265 0.186540 61.34 64.96 JPMorgan Chase Finance 48133VT67 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Finance 48133TPG4 02/03/23 02/05/24 100.000 0.000 5.1700 47.66 0.147366 5.01 JPMorgan Chase Finance 48133VVM9 05/03/23 05/31/24 100.000 0.000 5.3800 35.82 0.154084 22.96 JPMorgan Chase Financial 48133DZS2 04/05/22 04/03/25 100.000 0.000 2.1708 38.27 0.062278 0.062954 0.063637 22.66 5.85 JPMorgan Chase Financial 48133DZT0 04/05/22 04/05/27 100.000 0.000 2.6911 47.60 0.077810 0.078857 0.079918 0.080994 0.082083 28.38 29.15 JPMorgan Chase Financial 48133DZZ6 04/05/22 04/03/25 100.000 0.000 2.1708 38.27 0.062278 0.062954 0.063637 22.66 5.85 JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25 100.000 0.000 3.8909 232.28 0.131045 0.133594 0.136193 0.138843 48.41 28.94 JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25 100.000 0.000 3.8909 232.28 0.131045 0.133594 0.136193 0.138843 48.41 28.94 JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24 100.000 0.000 3.1311 155.86 0.100002 11.90 JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24 100.000 0.000 3.8413 204.48 0.126602 4.81 JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25 100.000 0.000 2.3402 96.55 0.070522 0.071347 0.072182 25.81 1.01 JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27 100.000 VARIES 2.4049 16.46 0.007249 0.007335 0.007424 0.007512 0.007604 2.65 2.71 JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25 100.000 0.000 3.8909 232.28 0.131045 0.133594 0.136193 0.138843 48.41 28.94 JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25 100.000 0.000 2.7505 123.22 0.085223 0.086395 0.087583 0.088788 31.11 23.78 JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26 100.000 0.000 2.8905 129.84 0.090060 0.091361 0.092682 0.094021 0.095380 32.89 33.85 JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24 100.000 0.000 2.5908 115.72 0.079773 0.080806 21.64 JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25 100.000 0.000 3.9304 239.26 0.135226 0.137883 0.140593 49.19 24.60 JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24 100.000 0.000 2.3202 98.65 0.070661 0.071481 23.32 JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25 100.000 0.000 2.4004 102.49 0.073359 0.074239 0.075130 26.62 11.19 JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25 100.000 0.000 2.3404 95.15 0.070506 0.071331 0.072166 25.78 2.09 JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24 100.000 0.000 2.2505 95.83 0.068371 10.19 JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25 100.000 0.000 2.3404 95.15 0.070506 0.071331 0.072166 25.78 2.09 JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26 100.000 0.000 2.6400 113.21 0.081450 0.082525 0.083614 0.084718 0.085836 29.58 30.37 JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24 100.000 0.000 2.1403 96.40 0.064718 0.065406 15.59 JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24 100.000 0.000 3.1311 155.86 0.100002 11.90 JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24 100.000 0.000 3.1311 155.86 0.100002 11.90 JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25 100.000 0.000 2.3404 95.50 0.070528 0.071353 0.072188 25.79 2.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26 100.000 0.000 3.2710 164.88 0.105166 0.106886 0.108634 0.110410 0.112216 38.42 39.68 JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26 100.000 0.000 2.6400 113.21 0.081450 0.082525 0.083614 0.084718 0.085836 29.58 30.37 JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24 100.000 0.000 2.3202 98.65 0.070661 0.071481 23.32 JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26 100.000 0.000 3.2713 166.89 0.105166 0.106886 0.108635 0.110412 0.112218 38.49 39.75 JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26 100.000 0.000 3.2713 166.89 0.105166 0.106886 0.108635 0.110412 0.112218 38.49 39.75 JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24 100.000 0.000 2.3202 98.93 0.070682 0.071502 23.33 JPMorgan Chase Financial 48133FBL8 05/04/22 05/02/25 100.000 0.000 3.4117 57.74 0.099684 0.101384 0.103114 36.39 12.48 JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26 100.000 0.000 2.8100 134.06 0.088511 0.089755 0.091016 0.092295 0.093592 32.09 33.00 JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25 100.000 0.000 2.5507 157.08 0.081462 0.082501 0.083553 29.70 7.52 JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24 100.000 0.000 2.5102 119.03 0.078011 13.81 JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26 100.000 0.000 3.1201 150.79 0.099627 0.101181 0.102760 0.104363 0.105991 36.19 37.32 JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26 100.000 0.000 3.5710 184.65 0.116322 0.118399 0.120513 0.122665 0.124855 42.68 44.22 JPMorgan Chase Financial 48133FBM6 05/04/22 05/02/25 100.000 0.000 3.4117 57.74 0.099684 0.101384 0.103114 36.39 12.48 JPMorgan Chase Financial 48133FBP9 05/04/22 05/02/25 100.000 0.000 3.4117 57.74 0.099684 0.101384 0.103114 36.39 12.48 JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24 100.000 0.000 2.1409 94.81 0.064756 0.065449 17.54 JPMorgan Chase Financial 48133FBR5 05/04/22 05/04/26 100.000 0.000 3.5721 60.51 0.104636 0.106504 0.108407 0.110343 0.112314 38.22 39.60 JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26 100.000 0.000 2.8100 134.06 0.088511 0.089755 0.091016 0.092295 0.093592 32.09 33.00 JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26 100.000 0.000 2.8100 134.06 0.088511 0.089755 0.091016 0.092295 0.093592 32.09 33.00 JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26 100.000 0.000 2.8103 131.28 0.087284 0.088510 0.089754 0.091015 0.092294 32.02 32.92 JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26 100.000 0.000 2.8103 131.28 0.087284 0.088510 0.089754 0.091015 0.092294 32.02 32.92 JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24 100.000 0.000 2.7908 107.07 0.085420 0.086612 25.75 JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24 100.000 0.000 2.8505 138.17 0.089899 13.39 JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27 100.000 0.000 3.0407 117.13 0.093874 0.095302 0.096751 0.098222 0.099715 34.23 35.28 JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24 100.000 0.000 2.8505 138.17 0.089899 13.39 JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25 100.000 0.000 3.9300 239.09 0.135253 0.137910 0.140620 49.17 25.17 JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27 100.000 0.000 2.6405 106.05 0.080388 0.081449 0.082525 0.083614 0.084718 29.40 30.18 JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25 100.000 0.000 2.5307 110.57 0.077738 0.078722 0.079718 28.28 9.49 JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24 100.000 0.000 2.3812 103.75 0.072712 8.65 JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26 100.000 0.000 2.9402 138.71 0.091803 0.093153 0.094522 0.095912 0.097322 33.73 34.73 JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25 100.000 0.000 4.1113 234.90 0.140007 0.142885 0.145823 0.148820 51.29 43.70 JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26 100.000 0.000 2.7505 120.66 0.085225 0.086397 0.087585 0.088789 0.090011 31.04 31.90 JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24 100.000 0.000 1.8698 72.35 0.055688 9.86 JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27 100.000 0.000 2.2306 86.82 0.066962 0.067709 0.068464 0.069228 0.070000 24.38 24.92 JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26 100.000 0.000 2.0908 81.20 0.062464 0.063117 0.063777 0.064444 0.065118 22.72 23.20 JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24 100.000 0.000 1.9300 74.76 0.057616 0.058172 20.78 JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26 100.000 0.000 2.6398 110.68 0.081439 0.082514 0.083603 0.084706 0.085824 29.51 30.30 JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26 100.000 0.000 2.0908 81.20 0.062464 0.063117 0.063777 0.064444 0.065118 22.72 23.20 JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25 100.000 0.000 3.8909 232.28 0.131045 0.133594 0.136193 0.138843 48.41 28.94 JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26 100.000 0.000 3.2709 163.61 0.105141 0.106861 0.108609 0.110385 0.112190 38.37 39.64 JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26 100.000 0.000 3.2709 163.61 0.105141 0.106861 0.108609 0.110385 0.112190 38.37 39.64 JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26 100.000 0.000 2.6406 115.61 0.081477 0.082553 0.083643 0.084747 0.085866 29.65 30.44 JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24 100.000 0.000 2.4507 106.54 0.075018 0.075937 22.60 JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24 100.000 0.000 2.1403 96.40 0.064718 0.065406 15.59 JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24 100.000 0.000 2.1403 96.40 0.064718 0.065406 15.59 JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25 100.000 0.000 1.9606 75.80 0.058300 0.058871 0.059449 21.20 5.29 JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25 100.000 0.000 1.9606 75.80 0.058300 0.058871 0.059449 21.20 5.29 JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24 100.000 0.000 2.4507 106.54 0.075018 0.075937 22.60 JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24 100.000 0.000 2.5405 115.70 0.078063 4.53 JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25 100.000 0.000 2.8498 106.94 0.086789 0.088025 0.089280 0.090545 31.77 21.48 JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27 100.000 0.000 2.6405 115.60 0.081481 0.082556 0.083646 0.084751 0.085870 29.65 30.44 JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25 100.000 0.000 2.6709 121.95 0.082485 0.083587 0.084703 30.17 4.83 JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26 100.000 0.000 2.8904 132.53 0.090056 0.091350 0.092678 0.094002 0.095376 32.97 33.93 JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24 100.000 0.000 3.1311 156.16 0.100027 11.90 JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26 100.000 0.000 3.4011 170.59 0.109958 0.111828 0.113730 0.115664 0.117631 40.15 41.53 JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27 100.000 0.000 3.0405 114.40 0.093860 0.095287 0.096735 0.098206 0.099699 34.14 35.19 JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25 100.000 0.000 1.9604 75.97 0.058305 0.058876 0.059453 21.20 5.29 JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24 100.000 0.000 2.5905 120.09 0.079735 0.080768 16.85 JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24 100.000 0.000 2.5905 120.09 0.079735 0.080768 16.85 JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25 100.000 0.000 2.3804 95.20 0.072270 0.073130 0.074000 26.23 11.03 JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26 100.000 0.000 2.5004 100.18 0.075760 0.076707 0.077666 0.078637 0.079621 27.68 28.38 JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27 100.000 0.000 2.6405 106.05 0.080388 0.081449 0.082525 0.083614 0.084718 29.40 30.18 JPMorgan Chase Financial 48133F7C3 06/03/22 06/05/25 100.000 0.000 3.4100 54.82 0.099669 0.101369 0.103097 36.28 15.88 JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27 100.000 0.000 3.0406 108.72 0.092481 0.093887 0.095314 0.096763 0.098234 33.97 35.01 JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26 100.000 0.000 2.6396 111.00 0.081454 0.082529 0.083618 0.084721 0.085839 29.52 30.30 JPMorgan Chase Financial 48133FYV1 06/03/22 06/04/26 100.000 0.000 3.5700 57.44 0.104583 0.106449 0.108350 0.110284 0.112252 38.09 39.46 JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25 100.000 0.000 1.9604 77.49 0.058284 0.058855 0.059432 21.23 3.39 JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25 100.000 0.000 1.9604 77.49 0.058284 0.058855 0.059432 21.23 3.39 JPMorgan Chase Financial 48133F7H2 05/31/22 05/30/25 100.000 0.000 3.4100 55.12 0.099650 0.101349 0.103077 36.29 15.36 JPMorgan Chase Financial 48133GKN2 06/07/22 06/05/25 100.000 0.000 3.4100 54.42 0.099632 0.101331 0.103058 36.26 15.87 JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24 100.000 0.000 2.7803 98.65 0.084485 0.085659 25.89 JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27 100.000 0.000 3.0406 108.72 0.092481 0.093887 0.095314 0.096763 0.098234 33.97 35.01 JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25 100.000 0.000 1.9626 77.58 0.058354 0.058926 0.059505 21.25 3.39 JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24 100.000 0.000 2.8505 138.17 0.089899 13.39 JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26 100.000 0.000 3.4005 167.26 0.109925 0.111795 0.113695 0.115628 0.117594 40.03 41.40 JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24 100.000 0.000 3.1310 153.15 0.100021 14.90 JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25 100.000 0.000 2.4900 104.43 0.076386 0.077337 0.078300 0.079274 27.67 28.28 JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26 100.000 0.000 2.6396 111.00 0.081454 0.082529 0.083618 0.084721 0.085839 29.52 30.30 JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24 100.000 0.000 2.2798 95.30 0.068967 0.069753 18.69 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25 100.000 0.000 1.9606 77.84 0.058310 0.058882 0.059459 21.24 3.39 JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27 100.000 0.000 3.0400 111.47 0.093850 0.095277 0.096725 0.098195 0.099688 34.05 35.09 JPMorgan Chase Financial 48133FZW8 05/25/22 05/24/29 100.000 0.000 3.8000 62.11 0.111676 0.113798 0.115960 0.118163 0.120408 40.74 42.31 JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25 100.000 0.000 2.8198 103.05 0.086393 0.087611 0.088846 31.32 15.90 JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25 100.000 0.000 2.8198 103.05 0.086393 0.087611 0.088846 31.32 15.90 JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24 100.000 0.000 2.7805 96.28 0.084503 0.085678 28.44 JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27 100.000 0.000 3.0406 105.94 0.092465 0.093863 0.095298 0.096730 0.098217 33.88 34.92 JPMorgan Chase Financial 48130UWQ4 06/29/21 06/29/28 100.000 0.000 1.0202 25.82 0.029069 0.029217 0.029366 0.029516 0.029666 10.49 10.60 JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25 100.000 0.000 2.7911 96.65 0.084267 0.085443 0.086635 30.82 5.54 JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27 100.000 0.000 3.0400 111.47 0.093850 0.095277 0.096725 0.098195 0.099688 34.05 35.09 JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24 100.000 0.000 2.1904 93.18 0.066385 0.067112 21.91 JPMorgan Chase Financial 48133DD72 03/29/22 03/28/24 100.000 0.000 3.0930 55.39 0.089957 7.83 JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25 100.000 0.000 2.3804 95.20 0.072270 0.073130 0.074000 26.23 11.03 JPMorgan Chase Financial 48133DUS7 04/05/22 04/06/26 100.000 0.000 2.4607 43.47 0.070913 0.071786 0.072669 0.073563 0.074468 25.84 26.47 JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25 100.000 0.000 3.9714 249.81 0.136953 0.139672 0.142446 50.13 16.95 JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26 100.000 0.000 2.7505 120.66 0.085225 0.086397 0.087585 0.088789 0.090011 31.04 31.90 JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26 100.000 0.000 3.4010 168.83 0.109975 0.111845 0.113747 0.115681 0.117648 40.09 41.46 JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26 100.000 0.000 3.4005 167.26 0.109925 0.111795 0.113695 0.115628 0.117594 40.03 41.40 JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25 100.000 0.000 3.9714 249.81 0.136953 0.139672 0.142446 50.13 16.95 JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25 100.000 0.000 3.9714 249.81 0.136953 0.139672 0.142446 50.13 16.95 JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26 100.000 0.000 3.4005 167.26 0.109925 0.111795 0.113695 0.115628 0.117594 40.03 41.40 JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26 100.000 0.000 2.6402 113.88 0.081465 0.082540 0.083630 0.084734 0.085852 29.60 30.39 JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24 100.000 0.000 3.4409 182.21 0.111390 3.23 JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24 100.000 0.000 2.4504 106.90 0.075031 0.075950 22.60 JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26 100.000 0.000 3.7407 200.03 0.122766 0.125062 0.127401 0.129784 0.132212 45.31 47.02 JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26 100.000 0.000 3.7407 200.03 0.122766 0.125062 0.127401 0.129784 0.132212 45.31 47.02 JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24 100.000 0.000 2.5104 116.57 0.077050 0.078017 16.28 JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24 100.000 0.000 2.3206 100.64 0.070670 0.071490 21.28 JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24 100.000 0.000 2.4204 112.19 0.074024 2.15 JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25 100.000 0.000 4.1116 238.70 0.140016 0.142895 0.145832 0.148830 51.45 39.77 JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25 100.000 0.000 4.1116 238.70 0.140016 0.142895 0.145832 0.148830 51.45 39.77 JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25 100.000 0.000 4.1116 238.70 0.140016 0.142895 0.145832 0.148830 51.45 39.77 JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26 100.000 0.000 2.8103 131.28 0.087284 0.088510 0.089754 0.091015 0.092294 32.02 32.92 JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48133F2H7 06/03/22 06/05/25 100.000 0.000 3.4100 54.82 0.099669 0.101369 0.103097 36.28 15.88 JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48133F2K0 06/03/22 06/03/27 100.000 0.000 3.6700 59.08 0.107660 0.109636 0.111647 0.113696 0.115783 39.22 40.68 JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48133F2L8 05/31/22 05/30/25 100.000 0.000 3.4100 55.12 0.099650 0.101349 0.103077 36.29 15.36 JPMorgan Chase Financial 48133F2C8 05/25/22 05/25/27 100.000 0.000 3.6700 59.94 0.107660 0.109636 0.111647 0.113696 0.115783 39.26 40.71 JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24 103.000 0.250 3.1279 227.56 0.106389 0.107945 20.49 JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27 100.000 0.000 2.6405 108.30 0.080395 0.081456 0.082532 0.083621 0.084725 29.46 30.24 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24 100.000 0.000 2.4507 108.94 0.075027 0.075946 20.35 JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26 100.000 0.000 3.5711 186.98 0.116313 0.118390 0.120504 0.122655 0.124846 42.77 44.31 JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24 100.000 0.000 2.4507 108.94 0.075027 0.075946 20.35 JPMorgan Chase Financial 48133F2M6 05/31/22 05/28/27 100.000 0.000 3.6700 59.41 0.107639 0.109614 0.111625 0.113673 0.115759 39.24 40.69 JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26 100.000 0.000 2.8904 132.53 0.090056 0.091350 0.092678 0.094002 0.095376 32.97 33.93 JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24 100.000 0.000 3.0015 151.86 0.095297 8.29 JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26 100.000 0.000 2.8904 132.53 0.090056 0.091350 0.092678 0.094002 0.095376 32.97 33.93 JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24 100.000 0.000 1.6800 67.79 0.049689 0.050107 14.93 JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24 100.000 0.000 3.2313 167.20 0.103631 6.01 JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24 100.000 0.000 3.2313 167.20 0.103631 6.01 JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24 100.000 0.000 3.3109 171.62 0.106559 6.18 JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24 100.000 0.000 3.3109 171.62 0.106559 6.18 JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25 100.000 0.000 4.0210 236.74 0.136282 0.139022 0.141817 0.144652 50.23 34.27 JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25 100.000 0.000 4.0210 236.74 0.136282 0.139022 0.141817 0.144652 50.23 34.27 JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25 100.000 0.000 4.0210 236.74 0.136282 0.139022 0.141817 0.144652 50.23 34.27 JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24 100.000 0.000 3.2313 167.20 0.103631 6.01 JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25 100.000 0.000 3.9611 245.00 0.136522 0.139226 0.141984 49.80 21.16 JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24 100.000 0.000 3.2313 167.20 0.103631 6.01 JPMorgan Chase Financial 48133FDZ5 05/04/22 05/04/27 100.000 0.000 3.6712 62.22 0.107698 0.109675 0.111688 0.113738 0.115826 39.35 40.81 JPMorgan Chase Financial 48132T2K1 05/10/21 05/08/31 100.000 0.000 2.1502 58.14 0.063001 0.063679 0.064363 0.065055 0.065755 22.87 23.37 JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26 100.000 0.000 3.7408 196.60 0.122759 0.125055 0.127394 0.129777 0.132204 45.18 46.89 JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26 100.000 0.000 3.7408 196.60 0.122759 0.125055 0.127394 0.129777 0.132204 45.18 46.89 JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26 100.000 0.000 3.6910 194.85 0.120869 0.123100 0.125372 0.127685 0.130042 44.51 46.17 JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24 100.000 0.000 3.3109 171.62 0.106559 6.18 JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24 100.000 0.000 2.3702 111.72 0.073181 12.95 JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24 100.000 0.000 2.3702 111.72 0.073181 12.95 JPMorgan Chase Financial 48133FEL5 04/29/22 05/01/25 100.000 0.000 3.4121 58.24 0.099734 0.101436 0.103166 36.42 12.38 JPMorgan Chase Financial 48133FEN1 04/29/22 05/01/25 100.000 0.000 3.4121 58.24 0.099734 0.101436 0.103166 36.42 12.38 JPMorgan Chase Financial 48133FEM3 04/29/22 05/01/25 100.000 0.000 3.4121 58.24 0.099734 0.101436 0.103166 36.42 12.38 JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26 100.000 0.000 2.4202 107.75 0.074020 0.074916 0.075822 0.076740 0.077668 26.97 27.63 JPMorgan Chase Financial 48133FEP6 04/29/22 04/29/27 100.000 0.000 3.6716 62.77 0.107708 0.109686 0.111699 0.113750 0.115838 39.38 40.84 JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26 100.000 0.000 2.8906 133.35 0.090056 0.091357 0.092678 0.094017 0.095376 33.00 33.96 JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24 100.000 0.000 3.4413 180.45 0.111457 5.57 JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25 100.000 0.000 3.9611 245.00 0.136522 0.139226 0.141984 49.80 21.16 JPMorgan Chase Financial 48133FVU6 05/03/22 04/03/24 100.000 0.000 3.0925 52.35 0.089720 8.25 JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27 100.000 0.000 2.6405 106.05 0.080388 0.081449 0.082525 0.083614 0.084718 29.40 30.18 JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26 100.000 0.000 3.6909 194.12 0.120865 0.123095 0.125367 0.127680 0.130037 44.48 46.14 JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25 100.000 0.000 4.1114 235.75 0.140012 0.142890 0.145828 0.148825 51.33 42.83 JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25 100.000 0.000 4.1115 234.21 0.139982 0.142859 0.145796 0.148793 51.27 44.13 JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24 100.000 0.000 2.3399 97.45 0.071313 0.072147 25.54 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24 100.000 0.000 2.3200 96.59 0.070652 0.071471 25.30 JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24 100.000 0.000 2.3102 94.24 0.069947 0.070755 21.06 JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27 100.000 0.000 2.6405 108.30 0.080395 0.081456 0.082532 0.083621 0.084725 29.46 30.24 JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26 100.000 0.000 2.5004 102.31 0.075766 0.076713 0.077672 0.078643 0.079626 27.73 28.43 JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24 100.000 0.000 2.3400 97.88 0.071344 0.072179 25.55 JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24 100.000 0.000 3.1313 156.07 0.100034 12.00 JPMorgan Chase Financial 48133UHN5 02/28/23 05/29/24 100.000 0.000 5.4700 46.62 0.158259 23.42 JPMorgan Chase Financial 48133T7E9 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133T7D1 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133T7C3 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133UKH4 03/01/23 03/28/24 100.000 0.000 5.2700 44.43 0.150840 13.12 JPMorgan Chase Financial 48133UMQ2 04/05/23 04/03/25 100.000 0.000 5.9600 44.47 0.170434 0.175513 0.180744 63.18 16.63 JPMorgan Chase Financial 48133UMP4 04/04/23 04/02/26 100.000 0.000 5.8200 43.58 0.166319 0.171159 0.176139 0.181265 0.186540 61.62 65.26 JPMorgan Chase Financial 48133UMS8 04/05/23 04/06/26 100.000 0.000 5.8200 43.41 0.166397 0.171239 0.176223 0.181351 0.186628 61.61 65.25 JPMorgan Chase Financial 48133UMF6 04/05/23 04/05/27 100.000 0.000 5.6600 42.20 0.161672 0.166247 0.170952 0.175790 0.180764 59.82 63.26 JPMorgan Chase Financial 48133TK46 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133VRH5 04/11/23 10/09/25 100.000 0.000 5.8500 42.64 0.167200 0.172091 0.177125 0.182305 61.89 50.17 JPMorgan Chase Financial 48133VKG4 04/04/23 04/02/26 100.000 0.000 5.8200 43.58 0.166319 0.171159 0.176139 0.181265 0.186540 61.62 65.26 JPMorgan Chase Financial 48133TW68 03/02/23 03/02/28 100.000 0.000 5.6900 47.79 0.162552 0.167177 0.171933 0.176825 0.181855 60.47 63.96 JPMorgan Chase Financial 48133VLP3 04/06/23 04/11/24 100.000 0.000 5.2300 38.83 0.149185 14.92 JPMorgan Chase Financial 48133VMA5 04/05/23 04/05/27 100.000 0.000 5.7600 42.96 0.164608 0.169349 0.174226 0.179244 0.184406 60.94 64.50 JPMorgan Chase Financial 48133VLU2 04/12/23 10/10/24 100.000 0.000 6.1000 44.30 0.174555 0.179879 49.66 JPMorgan Chase Financial 48133UJ60 02/28/23 02/27/25 100.000 0.000 5.7200 48.70 0.163408 0.168081 0.172888 60.84 9.68 JPMorgan Chase Financial 48133UTC6 03/31/23 01/03/25 100.000 0.000 6.0300 45.86 0.170109 0.175238 0.180521 64.02 0.36 JPMorgan Chase Financial 48133UT69 04/04/23 04/03/25 100.000 0.000 5.9600 44.64 0.170462 0.175541 0.180773 63.19 16.63 JPMorgan Chase Financial 48133UT51 04/05/23 10/03/24 100.000 0.000 6.1000 45.52 0.174555 0.179879 48.44 JPMorgan Chase Financial 48133UT85 04/05/23 04/03/25 100.000 0.000 5.9600 44.47 0.170434 0.175513 0.180744 63.18 16.63 JPMorgan Chase Financial 48133UT77 04/04/23 04/03/25 100.000 0.000 5.9600 44.64 0.170462 0.175541 0.180773 63.19 16.63 JPMorgan Chase Financial 48133UT93 04/05/23 04/03/25 100.000 0.000 5.9600 44.47 0.170434 0.175513 0.180744 63.18 16.63 JPMorgan Chase Financial 48133TQ65 02/28/23 03/01/24 100.000 0.000 5.1700 43.97 0.147385 8.84 JPMorgan Chase Financial 48133UTD4 03/31/23 04/02/26 100.000 0.000 5.8200 44.24 0.166425 0.171268 0.176252 0.181381 0.186659 61.66 65.30 JPMorgan Chase Financial 48133VHA1 04/05/23 07/05/24 100.000 0.000 5.7500 42.89 0.162018 0.166676 30.65 JPMorgan Chase Financial 48133UUY6 04/04/23 04/02/26 100.000 0.000 5.9600 44.64 0.170434 0.175513 0.180744 0.186130 0.191676 63.19 67.01 JPMorgan Chase Financial 48133UW81 03/31/23 04/01/27 100.000 0.000 5.7600 43.78 0.164634 0.169375 0.174253 0.179272 0.184435 60.99 64.55 JPMorgan Chase Financial 48133VHK9 03/30/23 04/02/24 100.000 0.000 5.2300 39.72 0.149120 13.57 JPMorgan Chase Financial 48133TT96 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133TU45 02/28/23 02/27/25 100.000 0.000 5.7200 48.70 0.163408 0.168081 0.172888 60.84 9.68 JPMorgan Chase Financial 48133UP48 04/05/23 04/03/25 100.000 0.000 5.9600 44.47 0.170434 0.175513 0.180744 63.18 16.63 JPMorgan Chase Financial 48133VSH4 04/12/23 01/09/25 100.000 0.000 6.1200 44.46 0.172514 0.177793 0.183234 64.90 1.47 JPMorgan Chase Financial 48133UPA4 04/05/23 04/12/24 100.000 0.000 5.2300 38.98 0.149228 15.07 JPMorgan Chase Financial 48133UPC0 04/05/23 01/07/25 100.000 0.000 6.0300 45.00 0.170081 0.175209 0.180492 63.96 1.08 JPMorgan Chase Financial 48133UPB2 04/05/23 04/12/24 100.000 0.000 5.2300 38.98 0.149228 15.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133UPT3 03/31/23 04/02/26 100.000 0.000 5.6400 42.86 0.161135 0.165679 0.170351 0.175155 0.180095 59.65 63.06 JPMorgan Chase Financial 48133TN76 02/28/23 11/29/24 100.000 0.000 5.7500 49.04 0.166702 0.171495 55.54 JPMorgan Chase Financial 48133UPX4 04/04/23 04/04/28 100.000 0.000 5.8000 43.42 0.165783 0.170591 0.175538 0.180629 0.185867 61.40 65.01 JPMorgan Chase Financial 48133UPZ9 03/31/23 04/02/26 100.000 0.000 5.8200 44.24 0.166425 0.171268 0.176252 0.181381 0.186659 61.66 65.30 JPMorgan Chase Financial 48133TN84 02/28/23 02/26/26 100.000 0.000 5.6400 48.02 0.161036 0.165577 0.170246 0.175047 0.179983 59.94 63.37 JPMorgan Chase Financial 48133UQA3 03/31/23 03/31/28 100.000 0.000 5.7200 43.47 0.163433 0.168107 0.172915 0.177861 0.182947 60.54 64.05 JPMorgan Chase Financial 48133UQV7 04/05/23 04/12/24 100.000 0.000 5.3000 39.51 0.151279 15.28 JPMorgan Chase Financial 48133UQY1 04/05/23 04/06/26 100.000 0.000 5.5200 41.15 0.157589 0.161938 0.166408 0.171001 0.175720 58.26 61.53 JPMorgan Chase Financial 48133UQX3 04/05/23 10/05/26 100.000 0.000 5.8700 43.78 0.167841 0.172767 0.177838 0.183058 0.188430 62.17 65.87 JPMorgan Chase Financial 48133UR20 04/05/23 04/06/26 100.000 0.000 5.5200 41.15 0.157589 0.161938 0.166408 0.171001 0.175720 58.26 61.53 JPMorgan Chase Financial 48133UR46 03/31/23 04/02/26 100.000 0.000 5.5200 41.94 0.157614 0.161964 0.166434 0.171028 0.175748 58.31 61.57 JPMorgan Chase Financial 48133UQS4 04/05/23 04/06/26 100.000 0.000 5.9000 44.01 0.168750 0.173729 0.178854 0.184130 0.189562 62.51 66.25 JPMorgan Chase Financial 48133UR38 03/31/23 04/02/26 100.000 0.000 5.5200 41.94 0.157614 0.161964 0.166434 0.171028 0.175748 58.31 61.57 JPMorgan Chase Financial 48133UQR6 04/05/23 04/03/25 100.000 0.000 6.0500 45.15 0.173083 0.178319 0.183713 64.19 16.90 JPMorgan Chase Financial 48133UR61 03/31/23 04/02/26 100.000 0.000 5.5200 41.94 0.157614 0.161964 0.166434 0.171028 0.175748 58.31 61.57 JPMorgan Chase Financial 48133UQT2 04/05/23 10/03/24 100.000 0.000 6.1900 46.20 0.177207 0.182692 49.19 JPMorgan Chase Financial 48133TP82 02/28/23 02/28/29 100.000 0.000 5.7200 48.70 0.163433 0.168107 0.172915 0.177861 0.182947 60.84 64.37 JPMorgan Chase Financial 48133USA1 04/05/23 04/06/26 100.000 0.000 5.8200 43.41 0.166397 0.171239 0.176223 0.181351 0.186628 61.61 65.25 JPMorgan Chase Financial 48133UT28 04/05/23 04/11/24 100.000 0.000 5.2300 38.98 0.149207 14.92 JPMorgan Chase Financial 48133USC7 04/05/23 04/06/26 100.000 0.000 5.8200 43.41 0.166397 0.171239 0.176223 0.181351 0.186628 61.61 65.25 JPMorgan Chase Financial 48133T7G4 03/03/23 03/05/25 100.000 0.000 5.7200 47.89 0.163485 0.168161 0.172970 60.80 11.07 JPMorgan Chase Financial 48133X2Q8 08/03/23 08/05/27 100.000 0.000 5.3200 21.88 0.147821 0.151754 0.155790 0.159934 0.164188 55.09 58.06 JPMorgan Chase Financial 48133YWY6 08/31/23 08/31/28 100.000 0.000 5.3000 17.81 0.147222 0.151102 0.155128 0.159194 0.163459 54.66 57.59 JPMorgan Chase Financial 48133XD52 08/03/23 05/05/25 100.000 0.000 5.7200 23.65 0.161211 0.165822 0.170565 59.39 21.15 JPMorgan Chase Financial 48133X2U9 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133WR59 10/02/23 09/22/25 100.000 0.000 5.5800 13.79 0.155000 0.159084 0.163523 0.168085 57.38 43.50 JPMorgan Chase Financial 48133VNQ9 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133XD94 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48133X2V7 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48133XCK0 06/01/23 06/11/24 100.000 0.000 5.2300 30.63 0.149293 23.89 JPMorgan Chase Financial 48133XTM8 06/20/23 12/18/24 100.000 0.000 5.8500 31.10 0.167200 0.172091 58.90 JPMorgan Chase Financial 48134BNF6 10/13/23 04/15/25 100.000 0.000 5.8500 12.68 0.162553 0.167307 0.172201 60.11 17.91 JPMorgan Chase Financial 48133WQM3 05/22/23 05/22/25 100.000 0.000 5.9600 36.45 0.170489 0.175570 0.180802 62.69 25.49 JPMorgan Chase Financial 48133WQL5 05/24/23 06/25/24 100.000 0.000 5.3800 32.58 0.154175 26.83 JPMorgan Chase Financial 48133T7A7 03/03/23 03/05/26 100.000 0.000 4.9800 41.63 0.141817 0.145348 0.148967 0.152677 0.156478 52.52 55.17 JPMorgan Chase Financial 48130CHK4 02/28/24 02/28/39 100.000 VARIES 5.3400 0.144228 0.154389 0.141556 0.137889 45.54 50.30 JPMorgan Chase Financial 48133NX78 11/02/22 10/31/24 100.000 0.000 4.8500 57.43 0.141298 0.144725 42.86 JPMorgan Chase Financial 48130CHL2 02/28/24 02/28/34 100.000 VARIES 5.3300 0.143821 0.154222 0.144167 0.142056 45.45 51.52 JPMorgan Chase Financial 48133YWU4 08/31/23 09/02/26 100.000 0.000 5.4000 18.16 0.150045 0.154096 0.158257 0.162530 0.166918 55.72 58.77 JPMorgan Chase Financial 48133YFS8 07/19/23 07/31/24 100.000 0.000 5.3200 23.98 0.148018 0.151955 31.64 JPMorgan Chase Financial 48133PMP5 11/28/22 11/28/25 100.000 0.000 4.9800 55.22 0.145308 0.148926 0.152635 0.156435 53.20 50.60 JPMorgan Chase Financial 48133PMT7 11/28/22 11/28/25 100.000 0.000 4.9800 55.22 0.145308 0.148926 0.152635 0.156435 53.20 50.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133WA99 05/24/23 05/22/26 100.000 0.000 5.8200 35.26 0.166319 0.171159 0.176139 0.181265 0.186540 61.13 64.74 JPMorgan Chase Financial 48133VNV8 05/03/23 05/10/24 100.000 0.000 5.2300 34.80 0.149228 19.25 JPMorgan Chase Financial 48133X2Y1 07/07/23 07/09/25 100.000 0.000 5.5800 26.98 0.155048 0.159374 0.163820 0.168391 58.10 31.62 JPMorgan Chase Financial 48133WR91 10/04/23 04/03/25 100.000 0.000 5.8500 14.14 0.162500 0.167227 0.172118 60.20 15.83 JPMorgan Chase Financial 48133X2X3 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48133VNY2 05/03/23 10/31/24 100.000 0.000 6.1000 40.64 0.174526 0.179849 53.14 JPMorgan Chase Financial 48130CHY4 03/21/24 03/21/39 100.000 VARIES 5.3240 0.146970 0.143944 0.141889 0.139722 40.46 50.69 JPMorgan Chase Financial 48133THQ1 01/03/23 01/09/24 100.000 0.000 5.4200 54.65 0.154775 1.24 JPMorgan Chase Financial 48133YXA7 09/06/23 09/09/24 100.000 0.000 5.3200 17.00 0.147843 0.151776 37.37 JPMorgan Chase Financial 48133THU2 01/05/23 01/05/26 100.000 0.000 4.9800 49.85 0.141778 0.145308 0.148926 0.152635 0.156435 52.93 55.60 JPMorgan Chase Financial 48133YGC2 07/19/23 01/17/25 100.000 0.000 5.8500 26.33 0.162500 0.167200 0.172091 60.92 2.75 JPMorgan Chase Financial 48133VNZ9 05/03/23 05/01/26 100.000 0.000 5.7700 38.42 0.164850 0.169606 0.174499 0.179534 0.184713 60.78 64.34 JPMorgan Chase Financial 48133YXD1 08/31/23 08/31/28 100.000 0.000 5.3000 17.81 0.147222 0.151102 0.155128 0.159194 0.163459 54.66 57.59 JPMorgan Chase Financial 48133XUA2 06/30/23 07/25/24 100.000 0.000 5.4300 27.39 0.151402 0.155513 31.63 JPMorgan Chase Financial 48133NXD5 10/31/22 10/29/27 100.000 0.000 5.1900 61.83 0.151725 0.155662 0.159701 0.163846 0.168097 55.82 58.76 JPMorgan Chase Financial 48133WRA8 06/02/23 06/04/27 100.000 0.000 5.7600 33.58 0.164661 0.169403 0.174282 0.179301 0.184465 60.39 63.92 JPMorgan Chase Financial 48133MDB3 09/21/22 09/21/27 100.000 VARIES 5.1900 53.97 0.147889 0.149333 0.149667 0.149278 0.148278 53.51 53.80 JPMorgan Chase Financial 48133YGD0 07/27/23 07/29/26 100.000 0.000 5.4000 23.11 0.150045 0.154096 0.158257 0.162530 0.166918 55.99 59.06 JPMorgan Chase Financial 48133YGX6 08/02/23 07/31/25 100.000 0.000 5.5800 23.10 0.155000 0.159276 0.163720 0.168288 57.89 35.04 JPMorgan Chase Financial 48133NXY9 10/06/22 10/05/27 100.000 0.000 5.1900 65.47 0.151725 0.155662 0.159701 0.163846 0.168097 56.02 58.96 JPMorgan Chase Financial 48133XE51 07/31/23 07/31/28 100.000 0.000 5.3000 22.23 0.147222 0.151124 0.155128 0.159239 0.163459 54.90 57.84 JPMorgan Chase Financial 48133WS33 10/02/23 04/01/25 100.000 0.000 5.8500 14.46 0.162500 0.167227 0.172118 60.22 15.49 JPMorgan Chase Financial 48133XV60 07/31/23 07/30/26 100.000 0.000 4.8900 20.51 0.135833 0.139154 0.142557 0.146042 0.149613 50.51 53.01 JPMorgan Chase Financial 48133XE85 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48133WS66 10/12/23 10/21/25 100.000 0.000 5.5800 12.26 0.155216 0.159547 0.163998 0.168574 57.27 48.38 JPMorgan Chase Financial 48133WRT7 05/19/23 05/31/24 100.000 0.000 5.2300 32.42 0.149315 22.25 JPMorgan Chase Financial 48133WB64 05/15/23 05/14/25 100.000 0.000 5.9600 37.65 0.170462 0.175541 0.180773 62.77 24.04 JPMorgan Chase Financial 48133WS74 10/12/23 04/10/25 100.000 0.000 5.8500 12.84 0.162500 0.167200 0.172091 60.12 17.04 JPMorgan Chase Financial 48133PMV2 11/28/22 11/26/27 100.000 0.000 5.1900 57.59 0.151703 0.155640 0.159679 0.163823 0.168074 55.60 58.52 JPMorgan Chase Financial 48133YH23 08/16/23 08/28/24 100.000 0.000 5.3200 19.98 0.148040 0.151978 35.79 JPMorgan Chase Financial 48133WAJ7 04/28/23 10/29/24 100.000 0.000 6.1000 41.50 0.174641 0.179968 53.00 JPMorgan Chase Financial 48133XV37 08/03/23 08/05/26 100.000 0.000 5.3600 22.04 0.148933 0.152925 0.157023 0.161231 0.165552 55.52 58.53 JPMorgan Chase Financial 48133XV29 08/03/23 08/05/26 100.000 0.000 5.3600 22.04 0.148933 0.152925 0.157023 0.161231 0.165552 55.52 58.53 JPMorgan Chase Financial 48133YGR9 07/17/23 07/16/25 100.000 0.000 5.5200 25.15 0.153333 0.157542 0.161890 0.166358 57.37 32.37 JPMorgan Chase Financial 48133XE44 08/03/23 08/05/26 100.000 0.000 5.4000 22.21 0.150045 0.154096 0.158257 0.162530 0.166918 55.94 59.01 JPMorgan Chase Financial 48133XV52 07/31/23 07/30/26 100.000 0.000 5.3600 22.48 0.148889 0.152879 0.156976 0.161183 0.165503 55.54 58.56 JPMorgan Chase Financial 48133WS25 10/25/23 10/23/26 100.000 0.000 5.4000 9.90 0.150000 0.154005 0.158163 0.162434 0.166819 55.28 58.30 JPMorgan Chase Financial 48133XV45 07/31/23 07/30/26 100.000 0.000 5.3600 22.48 0.148889 0.152879 0.156976 0.161183 0.165503 55.54 58.56 JPMorgan Chase Financial 48133VPB0 05/03/23 05/01/26 100.000 0.000 5.7700 38.42 0.164850 0.169606 0.174499 0.179534 0.184713 60.78 64.34 JPMorgan Chase Financial 4813312T1 01/25/23 02/23/24 100.000 0.000 5.2700 49.87 0.150862 7.84 JPMorgan Chase Financial 48133VPA2 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133VPD6 05/03/23 05/01/26 100.000 0.000 5.7700 38.42 0.164850 0.169606 0.174499 0.179534 0.184713 60.78 64.34 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133VPC8 05/02/23 05/01/25 100.000 0.000 5.9600 39.86 0.170462 0.175541 0.180773 62.90 21.69 JPMorgan Chase Financial 48133VPF1 05/03/23 05/01/26 100.000 0.000 5.8200 38.76 0.166319 0.171159 0.176139 0.181265 0.186540 61.34 64.96 JPMorgan Chase Financial 48133VPE4 05/02/23 05/01/25 100.000 0.000 5.9600 39.86 0.170462 0.175541 0.180773 62.90 21.69 JPMorgan Chase Financial 48133DL24 06/28/22 07/15/27 105.000 0.500 5.0100 72.64 0.140111 0.143556 0.147111 0.150778 0.154500 51.18 53.74 JPMorgan Chase Financial 48133VPG9 04/28/23 04/30/26 100.000 0.000 5.7700 39.24 0.164955 0.169714 0.174610 0.179647 0.184830 60.83 64.39 JPMorgan Chase Financial 48133WRZ3 05/19/23 11/20/24 100.000 0.000 6.1900 38.39 0.177296 0.182783 57.55 JPMorgan Chase Financial 48134ALX1 08/30/23 09/30/24 100.000 0.000 5.4100 18.25 0.150955 0.155039 41.34 JPMorgan Chase Financial 48133XEW2 07/06/23 04/03/25 100.000 0.000 6.0300 29.53 0.169941 0.175065 0.180343 63.02 16.59 JPMorgan Chase Financial 48133XF84 07/06/23 07/03/25 100.000 0.000 5.5800 27.13 0.155000 0.159252 0.163696 0.168263 58.11 30.61 JPMorgan Chase Financial 48133VPR5 05/03/23 05/09/24 100.000 0.000 5.3000 35.27 0.151257 19.36 JPMorgan Chase Financial 48133XF76 08/03/23 08/05/26 100.000 0.000 5.3600 22.04 0.148933 0.152925 0.157023 0.161231 0.165552 55.52 58.53 JPMorgan Chase Financial 48133WSW9 05/22/23 11/19/26 100.000 0.000 5.7900 35.41 0.165412 0.170201 0.175128 0.180198 0.185415 60.82 64.39 JPMorgan Chase Financial 48133WSV1 05/23/23 05/31/24 100.000 0.000 5.2300 31.82 0.149228 22.24 JPMorgan Chase Financial 48133XEZ5 06/30/23 07/02/26 100.000 0.000 5.4000 27.16 0.150045 0.154096 0.158257 0.162530 0.166918 56.22 59.29 JPMorgan Chase Financial 48133WT99 10/25/23 04/24/25 100.000 0.000 5.8500 10.72 0.162500 0.167227 0.172118 60.00 19.45 JPMorgan Chase Financial 48133YZC1 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133YZB3 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133YZA5 09/06/23 09/03/27 100.000 0.000 5.3200 16.99 0.147778 0.151643 0.155677 0.159818 0.164069 54.83 57.78 JPMorgan Chase Financial 48133VPJ3 04/28/23 04/30/26 100.000 0.000 5.7700 39.24 0.164955 0.169714 0.174610 0.179647 0.184830 60.83 64.39 JPMorgan Chase Financial 48133VPK0 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133WBP2 06/02/23 06/04/26 100.000 0.000 5.8200 33.93 0.166425 0.171268 0.176252 0.181381 0.186659 61.05 64.65 JPMorgan Chase Financial 48133VPN4 05/02/23 04/30/26 100.000 0.000 5.8200 38.92 0.166319 0.171159 0.176139 0.181265 0.186540 61.35 64.97 JPMorgan Chase Financial 48133VPM6 04/28/23 04/30/26 100.000 0.000 5.7700 39.24 0.164955 0.169714 0.174610 0.179647 0.184830 60.83 64.39 JPMorgan Chase Financial 48133XF27 07/31/23 05/01/25 100.000 0.000 5.7200 24.13 0.161186 0.165796 0.170538 59.42 20.46 JPMorgan Chase Financial 48133XEU6 07/06/23 07/06/27 100.000 0.000 5.8400 28.39 0.162222 0.166959 0.171834 0.176852 0.182016 60.93 64.55 JPMorgan Chase Financial 48133WBR8 06/05/23 06/04/26 100.000 VARIES 5.7700 33.38 0.156611 0.156222 0.156667 0.157722 0.159026 56.31 56.58 JPMorgan Chase Financial 48133VPP9 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133WC30 06/01/23 12/02/24 100.000 0.000 6.1000 35.73 0.174641 0.179968 58.77 JPMorgan Chase Financial 48133WT40 10/16/23 01/16/25 100.000 0.000 5.5900 11.65 0.155278 0.157448 0.161848 57.37 2.43 JPMorgan Chase Financial 48133WC22 05/17/23 05/15/25 100.000 0.000 5.9600 37.31 0.170434 0.175513 0.180744 62.74 24.22 JPMorgan Chase Financial 48133WT32 10/18/23 04/17/25 100.000 0.000 5.8500 11.86 0.162500 0.167227 0.172118 60.06 18.24 JPMorgan Chase Financial 48133YZM9 08/31/23 09/03/25 100.000 0.000 5.5800 18.76 0.155072 0.159399 0.163846 0.168417 57.64 40.47 JPMorgan Chase Financial 48133YZL1 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133X5H5 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133UNB4 03/08/23 04/08/24 100.000 0.000 5.2000 42.80 0.148842 14.44 JPMorgan Chase Financial 48133NZQ4 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48133X5J1 08/02/23 07/31/25 100.000 0.000 5.5800 23.10 0.155000 0.159276 0.163720 0.168288 57.89 35.04 JPMorgan Chase Financial 48133YZS6 09/06/23 06/05/25 100.000 0.000 5.7200 18.33 0.161136 0.165744 0.170485 59.08 26.25 JPMorgan Chase Financial 48133YZD9 09/06/23 09/03/26 100.000 0.000 5.4000 17.25 0.150000 0.153982 0.158140 0.162410 0.166795 55.68 58.72 JPMorgan Chase Financial 48133YZG2 08/31/23 06/02/25 100.000 0.000 5.7200 19.29 0.161211 0.165822 0.170565 59.14 25.76 JPMorgan Chase Financial 48133UMZ2 03/08/23 06/06/24 100.000 0.000 5.4700 45.04 0.158187 24.52 JPMorgan Chase Financial 48133YZF4 08/31/23 09/02/26 100.000 0.000 5.4000 18.16 0.150045 0.154096 0.158257 0.162530 0.166918 55.72 58.77 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133YZE7 09/06/23 09/03/26 100.000 0.000 5.4000 17.25 0.150000 0.153982 0.158140 0.162410 0.166795 55.68 58.72 JPMorgan Chase Financial 48133YZH0 09/06/23 10/03/24 100.000 0.000 5.4100 17.34 0.150888 0.154969 41.78 JPMorgan Chase Financial 48133YZK3 08/31/23 03/05/25 100.000 0.000 5.6100 18.87 0.155955 0.160329 0.164827 57.96 10.55 JPMorgan Chase Financial 48133X5D4 08/03/23 08/09/24 100.000 0.000 5.3200 21.89 0.147909 0.151843 32.95 JPMorgan Chase Financial 48133YZJ6 09/06/23 03/05/25 100.000 0.000 5.8500 18.69 0.162500 0.167227 0.172118 60.47 11.02 JPMorgan Chase Financial 48133X5W2 07/31/23 07/31/25 100.000 0.000 5.5800 23.41 0.155000 0.159325 0.163770 0.168339 57.90 35.05 JPMorgan Chase Financial 48133VA83 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133VQW3 04/28/23 04/30/26 100.000 0.000 5.8200 39.58 0.166425 0.171268 0.176252 0.181381 0.186659 61.38 65.01 JPMorgan Chase Financial 48133VQY9 04/28/23 04/28/28 100.000 0.000 5.7200 38.90 0.163433 0.168107 0.172915 0.177861 0.182947 60.27 63.77 JPMorgan Chase Financial 48133XFQ4 07/06/23 07/06/26 100.000 0.000 5.7700 28.05 0.160278 0.164902 0.169659 0.174554 0.179590 60.17 63.70 JPMorgan Chase Financial 48133TKF1 01/31/23 01/29/26 100.000 0.000 5.6400 52.52 0.161060 0.165602 0.170272 0.175074 0.180011 60.20 63.64 JPMorgan Chase Financial 48133YZT4 08/31/23 09/02/26 100.000 0.000 5.4000 18.16 0.150045 0.154096 0.158257 0.162530 0.166918 55.72 58.77 JPMorgan Chase Financial 48133WTQ1 06/05/23 06/04/26 100.000 0.000 5.8200 33.43 0.166345 0.171186 0.176167 0.181294 0.186569 61.02 64.62 JPMorgan Chase Financial 48133X5Q5 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133XFR2 07/06/23 07/06/26 100.000 0.000 5.7700 28.05 0.160278 0.164902 0.169659 0.174554 0.179590 60.17 63.70 JPMorgan Chase Financial 48133XX43 08/03/23 09/06/24 100.000 0.000 5.4100 22.33 0.151023 0.155108 37.74 JPMorgan Chase Financial 48133X5S1 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48133TKJ3 01/31/23 01/29/26 100.000 0.000 4.9800 46.31 0.141759 0.145288 0.148906 0.152614 0.156414 52.75 55.41 JPMorgan Chase Financial 48133XFT8 06/30/23 07/02/26 100.000 0.000 4.8900 24.59 0.135870 0.139192 0.142596 0.146082 0.149654 50.72 53.23 JPMorgan Chase Financial 48133X5R3 08/02/23 07/31/26 100.000 0.000 5.4000 22.35 0.150000 0.154005 0.158163 0.162434 0.166819 55.95 59.01 JPMorgan Chase Financial 48133XX68 08/03/23 02/05/25 100.000 0.000 5.8500 24.06 0.162553 0.167307 0.172201 60.78 5.85 JPMorgan Chase Financial 48133VQR4 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133XX92 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133XFV3 06/30/23 07/02/26 100.000 0.000 4.8900 24.59 0.135870 0.139192 0.142596 0.146082 0.149654 50.72 53.23 JPMorgan Chase Financial 48133XX84 07/31/23 01/30/25 100.000 0.000 5.6600 23.74 0.157222 0.161672 0.166247 58.76 4.82 JPMorgan Chase Financial 48133X5T9 07/31/23 07/30/26 100.000 0.000 5.4000 22.65 0.150000 0.154050 0.158209 0.162481 0.166868 55.97 59.03 JPMorgan Chase Financial 48134BAD5 11/03/23 11/05/25 100.000 0.000 5.5800 8.99 0.155048 0.159374 0.163820 0.168391 57.09 50.62 JPMorgan Chase Financial 48133XXL5 06/30/23 07/03/25 100.000 0.000 5.5800 28.07 0.155072 0.159399 0.163846 0.168417 58.17 30.64 JPMorgan Chase Financial 48133X6H4 08/03/23 08/05/26 100.000 0.000 5.4000 22.21 0.150045 0.154096 0.158257 0.162530 0.166918 55.94 59.01 JPMorgan Chase Financial 48133YJL9 08/02/23 10/31/24 100.000 0.000 5.5800 23.22 0.157114 0.161498 47.77 JPMorgan Chase Financial 48134BAB9 11/03/23 11/08/24 100.000 0.000 5.3200 8.58 0.147887 0.151821 46.11 JPMorgan Chase Financial 48133XXN1 07/06/23 06/26/25 100.000 0.000 5.5800 27.15 0.159084 0.163523 0.168085 58.11 29.41 JPMorgan Chase Financial 48134BAE3 10/31/23 10/31/28 100.000 0.000 5.3000 8.98 0.147222 0.151124 0.155128 0.159239 0.163459 54.18 57.09 JPMorgan Chase Financial 48133VAE0 03/20/23 03/20/25 100.000 0.000 5.9600 47.02 0.170489 0.175570 0.180802 63.33 14.28 JPMorgan Chase Financial 48133TLD5 01/31/23 01/31/29 100.000 0.000 6.0500 56.39 0.173139 0.178377 0.183773 0.189332 0.195059 64.88 68.86 JPMorgan Chase Financial 48133XY26 07/31/23 07/31/25 100.000 0.000 5.5100 23.11 0.153056 0.157272 0.161605 0.166057 57.15 34.58 JPMorgan Chase Financial 48133TL78 03/03/23 03/05/25 100.000 0.000 5.7200 47.89 0.163485 0.168161 0.172970 60.80 11.07 JPMorgan Chase Financial 48133TL86 03/03/23 03/05/25 100.000 0.000 5.7200 47.89 0.163485 0.168161 0.172970 60.80 11.07 JPMorgan Chase Financial 48133X6G6 08/03/23 08/05/26 100.000 0.000 5.4000 22.21 0.150045 0.154096 0.158257 0.162530 0.166918 55.94 59.01 JPMorgan Chase Financial 48133PHT3 12/05/22 12/05/24 100.000 0.000 4.8500 52.76 0.141335 0.144763 47.82 JPMorgan Chase Financial 48133YSQ8 09/05/23 09/03/26 100.000 0.000 5.4000 17.40 0.150000 0.154005 0.158163 0.162434 0.166819 55.68 58.73 JPMorgan Chase Financial 48133XPN0 06/21/23 06/21/28 100.000 0.000 5.3000 28.01 0.151124 0.155128 0.159239 0.163459 0.167791 55.21 58.17 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XPP5 06/21/23 06/21/27 100.000 0.000 5.3200 28.12 0.151709 0.155744 0.159887 0.164140 0.168506 55.42 58.41 JPMorgan Chase Financial 48133WMM7 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133WML9 06/05/23 06/12/24 100.000 0.000 5.2300 30.03 0.149228 24.03 JPMorgan Chase Financial 48134AXJ9 09/27/23 03/27/25 100.000 0.000 5.8500 15.28 0.162500 0.167253 0.172145 60.26 14.80 JPMorgan Chase Financial 48133YBT0 07/12/23 01/10/25 100.000 0.000 5.8500 27.46 0.162500 0.167200 0.172091 60.99 1.55 JPMorgan Chase Financial 48133YT61 08/21/23 08/19/27 100.000 0.000 5.3200 19.21 0.147778 0.151665 0.155699 0.159841 0.164093 54.95 57.91 JPMorgan Chase Financial 48133WMN5 06/02/23 06/04/25 100.000 0.000 5.9600 34.75 0.170546 0.175628 0.180862 62.59 27.67 JPMorgan Chase Financial 48133YSG0 08/02/23 05/01/25 100.000 0.000 5.6700 23.60 0.159708 0.164235 0.168892 58.86 20.27 JPMorgan Chase Financial 48133P7J6 12/30/22 01/02/26 100.000 0.000 4.8900 49.64 0.139192 0.142596 0.146082 0.149654 0.153313 51.96 54.53 JPMorgan Chase Financial 48133TD69 03/03/23 03/08/24 100.000 0.000 5.1700 43.25 0.147429 9.88 JPMorgan Chase Financial 48133YSH8 08/02/23 09/03/24 100.000 0.000 5.4300 22.56 0.151539 0.155653 37.41 JPMorgan Chase Financial 48133NSK5 10/31/22 10/29/27 100.000 0.000 5.1900 61.83 0.151725 0.155662 0.159701 0.163846 0.168097 55.82 58.76 JPMorgan Chase Financial 48133YSL9 08/31/23 08/31/28 100.000 0.000 5.3000 17.81 0.147222 0.151102 0.155128 0.159194 0.163459 54.66 57.59 JPMorgan Chase Financial 48134BJV6 11/03/23 11/05/26 100.000 0.000 5.4000 8.70 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.23 JPMorgan Chase Financial 48130CDV4 11/30/23 11/30/38 100.000 VARIES 6.2700 5.23 0.172833 0.169500 0.166056 0.162556 0.160611 61.62 59.15 JPMorgan Chase Financial 48134BJU8 11/02/23 11/04/26 100.000 0.000 5.4000 8.85 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.24 JPMorgan Chase Financial 48133VK74 04/24/23 04/24/25 100.000 0.000 5.9600 41.22 0.170489 0.175570 0.180802 62.98 20.43 JPMorgan Chase Financial 48134AY41 09/27/23 09/27/28 100.000 0.000 5.3000 13.84 0.147222 0.151124 0.155128 0.159239 0.163459 54.45 57.37 JPMorgan Chase Financial 48134BJW4 10/31/23 10/29/26 100.000 0.000 5.4000 9.15 0.150000 0.154028 0.158186 0.162457 0.166844 55.23 58.25 JPMorgan Chase Financial 48134AH99 09/29/23 03/28/25 100.000 0.000 5.8500 14.95 0.162500 0.167227 0.172118 60.25 14.97 JPMorgan Chase Financial 48133TE76 03/02/23 03/04/25 100.000 0.000 5.7200 48.05 0.163485 0.168161 0.172970 60.81 10.90 JPMorgan Chase Financial 48133TDV4 12/29/22 12/29/27 100.000 0.000 5.1900 52.88 0.151746 0.155684 0.159724 0.163869 0.168121 55.35 58.26 JPMorgan Chase Financial 48133NC71 10/31/22 10/30/25 100.000 0.000 4.9800 59.28 0.145308 0.148926 0.152635 0.156435 53.41 46.32 JPMorgan Chase Financial 48133WMP0 06/02/23 06/04/25 100.000 0.000 5.9600 34.75 0.170546 0.175628 0.180862 62.59 27.67 JPMorgan Chase Financial 48133WMS4 06/02/23 06/04/26 100.000 0.000 5.8200 33.93 0.166425 0.171268 0.176252 0.181381 0.186659 61.05 64.65 JPMorgan Chase Financial 48133WMR6 06/05/23 06/04/27 100.000 0.000 5.7600 33.08 0.164582 0.169322 0.174199 0.179216 0.184377 60.36 63.89 JPMorgan Chase Financial 48133WMU9 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133WN61 09/06/23 09/22/25 100.000 0.000 5.5800 17.86 0.155384 0.159720 0.164176 0.168756 57.59 43.67 JPMorgan Chase Financial 48133WMT2 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133WMX3 05/31/23 05/31/28 100.000 0.000 5.7200 33.67 0.163433 0.168107 0.172915 0.177861 0.182947 59.97 63.45 JPMorgan Chase Financial 48134BJT1 11/03/23 08/05/25 100.000 0.000 5.7200 9.22 0.158889 0.161211 0.165822 0.170565 58.63 36.34 JPMorgan Chase Financial 48133WMW5 05/31/23 05/28/27 100.000 0.000 5.7600 33.91 0.164557 0.169296 0.174172 0.179188 0.184349 60.41 63.94 JPMorgan Chase Financial 48133UH21 02/27/23 02/25/28 100.000 0.000 5.6900 48.61 0.162502 0.167125 0.171880 0.176770 0.181799 60.51 64.01 JPMorgan Chase Financial 48134BJS3 11/03/23 11/04/27 100.000 0.000 5.3200 8.57 0.147778 0.151731 0.155767 0.159910 0.164164 54.37 57.30 JPMorgan Chase Financial 48133WMV7 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133WNK0 05/31/23 05/29/26 100.000 VARIES 5.7700 33.38 0.156611 0.156167 0.156667 0.157722 0.159128 56.30 56.58 JPMorgan Chase Financial 48133NTQ1 11/02/22 11/01/29 100.000 0.000 5.2900 62.74 0.154798 0.158893 0.163096 0.167409 0.171837 56.96 60.02 JPMorgan Chase Financial 48133WNJ3 05/31/23 05/29/26 100.000 VARIES 5.7700 33.38 0.156611 0.156167 0.156667 0.157722 0.159128 56.30 56.58 JPMorgan Chase Financial 48133WNM6 06/05/23 06/04/26 100.000 VARIES 5.7700 33.38 0.156611 0.156222 0.156667 0.157722 0.159026 56.31 56.58 JPMorgan Chase Financial 48133WNL8 06/05/23 06/04/26 100.000 VARIES 5.7700 32.60 0.156611 0.156222 0.156667 0.157722 0.159026 56.31 56.58 JPMorgan Chase Financial 48133UYK2 03/20/23 09/19/24 100.000 0.000 5.7000 44.95 0.162821 0.167461 42.84 JPMorgan Chase Financial 48133Y2R4 08/09/23 08/07/26 100.000 0.000 5.4000 21.30 0.150000 0.154005 0.158163 0.162434 0.166819 55.90 58.95 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133UYJ5 03/17/23 04/18/24 100.000 0.000 5.2000 41.46 0.148864 15.93 JPMorgan Chase Financial 48133YTT1 09/06/23 09/03/27 100.000 0.000 5.3900 17.22 0.149722 0.153690 0.157832 0.162086 0.166454 55.57 58.60 JPMorgan Chase Financial 48133NTW8 10/31/22 10/31/28 100.000 0.000 5.2600 62.68 0.153898 0.157945 0.162099 0.166362 0.170738 56.63 59.65 JPMorgan Chase Financial 48133U7H9 05/31/23 05/30/25 100.000 0.000 5.9600 35.09 0.170489 0.175570 0.180802 62.61 26.94 JPMorgan Chase Financial 48133WNC8 06/05/23 07/05/24 100.000 0.000 5.3800 30.90 0.150114 0.154153 28.35 JPMorgan Chase Financial 48133TE92 03/02/23 03/04/25 100.000 0.000 5.7200 48.05 0.163485 0.168161 0.172970 60.81 10.90 JPMorgan Chase Financial 48133WNE4 05/31/23 11/29/24 100.000 0.000 6.1000 35.92 0.174584 0.179909 58.22 JPMorgan Chase Financial 48133WND6 06/05/23 12/05/24 100.000 0.000 6.1000 35.04 0.174613 0.179938 59.28 JPMorgan Chase Financial 48133WNG9 05/31/23 05/30/25 100.000 0.000 5.9600 35.09 0.170489 0.175570 0.180802 62.61 26.94 JPMorgan Chase Financial 48133PJ38 01/04/23 01/02/26 100.000 0.000 4.9800 49.99 0.141740 0.145269 0.148886 0.152593 0.156393 52.94 55.61 JPMorgan Chase Financial 48133PJ20 01/04/23 01/02/26 100.000 0.000 4.9800 49.99 0.141740 0.145269 0.148886 0.152593 0.156393 52.94 55.61 JPMorgan Chase Financial 48133WNF1 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133NTP3 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48133WNH7 05/31/23 05/29/26 100.000 VARIES 5.7700 33.38 0.156611 0.156167 0.156667 0.157722 0.159128 56.30 56.58 JPMorgan Chase Financial 48133PJ46 12/30/22 01/02/26 100.000 0.000 4.9800 50.57 0.141817 0.145348 0.148967 0.152677 0.156478 52.97 55.64 JPMorgan Chase Financial 48133TF42 03/02/23 03/04/26 100.000 0.000 5.6400 47.37 0.161135 0.165679 0.170351 0.175155 0.180095 59.90 63.33 JPMorgan Chase Financial 48133YUB8 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133TF83 03/03/23 03/04/24 100.000 0.000 5.1700 43.23 0.147344 9.28 JPMorgan Chase Financial 48133YUF9 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133TF75 03/03/23 09/03/24 100.000 0.000 5.7800 48.39 0.165196 0.169970 40.84 JPMorgan Chase Financial 48133TEY7 12/29/22 01/26/24 100.000 0.000 4.1900 42.63 0.119201 2.98 JPMorgan Chase Financial 48133TF91 03/03/23 09/02/26 100.000 0.000 5.6500 47.29 0.161353 0.165912 0.170599 0.175418 0.180374 60.01 63.45 JPMorgan Chase Financial 48133U7L0 06/06/23 12/04/25 100.000 0.000 5.8800 33.61 0.168082 0.173024 0.178110 0.183347 61.67 60.25 JPMorgan Chase Financial 48133TVK8 02/01/23 01/30/25 100.000 0.000 5.7200 53.12 0.163408 0.168081 0.172888 61.10 5.01 JPMorgan Chase Financial 48133WNU8 05/19/23 06/21/24 100.000 0.000 5.2800 32.73 0.151245 25.71 JPMorgan Chase Financial 48133TEN1 12/28/22 06/27/24 100.000 0.000 4.7400 48.38 0.137964 24.28 JPMorgan Chase Financial 48133Y3P7 08/07/23 08/05/27 100.000 0.000 5.3200 21.28 0.147778 0.151665 0.155699 0.159841 0.164093 55.06 58.02 JPMorgan Chase Financial 48130CFL4 01/31/24 01/31/29 100.000 VARIES 6.2700 0.180728 0.172500 0.170944 0.169333 58.34 61.25 JPMorgan Chase Financial 48133TFE0 12/28/22 12/26/25 100.000 0.000 4.9800 50.86 0.145269 0.148886 0.152593 0.156393 52.98 54.85 JPMorgan Chase Financial 48134BLA9 11/02/23 11/04/26 100.000 0.000 5.4000 8.85 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.24 JPMorgan Chase Financial 48133YUJ1 09/05/23 09/05/25 100.000 0.000 5.5800 17.98 0.155000 0.159325 0.163770 0.168339 57.60 40.78 JPMorgan Chase Financial 48133XRL2 06/22/23 06/20/25 100.000 0.000 5.5800 29.34 0.159276 0.163720 0.168288 58.24 28.44 JPMorgan Chase Financial 48134RJT6 11/17/23 05/19/27 100.000 0.000 6.1800 7.56 0.171726 0.177032 0.182502 0.188142 0.193955 63.23 67.20 JPMorgan Chase Financial 48134RJR0 11/15/23 11/16/27 100.000 0.000 6.1900 7.91 0.171944 0.177296 0.182783 0.188440 0.194272 63.35 67.34 JPMorgan Chase Financial 48133TG82 03/03/23 03/04/27 100.000 0.000 5.6600 47.38 0.161696 0.166272 0.170978 0.175817 0.180792 60.12 63.57 JPMorgan Chase Financial 48133PKK8 12/05/22 12/04/25 100.000 0.000 4.9800 54.20 0.145288 0.148906 0.152614 0.156414 53.15 51.50 JPMorgan Chase Financial 48133TG74 03/03/23 12/04/24 100.000 0.000 5.7500 48.20 0.166702 0.171495 56.37 JPMorgan Chase Financial 48133TG90 03/03/23 03/05/26 100.000 0.000 5.6400 47.21 0.161135 0.165679 0.170351 0.175155 0.180095 59.90 63.32 JPMorgan Chase Financial 48133YVK7 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133YVJ0 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133VM56 04/27/23 04/29/27 100.000 0.000 5.7600 39.34 0.164661 0.169403 0.174282 0.179301 0.184465 60.73 64.28 JPMorgan Chase Financial 48133TFP5 01/04/23 01/03/25 100.000 0.000 4.8500 48.67 0.137971 0.141317 0.144744 51.48 0.29 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133YVB7 08/31/23 09/03/25 100.000 0.000 5.5800 18.76 0.155072 0.159399 0.163846 0.168417 57.64 40.47 JPMorgan Chase Financial 48133TG25 03/03/23 09/03/24 100.000 0.000 5.7800 48.39 0.165196 0.169970 40.84 JPMorgan Chase Financial 48133XBQ8 06/14/23 06/14/26 100.000 0.000 5.7200 31.38 0.163433 0.168107 0.172915 0.177861 0.182947 59.84 63.31 JPMorgan Chase Financial 48133YVU5 09/06/23 09/05/25 100.000 0.000 5.5800 17.82 0.155000 0.159300 0.163745 0.168313 57.59 40.78 JPMorgan Chase Financial 48133YVV3 09/06/23 09/03/26 100.000 0.000 5.4000 17.25 0.150000 0.153982 0.158140 0.162410 0.166795 55.68 58.72 JPMorgan Chase Financial 48133VMP2 05/03/23 05/03/27 100.000 0.000 5.8400 38.88 0.166959 0.171834 0.176852 0.182016 0.187331 61.56 65.20 JPMorgan Chase Financial 48133TGJ8 12/29/22 01/02/24 100.000 0.000 4.0800 41.45 0.115685 0.12 JPMorgan Chase Financial 48133XBW5 06/14/23 03/13/25 100.000 0.000 6.0300 33.27 0.169997 0.175122 0.180402 63.25 12.99 JPMorgan Chase Financial 48133TGL3 12/29/22 06/26/24 100.000 0.000 4.7400 48.25 0.137928 24.14 JPMorgan Chase Financial 48133VMQ0 05/02/23 05/02/28 100.000 0.000 5.8000 38.78 0.165783 0.170591 0.175538 0.180629 0.185867 61.12 64.72 JPMorgan Chase Financial 48133PL35 12/30/22 10/02/24 100.000 0.000 4.8000 48.86 0.138208 0.141525 38.05 JPMorgan Chase Financial 48133YVL5 08/31/23 09/02/26 100.000 0.000 5.4000 18.16 0.150045 0.154096 0.158257 0.162530 0.166918 55.72 58.77 JPMorgan Chase Financial 48133PKQ5 12/05/22 06/04/24 100.000 0.000 4.7400 51.55 0.137964 21.11 JPMorgan Chase Financial 48133YEN0 08/03/23 08/05/26 100.000 0.000 5.4000 22.21 0.150045 0.154096 0.158257 0.162530 0.166918 55.94 59.01 JPMorgan Chase Financial 48133WPH5 05/16/23 05/28/24 100.000 0.000 5.2300 32.87 0.149337 21.95 JPMorgan Chase Financial 48133PKX0 11/28/22 11/26/27 100.000 0.000 5.1900 57.59 0.151703 0.155640 0.159679 0.163823 0.168074 55.60 58.52 JPMorgan Chase Financial 48130CGJ8 02/15/24 02/15/39 100.000 VARIES 5.2400 0.144118 0.149889 0.140722 0.138222 46.58 50.21 JPMorgan Chase Financial 48133YF25 08/30/23 08/28/25 100.000 0.000 5.5800 18.76 0.155000 0.159276 0.163720 0.168288 57.64 39.62 JPMorgan Chase Financial 48133XCB0 06/14/23 03/14/25 100.000 0.000 6.0300 33.27 0.170025 0.175151 0.180432 63.25 13.17 JPMorgan Chase Financial 48133Y5C4 08/16/23 08/14/26 100.000 0.000 5.4000 20.25 0.150000 0.154005 0.158163 0.162434 0.166819 55.84 58.89 JPMorgan Chase Financial 48133TXZ3 01/20/23 02/23/24 100.000 0.000 5.2700 50.63 0.150972 7.85 JPMorgan Chase Financial 48134BNA7 10/31/23 07/31/25 100.000 0.000 5.7200 9.69 0.158889 0.161161 0.165770 0.170511 58.65 35.50 JPMorgan Chase Financial 48133T6Y6 03/03/23 03/05/25 100.000 0.000 5.7200 47.89 0.163485 0.168161 0.172970 60.80 11.07 JPMorgan Chase Financial 48133PM26 12/30/22 01/02/26 100.000 0.000 4.9800 50.57 0.141817 0.145348 0.148967 0.152677 0.156478 52.97 55.64 JPMorgan Chase Financial 48133T6Z3 03/03/23 03/05/26 100.000 0.000 4.9800 41.63 0.141817 0.145348 0.148967 0.152677 0.156478 52.52 55.17 JPMorgan Chase Financial 48133XBX3 05/31/23 06/10/24 100.000 0.000 5.2300 30.78 0.149293 23.74 JPMorgan Chase Financial 48133PLE1 12/05/22 12/03/27 100.000 0.000 5.1900 56.53 0.151703 0.155640 0.159679 0.163823 0.168074 55.55 58.47 JPMorgan Chase Financial 48133WQ92 09/25/23 09/22/25 100.000 0.000 5.5800 14.88 0.155000 0.159252 0.163696 0.168263 57.43 43.55 JPMorgan Chase Financial 48133T6Q3 03/03/23 03/04/27 100.000 0.000 5.6600 47.38 0.161696 0.166272 0.170978 0.175817 0.180792 60.12 63.57 JPMorgan Chase Financial 48133TH40 03/03/23 03/05/26 100.000 0.000 5.6400 47.21 0.161135 0.165679 0.170351 0.175155 0.180095 59.90 63.32 JPMorgan Chase Financial 48133PLJ0 11/28/22 11/28/25 100.000 0.000 4.9800 55.22 0.145308 0.148926 0.152635 0.156435 53.20 50.60 JPMorgan Chase Financial 48133UJW3 03/09/23 04/11/24 100.000 0.000 6.3300 52.05 0.182419 18.24 JPMorgan Chase Financial 48134BMY6 10/31/23 10/29/26 100.000 0.000 5.4000 9.15 0.150000 0.154028 0.158186 0.162457 0.166844 55.23 58.25 JPMorgan Chase Financial 48130CPV1 08/13/24 08/14/34 100.000 VARIES 5.3800 0.149416 0.152444 0.156556 20.47 55.62 JPMorgan Chase Financial 48133UBT8 02/15/23 08/15/24 100.000 0.000 5.7800 51.37 0.165196 0.169970 37.86 JPMorgan Chase Financial 48133WYZ5 05/24/23 05/22/25 100.000 0.000 5.9600 36.12 0.170434 0.175513 0.180744 62.67 25.48 JPMorgan Chase Financial 48134BF99 10/31/23 10/30/25 100.000 0.000 5.5800 9.46 0.155000 0.159325 0.163770 0.168339 57.11 49.79 JPMorgan Chase Financial 48134AT70 09/18/23 09/17/26 100.000 0.000 5.4000 15.45 0.150000 0.154028 0.158186 0.162457 0.166844 55.58 58.62 JPMorgan Chase Financial 48134BF81 11/02/23 11/04/26 100.000 0.000 5.4000 8.85 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.24 JPMorgan Chase Financial 48133XM78 07/06/23 04/03/25 100.000 0.000 5.7200 28.00 0.161085 0.165692 0.170431 59.64 15.68 JPMorgan Chase Financial 48134ATM7 09/29/23 09/29/28 100.000 0.000 5.3000 13.54 0.147222 0.151124 0.155128 0.159239 0.163459 54.43 57.35 JPMorgan Chase Financial 48133XLY0 06/08/23 07/10/24 100.000 0.000 5.3300 30.18 0.148757 0.152721 28.83 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134BWS8 11/02/23 11/02/28 100.000 0.000 5.2400 8.59 0.145556 0.149369 0.153283 0.157299 0.161420 53.54 56.38 JPMorgan Chase Financial 48133XM86 07/06/23 04/03/25 100.000 0.000 5.7200 28.00 0.161085 0.165692 0.170431 59.64 15.68 JPMorgan Chase Financial 48130CQV0 08/16/24 08/16/39 100.000 VARIES 5.3200 0.147836 0.150778 0.154833 19.81 55.01 JPMorgan Chase Financial 48133VX70 04/27/23 05/08/24 100.000 0.000 5.2300 35.70 0.149315 18.96 JPMorgan Chase Financial 48133XLZ7 06/07/23 06/18/24 100.000 0.000 5.3200 30.24 0.151955 25.38 JPMorgan Chase Financial 48134AU29 09/27/23 09/26/30 100.000 0.000 5.3300 13.92 0.148056 0.151979 0.156030 0.160188 0.164457 54.76 57.72 JPMorgan Chase Financial 48134RDS4 11/15/23 11/14/25 100.000 0.000 5.5800 7.13 0.155000 0.159300 0.163745 0.168313 56.99 52.07 JPMorgan Chase Financial 48133VWG1 04/06/23 04/08/25 100.000 0.000 5.9600 44.30 0.170546 0.175628 0.180862 63.17 17.54 JPMorgan Chase Financial 48134A2C8 09/27/23 12/27/24 100.000 0.000 5.5900 14.60 0.157448 0.161848 56.84 JPMorgan Chase Financial 48130CQK4 08/16/24 08/16/39 100.000 VARIES 5.0900 0.141269 0.143944 0.147611 18.93 52.48 JPMorgan Chase Financial 48134ATJ4 10/04/23 10/04/28 100.000 0.000 5.3000 12.81 0.147222 0.151124 0.155128 0.159239 0.163459 54.39 57.31 JPMorgan Chase Financial 48133U2Z4 03/08/23 04/08/24 100.000 0.000 6.2100 51.22 0.178777 17.34 JPMorgan Chase Financial 48134B6A6 10/30/23 04/30/25 100.000 0.000 5.8500 9.91 0.162500 0.167253 0.172145 59.94 20.49 JPMorgan Chase Financial 48133PF57 01/04/23 01/03/28 100.000 0.000 5.1900 52.13 0.147887 0.151725 0.155662 0.159701 0.163846 55.31 58.22 JPMorgan Chase Financial 48134ADB8 10/03/23 10/01/26 100.000 0.000 5.4000 13.20 0.150000 0.154005 0.158163 0.162434 0.166819 55.46 58.49 JPMorgan Chase Financial 48134AUC7 09/29/23 10/01/25 100.000 0.000 5.5800 14.26 0.155048 0.159374 0.163820 0.168391 57.39 45.05 JPMorgan Chase Financial 48134BG72 11/03/23 11/03/26 100.000 0.000 5.4000 8.70 0.150000 0.154050 0.158209 0.162481 0.166868 55.21 58.23 JPMorgan Chase Financial 48134ACS2 09/07/23 12/04/26 100.000 0.000 5.3800 17.09 0.151387 0.155460 0.159642 0.163936 0.168346 55.46 58.48 JPMorgan Chase Financial 48134BWW9 10/20/23 10/22/26 100.000 0.000 5.4000 10.65 0.150045 0.154096 0.158257 0.162530 0.166918 55.31 58.34 JPMorgan Chase Financial 48133VX96 04/27/23 05/08/24 100.000 0.000 5.2300 35.70 0.149315 18.96 JPMorgan Chase Financial 48133NPD4 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48134BFX6 10/06/23 10/06/28 100.000 0.000 5.3000 12.51 0.147222 0.151124 0.155128 0.159239 0.163459 54.37 57.29 JPMorgan Chase Financial 48133TA39 02/03/23 02/05/26 100.000 VARIES 5.6400 49.51 0.149611 0.149833 0.150667 0.151889 0.152571 53.90 54.46 JPMorgan Chase Financial 48133UD66 02/17/23 02/17/28 100.000 0.000 5.6900 50.23 0.162552 0.167177 0.171933 0.176825 0.181855 60.61 64.11 JPMorgan Chase Financial 48134B5Y5 10/31/23 10/29/26 100.000 0.000 5.4000 9.15 0.150000 0.154028 0.158186 0.162457 0.166844 55.23 58.25 JPMorgan Chase Financial 48133NPE4 11/02/22 10/31/25 100.000 0.000 4.9800 59.00 0.145269 0.148886 0.152593 0.156393 53.39 46.31 JPMorgan Chase Financial 48133UCZ3 02/17/23 08/19/24 100.000 0.000 5.7800 51.04 0.165249 0.170024 38.54 JPMorgan Chase Financial 48134TKN3 02/05/24 02/05/29 100.000 VARIES 6.1500 0.166027 0.159778 0.156556 0.155444 53.00 56.17 JPMorgan Chase Financial 48133TAJ4 12/21/22 12/19/25 100.000 0.000 4.9800 51.88 0.145269 0.148886 0.152593 0.156393 53.04 53.79 JPMorgan Chase Financial 48133U3K6 02/15/23 02/28/24 100.000 0.000 5.1700 45.92 0.147599 8.41 JPMorgan Chase Financial 48134AUM5 10/04/23 04/03/25 100.000 0.000 5.8500 14.14 0.162500 0.167227 0.172118 60.20 15.83 JPMorgan Chase Financial 48134AUP8 10/04/23 10/02/26 100.000 0.000 5.4000 13.05 0.150000 0.154005 0.158163 0.162434 0.166819 55.45 58.48 JPMorgan Chase Financial 48133UUQ3 03/15/23 09/15/26 100.000 0.000 5.5700 44.71 0.159031 0.163460 0.168013 0.172692 0.177501 59.00 62.33 JPMorgan Chase Financial 48134B6R9 11/02/23 08/04/25 100.000 0.000 5.5200 9.05 0.153333 0.155496 0.159788 0.164198 56.54 34.83 JPMorgan Chase Financial 48134AUR4 10/04/23 10/02/26 100.000 0.000 5.4000 13.05 0.150000 0.154005 0.158163 0.162434 0.166819 55.45 58.48 JPMorgan Chase Financial 48134AUQ6 09/29/23 03/31/25 100.000 0.000 5.8200 14.87 0.161667 0.166397 0.171239 59.92 15.24 JPMorgan Chase Financial 48134BGV9 10/25/23 01/24/25 100.000 0.000 5.5800 10.23 0.155000 0.157138 0.161522 57.21 3.72 JPMorgan Chase Financial 48133NQA9 10/31/22 10/30/25 100.000 0.000 4.9800 59.28 0.145308 0.148926 0.152635 0.156435 53.41 46.32 JPMorgan Chase Financial 48134A3Q6 10/12/23 10/12/27 100.000 0.000 5.3900 11.83 0.149722 0.153757 0.157901 0.162156 0.166527 55.27 58.29 JPMorgan Chase Financial 48133P5C3 12/02/22 12/04/24 100.000 0.000 4.8500 53.19 0.141374 0.144802 47.69 JPMorgan Chase Financial 48134AUS2 10/04/23 10/02/25 100.000 0.000 5.5800 13.49 0.155000 0.159276 0.163720 0.168288 57.35 45.19 JPMorgan Chase Financial 48134BGH0 10/31/23 10/31/28 100.000 0.000 5.3000 8.98 0.147222 0.151124 0.155128 0.159239 0.163459 54.18 57.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134ADC6 10/03/23 10/01/26 100.000 0.000 5.4000 13.20 0.150000 0.154005 0.158163 0.162434 0.166819 55.46 58.49 JPMorgan Chase Financial 48133NPT9 11/03/22 11/05/24 100.000 0.000 4.8500 57.29 0.141374 0.144802 43.59 JPMorgan Chase Financial 48133VXL9 04/10/23 04/09/25 100.000 0.000 5.9600 43.61 0.170462 0.175541 0.180773 63.13 17.72 JPMorgan Chase Financial 48134AUH6 10/04/23 11/01/24 100.000 0.000 5.4100 13.11 0.150888 0.154969 46.00 JPMorgan Chase Financial 48133UUK6 03/09/23 03/11/26 100.000 0.000 5.6400 46.25 0.161135 0.165679 0.170351 0.175155 0.180095 59.84 63.26 JPMorgan Chase Financial 48134BXM0 10/26/23 10/26/28 100.000 0.000 5.3000 9.57 0.147222 0.151124 0.155128 0.159239 0.163459 54.22 57.13 JPMorgan Chase Financial 48133U3G5 02/21/23 02/18/25 100.000 0.000 5.7200 49.85 0.163357 0.168029 0.172835 60.91 8.12 JPMorgan Chase Financial 48134REX2 11/15/23 11/14/25 100.000 0.000 6.1600 7.87 0.171111 0.176352 0.181784 0.187383 63.04 57.91 JPMorgan Chase Financial 48133XMT0 07/05/23 07/02/26 100.000 0.000 5.6100 27.43 0.155833 0.160132 0.164623 0.169241 0.173988 58.45 61.77 JPMorgan Chase Financial 48133PX32 12/14/22 12/12/24 100.000 0.000 4.8500 51.50 0.141298 0.144725 48.80 JPMorgan Chase Financial 48134AVB8 10/04/23 10/02/25 100.000 0.000 5.5800 13.49 0.155000 0.159276 0.163720 0.168288 57.35 45.19 JPMorgan Chase Financial 48133PX40 12/14/22 12/12/24 100.000 0.000 4.8500 51.50 0.141298 0.144725 48.80 JPMorgan Chase Financial 48134AVA0 10/04/23 10/02/25 100.000 0.000 5.5800 13.49 0.155000 0.159276 0.163720 0.168288 57.35 45.19 JPMorgan Chase Financial 48133PX99 12/21/22 01/19/24 100.000 0.000 4.1900 43.59 0.119214 2.15 JPMorgan Chase Financial 48133U4C3 03/07/23 03/07/25 100.000 0.000 5.6400 46.56 0.161085 0.165627 0.170298 59.86 11.24 JPMorgan Chase Financial 48134AUW3 10/04/23 10/11/24 100.000 0.000 5.3200 12.87 0.147931 0.151866 42.13 JPMorgan Chase Financial 48133YQC1 09/06/23 09/06/28 100.000 0.000 5.3000 16.93 0.147222 0.151124 0.155128 0.159239 0.163459 54.61 57.54 JPMorgan Chase Financial 48134AUV5 09/29/23 10/01/26 100.000 0.000 5.4000 13.80 0.150045 0.154096 0.158257 0.162530 0.166918 55.48 58.52 JPMorgan Chase Financial 48134WV87 03/26/24 03/26/29 100.000 VARIES 5.0400 0.136354 0.136944 0.135278 0.134611 37.75 48.58 JPMorgan Chase Financial 48133NQB7 11/03/22 11/05/26 100.000 0.000 5.1000 60.29 0.149026 0.152826 0.156723 0.160720 0.164818 54.76 57.59 JPMorgan Chase Financial 48134AUU7 09/29/23 10/01/25 100.000 0.000 5.5800 14.26 0.155048 0.159374 0.163820 0.168391 57.39 45.05 JPMorgan Chase Financial 48133TRS6 01/11/23 02/09/24 100.000 0.000 5.2700 51.98 0.150862 5.73 JPMorgan Chase Financial 48133UE99 02/21/23 03/20/24 100.000 0.000 5.2700 45.95 0.150884 11.92 JPMorgan Chase Financial 48133YQD9 08/02/23 08/24/24 100.000 0.000 5.3200 22.08 0.148258 0.152202 35.25 JPMorgan Chase Financial 48134AUZ6 10/04/23 10/02/25 100.000 0.000 5.5800 13.49 0.155000 0.159276 0.163720 0.168288 57.35 45.19 JPMorgan Chase Financial 48133NQG6 10/31/22 10/31/28 100.000 0.000 5.2600 62.68 0.153898 0.157945 0.162099 0.166362 0.170738 56.63 59.65 JPMorgan Chase Financial 48133TS89 02/08/23 02/09/24 100.000 0.000 5.1700 46.92 0.147344 5.60 JPMorgan Chase Financial 48133NQJ0 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48134BHR7 10/04/23 10/02/26 100.000 0.000 5.4000 13.05 0.150000 0.154005 0.158163 0.162434 0.166819 55.45 58.48 JPMorgan Chase Financial 48134RGA0 11/09/23 05/09/25 100.000 0.000 5.8500 8.45 0.162500 0.167253 0.172145 59.86 22.03 JPMorgan Chase Financial 48133WKW7 06/05/23 06/04/26 100.000 0.000 5.8200 33.43 0.166345 0.171186 0.176167 0.181294 0.186569 61.02 64.62 JPMorgan Chase Financial 48133UEP3 02/23/23 03/21/24 100.000 0.000 5.2700 45.64 0.150862 12.07 JPMorgan Chase Financial 48134AVT9 09/29/23 10/01/26 100.000 0.000 5.4000 13.80 0.150045 0.154096 0.158257 0.162530 0.166918 55.48 58.52 JPMorgan Chase Financial 48133UES7 02/24/23 08/26/24 100.000 0.000 5.7800 49.89 0.165249 0.170024 39.69 JPMorgan Chase Financial 48133PGH0 12/05/22 12/05/24 100.000 0.000 4.8500 52.76 0.141335 0.144763 47.82 JPMorgan Chase Financial 48133NQX9 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48133VYP9 04/19/23 04/25/24 100.000 0.000 5.2300 36.89 0.149207 17.01 JPMorgan Chase Financial 48133NA73 10/03/22 09/30/27 100.000 0.000 5.1900 65.93 0.151682 0.155618 0.159656 0.163800 0.168050 56.04 58.99 JPMorgan Chase Financial 48133XNS1 06/28/23 06/28/27 100.000 0.000 5.3900 27.41 0.153757 0.157901 0.162156 0.166527 0.171014 56.12 59.19 JPMorgan Chase Financial 48133WKP2 06/05/23 05/05/25 100.000 0.000 5.9600 34.33 0.169667 0.174723 0.179930 62.56 22.31 JPMorgan Chase Financial 48133P5Z2 12/30/22 01/02/25 100.000 0.000 4.9800 50.57 0.141817 0.145348 0.148967 52.97 0.15 JPMorgan Chase Financial 48133YA95 08/03/23 10/30/24 100.000 0.000 5.5900 23.11 0.157375 0.161774 47.85 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133WKS6 05/31/23 05/28/27 100.000 0.000 5.7600 33.91 0.164557 0.169296 0.174172 0.179188 0.184349 60.41 63.94 JPMorgan Chase Financial 48134AWB7 10/04/23 10/04/27 100.000 0.000 5.3200 12.86 0.147778 0.151709 0.155744 0.159887 0.164140 54.60 57.54 JPMorgan Chase Financial 48133NRN0 10/31/22 10/29/27 100.000 0.000 5.1900 61.83 0.151725 0.155662 0.159701 0.163846 0.168097 55.82 58.76 JPMorgan Chase Financial 48133PGQ0 12/05/22 12/04/25 100.000 0.000 4.9800 54.20 0.145288 0.148906 0.152614 0.156414 53.15 51.50 JPMorgan Chase Financial 48134AWF8 09/29/23 07/01/25 100.000 0.000 5.7200 14.62 0.161211 0.165822 0.170565 58.87 30.70 JPMorgan Chase Financial 48134AFC4 08/25/23 08/27/24 100.000 0.000 5.3200 18.63 0.147821 0.151754 35.59 JPMorgan Chase Financial 48133PH97 01/04/23 10/03/24 100.000 0.000 4.8000 48.31 0.138154 0.141469 38.17 JPMorgan Chase Financial 48133NRS9 10/31/22 10/29/27 100.000 0.000 5.1900 61.83 0.151725 0.155662 0.159701 0.163846 0.168097 55.82 58.76 JPMorgan Chase Financial 48133PGJ6 11/28/22 11/28/25 100.000 0.000 4.8900 54.20 0.142557 0.146042 0.149613 0.153271 52.18 49.58 JPMorgan Chase Financial 48134AEY7 08/22/23 09/20/24 100.000 0.000 5.3300 19.16 0.148669 0.152631 39.22 JPMorgan Chase Financial 48133WLA4 06/05/23 06/05/25 100.000 0.000 5.9600 34.23 0.170489 0.175570 0.180802 62.56 27.84 JPMorgan Chase Financial 48133PGL1 11/28/22 11/28/25 100.000 0.000 4.8900 54.20 0.142557 0.146042 0.149613 0.153271 52.18 49.58 JPMorgan Chase Financial 48133TBV6 12/21/22 12/19/24 100.000 0.000 4.8500 50.51 0.141298 0.144725 49.79 JPMorgan Chase Financial 48133NRF7 11/03/22 11/04/27 100.000 0.000 5.1900 61.37 0.151767 0.155706 0.159746 0.163892 0.168145 55.80 58.73 JPMorgan Chase Financial 48133PGK3 12/05/22 12/04/25 100.000 0.000 4.9800 54.20 0.145288 0.148906 0.152614 0.156414 53.15 51.50 JPMorgan Chase Financial 48133PGN7 12/05/22 12/04/25 100.000 0.000 4.9800 54.20 0.145288 0.148906 0.152614 0.156414 53.15 51.50 JPMorgan Chase Financial 48134RGN2 11/09/23 11/06/25 100.000 0.000 6.1600 8.90 0.171111 0.176293 0.181723 0.187320 63.12 56.43 JPMorgan Chase Financial 48133PGM9 11/28/22 11/28/25 100.000 0.000 4.8900 54.20 0.142557 0.146042 0.149613 0.153271 52.18 49.58 JPMorgan Chase Financial 48133WLB2 05/31/23 05/29/26 100.000 0.000 5.8200 34.26 0.166345 0.171186 0.176167 0.181294 0.186569 61.07 64.68 JPMorgan Chase Financial 48133PGP2 12/05/22 12/05/24 100.000 0.000 4.8500 52.76 0.141335 0.144763 47.82 JPMorgan Chase Financial 48133U5P3 04/21/23 04/24/25 100.000 0.000 5.9600 41.74 0.170574 0.175657 0.180891 63.01 20.44 JPMorgan Chase Financial 48133TU37 03/02/23 03/02/28 100.000 0.000 5.6900 47.79 0.162552 0.167177 0.171933 0.176825 0.181855 60.47 63.96 JPMorgan Chase Financial 48133UWU2 03/09/23 09/11/25 100.000 0.000 5.6000 45.92 0.159961 0.164440 0.169044 0.173777 59.39 43.11 JPMorgan Chase Financial 48133TU29 03/03/23 03/02/28 100.000 0.000 5.6900 47.63 0.162527 0.167151 0.171907 0.176797 0.181827 60.46 63.95 JPMorgan Chase Financial 48133TD44 03/03/23 03/08/24 100.000 0.000 5.1700 43.25 0.147429 9.88 JPMorgan Chase Financial 48133P7G2 12/30/22 01/02/26 100.000 0.000 4.8900 49.64 0.139192 0.142596 0.146082 0.149654 0.153313 51.96 54.53 JPMorgan Chase Financial 48133NSD1 10/31/22 10/30/25 100.000 0.000 4.9800 59.28 0.145308 0.148926 0.152635 0.156435 53.41 46.32 JPMorgan Chase Financial 48133P7F4 12/30/22 01/02/26 100.000 0.000 4.8900 49.64 0.139192 0.142596 0.146082 0.149654 0.153313 51.96 54.53 JPMorgan Chase Financial 48133TU52 03/03/23 03/04/24 100.000 0.000 5.1700 43.23 0.147344 9.28 JPMorgan Chase Financial 48133TTS4 01/17/23 02/15/24 100.000 0.000 5.2700 51.07 0.150862 6.64 JPMorgan Chase Financial 48133WLZ9 06/05/23 12/03/26 100.000 0.000 5.7900 33.26 0.165438 0.170227 0.175155 0.180226 0.185444 60.69 64.26 JPMorgan Chase Financial 48133UWV0 03/09/23 09/11/24 100.000 0.000 5.7000 46.74 0.162897 0.167540 41.56 JPMorgan Chase Financial 48133NSE9 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48133T2S3 01/30/23 12/02/24 100.000 0.000 5.7300 53.46 0.166906 0.171688 56.11 JPMorgan Chase Financial 48133TU60 03/03/23 03/05/25 100.000 0.000 5.7200 47.89 0.163485 0.168161 0.172970 60.80 11.07 JPMorgan Chase Financial 48133NRU4 11/03/22 05/03/24 100.000 0.000 4.7400 55.96 0.137982 16.83 JPMorgan Chase Financial 48133NRX8 10/31/22 10/30/25 100.000 0.000 4.9800 59.28 0.145308 0.148926 0.152635 0.156435 53.41 46.32 JPMorgan Chase Financial 48134AWL5 09/06/23 09/06/28 100.000 0.000 5.2400 16.74 0.145556 0.149369 0.153283 0.157299 0.161420 53.98 56.84 JPMorgan Chase Financial 48133TCJ2 12/28/22 01/25/24 100.000 0.000 4.2500 43.37 0.120949 2.90 JPMorgan Chase Financial 48133WM47 08/25/23 02/28/26 100.000 0.000 5.4900 19.22 0.152570 0.156758 0.161061 0.165482 0.170024 56.72 59.88 JPMorgan Chase Financial 48134BS95 11/08/23 02/06/25 100.000 0.000 5.5900 8.23 0.155278 0.157400 0.161799 57.23 5.66 JPMorgan Chase Financial 48133TM36 03/03/23 03/05/26 100.000 0.000 5.6400 47.21 0.161135 0.165679 0.170351 0.175155 0.180095 59.90 63.32 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133YK86 08/14/23 08/13/25 100.000 0.000 5.5800 21.23 0.155000 0.159300 0.163745 0.168313 57.78 37.17 JPMorgan Chase Financial 48134BAP8 11/03/23 11/05/25 100.000 0.000 5.5800 8.99 0.155048 0.159374 0.163820 0.168391 57.09 50.62 JPMorgan Chase Financial 48130CLR4 05/24/24 05/24/39 45.000 VARIES 5.3200 0.067222 0.067556 0.069389 0.071222 14.58 25.31 JPMorgan Chase Financial 48133XXX9 06/27/23 06/26/25 100.000 0.000 5.5800 28.54 0.159300 0.163745 0.168313 58.19 29.45 JPMorgan Chase Financial 48133XGV2 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48134BAR4 11/03/23 11/05/26 100.000 0.000 5.4000 8.70 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.23 JPMorgan Chase Financial 48134BAQ6 11/03/23 11/05/26 100.000 0.000 5.4000 8.70 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.23 JPMorgan Chase Financial 48133X7K6 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133X7J9 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48133WEH7 05/31/23 11/29/24 100.000 0.000 6.1000 35.92 0.174584 0.179909 58.22 JPMorgan Chase Financial 48133YKQ6 07/06/23 08/07/24 100.000 0.000 5.3200 25.96 0.148455 0.152404 32.78 JPMorgan Chase Financial 48133XHQ2 07/06/23 07/06/26 100.000 0.000 5.4000 26.25 0.150000 0.154050 0.158209 0.162481 0.166868 56.17 59.24 JPMorgan Chase Financial 48133TMF9 01/31/23 10/31/24 100.000 0.000 4.8000 44.72 0.138172 0.141488 41.91 JPMorgan Chase Financial 48133TMG7 01/31/23 01/29/26 100.000 0.000 4.9800 46.31 0.141759 0.145288 0.148906 0.152614 0.156414 52.75 55.41 JPMorgan Chase Financial 48133XHR0 07/06/23 07/06/26 100.000 0.000 5.4000 26.25 0.150000 0.154050 0.158209 0.162481 0.166868 56.17 59.24 JPMorgan Chase Financial 48133VSM3 04/28/23 10/30/24 100.000 0.000 6.1900 42.12 0.177327 0.182815 54.01 JPMorgan Chase Financial 48133WEC8 06/05/23 06/04/26 100.000 0.000 5.8200 33.43 0.166345 0.171186 0.176167 0.181294 0.186569 61.02 64.62 JPMorgan Chase Financial 48133X7E0 08/03/23 08/05/27 100.000 0.000 5.3200 21.88 0.147821 0.151754 0.155790 0.159934 0.164188 55.09 58.06 JPMorgan Chase Financial 48133XHF6 07/06/23 01/05/27 100.000 0.000 5.7900 28.15 0.160833 0.165464 0.170254 0.175183 0.180254 60.39 63.94 JPMorgan Chase Financial 48133WEB0 06/05/23 06/04/26 100.000 0.000 5.8200 33.43 0.166345 0.171186 0.176167 0.181294 0.186569 61.02 64.62 JPMorgan Chase Financial 48133X7G5 08/03/23 08/05/25 100.000 0.000 5.5800 22.95 0.155048 0.159374 0.163820 0.168391 57.88 35.88 JPMorgan Chase Financial 48134BBD4 10/31/23 10/29/26 100.000 0.000 5.4000 9.15 0.150000 0.154028 0.158186 0.162457 0.166844 55.23 58.25 JPMorgan Chase Financial 48133PA37 01/04/23 01/03/25 100.000 0.000 4.8500 48.67 0.137971 0.141317 0.144744 51.48 0.29 JPMorgan Chase Financial 48134BBC6 11/03/23 11/05/25 100.000 0.000 5.5800 8.99 0.155048 0.159374 0.163820 0.168391 57.09 50.62 JPMorgan Chase Financial 48134BBV4 11/03/23 12/05/24 100.000 0.000 5.4100 8.73 0.151000 0.155085 51.17 JPMorgan Chase Financial 48133WEY0 05/31/23 05/29/26 100.000 0.000 5.8200 34.26 0.166345 0.171186 0.176167 0.181294 0.186569 61.07 64.68 JPMorgan Chase Financial 48134BBX0 10/31/23 10/31/28 100.000 0.000 5.3000 8.98 0.147222 0.151124 0.155128 0.159239 0.163459 54.18 57.09 JPMorgan Chase Financial 48133VC99 05/03/23 05/01/25 100.000 0.000 5.9600 39.69 0.170434 0.175513 0.180744 62.89 21.69 JPMorgan Chase Financial 48133WFA1 06/05/23 03/05/25 100.000 0.000 6.0300 34.80 0.170025 0.175151 0.180432 63.34 11.55 JPMorgan Chase Financial 48134TGN8 02/05/24 02/03/28 100.000 VARIES 6.2900 0.173493 0.174722 0.178722 0.179667 56.78 64.51 JPMorgan Chase Financial 48133WEQ7 06/05/23 06/04/26 100.000 0.000 5.8200 33.43 0.166345 0.171186 0.176167 0.181294 0.186569 61.02 64.62 JPMorgan Chase Financial 48130CN14 06/21/24 06/21/39 100.000 VARIES 5.3300 0.147778 0.148167 0.152111 0.156211 28.00 55.49 JPMorgan Chase Financial 48133XYU4 06/27/23 06/26/25 100.000 0.000 5.5800 28.54 0.159300 0.163745 0.168313 58.19 29.45 JPMorgan Chase Financial 48133XHS8 06/30/23 07/02/26 100.000 0.000 5.8200 29.27 0.161719 0.166425 0.171268 0.176252 0.181381 60.78 64.36 JPMorgan Chase Financial 48130CMQ5 05/31/24 05/31/39 100.000 VARIES 5.6100 0.194516 0.154944 0.153056 0.151111 33.92 54.75 JPMorgan Chase Financial 48133WET1 05/31/23 02/28/25 100.000 0.000 6.0300 35.65 0.169969 0.175094 0.180373 63.39 10.28 JPMorgan Chase Financial 48133XHW9 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48134BBP7 10/18/23 04/17/25 100.000 0.000 5.8500 11.86 0.162500 0.167227 0.172118 60.06 18.24 JPMorgan Chase Financial 48133XHV1 07/06/23 07/15/24 100.000 0.000 5.2300 25.46 0.145468 0.149272 28.91 JPMorgan Chase Financial 48134BSP9 10/16/23 04/10/25 100.000 0.000 5.8500 12.19 0.162500 0.167095 0.171982 60.10 17.03 JPMorgan Chase Financial 48130CMS1 05/31/24 05/31/39 100.000 VARIES 5.5600 0.154333 0.155389 0.159333 0.163778 32.54 58.16 JPMorgan Chase Financial 48133VSQ4 04/28/23 01/30/25 100.000 0.000 6.0300 41.09 0.170081 0.175209 0.180492 63.72 5.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XHY5 07/06/23 07/06/27 100.000 0.000 5.7600 28.00 0.160000 0.164608 0.169349 0.174226 0.179244 60.07 63.58 JPMorgan Chase Financial 48133VC40 05/02/23 04/30/26 100.000 0.000 5.8200 38.92 0.166319 0.171159 0.176139 0.181265 0.186540 61.35 64.97 JPMorgan Chase Financial 48133VST8 04/28/23 04/30/26 100.000 0.000 5.8200 39.58 0.166425 0.171268 0.176252 0.181381 0.186659 61.38 65.01 JPMorgan Chase Financial 48130CMT9 05/31/24 05/31/39 100.000 VARIES 5.4400 0.151000 0.151833 0.156000 0.160222 31.86 56.92 JPMorgan Chase Financial 48133VC65 05/03/23 05/10/24 100.000 0.000 5.2300 34.80 0.149228 19.25 JPMorgan Chase Financial 48133VSV3 05/03/23 05/03/27 100.000 0.000 5.7600 38.35 0.164608 0.169349 0.174226 0.179244 0.184406 60.67 64.21 JPMorgan Chase Financial 48133VC57 05/02/23 04/30/26 100.000 0.000 5.8200 38.92 0.166319 0.171159 0.176139 0.181265 0.186540 61.35 64.97 JPMorgan Chase Financial 48133XHZ2 07/05/23 07/07/25 100.000 0.000 5.9600 29.15 0.165610 0.170546 0.175628 0.180862 62.25 33.61 JPMorgan Chase Financial 48134BBS1 10/18/23 04/17/25 100.000 0.000 5.8500 11.86 0.162500 0.167227 0.172118 60.06 18.24 JPMorgan Chase Financial 48134BCH4 11/03/23 11/05/25 100.000 0.000 5.5800 8.99 0.155048 0.159374 0.163820 0.168391 57.09 50.62 JPMorgan Chase Financial 48133WWL8 05/26/23 06/06/24 100.000 0.000 5.2300 31.37 0.149293 23.14 JPMorgan Chase Financial 48133PB77 01/04/23 01/02/26 100.000 0.000 4.8900 49.08 0.139118 0.142519 0.146004 0.149573 0.153230 51.93 54.50 JPMorgan Chase Financial 48133TNC5 01/31/23 01/29/26 100.000 0.000 5.6400 52.52 0.161060 0.165602 0.170272 0.175074 0.180011 60.20 63.64 JPMorgan Chase Financial 48133PB69 01/04/23 01/02/26 100.000 0.000 4.8900 49.08 0.139118 0.142519 0.146004 0.149573 0.153230 51.93 54.50 JPMorgan Chase Financial 48134BCL5 10/31/23 10/30/25 100.000 0.000 5.5800 9.46 0.155000 0.159325 0.163770 0.168339 57.11 49.79 JPMorgan Chase Financial 48130CNP6 06/17/24 06/17/39 100.000 VARIES 5.9100 0.068462 0.068667 0.070722 0.072778 13.25 25.83 JPMorgan Chase Financial 48133WFB9 05/31/23 05/29/26 100.000 0.000 5.8200 34.26 0.166345 0.171186 0.176167 0.181294 0.186569 61.07 64.68 JPMorgan Chase Financial 48133TMY8 01/31/23 01/29/26 100.000 0.000 5.6400 52.52 0.161060 0.165602 0.170272 0.175074 0.180011 60.20 63.64 JPMorgan Chase Financial 48133XZJ8 06/28/23 06/26/25 100.000 0.000 5.5800 28.39 0.159276 0.163720 0.168288 58.18 29.45 JPMorgan Chase Financial 48134BCA9 11/03/23 11/03/28 100.000 0.000 5.3000 8.54 0.147222 0.151124 0.155128 0.159239 0.163459 54.16 57.07 JPMorgan Chase Financial 48134BCD3 10/31/23 05/01/25 100.000 0.000 5.8500 9.91 0.162500 0.167280 0.172172 59.94 20.66 JPMorgan Chase Financial 48134BCC5 10/31/23 10/29/26 100.000 0.000 5.4000 9.15 0.150000 0.154028 0.158186 0.162457 0.166844 55.23 58.25 JPMorgan Chase Financial 48134BCB7 11/03/23 05/05/25 100.000 0.000 5.8500 9.43 0.162553 0.167307 0.172201 59.92 21.35 JPMorgan Chase Financial 48133PB51 01/04/23 01/02/26 100.000 0.000 4.8900 49.08 0.139118 0.142519 0.146004 0.149573 0.153230 51.93 54.50 JPMorgan Chase Financial 48134AR72 09/20/23 12/19/24 100.000 0.000 5.5900 15.71 0.157424 0.161824 55.58 JPMorgan Chase Financial 48133XJB3 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48134AQX6 09/15/23 09/16/27 100.000 0.000 5.3200 15.66 0.147778 0.151731 0.155767 0.159910 0.164164 54.75 57.70 JPMorgan Chase Financial 48133XJA5 07/05/23 07/07/25 100.000 0.000 5.9600 29.15 0.165610 0.170546 0.175628 0.180862 62.25 33.61 JPMorgan Chase Financial 48133XJD9 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48133XJC1 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48133TNW1 01/31/23 07/31/24 100.000 0.000 4.7400 44.05 0.134787 0.137982 28.75 JPMorgan Chase Financial 48133WXE3 05/31/23 05/30/25 100.000 0.000 5.9600 35.09 0.170489 0.175570 0.180802 62.61 26.94 JPMorgan Chase Financial 48133XJF4 06/30/23 04/01/25 100.000 0.000 6.0300 30.55 0.170053 0.175180 0.180462 63.08 16.24 JPMorgan Chase Financial 48133XJE7 06/30/23 07/02/26 100.000 0.000 5.8200 29.27 0.161719 0.166425 0.171268 0.176252 0.181381 60.78 64.36 JPMorgan Chase Financial 48133VU32 04/26/23 04/24/25 100.000 0.000 5.9600 40.89 0.170434 0.175513 0.180744 62.96 20.42 JPMorgan Chase Financial 48133VTR1 05/03/23 01/31/25 100.000 0.000 6.0300 40.23 0.169941 0.175065 0.180343 63.67 5.23 JPMorgan Chase Financial 48134B2N2 11/10/23 11/13/25 100.000 0.000 5.5800 7.91 0.155072 0.159399 0.163846 0.168417 57.03 51.94 JPMorgan Chase Financial 48130CNT8 06/21/24 06/21/39 100.000 VARIES 5.6100 0.155556 0.154944 0.153000 0.151056 34.57 54.73 JPMorgan Chase Financial 48133VTS9 04/28/23 04/30/26 100.000 0.000 5.8200 39.58 0.166425 0.171268 0.176252 0.181381 0.186659 61.38 65.01 JPMorgan Chase Financial 48133WG93 08/03/23 09/03/24 100.000 VARIES 6.0537 1.73 0.011689 0.011667 0.011905 2.85 JPMorgan Chase Financial 48134BCS0 10/01/23 10/30/25 100.000 0.000 5.5800 13.99 0.155697 0.160041 0.164506 0.169096 57.37 50.01 JPMorgan Chase Financial 48134BCV3 11/03/23 11/05/26 100.000 0.000 5.4000 8.70 0.150045 0.154096 0.158257 0.162530 0.166918 55.21 58.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134BD67 10/27/23 10/28/25 100.000 0.000 5.5800 9.92 0.155000 0.159349 0.163794 0.168364 57.14 49.47 JPMorgan Chase Financial 48130CNY7 06/21/24 06/21/39 100.000 VARIES 5.6100 0.155561 0.154444 0.151556 0.148556 34.49 54.02 JPMorgan Chase Financial 48133XJP2 07/06/23 07/06/26 100.000 0.000 5.8200 28.29 0.161667 0.166371 0.171213 0.176195 0.181322 60.72 64.30 JPMorgan Chase Financial 48133V3H1 05/31/23 04/22/26 100.000 0.000 5.8200 34.37 0.165378 0.170190 0.175143 0.180240 0.185485 61.08 64.68 JPMorgan Chase Financial 48134ARG2 09/29/23 10/01/26 100.000 0.000 5.4000 13.80 0.150045 0.154096 0.158257 0.162530 0.166918 55.48 58.52 JPMorgan Chase Financial 48133NMX3 09/30/22 09/30/27 100.000 0.000 5.1900 66.38 0.151746 0.155684 0.159724 0.163869 0.168121 56.06 59.01 JPMorgan Chase Financial 48133UAJ1 07/20/23 08/20/24 100.000 7.000 6.0700 1.92 0.011925 0.011889 0.012200 2.75 JPMorgan Chase Financial 48133W6R4 06/10/24 07/08/25 100.000 VARIES 5.0600 0.140900 0.140833 0.144389 0.147500 28.16 27.17 JPMorgan Chase Financial 48134ARM9 10/04/23 07/03/25 100.000 0.000 5.7200 13.82 0.158889 0.161136 0.165744 0.170485 58.82 31.02 JPMorgan Chase Financial 48133XJH0 07/06/23 01/03/25 100.000 0.000 6.1000 29.65 0.169444 0.174526 0.179849 63.77 0.36 JPMorgan Chase Financial 48133XJG2 07/06/23 08/02/24 100.000 0.000 5.3800 26.24 0.150025 0.154061 32.38 JPMorgan Chase Financial 48134BDD2 11/03/23 11/04/27 100.000 0.000 5.3200 8.57 0.147778 0.151731 0.155767 0.159910 0.164164 54.37 57.30 JPMorgan Chase Financial 48133PC43 12/28/22 12/26/25 100.000 0.000 4.9800 50.86 0.145269 0.148886 0.152593 0.156393 52.98 54.85 JPMorgan Chase Financial 48134ARB3 10/04/23 10/02/26 100.000 0.000 5.4000 13.05 0.150000 0.154005 0.158163 0.162434 0.166819 55.45 58.48 JPMorgan Chase Financial 48133XJJ6 06/30/23 01/02/25 100.000 0.000 5.4300 27.31 0.150879 0.154975 0.159183 56.54 0.16 JPMorgan Chase Financial 48133PC27 01/04/23 07/05/24 100.000 0.000 4.7400 47.56 0.134805 0.137999 25.38 JPMorgan Chase Financial 48133PBQ5 12/02/22 12/04/24 100.000 0.000 4.8500 53.19 0.141374 0.144802 47.69 JPMorgan Chase Financial 48133PBT9 12/21/22 01/22/24 100.000 0.000 4.2620 44.35 0.121356 2.55 JPMorgan Chase Financial 48133XJL1 06/30/23 07/02/25 100.000 0.000 5.3200 26.76 0.147821 0.151754 0.155790 0.159934 55.35 28.94 JPMorgan Chase Financial 48133XJK3 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48133PC84 12/27/22 12/26/25 100.000 0.000 4.9800 51.00 0.145288 0.148906 0.152614 0.156414 52.99 54.86 JPMorgan Chase Financial 48133XJN7 06/30/23 07/02/26 100.000 0.000 5.8200 29.27 0.161719 0.166425 0.171268 0.176252 0.181381 60.78 64.36 JPMorgan Chase Financial 48133XJM9 07/06/23 07/03/25 100.000 0.000 5.9600 28.97 0.165556 0.170407 0.175485 0.180714 62.24 32.88 JPMorgan Chase Financial 48133PBU6 12/19/22 01/19/24 100.000 0.000 5.3102 55.73 0.152092 2.74 JPMorgan Chase Financial 48134B3Y7 11/13/23 03/28/25 100.000 0.000 5.7700 7.69 0.160278 0.163746 0.168470 59.09 14.66 JPMorgan Chase Financial 48133XKB1 06/14/23 06/14/28 100.000 0.000 5.7200 31.38 0.163433 0.168107 0.172915 0.177861 0.182947 59.84 63.31 JPMorgan Chase Financial 48134ARZ0 09/29/23 10/01/26 100.000 0.000 5.4000 13.80 0.150045 0.154096 0.158257 0.162530 0.166918 55.48 58.52 JPMorgan Chase Financial 48133W7A0 06/21/24 07/08/25 100.000 VARIES 5.0600 0.140000 0.140611 0.144167 0.147500 26.57 27.13 JPMorgan Chase Financial 48133XJY3 06/30/23 06/30/26 100.000 0.000 5.3000 26.65 0.151124 0.155128 0.159239 0.163459 0.167791 55.13 58.09 JPMorgan Chase Financial 48133PCB7 12/19/22 01/19/24 100.000 0.000 4.2500 44.47 0.120991 2.18 JPMorgan Chase Financial 48134ARP2 09/29/23 09/29/28 100.000 0.000 5.3000 13.54 0.147222 0.151124 0.155128 0.159239 0.163459 54.43 57.35 JPMorgan Chase Financial 48133XJX5 06/30/23 07/02/26 100.000 0.000 5.4000 27.16 0.150045 0.154096 0.158257 0.162530 0.166918 56.22 59.29 JPMorgan Chase Financial 48133VE55 04/26/23 05/24/24 100.000 0.000 6.5800 45.21 0.189757 27.14 JPMorgan Chase Financial 48133TP33 03/03/23 03/05/26 100.000 0.000 5.6400 47.21 0.161135 0.165679 0.170351 0.175155 0.180095 59.90 63.32 JPMorgan Chase Financial 48133W6Y9 06/20/24 07/08/25 100.000 VARIES 5.0600 0.140000 0.140667 0.144222 0.147500 26.72 27.14 JPMorgan Chase Financial 48133USJ2 03/08/23 03/06/25 100.000 0.000 5.6400 46.41 0.161036 0.165577 0.170246 59.85 11.07 JPMorgan Chase Financial 48133NNU8 10/31/22 10/29/26 100.000 0.000 5.1000 60.74 0.148963 0.152762 0.156657 0.160652 0.164749 54.79 57.62 JPMorgan Chase Financial 48133NNZ7 11/03/22 11/05/25 100.000 0.000 4.9800 58.85 0.145348 0.148967 0.152677 0.156478 53.39 47.10 JPMorgan Chase Financial 48133PDB6 12/21/22 12/17/25 100.000 0.000 4.9800 51.89 0.145230 0.148846 0.152552 0.156351 53.04 53.47 JPMorgan Chase Financial 48133WHV3 06/05/23 06/04/27 100.000 VARIES 5.8400 33.26 0.162889 0.167056 0.167778 0.172222 0.173000 59.39 61.20 JPMorgan Chase Financial 48133XL87 06/30/23 12/27/24 100.000 0.000 5.8500 29.43 0.167174 0.172064 60.39 JPMorgan Chase Financial 48133UBA9 02/17/23 02/20/25 100.000 0.000 5.7200 50.51 0.163511 0.168187 0.172998 60.95 8.48 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134BVF7 11/01/23 10/30/25 100.000 0.000 5.5800 9.30 0.155000 0.159300 0.163745 0.168313 57.11 49.78 JPMorgan Chase Financial 48134BEG4 10/31/23 10/31/28 100.000 0.000 5.3000 8.98 0.147222 0.151124 0.155128 0.159239 0.163459 54.18 57.09 JPMorgan Chase Financial 48134BEF6 11/03/23 11/03/28 100.000 0.000 5.3000 8.54 0.147222 0.151124 0.155128 0.159239 0.163459 54.16 57.07 JPMorgan Chase Financial 48133XKP0 06/30/23 07/02/25 100.000 0.000 5.9600 29.98 0.165610 0.170546 0.175628 0.180862 62.30 32.73 JPMorgan Chase Financial 48133WYN2 05/12/23 05/14/24 100.000 0.000 5.2300 33.46 0.149120 19.83 JPMorgan Chase Financial 48134BVJ9 10/18/23 10/18/28 100.000 0.000 5.3000 10.75 0.147222 0.151124 0.155128 0.159239 0.163459 54.28 57.19 JPMorgan Chase Financial 48133LR20 08/31/22 08/29/25 100.000 0.000 4.8100 65.63 0.140097 0.143466 0.146916 0.150430 51.87 35.60 JPMorgan Chase Financial 48133LR53 09/06/22 03/05/24 100.000 0.000 4.4000 59.17 0.127644 8.17 JPMorgan Chase Financial 48133M2V1 09/30/22 10/01/26 100.000 0.000 5.1000 65.21 0.149004 0.152804 0.156700 0.160696 0.164794 55.02 57.86 JPMorgan Chase Financial 48133LQN5 07/19/22 07/17/24 100.000 0.000 4.8100 71.38 0.140079 0.143447 28.06 JPMorgan Chase Financial 48133M2P4 10/05/22 10/03/24 100.000 0.000 4.8500 61.25 0.141298 0.144725 39.05 JPMorgan Chase Financial 48133MUF5 09/02/22 01/05/29 100.000 0.000 5.9000 80.55 0.172125 0.177202 0.182430 0.187812 0.193352 64.69 68.57 JPMorgan Chase Financial 48133M3B4 10/04/22 10/02/25 100.000 0.000 4.8100 60.87 0.140079 0.143447 0.146897 0.150430 51.64 40.45 JPMorgan Chase Financial 48133LRJ3 07/27/22 07/27/27 100.000 0.000 5.0100 73.25 0.146226 0.149889 0.153644 0.157493 0.161438 54.44 57.20 JPMorgan Chase Financial 48133M3A6 10/05/22 10/03/25 100.000 0.000 4.8100 60.73 0.140079 0.143447 0.146897 0.150430 51.63 40.59 JPMorgan Chase Financial 48133M3T5 10/05/22 10/03/25 100.000 0.000 4.9800 62.92 0.145269 0.148886 0.152593 0.156393 53.59 42.19 JPMorgan Chase Financial 48133M3V0 10/05/22 10/05/26 100.000 0.000 5.1000 64.46 0.148984 0.152783 0.156679 0.160674 0.164771 54.98 57.82 JPMorgan Chase Financial 48133M3X6 09/30/22 10/02/25 100.000 0.000 4.9800 63.65 0.145348 0.148967 0.152677 0.156478 53.63 42.06 JPMorgan Chase Financial 48133M3W8 10/05/22 10/05/27 100.000 0.000 5.1900 65.62 0.151746 0.155684 0.159724 0.163869 0.168121 56.02 58.97 JPMorgan Chase Financial 48133M3Z1 09/30/22 09/30/27 100.000 0.000 5.1900 66.38 0.151746 0.155684 0.159724 0.163869 0.168121 56.06 59.01 JPMorgan Chase Financial 48133LB92 09/06/22 09/03/26 100.000 0.000 4.9300 66.45 0.143721 0.147264 0.150894 0.154614 0.158425 53.22 55.88 JPMorgan Chase Financial 48133M3Y4 09/30/22 10/02/25 100.000 0.000 4.9800 63.65 0.145348 0.148967 0.152677 0.156478 53.63 42.06 JPMorgan Chase Financial 48133M3N8 10/05/22 10/03/25 100.000 0.000 4.9800 62.92 0.145269 0.148886 0.152593 0.156393 53.59 42.19 JPMorgan Chase Financial 48133PNQ2 11/08/22 11/07/24 100.000 0.000 4.8500 56.58 0.141317 0.144744 43.86 JPMorgan Chase Financial 48133M4P2 10/05/22 04/04/24 100.000 0.000 4.7400 59.83 0.137964 12.83 JPMorgan Chase Financial 48133LCM2 07/29/22 07/31/25 100.000 0.000 4.8100 69.98 0.140134 0.143504 0.146955 0.150490 52.08 31.35 JPMorgan Chase Financial 48133LCP5 07/29/22 07/31/25 100.000 0.000 4.8100 69.98 0.140134 0.143504 0.146955 0.150490 52.08 31.35 JPMorgan Chase Financial 48133MG87 09/07/22 09/05/25 100.000 0.000 4.8100 64.65 0.140079 0.143447 0.146897 0.150430 51.83 36.48 JPMorgan Chase Financial 48133PPW7 11/09/22 11/07/24 100.000 0.000 4.8500 56.44 0.141298 0.144725 43.85 JPMorgan Chase Financial 48133LN32 09/06/22 09/05/25 100.000 0.000 4.8100 64.79 0.140097 0.143466 0.146916 0.150450 51.83 36.48 JPMorgan Chase Financial 48133LN81 09/06/22 09/03/27 100.000 0.000 5.0100 67.55 0.146167 0.149828 0.153581 0.157429 0.161372 54.15 56.90 JPMorgan Chase Financial 48133LNU2 07/20/22 07/18/25 100.000 0.000 4.8100 71.24 0.140079 0.143447 0.146897 0.150430 52.15 29.57 JPMorgan Chase Financial 48133MSU0 10/05/22 10/03/25 100.000 0.000 4.9800 62.92 0.145269 0.148886 0.152593 0.156393 53.59 42.19 JPMorgan Chase Financial 48133LQ21 08/31/22 08/31/27 100.000 0.000 5.0100 68.42 0.146226 0.149869 0.153644 0.157450 0.161438 54.20 56.95 JPMorgan Chase Financial 48133LQ70 08/31/22 08/29/25 100.000 0.000 4.8100 65.63 0.140097 0.143466 0.146916 0.150430 51.87 35.60 JPMorgan Chase Financial 48133M2F6 09/30/22 10/02/25 100.000 0.000 4.9800 63.65 0.145348 0.148967 0.152677 0.156478 53.63 42.06 JPMorgan Chase Financial 48133MLL2 08/30/22 08/28/26 100.000 0.000 4.9300 67.31 0.143741 0.147284 0.150914 0.154634 0.158446 53.27 55.93 JPMorgan Chase Financial 48133PET6 11/09/22 11/07/24 100.000 0.000 4.8500 56.44 0.141298 0.144725 43.85 JPMorgan Chase Financial 48133LKB7 07/13/22 07/11/25 100.000 0.000 4.8100 72.22 0.140079 0.143447 0.146897 0.150430 52.19 28.55 JPMorgan Chase Financial 48133MNW6 09/02/22 09/05/24 100.000 0.000 4.6100 62.59 0.134078 0.137169 33.27 JPMorgan Chase Financial 48133LM90 09/06/22 09/05/25 100.000 0.000 4.8100 64.79 0.140097 0.143466 0.146916 0.150450 51.83 36.48 JPMorgan Chase Financial 48133LVV1 08/31/22 08/29/25 100.000 0.000 4.8100 65.63 0.140097 0.143466 0.146916 0.150430 51.87 35.60 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133LVU3 09/06/22 09/05/25 100.000 0.000 4.8100 64.79 0.140097 0.143466 0.146916 0.150450 51.83 36.48 JPMorgan Chase Financial 48133PRX3 11/16/22 05/15/25 100.000 0.000 4.9200 56.26 0.143454 0.146983 0.150599 52.61 20.18 JPMorgan Chase Financial 48133PRY1 11/16/22 11/16/27 100.000 0.000 5.1900 59.40 0.151746 0.155684 0.159724 0.163869 0.168121 55.70 58.62 JPMorgan Chase Financial 48133LFG2 07/29/22 07/31/25 100.000 0.000 4.8100 69.98 0.140134 0.143504 0.146955 0.150490 52.08 31.35 JPMorgan Chase Financial 48133PSB0 11/21/22 01/06/25 100.000 0.000 4.8500 54.75 0.138826 0.142192 0.145640 51.78 0.73 JPMorgan Chase Financial 48133LGG1 07/27/22 07/27/28 100.000 0.000 5.0800 74.29 0.148371 0.152139 0.156004 0.159966 0.164029 55.27 58.11 JPMorgan Chase Financial 48133LGJ5 07/27/22 07/27/26 100.000 0.000 5.0100 73.25 0.146226 0.149889 0.153644 0.157493 0.161438 54.44 57.20 JPMorgan Chase Financial 48133PTX1 11/18/22 11/20/24 100.000 0.000 4.8500 55.17 0.141374 0.144802 45.72 JPMorgan Chase Financial 48133PTY9 11/18/22 11/20/24 100.000 0.000 4.8500 55.17 0.141374 0.144802 45.72 JPMorgan Financial Compa 48134RML9 11/22/23 11/20/26 100.000 0.000 6.1000 6.61 0.169444 0.174555 0.179879 0.185365 0.191019 62.35 66.20 JPMorgan Financial Compa 48134BR21 12/05/23 12/04/25 100.000 0.000 5.5800 4.03 0.155000 0.159300 0.163745 0.168313 56.81 55.35 JPMorgan Financial Compa 48134RKM9 11/22/23 11/20/26 100.000 0.000 6.1700 6.68 0.171389 0.176617 0.182066 0.187683 0.193473 63.08 67.02 JPMorgan Financial Compa 48134BN33 12/05/23 12/03/27 100.000 0.000 6.2900 4.54 0.174722 0.180156 0.185822 0.191666 0.197694 64.19 68.28 JPMorgan Financial Compa 48134RL44 12/05/23 12/03/27 100.000 0.000 6.1900 4.47 0.171944 0.177207 0.182692 0.188346 0.194175 63.15 67.11 JPMorgan Financial Compa 48134BN58 12/05/23 12/03/26 100.000 0.000 6.1700 4.46 0.171389 0.176617 0.182066 0.187683 0.193473 62.94 66.87 JPMorgan Financial Compa 48134BN66 12/04/23 12/03/26 100.000 0.000 6.1700 4.63 0.171389 0.176647 0.182096 0.187714 0.193505 62.95 66.89 JPMorgan Financial Compa 48134RLH9 11/22/23 05/21/26 100.000 0.000 6.1700 6.68 0.171389 0.176647 0.182096 0.187714 0.193505 63.07 67.02 JPMorgan Financial Compa 48134RVT2 12/07/23 12/09/25 100.000 0.000 6.1600 4.11 0.171170 0.176442 0.181876 0.187478 62.81 62.48 JPMorgan Financial Compa 48134ACX1 10/04/23 10/04/27 100.000 0.000 5.3900 13.03 0.149722 0.153757 0.157901 0.162156 0.166527 55.34 58.36 JPMorgan Financial Compa 48134RGQ5 11/20/23 11/02/25 100.000 0.000 6.1600 7.02 0.171111 0.175854 0.181271 0.186854 63.05 55.57 JPMorgan Financial Compa 48133WV70 11/22/23 05/21/26 100.000 0.000 6.1700 6.68 0.171389 0.176647 0.182096 0.187714 0.193505 63.07 67.02 JPMorgan Financial Compa 48134BT94 11/30/23 12/02/26 100.000 0.000 5.4000 4.65 0.150045 0.154096 0.158257 0.162530 0.166918 54.98 57.99 JPMorgan Financial Compa 48134BT86 11/30/23 12/02/26 100.000 0.000 5.4000 4.65 0.150045 0.154096 0.158257 0.162530 0.166918 54.98 57.99 JPMorgan Financial Compa 48134BT78 12/05/23 12/04/25 100.000 0.000 5.5800 4.03 0.155000 0.159300 0.163745 0.168313 56.81 55.35 JPMorgan Financial Compa 48133WW61 11/22/23 05/22/25 100.000 0.000 6.2400 6.76 0.173333 0.178741 0.184318 63.80 25.99 JPMorgan Financial Compa 48134BT45 12/05/23 12/03/26 100.000 0.000 6.1700 4.46 0.171389 0.176617 0.182066 0.187683 0.193473 62.94 66.87 JPMorgan Financial Compa 48134BT37 12/05/23 09/05/25 100.000 0.000 6.2400 4.51 0.173333 0.176037 0.181530 0.187193 63.84 45.31 JPMorgan Financial Compa 48134BT60 12/05/23 12/03/26 100.000 0.000 6.1700 4.46 0.171389 0.176617 0.182066 0.187683 0.193473 62.94 66.87 JPMorgan Financial Compa 48134RAS7 11/30/23 12/03/25 100.000 0.000 5.5800 4.81 0.155072 0.159399 0.163846 0.168417 56.85 55.22 JPMorgan Financial Compa 48134RAZ1 12/05/23 06/04/25 100.000 0.000 5.8500 4.23 0.162500 0.167227 0.172118 59.61 26.33 JPMorgan Financial Compa 48134RAX6 12/05/23 01/03/25 100.000 0.000 5.4100 3.91 0.150278 0.150910 0.154992 55.05 0.31 JPMorgan Financial Compa 48134RBG2 11/30/23 12/03/25 100.000 0.000 5.5800 4.81 0.155072 0.159399 0.163846 0.168417 56.85 55.22 JPMorgan Financial Compa 48134BU27 11/30/23 12/02/26 100.000 0.000 5.4000 4.65 0.150045 0.154096 0.158257 0.162530 0.166918 54.98 57.99 JPMorgan Financial Compa 48134BU68 11/30/23 09/02/25 100.000 0.000 5.7200 4.93 0.158889 0.161211 0.165822 0.170565 58.44 40.82 JPMorgan Financial Compa 48134RBD9 12/05/23 12/04/25 100.000 0.000 5.5800 4.03 0.155000 0.159300 0.163745 0.168313 56.81 55.35 JPMorgan Financial Compa 48134RBA5 11/30/23 05/30/25 100.000 0.000 5.8500 5.04 0.162500 0.167253 0.172145 59.65 25.65 JPMorgan Financial Compa 48134RSR0 11/30/23 11/28/25 100.000 0.000 6.1600 5.30 0.171111 0.176323 0.181754 0.187352 62.89 60.44 JPMorgan Financial Compa 48134B4B6 11/30/23 12/02/26 100.000 0.000 5.4000 4.65 0.150045 0.154096 0.158257 0.162530 0.166918 54.98 57.99 JPMorgan Financial Compa 48134B4D2 12/05/23 12/03/26 100.000 0.000 5.4000 3.90 0.150000 0.154005 0.158163 0.162434 0.166819 54.95 57.95 JPMorgan Financial Compa 48134RD47 12/06/23 03/05/25 100.000 0.000 5.9100 4.10 0.164167 0.166565 0.171487 60.38 10.98 JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39 57.665 0.000 3.0607 55.79 0.053092 0.053904 0.054729 0.055567 0.056417 19.50 20.11 JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38 60.454 0.000 2.9608 56.50 0.053705 0.054500 0.055307 0.056125 0.056956 19.72 20.31 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3500 518.68 0.141726 0.146226 0.150868 0.155659 0.160601 51.98 55.33 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3498 536.48 0.146221 0.150864 0.155653 0.160595 0.165694 53.76 57.23 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 569.07 0.154577 0.159446 0.164468 0.169648 56.82 55.21 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 605.48 0.164466 0.169647 55.21 Jeferies Group LLC 47233JKK3 10/31/22 05/02/25 100.000 0.000 5.9500 71.08 0.175316 0.180532 0.185902 64.68 22.49 Jeferies Group LLC 47233JKJ6 10/31/22 11/02/26 100.000 0.000 6.2900 75.23 0.185950 0.191798 0.197830 0.204052 0.210469 68.70 73.08 Jeferies Group LLC 47233WBV0 09/27/23 03/27/29 100.000 0.000 6.0500 15.80 0.168056 0.173139 0.178377 0.183773 0.189332 62.39 66.22 Jeferies Group LLC 47233JKP2 10/28/22 10/29/25 100.000 0.000 6.0700 72.89 0.179030 0.184464 0.190062 0.195831 66.11 57.68 Jefferies Group LLC 47233JGS1 10/06/21 10/06/41 100.000 VARIES 3.6382 77.63 0.093352 0.093258 0.093354 0.093542 0.093704 33.59 33.67 Jefferies Group LLC 47233JGU6 10/22/21 10/22/41 100.000 VARIES 3.7907 79.53 0.098226 0.098380 0.098388 0.098421 0.098570 35.40 35.44 Jefferies Group LLC 47233JFH6 06/28/21 06/28/41 100.000 VARIES 3.7162 91.71 0.098976 0.098446 0.098059 0.097785 0.097553 35.53 35.25 Jefferies Group LLC 47233JEB0 10/30/20 10/31/40 100.000 VARIES 3.6781 111.55 0.093692 0.093090 0.092587 0.092183 0.091864 33.55 33.21 Jefferies Group LLC 47233JDF2 05/29/20 05/28/32 100.000 VARIES 3.1824 24.42 0.017414 0.017691 0.017973 0.018259 0.018549 6.34 6.54 Jefferies Group LLC 47233JDQ8 08/21/20 08/28/35 100.000 VARIES 3.6012 118.64 0.096110 0.095776 0.095583 0.095509 0.095524 34.47 34.39 Jefferies Group LLC 47233JCR7 11/29/19 11/29/34 100.000 VARIES 4.1288 166.22 0.111747 0.111881 0.112022 0.112163 0.112295 40.26 40.36 Jefferies Group LLC 47233JCE6 08/30/19 08/31/39 100.000 VARIES 4.1514 170.61 0.105804 0.106247 0.106713 0.107110 0.107535 38.28 38.59 Jefferies Group LLC 47233JBT4 03/21/19 03/21/31 100.000 VARIES 4.2780 24.10 0.013327 0.013612 0.013903 0.014200 0.014504 4.91 5.12 Jefferies Group LLC 47233JBW7 05/31/19 05/31/39 100.000 VARIES 5.4586 14.26 0.005242 0.005385 0.005532 0.005683 0.005838 1.92 2.03 Jefferies Group LLC 47233JBV9 04/30/19 04/30/34 100.000 VARIES 5.1653 21.34 0.009478 0.009723 0.009974 0.010232 0.010496 3.49 3.67 Jefferies Group LLC 47233JBY3 06/26/19 06/26/39 100.000 VARIES 5.4862 22.71 0.008964 0.007856 0.008072 0.008293 0.008521 3.02 2.95 Jefferies Group LLC 47233JBC1 10/31/17 10/31/37 100.000 VARIES 5.1265 298.98 0.130904 0.130977 0.131159 0.131441 0.131797 47.15 47.31 Jefferies Group LLC 47233JBB3 10/31/17 10/31/37 100.000 VARIES 5.1557 296.46 0.128990 0.128908 0.128911 0.129007 0.129170 46.42 46.44 Jefferies Group LLC 47233JBE7 12/28/17 12/28/37 100.000 VARIES 4.3011 34.66 0.011744 0.011997 0.012255 0.012518 0.012787 4.28 4.46 Jefferies Group LLC 47233JBG2 01/31/18 01/31/38 100.000 VARIES 5.0271 279.79 0.130347 0.130749 0.131158 0.131588 0.132048 47.12 47.43 Jefferies Group LLC 47233JBK3 03/29/18 03/29/38 100.000 VARIES 5.3355 296.30 0.141533 0.141814 0.142076 0.142331 0.142589 51.05 51.24 Jefferies Group LLC 47233JBJ6 02/28/18 02/28/38 100.000 VARIES 4.1737 17.61 0.006956 0.007100 0.007249 0.007399 0.007555 2.57 2.67 Jefferies Group LLC 47233JAL2 04/28/17 04/28/33 100.000 VARIES 5.1690 315.29 0.128193 0.128545 0.128906 0.129276 0.129945 46.26 46.54 Jefferies Group LLC 47233JAQ1 06/30/17 06/30/37 100.000 VARIES 5.1829 302.13 0.123617 0.123833 0.124141 0.124549 0.125023 44.54 44.77 Jefferies Group LLC 47233JAP3 05/31/17 05/31/34 100.000 VARIES 5.0961 312.09 0.128172 0.128236 0.128685 0.129145 0.129617 46.17 46.44 Jefferies Group LLC 47233JAT5 07/31/17 07/31/37 100.000 VARIES 5.3560 322.72 0.134983 0.134996 0.135135 0.135387 0.135741 48.62 48.79 Jefferies Group LLC 47233JAV0 08/31/17 08/31/37 100.000 VARIES 5.1572 297.96 0.120338 0.120480 0.120735 0.121008 0.121431 43.40 43.60 Jefferies Group LLC 47233JAY4 09/29/17 09/30/37 100.000 VARIES 5.0451 293.00 0.125045 0.125071 0.125172 0.125356 0.125605 45.03 45.13 Jefferies Group LLC 47233JAX6 08/31/17 08/31/37 100.000 VARIES 5.1565 300.22 0.125912 0.125788 0.125791 0.125819 0.126009 45.29 45.32 Jefferies Group LLC 47233JAK4 02/28/17 02/28/24 100.000 VARIES 2.8488 18.16 0.007799 0.44 Jefferies Group LLC 47233WCQ0 01/02/24 07/02/27 100.000 0.000 5.1200 0.142222 0.145863 0.149597 0.153427 51.71 54.54 Jefferies Group LLC 47233WCC1 11/02/23 08/03/26 100.000 0.000 6.3400 10.39 0.176111 0.178933 0.184606 0.190458 0.196495 65.17 69.27 Jefferies Group LLC 47233WBH1 07/26/23 01/26/28 100.000 0.000 5.7500 24.76 0.159722 0.164314 0.169038 0.173898 0.178898 59.77 63.26 Jefferies Group LLC 47233WBJ7 07/26/23 01/26/29 100.000 0.000 5.7700 24.84 0.160278 0.164902 0.169659 0.174554 0.179590 59.99 63.50 Jefferies Group LLC 47233WBQ1 08/31/23 02/26/27 100.000 0.000 6.0100 20.20 0.166944 0.171850 0.177014 0.182333 0.187812 62.24 66.03 Jefferies Group LLC 47233WBW8 09/27/23 03/27/28 100.000 0.000 6.1000 15.93 0.169444 0.174613 0.179938 0.185426 0.191082 62.92 66.81 Jefferies Group LLC 47233WAX7 04/28/23 04/28/27 100.000 0.000 5.1100 34.72 0.145571 0.149290 0.153105 0.157017 0.161028 53.55 56.32 Jefferies Group LLC 47233WBC2 05/30/23 05/26/27 100.000 0.000 5.2800 31.08 0.150453 0.154425 0.158501 0.162686 0.166981 55.16 58.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jefferies Group LLC 47233WBF5 07/06/23 12/27/28 100.000 0.000 5.5100 26.80 0.157061 0.161388 0.165835 0.170403 0.175098 57.36 60.56 Jefferies Group LLC 47233WAH2 12/27/22 06/25/27 100.000 0.000 5.3100 54.43 0.155392 0.159517 0.163752 0.168100 0.172563 56.73 59.79 Jefferies Group LLC 47233WAJ8 12/27/22 06/27/28 100.000 0.000 5.4900 56.30 0.160987 0.165406 0.169947 0.174612 0.179405 58.79 62.06 Jefferies Group LLC 47233WAK5 01/31/23 01/31/43 100.000 VARIES 5.9130 3.75 0.009372 0.008072 0.006735 0.006735 0.005356 3.22 2.26 Jefferies Group LLC 47233WAN9 04/04/23 04/05/27 100.000 0.000 5.4000 40.40 0.154073 0.158232 0.162505 0.166892 0.171398 56.94 60.06 Jefferies Group, LLC 47233JKF4 10/05/22 04/05/27 100.000 0.000 5.6900 72.09 0.167177 0.171933 0.176825 0.181855 0.187029 61.87 65.44 Jefferies Group, LLC 47233WAB5 11/23/22 05/21/27 100.000 0.000 5.8800 66.25 0.173024 0.178110 0.183347 0.188737 0.194286 63.62 67.41 Jefferies Group, LLC 47233WAA7 11/23/22 05/21/26 100.000 0.000 5.7300 64.53 0.168365 0.173189 0.178151 0.183255 0.188505 61.87 65.47 Jefferies Group, LLC 47233WAD1 12/02/22 12/02/27 100.000 0.000 5.6100 61.66 0.164698 0.169318 0.174067 0.178950 0.183969 60.39 63.83 Jefferies Group, LLC 47233WAC3 11/17/22 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SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ LEANDER TEX INDPT SCH DI 521841D94 06/23/21 08/15/29 86.476 0.000 1.7920 39.81 0.044724 0.045125 0.045529 0.045937 0.046348 16.28 16.58 LEANDER TEX INDPT SCH DI 521841D86 06/23/21 08/15/28 89.415 0.000 1.5721 36.03 0.040380 0.040697 0.041017 0.041339 0.041664 14.68 14.91 LEANDER TEX INDPT SCH DI 521841D78 06/23/21 08/15/27 91.773 0.000 1.4020 32.93 0.036829 0.037087 0.037347 0.037609 0.037872 13.38 13.56 LEANDER TEX INDPT SCH DI 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54.16 MC BRAZIL DOWNSTREAM TRA 55292WAA8 07/21/21 06/30/31 100.000 7.250 0.0000 173.48 0.176554 0.165891 0.154749 0.146164 0.139685 61.64 54.16 MC GREGOR TEX INDPT SCH 580730LR8 08/18/20 02/15/33 70.673 0.000 2.7980 69.38 0.059691 0.060526 0.061373 0.062231 0.063102 21.87 22.48 MC GREGOR TEX INDPT SCH 580730LQ0 08/18/20 02/15/32 73.911 0.000 2.6480 68.52 0.058816 0.059595 0.060384 0.061183 0.061993 21.53 22.10 MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24 97.606 0.000 0.7540 19.27 0.020788 0.020866 4.67 MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24 96.927 0.000 0.9819 29.92 0.027143 0.81 MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25 95.384 0.000 1.1321 34.01 0.030918 0.031093 0.031269 11.21 0.94 MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26 93.269 0.000 1.3481 39.71 0.036209 0.036453 0.036699 0.036946 0.037195 13.15 13.33 MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27 91.181 0.000 1.4979 43.22 0.039491 0.039787 0.040085 0.040385 0.040688 14.36 14.57 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0.047746 0.048212 16.90 17.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31 77.389 0.000 2.4998 63.95 0.057635 0.058356 0.059085 0.059824 0.060571 21.08 21.61 MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30 80.069 0.000 2.4000 63.43 0.057089 0.057774 0.058468 0.059169 0.059879 20.86 21.37 MIAMI TRACE OHIO LOC SCH 593779JR3 12/23/21 12/01/33 71.666 0.000 2.8100 41.62 0.059049 0.059879 0.060720 0.061573 0.062438 21.46 22.06 MIAMI TRACE OHIO LOC SCH 593779JS1 12/23/21 12/01/34 68.373 0.000 2.9600 41.88 0.059514 0.060394 0.061288 0.062195 0.063116 21.64 22.28 MIAMI TRACE OHIO LOC SCH 593779JT9 12/23/21 12/01/35 65.488 0.000 3.0599 41.50 0.059040 0.059943 0.060861 0.061792 0.062737 21.47 22.13 MICHIGAN FIN AUTH REV 59447TJ20 10/15/20 06/01/45 20.693 0.000 6.4997 47.22 0.045640 0.047123 0.048655 0.050236 0.051868 16.79 17.90 MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35 57.219 0.000 3.5309 86.78 0.064443 0.065581 0.066739 0.067917 0.069116 23.47 24.31 MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36 55.067 0.000 3.5510 84.02 0.062420 0.063528 0.064656 0.065804 0.066972 22.74 23.55 MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33 62.215 0.000 3.4310 91.52 0.067822 0.068986 0.070169 0.071373 0.072597 24.70 25.55 MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34 59.694 0.000 3.4810 89.17 0.066150 0.067302 0.068473 0.069665 0.070877 24.09 24.94 MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32 65.193 0.000 3.3310 92.94 0.068729 0.069874 0.071038 0.072221 0.073424 25.02 25.86 MINERAL WELLS TEX INDPT 603109RS0 03/31/21 02/15/29 85.552 0.000 1.9913 47.98 0.049602 0.050096 0.050594 0.051098 0.051607 18.08 18.44 MINERAL WELLS TEX INDPT 603109RR2 03/31/21 02/15/28 88.981 0.000 1.7053 42.59 0.043884 0.044258 0.044636 0.045016 0.045400 15.97 16.24 MINERAL WELLS TEX INDPT 603109RQ4 03/31/21 02/15/27 91.300 0.000 1.5552 39.79 0.040920 0.041238 0.041559 0.041882 0.042207 14.88 15.11 MINERAL WELLS TEX INDPT 603109RP6 03/31/21 02/15/26 94.328 0.000 1.2013 31.63 0.032385 0.032580 0.032776 0.032972 0.033171 11.75 11.89 MINERAL WELLS TEX INDPT 603109RN1 03/31/21 02/15/25 96.018 0.000 1.0513 28.12 0.028748 0.028899 0.029051 10.42 1.28 MINERAL WELLS TEX INDPT 603109RM3 03/31/21 02/15/24 98.203 0.000 0.6317 17.20 0.017492 0.77 MISSION CONS INDPT SCH 605041HZ8 12/30/20 02/15/25 95.901 0.000 1.0172 29.67 0.027828 0.027969 0.028111 10.08 1.24 MORGAN STANLEY 61761J6K0 06/27/24 06/27/34 100.000 0.000 5.3773 0.149369 0.153385 0.157509 0.161744 27.50 55.99 MORGAN STANLEY 61771W6L7 03/28/24 03/29/29 100.000 0.000 4.9014 0.136150 0.139505 0.142924 0.146427 37.48 51.47 MORGAN STANLEY 61776MMW2 06/26/24 06/26/29 100.000 0.000 5.0009 0.138914 0.142387 0.145948 0.149597 25.72 51.94 MORGAN STANLEY 61771W6V5 04/02/24 04/01/27 100.000 0.000 4.8706 0.135294 0.138571 0.141946 0.145402 36.69 51.11 MORGAN STANLEY 61771WXY9 02/14/24 02/12/26 100.000 0.000 5.0529 0.140358 0.143865 0.147500 0.151226 44.98 53.47 MORGAN STANLEY 61774FCT7 12/22/23 12/22/31 100.000 VARIES 3.3452 0.17 0.018000 0.016100 0.014700 0.014950 0.015200 6.10 5.34 MORGAN STANLEY 61774FDC3 01/25/24 01/25/34 100.000 VARIES 2.5958 0.025150 0.024000 0.022800 0.021600 8.27 8.05 MORGAN STANLEY 61776MMG7 06/20/24 06/20/29 100.000 0.000 4.9315 0.136986 0.140364 0.143825 0.147371 26.20 51.23 MORGAN STANLEY 61771WWR5 02/29/24 03/01/29 100.000 0.000 5.3760 0.149333 0.153392 0.157515 0.161749 45.59 56.97 MORGAN STANLEY 61771WWQ7 02/29/24 03/01/29 100.000 0.000 5.3760 0.149333 0.153392 0.157515 0.161749 45.59 56.97 MORGAN STANLEY 61771WWT1 03/05/24 03/05/29 100.000 0.000 5.3626 0.148961 0.152955 0.157056 0.161268 44.56 56.77 MORGAN STANLEY 61771WWN4 02/29/24 03/01/27 100.000 0.000 5.3055 0.147375 0.151328 0.155342 0.159463 44.98 56.18 MORGAN STANLEY 61771WWL8 02/29/24 03/01/29 100.000 0.000 5.3760 0.149333 0.153392 0.157515 0.161749 45.59 56.97 MORGAN STANLEY 61771WWP9 02/29/24 03/01/29 100.000 0.000 5.3760 0.149333 0.153392 0.157515 0.161749 45.59 56.97 MORGAN STANLEY 61775MS31 12/21/23 12/21/28 100.000 0.000 4.7878 1.33 0.132994 0.136178 0.139438 0.142776 0.146194 48.52 50.87 MORGAN STANLEY 61771WFW3 01/03/24 01/03/29 100.000 0.000 4.7389 0.131636 0.134755 0.137948 0.141217 47.68 50.24 MORGAN STANLEY 61775MAW6 10/11/23 10/11/28 100.000 0.000 6.0422 13.43 0.167839 0.172909 0.178133 0.183515 0.189059 62.16 65.97 MORGAN STANLEY 61776MKW4 06/20/24 06/17/27 100.000 0.000 5.0600 0.140556 0.144052 0.147697 0.151434 26.90 52.62 MORGAN STANLEY 61761J6D6 03/08/24 03/08/29 100.000 0.000 6.1791 0.171642 0.176945 0.182411 0.188047 50.89 65.94 MORGAN STANLEY 61771W5C8 04/01/24 03/29/29 100.000 0.000 4.9580 0.137722 0.141098 0.144596 0.148181 37.50 52.08 MORGAN STANLEY 61776LM38 05/31/24 05/31/29 100.000 0.000 5.1785 0.143847 0.147572 0.151393 0.155313 30.47 54.05 MORGAN STANLEY 61776LLR6 05/03/24 05/05/27 100.000 0.000 5.2779 0.146608 0.146651 0.150521 0.154494 0.158571 35.12 55.35 MORGAN STANLEY 61776LLP0 05/03/24 05/05/27 100.000 0.000 5.2779 0.146608 0.146651 0.150521 0.154494 0.158571 35.12 55.35 MORGAN STANLEY 61775MV86 12/20/23 12/18/25 100.000 0.000 5.1900 1.59 0.144167 0.147866 0.151703 0.155640 52.66 53.35 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY 61771WJ41 02/20/24 11/30/27 100.000 0.000 5.2839 0.146775 0.148929 0.152864 0.156903 0.161048 46.22 56.01 MORGAN STANLEY 61776LLX3 05/03/24 05/03/29 100.000 0.000 5.3877 0.149658 0.153690 0.157830 0.162082 35.85 56.56 MORGAN STANLEY 61776LKZ9 04/03/24 04/02/31 100.000 0.000 5.0565 0.140458 0.143990 0.147630 0.151363 37.96 53.15 MORGAN STANLEY 61771WZP6 02/15/24 02/18/27 110.950 5.500 4.8320 0.148900 0.151900 0.154800 0.157800 47.29 55.97 MORGAN STANLEY 61776LLHB 04/30/24 04/30/29 100.000 0.000 5.4356 0.150989 0.155092 0.159308 0.163637 36.64 57.11 MORGAN STANLEY 61776LLG0 04/30/24 04/30/29 100.000 0.000 5.4356 0.150989 0.155092 0.159308 0.163637 36.64 57.11 MORGAN STANLEY 61771WYR3 03/05/24 03/04/27 100.000 0.000 5.2861 0.146836 0.150696 0.154678 0.158767 43.92 55.91 MORGAN STANLEY 61771WZ27 03/28/24 03/29/29 100.000 0.000 4.9014 0.136150 0.139505 0.142924 0.146427 37.48 51.47 MORGAN STANLEY 61771WHR2 01/04/24 01/04/29 100.000 0.000 4.7545 0.132069 0.135209 0.138423 0.141714 47.70 50.41 MORGAN STANLEY 61776LKV8 04/04/24 04/02/27 100.000 0.000 4.8598 0.134994 0.138238 0.141597 0.145038 36.33 50.98 MORGAN STANLEY 61771WHX9 01/24/24 07/24/28 100.000 0.000 5.1010 0.141694 0.145308 0.149014 0.152815 48.32 54.16 MORGAN STANLEY 61771WHY7 01/24/24 07/24/29 100.000 0.000 5.0242 0.139561 0.143067 0.146661 0.150345 47.58 53.29 MORGAN STANLEY 61774FDZ2 05/15/24 05/13/27 100.000 0.000 5.4780 0.152167 0.156288 0.160569 0.164967 34.59 57.45 MORGAN STANLEY 61775M2A3 12/27/23 06/26/29 100.000 0.000 4.9497 0.55 0.137492 0.140875 0.144362 0.147935 0.151596 50.14 52.65 MORGAN STANLEY 61776LKG1 04/30/24 07/29/27 100.000 0.000 5.2811 0.146697 0.148613 0.152537 0.156565 35.65 55.42 MORGAN STANLEY 61771W7K8 03/20/24 03/18/27 100.000 0.000 5.3322 0.148117 0.152022 0.156075 0.160236 42.02 56.30 MORGAN STANLEY 61771WHM3 01/04/24 01/04/29 100.000 0.000 4.7545 0.132069 0.135209 0.138423 0.141714 47.70 50.41 MORGAN STANLEY 61771WKV9 01/10/24 01/10/29 100.000 0.000 5.0022 0.138950 0.142425 0.145987 0.149639 49.37 53.15 MORGAN STANLEY 61775MFL5 10/11/23 10/08/26 100.000 0.000 5.9365 13.19 0.164903 0.169716 0.174754 0.179941 0.185282 61.05 64.72 MORGAN STANLEY 61776LN94 06/05/24 06/05/29 100.000 0.000 5.2593 0.146092 0.149933 0.153876 0.157922 30.19 54.89 MORGAN STANLEY 61776LN86 06/05/24 06/04/27 100.000 0.000 5.2245 0.145125 0.148895 0.152784 0.156776 30.00 54.52 MORGAN STANLEY 61776LQ75 06/05/24 12/03/26 100.000 0.000 5.2587 0.146075 0.149873 0.153814 0.157858 30.20 54.89 MORGAN STANLEY 61775MHS8 10/12/23 04/10/25 100.000 0.000 5.6103 12.31 0.155842 0.160165 0.164658 57.60 16.30 MORGAN STANLEY 61771WN87 03/04/24 03/05/29 100.000 0.000 5.4084 0.150233 0.154319 0.158492 0.162778 45.09 57.29 MORGAN STANLEY 61775MZ74 12/26/23 12/26/29 100.000 0.000 4.9925 0.69 0.138681 0.142142 0.145691 0.149327 0.153055 50.58 53.14 MORGAN STANLEY 61771WN46 03/05/24 03/03/28 100.000 0.000 5.3270 0.147972 0.151870 0.155915 0.160068 44.26 56.37 MORGAN STANLEY 61776MS63 08/05/24 08/03/29 100.000 0.000 4.8088 0.133578 0.136754 0.140042 19.50 49.62 MORGAN STANLEY 61776MS55 08/05/24 08/03/29 100.000 0.000 4.8088 0.133578 0.136754 0.140042 19.50 49.62 MORGAN STANLEY 61776MRJ6 08/05/24 02/04/27 100.000 0.000 4.8900 0.135833 0.139136 0.142538 19.83 50.48 MORGAN STANLEY 61775MY75 12/19/23 12/19/28 100.000 0.000 4.9177 1.64 0.136603 0.139962 0.143403 0.146929 0.150542 49.86 52.35 MORGAN STANLEY 61776LAV9 03/11/24 09/11/25 100.000 0.000 5.1292 0.142478 0.146132 0.149879 41.72 37.21 MORGAN STANLEY 617611613 06/05/24 06/05/34 100.000 0.000 5.3773 0.149369 0.153385 0.157509 0.161744 30.87 56.18 MORGAN STANLEY 61775ML38 12/11/23 11/06/26 104.090 VARIES 5.2030 2.86 0.150400 0.151800 0.153900 0.156100 0.158400 54.59 56.05 MORGAN STANLEY 61776LSA6 04/22/24 04/20/29 100.000 0.000 5.5203 0.153342 0.157527 0.161875 0.166343 38.48 58.12 MORGAN STANLEY 61776MUX1 08/05/24 08/05/27 100.000 0.000 4.8900 0.135833 0.139154 0.142557 19.83 50.48 MORGAN STANLEY 61776MUV5 08/05/24 08/03/29 100.000 0.000 4.8088 0.133578 0.136754 0.140042 19.50 49.62 MORGAN STANLEY 61776LB22 04/24/24 04/30/25 100.000 0.000 5.4265 0.150736 0.150872 0.154966 37.51 18.44 MORGAN STANLEY 61776RBK9 08/07/24 09/05/25 100.000 0.000 4.8900 0.135833 0.136350 0.139684 19.62 33.87 MORGAN STANLEY 61776LA98 04/24/24 10/23/25 100.000 0.000 5.4380 0.151056 0.155140 0.159358 37.59 46.06 MORGAN STANLEY 61776MCW3 06/28/24 06/28/29 100.000 0.000 4.9679 0.137997 0.141425 0.144938 0.148538 25.26 51.57 MORGAN STANLEY 61776MDE2 06/28/24 06/28/29 100.000 0.000 4.9679 0.137997 0.141425 0.144938 0.148538 25.26 51.57 MORGAN STANLEY 61771WNX2 01/24/24 01/23/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 46.78 52.35 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY 61771WNY0 01/24/24 01/23/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 46.78 52.35 MORGAN STANLEY 61776LR25 06/05/24 06/05/29 100.000 0.000 5.2593 0.146092 0.149933 0.153876 0.157922 30.19 54.89 MORGAN STANLEY 61776MD15 07/03/24 07/03/29 100.000 0.000 5.0060 0.139056 0.142536 0.146104 24.75 51.94 MORGAN STANLEY 61775MN77 12/27/23 12/27/28 100.000 0.000 4.9237 0.55 0.136769 0.140137 0.143586 0.147121 0.150743 49.87 52.36 MORGAN STANLEY 61776L3H8 05/08/24 06/06/25 100.000 0.000 5.3573 0.148814 0.149434 0.153437 34.90 23.78 MORGAN STANLEY 61776MGL3 06/12/24 06/10/27 100.000 0.000 5.0600 0.140556 0.144072 0.147717 0.151454 28.04 52.68 MORGAN STANLEY 61775MN51 12/27/23 12/26/25 100.000 0.000 5.1900 0.58 0.144167 0.147887 0.151725 0.155662 52.61 54.57 MORGAN STANLEY 61776L2L0 05/31/24 06/01/29 100.000 0.000 5.1729 0.143692 0.147429 0.151242 0.155154 30.43 53.99 MORGAN STANLEY 61776L2X4 05/31/24 06/02/31 100.000 0.000 5.2787 0.146631 0.146674 0.150545 0.154518 0.158596 31.06 55.14 MORGAN STANLEY 61776LD79 05/03/24 11/04/25 100.000 0.000 5.3963 0.149897 0.153964 0.158118 35.91 47.40 MORGAN STANLEY 61771WA99 02/27/24 02/27/29 100.000 0.000 5.4089 0.150247 0.154311 0.158484 0.162770 46.18 57.35 MORGAN STANLEY 61776LD46 05/02/24 05/03/29 100.000 0.000 5.4321 0.150892 0.155013 0.159223 0.163548 36.30 57.06 MORGAN STANLEY 61776L2P1 05/31/24 06/03/27 100.000 0.000 5.1777 0.143825 0.143887 0.147612 0.151434 0.155354 30.46 54.04 MORGAN STANLEY 61776MFA8 06/28/24 06/28/31 100.000 0.000 5.0825 0.141181 0.144768 0.148447 0.152220 25.85 52.80 MORGAN STANLEY 61776RDM3 08/09/24 08/09/29 100.000 0.000 4.5986 0.127739 0.130676 0.133681 18.14 47.36 MORGAN STANLEY 61776LBX4 03/13/24 09/11/25 100.000 0.000 5.0039 0.138997 0.142436 0.146000 40.41 36.25 MORGAN STANLEY 61771WPR3 01/31/24 01/29/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 45.93 52.31 MORGAN STANLEY 61776LBH9 03/19/24 03/19/29 100.000 0.000 5.3153 0.147647 0.151571 0.155599 0.159735 42.04 56.12 MORGAN STANLEY 61776MEX9 07/03/24 12/31/26 100.000 0.000 5.0192 0.139422 0.142863 0.146448 0.150123 24.82 52.08 MORGAN STANLEY 61775HN29 10/04/23 10/04/28 100.000 0.000 5.7426 13.88 0.159517 0.164097 0.168809 0.173656 0.178642 59.06 62.50 MORGAN STANLEY 61776LC39 04/22/24 04/21/26 100.000 0.000 5.4665 0.151847 0.155975 0.160238 0.164617 38.10 57.52 MORGAN STANLEY 61771WTK4 02/05/24 02/05/26 100.000 0.000 4.9368 0.137133 0.140518 0.143987 0.147541 45.20 52.24 MORGAN STANLEY 61775MP91 12/26/23 12/26/25 100.000 0.000 5.1900 0.72 0.144167 0.147908 0.151746 0.155684 52.61 54.58 MORGAN STANLEY 61771WC89 02/08/24 02/10/26 100.000 0.000 4.9751 0.138197 0.138235 0.141674 0.145198 0.148810 45.13 52.64 MORGAN STANLEY 61776MZ32 08/05/24 08/03/29 100.000 0.000 4.8088 0.133578 0.136754 0.140042 19.50 49.62 MORGAN STANLEY 61775HQ91 09/29/23 09/29/28 100.000 0.000 5.7418 14.67 0.159494 0.164073 0.168784 0.173629 0.178614 59.10 62.54 MORGAN STANLEY 61771WC22 03/05/24 03/04/27 100.000 0.000 5.2891 0.146919 0.150783 0.154771 0.158864 43.94 55.95 MORGAN STANLEY 61771WT40 02/29/24 03/01/29 100.000 0.000 5.3760 0.149333 0.153392 0.157515 0.161749 45.59 56.97 MORGAN STANLEY 61771WB80 02/07/24 02/07/29 100.000 0.000 4.9316 0.136989 0.140367 0.143828 0.147374 44.87 52.16 MORGAN STANLEY 61776MH65 07/31/24 07/31/29 100.000 0.000 4.8838 0.135661 0.138974 0.142367 20.48 50.45 MORGAN STANLEY 61771WB98 02/29/24 05/29/26 100.000 0.000 5.2923 0.147008 0.148953 0.152895 0.156941 0.161094 44.93 56.03 MORGAN STANLEY 61776LE86 05/08/24 05/08/29 100.000 0.000 5.2803 0.146675 0.150547 0.154522 0.158602 34.38 55.34 MORGAN STANLEY 61771WEP9 01/31/24 01/29/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 45.93 52.31 MORGAN STANLEY 61771WEV6 02/05/24 02/05/26 100.000 0.000 4.9368 0.137133 0.140518 0.143987 0.147541 45.20 52.24 MORGAN STANLEY 61771WEU8 01/31/24 01/31/29 100.000 0.000 5.1107 0.141964 0.145592 0.149312 0.153127 47.54 54.22 MORGAN STANLEY 61771W4V7 03/28/24 06/30/27 100.000 0.000 4.7745 0.132625 0.134243 0.137448 0.140729 0.144089 36.50 50.08 MORGAN STANLEY 61771WEX2 02/05/24 02/05/29 100.000 0.000 5.0829 0.141192 0.144780 0.148459 0.152233 46.55 53.87 MORGAN STANLEY 61771WEW4 02/05/24 02/04/27 100.000 0.000 4.9591 0.137753 0.141149 0.144649 0.148236 45.41 52.49 MORGAN STANLEY 61771WER5 01/31/24 01/31/29 100.000 0.000 5.1107 0.141964 0.145592 0.149312 0.153127 47.54 54.22 MORGAN STANLEY 61771WEQ7 01/31/24 01/29/27 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 45.93 52.31 MORGAN STANLEY 61771WET1 01/31/24 01/29/26 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 45.93 52.31 MORGAN STANLEY 61771WES3 01/31/24 01/31/29 100.000 0.000 5.1107 0.141964 0.145592 0.149312 0.153127 47.54 54.22 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY 61771W3Z9 03/28/24 03/29/29 100.000 0.000 4.9014 0.136150 0.139505 0.142924 0.146427 37.48 51.47 MORGAN STANLEY 61771W4D7 04/03/24 04/03/29 100.000 0.000 4.9459 0.137386 0.140784 0.144265 0.147833 37.12 51.93 MORGAN STANLEY 61771W4C9 03/28/24 03/29/29 100.000 0.000 4.9014 0.136150 0.139505 0.142924 0.146427 37.48 51.47 MORGAN STANLEY 61771W4B1 03/28/24 03/28/31 100.000 0.000 5.0375 0.139931 0.143455 0.147068 0.150773 38.53 52.97 MORGAN STANLEY 61771W4A3 04/03/24 04/03/29 100.000 0.000 4.9459 0.137386 0.140784 0.144265 0.147833 37.12 51.93 MORGAN STANLEY 61776MJK2 06/28/24 09/30/25 100.000 0.000 5.1063 0.141842 0.143693 0.147361 26.13 39.31 MORGAN STANLEY 61775MQ41 12/26/23 12/26/28 100.000 0.000 4.8659 0.68 0.135164 0.138452 0.141821 0.145271 0.148806 49.28 51.71 MORGAN STANLEY 61775MQ25 12/26/23 12/24/26 100.000 0.000 5.1900 0.72 0.144167 0.147866 0.151703 0.155640 0.159679 52.62 55.38 MORGAN STANLEY 61775MQ33 12/26/23 12/26/28 100.000 0.000 4.8659 0.68 0.135164 0.138452 0.141821 0.145271 0.148806 49.28 51.71 MORGAN STANLEY 61771W3Q9 04/03/24 04/03/29 100.000 0.000 4.9459 0.137386 0.140784 0.144265 0.147833 37.12 51.93 MORGAN STANLEY 61771W3P1 04/03/24 04/01/27 100.000 0.000 4.8598 0.134994 0.138238 0.141597 0.145038 36.47 50.98 MORGAN STANLEY 61775MQ66 12/26/23 12/26/28 100.000 0.000 4.8659 0.68 0.135164 0.138452 0.141821 0.145271 0.148806 49.28 51.71 MORGAN STANLEY 61776L5N3 05/21/24 06/18/25 100.000 0.000 5.2570 0.146028 0.146604 0.150457 32.29 25.13 MORGAN STANLEY 61771WDD7 12/21/23 12/23/30 100.000 0.000 4.8927 1.36 0.135945 0.139271 0.142678 0.146168 0.149744 49.59 52.05 MORGAN STANLEY 61776L5W3 05/29/24 05/29/29 100.000 0.000 5.1075 0.141875 0.145498 0.149214 0.153024 30.19 53.29 MORGAN STANLEY FIANCE 61774FAE2 09/29/22 10/01/24 100.000 0.000 4.9820 63.82 0.145410 0.149032 39.91 MORGAN STANLEY FINANCE 61773QZR3 05/04/22 05/04/27 100.000 0.000 4.1269 70.14 0.121880 0.124395 0.126962 0.129581 0.132255 44.62 46.48 MORGAN STANLEY FINANCE 61773QJ34 04/27/22 04/26/29 100.000 0.000 4.3151 74.31 0.127776 0.130533 0.133349 0.136226 0.139165 46.86 48.90 MORGAN STANLEY FINANCE 61774DNM5 06/10/22 06/10/27 100.000 0.000 4.2071 67.06 0.124395 0.127012 0.129683 0.132411 0.135197 45.36 47.29 MORGAN STANLEY FINANCE 61773QZT9 04/29/22 04/29/27 100.000 0.000 3.9369 67.41 0.115944 0.118227 0.120554 0.122927 0.125347 42.44 44.12 MORGAN STANLEY FINANCE 61773QZU6 04/29/22 05/01/29 100.000 0.000 4.1304 70.81 0.122018 0.124537 0.127109 0.129734 0.132414 44.69 46.55 MORGAN STANLEY FINANCE 61761J5V7 08/31/23 08/31/33 100.000 VARIES 6.9573 1.31 0.010800 0.010000 0.009100 0.008250 0.007300 3.54 2.90 MORGAN STANLEY FINANCE 61773QZD4 04/27/22 04/27/27 100.000 0.000 4.1211 70.89 0.121698 0.124206 0.126765 0.129377 0.132043 44.59 46.44 MORGAN STANLEY FINANCE 61773Y359 04/22/22 05/05/26 100.000 0.000 3.9175 67.89 0.115503 0.117766 0.120072 0.122424 0.124822 42.24 43.92 MORGAN STANLEY FINANCE 61773Y474 05/04/22 11/05/25 100.000 0.000 3.8947 66.10 0.114642 0.116875 0.119151 0.121471 41.93 36.64 MORGAN STANLEY FINANCE 61775MVX1 11/08/23 11/06/26 102.750 VARIES 5.7860 8.59 0.165100 0.167900 0.170700 0.173600 0.176600 60.24 62.30 MORGAN STANLEY FINANCE 61774TSJ2 01/26/23 01/28/27 102.500 0.625 4.7613 45.99 0.139400 0.142500 0.145800 0.149150 0.152550 51.75 54.14 MORGAN STANLEY FINANCE 61766YMJ7 11/29/22 11/28/25 100.000 VARIES 5.2840 56.55 0.143250 0.145100 0.146050 0.146500 52.01 47.71 MORGAN STANLEY FINANCE 61774H2L1 11/23/22 11/23/27 100.000 5.000 5.4240 62.18 0.161400 0.165000 0.168700 0.172500 0.176400 59.03 61.72 MORGAN STANLEY FINANCE 61774DGB7 06/03/22 06/05/25 100.000 0.000 3.5556 57.20 0.104149 0.106001 0.107885 37.92 16.61 MORGAN STANLEY FINANCE 61774DGQ4 06/08/22 06/08/27 100.000 0.000 4.1771 66.81 0.123454 0.126032 0.128664 0.131351 0.134095 45.03 46.93 MORGAN STANLEY FINANCE 61773QC72 04/29/22 05/01/29 100.000 2.250 4.1304 70.06 0.119400 0.119300 0.121700 0.121700 0.124200 43.10 43.95 MORGAN STANLEY FINANCE 61760QNL4 07/29/22 07/29/27 100.000 VARIES 4.1020 58.00 0.113700 0.115900 0.118000 0.120200 0.122500 41.98 43.56 MORGAN STANLEY FINANCE 61773QG29 04/29/22 10/29/27 100.000 0.000 3.9912 68.36 0.117637 0.119985 0.122379 0.124822 0.127313 43.07 44.80 MORGAN STANLEY FINANCE 61773QX27 04/29/22 05/01/29 100.000 0.000 4.1304 70.81 0.122018 0.124537 0.127109 0.129734 0.132414 44.69 46.55 MORGAN STANLEY FINANCE 61760QNG5 04/28/22 04/28/32 100.000 VARIES 4.0510 66.34 0.111200 0.112900 0.113400 0.116500 0.117000 40.56 41.60 MORGAN STANLEY FINANCE 61760QNT7 02/13/23 08/13/24 100.000 VARIES 5.0700 2.32 0.007350 1.63 MORGAN STANLEY FINANCE 61760QNQ3 02/03/23 03/04/24 100.000 VARIES 5.0632 3.76 0.009700 0.62 MORGAN STANLEY FINANCE 61760QNX8 03/27/23 03/27/26 100.000 VARIES 5.2407 2.34 0.008200 0.007950 0.008150 0.008350 0.008600 2.89 3.02 MORGAN STANLEY FINANCE 61760QNW0 03/27/23 03/27/25 100.000 VARIES 4.8369 3.03 0.010700 0.010950 0.011250 0.011250 3.95 0.97 MORGAN STANLEY FINANCE 61774TYE6 02/07/23 02/07/28 108.000 0.625 4.6094 45.11 0.141400 0.144600 0.147800 0.151100 0.154500 52.39 54.78 MORGAN STANLEY FINANCE 61773QVD8 05/04/22 08/01/24 100.000 0.000 3.2166 54.39 0.092964 0.094459 19.79 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QVE6 04/28/22 05/31/24 100.000 0.000 3.3113 56.59 0.096910 14.44 MORGAN STANLEY FINANCE 61773QE47 04/27/22 04/26/29 100.000 0.000 4.3151 74.31 0.127776 0.130533 0.133349 0.136226 0.139165 46.86 48.90 MORGAN STANLEY FINANCE 61773QE39 04/27/22 04/27/27 100.000 0.000 4.1211 70.89 0.121698 0.124206 0.126765 0.129377 0.132043 44.59 46.44 MORGAN STANLEY FINANCE 61773QVB2 04/29/22 08/30/24 100.000 0.000 3.5449 60.59 0.103206 0.105025 25.00 MORGAN STANLEY FINANCE 61773QVC0 04/29/22 04/30/25 100.000 0.000 3.8590 66.05 0.113532 0.115722 0.117955 41.54 14.04 MORGAN STANLEY FINANCE 61773QVA4 04/29/22 11/29/24 100.000 0.000 3.9696 68.00 0.117350 0.119680 38.91 MORGAN STANLEY FINANCE 61760QPD0 11/30/23 11/30/33 100.000 VARIES 5.5230 4.60 0.152100 0.151800 0.148900 0.149300 0.148100 54.62 53.60 MORGAN STANLEY FINANCE 61761J4R7 09/19/22 03/19/24 100.000 VARIES 2.1773 6.42 0.013900 1.08 MORGAN STANLEY FINANCE 61761J4Z9 11/16/22 11/16/29 100.000 VARIES 5.5832 8.35 0.018850 0.017550 0.016600 0.017100 0.017550 6.43 6.10 MORGAN STANLEY FINANCE 61773QYA1 05/04/22 05/04/27 100.000 0.000 4.1269 70.14 0.121880 0.124395 0.126962 0.129581 0.132255 44.62 46.48 MORGAN STANLEY FINANCE 61761J4Y2 11/15/22 11/15/29 100.000 VARIES 5.6443 3.39 0.006850 0.007050 0.007250 0.007350 0.007550 2.53 2.68 MORGAN STANLEY FINANCE 61761J4W6 10/13/22 10/10/25 100.000 VARIES 3.8094 5.44 0.012650 0.012550 0.012400 0.012300 4.51 3.48 MORGAN STANLEY FINANCE 61761J4V8 10/13/22 04/12/24 100.000 VARIES 3.0116 4.71 0.010850 1.10 MORGAN STANLEY FINANCE 61761J4U0 09/29/22 09/29/25 100.000 VARIES 3.5478 3.93 0.008850 0.008750 0.008700 0.008600 3.15 2.31 MORGAN STANLEY FINANCE 61773Q6U8 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 MORGAN STANLEY FINANCE 61761J4T3 09/29/22 03/28/24 100.000 VARIES 2.7406 2.94 0.006550 0.56 MORGAN STANLEY FINANCE 61761J5A3 12/06/22 12/06/27 100.000 VARIES 5.1313 3.27 0.007550 0.007750 0.007950 0.008150 0.008350 2.76 2.91 MORGAN STANLEY FINANCE 61773QYD5 04/29/22 05/01/29 100.000 0.000 4.1304 70.81 0.122018 0.124537 0.127109 0.129734 0.132414 44.69 46.55 MORGAN STANLEY FINANCE 61773QYB9 05/04/22 05/04/27 100.000 0.000 4.1269 70.14 0.121880 0.124395 0.126962 0.129581 0.132255 44.62 46.48 MORGAN STANLEY FINANCE 61774HJT6 10/06/22 10/08/24 100.000 0.000 4.9491 62.38 0.144403 0.147976 40.64 MORGAN STANLEY FINANCE 61774DNB9 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 MORGAN STANLEY FINANCE 61774DNL7 06/10/22 06/10/27 100.000 0.000 4.2071 67.06 0.124395 0.127012 0.129683 0.132411 0.135197 45.36 47.29 MORGAN STANLEY FINANCE 61774FFY3 09/30/22 10/02/29 100.000 0.000 5.6163 71.96 0.164945 0.169577 0.174339 0.179234 0.184267 61.05 64.53 MORGAN STANLEY FINANCE 61774FEW8 10/05/22 10/05/27 100.000 0.000 5.5476 70.24 0.162767 0.167282 0.171922 0.176691 0.181592 60.20 63.58 MORGAN STANLEY FINANCE 61774FEE8 09/30/22 09/30/27 100.000 0.000 5.4789 70.16 0.160644 0.165045 0.169566 0.174212 0.178984 59.44 62.74 MORGAN STANLEY FINANCE 61774D1A5 06/28/22 07/26/24 100.000 0.000 3.7340 57.43 0.107944 0.109959 22.49 MORGAN STANLEY FINANCE 61774E428 10/05/22 10/03/29 100.000 0.000 5.7054 72.29 0.167603 0.172384 0.177302 0.182359 0.187562 62.05 65.64 MORGAN STANLEY FINANCE 61774FFZ0 10/05/22 10/05/27 100.000 0.000 5.5476 70.24 0.162767 0.167282 0.171922 0.176691 0.181592 60.20 63.58 MORGAN STANLEY FINANCE 61773Y789 06/03/22 12/03/25 100.000 0.000 3.7094 59.73 0.108879 0.110898 0.112955 0.115050 39.67 37.88 MORGAN STANLEY FINANCE 61774DTP2 07/13/22 07/13/26 100.000 0.000 4.3472 65.12 0.126062 0.128802 0.131602 0.134462 0.137385 46.81 48.86 MORGAN STANLEY FINANCE 61774D5R4 10/05/22 10/05/27 100.000 0.000 5.5476 70.24 0.162767 0.167282 0.171922 0.176691 0.181592 60.20 63.58 MORGAN STANLEY FINANCE 61774D5S2 10/05/22 10/05/27 100.000 0.000 5.5476 70.24 0.162767 0.167282 0.171922 0.176691 0.181592 60.20 63.58 MORGAN STANLEY FINANCE 61774D5P8 09/30/22 10/02/29 100.000 0.000 5.6163 71.96 0.164945 0.169577 0.174339 0.179234 0.184267 61.05 64.53 MORGAN STANLEY FINANCE 61774D5Q6 10/05/22 10/05/27 100.000 0.000 5.5476 70.24 0.162767 0.167282 0.171922 0.176691 0.181592 60.20 63.58 MORGAN STANLEY FINANCE 61774D5J2 09/30/22 10/02/29 100.000 0.000 5.6163 71.96 0.164945 0.169577 0.174339 0.179234 0.184267 61.05 64.53 MORGAN STANLEY FINANCE 61774B283 07/06/22 07/05/29 100.000 0.000 4.7119 71.67 0.137108 0.140339 0.143645 0.147029 0.150493 51.09 53.53 MORGAN STANLEY FINANCE 61774D7N1 10/05/22 10/03/25 100.000 0.000 5.2781 66.76 0.154410 0.158485 0.162668 0.166961 57.05 45.02 MORGAN STANLEY FINANCE 61774D7M3 09/30/22 09/30/27 100.000 0.000 5.4789 70.16 0.160644 0.165045 0.169566 0.174212 0.178984 59.44 62.74 MORGAN STANLEY FINANCE 61774D7K7 09/30/22 10/02/25 100.000 0.000 5.2218 66.80 0.152767 0.156756 0.160849 0.165048 56.43 44.35 MORGAN STANLEY FINANCE 61774DGV3 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 MORGAN STANLEY FINANCE 61773QWJ4 07/07/22 07/05/24 100.000 0.000 3.5515 53.61 0.102168 0.103982 19.13 MORGAN STANLEY FINANCE 61774HFR4 09/30/22 09/30/27 100.000 0.000 5.4789 70.16 0.160644 0.165045 0.169566 0.174212 0.178984 59.44 62.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QVY2 06/15/22 01/15/25 100.000 0.000 3.9475 62.28 0.114399 0.116657 0.118960 42.35 1.67 MORGAN STANLEY FINANCE 61773QVZ9 06/09/22 12/11/24 100.000 0.000 3.5284 56.14 0.103311 0.105133 35.45 MORGAN STANLEY FINANCE 61773QVW6 06/07/22 10/07/24 100.000 0.000 3.5478 56.72 0.103285 0.105117 28.84 MORGAN STANLEY FINANCE 61774HEU8 09/29/22 10/01/24 100.000 0.000 4.9580 63.50 0.144675 0.148261 39.71 MORGAN STANLEY FINANCE 61773QVX4 06/21/22 06/20/25 100.000 0.000 4.3761 68.39 0.129698 0.132536 0.135436 47.27 22.89 MORGAN STANLEY FINANCE 61773QVV8 06/21/22 06/20/25 100.000 0.000 4.3761 68.39 0.129698 0.132536 0.135436 47.27 22.89 MORGAN STANLEY FINANCE 61773QVR7 06/03/22 06/05/25 100.000 0.000 3.6428 58.63 0.106841 0.108787 0.110768 38.92 17.06 MORGAN STANLEY FINANCE 61774DMB0 06/30/22 07/02/29 100.000 0.000 4.7878 73.70 0.139475 0.142814 0.146233 0.149734 0.153318 52.02 54.54 MORGAN STANLEY FINANCE 61774DML8 07/06/22 07/06/27 100.000 0.000 4.5507 69.16 0.132226 0.135235 0.138312 0.141459 0.144678 49.21 51.47 MORGAN STANLEY FINANCE 61774DMJ3 06/06/22 06/04/27 100.000 0.000 4.1122 66.00 0.121392 0.123888 0.126436 0.129035 0.131688 44.29 46.13 MORGAN STANLEY FINANCE 61774FAF9 10/05/22 08/04/25 100.000 0.000 5.2329 66.22 0.151742 0.155712 0.159786 0.163967 56.52 34.79 MORGAN STANLEY FINANCE 61774FAC6 09/30/22 10/02/25 100.000 0.000 5.2793 67.55 0.154537 0.158616 0.162803 0.167100 57.10 44.89 MORGAN STANLEY FINANCE 61774FAD4 09/21/22 09/19/24 100.000 0.000 4.5365 59.06 0.131763 0.134752 34.53 MORGAN STANLEY FINANCE 61774FAB8 09/14/22 09/12/24 100.000 0.000 4.1940 55.38 0.121410 0.123955 30.93 MORGAN STANLEY FINANCE 61774DLG0 06/30/22 07/02/29 100.000 0.000 4.7878 73.70 0.139475 0.142814 0.146233 0.149734 0.153318 52.02 54.54 MORGAN STANLEY FINANCE 61774DLD7 06/23/22 12/22/25 100.000 0.000 4.3932 68.40 0.130237 0.133098 0.136022 0.139010 47.45 48.28 MORGAN STANLEY FINANCE 61773Q6B0 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 Mashantucket Western 574754AM9 07/01/13 07/01/36 14.695 VARIES N/A 795.09 0.348664 0.354017 0.359897 0.366355 0.373448 127.50 131.96 Mashantucket Western 574754AL1 07/01/13 07/01/26 53.461 6.350 N/A 1096.59 0.375565 0.387849 0.401084 0.415343 0.430704 139.74 149.65 Mclean County, IL 582001FH1 06/30/14 12/01/24 109.553 VARIES 4.3801 441.50 0.122989 0.122337 40.47 Miami-Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7676 186.45 0.064583 0.067414 0.070369 0.073454 0.076674 23.85 25.99 Morgan Stanley 61760QAK0 03/30/12 03/30/32 100.000 VARIES 5.8741 595.67 0.141209 0.142253 0.143545 0.144874 0.146243 51.24 52.16 Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 370.07 0.135348 0.137783 0.140262 49.74 8.70 Morgan Stanley 61760QAG9 03/15/12 03/15/32 100.000 VARIES 5.5710 575.67 0.135940 0.136711 0.137502 0.138316 0.139216 49.24 49.83 Morgan Stanley 61761JGH6 05/30/13 05/31/33 100.000 VARIES 4.3438 431.46 0.109869 0.110097 0.110937 0.110568 0.111506 40.29 40.44 Morgan Stanley 61760QAP9 03/30/12 03/30/27 100.000 VARIES 5.8451 611.51 0.150256 0.151709 0.153364 0.155068 0.156821 54.64 55.83 Morgan Stanley 61760QAN4 03/30/12 03/30/32 100.000 VARIES 6.0912 647.21 0.150644 0.151362 0.152234 0.153133 0.154058 54.51 55.13 Morgan Stanley 61761JGS2 05/24/13 05/24/33 100.000 VARIES 4.1821 411.67 0.106480 0.106741 0.107008 0.107280 0.107638 38.40 38.60 Morgan Stanley 61760QAW4 04/30/12 04/30/32 100.000 VARIES 5.9580 603.92 0.144945 0.145914 0.146914 0.147945 0.149005 52.47 53.20 Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5224 654.63 0.145342 0.144810 0.148492 0.147366 0.151162 53.23 54.11 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1252 642.17 0.148425 0.149696 0.151007 0.152375 0.153784 53.90 54.86 Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 661.62 0.146269 0.146667 0.147358 0.148067 0.148795 52.76 53.22 Morgan Stanley 61761JHD4 06/28/13 06/28/33 100.000 VARIES 5.2916 516.04 0.134142 0.134471 0.134808 0.135155 0.135636 48.35 48.60 Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 641.92 0.140221 0.140560 0.141157 0.141770 0.142399 50.54 50.93 Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5345 639.19 0.139339 0.139854 0.140384 0.140929 0.141694 50.27 50.66 Morgan Stanley 61760QAC8 02/29/12 02/29/32 100.000 VARIES 5.1025 571.98 0.132704 0.131590 0.134213 0.132470 0.135130 48.55 48.78 Morgan Stanley 61760QAB0 02/29/12 02/29/32 100.000 VARIES 5.1014 528.65 0.124465 0.123861 0.126695 0.125417 0.128302 45.72 46.21 Morgan Stanley 61761JGF0 05/08/13 05/06/33 100.000 VARIES 3.9967 400.36 0.102770 0.102962 0.103157 0.103356 0.103660 37.05 37.20 Morgan Stanley 61760QCW2 06/28/13 06/28/28 100.000 VARIES 4.2811 420.58 0.115148 0.115738 0.116181 0.116634 0.117096 41.56 41.91 Morgan Stanley 61760QCV4 06/28/13 06/28/28 100.000 VARIES 4.3010 422.39 0.115600 0.116195 0.116648 0.117110 0.117583 41.73 42.08 Morgan Stanley 6174824W1 05/30/13 05/30/28 100.000 VARIES 3.5684 364.64 0.096988 0.097208 0.097431 0.097658 0.097891 34.97 35.13 Morgan Stanley 61760QCT9 06/28/13 06/28/28 100.000 VARIES 4.5851 428.91 0.117508 0.118510 0.119534 0.120582 0.121654 42.49 43.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QCS1 06/07/13 06/07/28 100.000 VARIES 4.0272 381.27 0.102172 0.103124 0.104095 0.105085 0.106153 37.00 37.70 Morgan Stanley 61760QCQ5 06/28/13 06/28/28 100.000 VARIES 3.9696 378.47 0.103211 0.103942 0.104687 0.105447 0.106216 37.29 37.83 Morgan Stanley 61761JJB6 06/18/13 06/18/32 100.000 VARIES 4.7373 472.84 0.123298 0.123557 0.123822 0.124093 0.124463 44.44 44.63 Morgan Stanley 61760QCZ5 07/31/13 07/31/33 100.000 VARIES 4.4981 418.42 0.112018 0.112591 0.113177 0.113690 0.114215 40.60 40.99 Morgan Stanley 61760QCY8 07/31/13 07/31/28 100.000 VARIES 4.5084 436.22 0.119463 0.120120 0.120792 0.121358 0.121937 43.33 43.76 Morgan Stanley 61760QDE1 08/28/13 08/28/33 100.000 VARIES 4.4982 401.97 0.106349 0.107066 0.107799 0.108548 0.109314 38.59 39.13 Morgan Stanley 61760QDD3 08/19/13 08/19/33 100.000 VARIES 4.5466 412.44 0.110219 0.110934 0.111666 0.112414 0.113179 40.00 40.53 Morgan Stanley 61760QDB7 08/19/13 08/19/33 100.000 VARIES 4.7352 453.90 0.124188 0.124736 0.125298 0.125872 0.126461 44.95 45.36 Morgan Stanley 61760QBJ2 05/31/12 05/31/27 100.000 VARIES 6.1478 624.17 0.153393 0.155598 0.157871 0.160213 0.162734 55.76 57.41 Morgan Stanley 61760QBH6 05/31/12 05/31/27 100.000 VARIES 6.1478 624.17 0.153393 0.155598 0.157871 0.160213 0.162734 55.76 57.41 Morgan Stanley 61760QBZ6 10/10/12 10/10/24 100.000 VARIES 4.6395 520.12 0.128880 0.128877 35.96 Morgan Stanley 61760QBY9 10/15/12 10/15/24 100.000 VARIES 4.4801 501.61 0.124418 0.124421 35.34 Morgan Stanley 617482H23 03/16/12 03/16/27 100.000 VARIES 6.4024 721.75 0.169930 0.170744 0.171584 0.172685 0.173821 61.49 62.20 Morgan Stanley 61760QCB8 11/28/12 11/28/27 100.000 VARIES 4.4679 541.66 0.137602 0.136953 0.136289 0.134369 0.132407 49.38 48.59 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1189 701.03 0.150894 0.152826 0.152272 0.153647 0.153360 55.75 55.97 Morgan Stanley 61760QEZ3 09/17/14 09/17/34 100.000 VARIES 2.6675 37.73 0.011031 0.011178 0.011327 0.011478 0.011631 4.03 4.14 Morgan Stanley 61761JKY4 09/30/13 09/30/33 100.000 VARIES 4.8148 464.26 0.124324 0.124582 0.124846 0.125117 0.125395 44.85 45.04 Morgan Stanley 61760QFH2 10/30/14 10/30/24 100.000 VARIES 2.1052 187.04 0.058032 0.058253 17.39 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 644.13 0.140955 0.141796 0.142662 0.143552 0.144494 50.95 51.58 Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9896 236.80 0.102216 12.47 Morgan Stanley 61767BAA8 02/22/16 02/23/26 100.000 VARIES 3.7844 300.45 0.106876 0.106796 0.106583 0.106366 0.105750 38.42 38.22 Morgan Stanley 61760QDL5 09/26/13 09/26/33 100.000 VARIES 4.6879 424.37 0.114285 0.114907 0.115543 0.116194 0.116860 41.37 41.84 Morgan Stanley 61761JJP5 07/31/13 07/29/33 100.000 VARIES 4.8133 469.18 0.122913 0.123142 0.123376 0.123616 0.123862 44.36 44.53 Morgan Stanley 61761JJY6 07/15/13 07/15/33 99.000 VARIES 4.8838 482.80 0.127150 0.127384 0.127624 0.127869 0.128121 45.89 46.07 Morgan Stanley 61760QDR2 11/27/13 11/27/33 100.000 VARIES 4.4302 387.61 0.105841 0.106656 0.107490 0.108342 0.109213 38.31 38.91 Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7558 227.39 0.092693 0.19 Morgan Stanley 61760QEC4 03/31/14 03/31/34 100.000 VARIES 4.3149 380.65 0.106939 0.107262 0.107672 0.108090 0.108517 38.62 38.91 Morgan Stanley 61761JKL2 08/30/13 08/30/33 100.000 VARIES 5.0532 489.78 0.127561 0.127829 0.128808 0.128386 0.129382 46.89 47.01 Morgan Stanley 61760QGW8 07/31/15 07/31/27 100.000 VARIES 2.7281 32.66 0.011186 0.011339 0.011493 0.011650 0.011809 4.10 4.21 Morgan Stanley 61760QGV0 07/31/15 07/31/27 100.000 VARIES 2.7160 29.27 0.010024 0.010160 0.010298 0.010438 0.010580 3.67 3.78 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 680.79 0.151442 0.151795 0.152293 0.152805 0.153332 54.61 54.95 Morgan Stanley 61745E2F7 11/28/11 11/28/26 100.000 VARIES 6.0157 647.61 0.157380 0.158919 0.160503 0.162081 0.163706 57.04 58.17 Morgan Stanley 61760QHA5 08/28/15 08/28/25 100.000 VARIES 2.5293 24.23 0.008460 0.008567 0.008675 0.008785 3.09 2.08 Morgan Stanley 61761JNF2 12/26/13 12/27/33 100.000 VARIES 4.7412 448.90 0.121018 0.121249 0.122153 0.121729 0.122647 44.34 44.51 Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5039 278.49 0.124121 19.11 Morgan Stanley 61761JLY3 10/31/13 10/31/33 100.000 VARIES 4.7082 445.64 0.119312 0.119571 0.119836 0.120108 0.120386 43.03 43.22 Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3579 668.87 0.147351 0.147516 0.147832 0.148156 0.148488 53.09 53.29 Morgan Stanley 61761JLU1 09/30/13 09/30/33 100.000 VARIES 4.8742 477.70 0.128285 0.128477 0.128672 0.128873 0.129079 46.25 46.40 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 628.63 0.137658 0.138258 0.138876 0.139685 0.140517 49.87 50.42 Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 746.79 0.165227 0.165255 0.164972 0.164680 0.164380 59.47 59.29 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 717.86 0.164332 0.165201 0.166099 0.167026 0.167983 59.37 60.02 Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 641.52 0.146275 0.148712 0.151220 0.153799 0.156438 53.89 55.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 880.48 0.259530 0.265703 0.272041 0.278547 0.285227 94.63 99.20 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0719 672.25 0.148139 0.149798 0.151508 0.153269 0.154738 54.09 55.30 Morgan Stanley 61760QGA6 05/27/15 05/27/30 100.000 VARIES 2.7018 30.37 0.009639 0.009769 0.009901 0.010035 0.010171 3.50 3.60 Morgan Stanley 61760QGB4 05/20/15 05/20/25 100.000 VARIES 2.6352 25.82 0.008846 0.008963 0.009081 3.22 1.26 Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7334 708.76 0.163286 0.164463 0.165679 0.166911 0.168184 59.07 59.94 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 585.37 0.138379 0.140312 0.142297 0.144499 0.146760 50.76 52.30 Morgan Stanley 61745E3T6 12/27/11 12/27/26 100.000 VARIES 6.9292 742.21 0.179815 0.181801 0.183856 0.185903 0.188020 65.11 66.57 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7613 703.20 0.158092 0.158697 0.159017 0.159347 0.159686 57.09 57.36 Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9022 814.26 0.163034 3.10 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6231 630.25 0.140447 0.141293 0.142162 0.143092 0.144048 50.97 51.63 Morgan Stanley 61760QJA3 11/25/15 11/25/25 100.000 VARIES 2.4581 25.90 0.009315 0.009429 0.009545 0.009663 3.38 3.11 Morgan Stanley 61760QJK1 02/17/16 02/17/26 100.000 VARIES 2.3885 49.73 0.018180 0.018397 0.018617 0.018839 0.019064 6.64 6.80 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4933 622.75 0.145907 0.147014 0.148152 0.149217 0.150312 53.07 53.85 Morgan Stanley 61760QJT2 03/20/17 03/20/27 100.000 VARIES 2.5542 17.84 0.007575 0.007672 0.007770 0.007869 0.007970 2.76 2.84 Morgan Stanley 61760QJS4 02/24/17 02/24/27 100.000 VARIES 2.8869 35.42 0.014621 0.014832 0.015046 0.015263 0.015484 5.36 5.51 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6735 628.06 0.143715 0.142974 0.146203 0.144811 0.148247 52.77 53.36 Morgan Stanley 61760QHT4 10/07/15 10/07/25 100.000 VARIES 2.4403 29.53 0.010434 0.010561 0.010690 0.010820 3.80 2.97 Morgan Stanley 61745E4T5 01/13/12 01/13/32 100.000 VARIES 6.1787 626.48 0.143987 0.145249 0.146549 0.147890 0.149301 52.49 53.46 Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0399 806.07 0.166128 0.166660 0.167209 59.95 22.91 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 901.97 0.178450 5.18 Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 602.35 0.141936 0.143806 0.145879 0.148009 0.150197 51.47 52.93 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 774.47 0.178647 0.178944 0.179250 0.179322 0.179396 64.40 64.55 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 768.82 0.166533 0.165667 0.164841 0.163990 0.163116 59.67 59.06 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 596.33 0.140862 0.142690 0.144567 0.146615 0.148719 51.60 53.04 Morgan Stanley 61760QHZ0 11/10/15 11/10/25 100.000 VARIES 2.5656 26.27 0.009414 0.009535 0.009657 0.009781 3.42 3.01 Morgan Stanley 61745E5Z0 01/31/12 01/31/32 100.000 VARIES 5.6272 596.19 0.140022 0.140802 0.141603 0.142427 0.143285 50.79 51.38 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 737.67 0.162311 0.162398 0.162487 0.162579 0.162828 58.46 58.55 Morgan Stanley 61760QKZ6 03/22/18 03/22/28 100.000 VARIES 3.8651 223.65 0.106578 0.105430 0.107160 0.105419 0.107126 38.85 38.79 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7759 645.03 0.142054 0.142911 0.143792 0.144699 0.145727 51.30 51.93 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 626.07 0.145096 0.145812 0.146547 0.147420 0.148317 52.55 53.14 Morgan Stanley 61760QLC6 05/03/18 05/03/28 100.000 VARIES 3.4370 20.74 0.010366 0.010544 0.010725 0.010909 0.011097 3.78 3.92 Morgan Stanley 61760QLB8 04/03/18 04/03/28 100.000 VARIES 3.4407 31.53 0.015527 0.015794 0.016066 0.016342 0.016623 5.69 5.88 Morgan Stanley 61760QLA0 04/03/18 04/03/28 100.000 VARIES 3.1280 14.39 0.007078 0.007188 0.007301 0.007415 0.007531 2.59 2.67 Morgan Stanley 61760QLX0 09/26/18 09/26/28 100.000 VARIES 3.8192 13.93 0.007361 0.007501 0.007644 0.007790 0.007939 2.70 2.81 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5647 704.99 0.154881 0.154974 0.154879 0.154780 0.154679 55.77 55.72 Morgan Stanley 61760QJV7 03/31/17 03/31/27 100.000 VARIES 2.8769 28.55 0.011963 0.012135 0.012310 0.012487 0.012666 4.37 4.50 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 752.03 0.153624 0.153829 0.154041 55.37 16.02 Morgan Stanley 61768CST5 12/08/17 06/10/24 100.000 0.000 3.1083 205.68 0.103911 16.52 Morgan Stanley 61760QKF0 12/30/16 12/30/26 100.000 VARIES 2.8667 32.30 0.013230 0.013420 0.013612 0.013807 0.014005 4.80 4.94 Morgan Stanley 61760QKE3 12/28/16 12/28/26 100.000 VARIES 2.2900 18.60 0.007569 0.007656 0.007744 0.007832 0.007922 2.74 2.80 Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7525 638.57 0.146661 0.148635 0.151507 0.152782 0.155797 54.36 55.82 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 679.41 0.153971 0.155154 0.156373 0.157628 0.158521 55.87 56.73 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QKA1 09/30/16 09/30/26 100.000 VARIES 2.5378 47.46 0.018688 0.018925 0.019165 0.019408 0.019655 6.81 6.99 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5720 640.41 0.150030 0.151110 0.151990 0.152893 0.153822 54.21 54.88 Morgan Stanley 61762GBE3 03/11/14 03/04/24 100.000 VARIES 3.8517 385.67 0.107385 6.77 Morgan Stanley 61762GBF0 03/31/14 03/29/29 100.000 VARIES 4.2966 442.30 0.126971 0.126601 0.126005 0.125396 0.124774 45.55 45.14 Morgan Stanley 61760QKK9 06/30/17 06/30/27 100.000 VARIES 2.7385 27.60 0.012008 0.012172 0.012339 0.012508 0.012679 4.35 4.47 Morgan Stanley 61760QKH6 02/21/17 02/21/27 100.000 VARIES 2.7058 18.04 0.007580 0.007682 0.007786 0.007891 0.007998 2.77 2.85 Morgan Stanley 61760QKU7 09/29/17 09/29/27 100.000 VARIES 2.7477 25.48 0.011374 0.011530 0.011688 0.011849 0.012012 4.15 4.27 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5216 593.49 0.138539 0.139059 0.143481 0.143277 0.147882 51.41 52.87 Morgan Stanley 61760QKR4 09/15/17 09/15/27 100.000 VARIES 2.6232 25.18 0.011167 0.011313 0.011462 0.011612 0.011764 4.08 4.19 Morgan Stanley 61760QKQ6 08/02/17 08/02/27 100.000 VARIES 2.7106 28.92 0.012586 0.012757 0.012929 0.013105 0.013282 4.61 4.74 Morgan Stanley 61766YAN1 09/30/16 09/30/26 100.000 VARIES 2.2435 23.18 0.009243 0.009347 0.009452 0.009558 0.009665 3.37 3.44 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 773.58 0.168312 0.169442 0.170608 0.172043 60.82 60.14 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7789 664.33 0.154245 0.155197 0.156177 0.157185 0.158222 56.04 56.76 Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7372 667.73 0.150587 0.152210 0.153879 0.155597 0.157454 54.71 55.93 Morgan Stanley 61760QMF8 11/28/18 11/28/28 100.000 VARIES 3.9167 27.51 0.014453 0.014736 0.015025 0.015319 0.015619 5.27 5.48 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 651.46 0.153270 0.154730 0.156232 0.157778 0.159369 55.77 56.87 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9551 735.94 0.160453 0.161325 0.162224 0.163149 0.164267 58.14 58.82 Morgan Stanley 61766YAB7 05/25/16 05/25/26 100.000 VARIES 2.2927 25.67 0.009870 0.009983 0.010097 0.010213 0.010330 3.58 3.66 Morgan Stanley 61760QMM3 02/25/19 02/25/29 100.000 VARIES 3.3395 26.03 0.014691 0.014936 0.015185 0.015439 0.015697 5.39 5.58 Morgan Stanley 61760QMZ4 06/19/20 06/19/30 100.000 VARIES 1.9060 66.52 0.052593 0.052708 0.052797 0.052875 0.052937 18.96 19.02 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 629.89 0.145841 0.146993 0.148178 0.149399 0.150655 52.96 53.82 Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4095 344.29 0.126667 0.128826 0.131022 0.133256 46.22 40.49 Morgan Stanley 61761JDB2 02/20/13 02/18/33 100.000 VARIES 4.5201 452.54 0.113794 0.114067 0.114347 0.114634 0.115061 41.09 41.31 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5348 610.56 0.144750 0.146117 0.147522 0.149015 0.150548 52.63 53.68 Morgan Stanley Fiance LL 61775HUH8 08/16/23 08/14/25 100.000 0.000 5.3873 20.20 0.149647 0.153633 0.157772 0.162022 55.70 35.95 Morgan Stanley Finance 61773E700 10/05/21 10/04/28 100.000 0.000 2.0411 46.53 0.059045 0.059647 0.060256 0.060871 0.061492 21.47 21.91 Morgan Stanley Finance 61771BJV7 07/06/20 07/03/25 100.000 0.000 1.2523 44.48 0.036110 0.036336 0.036564 0.036793 13.12 6.70 Morgan Stanley Finance 61768R583 08/15/18 08/14/25 100.000 0.000 3.9076 231.40 0.131704 0.134278 0.136901 0.139576 48.59 31.01 Morgan Stanley Finance 61771BJQ8 06/30/20 06/30/27 100.000 0.000 1.6297 58.50 0.047916 0.048306 0.048700 0.049096 0.049497 17.32 17.60 Morgan Stanley Finance 61773Y110 03/21/22 09/21/26 100.000 0.000 3.2764 59.51 0.095559 0.097124 0.098715 0.100333 0.101976 35.00 36.15 Morgan Stanley Finance 61771V3W8 06/30/21 06/29/28 100.000 0.000 1.9839 50.65 0.057893 0.058467 0.059047 0.059633 0.060225 20.95 21.36 Morgan Stanley Finance 61771V3Q1 07/06/21 07/06/26 100.000 0.000 1.4969 37.77 0.042841 0.043161 0.043484 0.043810 0.044138 15.59 15.83 Morgan Stanley Finance 61770FLC8 02/19/20 02/19/25 100.000 0.000 2.1606 86.66 0.064704 0.065403 0.066109 23.60 3.17 Morgan Stanley Finance 61773U548 03/03/22 03/04/26 100.000 0.000 2.5450 47.33 0.073433 0.074368 0.075314 0.076272 0.077243 26.82 27.51 Morgan Stanley Finance 61771BJP0 06/30/20 06/30/27 100.000 0.000 1.6297 58.50 0.047916 0.048306 0.048700 0.049096 0.049497 17.32 17.60 Morgan Stanley Finance 61768R591 08/15/18 08/15/24 100.000 0.000 3.7617 221.95 0.125896 0.128264 28.63 Morgan Stanley Finance 61768CZF7 02/28/18 02/27/25 100.000 0.000 3.6613 236.13 0.124152 0.126425 0.128739 45.67 7.21 Morgan Stanley Finance 61770FKC9 02/28/20 08/29/24 100.000 0.000 1.8417 72.98 0.054551 0.055054 13.07 Morgan Stanley Finance 61769HAR6 06/05/19 06/05/24 100.000 0.000 2.9744 144.55 0.094363 14.53 Morgan Stanley Finance 61769HAP0 05/31/19 05/31/24 100.000 0.000 3.0990 151.48 0.098858 14.73 Morgan Stanley Finance 61768M576 03/05/18 03/05/25 100.000 0.000 3.7266 239.88 0.126827 0.129190 0.131597 46.64 8.42 Morgan Stanley Finance 61769HAH8 06/05/19 06/05/24 100.000 0.000 2.9744 144.55 0.094363 14.53 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61771VD49 05/26/21 05/25/28 100.000 0.000 1.9994 53.04 0.058368 0.058952 0.059541 0.060136 0.060738 21.16 21.58 Morgan Stanley Finance 61773QZF9 04/27/22 04/26/29 100.000 0.000 4.3166 74.34 0.127823 0.130582 0.133400 0.136279 0.139221 46.88 48.92 Morgan Stanley Finance 61770C111 10/03/19 04/03/24 100.000 0.000 2.1674 95.83 0.065628 6.04 Morgan Stanley Finance 61769HB87 10/30/19 05/02/24 100.000 0.000 2.3725 103.35 0.072431 8.76 Morgan Stanley Finance 61771VX54 05/28/21 05/31/28 100.000 0.000 1.9431 51.40 0.056654 0.057204 0.057760 0.058321 0.058888 20.53 20.93 Morgan Stanley Finance 61769HE43 10/25/19 10/25/24 100.000 0.250 2.3773 103.46 0.071895 0.072667 21.28 Morgan Stanley Finance 61766X459 09/06/17 03/05/24 100.000 0.000 3.0212 208.67 0.100456 6.43 Morgan Stanley Finance 61773FLT8 08/31/21 08/31/28 100.000 0.000 1.9137 45.51 0.055222 0.055747 0.056284 0.056816 0.057366 20.10 20.49 Morgan Stanley Finance 61768P157 04/05/18 04/03/25 100.000 0.000 3.8093 241.85 0.130191 0.132670 0.135197 47.76 12.44 Morgan Stanley Finance 61773HBE8 11/29/21 11/29/28 100.000 0.000 2.4000 51.11 0.069924 0.070764 0.071613 0.072472 0.073342 25.38 25.99 Morgan Stanley Finance 61773HBC2 11/08/21 11/06/26 100.000 0.000 1.8561 40.48 0.053495 0.053992 0.054493 0.054998 0.055509 19.40 19.76 Morgan Stanley Finance 61772X691 06/03/21 06/05/28 100.000 0.000 1.9849 52.24 0.057934 0.058509 0.059090 0.059676 0.060268 20.99 21.41 Morgan Stanley Finance 61771VFW5 03/31/21 03/30/28 100.000 0.000 2.1048 59.35 0.061609 0.062257 0.062912 0.063574 0.064243 22.41 22.89 Morgan Stanley Finance 61771BMB7 06/26/20 12/29/25 100.000 0.000 1.3458 48.26 0.039185 0.039448 0.039714 0.039981 14.15 14.27 Morgan Stanley Finance 61771BMA9 06/26/20 06/28/27 100.000 0.000 1.6168 58.22 0.047520 0.047904 0.048291 0.048681 0.049075 17.18 17.46 Morgan Stanley Finance 61772X659 06/03/21 06/05/28 100.000 0.000 1.9849 52.24 0.057934 0.058509 0.059090 0.059676 0.060268 20.99 21.41 Morgan Stanley Finance 61773QLH0 03/17/22 03/12/26 100.000 0.000 3.0167 55.05 0.087611 0.088932 0.090273 0.091635 0.093017 32.07 33.04 Morgan Stanley Finance 61771BLH5 07/06/20 07/03/25 100.000 0.000 1.2523 44.48 0.036110 0.036336 0.036564 0.036793 13.12 6.70 Morgan Stanley Finance 61773QLL1 03/09/22 03/09/27 100.000 0.000 2.7515 50.76 0.079628 0.080724 0.081835 0.082960 0.084102 29.11 29.92 Morgan Stanley Finance 61773QLJ6 03/17/22 03/12/27 100.000 0.000 3.2312 59.05 0.094135 0.095656 0.097201 0.098772 0.100367 34.50 35.62 Morgan Stanley Finance 61771BKY9 06/30/20 06/30/27 100.000 0.000 1.6297 58.50 0.047916 0.048306 0.048700 0.049096 0.049497 17.32 17.60 Morgan Stanley Finance 61769H2P9 01/02/20 01/02/25 100.000 0.000 2.3600 98.32 0.071167 0.072007 0.072856 26.07 Morgan Stanley Finance 61773QKV0 03/16/22 03/16/28 100.000 0.000 3.3682 61.71 0.098367 0.100023 0.101708 0.103421 0.105162 36.06 37.29 Morgan Stanley Finance 61769H2N4 01/02/20 01/02/25 100.000 0.000 2.3600 98.32 0.071167 0.072007 0.072856 26.07 Morgan Stanley Finance 61773HQY8 12/28/21 12/28/26 100.000 0.000 1.9271 39.27 0.055624 0.056160 0.056701 0.057248 0.057799 20.12 20.51 Morgan Stanley Finance 61773HQZ5 12/28/21 12/28/28 100.000 0.000 2.1941 44.80 0.063667 0.064365 0.065071 0.065785 0.066507 23.05 23.56 Morgan Stanley Finance 61771BKZ6 06/30/20 12/30/27 100.000 0.000 1.6965 60.96 0.049995 0.050419 0.050847 0.051278 0.051713 18.08 18.38 Morgan Stanley Finance 61769H2T1 12/18/19 12/17/26 100.000 0.000 2.5573 108.01 0.078632 0.079638 0.080656 0.081687 0.082732 28.52 29.25 Morgan Stanley Finance 61771V4K3 06/23/21 12/23/26 100.000 0.000 1.5784 40.45 0.045603 0.045963 0.046326 0.046692 0.047060 16.49 16.75 Morgan Stanley Finance 61771V4J6 06/23/21 06/22/28 100.000 0.000 1.8975 48.79 0.055255 0.055779 0.056309 0.056843 0.057382 20.00 20.38 Morgan Stanley Finance 61769HTU9 10/03/19 10/03/24 100.000 0.000 2.1901 96.88 0.066374 0.067101 18.18 Morgan Stanley Finance 61769H2F1 12/27/19 12/27/24 100.000 0.000 2.5252 105.89 0.077549 0.078528 27.78 Morgan Stanley Finance 61769H2L8 01/02/20 01/02/24 100.000 0.000 2.2779 94.77 0.068496 Morgan Stanley Finance 61771VVY3 04/30/21 04/28/28 100.000 0.000 2.0160 55.02 0.058874 0.059467 0.060067 0.060672 0.061284 21.38 21.81 Morgan Stanley Finance 61772Y863 09/03/21 09/06/28 100.000 0.000 1.8357 43.47 0.052899 0.053384 0.053874 0.054369 0.054868 19.24 19.60 Morgan Stanley Finance 61769HDG7 06/03/19 06/03/24 100.000 0.000 3.3497 164.27 0.108051 16.42 Morgan Stanley Finance 61773N163 12/20/21 01/04/29 100.000 0.000 2.2783 47.08 0.065530 0.066277 0.067032 0.067795 0.068568 23.99 24.54 Morgan Stanley Finance 61769H3D5 12/27/19 06/26/24 100.000 0.000 2.4842 104.10 0.076162 13.33 Morgan Stanley Finance 61769H3B9 12/26/19 06/25/24 100.000 0.000 2.4842 104.18 0.076162 13.25 Morgan Stanley Finance 61771BKP8 06/16/20 06/16/27 100.000 0.000 1.6181 58.74 0.047554 0.047939 0.048327 0.048718 0.049112 17.20 17.48 Morgan Stanley Finance 61773HA33 01/26/22 01/26/27 100.000 0.000 2.3686 46.52 0.068161 0.068969 0.069785 0.070612 0.071448 24.94 25.53 Morgan Stanley Finance 61773HA25 01/26/22 01/25/29 100.000 0.000 2.6702 52.55 0.077177 0.078208 0.079252 0.080310 0.081382 28.29 29.05 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61770C343 11/05/19 05/03/24 100.000 0.000 2.2919 99.34 0.069730 8.51 Morgan Stanley Finance 61773QKF5 03/31/22 04/03/29 100.000 0.000 3.7117 66.63 0.108984 0.111006 0.113066 0.115165 0.117302 39.96 41.45 Morgan Stanley Finance 61773QKG3 03/31/22 04/03/29 100.000 0.000 3.7117 66.63 0.108984 0.111006 0.113066 0.115165 0.117302 39.96 41.45 Morgan Stanley Finance 61769H2Y0 12/26/19 12/24/26 100.000 0.000 2.7295 114.96 0.084490 0.085643 0.086812 0.087996 0.089197 30.64 31.48 Morgan Stanley Finance 61773H2Y4 02/24/22 02/23/27 100.000 0.000 2.8221 53.32 0.081751 0.082905 0.084075 0.085261 0.086464 29.94 30.79 Morgan Stanley Finance 61770G203 03/04/20 09/03/25 100.000 0.000 1.8551 73.19 0.054968 0.055478 0.055993 0.056512 20.00 13.64 Morgan Stanley Finance 61770G211 03/04/20 03/04/27 100.000 0.000 2.0962 83.04 0.062636 0.063292 0.063956 0.064626 0.065303 22.82 23.30 Morgan Stanley Finance 61769HFS9 07/03/19 07/03/24 100.000 0.000 2.6772 126.96 0.082712 0.083820 15.25 Morgan Stanley Finance 61773HDE6 11/24/21 05/24/27 100.000 0.000 2.0320 43.44 0.058773 0.059371 0.059974 0.060583 0.061199 21.31 21.75 Morgan Stanley Finance 61773HDF3 11/24/21 11/24/28 100.000 0.000 2.2835 48.91 0.066377 0.067135 0.067902 0.068677 0.069461 24.09 24.64 Morgan Stanley Finance 61769HXH3 11/05/19 11/05/24 100.000 0.000 2.3221 100.71 0.070742 0.071564 21.65 Morgan Stanley Finance 61770C640 12/04/19 12/04/24 100.000 0.000 2.3719 100.86 0.072404 0.073262 24.27 Morgan Stanley Finance 61773H2P3 02/24/22 02/23/29 100.000 0.000 3.0802 58.29 0.089568 0.090947 0.092348 0.093770 0.095214 32.85 33.87 Morgan Stanley Finance 61769H4T9 12/27/19 01/02/24 100.000 0.000 2.4620 103.13 0.074530 Morgan Stanley Finance 61769HET8 06/28/19 06/28/24 100.000 0.000 2.6301 125.02 0.082175 14.54 Morgan Stanley Finance 61769H4W2 12/27/19 01/02/24 100.000 0.000 2.4620 103.13 0.074530 Morgan Stanley Finance 61773H2F5 02/28/22 02/28/29 100.000 0.000 3.1853 59.96 0.092777 0.094255 0.095756 0.097281 0.098831 34.03 35.12 Morgan Stanley Finance 61773H2E8 02/28/22 02/28/29 100.000 0.000 3.1853 59.96 0.092777 0.094255 0.095756 0.097281 0.098831 34.03 35.12 Morgan Stanley Finance 61773N437 01/05/22 01/04/29 100.000 0.000 2.2590 45.69 0.064897 0.065630 0.066371 0.067121 0.067879 23.76 24.30 Morgan Stanley Finance 61771VXF2 06/02/21 06/01/26 100.000 0.000 1.4602 38.26 0.042063 0.042370 0.042679 0.042991 0.043305 15.22 15.44 Morgan Stanley Finance 61773FMJ9 09/03/21 09/03/26 100.000 0.000 1.3944 32.88 0.039826 0.040103 0.040383 0.040664 0.040948 14.45 14.66 Morgan Stanley Finance 61771VXK1 05/28/21 05/31/28 100.000 0.000 1.9431 51.40 0.056654 0.057204 0.057760 0.058321 0.058888 20.53 20.93 Morgan Stanley Finance 61773HC23 01/12/22 01/11/29 100.000 0.000 2.5645 51.47 0.074007 0.074956 0.075918 0.076891 0.077877 27.14 27.84 Morgan Stanley Finance 61768DBW4 08/09/18 08/11/25 100.000 0.000 3.9321 233.79 0.132732 0.135342 0.138003 0.140716 48.99 30.85 Morgan Stanley Finance 61773N767 02/03/22 02/05/29 100.000 0.000 2.6759 52.13 0.077367 0.078402 0.079451 0.080514 0.081591 28.34 29.11 Morgan Stanley Finance 61769Q212 08/05/19 02/05/25 100.000 0.000 2.8032 130.49 0.087039 0.088259 0.089496 31.91 3.04 Morgan Stanley Finance 61770FAP1 01/23/20 01/22/27 100.000 0.000 2.5533 105.11 0.077507 0.078497 0.079499 0.080514 0.081542 28.40 29.13 Morgan Stanley Finance 61769H7Q2 02/05/20 02/05/25 100.000 0.000 1.9970 80.71 0.059468 0.060062 0.060661 21.69 2.06 Morgan Stanley Finance 61769HHQ1 07/01/19 07/01/25 100.000 0.000 2.7490 130.73 0.086344 0.086344 0.088734 0.088734 31.30 15.97 Morgan Stanley Finance 61770FB96 04/30/20 02/01/27 100.000 0.000 2.2244 84.58 0.066400 0.067139 0.067885 0.068640 0.069404 24.26 24.80 Morgan Stanley Finance 61770FAB2 02/05/20 02/05/25 100.000 0.000 1.9970 80.71 0.059468 0.060062 0.060661 21.69 2.06 Morgan Stanley Finance 61773H4Y2 02/28/22 02/28/29 100.000 0.000 3.1853 59.96 0.092777 0.094255 0.095756 0.097281 0.098831 34.03 35.12 Morgan Stanley Finance 61768J458 11/03/17 11/05/24 100.000 0.000 3.0987 208.62 0.103533 0.105137 31.76 Morgan Stanley Finance 61770FAJ5 02/05/20 02/05/24 100.000 0.000 1.9189 77.44 0.056986 1.94 Morgan Stanley Finance 61773G234 11/03/21 11/03/28 100.000 0.000 2.2272 49.05 0.064670 0.065390 0.066118 0.066854 0.067599 23.49 24.02 Morgan Stanley Finance 61769H6X8 01/31/20 01/31/25 100.000 0.000 2.1858 88.95 0.065518 0.066234 0.066958 23.93 1.94 Morgan Stanley Finance 61769H6W0 01/31/20 01/31/25 100.000 0.000 2.1858 88.95 0.065518 0.066234 0.066958 23.93 1.94 Morgan Stanley Finance 61769HH32 11/27/19 08/27/24 100.000 0.000 2.3730 101.44 0.072014 0.072868 17.15 Morgan Stanley Finance 61769HXR1 10/31/19 10/31/25 100.000 0.000 2.5933 113.44 0.079857 0.080893 0.081942 0.083004 29.06 24.69 Morgan Stanley Finance 61769H6T7 01/23/20 01/22/27 100.000 0.000 2.5533 105.11 0.077507 0.078497 0.079499 0.080514 0.081542 28.40 29.13 Morgan Stanley Finance 61768DAR6 08/31/18 09/03/25 100.000 0.000 3.9373 231.34 0.132955 0.135572 0.138241 0.140963 48.96 33.94 Morgan Stanley Finance 61769HH40 11/27/19 02/26/26 100.000 0.000 2.5493 109.33 0.077868 0.078861 0.079866 0.080884 0.081915 28.46 29.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61771C136 06/03/20 06/03/26 100.000 0.000 1.6786 61.64 0.049438 0.049853 0.050272 0.050694 0.051119 17.90 18.20 Morgan Stanley Finance 61769H7N9 01/31/20 02/02/27 100.000 0.000 2.4454 99.96 0.073969 0.074874 0.075789 0.076716 0.077654 27.06 27.73 Morgan Stanley Finance 61769H7M1 01/31/20 02/02/27 100.000 0.000 2.4454 99.96 0.073969 0.074874 0.075789 0.076716 0.077654 27.06 27.73 Morgan Stanley Finance 61769H7L3 01/31/20 02/02/27 100.000 0.000 2.4454 99.96 0.073969 0.074874 0.075789 0.076716 0.077654 27.06 27.73 Morgan Stanley Finance 61769H7K5 01/31/20 02/02/27 100.000 0.000 2.4454 99.96 0.073969 0.074874 0.075789 0.076716 0.077654 27.06 27.73 Morgan Stanley Finance 61773H3V9 03/03/22 03/04/27 100.000 0.000 2.7394 51.01 0.079272 0.080357 0.081458 0.082574 0.083705 28.99 29.79 Morgan Stanley Finance 61773H3T4 03/03/22 03/04/27 100.000 0.000 2.7394 51.01 0.079272 0.080357 0.081458 0.082574 0.083705 28.99 29.79 Morgan Stanley Finance 61768CB89 02/28/18 03/03/26 100.000 0.000 3.7712 243.95 0.128720 0.131147 0.133620 0.136139 0.138706 47.35 49.16 Morgan Stanley Finance 61769HJV8 08/05/19 08/05/24 100.000 0.000 2.7548 128.12 0.085372 0.086548 18.48 Morgan Stanley Finance 61773HZ28 02/09/22 02/09/26 100.000 0.000 2.3951 46.15 0.068950 0.069776 0.070611 0.071457 0.072312 25.21 25.81 Morgan Stanley Finance 61769HJU0 07/02/19 07/03/24 100.000 0.000 2.6771 127.05 0.082718 0.083825 15.25 Morgan Stanley Finance 61774DFZ5 06/01/22 05/29/26 100.000 0.000 3.7654 60.87 0.110591 0.112673 0.114795 0.116956 0.119158 40.32 41.85 Morgan Stanley Finance 61768T381 11/05/18 11/05/25 100.000 0.000 4.2534 242.39 0.145823 0.148924 0.152091 0.155326 53.41 46.82 Morgan Stanley Finance 61773HY94 02/09/22 02/08/29 100.000 0.000 2.8839 55.76 0.083617 0.084823 0.086046 0.087286 0.088545 30.67 31.56 Morgan Stanley Finance 61769HKS3 08/05/19 08/05/24 100.000 0.000 2.7548 128.12 0.085372 0.086548 18.48 Morgan Stanley Finance 61770FCR5 01/29/20 01/28/27 100.000 0.000 2.4281 99.30 0.073386 0.074277 0.075179 0.076092 0.077016 26.85 27.51 Morgan Stanley Finance 61770G641 04/03/20 04/06/26 100.000 0.000 2.6405 103.23 0.080416 0.081478 0.082554 0.083644 0.084748 29.32 30.10 Morgan Stanley Finance 61770FCS3 01/30/20 02/01/24 100.000 0.000 2.0269 82.26 0.060422 1.81 Morgan Stanley Finance 61768CSH1 10/30/17 10/28/32 100.000 0.000 3.7753 235.01 0.106057 0.108059 0.106950 0.108969 0.108060 38.60 38.93 Morgan Stanley Finance 61771BRF3 07/31/20 08/02/27 100.000 0.000 1.3386 46.68 0.038704 0.038963 0.039224 0.039487 0.039751 14.06 14.25 Morgan Stanley Finance 61771BRE6 07/31/20 08/04/27 100.000 0.000 1.3386 46.68 0.038707 0.038966 0.039227 0.039489 0.039754 14.06 14.25 Morgan Stanley Finance 61773N858 02/03/22 02/05/29 100.000 0.000 2.6759 52.13 0.077367 0.078402 0.079451 0.080514 0.081591 28.34 29.11 Morgan Stanley Finance 61770FC38 04/30/20 04/30/27 100.000 0.000 2.2634 86.11 0.068025 0.068795 0.069574 0.070361 0.071157 24.72 25.28 Morgan Stanley Finance 61770FC46 04/30/20 04/30/27 100.000 0.000 2.2634 86.11 0.068025 0.068795 0.069574 0.070361 0.071157 24.72 25.28 Morgan Stanley Finance 61770FBU9 01/31/20 08/01/24 100.000 0.000 2.1409 87.05 0.064074 0.064760 13.58 Morgan Stanley Finance 61773FAG8 06/30/21 06/30/28 100.000 0.000 1.9839 50.65 0.057896 0.058471 0.059051 0.059636 0.060228 20.95 21.36 Morgan Stanley Finance 61771C409 07/06/20 07/06/27 100.000 0.000 1.6108 57.52 0.046949 0.047327 0.047709 0.048093 0.048480 17.10 17.38 Morgan Stanley Finance 61773HXK0 01/31/22 01/31/29 100.000 0.000 2.7958 54.75 0.080963 0.082095 0.083243 0.084406 0.085586 29.69 30.53 Morgan Stanley Finance 61773HXL8 02/03/22 02/04/27 100.000 0.000 2.4163 46.98 0.069587 0.070428 0.071279 0.072140 0.073012 25.45 26.07 Morgan Stanley Finance 61773HX95 02/28/22 02/26/27 100.000 0.000 2.9302 55.06 0.085012 0.086257 0.087521 0.088803 0.090104 31.14 32.06 Morgan Stanley Finance 61769HK38 12/02/19 12/02/24 100.000 0.000 2.3657 100.73 0.072195 0.073049 24.05 Morgan Stanley Finance 61768DDL6 09/28/18 09/30/25 100.000 0.000 4.1262 239.63 0.140615 0.143516 0.146477 0.149499 51.68 39.95 Morgan Stanley Finance 61773QA33 06/05/22 06/05/27 100.000 0.000 3.4184 54.76 0.099908 0.101616 0.103353 0.105119 0.106916 36.36 37.62 Morgan Stanley Finance 61773FDC4 08/04/21 08/04/26 100.000 0.000 1.7696 43.35 0.050920 0.051370 0.051825 0.052283 0.052746 18.55 18.87 Morgan Stanley Finance 61773QDP1 03/23/22 03/22/29 100.000 0.000 3.3861 61.35 0.098908 0.100583 0.102286 0.104017 0.105778 36.24 37.48 Morgan Stanley Finance 61773QDM8 03/23/22 03/23/28 100.000 0.000 3.3224 60.17 0.096966 0.098577 0.100215 0.101880 0.103572 35.52 36.71 Morgan Stanley Finance 61768Y307 06/05/19 03/05/24 100.000 0.000 2.9394 142.78 0.092432 5.92 Morgan Stanley Finance 61773QDN6 03/23/22 03/23/27 100.000 0.000 3.2206 58.29 0.093852 0.095364 0.096899 0.098460 0.100045 34.36 35.47 Morgan Stanley Finance 61770FFB7 02/28/20 02/28/25 100.000 0.000 1.9133 75.91 0.056810 0.057353 0.057902 20.68 3.30 Morgan Stanley Finance 61773FUK7 09/30/21 10/02/28 100.000 0.000 2.0246 46.44 0.058556 0.059149 0.059748 0.060353 0.060963 21.29 21.73 Morgan Stanley Finance 61773FU84 11/03/21 11/03/26 100.000 0.000 1.8149 39.83 0.052268 0.052742 0.053221 0.053703 0.054191 18.96 19.30 Morgan Stanley Finance 61773FCU5 07/30/21 08/01/28 100.000 0.000 1.7934 44.15 0.051629 0.052092 0.052559 0.053030 0.053506 18.81 19.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768DH40 03/05/19 03/04/24 100.000 0.000 3.5292 183.81 0.114737 7.23 Morgan Stanley Finance 61770FW77 05/21/20 05/21/27 100.000 0.000 2.1231 79.26 0.063498 0.064173 0.064854 0.065542 0.066238 23.03 23.53 Morgan Stanley Finance 61770FW85 05/20/20 05/20/25 100.000 0.000 1.7889 66.48 0.052887 0.053360 0.053837 19.16 7.48 Morgan Stanley Finance 61768J870 12/05/17 12/04/24 100.000 0.000 3.1714 210.56 0.106391 0.108078 35.73 Morgan Stanley Finance 61770FW93 05/21/20 05/21/27 100.000 0.000 2.1231 79.26 0.063498 0.064173 0.064854 0.065542 0.066238 23.03 23.53 Morgan Stanley Finance 61770E232 01/03/20 01/05/27 100.000 0.000 2.6098 109.13 0.079391 0.080427 0.081477 0.082540 0.083617 29.13 29.90 Morgan Stanley Finance 61768C3H8 06/29/18 07/01/25 100.000 0.000 4.0272 245.48 0.139328 0.139328 0.144995 0.144995 50.66 26.10 Morgan Stanley Finance 61770FW28 05/29/20 05/29/26 100.000 0.000 1.7764 65.53 0.052495 0.052961 0.053432 0.053906 0.054385 19.01 19.35 Morgan Stanley Finance 61770FW36 05/29/20 06/01/27 100.000 0.000 1.9425 71.85 0.057741 0.058302 0.058868 0.059440 0.060017 20.92 21.33 Morgan Stanley Finance 61768Y299 06/05/19 06/05/24 100.000 0.000 2.9744 144.55 0.094363 14.53 Morgan Stanley Finance 61770FV86 05/29/20 06/01/27 100.000 0.000 1.9425 71.85 0.057741 0.058302 0.058868 0.059440 0.060017 20.92 21.33 Morgan Stanley Finance 61770FV94 05/29/20 06/01/27 100.000 0.000 1.9425 71.85 0.057741 0.058302 0.058868 0.059440 0.060017 20.92 21.33 Morgan Stanley Finance 61768CSU2 11/30/17 11/29/24 100.000 0.000 3.1215 207.47 0.104407 0.106037 34.54 Morgan Stanley Finance 61768C2K2 05/30/18 05/29/26 100.000 0.000 4.0544 251.38 0.140428 0.143275 0.146179 0.149142 0.152166 51.25 53.35 Morgan Stanley Finance 61773FT45 10/29/21 10/31/28 100.000 0.000 2.2359 49.50 0.064936 0.065662 0.066396 0.067139 0.067889 23.60 24.13 Morgan Stanley Finance 61773QST7 03/30/22 03/31/27 100.000 0.000 3.6190 64.93 0.106085 0.108005 0.109959 0.111949 0.113975 38.89 40.31 Morgan Stanley Finance 61768CTQ0 11/30/17 12/03/25 100.000 0.000 3.2697 218.24 0.110367 0.112171 0.114005 0.115869 40.16 38.18 Morgan Stanley Finance 61769HM77 12/02/19 12/02/24 100.000 0.000 2.3657 100.73 0.072195 0.073049 24.05 Morgan Stanley Finance 61774DGA9 06/01/22 06/01/27 100.000 0.000 3.9473 63.87 0.116268 0.118563 0.120903 0.123289 0.125723 42.41 44.10 Morgan Stanley Finance 61769HM51 12/02/19 12/02/24 100.000 0.000 2.3657 100.73 0.072195 0.073049 24.05 Morgan Stanley Finance 61768DFQ3 10/31/18 10/30/25 100.000 0.000 4.1832 238.70 0.142924 0.145913 0.148965 0.152081 52.36 45.10 Morgan Stanley Finance 61770FE36 04/30/20 04/30/27 100.000 0.000 2.2634 86.11 0.068025 0.068795 0.069574 0.070361 0.071157 24.72 25.28 Morgan Stanley Finance 61770FDU7 01/28/20 01/29/30 100.000 0.000 2.6694 109.70 0.081369 0.082455 0.083555 0.084670 0.085800 29.82 30.62 Morgan Stanley Finance 61770G708 04/03/20 04/07/26 100.000 0.000 2.6405 103.24 0.080424 0.081486 0.082562 0.083652 0.084756 29.32 30.10 Morgan Stanley Finance 61773QC64 04/29/22 05/01/29 100.000 0.000 4.1317 70.83 0.122059 0.124580 0.127154 0.129781 0.132462 44.70 46.57 Morgan Stanley Finance 61773QFJ3 03/31/22 04/03/29 100.000 0.000 3.7117 66.63 0.108984 0.111006 0.113066 0.115165 0.117302 39.96 41.45 Morgan Stanley Finance 61773HLN7 12/23/21 12/26/28 100.000 0.000 2.2328 45.93 0.064852 0.065576 0.066308 0.067048 0.067797 23.48 24.01 Morgan Stanley Finance 61773QFH7 03/31/22 04/03/29 100.000 0.000 3.7117 66.63 0.108984 0.111006 0.113066 0.115165 0.117302 39.96 41.45 Morgan Stanley Finance 61768CWE3 12/29/17 12/31/25 100.000 0.000 3.3131 218.16 0.112098 0.113955 0.115842 0.117761 40.69 41.93 Morgan Stanley Finance 61773Q5Q8 06/03/22 06/04/26 100.000 0.000 3.8630 62.25 0.113656 0.115851 0.118089 0.120370 0.122695 41.43 43.05 Morgan Stanley Finance 61773Q5R6 06/03/22 06/04/27 100.000 2.500 4.1122 65.65 0.118500 0.118100 0.120500 0.121200 0.122600 42.65 43.38 Morgan Stanley Finance 61770FYL4 05/05/20 05/05/25 100.000 0.000 1.8350 69.06 0.054336 0.054835 0.055338 19.71 6.86 Morgan Stanley Finance 61769Q881 10/03/19 04/03/25 100.000 0.000 2.2103 97.81 0.067039 0.067780 0.068529 24.40 6.30 Morgan Stanley Finance 61760QNK6 05/20/22 05/20/32 100.000 VARIES 4.2250 67.89 0.118800 0.120700 0.122600 0.124600 0.126700 43.26 44.66 Morgan Stanley Finance 61773F5Q2 10/21/21 10/23/28 100.000 0.000 2.2503 50.35 0.065378 0.066114 0.066858 0.067610 0.068370 23.77 24.31 Morgan Stanley Finance 61769P529 05/05/20 05/05/27 100.000 0.000 2.0902 78.99 0.062444 0.063096 0.063756 0.064422 0.065095 22.67 23.15 Morgan Stanley Finance 61770FYH3 04/22/20 10/22/25 100.000 0.000 1.9271 73.38 0.057247 0.057799 0.058356 0.058918 20.78 17.08 Morgan Stanley Finance 61760QNH3 05/27/22 05/27/27 100.000 VARIES 3.9700 63.37 0.112900 0.114900 0.116900 0.119000 0.121200 41.13 42.61 Morgan Stanley Finance 61770FGP5 02/28/20 03/02/27 100.000 0.000 2.1748 86.66 0.065177 0.065885 0.066602 0.067326 0.068058 23.76 24.28 Morgan Stanley Finance 61768DZW8 02/28/19 02/29/24 100.000 0.000 3.4964 182.76 0.113526 6.58 Morgan Stanley Finance 61768CX28 05/30/18 05/30/25 100.000 0.000 3.9488 244.16 0.136007 0.138693 0.141431 49.61 21.07 Morgan Stanley Finance 61769HP82 11/29/19 05/30/24 100.000 0.000 2.3629 100.83 0.072108 10.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61770FGS9 03/04/20 03/04/24 100.000 0.000 1.7557 69.16 0.051848 3.27 Morgan Stanley Finance 61773QF61 04/11/22 04/10/25 100.000 0.000 3.3450 58.83 0.097648 0.099281 0.100942 35.71 9.99 Morgan Stanley Finance 61773FVU4 09/22/21 03/22/27 100.000 0.000 1.5893 36.68 0.045567 0.045929 0.046294 0.046662 0.047033 16.54 16.81 Morgan Stanley Finance 61768C5S2 07/31/18 07/31/25 100.000 0.000 4.0045 239.74 0.135626 0.138341 0.141111 0.143937 50.14 30.00 Morgan Stanley Finance 61773FFC2 03/24/22 03/25/27 100.000 0.000 3.3435 60.46 0.097620 0.099251 0.100911 0.102598 0.104313 35.75 36.96 Morgan Stanley Finance 61774DJV0 05/31/22 06/01/29 100.000 0.000 4.1329 67.07 0.122082 0.124604 0.127179 0.129807 0.132490 44.56 46.42 Morgan Stanley Finance 61770FXY7 04/01/20 05/28/27 100.000 0.000 2.8687 112.76 0.088438 0.089707 0.090993 0.092298 0.093622 32.15 33.08 Morgan Stanley Finance 61768CWL7 12/18/17 06/18/25 100.000 0.000 3.2094 211.91 0.107917 0.109649 0.111408 39.21 18.61 Morgan Stanley Finance 61773FFB4 03/24/22 03/26/25 100.000 0.000 3.1571 57.03 0.091933 0.093384 0.094858 33.63 8.06 Morgan Stanley Finance 61773Q4Z9 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 Morgan Stanley Finance 61773QVH9 05/05/22 05/02/25 100.000 0.000 3.8097 64.52 0.111953 0.114086 0.116259 40.94 14.07 Morgan Stanley Finance 61769P495 05/05/20 05/05/26 100.000 0.000 1.9401 73.14 0.057658 0.058218 0.058782 0.059353 0.059928 20.92 21.33 Morgan Stanley Finance 61773F4D2 10/27/21 04/27/27 100.000 0.000 1.9805 43.86 0.057226 0.057792 0.058365 0.058943 0.059526 20.78 21.19 Morgan Stanley Finance 61773F4E0 10/27/21 10/26/28 100.000 0.000 2.2698 50.40 0.065958 0.066706 0.067463 0.068229 0.069003 23.98 24.52 Morgan Stanley Finance 61773QVQ9 05/31/22 05/29/25 100.000 0.000 3.5672 57.71 0.104476 0.106339 0.108236 38.07 16.02 Morgan Stanley Finance 61768CUZ8 12/27/17 12/27/24 100.000 0.000 3.2580 214.42 0.109864 0.111653 39.43 Morgan Stanley Finance 61769HNV3 09/05/19 09/05/24 100.000 0.000 2.3651 106.99 0.072177 0.073031 17.76 Morgan Stanley Finance 61768CVR5 12/08/17 06/10/24 100.000 0.000 3.1083 205.68 0.103911 16.52 Morgan Stanley Finance 61769HNU5 09/05/19 09/05/24 100.000 0.000 2.3651 106.99 0.072177 0.073031 17.76 Morgan Stanley Finance 61773QUW7 04/14/22 10/11/24 100.000 0.000 2.9922 52.25 0.086883 0.088183 24.56 Morgan Stanley Finance 61770FX27 05/21/20 05/21/26 100.000 0.000 1.9379 72.13 0.057589 0.058147 0.058710 0.059279 0.059853 20.88 21.28 Morgan Stanley Finance 61773FDV2 07/28/21 01/28/27 100.000 0.000 1.4801 36.41 0.042345 0.042659 0.042974 0.043292 0.043613 15.40 15.63 Morgan Stanley Finance 61772Y145 07/06/21 07/06/28 100.000 0.000 1.9323 48.97 0.055779 0.056318 0.056862 0.057411 0.057966 20.37 20.76 Morgan Stanley Finance 61770FX35 05/21/20 05/21/27 100.000 0.000 2.1231 79.26 0.063498 0.064173 0.064854 0.065542 0.066238 23.03 23.53 Morgan Stanley Finance 61770FFJ0 02/04/20 02/04/25 100.000 0.000 2.0787 84.19 0.062077 0.062722 0.063374 22.65 2.09 Morgan Stanley Finance 61773FDU4 07/28/21 07/27/28 100.000 0.000 1.8084 44.63 0.052074 0.052545 0.053020 0.053499 0.053983 18.98 19.32 Morgan Stanley Finance 61773QDQ9 03/23/22 03/23/27 100.000 0.000 3.2206 58.29 0.093852 0.095364 0.096899 0.098460 0.100045 34.36 35.47 Morgan Stanley Finance 61773FUT8 10/05/21 10/05/26 100.000 0.000 1.5992 36.31 0.045861 0.046227 0.046597 0.046970 0.047345 16.64 16.91 Morgan Stanley Finance 61770E307 01/03/20 01/03/25 100.000 0.000 2.3534 97.96 0.070950 0.071785 0.072630 25.99 0.15 Morgan Stanley Finance 61770FX68 06/03/20 06/03/25 100.000 0.000 1.5338 56.19 0.044945 0.045289 0.045637 16.26 6.94 Morgan Stanley Finance 61773Q3X5 06/03/22 06/04/27 100.000 0.000 4.0488 65.31 0.119449 0.121867 0.124335 0.126852 0.129420 43.57 45.35 Morgan Stanley Finance 61773F7L1 11/09/21 11/09/26 100.000 0.000 1.7857 38.87 0.051399 0.051858 0.052321 0.052788 0.053259 18.63 18.97 Morgan Stanley Finance 61768DKG9 11/30/18 12/03/25 100.000 0.000 4.2632 239.35 0.146282 0.149400 0.152584 0.155837 53.40 51.24 Morgan Stanley Finance 61773Q7G8 05/25/22 05/23/24 100.000 0.000 3.3425 54.50 0.097563 13.85 Morgan Stanley Finance 61771VSK7 04/28/21 10/28/26 100.000 0.000 1.6286 44.35 0.047110 0.047494 0.047881 0.048270 0.048663 17.08 17.36 Morgan Stanley Finance 61773Q7H6 05/25/22 05/23/25 100.000 0.000 3.7175 60.74 0.109108 0.111136 0.113201 39.80 16.07 Morgan Stanley Finance 61771VSJ0 04/28/21 04/27/28 100.000 0.000 1.9961 54.58 0.058267 0.058849 0.059436 0.060029 0.060629 21.16 21.58 Morgan Stanley Finance 61772X220 05/05/21 05/03/28 100.000 0.000 2.0240 54.95 0.059119 0.059717 0.060321 0.060932 0.061549 21.46 21.90 Morgan Stanley Finance 61773E528 10/05/21 10/04/28 100.000 0.000 2.0411 46.53 0.059045 0.059647 0.060256 0.060871 0.061492 21.47 21.91 Morgan Stanley Finance 61773QZ93 05/31/22 05/31/29 100.000 0.000 4.2085 68.32 0.124439 0.127057 0.129731 0.132461 0.135248 45.43 47.37 Morgan Stanley Finance 61771BHX5 06/17/20 06/17/25 100.000 0.000 1.3734 49.63 0.040021 0.040296 0.040572 14.46 6.73 Morgan Stanley Finance 61770FZV1 04/30/20 04/30/27 100.000 0.000 2.2634 86.11 0.068025 0.068795 0.069574 0.070361 0.071157 24.72 25.28 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61772Y475 08/04/21 08/03/28 100.000 0.000 1.7696 43.35 0.050916 0.051367 0.051821 0.052280 0.052742 18.55 18.87 Morgan Stanley Finance 61769HRA5 08/30/19 09/01/26 100.000 0.000 2.4648 112.09 0.075520 0.076450 0.077393 0.078346 0.079312 27.58 28.26 Morgan Stanley Finance 61773QGX1 04/05/22 04/05/27 100.000 0.000 3.4199 60.78 0.099953 0.101662 0.103400 0.105168 0.106967 36.59 37.85 Morgan Stanley Finance 61773QHB8 04/05/22 04/05/27 100.000 1.750 3.4182 60.30 0.098211 0.098228 0.099907 0.099953 0.101661 35.51 36.13 Morgan Stanley Finance 61770FZZ2 05/05/20 05/05/25 100.000 0.000 1.8350 69.06 0.054336 0.054835 0.055338 19.71 6.86 Morgan Stanley Finance 61773QHA0 04/05/22 04/05/27 100.000 0.000 3.4199 60.78 0.099953 0.101662 0.103400 0.105168 0.106967 36.59 37.85 Morgan Stanley Finance 61773U266 02/16/22 03/05/29 100.000 0.000 3.0399 58.24 0.088492 0.089837 0.091203 0.092589 0.093996 32.41 33.41 Morgan Stanley Finance 61768CXC6 01/31/18 01/30/25 100.000 0.000 3.4110 221.68 0.114121 0.116067 0.118047 42.03 3.42 Morgan Stanley Finance 61773Q6G9 05/25/22 11/25/26 100.000 0.000 4.1277 67.59 0.121905 0.124421 0.126989 0.129610 0.132285 44.52 46.38 Morgan Stanley Finance 61773Q6H7 05/25/22 11/25/25 100.000 0.000 3.8756 63.37 0.114036 0.116246 0.118498 0.120795 41.61 38.81 Morgan Stanley Finance 61773F6S7 11/01/21 11/01/28 100.000 0.000 2.1922 48.39 0.063608 0.064305 0.065010 0.065722 0.066443 23.11 23.62 Morgan Stanley Finance 61768CH42 03/29/18 03/31/25 100.000 0.000 3.8850 247.96 0.133367 0.135957 0.138598 48.95 12.34 Morgan Stanley Finance 61770FYU4 04/30/20 10/30/25 100.000 0.000 1.9442 73.59 0.057789 0.058351 0.058918 0.059491 20.97 17.72 Morgan Stanley Finance 61773Q5X3 05/31/22 05/31/29 100.000 0.000 4.2085 68.32 0.124439 0.127057 0.129731 0.132461 0.135248 45.43 47.37 Morgan Stanley Finance 61773Q5Y1 05/31/22 05/31/29 100.000 0.000 4.2085 68.32 0.124439 0.127057 0.129731 0.132461 0.135248 45.43 47.37 Morgan Stanley Finance 61768CXY8 01/31/18 02/01/24 100.000 0.000 3.3672 218.57 0.112398 3.37 Morgan Stanley Finance 61773Q5U9 05/31/22 05/28/27 100.000 0.000 4.0281 65.33 0.118763 0.121155 0.123595 0.126085 0.128624 43.34 45.11 Morgan Stanley Finance 61773Q5W5 05/31/22 05/31/29 100.000 2.750 4.2085 67.52 0.121200 0.120500 0.123000 0.122400 0.125000 43.55 44.24 Morgan Stanley Finance 61770FHN9 03/04/20 03/05/25 100.000 0.000 1.7527 69.04 0.051756 0.052210 0.052668 18.82 3.37 Morgan Stanley Finance 61770FHP4 03/04/20 03/05/25 100.000 0.000 1.7527 69.04 0.051756 0.052210 0.052668 18.82 3.37 Morgan Stanley Finance 61768CXW2 01/31/18 07/31/25 100.000 0.000 3.4534 224.70 0.115803 0.117803 0.119837 0.121906 42.66 25.42 Morgan Stanley Finance 61773Q5T2 05/31/22 05/31/29 100.000 0.000 4.2085 68.32 0.124439 0.127057 0.129731 0.132461 0.135248 45.43 47.37 Morgan Stanley Finance 61771VQW3 04/30/21 05/02/28 100.000 0.000 2.0160 55.02 0.058887 0.059480 0.060080 0.060686 0.061297 21.38 21.81 Morgan Stanley Finance 61770E588 02/05/20 02/05/25 100.000 0.000 1.9970 80.71 0.059469 0.060062 0.060662 21.69 2.06 Morgan Stanley Finance 61770FYX8 04/30/20 04/30/27 100.000 0.000 2.2634 86.11 0.068025 0.068795 0.069574 0.070361 0.071157 24.72 25.28 Morgan Stanley Finance 61774HK31 11/16/22 11/14/24 100.000 0.000 5.2055 59.59 0.152179 0.156140 48.35 Morgan Stanley Finance 61775MC95 12/13/23 12/13/28 100.000 0.000 5.1687 2.58 0.143575 0.147285 0.151092 0.154997 0.159002 52.49 55.24 Morgan Stanley Finance 61775HUJ4 08/16/23 08/14/25 100.000 0.000 5.3873 20.20 0.149647 0.153633 0.157772 0.162022 55.70 35.95 Morgan Stanley Finance 61774XHZ9 05/03/23 05/01/25 100.000 0.000 4.7834 31.81 0.136015 0.139268 0.142599 49.95 17.11 Morgan Stanley Finance 61775MBY1 10/31/23 10/29/26 100.000 0.000 6.0614 10.27 0.168372 0.173447 0.178703 0.184119 0.189699 62.17 65.99 Morgan Stanley Finance 61774XHN6 04/28/23 04/28/28 100.000 0.000 4.7155 32.02 0.134074 0.137236 0.140471 0.143783 0.147173 49.24 51.59 Morgan Stanley Finance 61774XHM8 04/28/23 04/30/25 100.000 0.000 4.8000 32.60 0.136570 0.139847 0.143204 50.16 17.04 Morgan Stanley Finance 61774XHL0 04/28/23 04/30/26 100.000 0.000 4.6584 31.64 0.132448 0.135533 0.138690 0.141920 0.145226 48.62 50.91 Morgan Stanley Finance 61775MRS7 12/05/23 12/05/28 100.000 0.000 5.2983 3.83 0.147175 0.151074 0.155076 0.159184 0.163401 53.89 56.78 Morgan Stanley Finance 61774XGW7 05/03/23 05/01/26 100.000 0.000 4.6612 30.99 0.132462 0.135549 0.138708 0.141941 0.145249 48.62 50.91 Morgan Stanley Finance 61775HTD9 09/06/23 09/05/25 100.000 0.000 5.4965 17.56 0.152681 0.156853 0.161164 0.165593 56.70 40.12 Morgan Stanley Finance 61775MRP3 12/05/23 12/03/26 100.000 0.000 5.1900 3.75 0.144167 0.147866 0.151703 0.155640 0.159679 52.78 55.55 Morgan Stanley Finance 61775HTC1 09/06/23 09/06/28 100.000 0.000 5.4020 17.26 0.150056 0.154109 0.158271 0.162546 0.166936 55.69 58.74 Morgan Stanley Finance 61774HZY7 11/15/22 11/15/27 100.000 0.000 5.6531 64.97 0.166033 0.170726 0.175552 0.180514 0.185616 61.05 64.55 Morgan Stanley Finance 61774HZZ4 11/16/22 11/14/25 100.000 0.000 5.2838 60.50 0.154586 0.158670 0.162861 0.167164 56.77 51.75 Morgan Stanley Finance 61775HTP2 08/31/23 09/02/26 100.000 0.000 5.5965 18.82 0.155507 0.159858 0.164331 0.168930 0.173657 57.82 61.10 Morgan Stanley Finance 61774XYE7 05/17/23 05/15/25 100.000 0.000 4.5292 28.31 0.128629 0.131541 0.134520 47.10 18.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61775HTM9 08/31/23 09/03/30 100.000 0.000 5.5769 18.75 0.154986 0.159308 0.163750 0.168316 0.173009 57.61 60.86 Morgan Stanley Finance 61774HJ33 11/29/22 11/29/27 100.000 0.000 5.2152 57.71 0.152520 0.156497 0.160578 0.164765 0.169062 55.88 58.83 Morgan Stanley Finance 61775HTL1 08/31/23 09/03/25 100.000 0.000 5.6361 18.95 0.156632 0.161046 0.165584 0.170250 58.24 40.91 Morgan Stanley Finance 61774FCK6 06/05/23 08/02/28 100.000 0.000 5.2550 30.25 0.147187 0.151054 0.155023 0.159096 0.163277 54.85 57.77 Morgan Stanley Finance 61774HJ41 11/22/22 11/22/27 100.000 0.000 5.3302 60.10 0.156058 0.160217 0.164487 0.168871 0.173372 57.26 60.35 Morgan Stanley Finance 61775HTK3 08/31/23 09/02/26 100.000 0.000 5.5965 18.82 0.155507 0.159858 0.164331 0.168930 0.173657 57.82 61.10 Morgan Stanley Finance 61774XGM9 04/28/23 04/28/28 100.000 0.000 4.7155 32.02 0.134074 0.137236 0.140471 0.143783 0.147173 49.24 51.59 Morgan Stanley Finance 61775MAD8 10/02/23 10/02/28 100.000 0.000 5.7284 14.16 0.159122 0.163680 0.168368 0.173190 0.178151 58.93 62.35 Morgan Stanley Finance 61774FBU5 05/03/23 05/03/28 100.000 0.000 4.8346 32.15 0.137541 0.140866 0.144271 0.147758 0.151330 50.50 52.97 Morgan Stanley Finance 61774DMM6 07/06/22 07/06/27 100.000 0.000 4.5507 69.16 0.132226 0.135235 0.138312 0.141459 0.144678 49.21 51.47 Morgan Stanley Finance 61774HYZ5 11/28/22 11/28/29 100.000 0.000 5.3723 59.64 0.157355 0.161582 0.165922 0.170379 0.174956 57.69 60.83 Morgan Stanley Finance 61775MRN8 12/05/23 12/04/25 100.000 0.000 5.2471 3.79 0.145753 0.149555 0.153479 0.157506 53.36 51.83 Morgan Stanley Finance 61774XY64 05/31/23 11/29/24 100.000 0.000 5.0206 29.54 0.142943 0.146531 47.53 Morgan Stanley Finance 61774FBZ4 06/05/23 06/03/26 100.000 0.000 4.8131 27.63 0.136879 0.140173 0.143546 0.147001 0.150539 50.06 52.49 Morgan Stanley Finance 61774XGN7 04/28/23 04/30/30 100.000 0.000 4.8297 32.81 0.137435 0.140754 0.144153 0.147634 0.151199 50.48 52.95 Morgan Stanley Finance 617741ZU5 12/05/22 12/04/25 100.000 0.000 4.9291 53.64 0.143732 0.147275 0.150904 0.154623 52.57 50.92 Morgan Stanley Finance 61774XKD4 04/03/23 04/02/26 100.000 0.000 4.9228 36.95 0.140092 0.143540 0.147073 0.150693 0.154402 51.67 54.25 Morgan Stanley Finance 61775HFL6 07/31/23 07/31/28 100.000 0.000 5.2152 21.87 0.144867 0.148644 0.152520 0.156497 0.160578 53.99 56.84 Morgan Stanley Finance 61775HFM4 07/31/23 07/31/28 100.000 0.000 5.2152 21.87 0.144867 0.148644 0.152520 0.156497 0.160578 53.99 56.84 Morgan Stanley Finance 61775H5G3 08/31/23 08/31/28 100.000 0.000 5.5578 18.68 0.154383 0.158650 0.163083 0.167564 0.172273 57.40 60.64 Morgan Stanley Finance 61775HWX1 09/05/23 09/05/28 100.000 0.000 5.4126 17.44 0.150350 0.154419 0.158598 0.162890 0.167298 55.82 58.88 Morgan Stanley Finance 61774DA23 07/29/22 07/29/27 100.000 0.000 4.3358 62.94 0.125717 0.128443 0.131227 0.134072 0.136979 46.59 48.63 Morgan Stanley Finance 61774DPZ4 06/17/22 06/17/27 100.000 0.000 4.9268 77.80 0.147221 0.150847 0.154563 0.158371 0.162272 53.76 56.44 Morgan Stanley Finance 61774XJP9 05/03/23 05/01/25 100.000 0.000 4.7834 31.81 0.136015 0.139268 0.142599 49.95 17.11 Morgan Stanley Finance 61775HEY9 07/31/23 07/31/30 100.000 0.000 5.2225 21.91 0.145069 0.148858 0.152745 0.156733 0.160826 54.07 56.93 Morgan Stanley Finance 61774XJN4 05/03/23 05/03/28 100.000 0.000 4.7380 31.50 0.134729 0.137921 0.141188 0.144533 0.147957 49.45 51.82 Morgan Stanley Finance 61774HLB2 11/03/22 11/04/27 100.000 0.000 5.8023 68.76 0.170689 0.175641 0.180737 0.185980 0.191376 62.91 66.62 Morgan Stanley Finance 61775MDD5 11/03/23 11/05/26 100.000 0.000 5.9906 9.65 0.166461 0.171447 0.176582 0.181871 0.187319 61.39 65.12 Morgan Stanley Finance 61775MDE3 11/03/23 11/03/28 100.000 0.000 6.1559 9.92 0.170997 0.176260 0.181686 0.187278 0.193042 63.13 67.07 Morgan Stanley Finance 61775MDR4 10/31/23 10/31/28 100.000 0.000 6.2111 10.52 0.172531 0.177889 0.183413 0.189109 0.194982 63.74 67.76 Morgan Stanley Finance 61775ME28 12/13/23 12/11/26 100.000 0.000 5.1900 2.59 0.144167 0.147866 0.151703 0.155640 0.159679 52.72 55.48 Morgan Stanley Finance 61775MDN3 10/31/23 10/31/30 100.000 0.000 6.3642 10.78 0.176783 0.182409 0.188213 0.194202 0.200382 65.35 69.58 Morgan Stanley Finance 61775MDM5 10/31/23 10/31/28 100.000 0.000 6.2111 10.52 0.172531 0.177889 0.183413 0.189109 0.194982 63.74 67.76 Morgan Stanley Finance 61774XJB0 05/03/23 05/03/28 100.000 0.000 4.7380 31.50 0.134729 0.137921 0.141188 0.144533 0.147957 49.45 51.82 Morgan Stanley Finance 61775MTX4 11/15/23 02/13/25 100.000 0.000 5.4711 6.99 0.151975 0.154007 0.158220 55.94 6.65 Morgan Stanley Finance 61774DPD3 06/23/22 06/23/27 100.000 0.000 4.6901 73.13 0.139663 0.142938 0.146290 0.149720 0.153231 50.92 53.34 Morgan Stanley Finance 61775MU53 12/14/23 12/14/28 100.000 0.000 5.2740 2.49 0.146500 0.150363 0.154328 0.158398 0.162575 53.57 56.43 Morgan Stanley Finance 61775M2Q8 12/12/23 12/12/28 100.000 0.000 5.1679 2.73 0.143553 0.147262 0.151067 0.154971 0.158975 52.49 55.24 Morgan Stanley Finance 61775HVG9 08/28/23 08/28/28 100.000 0.000 5.6551 19.32 0.157086 0.161528 0.166095 0.170792 0.175621 58.46 61.81 Morgan Stanley Finance 61775MUE4 12/04/23 06/04/27 100.000 0.000 5.2938 3.97 0.147050 0.150942 0.154938 0.159039 0.163248 53.85 56.74 Morgan Stanley Finance 61775MUD6 12/04/23 09/03/26 100.000 0.000 5.3531 4.01 0.148697 0.150665 0.154698 0.158838 0.163090 54.59 57.43 Morgan Stanley Finance 61774HKX5 11/03/22 11/04/27 100.000 0.000 5.8023 68.76 0.170689 0.175641 0.180737 0.185980 0.191376 62.91 66.62 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774DPN1 06/21/22 06/21/27 100.000 0.000 4.6797 73.24 0.139332 0.142592 0.145928 0.149343 0.152837 50.81 53.22 Morgan Stanley Finance 61774HKW7 11/03/22 11/04/27 100.000 0.000 5.8023 68.76 0.170689 0.175641 0.180737 0.185980 0.191376 62.91 66.62 Morgan Stanley Finance 61774HKC1 10/31/22 10/29/27 100.000 0.000 5.7935 69.17 0.170362 0.175297 0.180375 0.185600 0.190977 62.84 66.53 Morgan Stanley Finance 61774HKA5 10/31/22 10/30/25 100.000 0.000 5.5515 66.22 0.162888 0.167409 0.172056 0.176832 60.01 52.30 Morgan Stanley Finance 61774HKB3 10/31/22 10/29/27 100.000 0.000 5.7935 69.17 0.170362 0.175297 0.180375 0.185600 0.190977 62.84 66.53 Morgan Stanley Finance 61775MCD6 10/31/23 10/31/28 100.000 0.000 6.2111 10.52 0.172531 0.177889 0.183413 0.189109 0.194982 63.74 67.76 Morgan Stanley Finance 61774HKL1 11/03/22 11/05/25 100.000 0.000 5.5897 66.20 0.164121 0.168708 0.173423 0.178270 60.43 53.59 Morgan Stanley Finance 61775MTQ9 11/22/23 05/22/29 100.000 0.000 5.5145 5.97 0.153181 0.157404 0.161744 0.166204 0.170786 56.24 59.38 Morgan Stanley Finance 61775MCP9 10/31/23 10/30/25 100.000 0.000 5.9649 10.11 0.165692 0.170633 0.175722 0.180963 61.15 53.48 Morgan Stanley Finance 61775MTP1 11/22/23 05/22/28 100.000 0.000 5.4591 5.91 0.151642 0.155781 0.160033 0.164401 0.168889 55.66 58.74 Morgan Stanley Finance 61775MCN4 11/03/23 11/05/25 100.000 0.000 5.8960 9.50 0.163831 0.168661 0.173633 0.178752 60.40 53.71 Morgan Stanley Finance 61775MCM6 11/03/23 11/05/25 100.000 0.000 5.8960 9.50 0.163831 0.168661 0.173633 0.178752 60.40 53.71 Morgan Stanley Finance 61774HKH0 11/03/22 11/04/27 100.000 0.000 5.8023 68.76 0.170689 0.175641 0.180737 0.185980 0.191376 62.91 66.62 Morgan Stanley Finance 61775MCL8 10/31/23 10/29/26 100.000 0.000 6.0614 10.27 0.168372 0.173447 0.178703 0.184119 0.189699 62.17 65.99 Morgan Stanley Finance 61775MCK0 10/31/23 10/30/25 100.000 0.000 5.9649 10.11 0.165692 0.170633 0.175722 0.180963 61.15 53.48 Morgan Stanley Finance 61775HHR1 08/03/23 08/05/25 100.000 0.000 5.5058 22.64 0.152986 0.157197 0.161525 0.165971 57.08 35.37 Morgan Stanley Finance 61775HHQ3 08/03/23 08/03/28 100.000 0.000 5.1806 21.30 0.143906 0.147633 0.151457 0.155380 0.159405 53.59 56.41 Morgan Stanley Finance 61775HHP5 08/03/23 08/03/28 100.000 0.000 5.1806 21.30 0.143906 0.147633 0.151457 0.155380 0.159405 53.59 56.41 Morgan Stanley Finance 617741LA4 10/31/22 10/31/29 100.000 0.000 5.9019 70.49 0.173760 0.178888 0.184167 0.189601 0.195196 64.11 67.95 Morgan Stanley Finance 61774TAC6 12/29/22 12/28/27 100.000 0.000 5.1425 52.39 0.150267 0.154130 0.158093 0.162158 0.166328 54.81 57.67 Morgan Stanley Finance 61774TRD6 01/30/23 01/28/28 100.000 0.000 4.7213 43.88 0.134209 0.137377 0.140620 0.143939 0.147337 49.87 52.25 Morgan Stanley Finance 61774Q876 02/03/23 07/03/26 100.000 0.000 4.6651 42.95 0.132105 0.135186 0.138340 0.141567 0.144869 49.22 51.55 Morgan Stanley Finance 61774XMM2 04/19/23 04/20/28 100.000 0.000 4.8000 33.83 0.136551 0.139828 0.143184 0.146621 0.150140 50.22 52.66 Morgan Stanley Finance 61774XML4 04/19/23 04/20/28 100.000 0.000 4.8000 33.83 0.136551 0.139828 0.143184 0.146621 0.150140 50.22 52.66 Morgan Stanley Finance 617741KZ0 10/31/22 10/31/29 100.000 0.000 5.9019 70.49 0.173760 0.178888 0.184167 0.189601 0.195196 64.11 67.95 Morgan Stanley Finance 61175MQX7 11/30/23 12/03/25 100.000 0.000 5.5144 4.75 0.153248 0.157474 0.161815 0.166277 56.17 54.53 Morgan Stanley Finance 61775HHA8 07/31/23 07/30/26 100.000 0.000 5.3689 22.52 0.149136 0.153140 0.157251 0.161472 0.165806 55.63 58.66 Morgan Stanley Finance 61774HNH7 10/31/22 10/31/29 100.000 0.000 5.9019 70.49 0.173760 0.178888 0.184167 0.189601 0.195196 64.11 67.95 Morgan Stanley Finance 61775MWK8 12/05/23 12/03/26 100.000 0.000 5.1900 3.75 0.144167 0.147866 0.151703 0.155640 0.159679 52.78 55.55 Morgan Stanley Finance 61775HGZ4 07/31/23 07/30/26 100.000 0.000 5.3689 22.52 0.149136 0.153140 0.157251 0.161472 0.165806 55.63 58.66 Morgan Stanley Finance 61775MFT8 10/12/23 11/12/24 100.000 0.000 5.4382 11.97 0.151746 0.155872 47.94 Morgan Stanley Finance 61774DB48 08/03/22 08/03/27 100.000 0.000 4.0342 58.01 0.116627 0.118980 0.121380 0.123828 0.126326 43.11 44.87 Morgan Stanley Finance 61775H5Z6 09/27/23 09/27/28 100.000 0.000 5.7476 15.01 0.159656 0.164244 0.168964 0.173819 0.178815 59.18 62.63 Morgan Stanley Finance 61774DA64 08/03/22 08/03/27 100.000 0.000 4.0342 58.01 0.116627 0.118980 0.121380 0.123828 0.126326 43.11 44.87 Morgan Stanley Finance 61774TPR7 01/23/23 01/21/28 100.000 0.000 4.9008 46.54 0.139432 0.142849 0.146349 0.149935 0.153609 51.92 54.49 Morgan Stanley Finance 61775H6C6 09/27/23 09/25/26 100.000 0.000 5.7296 14.96 0.159156 0.163664 0.168353 0.173176 0.178137 58.99 62.41 Morgan Stanley Finance 61775H6B8 09/27/23 09/27/28 100.000 0.000 5.7476 15.01 0.159656 0.164244 0.168964 0.173819 0.178815 59.18 62.63 Morgan Stanley Finance 61774DUS4 07/29/22 07/31/29 100.000 0.000 4.4850 65.15 0.130250 0.133171 0.136157 0.139210 0.142332 48.31 50.50 Morgan Stanley Finance 61774TCA8 12/09/22 12/09/27 100.000 0.000 4.9607 53.41 0.144718 0.148307 0.151986 0.155756 0.159619 52.90 55.56 Morgan Stanley Finance 61775MZE9 11/24/23 05/23/25 100.000 0.000 5.4815 5.63 0.152264 0.156414 0.160701 55.88 22.82 Morgan Stanley Finance 61775HJS7 08/03/23 08/05/26 100.000 0.000 5.3069 21.82 0.147457 0.151370 0.155387 0.159510 0.163742 54.95 57.90 Morgan Stanley Finance 61774DUP0 08/03/22 08/03/27 100.000 0.000 4.0342 58.01 0.116627 0.118980 0.121380 0.123828 0.126326 43.11 44.87 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774HQG6 10/31/22 10/29/27 100.000 0.000 5.7935 69.17 0.170362 0.175297 0.180375 0.185600 0.190977 62.84 66.53 Morgan Stanley Finance 61774HQF8 10/31/22 10/29/27 100.000 0.000 5.7935 69.17 0.170362 0.175297 0.180375 0.185600 0.190977 62.84 66.53 Morgan Stanley Finance 61774T2E1 03/10/23 03/10/28 100.000 0.000 5.2553 42.91 0.149816 0.153753 0.157793 0.161939 0.166195 55.53 58.48 Morgan Stanley Finance 61774TTD4 02/28/23 02/26/26 100.000 0.000 5.1119 43.47 0.145586 0.149307 0.153124 0.157037 0.161051 54.02 56.82 Morgan Stanley Finance 61775HJC2 07/31/23 07/31/28 100.000 0.000 5.5514 23.29 0.154206 0.158486 0.162885 0.167406 0.172053 57.60 60.84 Morgan Stanley Finance 61775MYY6 11/22/23 11/20/25 100.000 0.000 5.5163 5.98 0.153231 0.157410 0.161752 0.166213 56.26 52.40 Morgan Stanley Finance 61774HQ27 11/10/22 05/07/26 100.000 0.000 5.6730 66.04 0.166573 0.171298 0.176157 0.181154 0.186292 61.33 64.86 Morgan Stanley Finance 61775HJ40 08/31/23 03/05/25 100.000 0.000 5.6708 19.07 0.157646 0.162116 0.166713 58.61 10.67 Morgan Stanley Finance 61774TB84 02/28/23 02/28/28 100.000 0.000 5.2014 44.24 0.148241 0.152096 0.156052 0.160110 0.164274 55.02 57.92 Morgan Stanley Finance 61775MYJ9 11/30/23 11/30/28 100.000 0.000 5.5480 4.78 0.154111 0.158386 0.162780 0.167295 0.171936 56.52 59.70 Morgan Stanley Finance 61175MP83 12/05/23 12/04/25 100.000 0.000 5.2471 3.79 0.145753 0.149555 0.153479 0.157506 53.36 51.83 Morgan Stanley Finance 61774DD38 07/25/22 04/24/25 100.000 0.000 4.1367 60.55 0.120935 0.123437 0.125990 44.33 14.24 Morgan Stanley Finance 61775MXR2 11/24/23 11/24/28 100.000 0.000 5.5313 5.68 0.153647 0.157897 0.162263 0.166751 0.171363 56.40 59.56 Morgan Stanley Finance 61775MXN1 11/24/23 11/24/28 100.000 0.000 5.5313 5.68 0.153647 0.157897 0.162263 0.166751 0.171363 56.40 59.56 Morgan Stanley Finance 61774TEB4 12/23/22 12/23/27 100.000 0.000 4.9576 51.35 0.144623 0.148208 0.151882 0.155646 0.159505 52.77 55.42 Morgan Stanley Finance 61774TVC3 03/03/23 03/02/28 100.000 0.000 5.2313 43.75 0.149094 0.152993 0.156995 0.161102 0.165316 55.32 58.25 Morgan Stanley Finance 61774DWU7 07/29/22 07/29/27 100.000 0.000 4.3358 62.94 0.125717 0.128443 0.131227 0.134072 0.136979 46.59 48.63 Morgan Stanley Finance 61775HM95 09/29/23 10/01/30 100.000 0.000 5.8417 14.93 0.162322 0.167063 0.171943 0.176965 0.182134 60.16 63.72 Morgan Stanley Finance 61775HM79 09/29/23 09/29/28 100.000 0.000 5.7418 14.67 0.159494 0.164073 0.168784 0.173629 0.178614 59.10 62.54 Morgan Stanley Finance 61774TVA7 03/03/23 03/05/25 100.000 0.000 5.2748 44.12 0.150431 0.154398 0.158470 55.80 10.14 Morgan Stanley Finance 61774TVB5 03/03/23 05/31/24 100.000 0.000 5.3874 45.13 0.155682 23.20 Morgan Stanley Finance 61774DWT0 07/29/22 07/31/25 100.000 0.000 4.0373 58.52 0.116734 0.119090 0.121494 0.123947 43.17 25.83 Morgan Stanley Finance 61774XA78 06/05/23 06/05/28 100.000 0.000 4.9888 28.64 0.142034 0.145577 0.149209 0.152931 0.156745 51.96 54.58 Morgan Stanley Finance 61774TVK5 02/23/23 08/22/28 100.000 0.000 5.0992 44.09 0.145236 0.148939 0.152736 0.156630 0.160624 53.92 56.70 Morgan Stanley Finance 61774TVM1 02/28/23 02/27/25 100.000 0.000 5.2048 44.27 0.148319 0.152179 0.156140 55.06 8.74 Morgan Stanley Finance 61774HB23 11/23/22 05/21/27 100.000 0.000 5.3341 59.99 0.156133 0.160297 0.164573 0.168962 0.173468 57.30 60.39 Morgan Stanley Finance 61774DWH6 08/03/22 08/03/27 100.000 0.000 4.0342 58.01 0.116627 0.118980 0.121380 0.123828 0.126326 43.11 44.87 Morgan Stanley Finance 61774DWE3 07/29/22 07/31/29 100.000 0.000 4.4850 65.15 0.130250 0.133171 0.136157 0.139210 0.142332 48.31 50.50 Morgan Stanley Finance 61774DWF0 07/29/22 07/31/29 100.000 0.000 4.4850 65.15 0.130250 0.133171 0.136157 0.139210 0.142332 48.31 50.50 Morgan Stanley Finance 61774T3Y6 04/05/23 04/03/25 100.000 0.000 4.8570 36.17 0.138157 0.141512 0.144948 50.94 13.34 Morgan Stanley Finance 61774TUZ3 02/28/23 02/27/25 100.000 0.000 5.2048 44.27 0.148319 0.152179 0.156140 55.06 8.74 Morgan Stanley Finance 61775HM20 10/04/23 10/02/25 100.000 0.000 5.6986 13.77 0.158294 0.162755 0.167392 0.172161 58.60 46.22 Morgan Stanley Finance 61774T3X8 04/05/23 04/03/25 100.000 0.000 4.8570 36.17 0.138157 0.141512 0.144948 50.94 13.34 Morgan Stanley Finance 61774T3U4 04/05/23 04/09/24 100.000 0.000 4.8000 35.75 0.136606 13.39 Morgan Stanley Finance 61774HB31 11/23/22 05/23/28 100.000 0.000 5.4757 61.61 0.160545 0.164941 0.169457 0.174096 0.178863 58.93 62.20 Morgan Stanley Finance 61774DWJ2 07/06/22 07/06/26 100.000 0.000 4.3555 66.13 0.126313 0.129064 0.131875 0.134746 0.137681 46.94 49.01 Morgan Stanley Finance 61774T3A8 03/31/23 03/31/28 100.000 0.000 4.8853 37.08 0.139018 0.142413 0.145892 0.149456 0.153106 51.28 53.82 Morgan Stanley Finance 61775HL96 10/04/23 10/02/26 100.000 0.000 5.6780 13.72 0.157722 0.162150 0.166754 0.171488 0.176356 58.38 61.74 Morgan Stanley Finance 61775HL88 09/29/23 10/01/25 100.000 0.000 5.7304 14.65 0.159228 0.163791 0.168484 0.173311 58.98 46.36 Morgan Stanley Finance 61775HL70 09/29/23 10/01/26 100.000 0.000 5.7042 14.58 0.158500 0.163021 0.167670 0.172452 0.177371 58.70 62.10 Morgan Stanley Finance 61774TUK6 03/03/23 03/02/28 100.000 0.000 5.2313 43.75 0.149094 0.152993 0.156995 0.161102 0.165316 55.32 58.25 Morgan Stanley Finance 61774TUL4 02/28/23 02/28/28 100.000 0.000 5.2014 44.24 0.148241 0.152096 0.156052 0.160110 0.164274 55.02 57.92 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774XQ48 06/05/23 06/05/28 100.000 0.000 4.9888 28.64 0.142034 0.145577 0.149209 0.152931 0.156745 51.96 54.58 Morgan Stanley Finance 61774T3B6 03/31/23 04/02/30 100.000 0.000 4.9651 37.69 0.141382 0.144892 0.148489 0.152176 0.155953 52.16 54.78 Morgan Stanley Finance 61774DF85 07/29/22 07/30/27 100.000 0.000 4.3358 62.94 0.125732 0.128458 0.131243 0.134088 0.136995 46.59 48.63 Morgan Stanley Finance 61774TTR3 03/03/23 03/05/26 100.000 0.000 5.2084 43.56 0.148488 0.152355 0.156323 0.160394 0.164571 55.06 57.97 Morgan Stanley Finance 61774T2P6 03/31/23 04/02/26 100.000 0.000 4.8250 36.62 0.137298 0.140610 0.144003 0.147477 0.151034 50.62 53.09 Morgan Stanley Finance 61774T2W1 04/05/23 04/05/28 100.000 0.000 4.8824 36.36 0.138933 0.142325 0.145799 0.149358 0.153004 51.22 53.75 Morgan Stanley Finance 61774HA73 12/05/22 12/03/27 100.000 0.000 5.0920 55.44 0.148697 0.152483 0.156366 0.160347 0.164429 54.43 57.23 Morgan Stanley Finance 61774T2X9 04/05/23 04/05/27 100.000 0.000 4.8493 36.11 0.137969 0.141314 0.144740 0.148250 0.151844 50.85 53.35 Morgan Stanley Finance 61774T2U5 03/31/23 04/02/25 100.000 0.000 4.7828 36.30 0.136069 0.139323 0.142655 50.16 12.98 Morgan Stanley Finance 61774TD74 02/23/23 02/23/28 100.000 0.000 5.0532 43.69 0.143913 0.147549 0.151277 0.155099 0.159018 53.41 56.14 Morgan Stanley Finance 61774T2S0 04/05/23 04/05/28 100.000 0.000 4.8824 36.36 0.138933 0.142325 0.145799 0.149358 0.153004 51.22 53.75 Morgan Stanley Finance 61774T2T8 03/31/23 04/02/25 100.000 0.000 4.7828 36.30 0.136069 0.139323 0.142655 50.16 12.98 Morgan Stanley Finance 61774TCU4 12/13/22 12/11/25 100.000 0.000 4.8790 51.95 0.142183 0.145652 0.149205 0.152845 51.95 51.38 Morgan Stanley Finance 61774T2Q4 03/31/23 03/31/28 100.000 0.000 4.8853 37.08 0.139018 0.142413 0.145892 0.149456 0.153106 51.28 53.82 Morgan Stanley Finance 61774T2R2 04/05/23 04/06/26 100.000 0.000 4.8649 36.23 0.138441 0.141809 0.145258 0.148792 0.152411 51.02 53.54 Morgan Stanley Finance 61774DYU5 07/20/22 07/20/27 100.000 0.000 4.4916 66.42 0.130434 0.133363 0.136358 0.139420 0.142551 48.44 50.64 Morgan Stanley Finance 61774H3J5 12/28/22 12/27/24 100.000 0.000 4.9366 50.41 0.143962 0.147515 51.89 Morgan Stanley Finance 61775MMT0 10/31/23 10/30/25 100.000 0.000 5.8446 9.90 0.162350 0.167094 0.171977 0.177003 59.89 52.33 Morgan Stanley Finance 61774B275 07/06/22 01/06/26 100.000 0.000 4.2080 63.85 0.121859 0.124423 0.127041 0.129714 0.132443 45.24 47.16 Morgan Stanley Finance 61774TGM8 02/03/23 02/05/26 100.000 0.000 4.6549 42.86 0.132346 0.135427 0.138579 0.141804 0.145105 49.11 51.42 Morgan Stanley Finance 61774XT78 06/06/23 06/06/28 100.000 0.000 4.8739 27.84 0.138685 0.142065 0.145527 0.149074 0.152706 50.71 53.21 Morgan Stanley Finance 61774HD54 11/04/22 11/04/27 100.000 0.000 5.8518 69.19 0.172201 0.177240 0.182426 0.187763 0.193257 63.48 67.25 Morgan Stanley Finance 61774TXA5 02/15/23 02/15/28 100.000 0.000 4.8043 42.61 0.136659 0.139941 0.143303 0.146745 0.150270 50.69 53.16 Morgan Stanley Finance 61774T5Z1 03/13/23 03/13/28 100.000 0.000 5.3048 42.86 0.151264 0.155276 0.159395 0.163622 0.167962 56.06 59.07 Morgan Stanley Finance 61774H2U1 12/01/22 12/03/25 100.000 0.000 5.0815 55.91 0.148458 0.152230 0.156098 0.160064 54.34 52.54 Morgan Stanley Finance 61774TWG3 02/28/23 02/28/30 100.000 0.000 5.3239 45.29 0.151823 0.155864 0.160013 0.164273 0.168646 56.39 59.43 Morgan Stanley Finance 61774T5E8 03/29/23 09/29/27 100.000 0.000 4.6237 35.21 0.131405 0.134443 0.137551 0.140731 0.143985 48.42 50.68 Morgan Stanley Finance 61774TWF5 02/28/23 02/28/28 100.000 0.000 5.2014 44.24 0.148241 0.152096 0.156052 0.160110 0.164274 55.02 57.92 Morgan Stanley Finance 61774TWD0 03/03/23 03/05/25 100.000 0.000 5.2748 44.12 0.150431 0.154398 0.158470 55.80 10.14 Morgan Stanley Finance 61774TWB4 03/03/23 03/02/28 100.000 0.000 5.2313 43.75 0.149094 0.152993 0.156995 0.161102 0.165316 55.32 58.25 Morgan Stanley Finance 61774H2K3 11/30/22 11/30/27 100.000 0.000 5.1973 57.36 0.151970 0.155919 0.159971 0.164128 0.168393 55.67 58.60 Morgan Stanley Finance 61774T5G3 03/29/23 09/28/28 100.000 0.000 4.7157 35.92 0.134063 0.137224 0.140460 0.143771 0.147161 49.43 51.78 Morgan Stanley Finance 61774TVQ2 02/23/23 08/20/27 100.000 0.000 4.9833 43.08 0.141817 0.145350 0.148972 0.152684 0.156488 52.63 55.28 Morgan Stanley Finance 61175M2R6 12/12/23 12/10/26 100.000 0.000 5.1900 2.74 0.144167 0.147866 0.151703 0.155640 0.159679 52.72 55.49 Morgan Stanley Finance 61775HMN4 07/31/23 07/31/25 100.000 0.000 5.5765 23.39 0.154903 0.159222 0.163661 0.168225 57.86 35.03 Morgan Stanley Finance 61773QWL9 07/13/22 01/11/24 100.000 0.000 3.7773 56.43 0.108903 1.09 Morgan Stanley Finance 61773QWM7 07/20/22 07/18/25 100.000 0.000 4.0774 60.18 0.117900 0.120304 0.122756 0.125259 43.67 24.63 Morgan Stanley Finance 61774TZK1 02/15/23 02/15/28 100.000 0.000 4.8043 42.61 0.136659 0.139941 0.143303 0.146745 0.150270 50.69 53.16 Morgan Stanley Finance 61773QWK1 07/20/22 07/18/25 100.000 0.000 4.1950 61.95 0.121440 0.123987 0.126587 0.129243 45.02 25.42 Morgan Stanley Finance 61774H5D6 01/04/23 01/02/26 100.000 0.000 4.9743 49.94 0.141573 0.145095 0.148703 0.152402 0.156192 52.88 55.54 Morgan Stanley Finance 61773QWH8 07/05/22 07/03/25 100.000 0.000 4.1999 63.84 0.121587 0.124141 0.126747 0.129409 45.15 23.55 Morgan Stanley Finance 61774H5E4 01/04/23 01/03/28 100.000 0.000 5.2040 52.27 0.148296 0.152155 0.156114 0.160176 0.164344 55.47 58.40 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773QWF2 07/06/22 07/03/25 100.000 0.000 4.0520 61.43 0.117124 0.119497 0.121918 0.124388 43.44 22.63 Morgan Stanley Finance 61773QWG0 06/29/22 06/27/24 100.000 0.000 3.6988 56.74 0.108529 19.10 Morgan Stanley Finance 61774H5P9 01/04/23 01/03/28 100.000 0.000 5.2040 52.27 0.148296 0.152155 0.156114 0.160176 0.164344 55.47 58.40 Morgan Stanley Finance 61774H5Q7 12/30/22 01/02/30 100.000 0.000 5.3707 54.59 0.153238 0.157353 0.161578 0.165917 0.170373 57.40 60.52 Morgan Stanley Finance 61773QWQ8 07/29/22 07/29/25 100.000 0.000 3.8215 55.34 0.110248 0.112355 0.114502 0.116689 40.72 24.21 Morgan Stanley Finance 61773QWN5 07/29/22 03/14/25 100.000 0.000 3.8193 55.36 0.110708 0.112822 0.114977 40.69 8.39 Morgan Stanley Finance 61774THV7 01/31/23 01/31/30 100.000 0.000 4.8416 45.01 0.137745 0.141079 0.144494 0.147992 0.151575 51.21 53.72 Morgan Stanley Finance 61774XUA9 04/27/23 04/30/25 100.000 0.000 4.8000 32.74 0.136588 0.139866 0.143223 50.17 17.04 Morgan Stanley Finance 61773QWD7 06/25/22 12/27/24 100.000 0.000 4.2371 65.66 0.125367 0.128023 45.11 Morgan Stanley Finance 61773QWE5 06/30/22 07/02/25 100.000 0.000 4.0382 61.93 0.116774 0.119132 0.121537 0.123991 43.32 22.44 Morgan Stanley Finance 61774H5A2 12/30/22 12/30/27 100.000 0.000 5.2002 52.83 0.152059 0.156013 0.160070 0.164232 0.168502 55.46 58.38 Morgan Stanley Finance 61774TZA9 03/08/23 01/20/28 100.000 0.000 5.3389 43.92 0.151206 0.155242 0.159386 0.163641 0.168009 56.48 59.53 Morgan Stanley Finance 61775HQ83 09/29/23 10/01/25 100.000 0.000 5.7304 14.65 0.159228 0.163791 0.168484 0.173311 58.98 46.36 Morgan Stanley Finance 61774H4Z8 12/30/22 01/02/26 100.000 0.000 4.9727 50.49 0.141604 0.145125 0.148733 0.152431 0.156221 52.89 55.55 Morgan Stanley Finance 61774XUM3 06/02/23 12/02/26 100.000 0.000 5.1187 29.82 0.145825 0.149557 0.153385 0.157311 0.161337 53.39 56.16 Morgan Stanley Finance 61774XUL5 06/02/23 06/02/27 100.000 0.000 5.1130 29.79 0.145659 0.149382 0.153201 0.157118 0.161135 53.33 56.09 Morgan Stanley Finance 61774THK1 01/31/23 01/31/28 100.000 0.000 4.7642 44.28 0.135491 0.138719 0.142023 0.145406 0.148870 50.34 52.77 Morgan Stanley Finance 61774XCR2 04/04/23 07/03/25 100.000 0.000 4.8815 36.50 0.137234 0.140583 0.144014 0.147529 51.21 26.84 Morgan Stanley Finance 61774TYG1 03/03/23 03/02/28 100.000 0.000 5.2313 43.75 0.149094 0.152993 0.156995 0.161102 0.165316 55.32 58.25 Morgan Stanley Finance 61774TYH9 02/28/23 02/28/28 100.000 0.000 5.2014 44.24 0.148241 0.152096 0.156052 0.160110 0.164274 55.02 57.92 Morgan Stanley Finance 61774TYT3 02/21/23 02/18/28 100.000 0.000 4.9851 43.38 0.141869 0.145405 0.149029 0.152744 0.156551 52.66 55.32 Morgan Stanley Finance 61774THN5 02/03/23 02/03/28 100.000 0.000 4.7914 44.13 0.136283 0.139548 0.142891 0.146314 0.149820 50.63 53.08 Morgan Stanley Finance 61774HUW6 11/03/22 11/04/27 100.000 0.000 5.8023 68.76 0.170689 0.175641 0.180737 0.185980 0.191376 62.91 66.62 Morgan Stanley Finance 61774TGY2 02/03/23 02/03/28 100.000 0.000 4.7914 44.13 0.136283 0.139548 0.142891 0.146314 0.149820 50.63 53.08 Morgan Stanley Finance 61774HUS5 11/09/22 11/09/27 100.000 0.000 5.8138 67.88 0.171020 0.175991 0.181107 0.186372 0.191789 62.99 66.70 Morgan Stanley Finance 61774TGT3 01/31/23 01/29/26 100.000 0.000 4.6214 42.94 0.131322 0.134356 0.137461 0.140637 0.143887 48.76 51.03 Morgan Stanley Finance 61774TGU0 01/31/23 01/31/28 100.000 0.000 4.7642 44.28 0.135491 0.138719 0.142023 0.145406 0.148870 50.34 52.77 Morgan Stanley Finance 61775HP84 09/29/23 09/29/28 100.000 0.000 5.7418 14.67 0.159494 0.164073 0.168784 0.173629 0.178614 59.10 62.54 Morgan Stanley Finance 61774THA3 12/27/22 12/26/25 100.000 0.000 4.8571 49.73 0.141534 0.144971 0.148491 0.152098 51.61 53.36 Morgan Stanley Finance 61774TGZ9 02/03/23 02/03/28 100.000 0.000 4.7914 44.13 0.136283 0.139548 0.142891 0.146314 0.149820 50.63 53.08 Morgan Stanley Finance 61774X2E2 05/22/23 05/22/25 100.000 0.000 4.7330 28.91 0.134584 0.137768 0.141029 49.27 19.89 Morgan Stanley Finance 61775HSH1 08/31/23 08/31/28 100.000 0.000 5.5578 18.68 0.154383 0.158650 0.163083 0.167564 0.172273 57.40 60.64 Morgan Stanley Finance 61775MQV1 11/30/23 12/02/26 100.000 0.000 5.5782 4.80 0.154998 0.159321 0.163765 0.168332 0.173027 56.83 60.05 Morgan Stanley Finance 61775MQT6 11/30/23 11/30/28 100.000 0.000 5.5480 4.78 0.154111 0.158386 0.162780 0.167295 0.171936 56.52 59.70 Morgan Stanley Finance 61775MQU3 11/30/23 12/03/25 100.000 0.000 5.5144 4.75 0.153248 0.157474 0.161815 0.166277 56.17 54.53 Morgan Stanley Finance 61775MQS8 11/30/23 11/30/28 100.000 0.000 5.5480 4.78 0.154111 0.158386 0.162780 0.167295 0.171936 56.52 59.70 Morgan Stanley Finance 61175MWU6 12/01/23 12/01/28 100.000 0.000 5.4652 4.55 0.151811 0.155960 0.160221 0.164599 0.169097 55.65 58.73 Morgan Stanley Finance 61775MQR0 11/30/23 11/30/28 100.000 0.000 5.5480 4.78 0.154111 0.158386 0.162780 0.167295 0.171936 56.52 59.70 Morgan Stanley Finance 61775MQQ2 11/30/23 12/03/30 100.000 0.000 5.6508 4.87 0.157041 0.161478 0.166040 0.170731 0.175555 57.59 60.89 Morgan Stanley Finance 61774XWW9 06/05/23 06/05/28 100.000 0.000 4.9888 28.64 0.142034 0.145577 0.149209 0.152931 0.156745 51.96 54.58 Morgan Stanley Finance 61774XWV1 06/05/23 06/05/25 100.000 0.000 4.9410 28.36 0.140641 0.144115 0.147676 51.44 22.74 Morgan Stanley Finance 61774DMK0 07/06/22 07/06/27 100.000 0.000 4.5507 69.16 0.132226 0.135235 0.138312 0.141459 0.144678 49.21 51.47 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774HYW2 11/28/22 11/28/29 100.000 0.000 5.3723 59.64 0.157355 0.161582 0.165922 0.170379 0.174956 57.69 60.83 Morgan Stanley Finance 61774XGB3 04/12/23 04/11/28 100.000 0.000 4.5163 32.72 0.128270 0.131166 0.134128 0.137157 0.140254 47.17 49.32 Morgan Stanley Finance 61774DME4 06/30/22 07/02/29 100.000 0.000 4.7878 73.70 0.139475 0.142814 0.146233 0.149734 0.153318 52.02 54.54 Morgan Stanley Finance 61775MQW9 11/30/23 12/02/26 100.000 0.000 5.5782 4.80 0.154998 0.159321 0.163765 0.168332 0.173027 56.83 60.05 Morgan Stanley Finance 61774HZ27 12/30/22 12/30/27 100.000 0.000 5.2002 52.83 0.152059 0.156013 0.160070 0.164232 0.168502 55.46 58.38 Morgan Stanley Finance 61774XWK5 06/05/23 06/05/25 100.000 0.000 4.9410 28.36 0.140641 0.144115 0.147676 51.44 22.74 Morgan Stanley Finance 61774HH84 11/29/22 11/29/27 100.000 0.000 5.2152 57.71 0.152520 0.156497 0.160578 0.164765 0.169062 55.88 58.83 Morgan Stanley Finance 61774TJY9 01/31/23 01/31/28 100.000 0.000 4.7642 44.28 0.135491 0.138719 0.142023 0.145406 0.148870 50.34 52.77 Morgan Stanley Finance 61774H6U7 01/04/23 01/03/28 100.000 0.000 5.2040 52.27 0.148296 0.152155 0.156114 0.160176 0.164344 55.47 58.40 Morgan Stanley Finance 61774TKE1 01/31/23 01/31/30 100.000 0.000 4.8416 45.01 0.137745 0.141079 0.144494 0.147992 0.151575 51.21 53.72 Morgan Stanley Finance 61774TKA9 01/04/23 07/03/25 100.000 0.000 5.0198 50.40 0.142919 0.146506 0.150184 0.153953 53.39 28.01 Morgan Stanley Finance 61774H6K9 12/28/22 12/26/25 100.000 0.000 4.8560 49.58 0.141481 0.144917 0.148435 0.152039 51.59 53.34 Morgan Stanley Finance 61774XVY6 05/31/23 05/29/26 100.000 0.000 4.9361 29.04 0.140479 0.143946 0.147499 0.151139 0.154869 51.42 53.99 Morgan Stanley Finance 61774XVX8 05/31/23 05/29/26 100.000 0.000 4.9361 29.04 0.140479 0.143946 0.147499 0.151139 0.154869 51.42 53.99 Morgan Stanley Finance 61774XW82 06/06/23 06/06/28 100.000 0.000 4.8739 27.84 0.138685 0.142065 0.145527 0.149074 0.152706 50.71 53.21 Morgan Stanley Finance 61774XVV2 05/31/23 05/31/28 100.000 0.000 5.0254 29.56 0.143102 0.146698 0.150384 0.154163 0.158036 52.39 55.06 Morgan Stanley Finance 61774XVU4 05/31/23 05/31/28 100.000 0.000 5.0254 29.56 0.143102 0.146698 0.150384 0.154163 0.158036 52.39 55.06 Morgan Stanley Finance 61175MXS0 11/28/23 11/27/26 100.000 0.000 5.4373 4.98 0.151036 0.155119 0.159337 0.163668 0.168118 55.39 58.44 Morgan Stanley Finance 61774HXH6 12/05/22 12/03/27 100.000 0.000 5.0920 55.44 0.148697 0.152483 0.156366 0.160347 0.164429 54.43 57.23 Morgan Stanley Finance 61774TJW3 02/03/23 02/03/28 100.000 0.000 4.7914 44.13 0.136283 0.139548 0.142891 0.146314 0.149820 50.63 53.08 Morgan Stanley Finance 61774H6S2 12/30/22 01/02/30 100.000 0.000 5.3707 54.59 0.153238 0.157353 0.161578 0.165917 0.170373 57.40 60.52 Morgan Stanley Finance 61774FAL6 11/03/22 11/05/25 100.000 0.000 5.6239 66.61 0.165180 0.169825 0.174600 0.179510 60.83 53.96 Morgan Stanley Finance 61774DLE5 06/23/22 12/22/26 100.000 0.000 4.6126 71.90 0.137182 0.140345 0.143582 0.146894 0.150282 50.01 52.35 Morgan Stanley Finance 61774H6L7 01/04/23 07/05/24 100.000 0.000 4.9377 49.56 0.140563 0.144034 26.49 Morgan Stanley Finance 61774HXP8 12/28/22 11/26/27 100.000 0.000 5.2889 54.16 0.154078 0.158152 0.162335 0.166627 0.171034 56.49 59.52 Morgan Stanley Finance 61774FAH5 10/31/22 10/29/25 100.000 0.000 5.5763 66.53 0.163631 0.168193 0.172882 0.177702 60.30 52.39 Morgan Stanley Finance 61774H5V6 12/30/23 01/02/30 100.000 0.000 5.3707 0.15 0.149186 0.149231 0.153238 0.157353 0.161578 54.44 57.40 Morgan Stanley Finance 61774H5W4 01/04/23 01/03/28 100.000 0.000 5.2040 52.27 0.148296 0.152155 0.156114 0.160176 0.164344 55.47 58.40 Morgan Stanley Finance 61774HX94 01/04/23 01/03/28 100.000 0.000 5.2040 52.27 0.148296 0.152155 0.156114 0.160176 0.164344 55.47 58.40 Morgan Stanley Finance 61774HG51 11/16/22 11/16/27 100.000 0.000 5.4032 61.89 0.158308 0.162585 0.166977 0.171488 0.176121 58.15 61.34 Morgan Stanley Finance 61774H5R5 12/30/22 12/30/27 100.000 0.000 5.2002 52.83 0.152059 0.156013 0.160070 0.164232 0.168502 55.46 58.38 Morgan Stanley Finance 61774H5S3 12/30/22 01/02/25 100.000 0.000 5.0346 51.13 0.143411 0.147021 0.150722 53.59 0.15 Morgan Stanley Finance 61774TJF0 02/03/23 02/05/25 100.000 0.000 4.8150 44.35 0.137007 0.140305 0.143683 50.89 4.89 Morgan Stanley Finance 61774HXB9 12/05/22 12/03/27 100.000 0.000 5.0920 55.44 0.148697 0.152483 0.156366 0.160347 0.164429 54.43 57.23 Morgan Stanley Finance 61774TJE3 02/03/23 08/05/24 100.000 0.000 4.8086 44.29 0.136820 0.140110 29.87 Morgan Stanley Finance 61774HXD5 11/28/22 11/26/27 100.000 0.000 5.2889 58.70 0.154742 0.158835 0.163035 0.167346 0.171772 56.73 59.77 Morgan Stanley Finance 61775HR74 09/29/23 10/01/26 100.000 0.000 5.7042 14.58 0.158500 0.163021 0.167670 0.172452 0.177371 58.70 62.10 Morgan Stanley Finance 61774XVK6 05/31/23 05/31/30 100.000 0.000 5.1658 30.39 0.147201 0.151003 0.154903 0.158904 0.163008 53.92 56.74 Morgan Stanley Finance 61774XZ63 06/22/23 07/06/28 100.000 0.000 5.0758 26.70 0.141273 0.144858 0.148534 0.152304 0.156169 52.77 55.49 Morgan Stanley Finance 61774B788 08/17/22 09/06/29 100.000 0.000 4.2693 59.76 0.123987 0.126634 0.129337 0.132098 0.134918 45.73 47.70 Morgan Stanley Finance 61774FFW7 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 Morgan Stanley Finance 61774DR33 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774DQ91 08/31/22 08/30/29 100.000 0.000 3.8529 52.35 0.111188 0.113318 0.115514 0.117714 0.120007 40.94 42.53 Morgan Stanley Finance 61774DQ83 08/31/22 08/30/29 100.000 0.000 3.8529 52.35 0.111188 0.113318 0.115514 0.117714 0.120007 40.94 42.53 Morgan Stanley Finance 61774HL71 11/28/22 11/28/25 100.000 0.000 5.1721 57.38 0.151196 0.155106 0.159117 0.163232 55.40 52.77 Morgan Stanley Finance 61775HDZ7 07/14/23 07/14/28 100.000 0.000 5.3592 24.86 0.148867 0.152856 0.156952 0.161157 0.165476 55.66 58.68 Morgan Stanley Finance 61774DP76 09/06/22 09/05/25 100.000 0.000 4.2264 56.79 0.122400 0.124987 0.127628 0.130325 45.14 31.63 Morgan Stanley Finance 61774DP27 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 Morgan Stanley Finance 61774DP35 08/31/22 08/31/27 100.000 0.000 3.6468 49.51 0.105028 0.106932 0.108893 0.110856 0.112900 38.62 40.04 Morgan Stanley Finance 61774DT23 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 Morgan Stanley Finance 61774DS57 08/31/22 08/30/29 100.000 0.000 3.8529 52.35 0.111188 0.113318 0.115514 0.117714 0.120007 40.94 42.53 Morgan Stanley Finance 61774FGV8 09/16/22 09/18/24 100.000 0.000 4.3614 57.37 0.126522 0.129281 33.01 Morgan Stanley Finance 61774DA98 08/03/22 08/01/25 100.000 0.000 3.6630 52.58 0.105490 0.107422 0.109390 0.111393 38.91 23.33 Morgan Stanley Finance 61774DR90 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 Morgan Stanley Finance 61774DR82 09/06/22 09/03/27 100.000 0.000 4.5585 61.34 0.132414 0.135432 0.138519 0.141676 0.144905 48.93 51.19 Morgan Stanley Finance 61774DG35 08/03/22 08/03/27 100.000 0.000 4.0342 58.01 0.116627 0.118980 0.121380 0.123828 0.126326 43.11 44.87 Morgan Stanley Finance 61774HSE9 10/27/22 10/29/25 100.000 0.000 5.7140 68.71 0.167974 0.172774 0.177710 0.182787 61.94 53.87 Morgan Stanley Finance 61774TV90 03/01/23 02/27/26 100.000 0.000 5.0761 42.73 0.144502 0.148170 0.151930 0.155786 0.159740 53.60 56.36 Morgan Stanley Finance 61774HB56 09/23/22 09/25/29 100.000 0.000 5.1656 67.12 0.151040 0.154941 0.158943 0.163048 0.167259 55.84 58.76 Morgan Stanley Finance 61774HRA8 10/26/22 01/26/26 100.000 0.000 5.7002 68.76 0.165172 0.169880 0.174722 0.179701 0.184823 61.79 65.36 Morgan Stanley Finance 61774HAG3 09/13/22 09/13/27 100.000 0.000 4.6526 61.68 0.135322 0.138470 0.141691 0.144987 0.148360 49.97 52.32 Morgan Stanley Finance 61774HQK7 10/13/22 10/13/27 100.000 0.000 5.4140 67.25 0.158641 0.162936 0.167346 0.171876 0.176529 58.56 61.78 Morgan Stanley Finance 61774HA32 11/28/22 11/28/29 100.000 0.000 5.3723 59.64 0.157355 0.161582 0.165922 0.170379 0.174956 57.69 60.83 Morgan Stanley Finance 61774D4E4 09/02/22 09/03/26 100.000 0.000 4.3303 58.71 0.125566 0.128285 0.131062 0.133900 0.136799 46.34 48.37 Morgan Stanley Finance 61774HUB2 11/02/22 11/02/27 100.000 0.000 5.7872 68.75 0.170193 0.175118 0.180185 0.185399 0.190764 62.75 66.43 Morgan Stanley Finance 61774HDH8 09/23/22 09/25/24 100.000 0.000 4.6094 59.76 0.134043 0.137132 35.94 Morgan Stanley Finance 61774D7D3 09/02/22 07/06/28 100.000 0.000 4.5332 61.52 0.130787 0.133752 0.136783 0.139883 0.143054 48.67 50.90 Morgan Stanley Finance 61774HSY5 10/28/22 10/28/27 100.000 0.000 5.8614 70.34 0.172500 0.177555 0.182759 0.188115 0.193628 63.66 67.44 Morgan Stanley Finance 61774H256 12/01/22 12/04/24 100.000 0.000 5.1428 56.60 0.150361 0.154228 50.77 Morgan Stanley Finance 61774HWJ3 10/14/22 10/16/24 100.000 0.000 5.1050 63.19 0.149179 0.152987 43.20 Morgan Stanley Finance 61773QWU9 08/24/22 02/23/24 100.000 0.000 3.6443 50.10 0.104943 5.46 Morgan Stanley Finance 61774X3X9 06/30/23 07/02/26 100.000 0.000 5.1523 25.91 0.143160 0.146848 0.150631 0.154512 0.158492 53.54 56.33 Morgan Stanley Finance 61771WBW7 06/30/23 06/30/28 100.000 0.000 5.1175 25.73 0.145790 0.149521 0.153346 0.157270 0.161294 53.16 55.92 Morgan Stanley Finance 61774HVS4 10/26/22 10/26/27 100.000 0.000 5.9864 72.23 0.176393 0.181672 0.187110 0.192711 0.198479 65.15 69.11 Morgan Stanley Finance 61774X3M3 07/06/23 07/06/28 100.000 0.000 5.2087 25.32 0.144686 0.148454 0.152321 0.156287 0.160358 54.10 56.96 Morgan Stanley Finance 61774HGY8 09/28/22 09/26/25 100.000 0.000 5.0419 64.75 0.147163 0.150873 0.154676 0.158576 54.36 41.69 Morgan Stanley Finance 61774X5P4 06/22/23 06/22/28 100.000 0.000 5.0736 26.67 0.144509 0.148174 0.151933 0.155788 0.159740 52.75 55.46 Morgan Stanley Finance 61774DM61 08/31/22 08/29/25 100.000 0.000 3.0960 41.93 0.088676 0.090048 0.091442 0.092850 32.51 22.02 Morgan Stanley Finance 61774H6P8 12/02/22 12/02/27 100.000 0.000 5.0920 55.88 0.148738 0.152525 0.156409 0.160391 0.164474 54.45 57.26 Morgan Stanley Finance 61774X4F7 07/06/23 07/03/25 100.000 0.000 5.3617 26.06 0.148936 0.152862 0.156960 0.161168 55.75 29.32 Morgan Stanley Finance 61774X4G5 07/06/23 07/06/28 100.000 0.000 5.2087 25.32 0.144686 0.148454 0.152321 0.156287 0.160358 54.10 56.96 Morgan Stanley Finance 61774X4D2 06/30/23 06/30/28 100.000 0.000 5.1175 25.73 0.145790 0.149521 0.153346 0.157270 0.161294 53.16 55.92 Morgan Stanley Finance 61774X4E0 06/30/23 07/02/30 100.000 0.000 5.1776 26.04 0.143864 0.147588 0.151409 0.155328 0.159349 53.81 56.63 Morgan Stanley Finance 61774HWU8 10/26/22 10/24/24 100.000 0.000 5.4629 65.79 0.160103 0.164476 47.70 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773QWX3 08/31/22 02/28/25 100.000 0.000 4.1979 57.13 0.121527 0.124078 0.126682 44.84 7.22 Morgan Stanley Finance 61774HXA1 12/05/22 12/03/27 100.000 0.000 5.0920 55.44 0.148697 0.152483 0.156366 0.160347 0.164429 54.43 57.23 Morgan Stanley Finance 61774X4J9 06/30/23 07/02/26 100.000 0.000 5.1523 25.91 0.143160 0.146848 0.150631 0.154512 0.158492 53.54 56.33 Morgan Stanley.Finance 61774DM79 08/31/22 08/31/27 100.000 0.000 3.6468 49.51 0.105028 0.106932 0.108893 0.110856 0.112900 38.62 40.04 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 813.13 0.206987 31.05 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 647.47 0.164820 0.171198 0.177824 0.184706 0.191854 60.87 65.68 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7400 600.12 0.152766 0.158678 0.164818 0.171197 0.177822 56.42 60.87 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7400 556.24 0.141594 0.147074 0.152766 0.158678 0.164819 52.30 56.42 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7401 753.67 0.191854 0.199279 0.206991 70.86 31.05 Multnomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 698.56 0.177823 0.184705 0.191853 0.199278 0.206990 65.68 70.86 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 515.56 0.131241 0.136321 0.141596 0.147076 0.152768 48.47 52.30 NATIONAL BANK 63305LVX8 01/11/24 01/11/26 100.000 VARIES 6.4100 0.011364 0.011609 0.011491 0.011369 4.02 4.12 NATIONAL BANK OF CANADA 63305LLR2 05/20/22 05/31/24 100.000 0.000 3.4031 56.00 0.099532 14.83 NATIONAL BANK OF CANADA 63305LK28 07/26/24 07/26/27 100.000 VARIES 6.0600 0.011170 0.011508 0.011445 1.73 4.12 NATIONAL BANK OF CANADA 63305LE33 06/11/24 06/11/26 100.000 VARIES 5.8730 0.008417 1.559500 0.008584 0.008502 1.69 3.10 NCR Atleos Escrow Corpor 638962AA8 09/27/23 04/01/29 98.750 9.500 9.8000 0.47 0.005029 0.005137 0.005368 0.005662 0.005929 1.87 2.04 NEW CANEY TEX INDPT SCH 643154GS0 09/24/20 02/15/26 93.251 0.000 1.3001 40.37 0.034963 0.035191 0.035419 0.035650 0.035881 12.69 12.86 NEW CANEY TEX INDPT SCH 643154GR2 09/24/20 02/15/25 95.484 0.000 1.0550 33.42 0.028846 0.028998 0.029151 10.45 1.28 NEW CANEY TEX INDPT SCH 643154GT8 09/24/20 02/15/27 91.352 0.000 1.4201 43.26 0.037540 0.037807 0.038075 0.038346 0.038618 13.64 13.83 NEW CANEY TEX INDPT SCH 643154GQ4 09/24/20 02/15/24 96.820 0.000 0.9550 30.64 0.026403 1.16 NEW SUMMERFIELD TEX INDP 648839DF2 12/10/21 08/15/24 97.361 0.000 1.0001 20.20 0.027505 0.027642 6.19 NEW SUMMERFIELD TEX INDP 648839DG0 12/10/21 08/15/25 95.168 0.000 1.3500 26.73 0.036505 0.036751 0.036999 0.037249 13.25 8.33 NEW SUMMERFIELD TEX INDP 648839DH8 12/10/21 08/15/26 93.331 0.000 1.4799 28.77 0.039329 0.039620 0.039913 0.040209 0.040506 14.29 14.50 NEW SUMMERFIELD TEX INDP 648839DJ4 12/10/21 08/15/27 90.678 0.000 1.7299 32.74 0.044854 0.045242 0.045633 0.046028 0.046426 16.32 16.61 NINE ENERGY SERVICE, INC 65441VAE1 01/30/23 02/01/28 88.490 13.000 16.4672 14.99 0.047252 0.051142 0.055353 0.059910 0.064843 18.93 22.17 NORTHMONT OHIO CITY SCH 666586LX8 07/22/20 11/01/27 86.846 0.000 1.9479 59.94 0.050071 0.050558 0.051051 0.051548 0.052050 18.17 18.53 NORTHMONT OHIO CITY SCH 666586LY6 07/22/20 11/01/28 83.705 0.000 2.1609 64.29 0.053909 0.054492 0.055081 0.055676 0.056277 19.58 20.01 NORTHMONT OHIO CITY SCH 666586LZ3 07/22/20 11/01/29 81.177 0.000 2.2609 65.33 0.054878 0.055498 0.056126 0.056760 0.057402 19.94 20.40 NORTHMONT OHIO CITY SCH 666586MA7 07/22/20 11/01/30 78.570 0.000 2.3609 66.13 0.055645 0.056302 0.056966 0.057639 0.058319 20.23 20.71 NORTHMONT OHIO CITY SCH 666586MB5 07/22/20 11/01/31 75.897 0.000 2.4609 66.69 0.056210 0.056902 0.057602 0.058311 0.059028 20.44 20.95 NORTHRIDGE OHIO LOC SCH 666705GM4 02/10/21 12/01/35 64.917 0.000 2.9389 57.17 0.057522 0.058367 0.059225 0.060095 0.060978 20.91 21.53 NORTHRIDGE OHIO LOC SCH 666705GN2 02/10/21 12/01/36 62.076 0.000 3.0389 56.60 0.057034 0.057900 0.058780 0.059673 0.060580 20.74 21.38 NORTHRIDGE OHIO LOC SCH 666705GP7 02/10/21 12/01/37 59.656 0.000 3.0969 55.47 0.055946 0.056813 0.057692 0.058586 0.059493 20.35 20.98 NORTHRIDGE OHIO LOC SCH 666705GQ5 02/10/21 12/01/38 57.346 0.000 3.1468 54.21 0.054723 0.055584 0.056459 0.057347 0.058249 19.91 20.54 NORTHWEST OHIO LOC SCH 667712CP6 11/15/19 12/01/39 47.272 0.000 3.7730 78.89 0.057631 0.058718 0.059826 0.060954 0.062104 21.01 21.81 NORTHWEST OHIO LOC SCH 667712CQ4 11/15/19 12/01/40 45.070 0.000 3.8230 76.28 0.055785 0.056851 0.057938 0.059045 0.060174 20.34 21.12 NORTHWEST OHIO LOC SCH 667712CN1 11/15/19 12/01/38 49.534 0.000 3.7230 81.49 0.059468 0.060575 0.061703 0.062852 0.064021 21.67 22.49 NORTHWEST TEX INDPT SCH 667826BS9 04/07/22 02/15/24 96.351 0.000 2.0128 34.05 0.055354 2.44 NORWOOD OHIO CITY SCH DI 669674DL4 11/16/21 11/01/25 94.686 0.000 1.3842 28.17 0.037404 0.037662 0.037923 0.038186 13.54 11.42 NORWOOD OHIO CITY SCH DI 669674DK6 11/16/21 11/01/24 96.929 0.000 1.0571 21.97 0.029056 0.029210 8.74 NORWOOD OHIO CITY SCH DI 669674DP5 11/16/21 11/01/28 86.798 0.000 2.0451 38.37 0.051313 0.051838 0.052368 0.052904 0.053445 18.63 19.01 NORWOOD OHIO CITY SCH DI 669674DN0 11/16/21 11/01/27 89.476 0.000 1.8750 36.21 0.048336 0.048789 0.049247 0.049708 0.050174 17.54 17.87 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NORWOOD OHIO CITY SCH DI 669674DM2 11/16/21 11/01/26 92.475 0.000 1.5840 31.54 0.041965 0.042298 0.042633 0.042970 0.043311 15.21 15.45 NORWOOD OHIO CITY SCH DI 669674DT7 11/16/21 11/01/32 74.157 0.000 2.7470 44.29 0.059692 0.060512 0.061343 0.062186 0.063040 21.74 22.34 NORWOOD OHIO CITY SCH DI 669674DS9 11/16/21 11/01/31 77.340 0.000 2.5970 43.61 0.058684 0.059446 0.060218 0.061000 0.061792 21.36 21.91 NORWOOD OHIO CITY SCH DI 669674DR1 11/16/21 11/01/30 80.778 0.000 2.3971 41.97 0.056356 0.057031 0.057715 0.058406 0.059106 20.49 20.99 NORWOOD OHIO CITY SCH DI 669674DQ3 11/16/21 11/01/29 83.708 0.000 2.2471 40.72 0.054586 0.055200 0.055820 0.056447 0.057081 19.84 20.28 NUTRIEN LTD 67077MAD0 04/10/18 04/01/25 94.730 3.000 3.8693 42.20 0.022799 0.023240 0.023689 8.37 2.13 NUTRIEN LTD 67077MAE8 04/10/18 12/15/26 97.410 4.000 4.3616 15.98 0.008824 0.009017 0.009213 0.009414 0.009619 3.22 3.36 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25 86.380 5.800 7.2575 113.24 0.035107 0.036381 0.037701 0.039069 13.14 9.82 National Bank of Canada 63305LRE5 03/06/23 03/04/27 100.000 0.000 4.9260 40.76 0.140166 0.143618 0.147156 0.150780 0.154494 51.90 54.49 National Bank of Canada 63305LRD7 03/06/23 03/06/28 100.000 0.000 4.3735 36.14 0.124143 0.126857 0.129631 0.132466 0.135363 45.81 47.84 National Bank of Canada 63305LQP1 02/02/23 02/28/24 100.000 0.000 5.3425 49.49 0.152955 8.72 Natixis US MTN LLC 63873HME1 10/31/13 10/31/33 100.000 VARIES 4.5708 405.27 0.110034 0.110823 0.111630 0.112419 0.113225 39.85 40.43 Natixis US MTN LLC 63873HKC7 04/30/14 04/30/34 100.000 VARIES 4.2409 366.28 0.104409 0.104754 0.105107 0.105467 0.105944 37.69 37.95 Natixis US MTN LLC 63873HKA1 07/31/13 07/31/28 100.000 VARIES 4.2606 402.40 0.110854 0.111599 0.112360 0.113138 0.113932 40.27 40.83 Natixis US MTN LLC 63873HJU9 04/30/14 04/30/34 100.000 VARIES 4.2419 364.62 0.103988 0.104449 0.104920 0.105400 0.105938 37.58 37.92 Natixis US MTN LLC 63873HJT2 12/27/13 12/27/33 100.000 VARIES 4.8026 430.03 0.122180 0.122937 0.123711 0.124340 0.124984 44.13 44.65 Natixis US MTN LLC 63873HMW1 11/27/13 11/27/33 100.000 VARIES 4.5649 416.01 0.116168 0.116878 0.117604 0.118212 0.118834 42.00 42.49 Natixis US Medium 63873HLU6 07/31/14 07/31/34 100.000 VARIES 3.9932 355.07 0.105743 0.105900 0.106060 0.106224 0.106391 38.14 38.26 Natixis US Medium Term 63873HLN2 08/29/13 08/29/33 100.000 VARIES 4.5781 436.36 0.118531 0.120552 0.120625 0.121814 0.121683 44.01 44.38 New Jersey Economic 645913BE3 06/30/97 02/15/26 11.676 0.000 7.6447 736.16 0.176036 0.182765 0.189751 0.197004 0.204534 66.45 71.63 New Jersey Economic 645913BD5 06/30/97 02/15/25 12.602 0.000 7.6398 793.40 0.189643 0.196887 0.204408 71.58 8.99 New Jersey Economic 645913BC7 06/30/97 02/15/24 13.601 0.000 7.6347 855.00 0.204276 8.99 Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5900 433.01 0.105496 0.108972 0.112562 0.116271 0.120102 39.24 41.87 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 405.83 0.098872 0.102130 0.105495 0.108971 0.112562 36.78 39.24 Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 525.77 0.127895 0.132097 0.136436 0.140918 0.145547 47.57 50.74 Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5800 492.91 0.119996 0.123943 0.128021 0.132233 0.136584 44.63 47.62 Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5901 462.01 0.112563 0.116272 0.120104 0.124061 0.128149 41.87 44.67 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4900 722.35 0.174611 15.72 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5499 597.86 0.145200 0.149955 0.154866 0.159938 0.165176 54.00 57.59 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 560.71 0.136287 0.140758 0.145375 0.150143 0.155068 50.69 54.07 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5100 678.48 0.164265 0.169612 0.175132 61.08 15.76 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 637.02 0.154469 0.159512 0.164720 0.170099 0.175652 57.44 61.25 Nikola Corporation 654110105 12/12/23 12/15/26 100.000 8.250 14.3300 7.86 0.398556 0.410389 0.423389 0.437278 0.452222 146.06 155.41 Nomura America Finance 65539AAG5 11/24/10 11/24/25 100.000 VARIES 5.5492 616.41 0.141144 0.143841 0.146614 0.150327 51.50 48.02 Nomura America Finance 655365AA2 12/31/13 12/31/33 100.000 VARIES 4.5379 378.31 0.105211 0.106521 0.107860 0.109230 0.110631 38.11 39.08 Nomura America Finance 65539ABB5 02/28/14 02/28/34 100.000 VARIES 4.5092 369.61 0.101383 0.101542 0.104535 0.104148 0.107244 37.52 38.42 Nomura America Finance 65539ABC3 05/30/14 05/30/34 100.000 VARIES 3.7543 320.97 0.091720 0.092001 0.092392 0.092790 0.093196 33.09 33.36 Nomura America Finance 65539ABE9 07/29/14 07/29/34 100.000 VARIES 4.2954 308.55 0.085437 0.086592 0.087771 0.089145 0.090548 31.32 32.27 Nomura America Finance 65539ABL3 12/24/14 12/24/34 100.000 VARIES 2.8015 236.74 0.075078 0.075434 0.075795 0.076050 0.076308 27.10 27.34 OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36 49.134 0.000 4.2087 96.07 0.068029 0.069461 0.070922 0.072415 0.073938 24.98 26.04 PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25 95.500 0.000 0.9820 29.61 0.026749 0.026880 0.027012 0.027144 9.69 5.70 PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24 96.974 0.000 0.8321 25.43 0.022924 0.023019 4.83 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27 91.653 0.000 1.3051 37.93 0.034414 0.034638 0.034864 0.035092 0.035321 12.50 12.66 PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26 93.646 0.000 1.1550 34.23 0.030993 0.031172 0.031352 0.031533 0.031715 11.24 11.37 PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29 87.041 0.000 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I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7501 2482.31 0.604725 0.624180 0.644363 225.40 47.68 Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53 81.968 4.750 5.9941 9.11 0.006052 0.006052 0.006420 0.006420 0.006811 2.21 2.35 Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40 82.961 4.550 5.9712 22.53 0.014953 0.014953 0.015859 0.015859 0.016820 5.46 5.79 Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58 83.618 5.000 6.1032 5.78 0.003851 0.003851 0.004090 0.004090 0.004343 1.41 1.49 Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40 82.961 4.550 5.9712 22.53 0.014953 0.014953 0.015859 0.015859 0.016820 5.46 5.79 Quicksilver Resources In 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7503 2156.89 0.507196 0.521931 154.81 Quicksilver Resources In 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7503 2156.89 0.507196 0.521931 154.81 RENO NEV 1999 SPL ASSMT 759830AT9 09/22/16 06/01/25 97.746 3.000 3.3004 18.42 0.007944 0.008075 0.008209 2.89 1.23 RICE TEX CONS INDPT SCH 762825MH7 10/14/21 02/15/26 94.740 0.000 1.2499 26.51 0.033655 0.033866 0.034077 0.034290 0.034505 12.21 12.36 RICE TEX CONS INDPT SCH 762825MJ3 10/14/21 02/15/27 92.580 0.000 1.4499 30.10 0.038290 0.038568 0.038847 0.039129 0.039413 13.91 14.11 RICE TEX CONS INDPT SCH 762825MK0 10/14/21 02/15/28 90.395 0.000 1.6000 32.47 0.041369 0.041700 0.042033 0.042370 0.042708 15.04 15.28 RICE TEX CONS INDPT SCH 762825MG9 10/14/21 02/15/25 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ROCKWALL TEX INDPT SCH 774286AU2 09/17/20 02/15/27 91.998 0.000 1.3051 40.22 0.034639 0.034866 0.035093 0.035322 0.035553 12.57 12.74 ROYAL BANK OF CANADA 78017FQS5 04/24/24 05/22/25 100.000 0.000 5.5700 0.154722 0.155393 0.159720 38.53 22.52 ROYAL BANK OF CANADA 78017FQT3 04/24/24 05/22/25 100.000 0.000 5.5700 0.154722 0.155393 0.159720 38.53 22.52 ROYAL BANK OF CANADA 78017FR21 05/03/24 02/03/28 100.000 0.000 5.4900 0.152500 0.154593 0.158837 0.163197 36.60 57.69 ROYAL BANK OF CANADA 78017GCQ2 07/23/24 10/23/25 100.000 0.000 5.1200 0.142222 0.144043 0.147730 22.59 42.72 ROYAL BANK OF CANADA 78017FAD5 01/31/24 10/29/27 100.000 0.000 4.9100 0.136389 0.138044 0.141433 0.144906 0.148463 45.76 51.98 ROYAL BANK OF CANADA 78017FAE3 02/05/24 11/03/27 100.000 0.000 4.6800 0.130000 0.131487 0.134564 0.137713 0.140935 42.91 49.38 ROYAL BANK OF CANADA 78017FAC7 02/05/24 02/05/29 100.000 0.000 4.7500 0.131944 0.135078 0.138286 0.141571 43.47 50.15 ROYAL BANK OF CANADA 78017FAB9 02/05/24 08/05/25 100.000 0.000 4.9300 0.136944 0.140320 0.143779 45.14 30.65 ROYAL BANK OF CANADA 78017FAA1 01/31/24 01/31/29 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 46.50 52.98 ROYAL BANK OF CANADA 78017GDB4 07/11/24 08/13/25 100.000 0.000 5.3000 0.147222 0.147916 0.151836 25.12 33.54 ROYAL BANK OF CANADA 78017FRA3 05/03/24 11/04/25 100.000 0.000 5.6000 0.155556 0.159935 0.164413 37.27 49.27 ROYAL BANK OF CANADA 78017FA94 01/31/24 01/29/26 100.000 0.000 5.0000 0.138889 0.142342 0.145900 0.149548 46.50 52.98 ROYAL BANK OF CANADA 78017FQZ9 04/30/24 01/28/28 100.000 0.000 5.4800 0.152222 0.154261 0.158488 0.162831 37.00 57.61 ROYAL BANK OF CANADA 78017FR96 04/30/24 10/30/25 100.000 0.000 5.5600 0.154444 0.158738 0.163151 37.48 48.26 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ROYAL BANK OF CANADA 78017GC66 07/31/24 01/29/26 100.000 0.000 5.0000 0.138889 0.142342 0.145900 20.97 51.69 ROYAL BANK OF CANADA 78017GC58 08/05/24 02/04/26 100.000 0.000 4.8941 0.135947 0.139255 0.142663 19.85 50.52 ROYAL BANK OF CANADA 78017GC25 07/31/24 07/31/29 100.000 0.000 4.7500 0.131944 0.135078 0.138286 19.92 49.02 ROYAL BANK OF CANADA 78017GBF7 08/05/24 05/03/28 100.000 0.000 4.5895 0.127486 0.128916 0.131875 0.134901 18.70 47.29 ROYAL BANK OF CANADA 78017GBG5 07/12/24 07/12/29 100.000 0.000 4.9300 0.136944 0.140320 0.143779 23.14 51.06 ROYAL BANK OF CANADA 78015QLM1 07/17/24 07/15/27 100.000 0.000 4.8400 0.134444 0.137662 0.140993 22.05 50.07 ROYAL BANK OF CANADA 78017FPY3 04/04/24 10/02/25 100.000 0.000 5.3100 0.147500 0.151373 0.155392 39.73 41.75 ROYAL BANK OF CANADA 78017FPX5 04/01/24 03/31/26 100.000 0.000 5.1100 0.141944 0.145551 0.149270 0.153084 38.65 53.75 ROYAL BANK OF CANADA 78017GBW0 08/05/24 02/04/27 100.000 0.000 4.6865 0.130181 0.133214 0.136336 19.01 48.32 ROYAL BANK OF CANADA 78017GC74 07/31/24 07/31/29 100.000 0.000 4.7500 0.131944 0.135078 0.138286 19.92 49.02 ROYAL BANK OF CANADA 78017G4Z1 06/28/24 06/28/29 100.000 0.000 5.0468 0.140189 0.143726 0.147353 0.151072 25.67 52.42 ROYAL BANK OF CANADA 78017FT29 04/10/24 04/09/26 100.000 0.000 5.2400 0.145556 0.149348 0.153261 0.157276 38.30 55.12 ROYAL BANK OF CANADA 78017FBP7 02/02/24 03/05/25 100.000 0.000 5.1500 0.143056 0.143731 0.147432 47.69 9.44 ROYAL BANK OF CANADA 78017FBN2 02/02/24 02/04/26 100.000 0.000 4.9900 0.138611 0.138650 0.142109 0.145654 0.149289 46.12 52.85 ROYAL BANK OF CANADA 78017G4N8 06/07/24 06/10/25 100.000 0.000 5.4400 0.151111 0.151180 0.155292 30.93 24.69 ROYAL BANK OF CANADA 78017G5H0 07/03/24 07/02/26 100.000 0.000 5.2989 0.147192 0.151070 0.155072 26.20 55.10 ROYAL BANK OF CANADA 78017G5B3 07/03/24 03/31/28 100.000 0.000 5.1603 0.143342 0.145129 0.148874 0.152715 25.68 53.61 ROYAL BANK OF CANADA 78017G5A5 06/28/24 03/30/28 100.000 0.000 5.0750 0.140972 0.142801 0.146424 0.150140 25.96 52.73 ROYAL BANK OF CANADA 78014RXX3 04/15/24 04/15/39 100.000 VARIES 5.5300 0.153069 0.150757 0.148380 0.145937 39.05 53.48 ROYAL BANK OF CANADA 78017FS46 04/10/24 04/10/29 100.000 0.000 5.1700 0.143611 0.147323 0.151132 0.155039 37.78 54.35 ROYAL BANK OF CANADA 78017FB36 01/31/24 01/31/29 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 46.50 52.98 ROYAL BANK OF CANADA 78017FRT2 05/03/24 05/03/29 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 36.60 57.80 ROYAL BANK OF CANADA 78017G3N9 06/26/24 12/27/28 100.000 0.000 5.0552 0.140422 0.143991 0.147631 0.151362 25.99 52.52 ROYAL BANK OF CANADA 78017G3M1 06/26/24 12/27/29 100.000 0.000 5.0621 0.140614 0.144193 0.147842 0.151584 26.03 52.60 ROYAL BANK OF CANADA 78017FAG8 01/31/24 07/31/25 100.000 0.000 5.0800 0.141111 0.144695 0.148371 47.25 30.90 ROYAL BANK OF CANADA 78016U283 08/01/24 07/26/28 100.000 0.000 4.7500 0.131944 0.134991 0.138197 19.79 49.02 ROYAL BANK OF CANADA 78017FAH6 02/05/24 08/05/25 100.000 0.000 4.9300 0.136944 0.140320 0.143779 45.14 30.65 ROYAL BANK OF CANADA 78017GDK4 08/05/24 08/03/29 100.000 0.000 4.6000 0.127778 0.130684 0.133690 18.66 47.40 ROYAL BANK OF CANADA 78017FRH8 05/03/24 05/03/29 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 36.60 57.80 ROYAL BANK OF CANADA 78017G4G3 07/03/24 01/02/26 100.000 0.000 5.3546 0.148739 0.152699 0.156787 26.48 55.70 ROYAL BANK OF CANADA 78017G4F5 06/28/24 12/31/25 100.000 0.000 5.3561 0.148781 0.148825 0.152810 0.156903 27.24 55.60 ROYAL BANK OF CANADA 78017GEB3 08/05/24 08/05/26 100.000 0.000 4.7621 0.132281 0.135430 0.138655 19.31 49.12 ROYAL BANK OF CANADA 78017FME0 03/12/24 03/11/27 100.000 0.000 4.8600 0.135000 0.138262 0.141622 0.145063 39.37 51.13 ROYAL BANK OF CANADA 78017FLM3 04/02/24 05/01/25 100.000 0.000 5.3000 0.147222 0.147851 0.151769 39.99 18.21 ROYAL BANK OF CANADA 78017FLN1 04/02/24 04/01/26 100.000 0.000 5.0900 0.141389 0.144967 0.148657 0.152440 38.36 53.52 ROYAL BANK OF CANADA 78017FP23 03/25/24 09/25/25 100.000 0.000 5.2200 0.145000 0.148784 0.152668 40.38 39.98 ROYAL BANK OF CANADA 78014RTB6 02/28/24 02/28/39 100.000 VARIES 5.3400 0.147776 0.145400 0.142962 0.140458 44.52 51.30 ROYAL BANK OF CANADA 78017GBE0 07/31/24 05/01/28 100.000 0.000 4.7300 0.131389 0.132960 0.136104 0.139323 19.93 48.81 ROYAL BANK OF CANADA 78014RTP5 03/11/24 03/11/31 100.000 VARIES 6.2800 0.021056 0.021000 0.020972 0.020944 6.10 7.55 ROYAL BANK OF CANADA 78014RSF8 02/16/24 02/16/39 100.000 VARIES 5.2900 0.146326 0.143936 0.141483 0.138964 45.80 50.71 ROYAL BANK OF CANADA 78014RSB7 02/14/24 02/15/27 100.000 5.750 5.3400 0.010191 0.010138 0.009794 0.010057 3.22 3.57 ROYAL BANK OF CANADA 78017FZD8 06/05/24 06/03/26 100.000 0.000 5.2900 0.146944 0.150788 0.154776 0.158870 30.38 55.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ROYAL BANK OF CANADA 78017FZ97 05/20/24 05/20/27 100.000 0.000 5.0100 0.139167 0.142653 0.146226 0.149889 30.90 52.29 ROYAL BANK OF CANADA 78017FJ79 03/06/24 09/05/25 100.000 0.000 5.2000 0.144444 0.148179 0.152032 43.04 36.85 ROYAL BANK OF CANADA 78016N5M5 12/18/23 06/18/25 100.000 0.000 5.2300 1.89 0.145278 0.149077 0.152975 53.08 25.55 ROYAL BANK OF CANADA 78016N5H6 12/05/23 12/03/25 100.000 0.000 5.4500 3.94 0.151389 0.155468 0.159705 0.164057 55.47 53.81 ROYAL BANK OF CANADA 78017FYA5 06/10/24 06/12/25 100.000 0.000 5.4100 0.150278 0.150323 0.154389 30.29 24.86 ROYAL BANK OF CANADA 78016NEL7 06/20/23 07/18/24 100.000 0.000 5.8700 31.26 0.163800 0.168608 33.13 ROYAL BANK OF CANADA 78017F7C1 12/27/23 01/23/25 100.000 0.000 5.2800 0.59 0.146667 0.147226 0.151113 53.60 3.32 ROYAL BANK OF CANADA 78017FKH5 04/02/24 04/01/27 100.000 0.000 4.9400 0.137222 0.140593 0.144065 0.147624 37.22 51.87 ROYAL BANK OF CANADA 78017FJZ7 04/02/24 10/02/25 100.000 0.000 5.2000 0.144444 0.148200 0.152053 39.19 40.86 ROYAL BANK OF CANADA 78017FJY0 03/28/24 09/30/25 100.000 0.000 5.2400 0.145556 0.145598 0.149413 0.153327 40.10 40.90 ROYAL BANK OF CANADA 78017FKM4 03/27/24 04/25/25 100.000 0.000 5.2800 0.146667 0.147269 0.151157 40.59 17.23 ROYAL BANK OF CANADA 78017FKL6 03/27/24 04/25/25 100.000 0.000 5.2800 0.146667 0.147269 0.151157 40.59 17.23 ROYAL BANK OF CANADA 78017FK69 03/28/24 03/29/29 100.000 0.000 5.0700 0.140833 0.144423 0.148084 0.151838 38.78 53.33 ROYAL BANK OF CANADA 78017FK28 04/02/24 04/02/29 100.000 0.000 4.9700 0.138056 0.141486 0.145002 0.148605 37.44 52.20 ROYAL BANK OF CANADA 78017FJR5 03/28/24 03/29/29 100.000 0.000 5.0700 0.140833 0.144423 0.148084 0.151838 38.78 53.33 ROYAL BANK OF CANADA 78017FJP9 03/28/24 12/30/27 100.000 0.000 5.0300 0.139722 0.141518 0.145077 0.148726 0.152467 38.47 52.89 ROYAL BANK OF CANADA 78017FJQ7 04/02/24 12/30/27 100.000 0.000 4.9400 0.137222 0.138879 0.142310 0.145825 0.149426 37.22 51.87 ROYAL BANK OF CANADA 78017FJL8 03/05/24 03/03/27 100.000 0.000 5.0200 0.139444 0.142906 0.146493 0.150170 41.68 52.95 ROYAL BANK OF CANADA 78017F3W1 01/03/24 07/03/25 100.000 0.000 5.0500 0.140278 0.143820 0.147451 50.85 26.83 ROYAL BANK OF CANADA 78017GH95 08/29/24 08/30/29 100.000 0.000 4.3853 0.121814 0.124470 0.127230 14.86 44.99 ROYAL BANK OF CANADA 78017F3R2 12/27/23 09/24/27 100.000 0.000 4.8300 0.54 0.134167 0.135733 0.139011 0.142368 0.145806 49.05 51.31 ROYAL BANK OF CANADA 78017F3S0 12/27/23 06/26/25 100.000 0.000 5.2100 0.58 0.144722 0.148471 0.152339 52.81 26.66 ROYAL BANK OF CANADA 78017F3Q4 12/27/23 12/27/28 100.000 0.000 4.8400 0.54 0.134444 0.137698 0.141030 0.144443 0.147939 49.01 51.41 ROYAL BANK OF CANADA 78017FUT8 05/08/24 06/06/25 100.000 0.000 5.4900 0.152500 0.153151 0.157355 35.77 24.39 ROYAL BANK OF CANADA 78017FUS0 05/08/24 06/06/25 100.000 0.000 5.4900 0.152500 0.153151 0.157355 35.77 24.39 ROYAL BANK OF CANADA 78017F3M3 01/03/24 07/03/25 100.000 0.000 5.0500 0.140278 0.143820 0.147451 50.85 26.83 ROYAL BANK OF CANADA 78017F3L5 12/27/23 12/26/25 100.000 0.000 5.0800 0.56 0.141111 0.144675 0.148350 0.152118 51.48 53.34 ROYAL BANK OF CANADA 78017F3K7 01/03/24 01/03/29 100.000 0.000 4.8000 0.133333 0.136533 0.139810 0.143166 48.30 50.92 ROYAL BANK OF CANADA 78017F4L4 01/03/24 01/31/25 100.000 0.000 5.1700 0.143611 0.144168 0.147895 52.16 4.29 ROYAL BANK OF CANADA 78017G5T4 06/28/24 06/28/29 100.000 0.000 5.0468 0.140189 0.143726 0.147353 0.151072 25.67 52.42 ROYAL BANK OF CANADA 78017GFQ9 08/07/24 08/06/26 100.000 0.000 4.3477 0.120769 0.123380 0.126062 17.39 44.71 ROYAL BANK OF CANADA 78017G5M9 06/28/24 06/28/29 100.000 0.000 5.0468 0.140189 0.143726 0.147353 0.151072 25.67 52.42 ROYAL BANK OF CANADA 78017F3J0 12/27/23 12/27/28 100.000 0.000 4.9900 0.55 0.138611 0.142069 0.145614 0.149247 0.152971 50.55 53.10 ROYAL BANK OF CANADA 78017FUK7 04/29/24 10/29/25 100.000 0.000 5.5000 0.152778 0.156979 0.161296 37.23 47.56 ROYAL BANK OF CANADA 78017GGD7 08/29/24 03/03/26 100.000 0.000 4.5104 0.125289 0.125352 0.128179 0.131069 15.29 46.31 ROYAL BANK OF CANADA 78016N2U0 12/05/23 12/05/28 100.000 0.000 5.4000 3.90 0.150000 0.154050 0.158209 0.162481 0.166868 54.94 57.95 ROYAL BANK OF CANADA 78017FG49 03/05/24 03/03/27 100.000 0.000 5.0200 0.139444 0.142906 0.146493 0.150170 41.68 52.95 ROYAL BANK OF CANADA 78017GJ77 08/29/24 08/31/29 100.000 0.000 4.3803 0.121675 0.121690 0.124325 0.127079 14.85 44.94 ROYAL BANK OF CANADA 78017FFS7 02/22/24 03/20/25 100.000 0.000 5.3200 0.147778 0.148389 0.152336 46.23 12.03 ROYAL BANK OF CANADA 78017FFR9 02/22/24 03/20/25 100.000 0.000 5.3200 0.147778 0.148389 0.152336 46.23 12.03 ROYAL BANK OF CANADA 78016N3N5 12/05/23 06/04/25 100.000 0.000 5.5400 4.00 0.153889 0.158128 0.162508 56.40 24.86 ROYAL BANK OF CANADA 78016N3C9 11/30/23 09/01/27 100.000 0.000 5.4700 4.71 0.151944 0.154045 0.158259 0.162587 0.167034 55.84 58.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ROYAL BANK OF CANADA 78017GJH5 09/04/24 09/04/29 100.000 0.000 4.3911 0.121975 0.124653 0.127390 14.27 45.03 ROYAL BANK OF CANADA 78016N3A3 12/05/23 03/05/25 100.000 0.000 5.5800 4.03 0.155000 0.157162 0.161547 56.95 10.34 ROYAL BANK OF CANADA 78017FEZ2 03/05/24 03/05/29 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 42.02 53.39 ROYAL BANK OF CANADA 78017FEX7 02/29/24 03/01/29 100.000 0.000 5.2000 0.144444 0.148242 0.152096 0.156051 44.08 55.00 ROYAL BANK OF CANADA 78017FEW9 03/05/24 12/02/27 100.000 0.000 5.0200 0.139444 0.141136 0.144679 0.148310 0.152033 41.73 52.95 ROYAL BANK OF CANADA 78017FEV1 02/29/24 12/01/27 100.000 0.000 5.1700 0.143611 0.145509 0.149270 0.153129 0.157087 43.88 54.67 ROYAL BANK OF CANADA 78017FEU3 02/29/24 03/01/29 100.000 0.000 5.2000 0.144444 0.148242 0.152096 0.156051 44.08 55.00 ROYAL BANK OF CANADA 78017GHV6 09/03/24 09/02/27 100.000 0.000 4.3028 0.119522 0.122079 0.124706 14.10 44.11 ROYAL BANK OF CANADA 78017FF32 03/05/24 09/04/25 100.000 0.000 5.2600 0.146111 0.149932 0.153876 43.70 37.14 ROYAL BANK OF CANADA 78017FF24 02/29/24 08/29/25 100.000 0.000 5.3800 0.149444 0.153465 0.157570 45.62 37.27 ROYAL BANK OF CANADA 78017F4M2 01/03/24 01/02/26 100.000 0.000 4.8900 0.135833 0.139136 0.142538 0.146023 49.22 51.93 ROYAL BANK OF CANADA 78017GJ44 08/29/24 08/30/29 100.000 0.000 4.3803 0.121675 0.124325 0.127078 14.84 44.94 ROYAL BANK OF CANADA 78017FFJ7 03/04/24 04/02/25 100.000 0.000 5.3500 0.148611 0.149229 0.153221 44.66 13.94 ROYAL BANK OF CANADA 78017FFK4 03/04/24 03/04/26 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 43.17 54.74 ROYAL BANK OF CANADA 78016FM35 06/30/22 07/01/27 100.000 0.000 4.6500 71.52 0.138405 0.138405 0.144915 0.144915 0.151732 50.40 52.78 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7500 3518.71 0.925465 68.48 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7500 3518.71 0.925465 68.48 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8184 7851.76 2.219184 2.325401 2.436832 2.553733 2.676373 841.10 923.69 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 212.70 0.025076 0.025068 0.023496 0.021826 0.020054 8.84 7.74 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 0.000 N/A 4616.84 0.628003 0.630936 0.637563 0.637448 0.644582 230.51 232.78 Royal Bank Of Canada 78016NFE2 06/30/23 06/30/28 100.000 0.000 5.3700 27.00 0.153172 0.157284 0.161508 0.165844 0.170297 55.89 58.93 Royal Bank Of Canada 78014RNV8 06/29/23 06/29/33 100.000 VARIES 5.3200 26.81 0.145333 0.143273 0.141158 0.139642 0.140066 51.94 50.54 Royal Bank Of Canada 78014RNQ9 06/28/23 06/28/28 100.000 VARIES 6.2400 1.96 0.010692 0.010658 0.010624 0.010611 0.010556 3.84 3.82 Royal Bank of Canada 78016FG40 03/31/22 04/01/27 100.000 0.000 3.4090 61.08 0.099630 0.101328 0.103055 0.104812 0.106598 36.48 37.73 Royal Bank of Canada 78016HN48 01/12/23 02/08/24 100.000 0.000 5.4570 53.69 0.156333 5.78 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29 100.000 VARIES 3.5597 330.02 0.097327 0.097456 0.097587 0.097721 0.097857 35.06 35.16 Royal Bank of Canada 78014RDL1 04/30/21 04/30/41 100.000 VARIES 2.5777 66.96 0.067152 0.066228 0.066355 0.066483 0.066613 23.96 23.93 Royal Bank of Canada 78016NMR5 07/31/23 07/31/28 100.000 0.000 5.3900 22.61 0.149722 0.153757 0.157901 0.162156 0.166527 55.86 58.91 Royal Bank of Canada 78016NMM6 08/03/23 08/05/25 100.000 0.000 5.5900 22.99 0.155326 0.159667 0.164130 0.168717 57.98 35.95 Royal Bank of Canada 78014RDG2 03/15/21 03/15/41 100.000 VARIES 2.5737 69.12 0.067833 0.067916 0.068001 0.068086 0.068173 24.45 24.51 Royal Bank of Canada 78016NML8 08/03/23 09/05/24 100.000 0.000 5.9400 24.52 0.165871 0.170798 41.36 Royal Bank of Canada 78016HL24 01/31/23 07/30/26 100.000 0.000 4.9454 45.98 0.140769 0.144250 0.147817 0.151472 0.155217 52.37 54.99 Royal Bank of Canada 78010UDU8 02/28/14 02/28/34 100.000 VARIES 4.0700 363.75 0.102670 0.101903 0.103955 0.102624 0.104702 37.59 37.79 Royal Bank of Canada 78016NMS3 08/03/23 08/03/28 100.000 0.000 5.3400 21.95 0.148333 0.152294 0.156360 0.160535 0.164821 55.30 58.29 Royal Bank of Canada 78015B260 12/30/22 12/29/28 100.000 0.000 5.1587 52.41 0.150764 0.154652 0.158642 0.162733 0.166931 54.99 57.86 Royal Bank of Canada 78016FHT4 04/29/22 04/29/27 100.000 0.000 3.8373 65.67 0.112847 0.115012 0.117219 0.119468 0.121760 41.29 42.88 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0300 483.81 0.109636 0.109760 0.109886 0.110014 0.110146 39.52 39.62 Royal Bank of Canada 78010UWR4 11/28/14 11/28/34 100.000 VARIES 3.3500 291.07 0.089587 0.089719 0.089853 0.089989 0.090127 32.28 32.38 Royal Bank of Canada 78010UWU7 12/23/14 12/23/24 100.000 VARIES 2.8500 255.45 0.079053 0.079110 27.84 Royal Bank of Canada 78010UWN3 09/29/14 09/29/34 100.000 VARIES 3.6300 321.81 0.097228 0.097363 0.097500 0.097640 0.097783 35.05 35.15 Royal Bank of Canada 78016FXU3 11/03/22 11/05/24 100.000 0.000 5.5183 65.34 0.161911 0.166379 50.03 Royal Bank of Canada 78016NPC5 08/23/23 02/21/25 100.000 0.000 6.3200 22.47 0.175556 0.181041 0.186762 65.64 9.34 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78014RRB8 10/18/23 10/18/28 100.000 VARIES 5.9960 12.10 0.165094 0.162543 0.160724 0.161306 0.161907 58.60 58.05 Royal Bank of Canada 78016HYV6 04/28/23 04/30/26 100.000 0.000 4.8027 32.62 0.136648 0.139930 0.143290 0.146731 0.150254 50.19 52.63 Royal Bank of Canada 78016HYW4 04/28/23 04/30/26 100.000 0.000 4.8027 32.62 0.136648 0.139930 0.143290 0.146731 0.150254 50.19 52.63 Royal Bank of Canada 78014RQZ6 10/20/23 10/20/26 100.000 VARIES 6.4400 0.85 0.012619 0.012522 0.012006 0.012396 0.012798 4.51 4.45 Royal Bank of Canada 78016FC69 01/31/22 01/29/27 100.000 0.000 2.1539 41.99 0.061780 0.062446 0.063118 0.063798 0.064485 22.56 23.05 Royal Bank of Canada 78016NZK6 09/29/23 03/31/25 100.000 0.000 5.9526 15.21 0.165350 0.170299 0.175367 61.33 15.61 Royal Bank of Canada 78016H6T2 12/05/22 12/04/24 100.000 0.000 5.1726 56.33 0.151190 0.155101 51.05 Royal Bank of Canada 78016H6R6 12/05/22 01/04/24 100.000 0.000 5.6419 61.53 0.161873 0.49 Royal Bank of Canada 78016FAH7 12/28/21 12/28/26 100.000 0.000 1.7360 35.32 0.049918 0.050352 0.050789 0.051230 0.051674 18.05 18.37 Royal Bank of Canada 78014RPZ7 09/15/23 09/15/30 100.000 VARIES 6.5800 1.10 0.010391 0.010369 0.013479 0.010325 0.010278 3.73 3.72 Royal Bank of Canada 78016NHY6 07/25/23 01/24/25 100.000 0.000 5.8000 25.13 0.161111 0.165757 0.170564 60.32 3.92 Royal Bank of Canada 78014RQU7 10/17/23 10/17/26 100.000 VARIES 6.5000 0.48 0.007172 0.007413 0.007108 0.007341 0.007581 2.66 2.64 Royal Bank of Canada 78014RQR4 09/29/23 09/29/28 100.000 VARIES 6.3300 0.68 0.007404 0.007382 0.007358 0.007334 0.007310 2.66 2.64 Royal Bank of Canada 78016NZU4 10/04/23 10/02/25 100.000 0.000 5.9062 14.27 0.164061 0.168852 0.173839 0.178972 60.79 48.03 Royal Bank of Canada 78016NZT7 10/04/23 11/01/24 100.000 0.000 5.9755 14.49 0.166730 0.171711 50.92 Royal Bank of Canada 78013XYA0 02/28/19 02/28/25 100.000 0.000 3.2010 166.23 0.102575 0.104217 0.105885 37.63 6.04 Royal Bank of Canada 78016H6X3 11/29/22 11/28/25 100.000 0.000 5.4830 60.73 0.160747 0.165154 0.169682 0.174334 58.96 56.32 Royal Bank of Canada 78016NZL4 10/04/23 04/03/25 100.000 0.000 5.9415 14.36 0.165042 0.169917 0.174965 61.17 16.10 Royal Bank of Canada 78016FDV3 02/25/22 02/25/27 100.000 0.000 2.4504 46.10 0.070599 0.071464 0.072340 0.073226 0.074123 25.79 26.43 Royal Bank of Canada 78014RTE0 11/27/23 11/27/28 100.000 VARIES 6.5100 0.50 0.014611 0.146111 0.014556 0.014500 0.014444 5.26 5.22 Royal Bank of Canada 78016F3P7 11/26/21 11/27/26 100.000 0.000 1.7899 38.08 0.051525 0.051987 0.052452 0.052921 0.053395 18.66 19.00 Royal Bank of Canada 78016FUQ5 09/21/22 09/18/24 100.000 0.000 4.6149 60.10 0.134125 0.137220 35.03 Royal Bank of Canada 78016HKN9 02/03/23 02/05/25 100.000 0.000 4.9079 45.22 0.139714 0.143143 0.146655 51.93 4.99 Royal Bank of Canada 78016HKL3 02/03/23 03/05/24 100.000 0.000 5.2728 48.69 0.151033 9.67 Royal Bank of Canada 78016NM61 11/03/23 02/05/25 100.000 0.000 5.9722 9.62 0.165894 0.168426 0.173456 61.28 5.90 Royal Bank of Canada 78016NLS4 08/03/23 02/05/25 100.000 0.000 5.7800 23.77 0.160607 0.165249 0.170024 60.03 5.78 Royal Bank of Canada 78016NLT2 07/31/23 01/30/25 100.000 0.000 5.8400 24.50 0.162222 0.166959 0.171834 60.70 4.98 Royal Bank of Canada 78016FTS3 10/05/22 10/03/24 100.000 0.000 5.1064 64.55 0.149139 0.152947 41.25 Royal Bank of Canada 78014RBV1 12/27/19 12/27/34 100.000 VARIES 2.5623 100.78 0.069365 0.069437 0.069510 0.069583 0.069658 24.99 25.04 Royal Bank of Canada 78014RBT6 11/27/19 11/27/34 100.000 VARIES 2.3582 94.74 0.063900 0.063964 0.064029 0.064095 0.064162 23.02 23.07 Royal Bank of Canada 78016NKU0 07/26/23 01/25/29 100.000 0.000 5.3500 23.03 0.148611 0.152564 0.156645 0.160836 0.165138 55.46 58.47 Royal Bank of Canada 78016NKV8 07/26/23 01/26/28 100.000 0.000 5.3400 22.99 0.148333 0.152294 0.156360 0.160535 0.164821 55.36 58.35 Royal Bank of Canada 78016NFC6 06/30/23 01/02/25 100.000 0.000 5.7900 29.12 0.160885 0.165543 0.170335 60.45 0.17 Royal Bank of Canada 78016NFD4 07/06/23 01/03/25 100.000 0.000 5.8900 28.63 0.163611 0.168349 0.173307 61.48 0.35 Royal Bank of Canada 78016HUP3 03/29/23 03/29/28 100.000 0.000 4.8600 37.02 0.138281 0.141641 0.145083 0.148608 0.152219 51.01 53.52 Royal Bank of Canada 78016HUQ1 03/29/23 03/30/27 100.000 0.000 4.8300 36.79 0.137425 0.140744 0.144143 0.147624 0.151189 50.68 53.16 Royal Bank of Canada 78016HV23 04/06/23 04/08/24 100.000 0.000 5.4100 40.17 0.154389 14.98 Royal Bank of Canada 78016NEU7 06/30/23 06/30/28 100.000 0.000 5.3200 26.75 0.151709 0.155744 0.159887 0.164140 0.168506 55.35 58.33 Royal Bank of Canada 78014RNM8 06/09/23 06/09/26 100.000 6.500 5.9000 2.72 0.013341 0.012837 0.013219 0.013612 0.014016 4.70 4.85 Royal Bank of Canada 78016HVC1 03/17/23 09/19/24 100.000 0.000 5.1400 40.93 0.146489 0.150254 38.47 Royal Bank of Canada 78016HEA4 12/07/22 12/04/26 100.000 0.000 4.9771 53.88 0.145161 0.148773 0.152475 0.156270 0.160159 53.11 55.78 Royal Bank of Canada 78016N5G8 12/05/23 01/03/25 100.000 0.000 5.6100 4.05 0.155833 0.156513 0.160903 57.12 0.32 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78016HUZ1 03/15/23 09/13/24 100.000 0.000 5.3308 42.77 0.151981 0.156032 39.03 Royal Bank of Canada 78016NFG7 07/07/23 07/06/28 100.000 0.000 5.5000 26.58 0.152778 0.156956 0.161272 0.165707 0.170264 57.24 60.43 Royal Bank of Canada 78016HE48 12/29/22 06/26/26 100.000 0.000 5.1520 52.50 0.150516 0.154393 0.158371 0.162450 0.166635 54.92 57.79 Royal Bank of Canada 78016NFF9 07/06/23 07/06/28 100.000 0.000 5.5000 26.74 0.152778 0.156979 0.161296 0.165732 0.170289 57.25 60.44 Royal Bank of Canada 78016HTP5 03/20/23 03/19/26 100.000 0.000 5.1180 40.32 0.145785 0.149515 0.153341 0.157265 0.161290 53.92 56.72 Royal Bank of Canada 78016HTR1 03/31/23 04/01/27 100.000 0.000 5.0459 38.30 0.143720 0.147346 0.151063 0.154874 0.158782 53.05 55.76 Royal Bank of Canada 78016HTQ3 03/20/23 03/19/26 100.000 0.000 5.1180 40.32 0.145785 0.149515 0.153341 0.157265 0.161290 53.92 56.72 Royal Bank of Canada 78016HTN0 04/05/23 04/03/25 100.000 0.000 5.1600 38.45 0.146990 0.150783 0.154673 54.28 14.23 Royal Bank of Canada 78016NVA2 08/22/23 09/20/24 100.000 0.000 6.0100 21.61 0.167725 0.172765 44.35 Royal Bank of Canada 78014RLW8 03/28/23 03/28/25 100.000 VARIES 5.2200 2.03 0.007506 0.007703 0.007905 2.77 0.70 Royal Bank of Canada 78014RLS7 03/17/23 03/17/25 100.000 VARIES 5.0000 2.80 0.009862 0.010111 0.010365 3.65 0.80 Royal Bank of Canada 78016NUZ8 08/22/23 09/02/28 100.000 0.000 5.6094 20.13 0.156059 0.160436 0.164936 0.169562 0.174318 58.03 61.33 Royal Bank of Canada 78014RLR9 03/17/23 03/17/33 100.000 VARIES 5.8620 45.97 0.160632 0.158813 0.156941 0.155593 0.155961 57.12 56.11 Royal Bank of Canada 78016NDR5 07/06/23 01/05/27 100.000 0.000 5.5000 26.74 0.152778 0.156956 0.161272 0.165707 0.170264 57.25 60.44 Royal Bank of Canada 78014RMK3 05/05/23 05/05/28 100.000 VARIES 5.9200 5.60 0.023823 0.023790 0.023755 0.023722 0.023667 8.57 8.54 Royal Bank of Canada 78012KDH7 06/29/15 06/29/35 100.000 VARIES 3.4100 271.73 0.089104 0.089306 0.089511 0.089719 0.089931 32.11 32.26 Royal Bank of Canada 78016NVE4 09/20/23 03/20/25 100.000 0.000 5.9146 16.59 0.164294 0.169153 0.174155 61.02 13.76 Royal Bank of Canada 78016HX88 04/28/23 04/29/27 100.000 0.000 4.7000 31.92 0.133641 0.136781 0.139996 0.143285 0.146653 49.07 51.40 Royal Bank of Canada 78016HWR7 05/03/23 05/01/25 100.000 0.000 4.9107 32.66 0.139720 0.143151 0.146666 51.33 17.60 Royal Bank of Canada 78016NHB6 06/21/23 06/21/28 100.000 0.000 5.2600 27.80 0.149954 0.153898 0.157945 0.162099 0.166362 54.77 57.69 Royal Bank of Canada 78015QFM8 08/10/23 08/21/24 100.000 6.100 5.8300 22.86 0.152800 0.080957 38.14 Royal Bank of Canada 78016HWJ5 05/02/23 11/02/26 100.000 0.000 4.8574 32.44 0.138205 0.141561 0.144999 0.148521 0.152128 50.76 53.25 Royal Bank of Canada 78016HFG0 01/04/23 01/03/25 100.000 0.000 5.2018 52.25 0.148232 0.152087 0.156043 55.45 0.31 Royal Bank of Canada 78016NXY8 09/29/23 09/29/28 100.000 0.000 5.7430 14.68 0.159528 0.164109 0.168821 0.173669 0.178656 59.11 62.55 Royal Bank of Canada 78016NXZ5 10/04/23 10/04/28 100.000 0.000 5.7909 13.99 0.160858 0.165516 0.170308 0.175240 0.180314 59.57 63.07 Royal Bank of Canada 78016HXD7 04/28/23 04/28/28 100.000 0.000 4.4400 30.14 0.126071 0.128870 0.131731 0.134655 0.137645 46.25 48.32 Royal Bank of Canada 78016HXB1 05/03/23 05/01/25 100.000 0.000 4.9107 32.66 0.139720 0.143151 0.146666 51.33 17.60 Royal Bank of Canada 78016HWZ9 04/05/23 04/08/24 100.000 0.000 5.3968 40.23 0.154026 14.94 Royal Bank of Canada 78016NXF9 09/05/23 12/04/24 100.000 0.000 5.8694 18.98 0.165405 0.170259 55.95 Royal Bank of Canada 78016NGB7 07/06/23 07/03/25 100.000 0.000 5.7500 27.95 0.159722 0.164238 0.168960 0.173817 59.96 31.63 Royal Bank of Canada 78015KDC5 11/29/19 12/01/25 100.000 0.000 2.1621 91.92 0.065461 0.066168 0.066884 0.067607 23.74 22.20 Royal Bank of Canada 78016NXC6 09/07/23 09/05/25 100.000 0.000 5.6630 17.93 0.157306 0.161710 0.166289 0.170997 58.46 41.42 Royal Bank of Canada 78016NGA9 07/06/23 08/02/24 100.000 0.000 6.0000 29.27 0.167389 0.172411 36.22 Royal Bank of Canada 78016HVH0 03/31/23 03/31/26 100.000 0.000 4.9955 37.92 0.142230 0.145782 0.149424 0.153156 0.156981 52.50 55.15 Royal Bank of Canada 78016NFW2 06/28/23 12/29/28 100.000 0.000 5.3600 27.25 0.152901 0.156999 0.161207 0.165527 0.169963 55.80 58.83 Royal Bank of Canada 78016NFX0 06/28/23 12/29/27 100.000 0.000 5.3400 27.15 0.152316 0.156383 0.160558 0.164845 0.169246 55.58 58.59 Royal Bank of Canada 78016NWW3 08/31/23 09/03/24 100.000 0.000 6.0551 20.36 0.168282 0.173377 41.64 Royal Bank of Canada 78016HVG2 03/31/23 04/30/26 100.000 0.000 4.9956 37.96 0.142825 0.146392 0.150049 0.153797 0.157638 52.50 55.16 Royal Bank of Canada 78016HFE5 01/04/23 02/01/24 100.000 0.000 5.5035 55.42 0.157730 4.73 Royal Bank of Canada 78016NXU6 10/04/23 01/03/25 100.000 0.000 5.6136 13.57 0.155933 0.158097 0.162535 57.70 0.33 Royal Bank of Canada 78016NXT9 09/29/23 10/01/25 100.000 0.000 5.8918 15.06 0.163715 0.168538 0.173502 0.178614 60.69 47.77 Royal Bank of Canada 78016NXS1 10/04/23 07/02/27 100.000 0.000 5.7538 13.91 0.159828 0.162076 0.166738 0.171535 0.176470 59.18 62.63 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78013XWE4 01/31/19 02/01/24 100.000 0.000 3.6269 193.45 0.118445 3.55 Royal Bank of Canada 78016NXR3 09/29/23 07/01/27 100.000 0.000 5.7212 14.62 0.161246 0.165858 0.170603 0.175483 0.180503 58.88 62.30 Royal Bank of Canada 78015QEX5 06/06/23 06/18/24 100.000 5.900 5.6200 32.13 0.146703 0.077846 26.87 Royal Bank of Canada 78016N6H5 11/28/23 05/28/25 100.000 0.000 5.7400 5.26 0.159444 0.164021 0.168728 58.53 24.80 Royal Bank of Canada 78016NAY3 05/31/23 05/31/28 100.000 0.000 5.2000 30.59 0.148200 0.152053 0.156007 0.160063 0.164224 54.29 57.15 Royal Bank of Canada 78016FKA1 05/27/22 05/27/27 100.000 0.000 4.0397 65.88 0.119152 0.121559 0.124014 0.126519 0.129074 43.49 45.27 Royal Bank of Canada 78016NRU3 08/31/23 06/03/27 100.000 0.000 5.6151 18.94 0.158238 0.162680 0.167247 0.171943 0.176770 58.02 61.32 Royal Bank of Canada 78016NRV1 09/06/23 06/03/27 100.000 0.000 5.7524 18.44 0.162010 0.166670 0.171464 0.176395 0.181469 59.43 62.89 Royal Bank of Canada 78016NB55 05/10/23 05/08/25 100.000 0.000 4.7300 30.51 0.134462 0.137642 0.140897 49.32 17.89 Royal Bank of Canada 78016NAR8 06/05/23 07/03/24 100.000 0.000 5.6800 32.63 0.158475 0.162975 29.65 Royal Bank of Canada 78016NAM9 05/24/23 11/24/28 100.000 0.000 5.1000 30.88 0.145279 0.148984 0.152783 0.156679 0.160674 53.24 56.00 Royal Bank of Canada 78015B435 10/06/22 09/28/28 100.000 0.000 5.5234 69.79 0.161826 0.166295 0.170887 0.175607 0.180457 59.90 63.26 Royal Bank of Canada 78016NAN7 05/24/23 11/24/27 100.000 0.000 4.9300 29.84 0.140320 0.143779 0.147323 0.150955 0.154676 51.40 53.96 Royal Bank of Canada 78016NSJ7 09/06/23 09/06/28 100.000 0.000 5.4487 17.41 0.151353 0.155476 0.159712 0.164063 0.168533 56.19 59.29 Royal Bank of Canada 78016NSH1 08/31/23 08/31/28 100.000 0.000 5.5570 18.68 0.154361 0.158626 0.163058 0.167538 0.172245 57.39 60.63 Royal Bank of Canada 78016HR36 03/02/23 03/04/25 100.000 0.000 5.5725 46.80 0.159154 0.163588 0.168146 59.15 10.59 Royal Bank of Canada 78016NBD8 05/11/23 06/13/24 100.000 0.000 5.2700 33.87 0.150950 24.45 Royal Bank of Canada 78016NSB4 08/31/23 09/03/24 100.000 0.000 6.0551 20.36 0.168282 0.173377 41.64 Royal Bank of Canada 78016HQP8 02/23/23 02/22/27 100.000 0.000 5.3734 46.49 0.153249 0.157366 0.161594 0.165936 0.170394 56.99 60.09 Royal Bank of Canada 78016HR28 03/02/23 04/02/24 100.000 0.000 5.7359 48.25 0.164684 14.99 Royal Bank of Canada 78016HQN3 02/23/23 02/23/28 100.000 0.000 5.2888 45.75 0.150796 0.154784 0.158877 0.163078 0.167391 56.04 59.04 Royal Bank of Canada 78016NA23 09/29/23 09/29/28 100.000 0.000 5.7430 14.68 0.159528 0.164109 0.168821 0.173669 0.178656 59.11 62.55 Royal Bank of Canada 78016NA31 09/29/23 10/01/24 100.000 0.000 6.0118 15.37 0.167050 0.172072 46.01 Royal Bank of Canada 78016NAA5 05/31/23 11/29/24 100.000 0.000 5.6500 33.26 0.161353 0.165912 53.74 Royal Bank of Canada 78016N2Z9 11/30/23 12/03/25 100.000 0.000 5.6900 4.90 0.158131 0.162629 0.167256 0.172015 57.99 56.39 Royal Bank of Canada 78016ND79 09/26/23 12/27/24 100.000 0.000 6.2198 16.42 0.175489 0.180946 63.46 Royal Bank of Canada 78016N3M7 11/30/23 05/30/25 100.000 0.000 5.6300 4.85 0.156389 0.160791 0.165318 57.37 24.63 Royal Bank of Canada 78014RLC2 02/24/23 02/24/33 100.000 VARIES 5.2450 44.31 0.142929 0.140653 0.138316 0.136641 0.137112 50.46 49.30 Royal Bank of Canada 78016NDH7 06/23/23 12/26/24 100.000 0.000 5.7400 30.01 0.164099 0.168809 59.10 Royal Bank of Canada 78016N3D7 12/05/23 09/02/27 100.000 0.000 5.3100 3.83 0.147500 0.149393 0.153359 0.157431 0.161611 54.14 56.92 Royal Bank of Canada 78016N3B1 11/30/23 11/30/28 100.000 0.000 5.5800 4.81 0.155000 0.159325 0.163770 0.168339 0.173035 56.85 60.07 Royal Bank of Canada 78016NDA2 05/31/23 05/28/25 100.000 0.000 5.3000 31.19 0.151080 0.155084 0.159194 55.38 23.40 Royal Bank of Canada 78016HSP6 02/23/23 03/21/24 100.000 0.000 5.5994 48.53 0.160590 12.85 Royal Bank of Canada 78016HSQ4 02/23/23 03/21/24 100.000 0.000 5.5994 48.53 0.160590 12.85 Royal Bank of Canada 78016NSU2 08/31/23 09/03/25 100.000 0.000 5.8616 19.71 0.162902 0.167676 0.172590 0.177649 60.65 42.68 Royal Bank of Canada 78016HRD4 02/28/23 02/26/27 100.000 0.000 5.2962 45.06 0.150969 0.154967 0.159071 0.163283 0.167607 56.08 59.09 Royal Bank of Canada 78016NSV0 09/06/23 09/04/25 100.000 0.000 5.6561 18.07 0.157114 0.161508 0.166075 0.170772 58.40 41.20 Royal Bank of Canada 78016NSR9 09/06/23 09/04/25 100.000 0.000 5.6559 18.07 0.157108 0.161502 0.166069 0.170765 58.40 41.20 Royal Bank of Canada 78016NSQ1 09/06/23 10/03/24 100.000 0.000 5.9617 19.11 0.166343 0.171302 46.14 Royal Bank of Canada 78016NBMB 05/31/23 05/28/27 100.000 0.000 5.2300 30.78 0.149035 0.152932 0.156931 0.161035 0.165246 54.61 57.51 Royal Bank of Canada 78016NCK1 05/24/23 11/22/24 100.000 0.000 5.3200 32.22 0.151665 0.155699 49.41 Royal Bank of Canada 78016HRZ5 03/14/23 03/15/24 100.000 0.000 5.7068 45.98 0.163071 12.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78016NCJ4 05/26/23 05/29/26 100.000 0.000 5.1100 30.65 0.145633 0.149354 0.153170 0.157084 0.161097 53.34 56.10 Royal Bank of Cananda 78016NQ42 11/03/23 11/05/25 100.000 0.000 6.0060 9.68 0.166889 0.171901 0.177063 0.182380 61.55 54.78 Royal Bank of Cananda 78016NQ34 11/03/23 12/04/24 100.000 0.000 5.9654 9.63 0.166557 0.171525 56.36 Royal Bank of Cananda 78016NP68 11/03/23 08/04/27 100.000 0.000 6.0023 9.67 0.166731 0.169260 0.174340 0.179572 0.184961 61.60 65.27 Royal Bank of Cananda 78016NP76 11/03/23 05/05/25 100.000 0.000 5.9835 9.64 0.166264 0.171238 0.176361 61.32 21.87 Royal Bank of Cananda 78016NP35 10/31/23 07/29/27 100.000 0.000 6.0163 10.19 0.167119 0.169605 0.174707 0.179963 0.185376 61.76 65.46 Royal Bank of Cananda 78016NP84 10/31/23 05/01/25 100.000 0.000 5.9890 10.15 0.166361 0.171370 0.176502 61.40 21.18 Royal Bank of Cananda 78016NM87 10/31/23 10/31/28 100.000 0.000 6.1424 10.41 0.170622 0.175862 0.181263 0.186830 0.192568 63.02 66.95 Royal Bank of Cananda 78016NM95 11/03/23 11/03/28 100.000 0.000 6.1320 9.88 0.170333 0.175556 0.180938 0.186486 0.192204 62.88 66.79 Royal Bank of Cananda 78016NM53 10/31/23 10/30/25 100.000 0.000 6.0675 10.28 0.168542 0.173655 0.178923 0.184351 62.23 54.48 Royal Bank of Cananda 78016NW60 10/25/23 01/24/25 100.000 0.000 5.9323 10.88 0.164786 0.167203 0.172162 60.92 3.96 Royal Bank of Cananda 78016NX28 11/01/23 05/01/25 100.000 0.000 5.9616 9.94 0.165600 0.170536 0.175620 61.11 21.07 Royal Bank of Cananda 78016NZ42 11/03/23 02/05/25 100.000 0.000 5.9722 9.62 0.165894 0.168426 0.173456 61.28 5.90 Royal Bank of Cananda 78016NS81 10/16/23 10/16/28 100.000 0.000 5.9064 12.30 0.164067 0.168912 0.173900 0.179036 0.184323 60.67 64.31 Royal Bank of Cananda 78016N2X4 11/03/23 02/05/25 100.000 0.000 5.9734 9.62 0.165928 0.168461 0.173492 61.29 5.90 Royal Bank of Cananda 78016N2R7 11/03/23 02/05/25 100.000 0.000 5.9734 9.62 0.165928 0.168461 0.173492 61.29 5.90 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4494 665.65 0.146160 0.146446 0.146740 0.147042 0.147352 52.74 52.96 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7435 563.63 0.140379 0.141448 0.142543 0.142855 0.143175 51.00 51.45 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5209 700.26 0.149934 0.150137 0.150347 0.150562 0.150783 54.03 54.18 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 657.91 0.143203 0.143610 0.144028 0.144458 0.144898 51.64 51.94 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7104 712.83 0.154402 0.154651 0.154908 0.155172 0.155443 55.63 55.81 SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29 87.035 0.000 1.6799 47.53 0.042563 0.042920 0.043281 0.043644 0.044011 15.48 15.75 SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28 89.146 0.000 1.5800 45.73 0.040888 0.041211 0.041537 0.041865 0.042196 14.87 15.10 SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30 84.805 0.000 1.7800 49.14 0.044064 0.044457 0.044852 0.045251 0.045654 16.04 16.33 SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24 97.404 0.000 0.9500 24.80 0.026264 1.16 SAM RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26 93.333 0.000 1.4500 36.48 0.038850 0.039132 0.039416 0.039701 0.039989 14.11 14.32 SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25 95.047 0.000 1.3500 34.55 0.036752 0.037000 0.037250 13.34 1.64 SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27 89.911 0.000 1.8499 45.03 0.048178 0.048624 0.049074 0.049528 0.049986 17.55 17.87 SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28 87.094 0.000 2.0498 48.44 0.051947 0.052479 0.053017 0.053561 0.054109 18.94 19.33 SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26 93.647 0.000 1.2111 38.24 0.032640 0.032838 0.033037 0.033237 0.033438 11.84 11.98 SAN ELIZARIO TEX INDPT 797547FD3 12/21/21 05/01/28 89.114 0.000 1.8200 33.36 0.046596 0.047020 0.047448 0.047880 0.048316 16.90 17.21 SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24 89.978 0.000 2.2990 86.98 0.062417 0.063134 13.24 SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26 84.619 0.000 2.5388 90.73 0.065382 0.066212 0.067052 0.067903 0.068765 23.94 24.55 SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25 87.215 0.000 2.4489 90.05 0.064793 0.065587 0.066390 0.067203 23.71 14.09 SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37 63.888 0.000 2.7458 61.03 0.052780 0.053504 0.054239 0.054984 0.055739 19.35 19.88 SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38 61.743 0.000 2.7858 59.87 0.051811 0.052533 0.053265 0.054007 0.054759 19.00 19.53 SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26 93.995 0.000 1.0710 32.43 0.028813 0.028967 0.029122 0.029278 0.029435 10.44 10.55 SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27 91.934 0.000 1.2410 36.84 0.032808 0.033012 0.033217 0.033423 0.033630 11.90 12.05 SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28 88.829 0.000 1.5249 43.91 0.039260 0.039560 0.039861 0.040165 0.040472 14.27 14.49 SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29 86.729 0.000 1.6250 45.74 0.040961 0.041294 0.041629 0.041967 0.042308 14.90 15.14 SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24 100.000 0.000 3.6893 434.08 0.145032 7.25 SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34 91.000 VARIES 4.0373 352.15 0.107856 0.107953 0.110446 0.109351 0.111895 39.81 40.29 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34 91.000 VARIES 4.4572 363.84 0.112005 0.113227 0.114151 0.115096 0.116062 40.74 41.44 SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34 100.000 VARIES 4.4742 393.17 0.110936 0.111348 0.111824 0.112312 0.112810 40.09 40.43 SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 429.08 0.086278 0.086608 0.088409 0.090248 0.092124 31.25 32.39 SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25 100.000 VARIES 2.7151 236.35 0.075324 0.075343 0.075380 27.12 7.99 SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34 100.000 VARIES 4.4731 404.14 0.116924 0.117518 0.118020 0.118532 0.119057 42.30 42.67 SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34 100.000 VARIES 3.0162 268.37 0.086079 0.086346 0.086617 0.086709 0.086802 31.04 31.20 SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34 100.000 VARIES 4.0888 383.59 0.112248 0.112970 0.113448 0.113937 0.114435 40.72 41.08 SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 452.29 0.089022 0.088503 0.090401 0.092339 0.094318 32.08 33.25 SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33 91.000 VARIES 4.0761 354.19 0.106514 0.107513 0.108243 0.108988 0.109748 38.79 39.33 SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34 100.000 VARIES 3.6333 327.25 0.098376 0.098846 0.099164 0.099489 0.099819 35.50 35.76 SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 427.44 0.084577 0.083816 0.086951 0.087285 0.090550 30.89 31.91 SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34 91.000 VARIES 3.6947 304.16 0.091622 0.092187 0.092647 0.093115 0.093593 33.13 33.47 SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 470.59 0.108271 0.109457 0.110761 0.112093 0.113453 39.34 40.28 SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 438.92 0.085665 0.084706 0.087900 0.088265 0.091593 31.45 32.60 SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9854 447.63 0.102820 0.102880 0.105922 0.105535 0.108675 37.65 38.59 SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0073 402.20 0.082405 0.083093 0.086112 0.086355 0.089494 30.29 31.48 SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0040 396.73 0.082988 0.084620 0.086285 0.087984 0.089716 30.17 31.37 SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33 100.000 VARIES 3.4646 347.94 0.092874 0.092498 0.094686 0.093798 0.095881 34.15 34.54 SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34 100.000 VARIES 3.4025 301.90 0.088827 0.090078 0.089863 0.090610 0.090371 32.87 33.00 SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33 100.000 VARIES 2.9028 289.25 0.077639 0.078111 0.078475 0.078844 0.079219 28.11 28.39 SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33 100.000 VARIES 3.8966 415.29 0.112645 0.113458 0.113903 0.114357 0.114819 40.89 41.23 SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33 100.000 VARIES 3.8943 394.59 0.102161 0.102743 0.103277 0.103821 0.104376 37.05 37.44 SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35 100.000 VARIES 3.7086 295.85 0.099812 0.100480 0.100994 0.101518 0.102051 36.05 36.45 SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33 100.000 VARIES 3.9684 393.36 0.105662 0.106293 0.106794 0.107304 0.107824 38.24 38.62 SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29 100.000 VARIES 3.5292 323.44 0.097903 0.097966 0.098030 0.098096 0.098162 35.27 35.31 SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33 100.000 VARIES 3.9499 392.95 0.106964 0.107614 0.108079 0.108554 0.109038 38.69 39.05 SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 369.14 0.078300 0.079793 0.081314 0.082864 0.084444 28.91 30.03 SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 429.17 0.086262 0.088069 0.089914 0.091798 0.093721 31.93 33.28 SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 464.89 0.106721 0.106746 0.109746 0.109265 0.112433 39.16 40.06 SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 367.39 0.078435 0.079934 0.081462 0.083019 0.084606 28.97 30.08 SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8136 362.33 0.078303 0.079796 0.081318 0.082868 0.084449 28.92 30.03 SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26 100.000 VARIES 1.6326 72.96 0.026737 0.026956 0.027176 0.027397 0.027621 9.71 9.87 SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34 100.000 VARIES 3.4030 305.88 0.091422 0.092783 0.092637 0.093387 0.093120 33.86 34.01 SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26 100.000 VARIES 4.0468 459.00 0.104908 0.106268 0.107757 0.109277 0.110828 38.37 39.45 SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 368.17 0.076537 0.078852 0.079914 0.081884 0.082987 28.86 29.91 SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32 100.000 VARIES 2.3463 237.57 0.059997 0.060007 0.060016 0.060025 0.060035 21.60 21.61 SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32 100.000 VARIES 2.3877 238.22 0.059074 0.058881 0.058686 0.058489 0.058289 21.22 21.08 SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33 100.000 VARIES 4.4027 417.77 0.118919 0.119387 0.119866 0.120356 0.120856 42.92 43.27 SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33 100.000 VARIES 4.2911 415.22 0.118548 0.119003 0.119469 0.119944 0.120430 42.82 43.15 SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32 100.000 VARIES 2.3864 231.72 0.057556 0.057576 0.057597 0.057618 0.057639 20.72 20.74 SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 440.55 0.102624 0.104138 0.105681 0.107256 0.108917 37.50 38.62 SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32 93.000 VARIES 4.4186 393.77 0.118066 0.118821 0.119593 0.120381 0.121188 42.64 43.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33 100.000 VARIES 4.4457 411.37 0.118041 0.118758 0.119491 0.120053 0.120626 42.63 43.12 SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32 90.000 VARIES 4.3778 371.24 0.110325 0.111268 0.112230 0.113214 0.114220 39.95 40.64 SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34 100.000 VARIES 3.3123 287.69 0.090413 0.090782 0.091157 0.091402 0.091651 32.64 32.88 SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32 90.000 VARIES 4.3778 371.23 0.110323 0.111265 0.112228 0.113212 0.114217 39.95 40.64 SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33 100.000 VARIES 4.5906 446.86 0.123924 0.124726 0.125548 0.126388 0.127247 45.00 45.60 SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27Y 100.000 VARIES 2.2060 231.36 0.056132 0.055824 0.057059 0.056747 0.058324 20.60 20.92 SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33 100.000 VARIES 4.5832 451.75 0.128572 0.129372 0.130189 0.131026 0.131881 46.67 47.27 SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32 100.000 VARIES 2.2189 218.25 0.052518 0.051878 0.052667 0.051738 0.052523 19.12 19.03 SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33 100.000 VARIES 4.5941 430.08 0.117316 0.118370 0.119448 0.120551 0.121679 42.75 43.54 SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33 100.000 VARIES 4.6389 445.65 0.124508 0.124142 0.127226 0.125904 0.128774 45.84 46.38 SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33 100.000 VARIES 4.6414 460.39 0.129873 0.129328 0.132373 0.130719 0.133409 47.74 48.14 SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34 100.000 VARIES 3.5842 315.33 0.096802 0.097120 0.097442 0.097771 0.098105 34.96 35.20 SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34 100.000 VARIES 3.5616 314.13 0.096635 0.097003 0.097377 0.097657 0.097942 34.92 35.16 SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33 100.000 VARIES 4.7593 468.62 0.131490 0.132411 0.133028 0.133659 0.134305 47.51 48.01 SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27 100.000 VARIES 4.2451 443.93 0.111512 0.112307 0.113120 0.113949 0.114797 40.44 41.03 SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32 100.000 VARIES 2.1721 212.14 0.052248 0.052155 0.052060 0.051965 0.051869 18.78 18.71 SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33 100.000 VARIES 4.2945 403.95 0.113704 0.114351 0.115012 0.115687 0.116376 41.13 41.61 SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27 100.000 VARIES 2.3465 240.29 0.062294 0.062683 0.063077 0.063476 0.063879 22.54 22.83 SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34 100.000 VARIES 3.4502 302.97 0.095010 0.095315 0.095624 0.095940 0.096260 34.30 34.52 SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33 100.000 VARIES 4.5116 438.09 0.124879 0.125642 0.126422 0.127220 0.128035 45.23 45.80 SG Structured Products 78423AYJ5 08/31/10 08/29/25 100.000 0.000 3.6972 420.32 0.093368 0.096139 0.097382 0.099727 35.18 23.80 SOCIETE GENERALE 83370BXX6 04/26/24 04/28/27 100.000 VARIES 5.3800 0.148033 0.145867 0.145183 0.146083 36.17 52.35 SOCIETE GENERALE 83370FR48 01/16/24 01/14/27 100.000 0.000 4.8200 0.133889 0.137080 0.140383 0.143767 46.72 51.06 SOCIETE GENERALE 83369NP38 07/14/22 07/14/37 100.000 VARIES 4.8000 66.70 0.120750 0.114950 0.110600 0.111000 0.111400 40.72 40.01 SOCIETE GENERALE 83371H6N4 06/20/24 06/20/25 100.000 0.000 5.3400 0.148333 0.152294 28.38 25.74 SOCIETE GENERALE 83370FU36 02/13/24 02/11/27 100.000 0.000 5.1700 0.143611 0.147282 0.151089 0.154995 46.18 54.79 SOCIETE GENERALE 83369NNM8 06/23/22 06/20/25 100.000 0.000 4.3300 67.40 0.128215 0.130991 0.133827 46.72 22.62 SOCIETE GENERALE 83370BZS5 02/27/24 02/28/34 100.000 5.000 5.2300 0.145800 0.148200 0.150650 0.153100 44.58 54.39 SOCIETE GENERALE 83371HDN6 08/14/24 08/12/27 100.000 VARIES 4.3950 0.121283 0.120267 0.120283 16.64 43.31 SOCIETE GENERALE 83370BPR8 01/24/24 01/27/26 100.000 VARIES 4.8800 0.135600 0.138400 0.141800 0.155300 46.06 51.67 SOCIETE GENERALE 83370BLJO 12/20/23 03/20/25 100.000 0.000 5.1200 1.56 0.142222 0.144043 0.147730 52.08 11.67 SOCIETE GENERALE 83370BLK7 12/20/23 03/20/25 100.000 0.000 5.1200 1.56 0.142222 0.144043 0.147730 52.08 11.67 SOCIETE GENERALE 83370BN41 12/29/23 12/29/38 100.000 VARIES 4.9300 0.27 0.134900 0.127250 0.121550 0.122100 0.122500 47.16 43.87 SOCIETE GENERALE 83370BSU8 02/29/24 03/03/25 100.000 0.000 5.3400 0.148333 0.148421 0.152384 45.29 9.45 SOCIETE GENERALE 83369NUQ1 06/21/22 12/18/24 100.000 0.000 4.8300 75.66 0.144067 0.147546 50.62 SOCIETE GENERALE 83370BRD7 02/12/24 02/12/27 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 44.97 53.12 SOCIETE GENERALLE 83369NUJ7 04/26/22 04/24/37 97.000 VARIES 3.9100 61.21 0.095850 0.093800 0.094450 0.095050 0.095600 33.99 34.19 SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27 86.381 0.000 2.0499 64.99 0.052482 0.053020 0.053563 0.054112 0.054667 19.14 19.53 SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24 93.056 0.000 1.7299 58.79 0.047232 0.047640 10.65 SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25 90.905 0.000 1.8499 61.53 0.049529 0.049987 0.050450 0.050916 18.04 11.38 SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25 90.800 0.000 1.9159 61.55 0.051229 0.051720 0.052215 0.052715 18.66 11.79 STEPHENVILLE TEX INDPT 859128HX1 06/25/20 02/15/24 94.854 0.000 1.4570 49.69 0.040179 1.77 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7298 498.06 0.113404 0.116653 0.119995 0.123433 0.126969 42.20 44.65 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 470.71 0.107176 0.110247 0.113405 0.116654 0.119996 39.88 42.20 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7297 527.01 0.119994 0.123431 0.126967 0.130605 0.134346 44.65 47.25 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7298 590.05 0.134348 0.138197 0.142156 0.146229 0.150418 50.00 52.90 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7298 557.64 0.126969 0.130606 0.134348 0.138197 0.142156 47.25 50.00 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6797 657.81 0.149176 0.153413 36.56 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 622.93 0.141493 0.145525 0.149673 0.153938 52.64 36.69 Santa Monica School, CA 802498PT6 10/11/16 07/01/32 95.746 3.000 3.3503 16.82 0.007335 0.007458 0.007583 0.007710 0.007839 2.66 2.75 Seacor Holdings, Inc. 811904AN1 05/15/18 05/15/30 100.000 3.250 7.6251 483.51 0.273695 0.280688 0.287947 0.295483 0.302731 100.44 105.70 Societe General 83369NMB3 05/17/22 05/17/29 100.000 0.000 4.0200 66.74 0.118536 0.120919 0.123349 0.125829 0.128358 43.31 45.07 Societe Generale 83370BFL2 08/31/23 08/31/38 100.000 0.000 5.5100 18.52 0.153056 0.157249 0.161605 0.166008 0.170632 56.89 60.07 Societe Generale 83370B7A5 06/09/23 06/02/26 100.000 0.000 5.3300 30.02 0.151848 0.155895 0.160049 0.164314 0.168693 55.63 58.64 Societe Generale 83370B6P3 05/25/23 06/21/24 100.000 0.000 5.5700 33.58 0.159671 27.14 Societe Generale 83370BGW7 09/22/23 09/22/38 100.000 VARIES 5.5000 15.11 0.151950 0.148450 0.144900 0.141250 0.137450 53.39 50.74 Societe Generale 83370BGM9 09/22/23 09/24/26 100.000 0.000 5.6600 15.57 0.157272 0.161722 0.166299 0.171005 0.175845 58.29 61.64 Societe Generale 83370B6G3 05/09/23 05/07/24 100.000 0.000 5.0900 32.99 0.144947 18.26 Societe Generale 83370B6E8 05/09/23 05/09/24 100.000 0.000 5.0900 32.99 0.144987 18.56 Societe Generale 83370B3S0 03/31/23 03/31/29 100.000 VARIES 5.2570 39.19 0.142600 0.140950 0.142500 0.143650 0.144500 50.94 51.70 Societe Generale 83370B3D3 03/30/23 03/30/28 100.000 VARIES 4.5900 33.93 0.122983 0.121450 0.121950 0.122400 0.123133 43.82 44.07 Societe Generale 83370B3E1 03/16/23 03/27/24 100.000 0.000 4.7800 38.19 0.136150 11.71 Societe Generale 83370BEP4 08/25/23 02/20/25 100.000 0.000 5.1750 18.11 0.143750 0.147366 0.151179 53.37 7.41 Societe Generale 83370BF65 08/31/23 08/31/28 100.000 0.000 5.4300 18.25 0.150833 0.154906 0.159135 0.163407 0.167893 56.04 59.13 Societe Generale 83370BER0 08/25/23 02/20/25 100.000 0.000 5.1750 18.11 0.143750 0.147366 0.151179 53.37 7.41 Societe Generale 83369NZL7 02/17/23 02/17/35 100.000 VARIES 4.8800 41.66 0.130483 0.126883 0.123167 0.121283 0.121933 45.34 43.76 Societe Generale 83369NZS2 02/23/23 03/21/24 100.000 0.000 5.5800 48.36 0.160016 12.80 Societe Generale 83370BJW4 10/31/23 10/31/33 100.000 VARIES 6.3300 10.72 0.174900 0.171600 0.168250 0.164700 0.162250 61.97 59.50 Societe Generale 83370BL92 11/22/23 05/20/27 100.000 VARIES 5.5600 6.02 0.153083 0.151767 0.151733 0.152033 0.152583 54.76 54.70 Societe Generale 83370B7F4 06/13/23 06/08/26 100.000 0.000 5.3800 29.68 0.153353 0.157478 0.161714 0.166064 0.170531 56.14 59.20 Societe Generale 83369NMA5 05/18/22 05/20/24 100.000 VARIES 3.4900 57.48 0.099500 0.098500 13.67 Societe Generale 83370BJD6 11/01/23 01/30/25 100.000 0.000 5.7700 9.62 0.160278 0.162564 0.167254 59.16 4.85 Societe Generale 83370BJ87 11/02/23 11/02/28 100.000 VARIES 5.8900 6.05 0.161933 0.158267 0.156377 0.156750 0.157533 57.07 56.54 Societe Generale 83370BJ61 10/23/23 10/22/26 100.000 VARIES 6.1000 11.47 0.167183 0.165517 0.165700 0.166483 0.167517 59.68 59.90 Societe Generale 83370BJ38 10/20/23 02/13/25 100.000 0.000 6.6300 13.08 0.184167 0.187999 0.194232 68.38 8.16 Societe Generale 83369NT59 11/25/22 11/28/25 100.000 0.000 5.3450 59.80 0.156584 0.160769 0.165065 0.169476 57.40 54.77 Societe Generale 83369NQA1 08/31/22 08/29/25 100.000 0.000 4.3230 58.86 0.125316 0.128025 0.130792 0.133603 46.27 31.64 Societe Generale 83370FZY3 10/18/23 10/25/24 100.000 0.000 8.1300 16.51 0.226190 0.235385 68.15 Societe Generale 83370BAW3 06/30/23 06/30/33 100.000 0.000 5.2000 26.15 0.148200 0.152053 0.156007 0.160063 0.164224 54.05 56.90 Societe Generale 83370B2U6 03/10/23 03/10/35 100.000 VARIES 5.1080 40.83 0.138400 0.135550 0.132550 0.130650 0.131850 46.67 47.24 Societe Generale 83370BCM3 07/19/23 07/18/25 100.000 0.000 5.5000 24.75 0.152778 0.156956 0.161272 0.165707 57.14 32.57 Societe Generale 83370BCJ0 08/03/23 08/05/24 100.000 0.000 5.9500 24.47 0.165332 0.170251 36.27 Societe Generale 83370BCN1 07/26/23 10/24/24 100.000 0.000 5.8500 25.34 0.164824 0.169645 49.16 Societe Generale 83370BCE1 07/14/23 07/16/24 100.000 0.000 5.9200 27.47 0.164499 0.169368 32.95 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Societe Generale 83370BCF8 07/14/23 07/16/24 100.000 0.000 5.9200 27.47 0.164499 0.169368 32.95 Societe Generale 83369NXU9 12/28/22 12/27/24 100.000 0.000 5.2000 53.14 0.152032 0.155985 54.83 Societe Generale 83369NUW8 09/30/22 09/30/25 100.000 VARIES 3.0200 8.33 0.018750 0.018650 0.018500 0.018350 6.71 4.96 Societe Generale 83369NUY4 10/17/22 10/15/27 100.000 0.000 3.0001 36.58 0.085841 0.087129 0.088436 0.089762 0.091109 31.33 32.28 Societe Generale 83369NUZ1 02/23/23 02/21/25 100.000 0.000 5.2200 45.15 0.148742 0.152625 0.156608 55.27 7.83 Societe Generale 83369NV23 04/04/23 04/02/25 100.000 0.000 5.0000 37.39 0.142323 0.145881 0.149528 52.52 13.61 Societe Generale 83370BB44 07/07/23 07/31/24 100.000 0.000 5.5920 27.11 0.155888 0.160247 33.37 Societe Generale 83370BAA1 06/15/23 06/17/24 100.000 0.000 5.8100 31.71 0.166131 27.58 Societe Generale SA 83369NKA7 03/14/22 03/14/34 100.000 VARIES 3.6098 63.68 0.097682 0.098195 0.098467 0.098584 0.098612 35.34 35.48 Societe Generale SA 83369F3S4 02/28/18 02/27/25 100.000 0.000 3.2782 209.22 0.108884 0.110669 0.112483 39.97 6.30 Societe Generale SA 83369F3F2 01/31/18 01/30/25 100.000 0.000 3.2105 207.50 0.106255 0.107961 0.109694 39.08 3.18 Societe Generale SA 83369M5J7 04/06/21 04/06/36 100.000 VARIES 2.6792 70.07 0.068631 0.068345 0.068234 0.068225 0.068305 24.62 24.57 Societe Generale SA 83369M5M0 04/16/21 04/19/36 100.000 VARIES 2.6494 69.00 0.068568 0.068348 0.068250 0.068247 0.068310 24.62 24.57 Societe Generale SA 83369M5T5 04/30/21 04/30/31 100.000 VARIES 2.3695 61.43 0.062484 0.062406 0.062431 0.062530 0.062695 22.48 22.51 Societe Generale SA 83369FXR3 08/05/19 08/05/25 100.000 0.000 2.3103 106.51 0.070353 0.071165 0.071987 0.072819 25.71 15.56 Societe Generale SA 83369F4R5 03/02/18 03/04/25 100.000 0.000 3.3609 214.54 0.112162 0.114047 0.115963 41.16 7.31 Societe Generale SA 83369MJQ6 12/20/19 12/21/26 100.000 0.100 2.4730 103.96 0.075504 0.076403 0.077314 0.078235 0.079168 27.36 28.02 Societe Generale SA 83369N2F6 05/28/21 05/28/31 100.000 VARIES 2.3296 58.92 0.061895 0.061818 0.061825 0.061903 0.062034 22.27 22.28 Societe Generale SA 83369NAX8 08/25/21 08/25/26 100.000 VARIES 1.2819 30.15 0.035508 0.035735 0.035534 0.035761 0.035567 12.83 12.84 Societe Generale SA 83369M3N0 02/26/21 02/26/41 100.000 VARIES 2.4596 68.37 0.064569 0.064003 0.063593 0.063316 0.063151 23.02 22.79 Societe Generale SA 83369N3U2 06/22/21 06/22/26 100.000 0.000 1.3580 34.77 0.039020 0.039285 0.039552 0.039821 0.040091 14.10 14.29 Societe Generale SA 83369NUE8 03/28/22 03/29/32 100.000 VARIES 3.7300 65.16 0.102812 0.103162 0.103364 0.103528 0.103592 37.13 37.26 Societe Generale SA 83369NDP2 10/20/21 10/20/31 100.000 VARIES 2.1499 46.65 0.058547 0.058572 0.058634 0.058696 0.058771 21.09 21.13 Societe Generale SA 83369NEQ9 11/17/21 11/17/31 100.000 VARIES 2.2499 47.19 0.061325 0.061382 0.061453 0.061531 0.061622 22.09 22.14 Societe Generalle 83369NNV8 07/06/22 07/05/24 100.000 0.000 4.1100 62.33 0.118894 0.121337 22.32 Societe Generalle 83369NNW6 07/06/22 07/03/25 100.000 0.000 4.1200 62.49 0.119168 0.121623 0.124128 0.126685 44.23 23.05 Societe Generalle 83369NPJ3 07/29/22 07/29/37 100.000 VARIES 4.5700 62.48 0.117550 0.113200 0.109950 0.110100 0.110250 40.36 39.66 Societe Generalle 83369NPB0 07/14/22 07/14/25 100.000 0.000 4.2500 63.51 0.123126 0.125743 0.128415 0.131144 45.68 25.28 Somerset Hills Road Dist 83473PDB1 09/13/22 08/15/30 97.345 4.000 4.4000 21.50 0.046100 0.462000 0.463000 0.046400 0.046500 16.63 16.68 Somerset Hills Road Dist 83473PDA3 09/13/22 08/15/29 98.217 4.000 4.3000 16.59 0.035600 0.035600 0.035700 0.035750 0.035800 12.82 12.86 Somerset Hills Road Dist 83473PEE4 09/12/23 08/15/34 96.946 5.125 5.5000 4.13 0.038235 0.038333 0.038389 0.038400 0.038500 13.79 13.83 Somerset Hills Road Dist 83473PEL8 09/12/23 08/15/40 95.150 5.700 5.7000 4.23 0.039150 0.038889 0.039000 0.039100 0.039152 14.02 14.05 South Carolina Jobs-Econ 83704MDQ6 09/29/23 06/15/30 93.000 9.750 11.2600 2.55 0.028056 0.028222 0.028389 0.028500 0.028722 10.14 10.25 Sprint Capital Corporati 852060AD4 05/18/18 11/15/28 96.500 6.875 7.3596 15.46 0.009379 0.009724 0.010082 0.010453 0.010837 3.47 3.73 St. Clair County, IL 788553GU3 04/13/17 12/01/27 101.642 4.000 3.8108 259.07 0.106591 0.106505 0.106417 0.106328 0.106237 38.35 38.29 St. Clair County, IL 788553GT6 04/13/17 12/01/26 102.645 4.000 3.6716 251.22 0.102931 0.102781 0.102628 0.102472 0.102314 37.02 36.91 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 10.4990 2978.70 0.301911 0.300845 0.299723 0.298542 0.297299 108.30 107.47 TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39 58.349 0.000 3.0800 46.41 0.053271 0.054092 0.054925 0.055771 0.056629 19.55 20.16 TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38 60.655 0.000 3.0299 47.44 0.054420 0.055244 0.056081 0.056931 0.057793 19.97 20.58 THE GOLDMAN SACHS GROUP 38150AX26 12/26/23 12/26/30 100.000 0.000 5.4300 0.75 0.150833 0.154928 0.159135 0.163455 0.167893 55.08 58.11 THE GOLDMAN SACHS GROUP 38150AXL4 02/09/24 02/09/39 100.000 0.000 5.9100 0.164167 0.169018 0.174012 0.179154 53.55 63.18 THE GOLDMAN SACHS GROUP 38150AZ40 03/22/24 03/22/31 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 41.38 55.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ THE GOLDMAN SACHS GROUP 38150AZB4 03/22/24 03/22/34 100.000 0.000 5.4700 0.151944 0.156100 0.160369 0.164756 42.80 57.82 THE GOLDMAN SACHS GROUP 38150AZA6 03/22/24 03/22/34 100.000 0.000 5.5900 0.155278 0.159618 0.164079 0.168665 43.75 59.16 TITUS CNTY TEX 888514JY3 11/27/19 03/01/24 88.968 0.000 2.7616 105.78 0.075666 4.54 TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24 98.186 0.000 0.6601 17.34 0.018275 0.80 TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25 96.120 0.000 1.0502 27.12 0.028717 0.028868 0.029019 10.41 1.28 TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26 93.773 0.000 1.3501 34.12 0.036262 0.036507 0.036753 0.037001 0.037251 13.17 13.34 TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27 90.734 0.000 1.6899 41.48 0.044257 0.044631 0.045008 0.045388 0.045772 16.10 16.38 TOM BEAN TEX INDPT SCH 889608DJ1 11/06/20 02/15/26 93.785 0.000 1.2200 36.67 0.032875 0.033075 0.033277 0.033480 0.033684 11.93 12.07 TOM BEAN TEX INDPT SCH 889608DH5 11/06/20 02/15/25 96.111 0.000 0.9300 28.53 0.025475 0.025594 0.025713 9.22 1.13 TOM BEAN TEX INDPT SCH 889608DG7 11/06/20 02/15/24 97.323 0.000 0.8302 25.76 0.022966 1.01 TOM BEAN TEX INDPT SCH 889608DK8 11/06/20 02/15/27 92.075 0.000 1.3201 39.01 0.035018 0.035249 0.035482 0.035716 0.035952 12.71 12.88 TORONTO-DOMINION BANK 89114XC84 11/17/23 11/17/26 100.000 VARIES 5.8900 0.35 0.007843 0.007854 0.007865 0.007876 0.007887 2.83 2.83 TORONTO-DOMINION BANK 89114XF24 05/28/24 05/27/27 100.000 VARIES 5.4400 0.010320 0.010397 0.010417 0.010436 2.21 3.75 TORONTO-DOMINION BANK 89114XFF5 07/22/24 07/22/27 100.000 VARIES 5.7400 0.013117 0.013144 0.013179 2.09 4.74 TORONTO-DOMINION BANK 89115GBB4 06/25/24 06/25/26 100.000 0.000 5.4300 0.150833 0.154928 0.159135 0.163455 28.08 56.58 TORONTO-DOMINION BANK 89115GB32 06/20/24 06/18/26 100.000 0.000 5.3700 0.149167 0.153127 0.157239 0.161461 28.54 55.97 TORONTO-DOMINION BANK 89115GCE7 07/10/24 07/09/26 100.000 0.000 5.3000 0.147222 0.151102 0.155106 25.18 55.05 The Bank of Nova Scotia 06417YSW0 08/25/23 02/20/25 100.000 0.000 6.1400 21.49 0.170556 0.175646 0.181039 63.69 8.87 The Bank of Nova Scotia 06418G818 05/04/23 04/27/29 100.000 0.000 4.9900 33.06 0.141935 0.145476 0.149106 0.152826 0.156639 52.19 54.83 The Bank of Nova Scotia 06418A415 03/03/23 02/02/26 100.000 0.000 5.4858 45.93 0.155842 0.160117 0.164508 0.169021 0.173657 58.16 61.40 The Bank of Nova Scotia 06417YXJ3 12/20/23 01/06/26 100.000 0.000 5.2000 1.59 0.144444 0.144778 0.148543 0.152405 0.156367 52.78 55.54 The Bank of Nova Scotia 06417YDC0 01/19/23 02/14/24 100.000 0.000 4.8650 46.81 0.138894 5.97 The Bank of Nova Scotia 06417YFE4 03/17/23 03/17/25 100.000 VARIES 5.1700 2.50 0.008812 0.008827 0.008841 3.18 0.67 The Bank of Nova Scotia 06417YEJ4 02/23/23 02/27/26 100.000 0.000 5.3800 46.55 0.153556 0.157687 0.161929 0.166285 0.170758 57.06 60.17 The Bank of Nova Scotia 06417YMJ5 08/03/23 10/30/24 100.000 0.000 5.7300 23.69 0.161371 0.165994 49.08 The Bank of Nova Scotia 06418B397 04/08/23 03/29/29 100.000 0.000 5.2100 38.39 0.148304 0.152167 0.156131 0.160198 0.164371 54.80 57.70 The GEO Group, Inc. and 36162JAC0 08/19/22 06/30/28 96.220 10.500 11.4000 6.75 0.014367 0.015186 0.016052 0.016967 0.017934 5.62 6.28 The Goldman Sachs Group 38150ARJ6 03/29/23 04/29/24 100.000 VARIES 0.4500 5.77 0.021868 0.019032 2.56 The Toronto Dominion Ban 89114YDW8 10/05/22 10/02/25 100.000 0.000 5.4200 68.60 0.158756 0.163059 0.167478 0.172016 58.70 46.20 The Toronto Dominion Ban 89114YDS7 10/04/22 10/01/27 100.000 0.000 5.5900 70.96 0.164005 0.168589 0.173301 0.178144 0.183124 60.70 64.14 The Toronto Dominion Ban 89114YDX6 10/05/22 10/04/27 100.000 0.000 5.5900 70.79 0.164054 0.168640 0.173353 0.178198 0.183179 60.69 64.13 The Toronto-Dominion Ban 89114YPJ4 03/03/23 03/05/26 100.000 0.000 5.4700 45.78 0.156148 0.160418 0.164806 0.169313 0.173944 57.99 61.20 The Toronto-Dominion Ban 89115FBU4 09/15/23 09/15/28 100.000 VARIES 6.3200 1.01 0.009502 0.009518 0.009534 0.009551 0.009567 3.43 3.44 The Toronto-Dominion Ban 89114YP88 02/15/23 03/14/24 100.000 0.000 5.5400 49.28 0.158857 11.60 The Toronto-Dominion Ban 89114YP70 02/15/23 05/15/24 100.000 0.000 5.5400 49.31 0.160342 21.49 The Toronto-Dominion Ban 89115F2Z3 07/07/23 07/07/26 100.000 VARIES 5.6800 1.30 0.007475 0.007485 0.007495 0.007505 0.007515 2.70 2.70 The Toronto-Dominion Ban 89115F3C3 07/12/23 08/12/24 100.000 0.000 6.0400 28.47 0.168622 0.173715 38.18 The Toronto-Dominion Ban 89115FCJ8 09/22/23 09/24/25 100.000 0.000 6.0000 16.51 0.166722 0.171724 0.176876 0.182182 61.91 47.47 The Toronto-Dominion Ban 89115FCR0 09/27/23 09/27/28 100.000 VARIES 6.3400 0.71 0.007504 0.007514 0.007524 0.007534 0.007545 2.71 2.71 The Toronto-Dominion Ban 89114YCX7 09/27/22 09/27/27 100.000 0.000 4.3000 55.18 0.124636 0.127315 0.130053 0.132849 0.135705 45.86 47.85 The Toronto-Dominion Ban 89115FF22 10/19/23 03/20/25 100.000 0.000 6.0600 12.12 0.168333 0.172612 0.177842 62.33 14.05 The Toronto-Dominion Ban 89114YSX0 04/05/23 04/06/26 100.000 0.000 5.1800 38.59 0.147636 0.151460 0.155383 0.159407 0.163536 54.50 57.36 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ The Toronto-Dominion Ban 89114XCG6 11/30/23 05/31/27 100.000 VARIES 5.0900 0.19 0.006406 0.006414 0.006421 0.006428 0.006436 2.31 2.31 The Toronto-Dominion Ban 89114YW49 04/28/23 07/30/24 100.000 0.000 5.2500 35.73 0.147790 0.151669 31.59 The Toronto-Dominion Ban 89114YVH1 04/17/23 04/17/26 100.000 VARIES 5.5500 2.25 0.008868 0.008882 0.008896 0.008910 0.008924 3.20 3.21 The Toronto-Dominion Ban 89114YVE8 05/03/23 05/01/26 100.000 0.000 5.0300 33.46 0.143197 0.146799 0.150491 0.154275 0.158155 52.64 55.32 The Toronto-Dominion Ban 89114YYS4 06/08/23 06/10/24 100.000 0.000 5.7700 32.64 0.164955 26.23 The Toronto-Dominion Ban 89114YXW6 05/18/23 06/17/24 100.000 0.000 5.2000 32.38 0.148821 24.70 The Toronto-Dominion Ban 89114YY70 06/05/23 07/05/24 100.000 0.000 5.7200 32.86 0.159646 0.164212 30.20 The Toronto-Dominion Ban 89114YY54 05/25/23 05/28/24 100.000 0.000 5.5700 33.58 0.159105 23.39 The Toronto-Dominion Ban 89114YX97 05/17/23 08/15/24 100.000 0.000 5.2700 33.05 0.148275 0.152182 33.92 The Toronto-Dominion Ban 89114X6H1 02/24/23 02/24/26 100.000 VARIES 5.3300 6.41 0.021170 0.021787 0.022406 0.023028 0.023653 7.93 8.36 The Toronto-Dominion Ban 89117GDN4 01/18/23 01/26/24 100.000 0.000 5.3400 51.55 0.152475 3.81 The Toronto-Dominion Ban 89114X5Y5 01/27/23 01/27/25 100.000 VARIES 5.1100 7.66 0.022730 0.022982 0.023347 0.023973 8.43 0.62 The Toronto-Dominion Ban 89114YZC8 06/22/23 09/19/24 100.000 0.000 5.9150 31.29 0.166654 0.171583 43.88 The Toronto-Dominion Ban 89114YM99 01/19/23 02/16/24 100.000 0.000 5.3200 51.26 0.152314 6.85 The Toronto-Dominion Ban 89114X7B3 04/17/23 04/17/26 100.000 VARIES 5.7900 6.15 0.024285 0.024391 0.024497 0.024603 0.024711 8.78 8.86 The Toronto-Dominion Ban 89114YND9 02/01/23 03/01/24 100.000 0.000 5.3100 49.34 0.152086 9.13 The Toronto-Dominion Ban 89114YN72 02/08/23 05/08/24 100.000 0.000 5.3500 48.68 0.154627 19.64 The Toronto-Dominion Ban 89114YMQ1 01/24/23 02/23/24 100.000 0.000 5.2600 49.92 0.150589 7.83 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 8.8001 1453.72 0.235289 0.235498 0.235715 0.235942 0.236179 84.81 84.98 Toronto-Dominion Bank 89114V6L6 03/17/22 03/12/27 100.000 0.000 2.7306 49.74 0.078968 0.080047 0.081139 0.082247 0.083370 28.86 29.65 Toronto-Dominion Bank 89114TRA2 09/09/21 09/09/24 100.000 VARIES 0.6023 13.94 0.016780 0.016756 4.16 Toronto-Dominion Bank 89114Y3Z2 06/03/22 06/04/26 100.000 0.000 4.0000 64.51 0.117925 0.120283 0.122689 0.125143 0.127646 43.01 44.74 Toronto-Dominion Bank 89114TKW1 06/10/21 06/10/24 100.000 VARIES 0.5100 13.06 0.014180 2.25 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 267.93 0.067026 0.068634 0.070281 0.071968 0.073695 24.72 25.92 UBS 90307D5U2 07/23/24 01/23/26 100.000 0.000 5.3000 0.147222 0.151124 0.155128 23.26 54.95 UBS 90279WPA6 11/13/23 11/13/25 100.000 0.000 6.2700 8.36 0.174167 0.179627 0.185258 0.191066 64.22 58.85 UBS 90307DGG1 04/23/24 04/23/26 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 36.78 55.68 UBS 90307DGP1 04/23/24 04/23/26 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 35.38 53.48 UBS 902674M80 03/05/24 03/12/25 100.000 0.000 5.4500 0.151389 0.151549 0.155679 45.31 11.05 UBS 90307D4L3 07/17/24 07/15/27 100.000 0.000 5.0000 0.138889 0.142323 0.145881 22.78 51.78 UBS 90307DTX0 06/26/24 07/24/25 100.000 0.000 5.1700 0.143611 0.144189 0.147916 26.66 29.94 UBS 90307DTW2 06/26/24 07/24/25 100.000 0.000 5.1700 0.143611 0.144189 0.147916 26.66 29.94 UBS 9026745X4 04/03/24 04/03/29 100.000 0.000 4.9900 0.138611 0.142069 0.145614 0.149247 37.45 52.41 UBS 90307D2G6 07/09/24 01/07/26 100.000 0.000 5.2100 0.144722 0.148450 0.152317 24.89 54.09 UBS 90307DCL4 04/11/24 07/10/25 100.000 0.000 5.3300 0.148056 0.150006 0.154004 38.83 29.07 UBS 9026747D6 04/03/24 04/02/26 100.000 0.000 5.2500 0.145833 0.149640 0.153568 0.157599 39.42 55.29 UBS 90279W4Q4 02/28/24 11/30/27 100.000 0.000 4.8300 0.134167 0.135823 0.139103 0.142462 0.145903 41.10 50.89 UBS 90279WVK7 12/20/23 12/18/25 100.000 0.000 5.1000 1.56 0.141667 0.145239 0.148943 0.152741 51.74 52.37 UBS 90279WVL5 12/20/23 12/18/25 100.000 0.000 5.1000 1.56 0.141667 0.145239 0.148943 0.152741 51.74 52.37 UBS 90279WVJ0 12/20/23 12/18/25 100.000 0.000 5.1000 1.56 0.141667 0.145239 0.148943 0.152741 51.74 52.37 UBS 90279W7K4 02/28/24 02/26/27 100.000 0.000 5.1900 0.144167 0.147866 0.151703 0.155640 44.14 54.89 UBS 9026743V0 03/27/24 06/26/25 100.000 0.000 5.3000 0.147222 0.149151 0.153104 40.72 26.79 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS 90307DK92 07/24/24 08/22/25 100.000 0.000 5.0600 0.140556 0.141109 0.144679 22.14 33.24 UBS 90307DK84 07/24/24 08/22/25 100.000 0.000 5.0600 0.140556 0.141109 0.144679 22.14 33.24 UBS AG 90279GP29 08/09/23 09/09/24 100.000 VARIES 5.1600 20.35 0.146278 0.150000 36.53 UBS AG 90279FY96 02/15/23 08/15/24 100.000 VARIES 5.0707 2.69 0.008389 0.008611 1.91 UBS AG 90279WJH8 11/03/23 11/05/26 100.000 0.000 5.8500 9.43 0.162553 0.167307 0.172201 0.177238 0.182422 59.92 63.47 UBS AG 90279WKZ6 10/23/23 10/23/25 100.000 0.000 5.5100 10.41 0.153056 0.157272 0.161605 0.166057 56.44 47.99 UBS AG 90279WKY9 10/24/23 02/24/25 100.000 0.000 5.9800 11.13 0.166111 0.169422 0.174488 61.46 9.25 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 741.96 0.127835 0.131529 0.135330 0.139242 0.143266 47.89 50.70 UBS AG 90279GGB9 04/28/23 04/28/26 100.000 VARIES 3.1300 35.44 0.145833 0.012944 0.049056 0.078222 0.086556 21.91 25.70 UBS AG 90279WFN9 09/27/23 09/25/26 100.000 0.000 5.9300 15.48 0.164722 0.169552 0.174579 0.179755 0.185085 61.12 64.79 UBS AG 90279F4K4 02/28/23 03/05/24 100.000 0.000 5.7400 48.90 0.164204 10.51 UBS AG 90279GJA8 05/22/23 06/21/24 100.000 0.000 3.8300 23.38 0.108761 18.49 UBS AG 90279WAQ7 09/07/23 09/07/28 105.450 0.000 5.3200 17.76 0.155832 0.159977 0.164232 0.168601 0.173086 57.80 60.92 UBS AG 90279WQS6 11/30/23 12/02/25 100.000 0.000 6.8000 5.86 0.188960 0.195385 0.202028 0.208897 69.56 68.11 UBS AG 90279WQT4 11/30/23 12/02/25 100.000 0.000 6.8000 5.86 0.188960 0.195385 0.202028 0.208897 69.56 68.11 UBS AG 90279WQU1 11/30/23 12/02/25 100.000 0.000 6.8000 5.86 0.188960 0.195385 0.202028 0.208897 69.56 68.11 UBS AG 90279GEG0 04/26/23 10/24/24 100.000 0.000 5.1600 35.36 0.146990 0.150783 43.75 UBS AG 90279WUF9 12/07/23 06/05/25 100.000 0.000 5.4800 3.65 0.152222 0.156347 0.160631 55.76 24.74 UBS AG 90279FBV2 05/18/22 05/16/24 100.000 0.000 2.6700 43.91 0.077166 10.42 UBS AG London Branch 90279DZA7 02/24/22 02/22/24 100.000 0.000 1.4007 26.20 0.039728 2.03 UBS AG London Branch 90279DE77 02/28/22 09/04/24 100.000 0.000 1.1977 22.24 0.033879 0.034082 8.27 UBS AG London Branch 90290V846 03/25/22 09/26/24 100.000 0.000 2.1890 39.23 0.062827 0.063515 16.77 UBS AG London Branch 90279FAR2 05/12/22 05/14/24 100.000 0.000 2.7119 45.08 0.078448 10.43 UBS AG London Branch 90276BZH9 05/26/21 05/25/28 100.000 0.000 1.7723 46.90 0.051449 0.051905 0.052365 0.052829 0.053297 18.64 18.97 ULTRA RESOURCES INC 90400GAE1 12/21/18 07/12/24 100.000 9.000 9.0000 334.15 0.255944 0.277062 52.88 USB AG 90279GJ91 07/27/23 07/29/25 100.000 0.000 5.6200 24.05 0.156160 0.160548 0.165059 0.169698 58.36 35.17 USB AG 90279GE54 07/20/23 07/20/28 108.580 0.000 5.4600 26.51 0.164680 0.169175 0.173794 0.178538 0.183413 61.56 64.97 USB AG 90279GE47 07/25/23 07/24/25 100.000 0.000 4.6000 19.93 0.127778 0.130700 0.133706 0.136782 47.46 27.70 Union CNTY NJ IMPT Auth 906347UT4 11/25/15 12/01/47 18.159 0.000 5.4001 98.03 0.041755 0.042882 0.044040 0.045229 0.046451 15.30 16.14 Uruguay, Republic 917288BA9 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95000E3U1 10/20/17 10/22/24 100.000 0.250 1.8358 119.08 0.056103 0.056554 16.41 Wells Fargo & Company 94986RNX5 03/27/13 03/27/25 100.000 VARIES 1.3587 42.42 0.011543 0.011621 0.011700 4.18 1.01 Wells Fargo & Company 94986RMV0 01/25/13 01/27/25 100.000 VARIES 1.1863 39.44 0.010487 0.010549 0.010611 3.81 0.28 Wells Fargo & Company 95000N2D0 02/24/17 02/24/27 100.000 VARIES 2.7668 189.03 0.076685 0.076708 0.076732 0.076756 0.076780 27.62 27.63 Wells Fargo & Company 94986RA35 11/30/15 11/30/27 100.000 VARIES 2.3691 28.42 0.010105 0.010225 0.010346 0.010469 0.010593 3.67 3.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 95000N2K4 06/23/17 06/23/27 100.000 VARIES 2.5340 23.83 0.010529 0.010662 0.010797 0.010934 0.011072 3.82 3.91 Wells Fargo & Company 95000N2J7 05/19/17 05/19/27 100.000 VARIES 2.6993 30.42 0.012982 0.013157 0.013335 0.013515 0.013697 4.72 4.85 Wells Fargo & Company 95000N2T5 08/16/17 08/16/27 100.000 VARIES 2.5861 20.98 0.009376 0.009498 0.009620 0.009745 0.009871 3.43 3.52 Wells Fargo & Company 95000N2V0 08/31/17 08/31/29 100.000 VARIES 2.4309 18.98 0.008431 0.008533 0.008637 0.008741 0.008848 3.08 3.15 Wells Fargo & Company 95000N2P3 07/25/17 07/25/29 100.000 VARIES 2.6059 18.09 0.007916 0.008019 0.008124 0.008230 0.008337 2.90 2.98 Wells Fargo & Company 95000N2Y4 09/15/17 09/15/27 100.000 VARIES 2.8997 32.88 0.014255 0.014462 0.014672 0.014885 0.015100 5.21 5.37 Wells Fargo & Company 95000N2Z1 09/20/17 09/20/27 100.000 VARIES 2.5328 18.79 0.008609 0.008718 0.008829 0.008941 0.009054 3.14 3.22 Wells Fargo & Company 95000N3F4 10/25/17 10/25/27 100.000 VARIES 2.7552 17.75 0.008197 0.008310 0.008424 0.008541 0.008658 2.99 3.07 Wells Fargo & Company 94986RB59 12/24/15 12/24/25 100.000 VARIES 2.3798 26.67 0.009821 0.009938 0.010056 0.010176 3.56 3.57 Wells Fargo & Company 95000N3G2 10/20/17 10/20/27 100.000 VARIES 2.7158 19.48 0.008973 0.009095 0.009218 0.009343 0.009470 3.27 3.36 Wells Fargo & Company 95000N3B3 09/21/17 09/21/27 100.000 VARIES 2.5668 18.83 0.008548 0.008657 0.008769 0.008881 0.008995 3.12 3.20 Wells Fargo & Company 95000N3N7 01/31/18 01/31/38 100.000 VARIES 3.2610 16.28 0.007091 0.007206 0.007324 0.007443 0.007565 2.61 2.69 Wells Fargo & Company 95000N3M9 01/31/18 01/31/28 100.000 VARIES 3.2008 14.72 0.007025 0.007138 0.007252 0.007368 0.007486 2.58 2.67 Wells Fargo & Company 94986RB91 12/23/15 12/23/30 100.000 VARIES 2.5508 29.80 0.010499 0.010633 0.010768 0.010906 0.011045 3.81 3.90 Wells Fargo & Company 94986RB75 12/23/15 12/23/27 100.000 VARIES 2.4986 27.95 0.010037 0.010163 0.010290 0.010418 0.010548 3.64 3.73 Wells Fargo & Company 94986RE72 02/24/16 02/24/28 100.000 VARIES 1.9880 32.81 0.011842 0.011960 0.012079 0.012199 0.012320 4.31 4.40 Wells Fargo & Company 94986RUW9 09/23/14 09/23/24 100.000 VARIES 2.5651 23.92 0.007874 0.007975 2.08 Wells Fargo & Company 94986RVA6 09/30/14 09/30/24 100.000 VARIES 2.5155 23.93 0.007882 0.007981 2.14 Wells Fargo & Company 95001D2G4 04/20/18 04/20/28 100.000 VARIES 3.4399 22.45 0.011148 0.011340 0.011535 0.011733 0.011935 4.08 4.22 Wells Fargo & Company 95001D2D1 03/21/18 03/21/30 100.000 VARIES 3.3176 17.43 0.008380 0.008519 0.008660 0.008804 0.008950 3.07 3.17 Wells Fargo & Company 94986RD40 01/26/16 01/26/26 100.000 VARIES 2.1764 27.94 0.010248 0.010359 0.010472 0.010586 0.010701 3.74 3.83 Wells Fargo & Company 95001D2N9 07/03/18 07/03/28 100.000 VARIES 3.5475 29.97 0.014689 0.014950 0.015215 0.015485 0.015759 5.43 5.62 Wells Fargo & Company 95001D2X7 09/26/18 09/26/28 100.000 VARIES 3.7928 15.15 0.008006 0.008158 0.008313 0.008471 0.008631 2.94 3.05 Wells Fargo & Company 95001D2R0 08/24/18 08/24/28 100.000 VARIES 3.6466 34.47 0.017312 0.017627 0.017949 0.018276 0.018609 6.37 6.60 Wells Fargo & Company 94986RWZ0 05/21/15 05/21/27 100.000 VARIES 2.2895 32.32 0.010877 0.011002 0.011127 0.011255 0.011384 3.95 4.04 Wells Fargo & Company 94986RWJ6 03/31/15 03/31/25 100.000 VARIES 2.0659 178.33 0.057066 0.057171 0.057278 20.58 5.10 Wells Fargo & Company 94986RG21 03/23/16 03/23/26 100.000 VARIES 2.2005 30.42 0.011400 0.011526 0.011653 0.011781 0.011910 4.15 4.24 Wells Fargo & Company 94986RWQ0 04/22/15 04/22/30 100.000 VARIES 2.2225 186.71 0.059748 0.059891 0.060035 0.060182 0.060330 21.55 21.66 Wells Fargo & Company 94986RX30 10/18/16 10/18/26 100.000 VARIES 2.2447 23.88 0.009444 0.009550 0.009657 0.009765 0.009875 3.43 3.51 Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25 100.000 VARIES 2.1821 33.22 0.010959 0.011079 0.011200 4.00 0.63 Wells Fargo & Company 94986RZB0 10/05/15 10/05/27 100.000 VARIES 2.2452 31.96 0.011126 0.011251 0.011377 0.011505 0.011634 4.05 4.14 Wells Fargo & Company 94986RZN4 10/26/15 10/26/27 100.000 VARIES 2.3226 186.16 0.063500 0.063622 0.063745 0.063870 0.063997 22.90 22.99 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27 100.000 VARIES 2.3811 36.57 0.012773 0.012925 0.013079 0.013235 0.013392 4.65 4.76 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25 100.000 VARIES 2.2547 28.57 0.010068 0.010181 0.010296 0.010412 3.66 2.88 Wells Fargo & Company 94986RZ46 10/20/16 10/20/26 100.000 VARIES 2.2262 32.86 0.013003 0.013147 0.013294 0.013442 0.013591 4.73 4.83 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27 100.000 VARIES 2.4323 26.81 0.009252 0.009364 0.009478 0.009594 0.009710 3.38 3.46 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27 100.000 VARIES 2.5017 31.22 0.010500 0.010631 0.010764 0.010899 0.011035 3.80 3.90 Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27 100.000 VARIES 2.4666 28.11 0.009595 0.009713 0.009833 0.009954 0.010077 3.51 3.60 Wells Fargo Finance LLC 95001H4M0 05/02/19 05/02/24 100.000 0.000 2.9409 145.90 0.093162 11.27 Wells Fargo Finance LLC 95001H6T3 08/07/19 02/06/25 100.000 0.000 1.8602 84.89 0.055643 0.056161 0.056683 20.28 1.98 Wells Fargo Finance LLC 95001HC41 10/31/19 11/01/24 100.000 0.250 2.3100 100.06 0.069677 0.070402 21.03 Wells Fargo Finance LLC 95001HB26 11/07/19 05/07/24 100.000 0.000 1.5803 67.51 0.046750 5.89 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 2024 1st 2024 2nd 2024 3rd 2025 2nd 2025 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/24 Period Period 2025 1st Period Period 2024 2025 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8744 506.56 0.160600 0.166923 0.173495 0.180326 0.187426 59.73 64.52 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8993 469.14 0.148955 0.154838 0.160954 0.167311 0.173919 55.40 59.87 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3751 465.40 0.142626 0.147885 0.153339 0.158993 0.164856 53.26 57.26 Will County, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 529.44 0.136684 0.140682 0.144797 0.149032 0.153391 50.66 53.66 Will County, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.8000 558.53 0.143702 0.147869 0.152157 0.156570 53.24 41.88 XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31 76.938 0.000 2.3800 59.82 0.054711 0.055362 0.056021 0.056687 0.057362 19.85 20.33 XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28 84.602 0.000 2.0800 57.25 0.052098 0.052640 0.053187 0.053740 0.054299 18.89 19.28 XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29 82.128 0.000 2.1800 58.33 0.053168 0.053748 0.054334 0.054926 0.055525 19.28 19.70 XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30 79.569 0.000 2.2800 59.19 0.054040 0.054656 0.055279 0.055909 0.056546 19.60 20.05 YPF SA 984245AU4 02/12/21 02/12/26 84.050 VARIES 11.5342 178.09 0.152748 0.123198 0.093176 0.062656 0.031607 41.39 19.49 YPF SA 984245AV2 02/12/21 06/30/29 62.500 VARIES 15.6363 250.92 0.282650 0.290631 0.299237 0.308516 0.318520 103.21 109.41 YPF SA 984245AW0 02/12/21 09/30/33 51.824 VARIES 14.1442 197.47 0.215614 0.220058 0.224816 0.229910 0.235365 79.26 82.81 YPF SA P989MJBR1 02/12/21 02/12/26 84.050 VARIES 11.5342 178.09 0.152748 0.123198 0.093176 0.062656 0.031607 41.39 19.49 YPF SA P989MJBS9 02/12/21 06/30/29 62.500 VARIES 15.6363 250.92 0.282650 0.290631 0.299237 0.308516 0.318520 103.21 109.41 YPF SA P989MJBT7 02/12/21 09/30/33 51.824 VARIES 14.1442 197.47 0.215614 0.220058 0.224816 0.229910 0.235365 79.26 82.81 YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32 74.040 0.000 2.5069 66.30 0.055649 0.056347 0.057053 0.057768 0.058492 20.35 20.86 YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33 70.834 0.000 2.6570 67.38 0.056683 0.057436 0.058199 0.058972 0.059755 20.75 21.30 YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28 85.466 0.000 1.9570 59.26 0.049318 0.049801 0.050288 0.050780 0.051277 17.97 18.33 YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29 83.069 0.000 2.0570 60.63 0.050537 0.051056 0.051582 0.052112 0.052648 18.43 18.81 YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30 80.420 0.000 2.1769 62.23 0.051966 0.052532 0.053104 0.053682 0.054266 18.96 19.38 YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31 76.994 0.000 2.3769 65.25 0.054653 0.055303 0.055960 0.056625 0.057298 19.97 20.45 YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25 93.296 0.000 1.3750 45.06 0.037162 0.037417 0.037675 0.037934 13.49 8.49 YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26 90.614 0.000 1.6319 52.14 0.043174 0.043527 0.043882 0.044240 0.044601 15.70 15.96 YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27 88.221 0.000 1.7820 55.56 0.046109 0.046520 0.046934 0.047352 0.047774 16.79 17.09 YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24 95.004 0.000 1.2651 42.15 0.034700 0.034920 7.81 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2397 858.56 0.194077 5.82 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2024 1st 2024 2nd 2024 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/24 Period Period Period 2024 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625 902.26 0.097308 0.180656 0.080000 49.42 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875 871.55 0.095769 0.177760 0.078718 48.63 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375 733.36 0.088654 0.164645 0.072821 45.03 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375 632.23 -0.105714 0.187348 0.058706 42.41 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000 550.16 -0.100714 0.177901 0.055765 40.27 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375 525.66 -0.099286 0.175138 0.054824 39.63 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750 468.62 -0.095000 0.168564 0.052765 38.15 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500 433.03 -0.092857 0.164475 0.051529 37.23 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125 423.48 -0.078889 0.184420 0.051439 36.98 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125 404.95 -0.078000 0.181989 0.050863 36.50 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750 361.61 -0.075333 0.176354 0.049281 35.38 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625 338.22 -0.074222 0.173315 0.048417 34.76 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625 318.61 -0.085714 -1.20 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375 320.14 -0.073111 0.170994 0.047770 34.30 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125 295.75 -0.084286 0.148729 25.74 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250 298.99 -0.084286 0.149116 0.046706 33.75 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750 306.56 -0.072444 0.169227 0.047266 33.94 U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375 297.40 -0.084286 0.148950 0.046647 33.71 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625 294.85 -0.084286 0.148619 0.046588 33.64 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000 298.49 -0.071778 0.168177 0.046978 33.74 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125 283.56 -0.083571 0.147348 0.046176 33.35 U.S. Treasury 912828V49 01/15/17 01/15/27 100.000 0.375 273.69 -0.082857 0.146188 0.045824 33.09 U.S. Treasury 912810RW0 02/15/17 02/15/47 100.000 0.875 274.57 -0.070667 0.165083 0.046115 33.11 U.S. Treasury 9128282L3 07/15/17 07/15/27 100.000 0.375 257.76 -0.082143 0.144420 0.045176 32.67 U.S. Treasury 9128283R9 01/15/18 01/15/28 100.000 0.500 247.32 -0.081429 0.143204 0.044824 32.40 U.S. Treasury 912810SB5 02/15/18 02/15/48 100.000 1.000 247.67 -0.069111 0.161602 0.045108 32.41 U.S. Treasury 912828Y38 07/15/18 07/15/28 100.000 0.750 225.70 -0.080000 0.140718 0.044059 31.84 U.S. Treasury 9128285W6 01/15/19 01/15/29 100.000 0.875 218.49 -0.079286 0.139834 0.043824 31.65 U.S. Treasury 912810SG4 02/15/19 02/15/49 100.000 1.000 222.69 -0.067778 0.158343 0.044245 31.76 U.S. Treasury 9128286N5 04/15/19 04/15/24 100.000 0.500 219.91 0.062404 6.49 U.S. Treasury 9128287D6 07/15/19 07/15/29 100.000 0.250 202.81 -0.078571 0.138066 0.043294 31.25 U.S. Treasury 912828YL8 10/15/19 10/15/24 100.000 0.125 199.19 0.061346 0.113934 27.23 U.S. Treasury 912828Z37 01/15/20 01/15/30 100.000 0.125 195.84 -0.077143 0.137238 0.043000 31.07 U.S. Treasury 912810SM1 02/15/20 02/15/50 100.000 0.250 196.72 -0.066222 0.154972 0.043309 31.09 U.S. Treasury 912828ZJ2 04/15/20 04/15/25 100.000 0.125 191.13 0.060962 0.113115 0.050128 30.95 U.S. Treasury 912828ZZ6 07/15/20 07/15/30 100.000 0.125 200.01 -0.078571 0.137790 0.043118 31.17 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2024 1st 2024 2nd 2024 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/24 Period Period Period 2024 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 91282CAQ4 10/15/20 10/15/25 100.000 0.125 185.77 0.060673 0.112623 0.049744 30.80 U.S. Treasury 91282CBF7 01/15/21 01/15/31 100.000 0.125 181.91 -0.076429 0.135635 0.042529 30.71 U.S. Treasury 912810SV1 02/15/21 02/15/51 100.000 0.125 181.75 -0.065333 0.153039 0.042734 30.70 U.S. Treasury 91282CCA7 04/15/21 04/15/26 100.000 0.125 173.20 0.060000 0.111421 0.049231 30.47 U.S. Treasury 91282CCM1 07/15/21 07/15/31 100.000 0.125 147.94 -0.075000 0.131768 0.041294 29.82 U.S. Treasury 91282CDC2 10/15/21 10/15/26 100.000 0.125 125.94 0.057596 0.106940 0.047308 29.25 U.S. Treasury 91282CDX6 01/15/22 01/15/32 100.000 0.125 109.91 -0.072143 0.127403 0.039941 28.84 U.S. Treasury 912810TE8 02/15/22 02/15/52 100.000 0.125 105.24 -0.061333 0.143149 0.040000 28.71 U.S. Treasury 91282CEJ6 04/15/22 04/15/27 100.000 0.125 89.69 0.055769 0.103497 0.045769 28.31 U.S. Treasury 91282CEZ0 07/15/22 07/15/32 100.000 0.625 58.93 -0.068571 0.121547 0.038059 27.51 U.S. Treasury 91282CFR7 10/15/22 10/15/27 100.000 1.625 38.63 0.053077 0.098689 0.043590 26.98 U.S. Treasury 91282CGK1 01/15/23 01/15/33 100.000 1.125 32.88 -0.067143 0.118564 0.037176 26.84 U.S. Treasury 912810TP3 02/15/23 02/15/53 100.000 1.500 35.04 -0.057333 0.134088 0.037410 26.89 U.S. Treasury 91282CGW5 04/15/23 04/15/28 100.000 1.250 25.74 0.052500 0.097432 0.043077 26.65 U.S. Treasury 91282CHP9 07/15/23 07/15/33 100.000 1.375 13.05 -0.065714 0.116243 0.036471 26.32 U.S. Treasury 91282CJH5 10/15/23 10/15/28 100.000 2.375 4.50 0.051346 0.095410 0.042179 26.09 U.S. Treasury 91282CJY8 01/15/24 01/15/34 100.000 1.750 0.114917 0.035941 27.95 U.S. Treasury 912810TY4 02/15/24 02/15/54 100.000 2.125 0.129834 0.036259 29.02 U.S. Treasury 91282CKL4 04/15/24 04/15/29 100.000 2.125 0.095525 0.035765 17.46 U.S. Treasury 91282CLE9 07/15/24 07/15/34 100.000 1.875 0.035235 5.13 U.S. Treasury 91282CLV1 10/15/24 10/15/29 100.000 1.625 0.041026 2.78 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 2024). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/24 03/31/24 13.25 07/01/32 09/30/32 27.95 04/01/24 06/30/24 25.63 10/01/32 12/31/32 27.68 07/01/24 09/30/24 36.43 01/01/33 03/31/33 27.42 10/01/24 12/31/24 46.09 04/01/33 06/30/33 27.16 01/01/25 03/31/25 43.89 07/01/33 09/30/33 26.90 04/01/25 06/30/25 41.84 10/01/33 12/31/33 26.65 07/01/25 09/30/25 40.41 01/01/34 03/31/34 26.44 10/01/25 12/31/25 39.19 04/01/34 06/30/34 26.19 01/01/26 03/31/26 38.19 07/01/34 09/30/34 25.99 04/01/26 06/30/26 37.20 10/01/34 12/31/34 25.79 07/01/26 09/30/26 36.50 01/01/35 03/31/35 25.59 10/01/26 12/31/26 35.73 04/01/35 06/30/35 25.39 01/01/27 03/31/27 35.14 07/01/35 09/30/35 25.18 04/01/27 06/30/27 34.56 10/01/35 12/31/35 24.98 07/01/27 09/30/27 34.08 01/01/36 03/31/36 24.82 10/01/27 12/31/27 33.60 04/01/36 06/30/36 24.62 01/01/28 03/31/28 33.13 07/01/36 09/30/36 24.42 04/01/28 06/30/28 32.67 10/01/36 12/31/36 24.21 07/01/28 09/30/28 32.29 01/01/37 03/31/37 24.05 10/01/28 12/31/28 31.92 04/01/37 06/30/37 23.84 01/01/29 03/31/29 31.62 07/01/37 09/30/37 23.64 04/01/29 06/30/29 31.40 10/01/37 12/31/37 23.44 07/01/29 09/30/29 31.18 01/01/38 03/31/38 23.23 10/01/29 12/31/29 30.89 04/01/38 06/30/38 23.03 01/01/30 03/31/30 30.67 07/01/38 09/30/38 22.86 04/01/30 06/30/30 30.38 10/01/38 12/31/38 22.65 07/01/30 09/30/30 30.16 01/01/39 03/31/39 22.45 10/01/30 12/31/30 29.88 04/01/39 06/30/39 22.25 01/01/31 03/31/31 29.59 07/01/39 09/30/39 22.04 04/01/31 06/30/31 29.31 10/01/39 12/31/39 21.84 07/01/31 09/30/31 29.04 01/01/40 03/31/40 21.63 10/01/31 12/31/31 28.76 04/01/40 06/30/40 21.41 01/01/32 03/31/32 28.49 07/01/40 09/30/40 21.21 04/01/32 06/30/32 28.22 10/01/40 12/31/40 21.01 01/01/41 03/31/41 20.79 04/01/49 06/30/49 14.71 04/01/41 06/30/41 20.59 07/01/49 09/30/49 14.56 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 07/01/41 09/30/41 20.39 10/01/49 12/31/49 14.42 10/01/41 12/31/41 20.18 01/01/50 03/31/50 14.27 01/01/42 03/31/42 19.96 04/01/50 06/30/50 14.13 04/01/42 06/30/42 19.77 07/01/50 09/30/50 13.99 07/01/42 09/30/42 19.56 10/01/50 12/31/50 13.85 10/01/42 12/31/42 19.35 01/01/51 03/31/51 13.72 01/01/43 03/31/43 19.15 04/01/51 06/30/51 13.58 04/01/43 06/30/43 18.94 07/01/51 09/30/51 13.45 07/01/43 09/30/43 18.74 10/01/51 12/31/51 13.32 10/01/43 12/31/43 18.54 01/01/52 03/31/52 13.19 01/01/44 03/31/44 18.35 04/01/52 06/30/52 13.06 04/01/44 06/30/44 18.14 07/01/52 09/30/52 12.94 07/01/44 09/30/44 17.95 10/01/52 12/31/52 12.81 10/01/44 12/31/44 17.76 01/01/53 03/31/53 12.69 01/01/45 03/31/45 17.58 04/01/53 06/30/53 12.57 04/01/45 06/30/45 17.39 07/01/53 09/30/53 12.45 07/01/45 09/30/45 17.20 10/01/53 12/31/53 12.33 10/01/45 12/31/45 17.02 01/01/54 03/31/54 12.21 01/01/46 03/31/46 16.84 04/01/54 06/30/54 12.09 04/01/46 06/30/46 16.67 07/01/54 09/30/54 11.97 07/01/46 09/30/46 16.49 10/01/54 12/31/54 11.85 10/01/46 12/31/46 16.32 01/01/55 03/31/55 11.73 01/01/47 03/31/47 16.15 04/01/55 06/30/55 11.62 04/01/47 06/30/47 15.98 07/01/55 09/30/55 11.50 07/01/47 09/30/47 15.81 10/01/55 12/31/55 11.39 10/01/47 12/31/47 15.65 01/01/56 03/31/56 11.28 01/01/48 03/31/48 15.49 04/01/56 06/30/56 11.17 04/01/48 06/30/48 15.33 07/01/56 09/30/56 11.06 07/01/48 09/30/48 15.17 10/01/56 12/31/56 10.95 10/01/48 12/31/48 15.02 01/01/57 03/31/57 10.84 01/01/49 03/31/49 14.86 04/01/57 06/30/57 10.73 07/01/57 09/30/57 10.63 04/01/61 06/30/61 9.16 10/01/57 12/31/57 10.52 07/01/61 09/30/61 9.08 01/01/58 03/31/58 10.42 10/01/61 12/31/61 8.98 04/01/58 06/30/58 10.32 01/01/62 03/31/62 8.90 07/01/58 09/30/58 10.22 04/01/62 06/30/62 8.81 10/01/58 12/31/58 10.12 07/01/62 09/30/62 8.72 01/01/59 03/31/59 10.02 10/01/62 12/31/62 8.64 04/01/59 06/30/59 9.92 01/01/63 03/31/63 8.55 07/01/59 09/30/59 9.82 04/01/63 06/30/63 8.47 10/01/59 12/31/59 9.72 07/01/63 09/30/63 8.38 01/01/60 03/31/60 9.63 10/01/63 12/31/63 8.30 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 04/01/60 06/30/60 9.53 01/01/64 03/31/64 8.22 07/01/60 09/30/60 9.44 04/01/64 06/30/64 8.14 10/01/60 12/31/60 9.35 07/01/64 09/30/64 8.06 01/01/61 03/31/61 9.26 10/01/64 12/31/64 7.98 Note: This section lists OID for use SOLELY by brokers and other middlemen in preparing information returns for zero coupon instruments issued under the Department of the Treasury's STRIPS program, by government-sponsored enterprises such as the Resolution Funding Corporation and the Financing Corporation, or as instruments backed by U.S. Treasury securities that represent ownership interests in such securities. If you owned or held such debt instruments in 2021, do not rely on the amounts listed in this section. Instead, follow the OID computation rules and methods described earlier in this publication under "Figuring OID on Stripped Bonds and Coupons. Section III-A Short Term U.S. Treasury Bills Issued at a Discount and Maturing January 2024 - December 2025 Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797HX8 01/02/24 09/05/23 98.238 17.62 912797FW2 01/04/24 07/06/23 97.341 26.59 912797HY6 01/09/24 09/12/23 98.236 17.64 912797GC5 01/11/24 07/13/23 97.336 26.64 912797HZ3 01/16/24 09/19/23 98.238 17.62 912797GD3 01/18/24 07/20/23 97.346 26.54 912797JA6 01/23/24 09/26/23 98.235 17.65 912796ZY8 01/25/24 01/26/23 95.480 45.20 912797JB4 01/30/24 10/03/23 98.233 17.67 912797GE1 02/01/24 08/03/23 97.336 26.64 912797JC2 02/06/24 10/10/23 98.232 17.68 912797GM3 02/08/24 08/10/23 97.338 26.62 912797JD0 02/13/24 10/17/23 98.230 17.70 912797GN1 02/15/24 08/17/23 97.326 26.74 912797JE8 02/20/24 10/24/23 98.230 17.70 912796Z28 02/22/24 02/23/23 95.152 48.48 912797JF5 02/27/24 10/31/23 98.236 17.64 912797GP6 02/29/24 08/31/23 97.295 27.05 912797JG3 03/05/24 11/07/23 98.235 17.65 912797GQ4 03/07/24 09/07/23 97.321 26.79 912797JH1 03/12/24 11/14/23 98.253 17.47 912797GX9 03/14/24 09/14/23 97.321 26.79 912797JJ7 03/19/24 11/21/23 98.263 17.37 912797LL9 03/21/24 03/23/23 95.561 44.39 912797JK4 03/26/24 11/28/23 98.261 17.39 912797GY7 03/28/24 09/28/23 97.313 26.87 912797JL2 04/02/24 12/05/23 98.268 17.32 912797GZ4 04/04/24 10/05/23 97.300 27.00 912797JM0 04/09/24 12/12/23 98.268 17.32 912797HF7 04/11/24 10/12/23 97.310 26.90 912797JN8 04/16/24 12/19/23 98.265 17.35 912796CX5 04/18/24 04/20/23 95.420 45.80 912797JP3 04/23/24 12/26/23 98.275 17.25 912797HG5 04/25/24 10/26/23 97.308 26.92 912797JQ1 04/30/24 01/02/24 98.278 17.22 912797HH3 05/02/24 11/02/23 97.310 26.90 Section III-A (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797JV0 05/07/24 01/09/24 98.281 17.19 912797HQ3 05/09/24 11/09/23 97.341 26.59 912797JW8 05/14/24 01/16/24 98.288 17.12 912797FH5 05/16/24 05/18/23 95.303 46.97 912797JX6 05/21/24 01/23/24 98.286 17.14 912797HR1 05/23/24 11/24/23 97.370 26.30 912797JY4 05/28/24 01/30/24 98.286 17.14 912797HS9 05/30/24 11/30/23 97.351 26.49 912797JZ1 06/04/24 02/06/24 98.298 17.02 912797HT7 06/06/24 12/07/23 97.376 26.24 912797KE6 06/11/24 02/13/24 98.288 17.12 912797FS1 06/13/24 06/15/23 95.015 49.85 912797KF3 06/18/24 02/20/24 98.276 17.24 912796ZW2 06/20/24 12/21/23 97.407 25.93 912797KG1 06/25/24 02/27/24 98.276 17.24 912796Y45 06/27/24 12/28/23 97.432 25.68 912797KH9 07/02/24 03/05/24 98.273 17.27 912796Y52 07/05/24 01/04/24 97.435 25.65 912797KN6 07/09/24 03/12/24 98.279 17.21 912797GB7 07/11/24 07/13/23 94.813 51.87 912797KP1 07/16/24 03/19/24 98.278 17.22 912797JS7 07/18/24 01/18/24 97.485 25.15 912797KQ9 07/23/24 03/26/24 98.276 17.24 912797JT5 07/25/24 01/25/24 97.462 25.38 912797KR7 07/30/24 04/02/24 98.279 17.21 912797JU2 08/01/24 02/01/24 97.480 25.20 912797KW6 08/06/24 04/09/24 98.281 17.19 912797GK7 08/08/24 08/10/23 94.884 51.16 912797KX4 08/13/24 04/16/24 98.271 17.29 912797KB2 08/15/24 02/15/24 97.439 25.61 912797KY2 08/20/24 04/23/24 98.268 17.32 912797KC0 08/22/24 02/22/24 97.422 25.78 912797KZ9 08/27/24 04/30/24 98.268 17.32 912797KD8 08/29/24 02/29/24 97.407 25.93 912797LA3 09/03/24 05/07/24 98.266 17.34 912797GL5 09/05/24 09/07/23 94.823 51.77 912797LG0 09/10/24 05/14/24 98.268 17.32 912797KK2 09/12/24 03/14/24 97.422 25.78 912797LH8 09/17/24 05/21/24 98.270 17.30 912797KL0 09/19/24 03/21/24 97.407 25.93 912797LJ4 09/24/24 05/28/24 98.270 17.30 912797KM8 09/26/24 03/28/24 97.419 25.81 Section III-A (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797LK1 10/01/24 06/04/24 98.268 17.32 912797GW1 10/03/24 10/05/23 94.757 52.43 912797LS4 10/08/24 06/11/24 98.273 17.27 912797KT3 10/10/24 04/11/24 97.412 25.88 912797LT2 10/15/24 06/18/24 98.275 17.25 912797KU0 10/17/24 04/18/24 97.394 26.06 912797LU9 10/22/24 06/25/24 98.275 17.25 912797KV8 10/24/24 04/25/24 97.391 26.09 912797LV7 10/29/24 07/02/24 98.275 17.25 912797HE0 10/31/24 11/02/23 94.808 51.92 912797MA2 11/05/24 07/09/24 98.279 17.21 912797LC9 11/07/24 05/09/24 97.394 26.06 912797MB0 11/12/24 07/16/24 98.283 17.17 912797LD7 11/14/24 05/16/24 97.389 26.11 912797MC8 11/19/24 07/23/24 98.303 16.97 912797LE5 11/21/24 05/23/24 97.391 26.09 912797MD6 11/26/24 07/30/24 98.309 16.91 912797HP5 11/29/24 11/30/23 94.996 50.04 912797ME4 12/03/24 08/06/24 98.317 16.83 912797LF2 12/05/24 06/06/24 97.394 26.06 912797MN4 12/10/24 08/13/24 98.351 16.49 912797LP0 12/12/24 06/13/24 97.389 26.11 912797MP9 12/17/24 08/20/24 98.354 16.46 912797LQ8 12/19/24 06/20/24 97.396 26.04 912797MQ7 12/24/24 08/27/24 98.374 16.26 912796ZV4 12/26/24 12/28/23 95.354 46.46 912797MR5 12/31/24 09/03/24 98.390 16.10 912797LR6 01/02/25 07/05/24 97.428 25.72 912797MW4 01/07/25 09/10/24 98.410 15.90 912797LX3 01/09/25 07/11/24 97.432 25.68 912797MX2 01/14/25 09/17/24 98.433 15.67 912797LY1 01/16/25 07/18/24 97.480 25.20 912797MY0 01/21/25 09/24/24 98.460 15.40 912797JR9 01/23/25 01/25/24 95.379 46.21 912797MZ7 01/28/25 10/01/24 98.536 14.64 912797LZ8 01/30/25 08/01/24 97.508 24.92 912797NF0 02/04/25 10/08/24 98.542 14.58 912797MJ3 02/06/25 08/08/24 97.624 23.76 912797NG8 02/11/25 10/15/24 98.536 14.64 912797MK0 02/13/25 08/15/24 97.576 24.24 912797NH6 02/18/25 10/22/24 98.539 14.61 912797KA4 02/20/25 02/22/24 95.253 47.47 Section III-A (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797NJ2 02/25/25 10/29/24 98.531 14.69 912797ML8 02/27/25 08/29/24 97.631 23.69 912797NK9 03/04/25 11/05/24 98.536 14.64 912797MM6 03/06/25 09/05/24 97.652 23.48 912797NQ6 03/11/25 11/12/24 98.542 14.58 912797MT1 03/13/25 09/12/24 97.710 22.90 912797NR4 03/18/25 11/19/24 98.555 14.45 912797KJ5 03/20/25 03/21/24 95.137 48.63 912797NS2 03/25/25 11/26/24 98.552 14.48 912797MU8 03/27/25 09/26/24 97.841 21.59 912797NT0 04/01/25 12/03/24 98.549 14.51 912797MV6 04/03/25 10/03/24 97.869 21.31 912797NY9 04/08/25 12/10/24 98.574 14.26 912797NB9 04/10/25 10/10/24 97.824 21.76 912797NZ6 04/15/25 12/17/24 98.598 14.02 912797KS5 04/17/25 04/18/24 95.030 49.70 912797PA9 04/22/25 12/24/24 98.605 13.95 912797NC7 04/24/25 10/24/24 97.821 21.79 912797PB7 04/29/25 12/31/24 98.602 13.98 912797ND5 05/01/25 10/31/24 97.813 21.87 912797PC5 05/06/25 01/07/25 98.613 13.87 912797NE3 05/08/25 11/07/24 97.846 21.54 912797PH4 05/13/25 01/14/25 98.615 13.85 912797LB1 05/15/25 05/16/24 95.051 49.49 912797NM5 05/22/25 11/21/24 97.821 21.79 912797NN3 05/29/25 11/29/24 97.818 21.82 912797NP8 06/05/25 12/05/24 97.824 21.76 912797LN5 06/12/25 06/13/24 95.030 49.70 912797NV5 06/20/25 12/19/24 97.885 21.15 912797NW3 06/26/25 12/26/24 97.892 21.08 912797NX1 07/03/25 01/02/25 97.910 20.90 912797LW5 07/10/25 07/11/24 95.172 48.28 912797PE1 07/17/25 01/16/25 0.000 10.00 912797MG9 08/07/25 08/08/24 95.698 43.02 912797MH7 09/04/25 09/05/24 95.804 41.96 912797MS3 10/02/25 10/03/24 96.178 38.22 912797NA1 10/30/25 10/31/24 95.854 41.46 912797NL7 11/28/25 11/29/24 95.763 42.37 912797NU7 12/26/25 12/26/24 95.873 41.27 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2024 Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384RG6 01/02/24 01/03/23 95.298 47.02 313384RH4 01/03/24 01/03/23 95.285 47.15 313384RJ0 01/04/24 01/05/23 95.258 47.42 313384RK7 01/05/24 01/05/23 95.245 47.55 313384RN1 01/08/24 01/11/23 95.344 46.56 313384RP6 01/09/24 01/11/23 95.331 46.69 313384RQ4 01/10/24 01/11/23 95.319 46.81 313384RR2 01/11/24 01/11/23 95.306 46.94 313384RS0 01/12/24 01/13/23 95.405 45.95 313384RW1 01/16/24 01/17/23 95.298 47.02 313384RX9 01/17/24 01/17/23 95.285 47.15 313384RY7 01/18/24 02/06/23 95.435 45.65 313384RZ4 01/19/24 01/19/23 95.407 45.93 313384SC4 01/22/24 01/24/23 95.342 46.58 313384SD2 01/23/24 01/24/23 95.329 46.71 313384SE0 01/24/24 01/24/23 95.330 46.70 313384SF7 01/25/24 01/25/23 95.331 46.69 313384SG5 01/26/24 01/30/23 95.377 46.23 313384SK6 01/29/24 01/30/23 95.334 46.66 313384SL4 01/30/24 01/30/23 95.321 46.79 313384SM2 01/31/24 01/31/23 95.322 46.78 313384SN0 02/01/24 02/03/23 95.311 46.89 313384SP5 02/02/24 02/02/23 95.346 46.54 313384SS9 02/05/24 02/07/23 95.200 48.00 313384ST7 02/06/24 02/06/23 95.184 48.16 313384SU4 02/07/24 02/07/23 95.180 48.20 313384SV2 02/08/24 02/10/23 95.180 48.20 313384SW0 02/09/24 02/10/23 95.167 48.33 313384SZ3 02/12/24 02/13/23 95.167 48.33 313384TA7 02/13/24 09/20/23 97.855 21.45 313384TB5 02/14/24 02/14/23 95.133 48.67 313384TC3 02/15/24 02/16/23 95.157 48.43 313384TD1 02/16/24 02/24/23 95.101 48.99 313384TH2 02/20/24 02/24/23 95.021 49.79 313384TJ8 02/21/24 02/22/23 95.041 49.59 313384TK5 02/22/24 02/23/23 95.025 49.75 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384TL3 02/23/24 02/23/23 94.996 50.04 313384TP4 02/26/24 02/27/23 94.934 50.66 313384TQ2 02/27/24 02/27/23 94.920 50.80 313384TR0 02/28/24 02/28/23 94.910 50.90 313384TS8 02/29/24 03/01/23 94.925 50.75 313384TT6 03/01/24 03/01/23 94.891 51.09 313384TW9 03/04/24 03/07/23 94.918 50.82 313384TX7 03/05/24 03/09/23 94.811 51.89 313384TY5 03/06/24 03/06/23 94.846 51.54 313384TZ2 03/07/24 03/07/23 94.866 51.34 313384UA5 03/08/24 03/09/23 94.879 51.21 313384UD9 03/11/24 03/15/23 95.224 47.76 313384UE7 03/12/24 03/13/23 94.931 50.69 313384UF4 03/13/24 04/13/23 95.915 40.85 313384UG2 03/14/24 03/14/23 95.171 48.29 313384UH0 03/15/24 03/29/23 95.717 42.83 313384UL1 03/18/24 04/13/23 95.868 41.32 313384UM9 03/19/24 06/26/23 96.225 37.75 313384UN7 03/20/24 04/20/23 95.715 42.85 313384UP2 03/21/24 05/10/23 95.967 40.33 313384UQ0 03/22/24 04/24/23 95.708 42.92 313384UT4 03/25/24 03/30/23 95.508 44.92 313384UU1 03/26/24 08/03/23 96.578 34.22 313384UV9 03/27/24 04/19/23 95.603 43.97 313384UW7 03/28/24 04/03/23 95.523 44.77 313384VA4 04/01/24 04/03/23 95.501 44.99 313384VB2 04/02/24 04/18/23 95.620 43.80 313384VC0 04/03/24 04/04/23 95.468 45.32 313384VD8 04/04/24 07/14/23 96.224 37.76 313384VE6 04/05/24 05/03/23 95.728 42.72 313384VH9 04/08/24 06/09/23 95.774 42.26 313384VJ5 04/09/24 04/11/23 95.501 44.99 313384VK2 04/10/24 04/11/23 95.458 45.42 313384VL0 04/11/24 04/11/23 95.445 45.55 313384VM8 04/12/24 04/12/23 95.476 45.24 313384VQ9 04/15/24 04/17/23 95.298 47.02 313384VR7 04/16/24 04/17/23 95.478 45.22 313384VS5 04/17/24 04/26/23 95.547 44.53 313384VT3 04/18/24 04/19/23 95.356 46.44 313384VU0 04/19/24 04/21/23 95.410 45.90 313384VX4 04/22/24 04/26/23 95.505 44.95 313384VY2 04/23/24 04/27/23 95.450 45.50 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384VZ9 04/24/24 04/25/23 95.407 45.93 313384WA3 04/25/24 06/21/23 95.661 43.39 313384WB1 04/26/24 05/01/23 95.377 46.23 313384WE5 04/29/24 05/01/23 95.354 46.46 313384WF2 04/30/24 05/01/23 95.341 46.59 313384WG0 05/01/24 05/26/23 95.273 47.27 313384WH8 05/02/24 05/04/23 95.324 46.76 313384WJ4 05/03/24 05/05/23 95.450 45.50 313384WM7 05/06/24 05/11/23 95.523 44.77 313384WN5 05/07/24 05/10/23 95.362 46.38 313384WP0 05/08/24 05/26/23 95.191 48.09 313384WQ8 05/09/24 05/10/23 95.336 46.64 313384WR6 05/10/24 05/11/23 95.336 46.64 313384WU9 05/13/24 05/23/23 95.298 47.02 313384WV7 05/14/24 06/01/23 95.273 47.27 313384WW5 05/15/24 06/01/23 95.259 47.41 313384WX3 05/16/24 06/21/23 95.385 46.15 313384WY1 05/17/24 05/23/23 95.245 47.55 313384XB0 05/20/24 05/22/23 95.263 47.37 313384XC8 05/21/24 06/02/23 95.251 47.49 313384XD6 05/22/24 06/02/23 95.237 47.63 313384XE4 05/23/24 05/24/23 95.174 48.26 313384XF1 05/24/24 05/30/23 95.080 49.20 313384XK0 05/28/24 08/07/23 95.776 42.24 313384XL8 05/29/24 06/01/23 95.145 48.55 313384XM6 05/30/24 05/31/23 94.931 50.69 313384XN4 05/31/24 06/01/23 95.118 48.82 313384XR5 06/03/24 06/05/23 95.051 49.49 313384XS3 06/04/24 06/06/23 95.051 49.49 313384XT1 06/05/24 06/06/23 95.037 49.63 313384XU8 06/06/24 06/07/23 95.032 49.68 313384XV6 06/07/24 06/08/23 95.007 49.93 313384XY0 06/10/24 06/12/23 95.056 49.44 313384XZ7 06/11/24 06/12/23 95.042 49.58 313384YA1 06/12/24 06/16/23 95.002 49.98 313384YB9 06/13/24 08/16/23 95.642 43.58 313384YC7 06/14/24 06/15/23 94.966 50.34 313384YF0 06/17/24 06/21/23 94.972 50.28 313384YG8 06/18/24 06/20/23 94.970 50.30 313384YJ2 06/20/24 06/23/23 94.968 50.32 313384YK9 06/21/24 06/23/23 94.955 50.45 313384YN3 06/24/24 06/27/23 94.963 50.37 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384YP8 06/25/24 06/30/23 94.916 50.84 313384YQ6 06/26/24 06/27/23 94.936 50.64 313384YR4 06/27/24 06/28/23 94.880 51.20 313384YS2 06/28/24 06/29/23 94.834 51.66 313384YV5 07/01/24 07/03/23 94.864 51.36 313384YW3 07/02/24 07/03/23 94.849 51.51 313384YX1 07/03/24 07/17/23 95.082 49.18 313384YZ6 07/05/24 07/20/23 95.057 49.43 313384ZC6 07/08/24 07/18/23 95.061 49.39 313384ZD4 07/09/24 07/19/23 95.046 49.54 313384ZE2 07/10/24 07/11/23 94.768 52.32 313384ZF9 07/11/24 07/12/23 94.768 52.32 313384ZG7 07/12/24 07/17/23 94.956 50.44 313384ZK8 07/15/24 07/19/23 94.942 50.58 313384ZL6 07/16/24 08/16/23 95.240 47.60 313384ZM4 07/17/24 07/20/23 94.928 50.72 313384ZN2 07/18/24 08/21/23 95.264 47.36 313384ZP7 07/19/24 08/08/23 95.146 48.54 313384ZS1 07/22/24 07/26/23 94.902 50.98 313384ZT9 07/23/24 08/24/23 95.222 47.78 313384ZU6 07/24/24 09/07/23 95.395 46.05 313384ZV4 07/25/24 08/18/23 95.131 48.69 313384ZW2 07/26/24 07/28/23 94.848 51.52 313384ZZ5 07/29/24 08/07/23 94.982 50.18 313384A25 07/30/24 10/06/23 95.671 43.29 313384A33 07/31/24 08/08/23 94.968 50.32 313384A41 08/01/24 08/03/23 94.859 51.41 313384A58 08/02/24 08/03/23 94.855 51.45 313384A82 08/05/24 08/16/23 94.951 50.49 313384A90 08/06/24 10/12/23 95.710 42.90 313384B24 08/07/24 08/23/23 95.017 49.83 313384B32 08/08/24 08/21/23 95.019 49.81 313384B40 08/09/24 08/14/23 94.886 51.14 313384B73 08/12/24 09/27/23 95.378 46.22 313384B81 08/13/24 08/14/23 94.844 51.56 313384B99 08/14/24 08/17/23 94.883 51.17 313384C23 08/15/24 08/16/23 94.789 52.11 313384C31 08/16/24 08/16/23 94.774 52.26 313384C64 08/19/24 09/21/23 95.209 47.92 313384C72 08/20/24 09/08/23 95.036 49.64 313384C80 08/21/24 08/23/23 94.843 51.57 313384C98 08/22/24 09/14/23 95.074 49.26 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384D22 08/23/24 08/30/23 94.924 50.76 313384D55 08/26/24 09/12/23 94.993 50.07 313384D63 08/27/24 08/28/23 94.758 52.42 313384D71 08/28/24 08/30/23 94.772 52.28 313384D89 08/29/24 09/07/23 94.928 50.72 313384D97 08/30/24 09/05/23 94.900 51.00 313384E54 09/03/24 09/07/23 94.821 51.79 313384E62 09/04/24 09/11/23 94.869 51.31 313384E70 09/05/24 09/07/23 94.793 52.07 313384E88 09/06/24 09/08/23 94.808 51.92 313384F38 09/09/24 09/13/23 94.811 51.89 313384F46 09/10/24 09/12/23 94.798 52.02 313384F53 09/11/24 10/13/23 95.213 47.87 313384F61 09/12/24 10/17/23 95.256 47.44 313384F79 09/13/24 09/18/23 94.826 51.74 313384G29 09/16/24 09/19/23 94.797 52.03 313384G37 09/17/24 10/18/23 95.170 48.30 313384G45 09/18/24 10/13/23 95.122 48.78 313384G52 09/19/24 10/12/23 95.093 49.07 313384G60 09/20/24 09/20/23 94.724 52.76 313384G94 09/23/24 10/18/23 95.093 49.07 313384H28 09/24/24 10/30/23 95.256 47.44 313384H36 09/25/24 09/26/23 94.733 52.67 313384H44 09/26/24 09/28/23 94.752 52.48 313384H51 09/27/24 10/18/23 95.026 49.74 313384H85 09/30/24 11/02/23 95.278 47.22 313384H93 10/01/24 10/10/23 94.928 50.72 313384J26 10/02/24 10/04/23 94.770 52.30 313384J34 10/03/24 10/26/23 95.088 49.12 313384J42 10/04/24 10/12/23 94.928 50.72 313384J75 10/07/24 10/16/23 94.923 50.77 313384J83 10/08/24 10/16/23 94.908 50.92 313384J91 10/09/24 10/16/23 94.894 51.06 313384K24 10/10/24 10/16/23 94.880 51.20 313384K32 10/11/24 10/13/23 94.813 51.87 313384K73 10/15/24 10/26/23 94.931 50.69 313384K81 10/16/24 10/31/23 95.013 49.87 313384K99 10/17/24 10/19/23 94.768 52.32 313384L23 10/18/24 10/18/23 94.713 52.87 313384L56 10/21/24 10/31/23 94.952 50.48 313384L64 10/22/24 10/24/23 94.818 51.82 313384L72 10/23/24 11/02/23 94.947 50.53 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384L80 10/24/24 11/01/23 94.899 51.01 313384L98 10/25/24 10/27/23 94.808 51.92 313384M48 10/28/24 10/31/23 94.863 51.37 313384M55 10/29/24 11/09/23 95.045 49.55 313384M63 10/30/24 11/03/23 94.967 50.33 313384M71 10/31/24 11/14/23 95.028 49.72 313384M89 11/01/24 11/08/23 94.989 50.11 313384N39 11/04/24 11/06/23 94.950 50.50 313384N47 11/05/24 11/08/23 94.943 50.57 313384N54 11/06/24 11/15/23 95.066 49.34 313384N62 11/07/24 11/08/23 94.915 50.85 313384N70 11/08/24 11/16/23 95.068 49.32 313384P37 11/12/24 11/17/23 95.036 49.64 313384P45 11/13/24 11/15/23 94.985 50.15 313384P52 11/14/24 11/14/23 94.886 51.14 313384P60 11/15/24 11/17/23 94.995 50.05 313384P94 11/18/24 12/06/23 95.341 46.59 313384Q28 11/19/24 03/13/24 96.549 34.51 313384Q36 11/20/24 11/22/23 94.985 50.15 313384Q44 11/21/24 11/24/23 94.999 50.01 313384Q51 11/22/24 01/19/24 95.975 40.25 313384Q85 11/25/24 12/29/23 95.666 43.34 313384Q93 11/26/24 01/04/24 95.781 42.19 313384R27 11/27/24 11/30/23 95.100 49.00 313384R43 11/29/24 12/11/23 95.280 47.20 313384R76 12/02/24 12/04/23 95.172 48.28 313384R84 12/03/24 12/08/23 95.142 48.58 313384R92 12/04/24 02/12/24 96.070 39.30 313384S26 12/05/24 12/11/23 95.115 48.85 313384S34 12/06/24 12/08/23 95.103 48.97 313384S67 12/09/24 12/11/23 95.076 49.24 313384S75 12/10/24 12/11/23 95.062 49.38 313384S83 12/11/24 12/26/23 95.539 44.61 313384S91 12/12/24 12/15/23 95.281 47.19 313384T25 12/13/24 12/15/23 95.314 46.86 313384T58 12/16/24 12/18/23 95.298 47.02 313384T66 12/17/24 12/20/23 95.316 46.84 313384T74 12/18/24 01/17/24 95.800 42.00 313384T82 12/19/24 12/21/23 95.389 46.11 313384T90 12/20/24 12/21/23 95.377 46.23 313384U49 12/23/24 12/27/23 95.435 45.65 313384U56 12/24/24 12/27/23 95.422 45.78 Section III-B (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384U72 12/26/24 12/27/23 95.397 46.03 313384U80 12/27/24 12/28/23 95.402 45.98 313384V30 12/30/24 01/02/24 95.417 45.83 313384V48 12/31/24 01/02/24 95.405 45.95 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2024 Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588RG2 01/02/24 02/21/23 95.761 42.39 313588RH0 01/03/24 12/01/23 99.520 4.80 313588RJ6 01/04/24 07/19/23 97.585 24.15 313588RK3 01/05/24 12/08/23 99.592 4.08 313588RN7 01/08/24 11/16/23 99.232 7.69 313588RP2 01/09/24 09/15/23 98.318 16.82 313588RQ0 01/10/24 03/03/23 95.653 43.47 313588RR8 01/11/24 07/19/23 97.485 25.15 313588RS6 01/12/24 11/17/23 99.186 8.14 313588RW7 01/16/24 06/06/23 96.911 30.89 313588RX5 01/17/24 03/03/23 95.556 44.44 313588RY3 01/18/24 01/17/24 99.985 0.15 313588RZ0 01/19/24 11/28/23 99.243 7.57 313588SC0 01/22/24 12/15/23 99.447 5.53 313588SD8 01/23/24 02/23/23 95.477 45.23 313588SE6 01/24/24 11/29/23 99.184 8.16 313588SG1 01/26/24 03/09/23 95.375 46.25 313588SK2 01/29/24 09/28/23 98.215 17.85 313588SL0 01/30/24 10/24/23 98.576 14.24 313588SM8 01/31/24 02/14/23 95.379 46.22 313588SN6 02/01/24 02/22/23 95.356 46.44 313588SP1 02/02/24 02/13/23 95.359 46.41 313588SS5 02/05/24 02/16/23 95.265 47.35 313588ST3 02/06/24 01/25/24 99.826 1.74 313588SU0 02/07/24 02/23/23 95.259 47.41 313588SV8 02/08/24 09/21/23 97.970 20.30 313588SW6 02/09/24 02/15/23 95.213 47.87 313588SZ9 02/12/24 01/05/24 99.451 5.49 313588TA3 02/13/24 02/23/23 95.178 48.22 313588TB1 02/14/24 02/23/23 95.164 48.36 313588TC9 02/15/24 12/05/23 98.952 10.48 313588TD7 02/16/24 02/24/23 95.151 48.49 313588TH8 02/20/24 12/07/23 98.911 10.89 313588TJ4 02/21/24 01/17/24 99.492 5.08 313588TK1 02/22/24 09/21/23 97.767 22.33 313588TL9 02/23/24 10/16/23 98.110 18.90 Section III-C (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588TQ8 02/27/24 08/15/23 97.177 28.23 313588TR6 02/28/24 11/28/23 98.662 13.38 313588TS4 02/29/24 08/24/23 97.267 27.33 313588TT2 03/01/24 09/14/23 97.554 24.46 313588TW5 03/04/24 11/20/23 98.479 15.21 313588TY1 03/06/24 12/06/23 98.676 13.24 313588TZ8 03/07/24 02/22/24 99.798 2.02 313588UA1 03/08/24 08/24/23 97.157 28.43 313588UD5 03/11/24 02/07/24 99.521 4.79 313588UE3 03/12/24 03/05/24 99.898 1.02 313588UF0 03/13/24 12/05/23 98.565 14.36 313588UG8 03/14/24 02/05/24 99.448 5.52 313588UH6 03/15/24 11/14/23 98.238 17.62 313588UL7 03/18/24 01/05/24 98.949 10.51 313588UM5 03/19/24 12/19/23 98.684 13.16 313588UN3 03/20/24 01/12/24 99.019 9.81 313588UP8 03/21/24 03/13/24 99.884 1.16 313588UQ6 03/22/24 12/27/23 98.763 12.37 313588UU7 03/26/24 03/05/24 99.696 3.04 313588UV5 03/27/24 09/21/23 97.271 27.29 313588UW3 03/28/24 08/24/23 96.872 31.28 313588VA0 04/01/24 09/25/23 97.267 27.33 313588VB8 04/02/24 11/21/23 98.077 19.23 313588VC6 04/03/24 11/21/23 98.063 19.37 313588VD4 04/04/24 12/07/23 98.286 17.14 313588VE2 04/05/24 03/13/24 99.667 3.34 313588VH5 04/08/24 02/16/24 99.254 7.46 313588VJ1 04/09/24 04/02/24 99.898 1.02 313588VK8 04/10/24 10/11/23 97.371 26.29 313588VL6 04/11/24 04/05/24 99.913 0.87 313588VM4 04/12/24 03/01/24 99.395 6.05 313588VQ5 04/15/24 10/31/23 97.581 24.19 313588VR3 04/16/24 12/07/23 98.121 18.79 313588VS1 04/17/24 12/07/23 98.106 18.94 313588VT9 04/18/24 12/07/23 98.092 19.08 313588VU6 04/19/24 01/23/24 98.758 12.42 313588VX0 04/22/24 02/20/24 99.110 8.90 313588VY8 04/23/24 02/21/24 99.110 8.90 313588VZ5 04/24/24 03/12/24 99.378 6.22 313588WB7 04/26/24 04/25/24 99.985 0.15 313588WE1 04/29/24 02/02/24 98.755 12.45 313588WF8 04/30/24 10/06/23 97.010 29.90 Section III-C (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588WG6 05/01/24 11/01/23 97.122 28.78 313588WH4 05/02/24 10/18/23 97.133 28.67 313588WJ0 05/03/24 10/27/23 97.267 27.33 313588WM3 05/06/24 12/05/23 97.818 21.82 313588WN1 05/07/24 09/18/23 96.681 33.19 313588WP6 05/08/24 03/13/24 99.193 8.07 313588WQ4 05/09/24 10/18/23 97.031 29.69 313588WR2 05/10/24 09/19/23 96.653 33.48 313588WU5 05/13/24 12/04/23 97.715 22.85 313588WW1 05/15/24 03/21/24 99.206 7.94 313588WX9 05/16/24 04/18/24 99.593 4.07 313588WY7 05/17/24 03/01/24 98.893 11.07 313588XB6 05/20/24 03/21/24 99.133 8.67 313588XC4 05/21/24 02/08/24 98.535 14.65 313588XE0 05/23/24 05/01/24 99.680 3.20 313588XF7 05/24/24 09/29/23 96.569 34.31 313588XL4 05/29/24 12/07/23 97.542 24.58 313588XM2 05/30/24 09/25/23 96.428 35.72 313588XN0 05/31/24 09/27/23 96.443 35.57 313588XR1 06/03/24 02/15/24 98.448 15.52 313588XS9 06/04/24 02/15/24 98.434 15.66 313588XT7 06/05/24 02/15/24 98.420 15.80 313588XU4 06/06/24 02/15/24 98.406 15.94 313588XV2 06/07/24 10/02/23 96.403 35.97 313588XY6 06/10/24 03/08/24 98.658 13.42 313588XZ3 06/11/24 04/18/24 99.219 7.82 313588YA7 06/12/24 03/01/24 98.525 14.75 313588YB5 06/13/24 09/27/23 96.270 37.30 313588YC3 06/14/24 01/17/24 97.939 20.61 313588YF6 06/17/24 04/08/24 98.993 10.07 313588YG4 06/18/24 03/20/24 98.709 12.91 313588YJ8 06/20/24 05/15/24 99.478 5.22 313588YK5 06/21/24 04/05/24 98.895 11.05 313588YN9 06/24/24 04/02/24 98.809 11.91 313588YQ2 06/26/24 10/13/23 96.320 36.80 313588YR0 06/27/24 10/12/23 96.277 37.23 313588YS8 06/28/24 03/21/24 98.587 14.14 313588YV1 07/01/24 01/02/24 97.290 27.10 313588YW9 07/02/24 06/06/24 99.622 3.78 313588YX7 07/03/24 04/11/24 98.808 11.92 313588YZ2 07/05/24 06/05/24 99.564 4.36 313588ZC2 07/08/24 03/13/24 98.338 16.62 Section III-C (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588ZD0 07/09/24 06/20/24 99.723 2.77 313588ZE8 07/10/24 06/07/24 99.520 4.80 313588ZF5 07/11/24 04/01/24 98.561 14.39 313588ZG3 07/12/24 06/12/24 99.564 4.36 313588ZK4 07/15/24 04/12/24 98.654 13.46 313588ZL2 07/16/24 06/20/24 99.622 3.78 313588ZM0 07/17/24 04/04/24 98.518 14.82 313588ZN8 07/18/24 06/20/24 99.592 4.08 313588ZP3 07/19/24 06/27/24 99.681 3.19 313588ZS7 07/22/24 04/05/24 98.464 15.36 313588ZT5 07/23/24 06/21/24 99.534 4.66 313588ZU2 07/24/24 11/13/23 96.373 36.27 313588ZW8 07/26/24 03/20/24 98.183 18.17 313588ZZ1 07/29/24 03/07/24 97.970 20.30 313588A21 07/30/24 03/07/24 97.956 20.44 313588A39 07/31/24 03/07/24 97.942 20.58 313588A47 08/01/24 03/21/24 98.114 18.86 313588A54 08/02/24 06/07/24 99.189 8.11 313588A88 08/05/24 05/10/24 98.751 12.49 313588A96 08/06/24 07/26/24 99.840 1.60 313588B20 08/07/24 07/05/24 99.521 4.79 313588B38 08/08/24 06/21/24 99.303 6.97 313588B46 08/09/24 04/19/24 98.401 15.99 313588B79 08/12/24 04/04/24 98.162 18.38 313588B87 08/13/24 06/18/24 99.188 8.12 313588B95 08/14/24 04/22/24 98.374 16.26 313588C29 08/15/24 06/21/24 99.202 7.98 313588C37 08/16/24 07/12/24 99.492 5.08 313588C60 08/19/24 04/22/24 98.304 16.96 313588C78 08/20/24 08/06/24 99.797 2.03 313588C86 08/21/24 08/07/24 99.796 2.04 313588C94 08/22/24 06/28/24 99.204 7.96 313588D28 08/23/24 08/16/24 99.898 1.02 313588D69 08/27/24 08/15/24 99.825 1.75 313588D77 08/28/24 08/15/24 99.810 1.90 313588D85 08/29/24 08/15/24 99.796 2.04 313588D93 08/30/24 02/22/24 97.361 26.39 313588E50 09/03/24 06/21/24 98.929 10.71 313588E68 09/04/24 05/03/24 98.233 17.67 313588E76 09/05/24 04/09/24 97.900 21.00 313588E84 09/06/24 09/04/24 99.971 0.29 313588F34 09/09/24 05/14/24 98.309 16.91 Section III-C (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588F42 09/10/24 04/12/24 97.861 21.39 313588F59 09/11/24 04/03/24 97.737 22.63 313588F67 09/12/24 05/02/24 98.101 18.99 313588F75 09/13/24 05/08/24 98.171 18.29 313588G25 09/16/24 08/07/24 99.419 5.81 313588G33 09/17/24 05/15/24 98.214 17.86 313588G41 09/18/24 05/15/24 98.199 18.01 313588G58 09/19/24 06/14/24 98.603 13.97 313588G66 09/20/24 05/13/24 98.144 18.56 313588G90 09/23/24 08/07/24 99.325 6.75 313588H24 09/24/24 05/17/24 98.146 18.54 313588H57 09/27/24 04/08/24 97.592 24.08 313588H81 09/30/24 04/19/24 97.686 23.14 313588H99 10/01/24 04/01/24 97.214 27.86 313588J22 10/02/24 04/17/24 97.629 23.71 313588J30 10/03/24 04/04/24 97.467 25.33 313588J48 10/04/24 05/03/24 97.825 21.75 313588J71 10/07/24 06/06/24 98.242 17.58 313588J89 10/08/24 05/29/24 98.108 18.92 313588J97 10/09/24 05/01/24 97.717 22.83 313588K20 10/10/24 04/09/24 97.437 25.63 313588K38 10/11/24 04/18/24 97.524 24.76 313588K79 10/15/24 04/12/24 97.388 26.12 313588K87 10/16/24 07/24/24 98.801 11.99 313588K95 10/17/24 04/02/24 97.250 27.50 313588L29 10/18/24 09/05/24 99.402 5.98 313588L52 10/21/24 04/12/24 97.304 26.96 313588L60 10/22/24 09/19/24 99.567 4.33 313588L78 10/23/24 06/13/24 98.117 18.83 313588L86 10/24/24 09/12/24 99.418 5.82 313588L94 10/25/24 10/21/24 99.948 0.52 313588M44 10/28/24 06/12/24 98.037 19.63 313588M51 10/29/24 06/12/24 98.023 19.77 313588M69 10/30/24 07/10/24 98.406 15.94 313588M77 10/31/24 04/03/24 97.084 29.16 313588M85 11/01/24 04/15/24 97.208 27.92 313588N35 11/04/24 08/02/24 98.674 13.26 313588N43 11/05/24 06/18/24 98.005 19.95 313588N50 11/06/24 06/13/24 97.926 20.74 313588N68 11/07/24 07/08/24 98.267 17.33 313588N76 11/08/24 08/01/24 98.603 13.97 313588P33 11/12/24 07/24/24 98.434 15.66 Section III-C (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588P41 11/13/24 07/17/24 98.321 16.79 313588P58 11/14/24 11/04/24 99.872 1.28 313588P66 11/15/24 04/12/24 96.971 30.29 313588P90 11/18/24 10/11/24 99.511 4.89 313588Q24 11/19/24 08/15/24 98.672 13.28 313588Q32 11/20/24 07/10/24 98.120 18.80 313588Q40 11/21/24 11/04/24 99.784 2.16 313588Q57 11/22/24 05/10/24 97.248 27.52 313588Q99 11/26/24 05/07/24 97.155 28.45 313588R23 11/27/24 05/15/24 97.251 27.49 313588R49 11/29/24 09/04/24 98.833 11.67 313588R72 12/02/24 04/10/24 96.762 32.38 313588R80 12/03/24 10/08/24 99.277 7.23 313588R98 12/04/24 07/31/24 98.245 17.55 313588S22 12/05/24 11/06/24 99.636 3.64 313588S30 12/06/24 08/16/24 98.468 15.32 313588S63 12/09/24 06/14/24 97.498 25.02 313588S71 12/10/24 11/13/24 99.664 3.36 313588S89 12/11/24 07/29/24 98.125 18.75 313588S97 12/12/24 07/18/24 97.948 20.52 313588T21 12/13/24 04/18/24 96.681 33.19 313588T54 12/16/24 05/30/24 97.178 28.22 313588T62 12/17/24 04/18/24 96.625 33.75 313588T70 12/18/24 04/18/24 96.611 33.89 313588T88 12/19/24 04/18/24 96.597 34.03 313588T96 12/20/24 10/11/24 99.111 8.89 313588U45 12/23/24 11/01/24 99.346 6.54 313588U52 12/24/24 12/12/24 99.854 1.46 313588U86 12/27/24 05/07/24 96.750 32.50 313588V36 12/30/24 07/29/24 97.883 21.17 313588V44 12/31/24 05/14/24 96.782 32.18 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2024 Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312RG7 01/02/24 01/04/23 95.400 46.00 313312RH5 01/03/24 09/13/23 94.690 53.10 313312RJ1 01/04/24 03/23/23 95.420 45.80 313312RK8 01/05/24 03/30/23 95.480 45.20 313312RN2 01/08/24 07/21/23 94.720 52.80 313312RP7 01/09/24 03/30/23 95.490 45.10 313312RQ5 01/10/24 11/20/23 94.740 52.60 313312RR3 01/11/24 08/11/23 94.710 52.90 313312RS1 01/12/24 01/13/23 95.350 46.50 313312RW2 01/16/24 08/14/23 94.700 53.00 313312RX0 01/17/24 09/15/23 94.690 53.10 313312RY8 01/18/24 04/05/23 95.400 46.00 313312RZ5 01/19/24 01/18/24 94.750 52.50 313312SC5 01/22/24 08/17/23 94.720 52.80 313312SD3 01/23/24 03/24/23 95.420 45.80 313312SE1 01/24/24 10/02/23 94.660 53.40 313312SF8 01/25/24 04/05/23 95.400 46.00 313312SG6 01/26/24 08/18/23 94.720 52.80 313312SK7 01/29/24 01/26/24 94.770 52.30 313312SL5 01/30/24 12/15/23 94.770 52.30 313312SM3 01/31/24 04/10/23 95.480 45.20 313312SN1 02/01/24 02/09/23 95.250 47.50 313312SP6 02/02/24 08/29/23 94.670 53.30 313312ST8 02/06/24 10/20/23 94.670 53.30 313312SU5 02/07/24 07/31/23 94.700 53.00 313312SV3 02/08/24 04/03/23 95.520 44.80 313312SW1 02/09/24 04/13/23 95.350 46.50 313312SZ4 02/12/24 09/15/23 94.690 53.10 313312TA8 02/13/24 08/14/23 94.700 53.00 313312TB6 02/14/24 09/19/23 94.680 53.20 313312TD2 02/16/24 12/01/23 94.740 52.60 313312TH3 02/20/24 12/27/23 94.740 52.60 313312TJ9 02/21/24 09/20/23 94.690 53.10 313312TK6 02/22/24 02/21/24 94.850 51.50 313312TL4 02/23/24 10/13/23 94.640 53.60 313312TP5 02/26/24 09/21/23 94.690 53.10 Section III-D (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312TQ3 02/27/24 02/26/24 94.830 51.70 313312TR1 02/28/24 08/16/23 94.720 52.80 313312TS9 02/29/24 04/13/23 95.360 46.40 313312TT7 03/01/24 03/03/23 95.000 50.00 313312TW0 03/04/24 10/06/23 94.620 53.80 313312TX8 03/05/24 12/27/23 94.750 52.50 313312TY6 03/06/24 08/14/23 94.720 52.80 313312TZ3 03/07/24 03/01/24 94.740 52.60 313312UA6 03/08/24 03/07/24 94.740 52.60 313312UD0 03/11/24 10/11/23 94.650 53.50 313312UE8 03/12/24 10/16/23 94.660 53.40 313312UF5 03/13/24 03/12/24 94.720 52.80 313312UG3 03/14/24 10/24/23 94.680 53.20 313312UH1 03/15/24 03/17/23 95.620 43.80 313312UL2 03/18/24 10/30/23 94.650 53.50 313312UM0 03/19/24 08/16/23 94.760 52.40 313312UN8 03/20/24 03/21/23 95.600 44.00 313312UP3 03/21/24 03/24/23 95.650 43.50 313312UQ1 03/22/24 04/13/23 95.450 45.50 313312UT5 03/25/24 03/30/23 95.450 45.50 313312UU2 03/26/24 02/23/24 94.720 52.80 313312UV0 03/27/24 12/26/23 94.780 52.20 313312UW8 03/28/24 04/10/23 95.600 44.00 313312UX6 03/29/24 07/13/23 94.930 50.70 313312VA5 04/01/24 10/20/23 94.660 53.40 313312VB3 04/02/24 04/13/23 95.420 45.80 313312VC1 04/03/24 10/23/23 94.660 53.40 313312VE7 04/05/24 10/30/23 94.670 53.30 313312VH0 04/08/24 10/31/23 94.680 53.20 313312VJ6 04/09/24 09/14/23 94.700 53.00 313312VK3 04/10/24 10/31/23 94.680 53.20 313312VL1 04/11/24 02/16/24 94.720 52.80 313312VM9 04/12/24 11/02/23 94.700 53.00 313312VQ0 04/15/24 11/02/23 94.700 53.00 313312VR8 04/16/24 04/17/23 95.350 46.50 313312VS6 04/17/24 10/30/23 94.690 53.10 313312VT4 04/18/24 02/01/24 94.810 51.90 313312VU1 04/19/24 11/08/23 94.730 52.70 313312VX5 04/22/24 11/14/23 94.740 52.60 313312VZ0 04/24/24 09/11/23 94.700 53.00 313312WB2 04/26/24 09/14/23 94.700 53.00 313312WE6 04/29/24 03/21/24 94.740 52.60 Section III-D (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312WF3 04/30/24 11/16/23 94.780 52.20 313312WG1 05/01/24 12/29/23 94.870 51.30 313312WH9 05/02/24 11/22/23 94.790 52.10 313312WJ5 05/03/24 11/17/23 94.800 52.00 313312WM8 05/06/24 05/01/24 94.710 52.90 313312WP1 05/08/24 03/15/24 94.730 52.70 313312WR7 05/10/24 11/24/23 94.770 52.30 313312WU0 05/13/24 11/24/23 94.770 52.30 313312WV8 05/14/24 02/12/24 94.780 52.20 313312WW6 05/15/24 04/11/24 94.750 52.50 313312WY2 05/17/24 03/20/24 94.740 52.60 313312XB1 05/20/24 11/28/23 94.790 52.10 313312XC9 05/21/24 08/23/23 94.780 52.20 313312XD7 05/22/24 11/29/23 94.800 52.00 313312XE5 05/23/24 11/07/23 94.760 52.40 313312XF2 05/24/24 04/04/24 94.800 52.00 313312XK1 05/28/24 06/15/23 94.920 50.80 313312XL9 05/29/24 11/21/23 94.790 52.10 313312XM7 05/30/24 11/14/23 94.750 52.50 313312XN5 05/31/24 12/15/23 94.900 51.00 313312XS4 06/04/24 11/27/23 94.780 52.20 313312XT2 06/05/24 02/26/24 94.770 52.30 313312XU9 06/06/24 12/18/23 94.910 50.90 313312XV7 06/07/24 12/18/23 94.910 50.90 313312XY1 06/10/24 12/20/23 94.910 50.90 313312XZ8 06/11/24 03/22/24 94.810 51.90 313312YA2 06/12/24 10/27/23 94.730 52.70 313312YB0 06/13/24 09/27/23 94.810 51.90 313312YC8 06/14/24 12/20/23 94.910 50.90 313312YF1 06/17/24 12/22/23 94.930 50.70 313312YG9 06/18/24 08/23/23 94.790 52.10 313312YJ3 06/20/24 12/27/23 94.930 50.70 313312YN4 06/24/24 12/28/23 94.940 50.60 313312YP9 06/25/24 04/08/24 94.780 52.20 313312YQ7 06/26/24 12/07/23 94.950 50.50 313312YR5 06/27/24 05/29/24 94.730 52.70 313312YS3 06/28/24 07/06/23 94.920 50.80 313312YV6 07/01/24 09/21/23 94.760 52.40 313312YW4 07/02/24 04/19/24 94.740 52.60 313312YX2 07/03/24 01/18/24 94.980 50.20 313312YZ7 07/05/24 12/29/23 94.930 50.70 313312ZE3 07/10/24 05/06/24 94.740 52.60 Section III-D (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312ZF0 07/11/24 07/12/23 94.880 51.20 313312ZG8 07/12/24 01/25/24 94.980 50.20 313312ZK9 07/15/24 01/29/24 95.000 50.00 313312ZL7 07/16/24 12/19/23 94.990 50.10 313312ZP8 07/19/24 06/18/24 94.760 52.40 313312ZT0 07/23/24 07/19/24 94.720 52.80 313312ZU7 07/24/24 01/25/24 95.000 50.00 313312ZZ6 07/29/24 08/09/23 94.960 50.40 313312A26 07/30/24 05/16/24 94.750 52.50 313312A34 07/31/24 04/23/24 94.780 52.20 313312A42 08/01/24 08/03/23 94.900 51.00 313312A59 08/02/24 08/01/24 94.720 52.80 313312A83 08/05/24 03/12/24 94.880 51.20 313312B25 08/07/24 03/13/24 94.870 51.30 313312B41 08/09/24 03/12/24 94.880 51.20 313312B74 08/12/24 10/13/23 94.790 52.10 313312B82 08/13/24 03/22/24 94.920 50.80 313312B90 08/14/24 02/20/24 94.880 51.20 313312C32 08/16/24 04/30/24 94.770 52.30 313312C65 08/19/24 03/18/24 94.860 51.40 313312C73 08/20/24 12/19/23 95.070 49.30 313312C81 08/21/24 06/27/24 94.790 52.10 313312C99 08/22/24 10/27/23 94.800 52.00 313312D23 08/23/24 07/17/24 94.740 52.60 313312D56 08/26/24 10/18/23 94.740 52.60 313312D64 08/27/24 03/28/24 94.870 51.30 313312D72 08/28/24 04/05/24 94.860 51.40 313312D80 08/29/24 04/01/24 94.860 51.40 313312D98 08/30/24 12/21/23 95.180 48.20 313312E55 09/03/24 01/31/24 95.150 48.50 313312E63 09/04/24 05/13/24 94.760 52.40 313312E71 09/05/24 04/01/24 94.860 51.40 313312E89 09/06/24 12/22/23 95.180 48.20 313312F39 09/09/24 04/03/24 94.890 51.10 313312F47 09/10/24 03/15/24 94.950 50.50 313312G20 09/16/24 09/10/24 94.820 51.80 313312G38 09/17/24 12/19/23 95.150 48.50 313312G46 09/18/24 04/16/24 94.810 51.90 313312G53 09/19/24 10/27/23 94.820 51.80 313312G61 09/20/24 09/21/23 94.790 52.10 313312G95 09/23/24 04/30/24 94.800 52.00 313312H29 09/24/24 03/12/24 95.010 49.90 Section III-D (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312H37 09/25/24 09/10/24 94.870 51.30 313312H45 09/26/24 04/16/24 94.810 51.90 313312H52 09/27/24 03/25/24 95.000 50.00 313312H86 09/30/24 04/16/24 94.810 51.90 313312H94 10/01/24 10/12/23 94.920 50.80 313312J27 10/02/24 04/22/24 94.830 51.70 313312J35 10/03/24 07/31/24 94.790 52.10 313312J43 10/04/24 04/25/24 94.830 51.70 313312J76 10/07/24 10/13/23 94.830 51.70 313312J84 10/08/24 04/26/24 94.830 51.70 313312J92 10/09/24 09/30/24 95.340 46.60 313312K25 10/10/24 09/30/24 95.340 46.60 313312K33 10/11/24 08/30/24 94.850 51.50 313312K74 10/15/24 10/18/23 94.800 52.00 313312L24 10/18/24 01/25/24 95.220 47.80 313312L57 10/21/24 04/17/24 94.950 50.50 313312L65 10/22/24 06/14/24 94.810 51.90 313312L73 10/23/24 05/08/24 94.820 51.80 313312L81 10/24/24 09/26/24 95.380 46.20 313312L99 10/25/24 05/10/24 94.820 51.80 313312M49 10/28/24 09/12/24 95.020 49.80 313312M56 10/29/24 03/27/24 95.050 49.50 313312M64 10/30/24 08/30/24 94.900 51.00 313312M72 10/31/24 08/27/24 94.980 50.20 313312M80 11/01/24 04/02/24 95.020 49.80 313312N30 11/04/24 04/08/24 94.960 50.40 313312N48 11/05/24 01/19/24 95.270 47.30 313312N55 11/06/24 09/04/24 95.000 50.00 313312P38 11/12/24 11/06/24 95.350 46.50 313312P46 11/13/24 05/28/24 94.820 51.80 313312P53 11/14/24 11/15/23 94.970 50.30 313312P61 11/15/24 09/03/24 95.000 50.00 313312Q29 11/19/24 11/18/24 95.520 44.80 313312Q37 11/20/24 07/15/24 94.860 51.40 313312Q45 11/21/24 09/26/24 95.370 46.30 313312Q52 11/22/24 05/15/24 94.950 50.50 313312Q86 11/25/24 12/29/23 95.300 47.00 313312Q94 11/26/24 11/25/24 95.500 45.00 313312R28 11/27/24 05/10/24 94.960 50.40 313312R44 11/29/24 02/09/24 95.200 48.00 313312R77 12/02/24 01/03/24 95.400 46.00 313312R85 12/03/24 07/19/24 94.890 51.10 Section III-D (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312R93 12/04/24 02/27/24 95.030 49.70 313312S27 12/05/24 07/19/24 94.890 51.10 313312S35 12/06/24 05/15/24 94.890 51.10 313312S68 12/09/24 05/21/24 94.890 51.10 313312S76 12/10/24 01/29/24 95.310 46.90 313312S84 12/11/24 05/23/24 94.890 51.10 313312T26 12/13/24 05/23/24 94.890 51.10 313312T59 12/16/24 04/11/24 94.970 50.30 313312T67 12/17/24 12/18/23 95.290 47.10 313312T75 12/18/24 12/16/24 95.500 45.00 313312T83 12/19/24 12/26/23 95.450 45.50 313312T91 12/20/24 06/03/24 94.860 51.40 313312U40 12/23/24 12/17/24 95.500 45.00 313312U57 12/24/24 02/05/24 95.290 47.10 313312U73 12/26/24 12/27/23 95.400 46.00 313312U81 12/27/24 06/12/24 94.880 51.20 313312V31 12/30/24 06/12/24 94.950 50.50 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2024 Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396RG0 01/02/24 08/30/23 98.175 18.25 313396RH8 01/03/24 11/08/23 99.186 8.14 313396RJ4 01/04/24 11/13/23 99.244 7.56 313396RK1 01/05/24 09/22/23 98.478 15.22 313396RN5 01/08/24 12/18/23 99.694 3.06 313396RP0 01/09/24 12/18/23 99.680 3.20 313396RQ8 01/10/24 12/18/23 99.665 3.35 313396RR6 01/11/24 09/01/23 98.101 18.99 313396RS4 01/12/24 09/22/23 98.374 16.26 313396RX3 01/17/24 10/19/23 98.688 13.12 313396RY1 01/18/24 12/14/23 99.491 5.09 313396RZ8 01/19/24 11/21/23 99.141 8.59 313396SC8 01/22/24 12/11/23 99.389 6.11 313396SD6 01/23/24 12/18/23 99.476 5.24 313396SG9 01/26/24 09/28/23 98.257 17.43 313396SK0 01/29/24 12/06/23 99.214 7.86 313396SL8 01/30/24 11/22/23 98.995 10.05 313396SM6 01/31/24 10/25/23 98.575 14.25 313396SN4 02/01/24 02/09/23 95.359 46.41 313396SP9 02/02/24 12/18/23 99.330 6.70 313396SS3 02/05/24 11/17/23 98.837 11.63 313396ST1 02/06/24 12/18/23 99.272 7.28 313396SU8 02/07/24 12/06/23 99.084 9.16 313396SV6 02/08/24 02/10/23 95.264 47.36 313396SW4 02/09/24 10/25/23 98.443 15.57 313396SZ7 02/12/24 02/13/23 95.197 48.03 313396TA1 02/13/24 02/13/23 95.184 48.16 313396TB9 02/14/24 02/15/23 95.147 48.53 313396TC7 02/15/24 02/15/23 95.133 48.67 313396TD5 02/16/24 11/22/23 98.748 12.52 313396TH6 02/20/24 01/24/24 99.608 3.92 313396TJ2 02/21/24 02/21/23 95.083 49.17 313396TK9 02/22/24 12/08/23 98.898 11.02 313396TL7 02/23/24 01/04/24 99.279 7.21 313396TP8 02/26/24 12/07/23 98.828 11.72 313396TQ6 02/27/24 12/18/23 98.971 10.29 Section III-E (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396TR4 02/28/24 11/17/23 98.507 14.93 313396TS2 02/29/24 11/29/23 98.667 13.33 313396TT0 03/01/24 10/25/23 98.135 18.65 313396TW3 03/04/24 03/10/23 95.200 48.00 313396TX1 03/05/24 12/28/23 99.023 9.77 313396TY9 03/06/24 02/15/24 99.710 2.90 313396TZ6 03/07/24 12/04/23 98.637 13.63 313396UA9 03/08/24 12/04/23 98.623 13.77 313396UD3 03/11/24 12/28/23 98.939 10.61 313396UE1 03/12/24 12/12/23 98.681 13.19 313396UF8 03/13/24 11/14/23 98.260 17.40 313396UG6 03/14/24 11/15/23 98.260 17.40 313396UH4 03/15/24 11/16/23 98.260 17.40 313396UL5 03/18/24 11/15/23 98.202 17.98 313396UM3 03/19/24 12/05/23 98.479 15.21 313396UN1 03/20/24 01/18/24 99.103 8.97 313396UP6 03/21/24 12/15/23 98.596 14.04 313396UQ4 03/22/24 12/12/23 98.537 14.63 313396UT8 03/25/24 10/13/23 97.615 23.85 313396UU5 03/26/24 11/22/23 98.184 18.16 313396UV3 03/27/24 11/27/23 98.249 17.51 313396UW1 03/28/24 10/16/23 97.608 23.92 313396UX9 03/29/24 07/11/23 96.328 36.72 313396VA8 04/01/24 12/04/23 98.284 17.16 313396VB6 04/02/24 03/11/24 99.681 3.19 313396VC4 04/03/24 11/30/23 98.208 17.92 313396VD2 04/04/24 11/30/23 98.194 18.06 313396VE0 04/05/24 12/21/23 98.479 15.21 313396VH3 04/08/24 02/08/24 99.127 8.73 313396VJ9 04/09/24 03/12/24 99.594 4.06 313396VK6 04/10/24 11/30/23 98.112 18.88 313396VL4 04/11/24 11/30/23 98.097 19.03 313396VM2 04/12/24 02/12/24 99.125 8.75 313396VQ3 04/15/24 01/05/24 98.559 14.41 313396VR1 04/16/24 03/18/24 99.578 4.22 313396VS9 04/17/24 11/27/23 97.949 20.51 313396VT7 04/18/24 03/22/24 99.608 3.92 313396VU4 04/19/24 03/14/24 99.478 5.22 313396VX8 04/22/24 12/15/23 98.158 18.42 313396VY6 04/23/24 03/08/24 99.334 6.66 313396WA7 04/25/24 10/18/23 97.234 27.66 313396WB5 04/26/24 03/19/24 99.448 5.52 Section III-E (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396WF6 04/30/24 12/06/23 97.905 20.95 313396WG4 05/01/24 10/25/23 97.260 27.40 313396WH2 05/02/24 10/18/23 97.135 28.65 313396WJ8 05/03/24 10/18/23 97.115 28.85 313396WM1 05/06/24 12/15/23 97.964 20.36 313396WN9 05/07/24 04/29/24 99.883 1.17 313396WP4 05/08/24 03/08/24 99.110 8.90 313396WQ2 05/09/24 11/24/23 97.599 24.01 313396WR0 05/10/24 12/08/23 97.795 22.05 313396WU3 05/13/24 01/11/24 98.258 17.42 313396WW9 05/15/24 11/07/23 97.271 27.29 313396WX7 05/16/24 01/03/24 98.117 18.83 313396WY5 05/17/24 04/24/24 99.665 3.35 313396XB4 05/20/24 12/01/23 97.566 24.34 313396XC2 05/21/24 12/08/23 97.663 23.37 313396XD0 05/22/24 12/08/23 97.648 23.52 313396XE8 05/23/24 12/08/23 97.634 23.66 313396XF5 05/24/24 01/04/24 98.018 19.82 313396XK4 05/28/24 01/02/24 97.967 20.33 313396XL2 05/29/24 01/02/24 97.953 20.47 313396XM0 05/30/24 01/02/24 97.939 20.61 313396XN8 05/31/24 01/02/24 97.925 20.75 313396XR9 06/03/24 11/28/23 97.313 26.87 313396XS7 06/04/24 03/18/24 98.873 11.27 313396XT5 06/05/24 05/02/24 99.507 4.93 313396XU2 06/06/24 05/21/24 99.767 2.33 313396XV0 06/07/24 03/07/24 98.663 13.37 313396XY4 06/10/24 11/13/23 96.973 30.27 313396XZ1 06/11/24 11/28/23 97.199 28.01 313396YA5 06/12/24 11/30/23 97.248 27.52 313396YB3 06/13/24 12/11/23 97.371 26.29 313396YC1 06/14/24 04/05/24 98.983 10.17 313396YF4 06/17/24 12/14/23 97.414 25.86 313396YG2 06/18/24 03/19/24 98.674 13.26 313396YN7 06/24/24 05/24/24 99.549 4.51 313396YR8 06/27/24 09/28/23 96.072 39.28 313396YS6 06/28/24 12/13/23 97.201 27.99 313396YV9 07/01/24 02/23/24 98.180 18.20 313396YW7 07/02/24 06/18/24 99.796 2.04 313396YX5 07/03/24 06/05/24 99.593 4.07 313396YZ0 07/05/24 06/25/24 99.854 1.46 313396ZC0 07/08/24 04/08/24 98.681 13.19 Section III-E (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396ZD8 07/09/24 06/13/24 99.622 3.78 313396ZE6 07/10/24 06/18/24 99.680 3.20 313396ZF3 07/11/24 06/14/24 99.607 3.93 313396ZG1 07/12/24 06/17/24 99.636 3.64 313396ZK2 07/15/24 01/12/24 97.503 24.97 313396ZL0 07/16/24 04/16/24 98.675 13.25 313396ZM8 07/17/24 06/14/24 99.520 4.80 313396ZN6 07/18/24 06/21/24 99.607 3.93 313396ZP1 07/19/24 06/21/24 99.592 4.08 313396ZS5 07/22/24 03/15/24 98.180 18.20 313396ZU0 07/24/24 05/17/24 99.022 9.78 313396ZV8 07/25/24 05/17/24 99.007 9.93 313396ZW6 07/26/24 05/17/24 98.994 10.06 313396ZZ9 07/29/24 04/18/24 98.545 14.55 313396A29 07/30/24 04/18/24 98.531 14.69 313396A37 07/31/24 11/14/23 96.349 36.51 313396A45 08/01/24 06/04/24 99.161 8.39 313396A52 08/02/24 06/21/24 99.390 6.10 313396A86 08/05/24 06/03/24 99.080 9.20 313396A94 08/06/24 07/11/24 99.623 3.77 313396B28 08/07/24 08/01/24 99.913 0.87 313396B36 08/08/24 05/08/24 98.658 13.42 313396B44 08/09/24 05/10/24 98.673 13.27 313396B77 08/12/24 02/21/24 97.573 24.27 313396B85 08/13/24 05/13/24 98.658 13.42 313396B93 08/14/24 07/24/24 99.694 3.06 313396C27 08/15/24 07/23/24 99.665 3.35 313396C35 08/16/24 07/19/24 99.592 4.08 313396C68 08/19/24 08/14/24 99.927 0.73 313396C76 08/20/24 08/14/24 99.913 0.87 313396C92 08/22/24 05/22/24 98.658 13.42 313396D26 08/23/24 07/24/24 99.563 4.37 313396D59 08/26/24 08/14/24 99.825 1.75 313396D67 08/27/24 06/24/24 99.082 9.18 313396D75 08/28/24 06/12/24 98.890 11.10 313396D83 08/29/24 06/12/24 98.876 11.24 313396D91 08/30/24 05/30/24 98.657 13.43 313396E58 09/03/24 07/18/24 99.317 6.83 313396E66 09/04/24 08/08/24 99.607 3.93 313396E74 09/05/24 08/01/24 99.489 5.11 313396E82 09/06/24 08/01/24 99.475 5.25 313396F32 09/09/24 08/07/24 99.520 4.80 Section III-E (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396F40 09/10/24 08/01/24 99.416 5.84 313396F57 09/11/24 08/22/24 99.709 2.91 313396F65 09/12/24 06/12/24 98.675 13.25 313396F73 09/13/24 06/12/24 98.662 13.38 313396G23 09/16/24 06/12/24 98.619 13.81 313396G31 09/17/24 06/12/24 98.604 13.96 313396G49 09/18/24 06/12/24 98.590 14.10 313396G56 09/19/24 06/12/24 98.576 14.24 313396G64 09/20/24 08/02/24 99.286 7.14 313396G98 09/23/24 07/29/24 99.190 8.10 313396H22 09/24/24 03/19/24 97.375 26.25 313396H30 09/25/24 07/29/24 99.161 8.39 313396H48 09/26/24 07/29/24 99.148 8.52 313396H55 09/27/24 07/30/24 99.147 8.53 313396H89 09/30/24 07/24/24 99.019 9.81 313396H97 10/01/24 03/12/24 97.209 27.91 313396J20 10/02/24 07/22/24 98.963 10.37 313396J38 10/03/24 07/18/24 98.891 11.09 313396J46 10/04/24 07/25/24 98.978 10.22 313396J79 10/07/24 07/25/24 98.937 10.63 313396J87 10/08/24 07/08/24 98.661 13.39 313396J95 10/09/24 07/25/24 98.910 10.90 313396K28 10/10/24 07/25/24 98.895 11.05 313396K36 10/11/24 07/25/24 98.882 11.18 313396K77 10/15/24 08/14/24 99.111 8.89 313396K85 10/16/24 09/09/24 99.488 5.12 313396K93 10/17/24 09/19/24 99.632 3.68 313396L27 10/18/24 09/19/24 99.618 3.82 313396L50 10/21/24 09/23/24 99.638 3.62 313396L68 10/22/24 07/22/24 98.669 13.31 313396L76 10/23/24 10/02/24 99.726 2.74 313396L84 10/24/24 09/30/24 99.689 3.11 313396L92 10/25/24 09/25/24 99.618 3.82 313396M42 10/28/24 09/24/24 99.564 4.36 313396M59 10/29/24 08/29/24 99.150 8.50 313396M67 10/30/24 08/29/24 99.136 8.64 313396M75 10/31/24 08/29/24 99.123 8.77 313396M83 11/01/24 09/24/24 99.512 4.88 313396N33 11/04/24 09/23/24 99.462 5.38 313396N41 11/05/24 08/05/24 98.684 13.16 313396N58 11/06/24 09/24/24 99.448 5.52 313396N66 11/07/24 09/26/24 99.465 5.35 Section III-E (continued) Discount to be Issue Price Reported as 2024 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396N74 11/08/24 09/26/24 99.452 5.48 313396P31 11/12/24 10/09/24 99.551 4.49 313396P56 11/14/24 11/06/24 99.900 1.00 313396P64 11/15/24 10/15/24 99.595 4.05 313396P98 11/18/24 09/16/24 99.134 8.66 313396Q22 11/19/24 11/14/24 99.939 0.61 313396Q30 11/20/24 09/23/24 99.257 7.43 313396Q48 11/21/24 10/21/24 99.594 4.06 313396Q55 11/22/24 08/22/24 98.704 12.96 313396Q89 11/25/24 11/12/24 99.842 1.58 313396Q97 11/26/24 11/20/24 99.927 0.73 313396R21 11/27/24 05/21/24 97.329 26.71 313396R47 11/29/24 11/13/24 99.805 1.95 313396R70 12/02/24 08/30/24 98.697 13.03 313396R96 12/04/24 11/04/24 99.614 3.86 313396S20 12/05/24 10/30/24 99.533 4.67 313396S38 12/06/24 11/04/24 99.588 4.12 313396S61 12/09/24 10/08/24 99.203 7.97 313396S79 12/10/24 12/05/24 99.939 0.61 313396S95 12/12/24 09/12/24 98.764 12.36 313396T29 12/13/24 12/02/24 99.866 1.34 313396T52 12/16/24 11/15/24 99.612 3.88 313396T78 12/18/24 11/18/24 99.624 3.76 313396T86 12/19/24 12/06/24 99.842 1.58 313396U43 12/23/24 12/06/24 99.795 2.05 313396U84 12/27/24 12/06/24 99.747 2.53 313396V34 12/30/24 08/21/24 98.261 17.39 313396V42 12/31/24 12/06/24 99.700 3.00