SECTION I-A This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969, and before January 1, 1985. Debt instruments which matured or were entirely called before 2006 are not included. See Section I-B for corporate discount debt instruments issued after 1984. CAUTION: The following OID information supercedes previously published information. Numbers may vary from previous editions because of rounding or updated information. OID per Daily OID per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total ------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2007 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period 2007 1st Period 2006 2007 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Allied Corp. 019087BA2 08/15/84 08/01/07 6.113 0.000 765.09 0.279194 0.315326 106.93 66.85 019087BB0 08/03/84 08/01/09 6.136 0.000 610.06 0.207187 0.231663 0.258323 79.32 88.58 Empire Incorporated 291737AB0 06/07/83 12/31/07 59.000 9.000 304.13 0.123887 0.143179 0.165022 49.23 56.64 Federal National Mortgage Association 313586QR3 07/05/84 07/05/14 3.625 0.000 354.72 0.118413 0.132258 0.147318 45.71 50.98 313586RC5 10/09/84 10/09/19 3.200 0.000 226.39 0.071457 0.078841 0.086751 26.70 29.44 Fruit of the Loom, Inc. 359416AH7 03/18/81 03/15/11 52.750 7.000 390.59 0.043135 0.043135 15.74 15.74 GMAC LLC 36186CAC7 04/01/81 04/01/11 44.510 6.000 457.87 0.050643 0.050643 18.48 18.48 General Foods Corp. 369856AF6 06/23/81 06/15/11 51.624 7.000 395.79 0.044183 0.044183 16.13 16.13 General Motors Acceptance Corporation 370424CF8 04/01/81 04/01/11 44.510 6.000 457.87 0.050643 0.050643 18.48 18.48 Honeywell Intl, Inc. 438516AH9 08/15/84 08/01/07 6.113 0.000 765.09 0.279194 0.315326 106.93 66.85 438516AJ5 08/03/84 08/01/09 6.136 0.000 610.06 0.207187 0.231663 0.258323 79.32 88.58 ITT Corporation 450679BP9 05/06/81 05/01/11 41.890 6.500 477.85 0.053059 0.053059 19.37 19.37 ITT Corporation 450680AM5 05/06/81 05/01/11 41.890 6.500 477.85 0.053059 0.053059 19.37 19.37 ITT Corporation 460470AM9 07/01/81 07/01/11 50.218 7.500 406.63 0.045434 0.045434 16.58 16.58 Kerr-McGee Corp. 492386AD9 11/17/81 11/01/11* 49.950 7.000 403.06 0.045745 1.83* Pepsico Capital Resources 713440AV7 04/14/82 04/01/06 4.780 0.000 942.41 0.108786 9.79 713440AW5 04/14/82 04/01/07 4.310 0.000 909.15 0.104946 0.104946 38.31 9.45 713440AX3 04/14/82 04/01/08 3.894 0.000 877.86 0.101335 0.101335 36.99 36.99 713440AY1 04/14/82 04/01/09 3.525 0.000 848.58 0.097954 0.097954 35.75 35.75 713440AZ8 04/14/82 04/01/10 3.196 0.000 821.04 0.094776 0.094776 34.59 34.59 713440BA2 04/14/82 04/01/11 2.904 0.000 795.11 0.091782 0.091782 33.50 33.50 713440BB0 04/14/82 04/01/12 2.643 0.000 770.58 0.088951 0.088951 32.47 32.47 Rapid-American Corp. 753329BA8 03/01/84 03/01/06 5.094 0.000 928.60 0.346757 20.46 753329BB6 03/01/84 03/01/07 4.449 0.000 811.07 0.302874 0.346763 123.98 20.46 Student Loan Marketing Association 863871AL3 08/15/84 05/15/14 3.900 0.000 362.77 0.121461 0.135451 0.150640 46.28 51.55 863871AM1 10/03/84 10/03/22 2.734 0.000 177.39 0.054395 0.059799 0.065561 20.34 22.35 Tennessee Gas Pipeline formerly Tenneco, Inc. 880451AJ8 12/15/81 12/15/11 40.783 6.000 474.61 0.054831 0.054831 19.74 19.74 Transamerica Financial Corp. 893502AM6 08/18/82 09/01/07 3.816 0.000 897.89 0.105177 0.105177 38.39 25.56 893502AN4 08/18/82 03/01/10 2.753 0.000 825.49 0.096696 0.096696 35.29 35.29 Transamerica Financial Corp. 893502AP9 08/18/82 09/01/12 1.986 0.000 762.62 0.089331 0.089331 32.61 32.61 ----------------------------- * Called in 2006; reportable OID is computed to call date. 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 2006 are not included. See Section I-A for corporate discount debt instruments issued before 1985. CAUTION: The following OID information supercedes previously published information. Numbers may vary from previous editions because of rounding or updated information. OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ ABN Amro Bank N.V. 00079FBH4 07/16/03 01/16/14 100.000 0.000 0.124411 0.126979 0.129599 0.132274 0.135004 46.11 48.03 00079FBM3 08/13/03 11/13/13 100.000 0.000 0.131882 0.134726 0.137632 0.140599 0.143631 48.27 50.37 00079FBR2 09/10/03 09/10/13 100.000 0.000 0.153981 0.157846 0.161808 0.165870 0.170033 57.00 59.89 00079FBX9 10/08/03 10/08/13 100.000 0.000 0.158709 0.162803 0.167004 0.171312 0.175732 58.56 61.62 00079FCY6 03/10/04 12/10/13 100.000 0.000 0.144206 0.147652 0.151180 0.154793 0.158492 52.68 55.23 00079FDB5 03/24/04 12/24/13 100.000 0.000 0.144206 0.147652 0.151180 0.154793 0.158492 52.58 55.13 00079FED0 06/23/04 12/23/09 100.000 0.000 0.119473 0.121893 0.124361 0.126879 0.129449 43.48 45.26 00079FEK4 07/21/04 01/21/10 100.000 0.000 0.117706 0.120101 0.122545 0.125039 0.127584 43.58 45.37 00079FEN8 08/04/04 02/04/10 100.000 0.000 0.114401 0.116667 0.118977 0.121332 0.123735 42.26 43.96 00079FHN5 01/13/05 01/13/20 100.000 VARIES 0.129997 0.128002 0.128062 0.128124 0.128187 46.11 46.13 00079FHT2 01/21/05 01/21/20 100.000 VARIES 0.130184 0.128527 0.126832 0.125096 0.123319 46.03 44.78 00079FHV7 01/28/05 01/28/20 100.000 VARIES 0.128136 0.126588 0.125005 0.123384 0.121726 45.37 44.21 00079FJD5 02/15/05 02/15/20 100.000 VARIES 0.127298 0.125741 0.124148 0.122518 0.120850 45.12 43.95 00079FLN0 07/20/05 04/20/09 100.000 0.000 0.110766 0.112953 0.115183 0.117457 0.119776 40.58 42.20 00079FMR0 09/30/05 10/03/20 100.000 7.500 0.123534 0.121648 0.119720 0.117749 0.115734 43.80 42.39 00079FMS8 10/03/05 10/03/20 100.000 VARIES 0.123493 0.121916 0.120303 0.118655 0.116971 43.89 42.72 00079FNF5 11/15/05 11/15/20 100.000 VARIES 0.146369 0.142038 0.142363 0.137992 0.137382 52.44 50.92 00079FNM0 12/21/05 12/21/10 100.000 VARIES 0.124177 0.123048 0.123261 0.122707 0.122830 45.11 44.88 00079FQY1 06/28/06 06/29/09 100.000 0.000 0.145836 0.145858 0.149687 0.153617 0.157649 26.70 54.61 00079FRK0 07/05/06 07/05/08 100.000 VARIES 0.147215 0.146705 0.146423 25.91 52.77 00079FRU8 08/09/06 02/09/10 100.000 0.000 0.136192 0.139530 0.142951 19.34 50.59 00079FSN3 08/31/06 08/31/10 100.000 0.000 0.142188 0.143470 0.148779 17.49 52.95 AIG FP Private Funding Cayman Limited 001378AC2 06/19/06 05/19/08 100.000 0.000 0.144207 0.149831 0.151299 0.157021 28.51 55.27 001378AD0 06/12/06 05/12/08 100.000 0.000 0.147341 0.150598 0.154592 0.158692 29.48 55.33 001378AE8 06/12/06 05/12/08 100.000 0.000 0.147341 0.150598 0.154592 0.158692 29.48 55.33 001378AF5 06/19/06 05/19/08 100.000 0.000 0.144207 0.149831 0.151299 0.157021 28.51 55.27 001378AG3 07/31/06 07/31/08 100.000 0.000 0.151085 0.155194 0.159415 22.81 56.39 001378AH1 07/31/06 07/31/08 100.000 0.000 0.151085 0.155194 0.159415 22.81 56.39 001378AJ7 10/04/06 10/06/08 100.000 0.000 0.140277 0.140317 0.143860 0.147492 12.21 51.76 001378AK4 10/04/06 10/06/08 100.000 0.000 0.140277 0.140317 0.143860 0.147492 12.21 51.76 001378AL2 10/04/06 10/05/09 100.000 0.000 0.138516 0.138536 0.141991 0.145531 12.05 51.10 001378AM0 10/04/06 10/05/09 100.000 0.000 0.138516 0.138536 0.141991 0.145531 12.05 51.10 AIG FP Private Funding Cayman Limited 001379AB2 05/22/06 06/02/08 100.000 0.000 0.146940 0.147156 0.151048 0.155043 0.159144 32.34 55.33 001379AC0 05/22/06 06/02/08 100.000 0.000 0.146940 0.147156 0.151048 0.155043 0.159144 32.34 55.33 001379AD8 09/01/06 09/01/11 100.000 0.000 0.142975 0.146655 0.150429 17.16 53.03 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ AIG FP Private Funding Cayman Limited 001379AE6 09/01/06 09/01/11 100.000 0.000 0.142975 0.146655 0.150429 17.16 53.03 AMR Corporation 001765AZ9 09/23/03 09/23/23 98.000 4.250 0.010958 0.011216 0.011479 0.011749 0.012026 4.04 4.23 001765BA3 09/23/03 09/23/23 98.000 4.250 0.010958 0.011216 0.011479 0.011749 0.012026 4.04 4.23 001765BB1 02/13/04 02/15/24 98.500 4.500 0.008012 0.008206 0.008405 0.008608 0.008817 2.97 3.12 APP Finance VI Mauritius Limited 00202NAA3 11/18/97 11/18/12 20.424 0.000 278.45 0.143945 0.151772 0.160025 0.168726 0.177901 53.92 59.94 ASG Consolidated LLC 00210VAA5 10/19/04 11/01/11 63.700 VARIES 0.228397 0.241527 0.255413 0.270098 0.285626 86.21 96.40 00210VAB3 10/19/04 11/01/11 63.700 VARIES 0.228397 0.241527 0.255413 0.270098 0.285626 86.21 96.40 Adams & Hancok Counties Illinois 005495AX4 05/24/05 12/01/06 103.908 VARIES 0.110929 0.113019 36.98 005495AY2 05/24/05 12/01/07 106.710 VARIES 0.122822 0.125314 0.115720 0.114235 44.45 37.92 Community Unit School District No. 1 005770BQ4 06/03/03 02/01/07 104.499 VARIES 0.094250 0.093692 0.093124 33.66 2.79 005770BR2 06/03/03 02/01/08 103.613 VARIES 0.107116 0.106725 0.106327 0.105921 0.105508 38.37 38.08 Adelphia Communications Corporation 006848BK0 10/25/01 11/01/06 97.161 10.250 22.58 0.018752 0.019783 5.81 Advanced Accessory Holdings Corporation 007506AA6 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 007506AB4 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 007506AC2 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 Advanta Bank Corporation 00761HAR2 02/25/03 02/21/06 98.000 VARIES 0.019196 .96 Advanced Medical Optics 00763MAF5 06/22/04 07/15/24 100.000 VARIES 0.228797 0.235003 0.241450 0.248148 0.255107 85.58 90.39 00763MAG3 06/22/04 07/15/24 100.000 VARIES 0.228797 0.235003 0.241450 0.248148 0.255107 85.58 90.39 00763MAH1 07/18/05 07/01/25 100.000 VARIES 0.196463 0.201923 0.207572 0.213415 71.71 75.78 00763MAJ7 07/18/05 07/01/25 100.000 VARIES 0.196463 0.201923 0.207572 0.213415 71.71 75.78 00763MAK4 06/13/06 08/01/26 100.000 VARIES 0.222190 0.223597 0.228929 0.234475 44.20 83.09 00763MAL2 06/13/06 08/01/26 100.000 VARIES 0.222190 0.223597 0.228929 0.234475 44.20 83.09 Aladdin Gaming Holdings 010714AC7 02/26/98 03/01/10 45.168 VARIES 0.395222 0.390429 0.398704 0.394111 0.400516 143.80 144.90 Alameda, CA 010781AQ5 03/14/02 02/01/12 97.458 7.625 7.54 0.006290 0.006541 0.006803 0.007075 0.007358 2.39 2.58 010781AW2 03/14/02 02/01/10 97.388 7.500 10.61 0.008846 0.009198 0.009564 0.009944 0.010340 3.36 3.63 Alamosa Delaware, Inc. 011588AF7 11/10/03 07/31/09* 81.789 VARIES 0.333178 0.333169 69.63* Alaska Communications Systems Holdings, Inc. 011679AD9 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 011679AE7 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 011679AF4 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 Alestra S.De R.L.De C.V. 01446PAG9 11/17/03 06/30/10 83.687 8.000 0.084702 0.086029 0.090386 0.087299 0.086522 31.17 32.42 Allergan, Inc. 018490AD4 11/06/02 11/06/22* 77.941 0.000 31.23 0.028093 0.028269 3.77* 018490AE2 11/06/02 11/06/22* 77.941 0.000 31.23 0.028093 0.028269 3.77* Alliance One International, Inc. 018772AE3 05/13/05 11/15/12 90.000 12.750 4.92 0.022844 0.024559 0.026403 0.028385 0.030516 8.70 10.05 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Alliance One International, Inc. 018772AF0 05/13/05 11/15/12 90.000 12.750 4.92 0.022844 0.024559 0.026403 0.028385 0.030516 8.70 10.05 Alliant Energy Resources 018803205 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 018803304 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 018803403 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 Alliant Techsystems Inc 018804AG9 02/19/04 02/15/24 100.000 VARIES 0.178898 0.182038 0.185273 0.188608 0.192045 65.84 68.22 018804AH7 02/19/04 02/15/24 100.000 VARIES 0.178898 0.182038 0.185273 0.188608 0.192045 65.84 68.22 018804AJ3 08/13/04 08/15/24 100.000 VARIES 0.201655 0.205782 0.210053 0.214472 0.219046 74.48 77.64 018804AK0 08/13/04 08/15/24 100.000 VARIES 0.201655 0.205782 0.210053 0.214472 0.219046 74.48 77.64 Alltel Corporation 020039798 05/06/02 05/17/07 100.000 VARIES 0.202213 0.201022 0.199788 72.48 27.17 020039DF7 05/06/02 05/17/07 100.000 VARIES 0.202213 0.201022 0.199788 72.48 27.17 Alpharma, Inc. 020813AC5 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* 020813AD3 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* 020813AE1 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* Alza Corporation 022615AC2 07/14/94 07/14/14 35.471 0.000 287.82 0.091474 0.093876 0.096340 0.098869 0.101464 34.18 35.99 American Axle & Manufacturing HLDG,Inc 024061AA1 02/11/04 02/15/24 100.000 2.000 0.132220 0.133975 0.135770 0.137606 0.139484 48.40 49.71 024061AB9 02/11/04 02/15/24 100.000 2.000 0.132220 0.133975 0.135770 0.137606 0.139484 48.40 49.71 American Commercial Lines LLC 025198AE2 05/29/02 01/01/08 92.250 11.250 43.24 0.043109 0.045967 0.049013 0.052262 16.03 18.23 025198AF9 05/29/02 07/01/08 53.606 VARIES 0.816442 0.915067 1.025606 1.149497 311.67 391.52 American Electric Power Company, Inc. 025537AC5 06/11/02 08/16/07 100.000 VARIES 0.191199 0.190010 0.188781 0.187511 68.29 42.25 American Medical System Holdings,Inc. 02744MAA6 06/27/06 07/01/36 100.000 VARIES 0.252792 0.252957 0.260359 0.268098 46.54 95.12 American Skiing Company 029654AG5 01/15/97 07/15/06 97.279 12.000 24.70 0.012235 0.013000 2.51 American Towers, Inc. 03027RAA1 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAB9 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAC7 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAD5 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* AmerUs Group Co. 03072M405 05/28/03 05/16/08* 100.000 VARIES 0.181473 24.50* 03072M504 05/16/06 05/16/11 102.760 6.583 0.169466 0.169069 0.168659 0.168238 38.11 60.75 03072MAC2 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAD0 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAE8 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAF5 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 Amgen Inc. 031162AC4 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AD2 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AE0 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AK6 03/01/05 03/01/32 72.947 VARIES 0.092663 0.094735 0.096854 0.099020 0.101235 34.23 35.78 031162AL4 03/01/05 03/01/32 72.947 VARIES 0.092663 0.094735 0.096854 0.099020 0.101235 34.23 35.78 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Anadarko Petroleum Corp. 032511AQ0 03/13/01 03/13/21 100.000 0.000 0.264021 0.273236 0.282771 0.292640 0.302853 98.73 105.74 032511AR8 03/13/01 03/13/21 100.000 0.000 0.264021 0.273236 0.282771 0.292640 0.302853 98.73 105.74 Anixter International 035290AD7 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AE5 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AF2 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AG0 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 Anthem, Inc. 03674BAA2 11/02/01 11/15/06 100.000 VARIES 0.196739 0.192122 61.71 Anthony Crane Cap. Corp. 036778AC2 07/31/03 02/01/08 3.000 VARIES 0.470113 0.650905 1.000915 1.678524 2.990356 281.40 780.72 Aon Corporation 037389AQ6 11/07/02 11/15/12 100.000 VARIES 0.300702 0.309959 0.319637 0.329754 0.340333 110.79 117.84 037389AT0 11/07/02 11/15/12 100.000 VARIES 0.300702 0.309959 0.319637 0.329754 0.340333 110.79 117.84 Apria Healthcare Group 037933AA6 08/20/03 09/01/33 100.000 VARIES 0.266840 0.274304 0.282089 0.290211 0.298682 99.24 105.01 037933AB4 08/20/03 09/01/33 100.000 VARIES 0.266840 0.274304 0.282089 0.290211 0.298682 99.24 105.01 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 0.025194 0.025193 0.025192 0.025191 0.025190 9.07 9.07 040114GA2 06/15/00 06/15/15 91.700 11.750 14.92 0.010663 0.011358 0.012097 0.012885 0.013724 3.99 4.52 040114GB0 07/21/00 07/21/30 80.144 10.250 4.69 0.003218 0.003425 0.003645 0.003880 0.004130 1.26 1.43 040114GF1 06/19/01 12/19/08 77.800 VARIES 0.250667 0.209336 0.167844 0.126179 0.084327 81.81 51.92 040114GG9 06/19/01 06/19/18* 75.375 0.000 0.593220 100.25* 040114GH7 06/19/01 06/19/31* 75.250 0.000 0.554217 93.66* Arlington Sport Facility Development Authority 04184EAA7 02/17/93 12/31/08 28.800 0.000 502.52 0.175606 0.182629 0.189933 0.197530 0.205430 64.50 69.76 Armor Holdings, Inc. 042260AC3 10/29/04 11/01/24 99.000 VARIES 0.202390 0.207531 0.212852 0.218360 0.224060 74.41 78.29 Armstrong County Industrial Development 04233KAB2 07/29/99 08/20/34 6.955 0.000 43.81 0.023734 0.024654 0.025609 0.026601 0.027632 8.96 9.66 ATMEL Corporation 049513AB0 04/21/98 04/21/18 33.785 0.000 175.10 0.077538 0.079670 0.081861 0.084113 0.086426 28.60 30.19 049513AC8 04/21/98 04/21/18* 33.785 0.000 175.10 0.077538 0.079670 14.03* Aubrey Independent School District 050195GZ3 08/07/03 02/15/06 93.203 0.000 64.58 0.076979 3.39 050195HA7 08/07/03 02/15/07 88.833 0.000 74.67 0.089539 0.091056 0.092600 32.92 4.07 050195HB5 08/07/03 02/15/08 84.421 0.000 79.42 0.095617 0.097424 0.099266 0.101142 0.103053 35.24 36.59 050195HC3 08/07/03 02/15/09 79.705 0.000 82.62 0.099842 0.101914 0.104028 0.106187 0.108390 36.89 38.43 050195HD1 08/07/03 02/15/10 74.664 0.000 84.79 0.102862 0.105192 0.107574 0.110011 0.112502 38.09 39.84 Avnet, Inc. 053807AL7 03/05/04 03/15/34 100.000 VARIES 0.239341 0.246578 0.254100 0.261918 0.270043 89.03 94.57 Azusa, California Redevelopment Agency 05502MAB9 06/16/92 12/01/12 16.502 0.000 378.89 0.135011 0.141089 0.147440 0.154077 0.161013 50.07 54.68 BGLS, Inc. 055432AD0 05/14/01 03/31/06 80.884 10.000 177.96 0.148288 13.20 Bank of America Corp. 060505AT1 10/29/02 03/01/07 94.733 0.000 0.104987 0.106879 0.108806 38.59 6.53 Bank of America Corp. 06050MAC1 09/07/99 09/07/06 100.000 0.250 0.299094 0.309539 75.46 06050MAW7 11/10/00 11/10/07 110.000 0.250 0.343128 0.356155 0.369687 0.383743 127.23 116.76 06050MBV8 06/28/02 07/02/07 100.000 0.000 0.152313 0.155938 0.159648 0.163447 56.80 29.58 06050MBY2 11/27/02 11/29/07 100.000 0.000 0.124996 0.127493 0.130040 0.132638 45.61 43.12 06050MCB1 02/20/03 02/20/08 100.000 0.000 0.110984 0.113009 0.115072 0.117172 0.119310 40.85 42.36 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America 06050MCH8 04/25/03 04/29/08 100.000 0.000 0.107457 0.109360 0.111297 0.113268 0.115274 39.27 40.67 06050MCK1 05/30/03 06/03/08 100.000 0.000 0.086434 0.087685 0.088955 0.090242 0.091549 31.41 32.33 06050MCM7 06/04/03 06/04/07 100.000 0.000 0.070764 0.071613 0.072472 25.67 11.09 06050MCN5 05/29/03 05/29/08 100.000 0.000 0.089773 0.091120 0.092487 0.093874 0.095282 32.65 33.63 06050MCP0 06/25/03 06/25/10 100.000 0.000 0.107679 0.109591 0.111536 0.113516 0.115531 39.13 40.53 06050MCQ8 07/25/03 07/29/08 100.000 0.000 0.102881 0.104659 0.106468 0.108309 0.110181 37.90 39.22 06050MCS4 11/12/03 11/13/08 100.000 0.000 0.118374 0.120707 0.123085 0.125511 0.127984 43.26 44.98 06050MCV7 12/19/03 12/23/08 100.000 0.000 0.108607 0.110582 0.112592 0.114639 0.116724 39.49 40.93 06050MCY1 01/30/04 02/03/09 100.000 0.000 0.102424 0.104216 0.106040 0.107895 0.109783 37.73 39.06 06050MDA2 03/02/04 03/04/09 100.000 0.000 0.102717 0.104519 0.106353 0.108219 0.110118 37.73 39.06 06050MDC8 03/25/04 03/27/09 100.000 0.000 0.096681 0.098282 0.099910 0.101565 0.103247 35.40 36.58 06050MDE4 05/28/04 06/01/10 100.000 0.000 0.142990 0.146416 0.149925 0.153517 0.157196 52.30 54.84 06050MDG9 06/09/04 06/09/08 99.000 11.000 0.093149 0.094826 0.096533 0.098270 0.100039 33.91 35.14 06050MDH7 06/25/04 06/28/10 100.000 0.000 0.140501 0.143813 0.147204 0.150674 0.154226 51.20 53.64 06050MDJ3 06/24/04 06/24/10 100.000 0.000 0.140750 0.144075 0.147478 0.150961 0.154527 51.32 53.77 06050MDK0 06/28/04 06/28/08 99.000 11.000 0.100004 0.101929 0.103891 0.105891 0.107929 36.36 37.77 06050MDM6 07/30/04 08/02/10 100.000 0.000 0.132776 0.135808 0.138910 0.142082 0.145327 49.26 51.53 06050MDN4 08/26/04 08/28/09 100.000 0.000 0.124154 0.126813 0.129529 0.132303 0.135136 45.84 47.82 06050MDR5 09/23/04 09/25/09 100.000 0.000 0.110909 0.113040 0.115212 0.117425 0.119681 40.72 42.30 06050MEC7 11/26/04 11/26/10 100.000 1.500 0.122134 0.123855 0.125613 0.127408 0.129241 44.40 45.67 06050MED5 11/15/04 11/13/09 100.000 0.000 0.114493 0.116763 0.119077 0.121437 0.123844 41.85 43.52 06050MEF0 11/29/04 11/29/10 100.000 0.000 0.114422 0.116688 0.118999 0.121356 0.123759 41.75 43.42 06050MEG8 12/27/04 06/28/10 100.000 0.000 0.118093 0.120504 0.122964 0.125474 0.128035 42.96 44.73 06050MEH6 12/28/04 12/28/10 100.000 1.000 0.122093 0.124100 0.126150 0.128243 0.130380 44.33 45.80 06050MEK9 01/27/05 01/28/11 100.000 0.000 0.122703 0.125356 0.128066 0.130834 0.133662 45.47 47.46 06050MEL7 01/28/05 01/28/11 100.000 1.000 0.123326 0.125412 0.127543 0.129721 0.131947 45.42 46.98 06050MEM5 01/26/05 01/26/10 100.000 0.250 0.115072 0.117270 0.119512 0.121800 0.124135 42.51 44.15 06050MEP8 02/24/05 02/24/10 100.000 1.250 0.121543 0.123414 0.125325 0.127277 0.129271 44.57 45.97 06050MER4 03/24/05 03/27/09 100.000 0.000 0.127563 0.130427 0.133355 0.136349 0.139409 46.98 49.12 06050MEU7 04/28/05 04/30/09 100.000 1.750 0.122992 0.124617 0.126278 0.127975 0.129709 44.77 45.97 06050MEW3 05/27/05 05/27/10 100.000 1.000 0.121686 0.123709 0.125776 0.127888 0.130045 44.31 45.80 06050MEY9 06/24/05 06/25/10 100.000 0.000 0.134853 0.138050 0.141323 0.144674 0.148103 49.16 51.52 06050MEZ6 07/29/05 07/29/11 100.000 1.500 0.126709 0.128649 0.130633 0.132662 0.134737 46.56 48.02 06050MFA0 08/25/05 08/25/10 100.000 1.250 0.125294 0.127337 0.129425 0.131561 0.133745 45.99 47.52 06050MFB8 08/26/05 08/28/09 100.000 0.000 0.122302 0.124994 0.127745 0.130556 0.133430 45.18 47.19 06050MFC6 10/28/05 10/28/10 100.000 2.000 0.134816 0.136739 0.138709 0.140727 0.142794 49.13 50.56 06050MFE2 09/28/05 09/29/10 100.000 0.000 0.125543 0.128379 0.131280 0.134246 0.137280 46.23 48.35 06050MFG7 11/21/05 11/24/10 100.000 0.000 0.136094 0.139426 0.142840 0.146338 0.149921 49.84 52.31 06050MFJ1 12/27/05 12/27/10 100.000 1.250 0.138928 0.141534 0.144205 0.146943 0.149750 50.50 52.43 06050MFK8 12/28/05 12/28/11 100.000 1.500 0.140308 0.142799 0.145353 0.147972 0.150657 50.97 52.81 06050MFL6 03/24/06 03/25/11 100.000 0.000 0.143418 0.143440 0.147143 0.150941 0.154838 40.09 54.39 06050MFP7 04/28/06 04/28/11 100.000 1.750 0.153856 0.156770 0.159766 0.162844 37.57 57.36 06050MFR3 03/27/06 03/27/09 100.000 0.750 0.144359 0.147568 0.150862 0.154240 39.86 54.34 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corporation 06050MFS1 05/26/06 08/26/10 100.000 0.000 0.150311 0.152344 0.156466 0.160699 32.57 56.63 06050MFT9 05/25/06 05/25/10 100.000 2.000 0.151095 0.153694 0.156363 0.159104 32.73 56.00 06050MFV4 06/27/06 06/27/11 100.000 0.000 0.157218 0.161667 0.166243 0.170947 28.95 59.06 06050MFW2 07/28/06 01/28/11 100.000 0.000 0.153763 0.158019 0.162392 23.53 57.44 06050MFX0 07/28/06 07/29/10 100.000 0.000 0.151817 0.151842 0.155991 0.160254 23.23 56.69 06050MFZ5 08/24/06 08/26/10 100.000 0.000 0.144514 0.144556 0.148316 0.152174 18.36 53.67 06050MGB7 09/29/06 10/03/11 100.000 0.000 0.137998 0.138075 0.141504 0.145019 12.70 50.94 06050MGD3 09/18/06 09/19/11 100.000 0.000 0.143422 0.143444 0.147147 0.150946 14.77 53.07 Baxter International,Inc 071813604 12/17/02 02/16/08 100.000 VARIES 0.124511 0.124463 0.123830 0.123183 0.122522 44.72 44.29 071813AV1 12/17/02 02/16/08 100.000 VARIES 0.124511 0.124463 0.123830 0.123183 0.122522 44.72 44.29 Bayerische Landesbank 072738503 06/05/03 06/06/06 100.000 0.000 0.050727 7.86 Bayerische Landesbank 0727G0AA8 05/31/02 05/28/10 100.000 0.000 0.176545 0.181219 0.186017 0.190941 0.195996 64.71 68.18 0727G0BF6 02/26/04 02/27/06 100.000 0.000 0.054000 3.02 0727G0BM1 04/05/04 10/05/06 100.000 0.000 0.060480 0.061118 16.69 0727G0CE8 11/10/04 05/10/06 100.000 0.000 0.082901 10.69 0727G0CJ7 11/26/04 02/26/09 100.000 0.000 0.111007 0.113162 0.115359 0.117598 0.119881 40.89 42.50 0727G0CL2 01/04/05 09/20/06 100.000 0.000 0.091791 0.093273 24.04 0727G0CQ1 02/15/05 11/01/06 100.000 0.000 0.095495 0.097099 28.94 0727G0CR9 02/23/05 02/23/07 100.000 0.000 0.101135 0.102944 0.104785 37.20 5.45 0727G0DH0 05/16/05 11/16/06 100.000 0.000 0.109709 0.111834 34.94 0727G0DM9 06/15/05 12/16/06 100.000 0.000 0.099143 0.100882 34.52 0727G0DN7 01/04/05 09/20/06 100.000 0.000 0.091791 0.093273 24.04 0727G0DQ0 07/13/05 07/13/07 100.000 0.000 0.103344 0.105267 0.107225 0.109220 38.20 20.95 Bear Stearns Co., Inc. 073928G23 08/31/04 07/01/19 51.530 1.000 28.47 0.062395 0.064258 0.066176 0.068151 22.80 24.18 073928JS3 06/03/99 06/30/11 46.328 0.000 241.23 0.126673 0.130774 0.135007 0.139377 0.143889 46.35 49.40 073928WN9 02/27/02 08/15/13 49.000 0.000 132.46 0.104384 0.109467 0.111084 0.116492 0.118213 39.95 42.52 Beaver County Industrial Development Authority 07487TAB9 04/29/99 11/20/24 17.103 0.000 100.21 0.052545 0.054392 0.056304 0.058283 0.060331 19.40 20.79 BellSouth Telecommunications 079867AS6 12/13/95 12/15/95 25.235 VARIES 0.094204 0.097430 0.100767 0.104218 0.107788 34.60 37.01 Bexar County Housing Finance Corporation 08837EAB7 09/28/05 04/01/22 39.225 0.000 5.83 0.062682 0.064484 0.066338 0.068245 0.070207 23.22 24.57 Bond & Fayette County,IL 097850CE9 04/01/03 12/01/06 105.312 VARIES 0.090557 0.089870 29.76 097850CF6 04/01/03 12/01/07 105.533 VARIES 0.101527 0.100911 0.100283 0.099645 36.40 32.98 097850CG4 04/01/03 12/01/08 105.035 VARIES 0.110522 0.110028 0.109523 0.109009 0.108485 39.67 39.30 Brill Media Company 109492AC2 12/30/97 12/15/07 89.963 VARIES 0.132900 0.132747 0.134089 0.134003 48.50 46.64 109492AH1 12/30/97 12/15/07 92.200 VARIES 0.132600 0.134283 0.133865 0.135627 48.73 46.91 Buffets Holdings, Inc. 119881AA8 05/18/04 01/31/11 56.873 VARIES 0.257722 0.275602 0.294722 0.315168 0.337033 101.59 116.17 119881AB6 05/18/04 01/31/11 56.873 VARIES 0.257722 0.275602 0.294722 0.315168 0.337033 101.59 116.17 Buffets, Inc. 119882AA6 06/28/02 07/15/10 96.181 11.250 12.42 0.011680 0.012381 0.013124 0.013912 0.014747 4.57 5.14 119882AB4 06/28/02 07/15/10 96.181 11.250 12.42 0.011680 0.012381 0.013124 0.013912 0.014747 4.57 5.14 Bureau and Putnam County, IL 121061CE3 03/18/03 12/01/06 106.270 VARIES 0.097443 0.096609 32.01 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Butler County Industrial Development Authority 12359RAR3 01/15/97 05/01/06 49.018 0.000 484.74 0.208999 25.08 12359RAS1 01/15/97 11/01/06 47.084 0.000 467.25 0.201618 0.209520 61.91 12359RAT9 01/15/97 05/01/07 45.174 0.000 450.63 0.194672 0.202330 0.210290 72.40 25.23 12359RAU6 01/15/97 11/01/07 43.373 0.000 434.17 0.187711 0.195114 0.202810 0.210809 69.81 62.28 12359RAV4 01/15/97 05/01/08 41.546 0.000 418.76 0.181330 0.188518 0.195991 0.203761 0.211838 67.45 72.91 12359RAW2 01/15/97 11/01/08 39.917 0.000 403.03 0.174583 0.181512 0.188717 0.196208 0.203995 64.95 70.20 12359RAX0 01/15/97 05/01/09 38.166 0.000 388.67 0.168694 0.175432 0.182439 0.189726 0.197304 62.77 67.88 12359RAY8 01/15/97 11/01/09 36.700 0.000 373.74 0.162215 0.168694 0.175432 0.182439 0.189727 60.36 65.27 12359RAZ5 01/15/97 05/01/10 35.110 0.000 360.01 0.156495 0.162778 0.169312 0.176109 0.183178 58.24 63.01 12359RBA9 01/15/97 11/01/10 33.621 0.000 346.50 0.150800 0.156876 0.163197 0.169773 0.176614 56.13 60.74 12359RBB7 01/15/97 05/01/11 32.274 0.000 333.19 0.145063 0.150915 0.157004 0.163338 0.169928 53.99 58.44 Harrah's Operating Company, Inc. 127687AA9 06/13/05 04/15/24 127.250 VARIES 0.221694 0.225032 0.228473 0.232020 0.235678 80.93 83.44 127687AB7 06/13/05 04/15/24 127.250 VARIES 0.221694 0.225032 0.228473 0.232020 0.235678 80.93 83.44 Call-Net Enterprises 130910AE2 07/24/98 08/15/08* 64.249 VARIES 0.248310 .50* CapitalSource Inc. 14055XAC6 07/07/04 07/15/34 100.000 VARIES 0.238966 0.244778 0.250828 0.257126 0.263682 89.04 93.57 14055XAD4 07/07/04 07/15/34 100.000 VARIES 0.238966 0.244778 0.250828 0.257126 0.263682 89.04 93.57 Cendant Corporation 151313AG8 05/04/01 05/04/21 100.000 0.000 0.380947 0.391974 0.416800 0.428865 0.453522 143.15 156.48 151313AJ2 07/27/01 08/17/06 99.000 VARIES 0.202745 0.202521 45.78 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 2.000 0.440943 0.459862 0.479710 0.500532 0.522377 166.25 180.97 Century Communications Corporation 156503AK0 11/13/97 11/15/17 93.375 8.375 14.27 0.006924 0.007239 0.007568 0.007912 0.008272 2.58 2.82 156503AM6 01/15/98 01/15/08 41.266 0.000 422.34 0.197108 0.209442 0.215350 0.228825 0.235280 77.28 84.43 156503AN4 01/15/98 01/15/08 41.266 0.000 422.34 0.197108 0.209442 0.215350 0.228825 0.235280 77.28 84.43 CenturyTel, Inc. 156700AD8 05/06/02 05/15/07 100.000 VARIES 0.212106 0.210245 0.208314 75.85 27.91 156700AE6 06/26/02 08/01/32 100.000 VARIES 0.285827 0.292729 0.299941 0.307476 0.315349 106.26 111.65 156700AH9 06/26/02 08/01/32 100.000 VARIES 0.285827 0.292729 0.299941 0.307476 0.315349 106.26 111.65 Chiron Corporation 170040AD1 06/12/01 06/12/31* 55.045 0.000 0.127732 20.69* 170040AE9 06/12/01 06/12/31* 55.045 0.000 0.127696 20.69* 170040AF6 07/30/03 08/01/33 100.000 1.625 0.186864 0.191218 0.195706 0.200332 0.205100 69.38 72.70 170040AG4 07/30/03 08/01/33 100.000 1.625 0.186864 0.191218 0.195706 0.200332 0.205100 69.38 72.70 170040AH2 06/22/04 06/30/34 100.000 2.750 0.193674 0.197530 0.201514 0.205628 0.209877 70.42 73.29 170040AJ8 06/22/04 06/30/34 100.000 2.750 0.193674 0.197530 0.201514 0.205628 0.209877 70.42 73.29 The Chubb Corporation 171232507 06/24/03 08/16/08* 100.000 VARIES 0.087876 0.088267 11.90* 171232AG6 12/02/02 11/16/07 100.000 VARIES 0.135965 0.135317 0.134653 0.133974 48.77 42.29 171232AK7 06/24/03 08/16/08 100.000 VARIES 0.087876 0.088267 0.088227 0.087747 0.087260 31.75 31.54 Chukchansi Economic Development Authority 171276AA6 10/08/02 06/15/09 91.476 14.500 30.17 0.034281 0.037137 0.040231 0.043582 0.047213 12.95 15.20 171276AB4 10/08/02 06/15/09 91.476 14.500 30.17 0.034281 0.037137 0.040231 0.043582 0.047213 12.95 15.20 Cinemark, Inc. 17243RAA9 03/31/04 03/15/14 62.373 VARIES 0.194083 0.203544 0.213466 0.223871 0.234784 73.63 80.98 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cinemark, Inc. 17243RAB7 03/31/04 03/15/14 62.373 VARIES 0.194083 0.203544 0.213466 0.223871 0.234784 73.63 80.98 Citigroup Global Markets Holdings, Inc. 17307EBE2 07/01/04 09/07/16 51.400 0.000 43.98 0.084345 0.086680 0.089080 0.091546 0.094080 31.32 33.08 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 0.023526 0.024387 0.025279 0.026204 5.36 9.02 1730T0AN9 05/19/06 05/19/08 100.000 0.000 0.149303 0.153316 0.157436 0.161667 33.31 56.29 1730T0AT6 07/25/06 07/25/08 100.000 0.000 0.155284 0.159624 0.164086 24.22 58.06 1730T0AV1 09/06/06 09/05/08 100.000 0.000 0.145074 0.148842 0.152728 16.68 53.79 1730T0AW9 09/07/06 09/07/11 100.000 0.125 0.146989 0.150786 0.154683 16.76 54.48 1730T0AY5 09/26/06 09/26/08 100.000 0.000 0.146068 0.149909 0.153850 13.88 54.02 Citizens Communications Company 17453BAC5 06/19/01 08/17/06 98.920 VARIES 0.220023 0.218956 49.53 Clinton & Wash Counties Illinois 187327AN1 05/13/04 12/01/06 104.780 VARIES 0.093216 0.092350 30.61 187327AP6 05/13/04 12/01/07 105.447 VARIES 0.106086 0.105299 0.104497 0.103680 38.00 34.34 187327AQ4 05/13/04 12/01/08 105.302 VARIES 0.121041 0.120374 0.119693 0.118997 0.118287 43.41 42.92 Comcast Corporation 200300BH3 12/19/00 12/19/20* 77.941 0.000 50.45 0.028802 4.29* Compass Minerals International, Inc. 20451NAA9 12/20/02 12/15/12 53.995 VARIES 0.276593 0.294225 0.312981 0.332932 0.000010 103.33 111.26 CompuCredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 0.259275 0.262194 0.274136 0.277480 0.288790 95.65 101.14 20478NAB6 05/27/05 05/30/25 100.000 VARIES 0.259275 0.262194 0.274136 0.277480 0.288790 95.65 101.14 20478NAC4 11/23/05 01/31/36 100.000 5.875 0.249508 0.251052 0.250902 0.259250 0.259330 95.16 94.39 20478NAD2 11/23/05 01/31/36 100.000 5.875 0.249508 0.251052 0.250902 0.259250 0.259330 91.56 94.39 Connetics Corporation 208192AC8 03/23/05 03/30/15 100.000 2.000 0.199492 0.204529 0.209743 0.215140 0.220725 73.66 77.48 208192AD6 03/23/05 03/30/15 100.000 2.000 0.199492 0.204529 0.209743 0.215140 0.220725 73.66 77.48 Conseco, Inc. 208464BG1 08/15/05 09/30/35 99.000 3.500 0.203793 0.207723 0.211798 0.216023 0.220404 74.80 77.79 208464BH9 08/15/05 09/30/35 99.000 3.500 0.203793 0.207723 0.211798 0.216023 0.220404 74.80 77.79 Convergent Communication 211914AC0 04/02/98 04/01/08 95.696 13.000 27.91 0.016046 0.017154 0.018338 0.019604 0.020957 6.18 7.07 Cook County, Illinois 213309KR7 04/28/05 12/01/16 52.896 0.000 20.04 0.084545 0.086899 0.089319 0.091806 0.094363 31.00 32.75 213309KS5 04/28/05 12/01/17 49.824 0.000 19.02 0.080225 0.082475 0.084788 0.087166 0.089611 29.42 31.10 213309KT3 04/28/05 12/01/18 46.339 0.000 18.10 0.076400 0.078593 0.080848 0.083168 0.085555 28.03 29.66 213309KU0 04/28/05 12/01/19 43.603 0.000 17.12 0.072279 0.074364 0.076509 0.078716 0.080987 26.52 28.07 213309KV8 04/28/05 12/01/20 40.881 0.000 16.19 0.068374 0.070363 0.072411 0.074518 0.076686 25.09 26.58 Cook County, Illinois 213314DE4 09/16/03 12/01/08 79.030 0.000 86.28 0.110826 0.113358 0.115947 0.118596 0.121305 40.51 42.38 Cook County, Illinois School District #89 214201FV2 09/07/05 12/01/10 78.217 0.000 11.80 0.104320 0.106797 0.109332 0.111928 0.114586 38.15 39.98 214201FW0 09/07/05 12/01/11 73.907 0.000 11.52 0.101931 0.104433 0.106996 0.109622 0.112313 37.30 39.15 214201FX8 09/07/05 12/01/12 70.159 0.000 11.05 0.097764 0.100188 0.102672 0.105218 0.107827 35.78 37.57 214201FY6 09/07/05 12/01/13 66.377 0.000 10.62 0.094003 0.096371 0.098799 0.101289 0.103841 34.41 36.17 214201FZ3 09/07/05 12/01/14 62.531 0.000 10.23 0.090515 0.092845 0.095236 0.097688 0.100203 33.15 34.88 Cook County, Illinois 214471HQ0 12/30/02 12/01/22 21.989 0.000 56.45 0.059106 0.061396 0.063775 0.066246 0.068813 21.83 23.55 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, Illinois School District #127 214723CV8 09/07/05 12/01/19 46.971 0.000 8.03 0.071069 0.072980 0.074943 0.076959 0.079029 26.05 27.46 214723CW6 09/07/05 12/01/20 44.082 0.000 7.63 0.067577 0.069419 0.071310 0.073253 0.075249 24.77 26.14 214723CX4 09/07/05 12/01/21 41.315 0.000 7.25 0.064159 0.065930 0.067749 0.069619 0.071540 23.52 24.84 214723CY2 09/07/05 12/01/22 38.734 0.000 6.87 0.060813 0.062510 0.064254 0.066046 0.067889 22.30 23.56 214723CZ9 09/07/05 12/01/23 36.271 0.000 6.50 0.057568 0.059192 0.060861 0.062577 0.064341 21.12 22.32 214723DA3 09/07/05 12/01/24 33.990 0.000 6.15 0.054432 0.055980 0.057572 0.059210 0.060895 19.97 21.12 214723DC9 09/07/05 12/01/13 66.537 0.000 10.59 0.093663 0.096009 0.098413 0.100878 0.103404 34.28 36.02 Cook County, Illinois 215030CN5 01/08/04 12/01/12 63.060 0.000 68.22 0.101457 0.104120 0.106853 0.109657 0.112536 37.17 39.14 215030CP0 01/08/04 12/01/13 58.732 0.000 66.06 0.098458 0.101140 0.103896 0.106727 0.109635 36.09 38.08 215030CQ8 01/08/04 12/01/14 54.489 0.000 63.64 0.095050 0.097735 0.100496 0.103334 0.106253 34.86 36.86 215030CR6 01/08/04 12/01/15 50.650 0.000 60.79 0.090950 0.093587 0.096301 0.099093 0.101967 33.38 35.34 Cook County, Illinois 215093EV3 06/17/03 12/01/13 59.669 0.000 79.75 0.093557 0.095896 0.098293 0.100751 0.103269 34.24 35.98 215093EW1 06/17/03 12/01/14 55.539 0.000 77.36 0.091000 0.093366 0.095793 0.098284 0.100839 33.33 35.09 215093EX9 06/17/03 12/01/15 51.495 0.000 74.64 0.088039 0.090416 0.092857 0.095364 0.097939 32.27 34.03 Cook County, Illinois 215183FW9 12/10/03 12/01/12 60.122 0.000 74.46 0.107405 0.110493 0.113669 0.116937 0.120299 39.41 41.71 215183FX7 12/10/03 12/01/13 55.449 0.000 71.80 0.103860 0.106976 0.110185 0.113490 0.116895 38.14 40.46 215183FY5 12/10/03 12/01/14 51.438 0.000 68.35 0.099039 0.102084 0.105223 0.108459 0.111794 36.39 38.66 215183FZ2 12/10/03 12/01/15 47.578 0.000 64.84 0.094113 0.097078 0.100136 0.103290 0.106544 34.60 36.81 Cook County, Illinois School District No.155 215219DX1 02/01/01 12/01/06 68.469 0.000 257.61 0.171759 0.177425 57.70 215219DY9 02/01/01 12/01/07 63.741 0.000 244.02 0.163093 0.168556 0.174201 0.180035 60.03 58.54 215219DZ6 02/01/01 12/01/08 59.225 0.000 230.65 0.154529 0.159782 0.165213 0.170829 0.176636 56.90 60.83 215219EA0 02/01/01 12/01/09 55.158 0.000 216.65 0.145320 0.150296 0.155443 0.160766 0.166271 53.51 57.24 215219EB8 02/01/01 12/01/10 51.321 0.000 203.28 0.136518 0.141227 0.146099 0.151138 0.156352 50.28 53.81 215219EG7 02/01/01 12/01/14 37.337 0.000 156.64 0.106085 0.109930 0.113914 0.118043 0.122322 39.12 42.00 215219EH5 02/01/01 12/01/15 34.277 0.000 146.12 0.099194 0.102839 0.106618 0.110536 0.114597 36.59 39.33 215219FB7 06/30/03 12/01/07 84.673 0.000 83.69 0.097893 0.099753 0.101648 0.103579 35.69 33.89 215219FC5 06/30/03 12/01/08 81.113 0.000 82.36 0.096471 0.098352 0.100270 0.102225 0.104218 35.18 36.57 215219FD3 06/30/03 12/01/09 76.100 0.000 85.55 0.100747 0.102913 0.105126 0.107386 0.109694 36.79 38.39 215219FE1 06/30/03 12/01/10 71.619 0.000 85.41 0.100922 0.103218 0.105566 0.107968 0.110424 36.88 38.58 215219FN1 06/30/03 12/01/18 44.637 0.000 62.48 0.074582 0.076559 0.078587 0.080670 0.082807 27.33 28.79 215219FP6 06/30/03 12/01/19 41.690 0.000 59.52 0.071140 0.073061 0.075033 0.077059 0.079140 26.07 27.50 215219FQ4 06/30/03 12/01/20 39.193 0.000 56.50 0.067578 0.069420 0.071311 0.073254 0.075250 24.77 26.14 215219FR2 06/30/03 12/01/21 36.482 0.000 53.61 0.064208 0.065989 0.067821 0.069702 0.071637 23.54 24.87 215219FS0 06/30/03 12/01/22 33.892 0.000 50.75 0.060868 0.062587 0.064355 0.066173 0.068043 22.33 23.61 215219GA8 06/02/05 12/01/15 59.242 0.000 17.43 0.085192 0.087343 0.089548 0.091810 0.094128 31.19 32.78 215219GB6 06/02/05 12/01/16 55.669 0.000 16.74 0.081841 0.083953 0.086119 0.088341 0.090620 29.97 31.54 215219GC4 06/02/05 12/01/17 52.327 0.000 16.01 0.078304 0.080360 0.082469 0.084634 0.086856 28.68 30.21 215219GD2 06/02/05 12/01/18 49.294 0.000 15.25 0.074630 0.076611 0.078645 0.080733 0.082877 27.34 28.82 215219GE0 06/02/05 12/01/19 46.448 0.000 14.51 0.071000 0.072903 0.074857 0.076863 0.078923 26.02 27.43 215219GF7 06/02/05 12/01/20 43.922 0.000 13.77 0.067397 0.069210 0.071071 0.072983 0.074946 24.70 26.05 215219GG5 06/02/05 12/01/21 41.054 0.000 13.09 0.064076 0.065828 0.067629 0.069479 0.071379 23.49 24.79 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, Illinois 215219GH3 06/02/05 12/01/22 38.699 0.000 12.41 0.060740 0.062411 0.064127 0.065891 0.067703 22.27 23.51 215219GQ3 06/02/05 12/01/23 36.261 0.000 11.75 0.057552 0.059152 0.060797 0.062487 0.064224 21.10 22.29 215219GR1 06/02/05 12/01/24 34.002 0.000 11.12 0.054465 0.055993 0.057564 0.059178 0.060838 19.98 21.11 215219GX8 06/29/06 12/01/07 92.317 0.000 0.146086 0.149604 0.153865 26.69 50.14 215219GY6 06/29/06 12/01/08 87.231 0.000 0.138548 0.141896 0.145952 0.150125 25.32 52.06 215219GZ3 06/29/06 12/01/09 82.420 0.000 0.131151 0.134325 0.138173 0.142130 23.96 49.28 215219HA7 06/29/06 12/01/10 77.826 0.000 0.124276 0.127297 0.130956 0.134721 22.71 46.71 215219HB5 06/29/06 12/01/16 54.002 0.000 0.089995 0.092276 0.095045 0.097896 16.45 33.89 215219HC3 06/29/06 12/01/17 50.621 0.000 0.085063 0.087237 0.089876 0.092595 15.55 32.04 215219HD1 06/29/06 12/01/18 47.405 0.000 0.080317 0.082389 0.084901 0.087491 14.68 30.27 215219HE9 06/29/06 12/01/19 44.524 0.000 0.075685 0.077643 0.080018 0.082467 13.83 28.52 215219HF6 06/29/06 12/01/20 41.744 0.000 0.071308 0.073160 0.075410 0.077728 13.03 26.88 215219HG4 06/29/06 12/01/21 39.173 0.000 0.067133 0.068884 0.071009 0.073199 12.27 25.31 215219HH2 06/29/06 12/01/22 36.688 0.000 0.063181 0.064835 0.066845 0.068917 11.55 23.82 215219HJ8 06/29/06 12/01/23 34.398 0.000 0.059429 0.060990 0.062887 0.064843 10.86 22.41 215219HK5 06/29/06 12/01/24 32.181 0.000 0.055868 0.057342 0.059134 0.060982 10.21 21.07 215219HL3 06/29/06 12/01/25 30.147 0.000 0.052503 0.053894 0.055583 0.057326 9.60 19.81 215219HM1 06/29/06 06/01/26 29.062 0.000 0.050855 0.052209 0.053853 0.055549 9.30 19.19 215219JA5 06/29/06 12/01/07 92.317 0.000 0.146086 0.149604 0.153865 26.69 50.14 215219JB3 06/29/06 12/01/08 87.231 0.000 0.138548 0.141896 0.145952 0.150125 25.32 52.06 215219JC1 06/29/06 12/01/09 82.420 0.000 0.131151 0.134325 0.138173 0.142130 23.96 49.28 215219JD9 06/29/06 12/01/10 77.826 0.000 0.124276 0.127297 0.130956 0.134721 22.71 46.71 215219JE7 06/29/06 12/01/11 73.537 0.000 0.117432 0.120286 0.123743 0.127300 21.46 44.14 215219JF4 06/29/06 12/01/12 69.397 0.000 0.111213 0.113924 0.117210 0.120591 20.32 41.80 215219JG2 06/29/06 12/01/13 65.418 0.000 0.105383 0.107965 0.111095 0.114317 19.26 39.62 215219JH0 06/29/06 12/01/14 61.530 0.000 0.099974 0.102447 0.105443 0.108527 18.27 37.60 215219JJ6 06/29/06 12/01/15 57.818 0.000 0.094745 0.097108 0.099972 0.102921 17.31 35.65 215219JK3 06/29/06 12/01/16 54.002 0.000 0.089995 0.092276 0.095045 0.097896 16.45 33.89 215219JL1 06/29/06 12/01/17 50.621 0.000 0.085063 0.087237 0.089876 0.092595 15.55 32.04 215219JM9 06/29/06 12/01/18 47.405 0.000 0.080317 0.082389 0.084901 0.087491 14.68 30.27 215219JN7 06/29/06 12/01/19 44.524 0.000 0.075685 0.077643 0.080018 0.082467 13.83 28.52 Cook County, Illinois 215255EW6 06/30/04 12/01/11 66.619 0.000 57.19 0.110997 0.114077 0.117242 0.120495 0.123839 40.70 42.99 215255EX4 06/30/04 12/01/12 62.198 0.000 55.08 0.107058 0.110120 0.113269 0.116508 0.119840 39.28 41.56 215255EY2 06/30/04 12/01/13 57.985 0.000 52.74 0.102639 0.105651 0.108752 0.111943 0.115229 37.68 39.92 215255EZ9 06/30/04 12/01/14 53.847 0.000 50.35 0.098128 0.101086 0.104134 0.107273 0.110507 36.04 38.24 215255FA3 06/30/04 12/01/15 50.015 0.000 47.81 0.093278 0.096151 0.099112 0.102165 0.105311 34.27 36.42 Cook County, Illinois 215381HN7 08/07/03 12/01/06 90.595 0.000 67.14 0.080876 0.082089 26.91 215381HP2 08/07/03 12/01/07 86.272 0.000 73.85 0.089483 0.091026 0.092596 0.094193 32.58 30.84 215381HQ0 08/07/03 12/01/12 61.760 0.000 81.70 0.101330 0.103985 0.106709 0.109504 0.112373 37.12 39.09 215381HR8 08/07/03 12/01/13 57.537 0.000 79.03 0.098248 0.100915 0.103655 0.106469 0.109359 36.01 37.99 215381HS6 08/07/03 12/01/14 53.466 0.000 76.00 0.094705 0.097361 0.100092 0.102899 0.105785 34.73 36.71 Cook County, Illinois 215903EV3 06/17/03 12/01/13 59.669 0.000 79.75 0.093557 0.095896 0.098293 0.100751 0.103269 34.24 35.98 215903EW1 06/17/03 12/01/14 55.539 0.000 77.36 0.091000 0.093366 0.095793 0.098284 0.100839 33.33 35.09 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL 215903EX9 06/17/03 12/01/15 51.495 0.000 74.64 0.088039 0.090416 0.092857 0.095364 0.097939 32.27 34.03 Coppell Independent School District 217489SZ7 09/25/97 08/15/06 53.555 0.000 421.79 0.185108 0.191724 42.66 Corvallie, Benton County 2208855B9 03/12/02 01/01/07 77.493 0.000 173.38 0.141677 0.145487 51.69 2208855C7 03/12/02 01/01/08 72.008 0.000 172.93 0.142346 0.146430 0.150631 0.154953 51.98 55.01 2208855D5 03/12/02 01/01/09 67.064 0.000 167.86 0.138782 0.142917 0.147175 0.151559 50.71 53.77 2208855E3 03/12/02 01/01/10 62.052 0.000 162.52 0.135047 0.139239 0.143561 0.148018 49.37 52.48 2208855F0 03/12/02 01/01/11 57.678 0.000 154.83 0.129023 0.133118 0.137344 0.141704 47.19 50.23 2208855G8 03/12/02 01/01/12 53.670 0.000 146.59 0.122403 0.126350 0.130424 0.134630 44.78 47.71 2208855H6 03/12/02 01/01/13 49.793 0.000 138.58 0.115967 0.119770 0.123697 0.127754 42.43 45.26 2208855J2 03/12/02 01/01/14 46.414 0.000 130.27 0.109126 0.112732 0.116457 0.120306 39.93 42.62 2208855K9 03/12/02 01/01/15 43.223 0.000 122.34 0.102582 0.105998 0.109527 0.113174 37.54 40.09 2208855L7 03/12/02 01/01/16 39.945 0.000 114.95 0.096582 0.099846 0.103220 0.106709 35.36 37.79 2208855M5 03/12/02 01/01/17 37.109 0.000 107.67 0.090556 0.093639 0.096827 0.100124 33.16 35.45 2208855N3 03/12/02 01/01/18 34.442 0.000 100.75 0.084819 0.087728 0.090737 0.093849 31.06 33.23 2208855P8 03/12/02 01/01/19 31.935 0.000 94.18 0.079365 0.082107 0.084943 0.087878 29.06 31.11 2208855Q6 03/12/02 01/01/20 29.582 0.000 87.95 0.074186 0.076768 0.079439 0.082203 27.17 29.10 2208855R4 03/12/02 01/01/21 27.475 0.000 82.08 0.069278 0.071699 0.074205 0.076798 25.38 27.18 2208855S2 03/12/02 01/01/22 25.504 0.000 76.56 0.064655 0.066924 0.069273 0.071705 23.68 25.38 2208855T0 03/12/02 01/01/23 23.613 0.000 71.33 0.060292 0.062420 0.064623 0.066904 22.09 23.67 Costco Companies, Inc. 22160QAA0 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 22160QAB8 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 22160QAC6 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 Covad Communications 222814AD7 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 222814AG0 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 222814AH8 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 Cox Communications, Inc. 224044BB2 02/23/01 02/23/21 69.503 0.348 62.02 0.037350 0.037771 0.038196 0.038625 0.039060 13.63 13.94 Credit Suisse USA,Inc. 22541FDM5 04/28/06 10/30/09 100.000 0.000 0.150318 0.150364 0.154432 0.158611 0.162902 36.79 56.86 22541FDN3 02/28/06 08/31/10 100.000 0.000 0.140117 0.146112 0.147435 0.152899 43.75 54.41 22541FDP8 02/02/06 08/17/09 100.000 0.000 0.140229 0.140524 0.144071 0.147708 0.151436 46.70 53.51 22541FDQ6 03/22/06 09/30/09 100.000 0.000 0.142214 0.142396 0.146041 0.149779 0.153613 40.20 53.94 22541FDR4 04/28/06 04/29/13 100.000 0.000 0.153398 0.153423 0.157659 0.162013 0.166486 37.54 58.09 22541FDS2 04/28/06 07/28/10 100.000 0.000 0.150546 0.152585 0.156720 0.160967 36.89 56.96 22541FDT0 05/26/06 05/26/09 100.000 0.000 0.151946 0.156102 0.160371 0.164757 32.81 57.27 22541FDU7 05/31/06 08/31/10 100.000 0.000 0.149366 0.153928 0.155580 0.161613 32.67 57.43 22541FDV5 07/28/06 07/28/10 100.000 0.000 0.155140 0.159473 0.163926 23.74 57.97 22541FDW3 07/31/06 01/29/10 100.000 0.000 0.154316 0.158578 0.162983 23.30 57.64 Credit Suisse USA, Inc. 22541HAL6 02/08/06 02/09/09 100.000 0.000 0.141309 0.141331 0.144925 0.148612 0.152392 46.16 53.90 22541HAN2 03/28/06 03/23/11 100.000 1.000 0.144563 0.147517 0.150633 0.153830 39.76 54.29 22541HBF8 09/01/06 08/26/13 100.000 1.000 0.148824 0.151976 0.155303 17.86 54.95 Credit Suisse USA, Inc. 2254C0GB7 02/23/06 02/25/08 100.000 0.000 0.143679 0.143720 0.147437 0.151250 0.155162 44.73 54.74 2254C0GR2 03/30/06 03/31/08 100.000 0.000 0.146402 0.150260 0.154220 0.158284 40.03 55.54 2254C0HJ9 05/16/06 05/16/16 100.000 0.000 0.158856 0.163398 0.168071 0.172876 35.95 60.09 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 2254C0HM2 05/31/06 08/31/09 100.000 0.000 0.151874 0.155679 0.158158 0.163389 32.51 57.42 2254C0HN0 06/16/06 09/30/09 100.000 0.000 0.152665 0.155089 0.159350 0.163729 29.99 57.39 2254C0HY6 07/19/06 07/31/09 100.000 0.000 0.156231 0.156524 0.160925 0.165451 25.51 58.49 Crown Packaging Enterprises, Ltd. 228441AC5 08/13/96 08/01/06 32.367 VARIES 0.438694 0.442701 92.85 Crum & Forster Holdings Corporation 228800AA6 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 228800AB4 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 228800AC2 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 Cytyc Corporation 232946AA1 03/22/04 03/15/24 100.000 VARIES 0.200412 0.205067 0.209879 0.214853 0.219994 73.99 77.52 232946AB9 03/22/04 03/15/24 100.000 VARIES 0.200412 0.205067 0.209879 0.214853 0.219994 73.99 77.52 DST Systems, Inc. 233326AA5 08/12/03 08/15/23 100.000 VARIES 0.254677 0.260561 0.266692 0.273081 0.279738 94.38 98.93 233326AB3 08/12/03 08/15/23 100.000 VARIES 0.254677 0.260561 0.266692 0.273081 0.279738 94.38 98.93 233326AC1 08/12/03 08/15/23 100.000 3.625 0.257173 0.263745 0.270593 0.277729 0.285164 95.59 100.68 233326AD9 08/12/03 08/15/23 100.000 3.625 0.257173 0.263745 0.270593 0.277729 0.285164 95.59 100.68 DTE Energy Company 233331AL1 06/25/02 08/16/07 100.000 VARIES 0.156682 0.155771 0.154836 0.153874 55.99 34.66 Danka Business Systems 236277AC3 06/29/01 04/01/08 28.000 10.000 0.361016 0.440740 0.538070 0.656894 0.801957 160.25 238.84 Dayton Superior Corporation 240028AB6 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AC4 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AD2 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AE0 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AF7 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AG5 03/15/03 09/15/08 98.088 10.750 8.30 0.009514 0.010048 0.010612 0.011208 0.011837 3.64 4.06 240028AH3 03/15/03 09/15/08 98.088 10.750 8.30 0.009514 0.010048 0.010612 0.011208 0.011837 3.64 4.06 Delta Air Lines, Inc. 247361YQ5 09/04/03 08/15/08 85.000 10.000 58.02 0.079495 0.085193 0.091299 0.097844 0.104857 31.25 35.89 247361YT9 09/04/03 08/15/08 85.000 10.000 58.02 0.079495 0.085193 0.091299 0.097844 0.104857 31.25 35.89 247361YX0 11/24/04 12/15/07 66.000 8.000 96.55 0.287484 0.322561 0.361917 0.406075 111.00 132.45 Details Capital Corp. 25063TAA5 11/18/97 11/15/07 54.595 VARIES 0.347212 0.347212 0.347211 0.347210 125.00 109.02 Deutsche Bank AG 251525AE1 01/29/03 01/31/08 100.000 0.000 0.100892 0.102578 0.104292 0.106035 0.107807 37.14 38.39 251525AH4 03/31/03 04/02/08 100.000 0.000 0.101310 0.103010 0.104738 0.106495 0.108282 37.08 38.34 251525AJ0 05/27/03 11/29/06 100.000 0.000 0.062837 0.063510 20.73 Deutsche Bank AG 25152AAB6 10/28/04 10/28/11 100.000 VARIES 0.122835 0.124125 0.126822 0.127675 0.129256 45.33 46.60 25152AAC4 11/15/04 11/15/16 100.000 VARIES 0.136221 0.134209 0.131895 0.129522 0.127089 48.48 46.83 25152AAD2 03/22/05 03/22/10 100.000 VARIES 0.115329 0.116038 0.116005 0.115945 0.115830 41.71 41.73 25152AAE0 04/26/05 04/26/10 100.000 4.760 0.132222 0.132222 0.132222 0.132222 0.132222 47.60 47.60 25152AAF7 06/28/05 06/28/07 100.000 0.000 0.107671 0.109719 0.111805 39.14 19.79 25152AAH3 08/17/05 08/17/07 100.000 0.000 0.119274 0.121835 0.124451 0.127123 44.09 28.61 25152AAR1 03/24/06 03/25/08 100.000 0.000 0.139705 0.139726 0.143239 0.146841 0.150534 39.04 52.91 25152ABF6 08/10/06 08/10/09 100.000 VARIES 0.148014 0.146888 0.146441 20.87 52.86 25152ABG4 08/30/06 08/30/11 100.000 VARIES 0.145813 0.143554 0.142107 18.08 52.35 Deutsche Bank AG 25152CAA4 03/21/03 03/26/08 100.000 0.000 0.102977 0.104731 0.106514 0.108328 0.110172 37.72 39.02 25152CAB2 04/30/03 11/01/06 100.000 0.000 0.076566 0.077556 23.15 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Deutsche Bank AG 25152CAC0 06/25/03 06/27/08 100.000 0.000 0.077660 0.078677 0.079707 0.080751 0.081809 28.15 28.89 25152CAD8 07/02/03 07/07/08 100.000 0.000 0.083673 0.084864 0.086071 0.087296 0.088538 30.75 31.64 25152CAE6 09/02/03 03/06/07 100.000 0.000 0.097775 0.099386 0.101024 35.86 6.57 25152CAF3 08/05/03 02/07/07 100.000 0.000 0.092472 0.093919 0.095388 33.97 3.43 25152CAH9 09/17/03 09/19/07 100.000 0.000 0.092367 0.093810 0.095276 0.096764 33.81 24.85 25152CAL0 10/03/03 10/07/08 100.000 VARIES 0.090115 0.090309 0.090506 0.090707 0.090911 32.51 32.65 25152CAP1 11/07/03 11/07/06 100.000 0.000 0.084312 0.085521 26.02 25152CAQ9 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAS5 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAT3 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAU0 11/28/03 11/24/08 100.000 VARIES 0.098423 0.098594 0.098768 0.098945 0.099126 35.48 35.60 25152CAY2 02/12/04 02/16/07 100.000 0.000 0.077870 0.078918 0.079980 28.51 3.60 25152CBE5 03/12/04 03/16/07 100.000 0.000 0.067023 0.067804 0.068594 24.43 5.14 25152CBF2 03/24/04 03/26/07 100.000 0.000 0.067535 0.068327 0.069129 24.61 5.88 25152CBJ4 04/29/04 05/04/09 100.000 VARIES 0.110646 0.110786 0.110790 0.110795 0.110662 39.87 39.88 25152CBL9 05/24/04 05/26/09 100.000 VARIES 0.121370 0.121490 0.121492 0.121494 0.121376 43.72 43.73 25152CBM7 06/03/04 06/04/09 100.000 VARIES 0.117967 0.118117 0.118122 0.118128 0.117988 42.50 42.52 25152CBN5 06/03/04 06/04/09 100.000 0.000 0.125587 0.128253 0.130974 0.133754 0.136593 45.84 47.80 25152CBP0 06/30/04 07/06/11 100.000 VARIES 0.116834 0.115811 0.114767 0.114213 0.113647 41.51 41.02 25152CBW5 09/23/04 09/27/07 100.000 0.000 0.091663 0.093127 0.094615 0.096127 33.54 25.44 25152CBX3 09/30/04 10/05/09 100.000 VARIES 0.102733 0.102860 0.102990 0.102993 0.102997 37.03 37.08 25152CCC8 12/22/04 12/24/09 100.000 0.000 0.114590 0.116862 0.119179 0.121542 0.123952 41.69 43.36 25152CCG9 02/03/05 02/03/12 100.000 0.000 0.123409 0.126092 0.128834 0.131635 0.134496 45.71 47.72 25152CCM6 02/28/05 03/02/10 100.000 0.000 0.119876 0.120426 0.125023 0.125597 0.129674 44.48 46.30 25152CCN4 02/28/05 03/02/10 100.000 0.000 0.119876 0.120426 0.125023 0.125597 0.129674 44.48 46.30 25152CCQ7 03/03/05 03/03/10 100.000 0.000 0.121879 0.124496 0.127170 0.129901 0.132691 44.97 46.92 25152CCS3 04/08/05 04/12/10 100.000 0.000 0.130544 0.133541 0.136607 0.139743 0.142951 48.01 50.24 25152CCU8 04/20/05 04/22/10 100.000 0.000 0.122555 0.125201 0.127904 0.130665 0.133486 44.97 46.93 25152CDF0 07/29/05 08/03/10 100.000 0.000 0.125866 0.128717 0.131631 0.134612 0.137660 46.68 48.82 25152CDG8 07/29/05 02/02/09 100.000 0.000 0.122981 0.125703 0.128484 0.131327 0.134234 45.58 47.62 25152CDN3 08/30/05 09/02/11 100.000 VARIES 0.125058 0.125428 0.125807 0.126038 0.126274 45.18 45.39 25152CEL6 12/29/05 12/30/10 100.000 0.000 0.136028 0.139358 0.142770 0.146265 0.149846 49.58 52.03 25152CER3 01/31/06 02/02/11 100.000 0.000 0.137403 0.137441 0.140840 0.144324 0.147893 46.00 52.38 25152CFF8 05/02/06 05/04/09 100.000 0.000 0.149853 0.149898 0.153941 0.158094 0.162358 36.06 56.65 25152CFK7 05/31/06 12/03/09 100.000 0.000 0.148980 0.149047 0.153044 0.157148 0.161362 31.56 56.07 25152CFM3 05/31/06 10/02/08 100.000 0.000 0.149305 0.152025 0.156110 0.160306 31.75 56.20 25152CGU4 09/22/06 09/28/09 100.000 0.000 0.137638 0.137752 0.141165 0.144662 13.64 50.85 Deutsche Bank Financial 25153EBK6 05/15/00 05/15/07 100.000 1.250 0.303748 0.308973 0.324839 112.82 43.53 25153EBM2 11/15/00 11/15/07 100.000 0.250 0.262569 0.271296 0.280321 0.289654 96.91 89.70 25153EBP5 01/12/01 01/12/08 100.000 0.250 0.200987 0.210024 0.212374 0.221934 0.224428 76.97 81.33 25153EBR1 02/08/01 02/08/08 100.000 2.750 0.180694 0.186797 0.186896 0.193283 0.193460 67.96 70.33 Devon Energy 25179MAA1 08/02/98 08/15/08 97.500 4.900 0.245904 0.249993 0.254234 0.258634 0.263197 90.39 93.54 25179MAB9 08/02/98 08/15/08 96.562 4.950 0.241729 0.245611 0.249637 0.253814 0.258146 88.80 91.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Dex Media, Inc. 25212EAD2 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAE0 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAF7 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAG5 02/11/04 11/15/13 69.384 VARIES 0.186392 0.194191 0.202317 0.210783 0.219604 69.24 75.15 25212EAH3 02/11/04 11/15/13 69.384 VARIES 0.186392 0.194191 0.202317 0.210783 0.219604 69.24 75.15 DIVA Systems Corporation 255013AA2 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AB0 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AC8 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AD6 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AL8 02/19/98 03/01/08 50.100 VARIES 0.368673 0.369888 0.371186 0.372572 0.374051 133.24 134.22 255013AM6 02/19/98 03/01/08 50.100 VARIES 0.368673 0.369888 0.371186 0.372572 0.374051 133.24 134.22 Dolphin Telecom, PLC 256886AE2 05/28/98 06/01/08 57.120 VARIES 0.319440 0.319440 0.319439 0.319439 0.319439 115.00 115.00 256886AH5 05/18/99 05/15/09 50.892 VARIES 0.388882 0.388882 0.388881 0.388881 0.388880 140.00 140.00 DuPage County, IL SDN99 263417GR2 04/04/02 02/01/11 55.425 0.000 157.68 0.130746 0.135190 0.139786 0.144538 0.149451 49.22 52.63 Duarte, California Redevelopment Agency 263594AB9 06/16/92 12/01/12 16.484 0.000 378.87 0.135044 0.141127 0.147484 0.154127 0.161069 50.08 54.70 Duke Capital Corporation 264399551 11/19/01 11/16/06 100.000 VARIES 0.141533 0.140865 44.46 264399EJ1 05/07/03 05/15/23 100.000 VARIES 0.186724 0.190888 0.195177 0.199596 0.204149 68.36 71.47 Duke Capital Corporation 26439RAP1 03/19/01 05/18/06 100.000 VARIES 0.170802 23.40 Duke Capital Corporation 26439VAA5 11/19/01 11/16/06 100.000 VARIES 0.141533 0.140865 44.46 E. Spire Communications 269153AB8 03/26/96 04/01/06 53.809 VARIES 0.354153 31.87 269153AE2 03/26/96 04/01/06 53.809 VARIES 0.354153 31.87 269153AH5 07/24/98 07/01/08 59.989 VARIES 0.295103 0.295101 0.295099 0.295097 106.24 106.24 269153AJ1 07/24/98 07/01/08 59.989 VARIES 0.295103 0.295101 0.295099 0.295097 106.24 106.24 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 56.45 0.062851 0.064884 0.066983 0.069150 0.071387 23.36 24.90 274137WU8 04/14/03 04/01/23 27.886 0.000 52.92 0.058947 0.060862 0.062840 0.064883 0.066991 21.92 23.36 274137WV6 04/14/03 04/01/24 26.105 0.000 49.62 0.055280 0.057079 0.058937 0.060856 0.062837 20.55 21.91 274137WW4 04/14/03 04/01/25 24.381 0.000 46.50 0.051813 0.053505 0.055251 0.057055 0.058918 19.27 20.55 274137WX2 04/14/03 04/01/26 22.763 0.000 43.55 0.048544 0.050134 0.051776 0.053472 0.055223 18.05 19.25 274137WY0 04/14/03 04/01/27 21.292 0.000 40.81 0.045489 0.046981 0.048522 0.050113 0.051757 16.92 18.05 274137WZ7 04/14/03 04/01/28 19.913 0.000 38.23 0.042617 0.044017 0.045463 0.046957 0.048499 15.85 16.91 Edwards Lifesciences Corporation 28176EAA6 05/09/03 05/15/33 100.000 VARIES 0.138220 0.138961 0.139720 0.140498 0.141294 49.96 50.51 28176EAB4 05/09/03 05/15/33 100.000 VARIES 0.138220 0.138961 0.139720 0.140498 0.141294 49.96 50.51 Eksportfinans ASA 28264QAP9 12/29/04 12/29/06 100.000 0.000 0.095817 0.097416 34.59 28264QAQ7 02/22/05 02/22/07 100.000 0.000 0.102934 0.104807 0.106714 37.88 5.44 28264QAV6 07/19/05 07/19/07 100.000 0.000 0.110730 0.112937 0.115188 0.117484 40.98 23.22 28264QBR4 04/19/06 10/19/09 100.000 0.000 0.142703 0.146368 0.150128 0.153984 36.23 53.92 28264QBX1 04/18/06 04/18/12 100.000 2.000 0.141487 0.143676 0.145920 0.148221 35.96 52.46 28264QCD4 05/30/06 11/30/07 100.000 0.000 0.147267 0.151171 0.155178 31.19 50.46 28264QCV4 08/04/06 11/30/07 100.000 0.000 0.150533 0.153161 0.157311 22.21 51.14 El Paso Corporation 28336LAA7 02/28/01 02/28/21 45.289 0.000 95.71 0.059806 0.060008 0.062222 0.062432 0.064380 22.16 23.02 28336LAC3 02/28/01 02/28/21 45.289 0.000 95.71 0.059806 0.060008 0.062222 0.062432 0.064380 22.16 23.02 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ El Paso Corporation 144A 28336LAG4 06/26/02 08/16/07 100.000 VARIES 0.200909 0.199717 0.198482 0.197205 71.79 44.43 28336LAH2 06/26/02 08/16/07 100.000 VARIES 0.200909 0.199717 0.198482 0.197205 71.79 44.43 El Salvador, Republic 283875AE2 08/11/99 08/15/06 92.196 9.500 68.52 0.040694 0.042959 9.52 Electronics for Imaging 284745AA4 06/04/03 06/01/23 100.000 VARIES 0.257424 0.265950 0.274813 0.284025 0.293602 94.73 101.15 Electronic Data Systems Corporation 285661AB0 10/10/01 10/10/21 77.941 VARIES 0.140536 0.143486 0.148112 0.151221 0.155244 52.46 55.22 285661AE4 06/30/03 07/15/23 100.000 VARIES 0.167733 0.169476 0.171269 0.173115 0.175013 61.28 62.61 285661AF1 06/30/03 07/15/23 100.000 VARIES 0.167733 0.169476 0.171269 0.173115 0.175013 61.28 62.61 285661AG9 06/26/01 08/17/06 100.000 VARIES 0.176484 0.175832 39.77 Emmis Communications Corporation 291525AF0 03/27/01 03/15/11* 54.760 VARIES 0.326781 24.18* Emmis Escrow Corporation 291530AA1 03/27/01 03/15/11* 54.760 VARIES 0.326781 24.18* Enron Corporation 293561CC8 02/07/01 02/07/21 65.524 0.000 71.51 0.042537 0.042989 0.043445 0.043907 0.044373 15.53 15.86 293561CD6 02/07/01 02/07/21 65.524 0.000 71.51 0.042537 0.042989 0.043445 0.043907 0.044373 15.53 15.86 Entergy Corporation 29364G202 12/20/05 02/17/11 100.000 VARIES 0.162916 0.162945 0.163040 0.163137 0.163237 58.67 58.74 29364GAD5 12/20/05 02/17/11 100.000 VARIES 0.162916 0.162945 0.163040 0.163137 0.163237 58.67 58.74 Essex County Utilities Authority 296816AY7 03/30/99 04/01/12 60.121 0.000 181.87 0.085116 0.086797 0.088512 0.090261 0.092045 31.25 32.50 296816BJ9 03/30/99 04/01/06 64.504 0.000 339.55 0.171221 15.41 Euronet Worldwide Inc. 298736AC3 12/15/04 12/15/24 100.000 VARIES 0.270548 0.280750 0.291414 0.302561 0.314212 99.57 107.28 298736AD1 12/15/04 12/15/24 100.000 VARIES 0.270548 0.280750 0.291414 0.302561 0.314212 99.57 107.28 298736AE9 10/04/05 10/15/25 100.000 VARIES 0.233947 0.238454 0.245870 0.250857 0.257457 87.15 91.56 298736AF6 10/04/05 10/15/25 100.000 VARIES 0.233947 0.238454 0.245870 0.250857 0.257457 87.15 91.56 European Investment Bank 298785DW3 03/10/06 03/10/21 44.672 0.000 0.067566 0.069405 0.071295 0.073236 19.87 25.75 Evergreen Resources,Inc. 299900AA8 12/18/01 12/15/21 100.000 VARIES 0.299900 0.307461 0.315363 0.323620 0.332250 109.57 115.29 299900AB6 12/18/01 12/15/21 100.000 VARIES 0.299900 0.307461 0.315363 0.323620 0.332250 109.57 115.29 First Citizens Bancorp. of South Carolina 30244CAC0 03/24/98 03/15/28 100.000 8.250 0.229167 0.229167 0.229167 0.229167 0.229167 82.50 82.50 Federal Home Loan Mortgage Corporation 3128X02Z1 03/28/03 03/28/33 15.782 0.000 29.22 0.031957 0.032955 0.033985 0.035047 0.036142 11.87 12.63 3128X03C1 04/01/03 04/01/33 15.108 0.000 28.60 0.031441 0.032447 0.033485 0.034557 0.035662 11.68 12.44 3128X03L1 04/14/03 04/14/33 13.648 0.000 26.97 0.030210 0.031229 0.032283 0.033373 0.034499 11.22 11.99 3128X04L0 04/21/03 04/21/33 14.464 0.000 27.45 0.030917 0.031930 0.032976 0.034056 0.035171 11.46 12.22 3128X04V8 04/29/03 04/29/33 14.152 0.000 26.95 0.030653 0.031668 0.032717 0.033801 0.034921 11.35 12.11 3128X0AP4 10/03/02 12/30/06 87.710 0.000 92.55 0.083891 0.085197 30.35 3128X0AQ2 10/03/02 12/30/07 83.710 0.000 97.41 0.088783 0.090301 0.091846 0.093417 32.24 33.26 3128X0AR0 10/03/02 12/30/09 75.410 0.000 101.67 0.093527 0.095367 0.097243 0.099156 0.101107 34.00 35.36 3128X0AS8 10/03/02 01/02/13 63.710 0.000 97.78 0.088827 0.090803 0.092822 0.094886 0.096996 33.05 34.53 3128X0AT6 10/03/02 01/02/22 36.810 0.000 67.57 0.062034 0.063666 0.065340 0.067058 0.068822 23.22 24.45 3128X0AU3 10/03/02 01/02/30 23.710 0.000 44.35 0.040759 0.041850 0.042970 0.044120 0.045301 15.27 16.09 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X0AV1 10/03/02 04/15/32 21.010 0.000 39.31 0.036671 0.037653 0.038661 0.039695 0.040758 13.53 14.26 3128X0AW9 10/03/02 06/15/32 20.810 0.000 38.95 0.036665 0.037647 0.038655 0.039690 0.040753 13.41 14.14 3128X0AX7 10/03/02 09/15/32 20.510 0.000 38.43 0.035696 0.036653 0.037635 0.038644 0.039679 13.23 13.95 3128X0AY5 10/03/02 12/15/32 20.210 0.000 37.90 0.035683 0.036640 0.037623 0.038632 0.039668 13.05 13.76 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 35.88 0.032979 0.033863 0.034770 0.035701 0.036658 12.35 13.02 3128X0DS5 11/05/02 11/05/32 14.675 0.000 32.84 0.032103 0.033146 0.034223 0.035336 0.036484 11.86 12.65 3128X0L23 03/04/03 03/04/33 14.890 0.000 29.27 0.031267 0.032275 0.033316 0.034391 0.035500 11.68 12.44 3128X0S91 04/07/03 04/07/33 15.108 0.000 28.41 0.031441 0.032447 0.033485 0.034557 0.035662 11.67 12.43 3128X0TU3 12/27/02 12/27/17 100.000 VARIES 0.039491 0.038908 0.038309 0.037844 0.037366 14.11 13.70 3128X0V48 03/24/03 03/24/23 30.359 0.000 54.53 0.059219 0.061010 0.062856 0.064757 0.066716 21.99 23.34 3128X0W47 04/07/03 04/07/33 14.676 0.000 28.06 0.031093 0.032103 0.033147 0.034224 0.035336 11.55 12.31 3128X0WW5 01/28/03 01/28/33 14.675 0.000 30.21 0.031092 0.032103 0.033146 0.034223 0.035336 11.69 12.46 3128X0Z69 04/14/03 04/14/33 14.152 0.000 27.40 0.030653 0.031668 0.032717 0.033801 0.034921 11.38 12.14 3128X0Z93 04/01/03 04/01/33 13.847 0.000 27.54 0.030387 0.031405 0.032457 0.033545 0.034668 11.31 12.08 Federal Home Loan Mortgage Corporation 3128X12R7 11/05/03 11/05/14 54.324 0.000 69.05 0.094840 0.097507 0.100250 0.103069 0.105968 34.93 36.92 3128X1BK2 05/12/03 05/12/33 15.108 0.000 27.31 0.031441 0.032447 0.033485 0.034557 0.035662 11.60 12.35 3128X1BY2 05/20/03 05/20/33 15.727 0.000 27.52 0.031916 0.032915 0.033945 0.035008 0.036104 11.75 12.50 3128X1CN5 05/27/03 05/27/33 15.419 0.000 27.07 0.031683 0.032685 0.033720 0.034787 0.035888 11.66 12.40 3128X1DB0 05/27/03 05/27/33 15.285 0.000 26.97 0.031579 0.032583 0.033620 0.034689 0.035792 11.62 12.37 3128X1GZ4 06/17/03 06/17/33 18.796 0.000 28.57 0.033909 0.034867 0.035852 0.036865 0.037906 12.41 13.12 3128X1HA8 06/23/03 06/23/33 16.728 0.000 27.14 0.032629 0.033616 0.034633 0.035681 0.036760 11.94 12.67 3128X1HB6 06/13/03 06/13/33 17.732 0.000 28.09 0.033282 0.034255 0.035257 0.036289 0.037350 12.19 12.92 3128X1HD2 06/23/03 06/23/33 16.728 0.000 27.14 0.032629 0.033616 0.034633 0.035681 0.036760 11.94 12.67 3128X1HZ3 06/17/03 06/17/33 16.925 0.000 27.46 0.032762 0.033747 0.034761 0.035805 0.036881 12.00 12.73 3128X1JE8 06/20/03 06/20/28 23.542 0.000 37.12 0.044361 0.045663 0.047003 0.048382 0.049802 16.23 17.20 3128X1MD6 06/30/03 06/30/33 16.631 0.000 26.85 0.032563 0.033551 0.034570 0.035619 0.036700 11.90 12.64 3128X1MS3 06/30/03 06/30/33 17.222 0.000 27.22 0.032958 0.033939 0.034948 0.035988 0.037059 12.04 12.77 3128X1NP8 07/07/03 07/07/33 17.680 0.000 27.27 0.032303 0.033250 0.034224 0.035227 0.036259 12.13 12.86 3128X1NV5 07/07/03 07/07/33 17.475 0.000 27.15 0.032172 0.033121 0.034098 0.035104 0.036139 12.09 12.81 3128X1PP6 07/07/03 07/07/33 16.728 0.000 26.69 0.031671 0.032629 0.033616 0.034633 0.035681 11.91 12.64 3128X1QB6 07/07/03 07/07/33 16.201 0.000 26.35 0.031298 0.032262 0.033255 0.034280 0.035336 11.78 12.52 3128X1QT7 06/30/03 06/30/33 16.679 0.000 26.88 0.032596 0.033584 0.034601 0.035650 0.036730 11.91 12.65 3128X1RP4 07/16/03 07/16/33 14.890 0.000 25.16 0.030290 0.031267 0.032275 0.033316 0.034391 11.41 12.16 3128X1RQ2 07/03/03 06/26/08 87.646 0.000 59.84 0.069290 0.070213 0.071149 0.072097 0.073057 25.12 25.79 3128X1TM9 07/28/03 07/28/33 14.676 0.000 24.64 0.030114 0.031093 0.032103 0.033147 0.034224 11.32 12.07 3128X1Y76 10/21/03 10/21/33 14.152 0.000 21.78 0.029670 0.030653 0.031668 0.032717 0.033801 11.00 11.74 Federal Home Loan Mortgage Corporation 3128X23Z6 04/27/05 04/27/35 14.152 0.000 6.41 0.026907 0.027798 0.028719 0.029670 0.030653 9.96 10.63 3128X24W2 04/15/04 04/15/19 42.355 0.000 43.66 0.074489 0.076652 0.078879 0.081171 0.083529 27.54 29.16 3128X26L4 04/28/04 04/28/34 15.108 0.000 16.83 0.029521 0.030466 0.031441 0.032447 0.033485 10.92 11.63 3128X2GG4 12/30/03 12/30/19 100.000 VARIES 0.045758 0.044926 0.044150 0.043431 0.042771 16.32 15.76 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X2KD6 12/29/03 06/29/07 98.050 2.455 10.92 0.015705 0.015944 0.016187 5.70 2.88 3128X2KE4 12/24/03 12/24/07 98.050 2.810 9.52 0.013644 0.013872 0.014103 0.014338 4.96 5.02 3128X2KW4 12/30/03 12/22/08 83.523 0.000 62.76 0.090958 0.092618 0.094308 0.096029 0.097782 33.07 34.29 3128X2RU1 01/30/04 04/01/06 95.755 0.000 37.48 0.055250 4.97 3128X2RV9 01/30/04 10/01/06 94.087 0.000 42.17 0.062333 0.063048 16.96 3128X2RW7 01/30/04 10/01/07 90.198 0.000 50.04 0.074331 0.075383 0.076450 0.077532 27.14 20.84 3128X2RX5 01/30/04 04/01/08 88.056 0.000 53.14 0.079106 0.080321 0.081556 0.082809 0.084081 28.92 29.81 3128X2RY3 01/30/04 10/01/08 85.870 0.000 55.54 0.082832 0.084194 0.085578 0.086985 0.088416 30.31 31.32 3128X2RZ0 01/30/04 04/01/09 83.646 0.000 57.39 0.085754 0.087248 0.088767 0.090313 0.091887 31.41 32.52 3128X2S48 04/07/04 04/07/34 15.782 0.000 17.79 0.030049 0.030988 0.031957 0.032955 0.033985 11.15 11.85 3128X2S97 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2SA4 01/30/04 10/01/09 81.441 0.000 58.67 0.087800 0.089404 0.091037 0.092700 0.094393 32.19 33.37 3128X2SB2 01/30/04 04/01/10 79.227 0.000 59.59 0.089292 0.090993 0.092726 0.094492 0.096292 32.76 34.02 3128X2SC0 01/30/04 10/01/10 77.037 0.000 60.13 0.090222 0.092003 0.093820 0.095673 0.097562 33.12 34.45 3128X2SD8 01/30/04 04/01/11 74.840 0.000 60.45 0.090807 0.092661 0.094553 0.096483 0.098453 33.36 34.74 3128X2SE6 01/30/04 10/01/11 72.645 0.000 60.56 0.091079 0.092997 0.094954 0.096953 0.098994 33.48 34.91 3128X2SF3 01/30/04 04/01/12 70.491 0.000 60.43 0.090983 0.092951 0.094961 0.097015 0.099113 33.47 34.93 3128X2SG1 01/30/04 10/01/12 68.379 0.000 60.11 0.090583 0.092590 0.094642 0.096740 0.098883 33.34 34.83 3128X2SH9 01/30/04 04/01/13 66.275 0.000 59.68 0.090010 0.092051 0.094139 0.096274 0.098458 33.14 34.66 3128X2SJ5 01/30/04 10/01/13 64.227 0.000 59.08 0.089189 0.091254 0.093367 0.095529 0.097741 32.86 34.39 3128X2SK2 01/30/04 04/01/14 62.210 0.000 58.39 0.088211 0.090293 0.092425 0.094607 0.096841 32.51 34.06 3128X2SL0 01/30/04 10/01/14 60.256 0.000 57.57 0.087046 0.089137 0.091278 0.093471 0.095716 32.09 33.65 3128X2SM8 01/30/04 04/01/15 58.361 0.000 56.67 0.085736 0.087828 0.089971 0.092166 0.094414 31.62 33.18 3128X2SN6 01/30/04 10/01/15 56.535 0.000 55.68 0.084295 0.086380 0.088516 0.090706 0.092949 31.10 32.66 3128X2SP1 01/30/04 04/01/16 54.741 0.000 54.66 0.082794 0.084869 0.086996 0.089177 0.091412 30.56 32.11 3128X2SQ9 01/30/04 10/01/16 52.987 0.000 53.60 0.081235 0.083297 0.085411 0.087579 0.089801 29.99 31.53 3128X2SR7 01/30/04 04/01/17 51.299 0.000 52.50 0.079604 0.081646 0.083742 0.085891 0.088095 29.40 30.93 3128X2SS5 01/30/04 10/01/17 49.661 0.000 51.37 0.077931 0.079951 0.082025 0.084151 0.086334 28.79 30.30 3128X2ST3 01/30/04 04/01/18 48.064 0.000 50.23 0.076234 0.078231 0.080279 0.082382 0.084539 28.17 29.66 3128X2SU0 01/30/04 10/01/18 46.530 0.000 49.07 0.074506 0.076475 0.078495 0.080569 0.082697 27.54 29.01 3128X2SV8 01/30/04 04/01/19 45.040 0.000 47.91 0.072770 0.074708 0.076698 0.078741 0.080839 26.90 28.35 3128X2SW6 01/30/04 10/01/19 43.600 0.000 46.74 0.071028 0.072935 0.074892 0.076902 0.078966 26.26 27.69 3128X2SX4 01/30/04 04/01/20 42.215 0.000 45.58 0.069285 0.071157 0.073080 0.075055 0.077083 25.62 27.02 3128X2SY2 01/30/04 10/01/20 40.880 0.000 44.43 0.067549 0.069386 0.071273 0.073211 0.075202 24.98 26.36 3128X2SZ9 01/30/04 04/01/07 92.208 0.000 46.46 0.068845 0.069732 0.070629 25.10 6.36 3128X2U94 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2V28 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2V36 04/07/04 04/07/34 15.329 0.000 17.56 0.029697 0.030640 0.031613 0.032617 0.033653 11.02 11.73 3128X2V85 03/17/04 03/17/34 15.782 0.000 18.39 0.030049 0.030988 0.031957 0.032955 0.033985 11.19 11.90 3128X2XE0 02/25/04 02/25/19* 99.000 3.050 0.014259 .77* ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X2ZJ7 03/04/04 03/04/19 41.198 0.000 46.98 0.075032 0.077283 0.079601 0.081989 0.084449 27.95 29.65 3128X2ZY4 03/18/04 03/18/16* 99.000 VARIES 0.024738 1.90* Federal Home Loan Mortgage Corporation 3128X32B8 12/29/04 12/29/34 16.486 0.000 10.27 0.029665 0.030570 0.031502 0.032463 0.033453 10.85 11.52 3128X32G7 01/19/05 01/19/35 13.948 0.000 8.98 0.026725 0.027617 0.028539 0.029492 0.030476 10.08 10.76 3128X32J1 01/19/05 01/19/35 14.463 0.000 9.14 0.027177 0.028068 0.028987 0.029936 0.030917 10.24 10.92 3128X33A9 01/19/05 01/19/35 14.152 0.000 9.05 0.026907 0.027798 0.028719 0.029670 0.030653 10.14 10.82 3128X33L5 02/01/05 02/01/07 93.204 0.000 30.58 0.093544 0.095205 0.096894 34.48 2.91 3128X33P6 01/26/05 01/26/35 15.152 0.000 9.14 0.027755 0.028641 0.029556 0.030501 0.031475 10.43 11.11 3128X33R2 01/26/05 01/26/35 15.374 0.000 9.20 0.027934 0.028819 0.029733 0.030676 0.031648 10.49 11.17 3128X33S0 02/01/05 02/01/35 15.108 0.000 8.99 0.027719 0.028606 0.029521 0.030466 0.031441 10.41 11.09 3128X33V3 02/01/05 02/01/35 14.675 0.000 8.87 0.027358 0.028247 0.029166 0.030113 0.031092 10.28 10.96 3128X33Y7 02/14/05 02/14/25 30.359 0.000 16.39 0.052564 0.054154 0.055792 0.057480 0.059219 19.65 20.86 3128X34B6 02/16/05 02/16/35 14.890 0.000 8.52 0.027539 0.028427 0.029344 0.030290 0.031267 10.32 10.99 3128X34E0 03/01/05 03/28/13 70.400 0.000 26.03 0.088097 0.090033 0.092010 0.094032 0.096097 32.43 33.87 3128X34J9 02/14/05 02/14/35 16.154 0.000 8.89 0.028540 0.029420 0.030328 0.031264 0.032228 10.68 11.35 3128X34N0 02/16/05 02/16/35 15.644 0.000 8.71 0.028148 0.029032 0.029943 0.030884 0.031853 10.53 11.21 3128X35C3 02/28/05 02/28/35 15.463 0.000 8.31 0.027850 0.028262 0.029638 0.030076 0.031368 10.46 11.11 3128X35M1 02/28/05 02/28/35 15.329 0.000 8.28 0.027744 0.028158 0.029533 0.029974 0.031266 10.42 11.07 3128X35S8 02/28/05 02/28/35 14.890 0.000 8.17 0.027387 0.027809 0.029181 0.029631 0.030923 10.29 10.95 3128X36B4 03/23/05 03/23/35 15.782 0.000 7.70 0.028256 0.029139 0.030049 0.030988 0.031957 10.51 11.17 3128X36K4 03/28/05 03/28/35 14.847 0.000 7.35 0.027503 0.028391 0.029308 0.030255 0.031232 10.23 10.90 3128X36M0 03/28/05 06/28/06 99.270 VARIES 0.030413 5.38 3128X36W8 04/06/05 04/06/35 14.675 0.000 7.09 0.027358 0.028247 0.029166 0.030113 0.031092 10.16 10.83 3128X37C1 03/30/05 03/30/35 14.463 0.000 7.21 0.027177 0.028068 0.028987 0.029936 0.030917 10.11 10.78 3128X37F4 03/28/05 03/28/35 14.255 0.000 7.21 0.026997 0.027888 0.028808 0.029759 0.030741 10.05 10.72 3128X3A37 10/20/04 10/20/34 14.049 0.000 11.47 0.027707 0.028628 0.029580 0.030564 0.031580 10.27 10.97 3128X3D59 10/27/04 10/27/34 14.463 0.000 11.43 0.028068 0.028987 0.029936 0.030917 0.031929 10.39 11.08 3128X3DR1 04/26/04 04/21/09 82.475 0.000 55.38 0.094671 0.096518 0.098401 0.100320 0.102277 34.67 36.04 3128X3E90 11/03/04 11/03/34 14.675 0.000 11.33 0.028247 0.029166 0.030113 0.031092 0.032103 10.44 11.13 3128X3K36 11/15/04 11/15/34 14.675 0.000 10.99 0.028247 0.029166 0.030113 0.031092 0.032103 10.42 11.11 3128X3QU0 07/02/04 03/31/06 95.007 0.000 42.73 0.080922 7.20 3128X3QV8 07/02/04 06/30/06 93.992 0.000 44.77 0.085510 15.31 3128X3QW6 07/02/04 09/29/06 92.958 0.000 46.50 0.088264 0.089713 23.92 3128X3QX4 07/02/04 12/29/06 91.898 0.000 47.86 0.091826 0.093396 33.16 3128X3QY2 07/02/04 03/30/07 90.817 0.000 49.05 0.093274 0.094925 0.096605 34.18 8.60 3128X3QZ9 07/02/04 06/29/07 89.742 0.000 49.95 0.096049 0.097802 0.099587 34.90 17.73 3128X3R39 12/06/04 12/06/34 14.464 0.000 10.33 0.028068 0.028988 0.029937 0.030917 0.031930 10.32 11.00 3128X3RA3 07/06/04 07/06/09 80.880 0.000 52.66 0.100547 0.102704 0.104906 0.107156 0.109454 37.35 38.97 3128X3TY9 08/26/04 08/26/24 29.204 0.000 25.28 0.053920 0.055605 0.057342 0.059134 0.060982 20.14 21.42 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X3V42 12/13/04 12/13/34 15.218 0.000 10.37 0.028695 0.029609 0.030553 0.031527 0.032532 10.53 11.21 3128X3V75 12/22/04 12/22/34 14.569 0.000 9.91 0.028158 0.029077 0.030025 0.031005 0.032016 10.32 11.00 3128X3W25 12/22/04 12/22/34 14.463 0.000 9.88 0.028068 0.028987 0.029936 0.030917 0.031929 10.29 10.97 3128X3W66 12/28/04 12/28/34 14.675 0.000 9.78 0.028247 0.029166 0.030113 0.031092 0.032103 10.34 11.02 3128X3W74 12/06/04 12/06/34 14.463 0.000 10.33 0.028068 0.028987 0.029936 0.030917 0.031929 10.32 11.00 3128X3X57 12/22/04 12/22/34 14.675 0.000 9.95 0.028247 0.029166 0.030113 0.031092 0.032103 10.35 11.03 3128X3Y72 12/29/04 12/29/34 14.890 0.000 9.82 0.028427 0.029344 0.030290 0.031267 0.032275 10.40 11.08 3128X3YB3 10/20/04 10/20/34 14.890 0.000 11.78 0.028427 0.029344 0.030290 0.031267 0.032275 10.53 11.22 3128X3Z63 12/29/04 12/29/34 14.675 0.000 9.75 0.028247 0.029166 0.030113 0.031092 0.032103 10.34 11.02 Federal Home Loan Mortgage Corporation 3128X42F7 04/25/06 04/25/36 11.979 0.000 0.023958 0.024820 0.025714 0.026640 5.95 9.22 3128X42G5 04/25/06 04/25/36 12.083 0.000 0.024066 0.024928 0.025822 0.026748 5.98 9.26 3128X42Q3 04/17/06 05/03/07 100.000 0.000 0.142383 0.142707 0.146364 36.45 17.86 3128X42V2 04/10/06 05/01/07 100.000 0.000 0.142306 0.142732 0.146388 37.46 17.57 3128X43J8 04/18/06 05/18/07 100.000 0.000 0.142197 0.142803 0.146458 36.27 20.06 3128X43L3 04/20/06 05/18/07 100.000 0.000 0.142492 0.143060 0.146730 36.05 20.10 3128X43N9 04/21/06 05/21/07 100.000 0.000 0.142736 0.143347 0.147030 35.97 20.58 3128X44B4 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3128X44C2 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3128X44F5 04/24/06 05/24/07 100.000 0.000 0.143812 0.144432 0.148171 35.79 21.19 3128X44Z1 04/20/06 06/28/12 72.625 0.000 0.105595 0.106640 0.109431 0.112295 0.115234 26.70 39.93 3128X45Y3 05/15/06 06/15/07 100.000 0.000 0.144890 0.145520 0.149315 32.93 24.49 3128X46A4 05/15/06 06/15/07 100.000 0.000 0.144890 0.145520 0.149315 32.93 24.49 3128X46C0 05/19/06 06/19/07 100.000 0.000 0.144890 0.145520 0.149315 32.33 25.08 3128X46T3 05/22/06 05/22/26 25.257 0.000 0.049111 0.050830 0.052609 0.054451 10.82 18.76 3128X46X4 05/18/06 06/20/07 100.000 0.000 0.144863 0.145534 0.149329 32.47 25.24 3128X47F2 05/30/06 05/30/36 12.048 0.000 0.024029 0.024892 0.025786 0.026712 5.10 9.18 3128X4AC5 04/19/05 04/15/14 65.973 0.000 21.77 0.087746 0.089799 0.091901 0.094052 0.096253 32.27 33.80 3128X4AD3 04/19/05 12/15/14 63.722 0.000 21.21 0.086173 0.088207 0.090290 0.092421 0.094603 31.45 32.96 3128X4AE1 04/19/05 04/15/17 56.285 0.000 19.25 0.077656 0.079540 0.081470 0.083446 0.085470 28.59 29.99 3128X4AG6 05/18/05 05/18/35 14.675 0.000 5.95 0.027358 0.028247 0.029166 0.030113 0.031092 10.09 10.75 3128X4AU5 05/18/05 05/18/35 15.108 0.000 6.03 0.027719 0.028606 0.029521 0.030466 0.031441 10.22 10.88 3128X4B59 01/26/06 08/31/10 81.134 0.000 0.103826 0.104263 0.107864 0.109122 0.112260 35.14 39.59 3128X4BN0 06/15/05 06/15/35 15.329 0.000 5.31 0.027898 0.028784 0.029697 0.030640 0.031613 10.23 10.89 3128X4C33 01/27/06 02/26/07 100.000 0.000 0.133449 0.133966 0.137184 45.13 7.55 3128X4CH2 06/29/05 06/29/35 16.874 0.000 5.14 0.029067 0.029942 0.030843 0.031772 0.032728 10.63 11.27 3128X4D81 02/01/06 02/28/07 100.000 0.000 0.133995 0.132287 0.137742 44.90 7.99 3128X4DN8 07/06/05 07/06/35 15.966 0.000 4.82 0.027542 0.028397 0.029279 0.030188 0.031126 10.37 11.03 3128X4ES6 08/10/05 08/10/35 15.509 0.000 3.83 0.027184 0.028041 0.028926 0.029839 0.030780 10.19 10.84 3128X4EV9 07/21/05 08/15/06 100.000 0.000 0.111473 0.113704 25.37 3128X4EY3 08/10/05 08/10/35 15.782 0.000 3.86 0.027399 0.028256 0.029139 0.030049 0.030988 10.26 10.91 3128X4FC0 08/10/05 08/10/35 15.419 0.000 3.82 0.027112 0.027970 0.028855 0.029768 0.030711 10.16 10.81 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X4FU0 08/04/05 12/01/06 94.798 0.000 15.79 0.108571 0.110779 36.23 3128X4FV8 08/04/05 06/01/11 77.489 0.000 14.04 0.096630 0.098768 0.100954 0.103187 0.105471 35.30 36.88 3128X4FX4 08/04/05 06/01/07 92.716 0.000 15.89 0.109237 0.111522 0.113856 39.88 17.08 3128X4FY2 08/04/05 12/01/07 90.774 0.000 15.63 0.107473 0.109732 0.112039 0.114395 39.23 37.40 3128X4FZ9 08/04/05 06/01/08 88.800 0.000 15.44 0.106216 0.108472 0.110775 0.113128 0.115530 38.78 40.45 3128X4G39 02/22/06 02/22/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 7.74 9.59 3128X4GA3 08/04/05 12/01/11 75.722 0.000 13.78 0.094839 0.096947 0.099101 0.101303 0.103555 34.65 36.21 3128X4GB1 08/04/05 12/01/08 86.894 0.000 15.19 0.104456 0.106686 0.108962 0.111288 0.113663 38.14 39.79 3128X4GC9 08/24/05 08/24/35 15.108 0.000 3.41 0.026859 0.027719 0.028606 0.029521 0.030466 10.05 10.70 3128X4GD7 08/04/05 06/01/12 73.943 0.000 13.54 0.093179 0.095262 0.097392 0.099569 0.101795 34.05 35.59 3128X4GE5 08/04/05 06/01/09 84.918 0.000 15.02 0.103301 0.105532 0.107810 0.110138 0.112517 37.73 39.37 3128X4GF2 08/04/05 12/01/09 83.027 0.000 14.78 0.101648 0.103857 0.106114 0.108420 0.110775 37.12 38.76 3128X4GG0 08/04/05 12/01/12 72.215 0.000 13.29 0.091443 0.093498 0.095598 0.097746 0.099941 33.41 34.93 3128X4GH8 08/04/05 06/01/10 81.144 0.000 14.54 0.100051 0.102240 0.104477 0.106764 0.109100 36.55 38.16 3128X4GJ4 08/04/05 12/01/10 79.323 0.000 14.28 0.098262 0.100422 0.102630 0.104886 0.107192 35.89 37.49 3128X4GK1 08/04/05 06/01/13 70.468 0.000 13.05 0.089829 0.091861 0.093938 0.096062 0.098235 32.83 34.33 3128X4H46 02/10/06 03/07/07 100.000 0.000 0.136845 0.137351 0.140734 44.46 9.29 3128X4H61 02/08/06 03/07/07 100.000 0.000 0.137358 0.137905 0.141315 44.92 9.33 3128X4HU8 08/12/05 01/10/13 71.011 0.000 12.81 0.092161 0.093935 0.096130 0.098376 0.100674 34.18 35.79 3128X4HY0 09/06/05 09/06/35 14.675 0.000 3.05 0.026497 0.027358 0.028247 0.029166 0.030113 9.90 10.55 3128X4J28 02/09/06 06/09/08 89.458 0.000 0.119993 0.121929 0.124873 0.127889 0.130976 39.09 45.63 3128X4JH5 09/06/05 09/06/35 15.196 0.000 3.10 0.026931 0.027790 0.028677 0.029592 0.030536 10.05 10.70 3128X4KK6 10/05/05 10/05/35 15.329 0.000 2.33 0.027039 0.027898 0.028784 0.029697 0.030640 10.04 10.69 3128X4L66 03/07/06 03/07/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 7.35 9.56 3128X4ML2 09/28/05 09/28/35 15.374 0.000 2.52 0.027076 0.027934 0.028819 0.029733 0.030676 10.06 10.71 3128X4MR9 09/28/05 09/28/35 15.196 0.000 2.50 0.026931 0.027790 0.028677 0.029592 0.030536 10.01 10.66 3128X4MY4 09/30/05 09/30/30 22.810 0.000 3.46 0.038017 0.039158 0.040333 0.041543 0.042789 14.10 14.96 3128X4NC1 09/28/05 09/28/35 15.285 0.000 2.51 0.027004 0.027862 0.028748 0.029663 0.030606 10.04 10.69 3128X4NH0 10/05/05 10/05/35 15.329 0.000 2.33 0.027039 0.027898 0.028784 0.029697 0.030640 10.04 10.69 3128X4NP2 10/05/05 10/05/35 14.977 0.000 2.30 0.026751 0.027611 0.028499 0.029415 0.030360 9.94 10.58 3128X4PQ8 10/05/05 10/05/35 15.064 0.000 2.31 0.026823 0.027683 0.028570 0.029485 0.030430 9.96 10.61 3128X4QQ7 10/18/05 10/18/35 14.675 0.000 1.93 0.026497 0.027358 0.028247 0.029166 0.030113 9.82 10.47 3128X4QW4 10/24/05 10/24/35 14.675 0.000 1.78 0.026497 0.027358 0.028247 0.029166 0.030113 9.81 10.46 3128X4RH6 10/24/05 10/24/35 14.675 0.000 1.78 0.026497 0.027358 0.028247 0.029166 0.030113 9.81 10.46 3128X4S77 03/24/06 06/20/16 59.540 0.000 0.084810 0.085852 0.088053 0.090311 0.092627 23.72 32.16 3128X4S85 03/14/06 03/15/07 100.000 0.000 0.137993 0.138014 0.141442 39.97 10.47 3128X4SE2 11/02/05 11/02/35 14.255 0.000 1.54 0.026135 0.026997 0.027888 0.028808 0.029759 9.67 10.32 3128X4T92 04/04/06 04/04/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 6.67 9.52 3128X4TC5 10/27/05 11/24/06 100.000 0.000 0.126744 0.129625 41.46 3128X4TD3 11/16/05 11/16/35 13.928 0.000 1.16 0.025844 0.026708 0.027600 0.028521 0.029474 9.54 10.19 3128X4TJ0 11/21/05 11/21/35 13.847 0.000 1.03 0.025771 0.026635 0.027527 0.028449 0.029402 9.50 10.15 3128X4TT8 11/01/05 06/10/08 88.755 0.000 6.85 0.114581 0.117231 0.119941 0.122715 0.125552 41.84 43.80 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X4U41 03/28/06 04/09/14 66.671 0.000 0.094673 0.094825 0.097249 0.099735 0.102284 26.08 35.87 3128X4UG4 11/30/05 11/30/35 12.693 0.000 .77 0.024681 0.025545 0.026439 0.027365 0.028322 9.10 9.74 3128X4UU3 12/12/05 12/12/35 12.693 0.000 .47 0.024681 0.025545 0.026439 0.027365 0.028322 9.07 9.72 3128X4W56 04/04/06 04/04/36 14.255 0.000 0.026135 0.026997 0.027888 0.028808 7.05 10.04 3128X4WD9 12/27/05 12/27/35 12.510 0.000 .10 0.024500 0.025363 0.026257 0.027183 0.028141 8.98 9.63 3128X4XP1 01/11/06 01/11/36 13.219 0.000 0.025190 0.026054 0.026948 0.027872 8.96 9.85 3128X4XQ9 12/21/05 06/04/10 81.270 0.000 1.06 0.106364 0.108637 0.111196 0.113816 0.116497 38.83 40.65 3128X4XZ9 01/18/06 01/18/36 13.529 0.000 0.025480 0.026344 0.027237 0.028161 8.88 9.94 3128X4YT2 01/30/06 01/30/36 13.807 0.000 0.025735 0.026599 0.027491 0.028413 8.65 10.01 Federal Home Loan Mortgage Corporation 3128X5CM8 06/13/06 07/13/07 100.000 0.000 0.146234 0.146875 0.150741 29.06 28.90 3128X5CP1 06/06/06 07/06/07 100.000 0.000 0.146234 0.146875 0.150741 30.09 27.87 3128X5CR7 06/12/06 07/12/07 100.000 0.000 0.146906 0.147554 0.151456 29.34 28.89 3128X5CS5 06/13/06 07/13/07 100.000 0.000 0.147041 0.147689 0.151598 29.22 29.06 3128X5CU0 06/20/06 07/20/07 100.000 0.000 0.146906 0.147554 0.151456 28.16 30.07 3128X5DU9 07/11/06 08/15/12 72.660 0.000 0.107131 0.107688 0.110546 0.113481 18.29 40.07 3128X5DV7 07/11/06 05/15/12 73.645 0.000 0.108460 0.110445 0.113373 0.116379 18.53 40.56 3128X5DX3 06/14/06 07/11/07 100.000 0.000 0.151654 0.152275 0.156432 29.98 29.68 3128X5EQ7 06/30/06 06/30/36 12.330 0.000 0.024318 0.025182 0.026076 0.027001 4.40 9.23 3128X5ES3 06/29/06 06/29/12 72.129 0.000 0.110599 0.113651 0.116788 0.120011 20.14 41.49 3128X5EZ7 07/12/06 04/10/08 91.050 0.000 0.137641 0.139479 0.143275 0.147174 23.41 51.52 3128X5FD5 07/13/06 12/28/12 70.884 0.000 0.106317 0.108949 0.111890 0.114911 17.87 39.77 3128X5FH6 07/19/06 12/31/12 71.004 0.000 0.106103 0.108673 0.111596 0.114598 17.30 39.65 3128X5FS2 07/21/06 06/28/13 69.242 0.000 0.103276 0.105695 0.108533 0.111447 16.53 38.58 3128X5FT0 07/21/06 05/29/09 86.149 0.000 0.126525 0.128907 0.132314 0.135812 20.32 47.24 3128X5HF8 08/10/06 01/31/11 79.500 0.000 0.114666 0.117495 0.120546 16.17 42.68 3128X5HG6 08/10/06 10/31/12 72.515 0.000 0.105317 0.106558 0.109343 0.112202 15.03 39.21 3128X5HX9 08/24/06 02/26/10 84.132 0.000 0.116520 0.116648 0.119558 0.122541 14.81 43.25 3128X5JC3 08/25/06 08/10/09 86.407 0.000 0.119990 0.122743 0.125811 15.12 44.51 3128X5JD1 08/25/06 07/31/09 86.441 0.000 0.120735 0.123367 0.126468 15.21 44.80 3128X5JX7 09/19/06 09/19/36 12.693 0.000 0.024681 0.025545 0.026439 2.52 9.22 Federal Home Loan Mortgage Corporation 3129023V9 10/30/00 05/15/07 67.060 0.000 249.09 0.157194 0.162069 0.167094 57.92 22.39 3129026G9 12/06/00 03/30/10 56.100 0.000 207.48 0.132382 0.136553 0.140854 0.145291 0.149868 49.18 52.33 312902FT1 10/12/99 07/01/07 60.216 0.000 304.00 0.168098 0.173711 0.179511 61.53 32.31 312902FU8 10/12/99 08/01/08 55.888 0.000 284.25 0.153063 0.158204 0.163519 0.169011 0.174689 57.60 61.53 312902FV6 10/12/99 03/01/06 66.014 0.000 329.20 0.177701 10.66 312902FW4 10/12/99 06/01/06 64.867 0.000 324.60 0.178211 26.73 312902FX2 10/12/99 08/01/06 64.123 0.000 321.46 0.172734 0.178467 37.31 312902FY0 10/12/99 06/01/07 60.546 0.000 305.74 0.168108 0.173722 0.179523 61.87 26.93 312902FZ7 10/12/99 07/01/08 56.244 0.000 285.49 0.158006 0.163306 0.168784 0.174445 57.84 61.78 312902LX5 12/17/99 12/17/29 14.255 0.000 68.45 0.038585 0.039859 0.041174 0.042533 0.043936 14.16 15.11 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 312902VG1 04/25/00 01/04/21 25.643 0.000 116.26 0.067012 0.069252 0.071567 0.073959 0.076432 25.33 27.06 312902VH9 04/25/00 01/04/22 24.042 0.000 108.88 0.062750 0.064846 0.067012 0.069250 0.071563 23.72 25.33 312902VJ5 04/25/00 01/04/23 22.536 0.000 101.98 0.058765 0.060727 0.062753 0.064848 0.067012 22.21 23.72 312902VK2 04/25/00 01/04/24 21.145 0.000 95.54 0.055044 0.056879 0.058775 0.060734 0.062759 20.81 22.22 312902VL0 04/25/00 01/04/25 20.007 0.000 89.72 0.051635 0.053345 0.055112 0.056937 0.058823 19.51 20.83 312902VM8 04/25/00 01/04/26 18.780 0.000 84.10 0.048395 0.049996 0.051650 0.053358 0.055123 18.29 19.52 312902VN6 04/25/00 01/04/27 17.654 0.000 78.88 0.045378 0.046876 0.048424 0.050023 0.051674 17.14 18.30 312902VS5 04/25/00 01/04/12 46.161 0.000 210.60 0.121487 0.125570 0.129789 0.134151 0.138659 45.94 49.08 312902VT3 04/25/00 01/04/13 43.203 0.000 197.14 0.113724 0.117546 0.121497 0.125580 0.129801 43.00 45.94 312902VU0 04/25/00 01/04/14 40.436 0.000 184.53 0.106452 0.110030 0.113728 0.117551 0.121503 40.25 43.01 312902VV8 04/25/00 01/04/18 31.141 0.000 141.63 0.081668 0.084406 0.087235 0.090158 0.093180 30.88 32.98 312902VW6 04/25/00 01/04/19 29.163 0.000 132.60 0.076455 0.079016 0.081664 0.084401 0.087229 28.91 30.88 312902VX4 04/25/00 01/04/20 27.313 0.000 124.14 0.071576 0.073974 0.076452 0.079013 0.081660 27.06 28.91 312902WD7 04/25/00 01/04/06 68.696 0.000 312.50 0.180200 .54 312902WE5 04/25/00 01/04/07 64.216 0.000 293.30 0.169222 0.174914 0.180798 63.99 .54 312902WF2 04/25/00 01/04/08 59.995 0.000 275.20 0.158869 0.164233 0.169777 0.175509 0.181434 60.09 64.21 312902WG0 04/25/00 01/04/09 56.172 0.000 257.36 0.148548 0.153558 0.158737 0.164091 0.169625 56.18 60.04 312902WH8 04/25/00 01/04/10 52.605 0.000 240.69 0.138899 0.143578 0.148415 0.153414 0.158583 52.53 56.13 312902WJ4 04/25/00 01/04/11 49.272 0.000 225.13 0.129896 0.134266 0.138784 0.143454 0.148281 49.12 52.48 312902WK1 04/25/00 01/04/15 37.975 0.000 172.59 0.099507 0.102841 0.106285 0.109846 0.113525 37.62 40.18 312902WL9 04/25/00 01/04/16 35.607 0.000 161.54 0.093118 0.096232 0.099451 0.102777 0.106215 35.20 37.60 312902WM7 04/25/00 01/04/17 33.256 0.000 151.29 0.087239 0.090164 0.093187 0.096311 0.099539 32.99 35.23 Federal Home Loan Mortgage Corporation 312923CN3 01/10/01 08/17/12 61.750 1.000 135.23 0.085551 0.087905 0.090324 0.092810 0.095364 31.86 33.64 312923RN7 03/20/01 03/14/06 77.428 0.000 215.44 0.140778 10.28 Federal Home Loan Mortgage Corporation 312924TN3 11/19/01 11/19/20 100.000 5.881 0.173111 0.178201 0.183442 0.188836 0.163363 63.67 66.17 Federal Home Loan Mortgage Corporation 3129255S5 09/19/02 09/14/07 84.361 0.000 100.00 0.089253 0.090788 0.092350 0.093938 32.74 23.65 312925UB4 06/21/02 06/21/32 12.693 0.000 34.88 0.031402 0.032501 0.033638 0.034816 0.036034 11.52 12.35 312925ZY9 07/26/02 01/26/07 83.786 0.000 120.99 0.103965 0.106029 0.108134 38.45 2.70 Federal Home Loan Banks 31339X6F6 06/12/03 06/12/23 100.000 VARIES 0.083722 0.083077 0.082422 0.081757 0.081081 30.00 29.53 31339XA53 06/09/03 06/09/28 22.811 0.000 37.30 0.044073 0.045395 0.046757 0.048160 0.049605 16.16 17.15 31339XAF1 06/09/03 06/09/33 15.782 0.000 26.95 0.031957 0.032955 0.033985 0.035047 0.036142 11.73 12.47 31339XBL7 06/10/03 06/10/33 15.108 0.000 26.43 0.031441 0.032447 0.033485 0.034557 0.035662 11.54 12.29 31339XDQ4 06/16/03 06/16/33 15.554 0.000 26.57 0.031786 0.032787 0.033820 0.034885 0.035984 11.65 12.40 31339XGE8 06/16/03 06/16/33 15.967 0.000 26.86 0.032093 0.033089 0.034117 0.035176 0.036268 11.76 12.50 31339XKS2 06/23/03 06/23/28 23.714 0.000 37.06 0.044424 0.045721 0.047056 0.048430 0.049845 16.25 17.21 31339XKT0 06/19/03 06/19/18 100.000 VARIES 0.084105 0.083664 0.083217 0.082762 0.082301 30.19 29.87 31339XMN1 06/18/03 06/18/18 44.966 0.000 65.07 0.077060 0.079141 0.081278 0.083472 0.085726 28.17 29.71 31339XMW1 06/26/03 06/26/23 31.870 0.000 49.27 0.059236 0.060954 0.062722 0.064541 0.066412 21.65 22.93 31339XN42 06/26/03 06/26/08 100.000 VARIES 0.086145 0.086080 0.085871 0.085515 0.085010 31.00 30.85 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 31339XQ72 07/03/03 07/03/23 32.181 0.000 48.88 0.057572 0.059227 0.060930 0.062682 0.064484 21.62 22.88 31339XRT3 06/30/03 06/30/23 33.134 0.000 49.12 0.059173 0.060830 0.062534 0.064285 0.066084 21.60 22.83 31339XSM7 07/02/03 07/02/18 100.000 VARIES 0.081278 0.080811 0.080337 0.079856 0.079368 29.01 28.66 31339XUQ5 06/30/03 07/02/18 46.694 0.000 63.24 0.073813 0.075710 0.077656 0.079652 0.081699 27.60 29.04 Federal Home Loan Banks 31339Y4A7 07/16/03 07/16/18 100.000 VARIES 0.080521 0.080068 0.079608 0.079141 0.078668 28.76 28.42 31339YBR2 07/07/03 07/07/23 32.181 0.000 48.65 0.057572 0.059227 0.060930 0.062682 0.064484 21.61 22.87 31339YMR0 07/28/03 07/28/23 30.656 0.000 47.27 0.057505 0.059231 0.061008 0.062838 0.064723 21.55 22.86 31339YPD8 07/29/03 07/29/19 39.750 0.000 59.61 0.072488 0.074609 0.076791 0.079037 0.081349 27.13 28.74 31339YQP0 08/07/03 08/07/08 100.000 VARIES 0.036480 0.036599 0.036721 0.036653 0.036584 13.19 13.15 Federal Home Loan Banks 3133M2JB4 12/18/97 12/18/12 33.623 0.000 266.68 0.123602 0.128176 0.132918 0.137836 0.142936 45.44 48.87 Federal Home Loan Banks 3133M4JQ7 06/05/98 06/05/28 12.678 0.000 86.76 0.041337 0.042785 0.044284 0.045834 0.047440 15.22 16.30 3133M4T86 07/07/98 07/07/28 13.648 0.000 87.82 0.040727 0.042102 0.043523 0.044992 0.046510 15.40 16.45 Federal Home Loan Banks 3133M5ER7 09/08/98 09/08/28 13.727 0.000 85.52 0.040788 0.042160 0.043579 0.045045 0.046561 15.25 16.29 3133M5LN8 09/18/98 09/18/28 13.928 0.000 85.56 0.040938 0.042305 0.043718 0.045178 0.046687 15.27 16.31 3133M5QZ6 09/29/98 09/29/28 14.934 0.000 87.23 0.041634 0.042975 0.044358 0.045787 0.047261 15.48 16.49 Federal Home Loan Banks 3133M95W8 07/13/99 07/13/29 12.331 0.000 70.31 0.036962 0.038274 0.039633 0.041040 0.042496 13.99 15.00 3133M9CD2 08/17/99 08/17/29 11.806 0.000 67.83 0.036453 0.037774 0.039144 0.040562 0.042033 13.72 14.73 3133M9JE3 07/29/99 07/27/06 64.021 0.000 324.02 0.168844 0.174313 35.77 Federal Home Loan Banks 3133MCF83 10/27/00 04/27/10 79.882 0.000 0.036746 0.025498 0.026309 0.019697 0.020324 10.54 7.90 Federal Home Loan Banks 3133MFR42 06/21/01 06/13/06 77.119 0.000 205.63 0.143106 23.18 Federal Home Loan Banks 3133MHR63 09/24/01 09/15/06 80.023 0.000 168.72 0.120316 0.123041 31.05 Federal Home Loan Banks 3133MLRW7 02/22/02 02/22/07 100.000 VARIES 0.136425 0.135701 0.134297 48.71 6.85 Federal Home Loan Banks 3133MQDM3 08/05/02 08/05/08 100.000 VARIES 0.119341 0.119269 0.119011 0.118560 0.117915 42.90 42.60 Federal Home Loan Banks 3133MS3B4 09/19/02 09/14/07 84.850 0.000 96.97 0.086395 0.087830 0.089289 0.090772 31.67 22.86 3133MSHD5 10/17/02 10/19/09 76.775 0.000 98.73 0.090970 0.092703 0.094468 0.096267 0.098100 33.31 34.59 3133MSHE3 10/17/02 10/19/09 76.745 0.000 98.85 0.091086 0.092823 0.094593 0.096397 0.098235 33.36 34.64 3133MSRX0 10/15/02 10/05/07 85.446 0.000 91.39 0.083135 0.084460 0.085806 0.087174 30.40 23.76 3133MSYC8 11/05/02 11/05/32 14.255 0.000 32.44 0.031756 0.032803 0.033886 0.035004 0.036159 11.74 12.53 Federal Home Loan Banks 3133MTES3 11/15/02 11/15/32 13.648 0.000 31.51 0.031229 0.032283 0.033373 0.034499 0.035664 11.53 12.32 Federal Home Loan Banks 3133MUP74 12/27/02 12/27/32 15.241 0.000 31.68 0.032550 0.033586 0.034656 0.035760 0.036899 11.91 12.68 3133MUSN6 01/13/03 01/13/33 14.675 0.000 30.67 0.031092 0.032103 0.033146 0.034223 0.035336 11.72 12.49 Federal Home Loan Banks 3133MV5T6 01/28/03 01/28/13* 100.000 VARIES 0.081511 2.20* Federal Home Loan Banks 3133MW7G0 03/03/03 03/03/08 100.000 VARIES 0.090989 0.090925 0.090717 0.090362 0.089860 32.71 32.49 3133MWGF2 03/05/03 03/05/07 100.000 VARIES 0.090883 0.090583 0.090072 32.57 5.76 3133MWU90 03/24/03 03/24/08 100.000 VARIES 0.103151 0.103063 0.102771 0.102272 0.101563 37.08 36.79 Federal Home Loan Banks 3133MXEJ4 04/01/03 04/01/33 14.977 0.000 28.49 0.031337 0.032344 0.033384 0.034457 0.035565 11.65 12.41 3133MXWJ4 04/14/03 04/14/15 55.287 0.000 79.34 0.086880 0.089052 0.091278 0.093560 0.095899 32.01 33.63 Federal Home Loan Banks 3133MYGP6 05/05/03 05/05/06 100.000 VARIES 0.062651 7.77 3133MYGY7 04/23/03 01/23/06 100.000 VARIES 0.016509 .36 Federal Home Loan Banks 3133X0RS0 09/05/03 09/05/06 100.000 VARIES 0.021150 0.020775 5.09 Federal Home Loan Banks 3133X16J1 09/29/03 09/29/10 100.000 VARIES 0.072193 0.072760 0.073098 0.073202 0.073065 26.19 26.41 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 3133X1BR7 09/17/03 09/12/08 84.441 0.000 68.20 0.085824 0.087292 0.088785 0.090304 0.091848 31.48 32.57 3133X1D38 09/29/03 09/29/06 100.000 VARIES 0.024524 0.024333 6.54 3133X1DT1 10/06/03 10/06/08 100.000 VARIES 0.098076 0.098173 0.098098 0.097849 0.097423 35.33 35.21 3133X1LK1 10/16/03 10/16/06 100.000 VARIES 0.063790 0.063568 18.14 Federal Home Loan Banks 3133X4UM1 03/30/04 03/30/11 100.000 VARIES 0.136767 0.136020 0.135253 0.134468 0.134975 48.96 48.52 3133X4UW9 03/11/04 03/11/11 100.000 VARIES 0.136925 0.136181 0.135418 0.134636 0.135141 48.99 48.58 3133X4V65 03/10/04 03/10/08 100.000 VARIES 0.050774 0.050837 0.050681 0.050302 0.049695 18.29 17.76 3133X4V81 03/09/04 01/23/09 100.000 1.560 0.049948 0.050149 0.050179 0.050035 0.049715 18.04 17.99 Federal Home Loan Banks 3133X5BL1 04/08/04 10/08/09 100.000 VARIES 0.075258 0.075149 0.075037 0.074924 0.075052 27.05 26.99 3133X5C30 04/08/04 04/08/09 100.000 VARIES 0.073450 0.073319 0.073186 0.073051 0.073243 26.40 26.33 3133X5FD5 03/18/04 03/18/09 100.000 VARIES 0.077394 0.077284 0.077172 0.077059 0.077220 27.82 27.77 3133X5GD4 04/14/04 10/14/09 100.000 VARIES 0.070587 0.070460 0.070331 0.070200 0.070348 25.37 25.30 3133X5GW2 04/14/04 10/14/09 100.000 VARIES 0.070966 0.070843 0.070718 0.070592 0.070735 25.51 25.44 3133X5HB7 04/16/04 10/16/09 100.000 VARIES 0.070587 0.070460 0.070331 0.070200 0.070348 25.37 25.30 3133X5HN1 04/16/04 10/16/09 100.000 VARIES 0.072104 0.071957 0.071808 0.071658 0.071828 25.91 25.83 3133X5JF6 04/08/04 10/08/09 100.000 VARIES 0.075637 0.075532 0.075425 0.075317 0.075439 27.19 27.13 3133X5KQ0 03/25/04 03/25/09 100.000 VARIES 0.077061 0.076954 0.076846 0.076736 0.076892 27.70 27.65 3133X5MR6 04/21/04 04/21/14 100.000 VARIES 0.066826 0.066626 0.066423 0.066218 0.066297 23.99 23.87 3133X5PZ5 04/23/04 04/23/13 100.000 VARIES 0.096785 0.096533 0.096277 0.096017 0.095752 34.76 34.58 3133X5R59 04/22/04 10/22/09 100.000 VARIES 0.072482 0.072340 0.072195 0.072049 0.072215 26.05 25.97 3133X5SZ2 04/06/04 04/06/09 100.000 VARIES 0.074284 0.074144 0.074002 0.073858 0.074063 26.69 26.62 3133X5VL9 04/23/04 04/23/14 100.000 VARIES 0.100881 0.100694 0.100504 0.100310 0.100113 36.26 36.12 3133X5YM4 04/23/04 10/23/09 100.000 VARIES 0.074959 0.074787 0.074612 0.074435 0.074635 26.93 26.83 Federal Home Loan Banks 3133X63U8 04/26/04 10/26/09 100.000 VARIES 0.076728 0.076528 0.076325 0.076119 0.076351 27.56 27.44 3133X64C7 04/30/04 10/30/09 100.000 VARIES 0.079306 0.079068 0.078827 0.078582 0.078858 28.48 28.34 3133X64S2 04/30/04 10/30/09 100.000 VARIES 0.079736 0.079495 0.079250 0.079002 0.079281 28.63 28.49 3133X64Y9 04/15/04 04/15/09 100.000 VARIES 0.081289 0.081074 0.080857 0.080636 0.080948 29.19 29.08 3133X65D4 04/28/04 04/28/09 100.000 VARIES 0.084477 0.084218 0.084380 0.084545 0.084713 30.36 30.43 3133X6DJ2 04/23/04 10/23/09 100.000 VARIES 0.080494 0.080242 0.079985 0.079725 0.080018 28.90 28.75 3133X6P42 05/12/04 05/12/14 100.000 VARIES 0.096061 0.095738 0.095409 0.095074 0.095196 34.49 34.28 Federal Home Loan Banks 3133X8C75 09/03/04 03/03/10 100.000 VARIES 0.095551 0.095272 0.094988 0.094700 0.094406 34.28 34.08 3133X8FZ0 09/03/04 09/03/13 61.428 0.000 45.84 0.098862 0.101575 0.104362 0.107226 0.110169 36.73 38.77 3133X8G22 09/09/04 03/09/10 100.000 VARIES 0.095440 0.095217 0.094991 0.094761 0.094527 34.27 34.10 Federal Home Loan Banks 3133X9GW4 11/18/04 05/18/10 100.000 VARIES 0.102321 0.102158 0.101993 0.101825 0.101653 36.79 36.67 3133X9HG8 11/24/04 05/24/10 100.000 VARIES 0.100779 0.100641 0.100501 0.100359 0.100214 36.25 36.14 3133X9TS9 12/07/04 11/02/06 94.250 0.000 31.85 0.084432 0.085755 25.65 Federal Home Loan Banks 3133XAD95 01/12/05 01/12/07 93.670 0.000 30.17 0.087186 0.088623 0.090084 32.14 .99 Federal Home Loan Banks 3133XBNM3 04/29/05 04/29/15 100.000 VARIES 0.130103 0.129864 0.129620 0.129370 0.129114 46.76 46.59 Federal Home Loan Banks 3133XC6C2 06/30/05 06/30/20 100.000 VARIES 0.053874 0.052796 0.051863 0.050907 0.050100 19.20 18.45 Federal Home Loan Banks 3133XD2X8 09/15/05 09/15/10 100.000 VARIES 0.179232 0.177845 0.176413 0.176728 0.177052 63.98 63.63 3133XDPR6 10/27/05 11/21/06 100.000 0.000 0.125638 0.128471 40.71 3133XDSF9 11/10/05 11/24/06 100.000 0.000 0.125860 0.128707 41.17 3133XDYZ8 11/30/05 12/15/06 100.000 0.000 0.129208 0.132207 44.99 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 3133XE3N7 12/21/05 12/29/06 100.000 0.000 0.130340 0.133395 47.21 3133XE3R8 12/21/05 12/29/06 100.000 0.000 0.129907 0.132942 47.05 3133XEQJ1 02/24/06 02/24/11 100.000 VARIES 0.148002 0.147504 0.146994 0.146470 45.37 52.88 3133XERA9 02/23/06 03/07/07 100.000 0.000 0.134978 0.135233 0.138519 42.02 9.14 3133XEYQ6 03/29/06 03/29/11 100.000 VARIES 0.150295 0.149664 0.149016 0.148351 40.82 53.64 3133XEZB8 03/28/06 03/28/11 100.000 VARIES 0.148002 0.147504 0.146994 0.146470 40.36 52.91 Federal Home Loan Banks 3133XF6G6 03/29/06 04/02/07 100.000 0.000 0.138182 0.138240 0.141679 37.91 12.89 3133XFAB2 04/03/06 04/30/07 100.000 0.000 0.143043 0.143595 0.147293 38.69 17.53 3133XFBZ8 04/18/06 05/18/07 100.000 0.000 0.142221 0.142828 0.146485 36.27 20.07 3133XFD52 04/21/06 05/21/07 100.000 0.000 0.142736 0.143347 0.147030 35.97 20.58 3133XFE51 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3133XFET9 05/08/06 06/05/07 100.000 0.000 0.144929 0.145496 0.149292 33.98 22.99 3133XFFS0 05/11/06 05/11/19* 100.000 VARIES 0.179731 16.54* 3133XFVN3 06/12/06 06/15/07 100.000 0.000 0.147979 0.148045 0.151988 29.52 24.93 3133XFVP8 06/12/06 09/14/07 100.000 0.000 0.147653 0.149658 0.153636 29.60 38.58 3133XFWE2 06/29/06 06/29/26 25.257 0.000 0.049111 0.050830 0.052609 0.054451 8.94 18.63 3133XFXP6 07/07/06 08/07/07 100.000 0.000 0.150267 0.150945 0.155027 26.24 33.34 Federal Home Loan Banks 3133XGDT8 07/28/06 08/30/07 100.000 0.000 0.153999 0.156497 0.159048 23.86 37.55 3133XGGN8 08/14/06 08/14/36 12.331 0.000 0.024319 0.025183 0.026077 3.33 9.15 3133XGND2 08/30/06 09/28/07 100.000 0.000 0.149222 0.149845 0.153870 18.11 40.73 3133XGNN0 08/30/06 09/04/07 100.000 0.000 0.147963 0.148051 0.151994 17.91 36.69 3133XGYL2 09/16/06 10/12/07 100.000 0.000 0.150034 0.150619 0.154687 15.80 43.06 Federal Home Loan Mortgage Corporation 3134A12K5 02/04/98 02/04/28 13.067 0.000 92.79 0.041656 0.043093 0.044580 0.046118 0.047709 15.68 16.79 3134A1BU3 09/25/96 06/01/16 23.214 0.000 229.63 0.096340 0.099981 0.103759 0.107680 0.111749 35.56 38.30 3134A1CT5 10/21/96 09/15/16 23.550 0.000 223.96 0.092426 0.095845 0.099391 0.103068 0.106882 34.63 37.24 3134A1DL1 11/01/96 02/01/16 25.038 0.000 233.85 0.095594 0.099094 0.102723 0.106485 0.110384 36.11 38.81 3134A1FK1 11/20/96 09/03/19 20.641 0.000 181.67 0.074235 0.076850 0.079557 0.082359 0.085261 27.82 29.82 3134A1H60 10/22/97 06/03/24 16.813 0.000 122.98 0.054799 0.056665 0.058596 0.060592 0.062655 20.17 21.57 3134A1HH6 12/23/96 12/01/15 26.483 0.000 233.95 0.098336 0.101846 0.105482 0.109247 0.113147 36.25 38.88 3134A1HU7 12/27/96 12/02/19 19.720 0.000 176.09 0.074296 0.076973 0.079747 0.082621 0.085598 27.39 29.40 3134A1JD3 12/31/96 12/01/14 28.804 0.000 250.33 0.105072 0.108785 0.112629 0.116609 0.120729 38.72 41.51 3134A1MX5 02/12/97 02/01/14 30.030 0.000 263.57 0.109725 0.113684 0.117786 0.122036 0.126439 41.42 44.47 3134A1MY3 02/12/97 02/01/20 19.238 0.000 171.65 0.071697 0.074316 0.077031 0.079845 0.082762 27.08 29.10 3134A1MZ0 02/12/97 03/01/16 25.716 0.000 227.41 0.095362 0.098822 0.102407 0.106123 0.109973 35.80 38.44 3134A1NA4 02/12/97 01/02/19 20.877 0.000 185.59 0.077021 0.079826 0.082734 0.085748 0.088872 29.26 31.43 3134A1X39 12/11/97 06/01/15 33.207 0.000 220.01 0.097778 0.100911 0.104146 0.107483 0.110928 35.96 38.30 Federal Home Loan Mortgage Corporation 3134A2EX2 05/22/98 05/22/28 12.511 0.000 86.86 0.041196 0.042648 0.044151 0.045708 0.047319 15.21 16.30 3134A2FE3 06/02/98 06/02/28 12.879 0.000 87.40 0.041504 0.042946 0.044439 0.045983 0.047581 15.29 16.37 3134A2FR4 06/09/98 06/09/28 12.602 0.000 86.40 0.041273 0.042723 0.044224 0.045777 0.047385 15.18 16.27 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3134A2G77 12/28/98 11/15/28 20.230 0.000 92.02 0.044006 0.045199 0.046424 0.047682 0.048974 16.17 17.06 3134A2GC6 06/05/98 06/05/28 12.804 0.000 87.08 0.041442 0.042887 0.044381 0.045928 0.047529 15.26 16.34 3134A2GJ1 06/12/98 06/12/28 12.712 0.000 86.56 0.041366 0.042813 0.044310 0.045860 0.047464 15.21 16.29 3134A2HF8 06/30/98 11/24/14 38.078 0.000 211.54 0.097700 0.100619 0.103625 0.106720 0.109908 35.92 38.09 3134A2HG6 06/30/98 12/11/25 19.896 0.000 110.41 0.051134 0.052661 0.054233 0.055852 0.057519 18.75 19.88 3134A2NQ7 07/30/98 08/15/14 37.992 0.000 214.55 0.098851 0.101878 0.104998 0.108213 0.111527 36.97 39.27 3134A2QA9 09/08/98 09/08/28 14.152 0.000 86.46 0.041101 0.042462 0.043869 0.045322 0.046823 15.35 16.39 3134A2QP6 09/18/98 09/18/28 14.078 0.000 85.89 0.041047 0.042411 0.043819 0.045275 0.046779 15.31 16.34 Federal Home Loan Mortgage Corporation 3134A3D29 09/09/99 08/15/27 14.928 0.000 80.17 0.043017 0.044507 0.046048 0.047643 0.049293 16.17 17.31 3134A3ZJ8 09/14/99 09/14/29 12.656 0.000 68.78 0.037262 0.038568 0.039920 0.041319 0.042767 13.93 14.93 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 74.77 0.039663 0.040901 0.042177 0.043493 0.044851 14.54 15.47 Federal National Mortgage Association 31359MEL3 01/29/99 06/01/17 34.790 0.000 170.41 0.083681 0.086125 0.088640 0.091229 0.093893 30.71 32.53 Federal National Mortgage Association 31364CJD1 08/13/96 08/11/06 97.000 6.830 27.50 0.011052 0.011453 2.50 Federal National Mortgage Association 31364KF21 12/21/00 12/28/07 78.513 0.000 0.061678 0.061847 0.048315 0.048492 22.19 17.28 31364KSS0 08/17/00 08/17/12 60.070 2.000 139.38 0.085388 0.088362 0.091438 0.094622 0.097916 32.09 34.36 Federal National Mortgage Association 3136F0L67 09/28/01 09/15/06 79.592 0.000 172.22 0.123395 0.126265 31.86 3136F0PV8 06/21/01 06/13/06 77.295 0.000 204.07 0.141866 22.98 3136F0W73 10/19/01 10/11/06 80.002 0.000 165.78 0.120389 0.123117 34.20 3136F0W81 10/19/01 10/11/06 80.002 0.000 165.78 0.120389 0.123117 34.20 Federal National Mortgage Association 3136F12V1 06/21/02 06/15/07 80.050 0.000 136.59 0.117300 0.119948 0.122656 42.79 20.12 3136F1DL1 12/20/01 12/15/06 78.270 0.000 171.46 0.131554 0.134826 45.84 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 46.60 0.036274 0.037399 0.038560 0.039757 0.040991 13.50 14.35 3136F1KN9 01/29/02 02/01/09 87.729 0.000 0.040711 0.040586 0.041706 0.017042 0.013724 11.09 5.64 3136F1MG2 02/08/02 01/31/07 78.566 0.000 163.39 0.126634 0.129738 0.132919 47.10 3.85 Federal National Mortgage Association 3136F2B31 12/20/02 12/30/32 19.252 0.000 34.83 0.035125 0.036102 0.037106 0.038138 0.039198 12.82 13.55 3136F2B49 12/20/02 12/28/07 84.684 0.000 89.36 0.086772 0.088220 0.089692 0.091189 31.51 32.29 3136F2C63 12/24/02 12/30/09 76.570 0.000 93.22 0.091634 0.093394 0.095187 0.097015 0.098878 33.31 34.60 3136F2C71 12/24/02 12/28/07 85.056 0.000 87.14 0.084792 0.086172 0.087575 0.089001 30.78 31.52 3136F2FZ6 09/04/02 09/15/07 85.596 0.000 0.077419 0.075940 0.074434 0.072900 27.29 18.63 3136F2KY3 09/19/02 09/14/07 84.258 0.000 100.64 0.089856 0.091413 0.092996 0.094607 32.96 23.82 3136F2NT1 10/15/02 10/05/07 85.661 0.000 90.08 0.081879 0.083163 0.084467 0.085792 29.93 23.38 3136F2W20 01/30/03 01/22/08 84.961 0.000 85.23 0.084487 0.085881 0.087299 0.088739 0.090204 31.11 32.15 Federal National Mortgage Association 3136F3LA2 04/04/03 10/03/33 20.285 0.000 31.30 0.034031 0.034933 0.035858 0.036809 0.037784 12.57 13.25 3136F3QM1 04/28/03 04/22/08 85.266 0.000 76.20 0.082678 0.084011 0.085365 0.086741 0.088140 30.19 31.17 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal National Mortgage Association 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 0.036155 0.036471 0.037347 0.038245 0.039164 13.00 13.64 Federal National Mortgage Association 3136F4R55 01/07/04 12/15/34 18.268 0.000 21.05 0.031448 0.032324 0.033224 0.034150 0.035101 11.51 12.16 3136F4WV2 12/15/03 12/15/09* 99.125 3.000 0.010049 1.65* Federal National Mortgage Association 3136F5NZ0 04/01/04 04/01/07 93.380 0.000 38.08 0.061635 0.062343 0.063059 22.44 5.68 3136F5XH9 05/04/04 05/04/07 90.900 0.000 49.25 0.084901 0.086261 0.087644 30.97 10.78 Federal National Mortgage Association 3136F66E4 05/13/05 02/15/09 98.144 3.600 2.94 0.012961 0.013229 0.013503 0.013782 0.014067 4.79 4.99 3136F6G86 02/24/05 02/15/15 63.549 0.000 25.15 0.082918 0.084824 0.086773 0.088768 0.090808 30.72 32.15 3136F6GQ6 10/05/04 12/29/06 93.900 0.000 33.37 0.076617 0.077704 27.62 3136F6GT0 10/05/04 12/28/07 90.250 0.000 36.23 0.083417 0.084752 0.086108 0.087485 30.28 30.99 Financial Federal Corp 317492AE6 04/12/04 04/15/34 100.000 VARIES 0.222117 0.228259 0.234628 0.241232 0.248079 82.02 86.68 317492AF3 04/12/04 04/15/34 100.000 VARIES 0.222117 0.228259 0.234628 0.241232 0.248079 82.02 86.68 The Finova Group Inc. 317928AA7 08/22/01 11/15/09 76.270 7.500 0.269016 0.273811 0.278903 0.284311 0.290054 98.16 101.89 Franklin & Hamilton, IL High School Dis 103 35241RAE5 03/15/06 11/01/10 76.493 0.000 0.124783 0.125734 0.129426 0.133227 0.137139 36.14 47.74 35241RAF2 03/15/06 11/01/11 71.698 0.000 0.119455 0.120384 0.123995 0.127714 0.131544 34.60 45.76 Fremont General Financing I 356905208 03/06/96 03/31/26 100.000 9.000 0.247253 0.245902 0.247253 0.245902 0.245902 90.00 89.87 Community College District No. 534, IL 360395DF1 06/13/05 12/01/07 103.900 VARIES 0.125799 0.128487 0.120637 0.119683 45.62 39.64 Gabelli Asset Management 36239YAA0 02/06/02 02/17/07 100.000 VARIES 0.193600 0.192604 0.191574 69.25 8.81 GATX Financial Corp. 36804PAC0 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 36804PAD8 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 36804PAE6 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 General Electric Capital Corporation 36962FTF3 04/14/94 04/01/08 99.800 VARIES 0.205131 0.204387 0.203616 0.202816 0.201988 73.58 73.01 General Mills, Inc. 370334AT1 10/28/02 10/28/22 67.165 VARIES 0.153145 0.158298 0.163625 0.169131 0.174822 56.72 60.60 370334AU8 10/28/02 10/28/22 67.165 VARIES 0.153145 0.158298 0.163625 0.169131 0.174822 56.72 60.60 General Motors Acceptance Corporation 37042FCD8 12/12/96 12/15/06 51.935 0.000 420.05 0.173135 0.178896 60.60 37042FCK2 12/19/96 12/15/06 51.453 0.000 423.92 0.175801 0.181746 61.55 37042FDA3 01/16/97 01/15/07 50.115 0.000 429.61 0.176079 0.182269 0.188677 66.59 2.64 37042FDC9 01/16/97 01/15/12 34.258 0.000 307.08 0.126974 0.131591 0.136375 0.141334 0.146473 48.10 51.66 37042FMH8 09/30/97 09/15/07 52.157 0.000 373.06 0.161939 0.167318 0.172877 0.178620 60.43 44.94 General Motors Corp. 370442AT2 03/20/96 03/15/36 19.874 VARIES 0.094539 0.098358 0.102331 0.106464 0.110765 35.55 38.48 Globe Holdings, Inc. 379432AA5 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AB3 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AC1 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Globe Holdings, Inc. 379432AD9 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AE7 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AF4 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 Globix Corporation 37957FAD3 04/23/02 05/01/08* 100.000 VARIES 0.416648 0.462289 0.462289 140.14* 37957FAE1 04/23/02 05/01/08* 100.000 VARIES 0.416648 0.462289 0.462289 140.14* Goldman Sachs Group,Inc. 38141G310 04/21/03 04/18/08 100.000 0.000 0.114270 0.116413 0.118595 0.120819 0.123084 41.84 43.42 38141G534 01/28/02 07/25/06 100.000 0.000 0.188646 0.193928 39.43 38141GAJ3 01/13/00 01/13/07 100.000 0.500 0.315768 0.327360 0.339398 119.73 4.07 38141GAM6 03/22/00 03/22/07 99.000 0.250 0.326807 0.339382 0.352452 122.45 28.55 38141GAP9 05/25/00 05/25/07 99.000 1.000 0.348093 0.361567 0.375607 128.73 54.09 38141GAS3 07/25/01 10/26/07 90.813 VARIES 0.194389 0.199894 0.205568 0.211414 71.70 61.69 38141GAX2 01/12/01 01/12/08 100.000 0.250 0.247963 0.256038 0.264382 0.273006 0.281919 93.49 99.69 38141GAY0 01/16/01 01/16/08 100.000 0.250 0.259069 0.267805 0.276844 0.286196 0.295872 97.77 104.49 38141GBB9 02/23/01 02/23/08 100.000 1.000 0.241005 0.248153 0.255541 0.263177 0.271069 89.91 95.36 38141GBC7 05/17/01 05/17/08 100.000 0.000 0.243162 0.251126 0.259350 0.267844 0.276615 89.68 95.65 38141GBD5 05/24/01 05/24/08 100.000 1.000 0.238444 0.245449 0.252686 0.260164 0.267891 87.63 92.88 38141GBF0 07/12/01 07/12/08 100.000 3.500 0.208873 0.212558 0.216364 0.220295 0.224357 77.12 79.95 38141GBG8 08/29/01 10/29/06 100.000 0.000 0.196811 0.202344 59.65 38141GBH6 09/04/01 09/04/08 100.000 3.500 0.198286 0.201487 0.204789 0.208197 0.211712 72.72 75.15 38141GBJ2 10/05/01 10/05/08 100.000 3.000 0.180903 0.183730 0.186639 0.189633 0.192713 66.13 68.25 38141GBK9 10/05/01 10/05/08 100.000 2.000 0.188035 0.191873 0.195823 0.199887 0.204069 69.05 71.94 38141GBL7 10/16/01 09/04/08 100.000 VARIES 0.185717 0.189472 0.193335 0.197310 0.201400 68.43 71.26 38141GBN3 10/30/01 10/05/08 101.920 2.000 0.184868 0.188510 0.192255 0.196106 0.200065 67.84 70.58 38141GBP8 11/09/01 11/09/08 100.000 1.250 0.193588 0.198195 0.202936 0.207814 0.212834 71.01 74.45 38141GBQ6 11/09/01 11/09/08 100.000 0.000 0.202511 0.208384 0.214427 0.220645 0.227044 74.58 78.97 38141GBV5 01/15/02 01/15/09 100.000 3.500 0.180780 0.183266 0.185825 0.188461 0.191176 66.37 68.26 38141GBW3 02/01/02 02/01/12 100.000 0.000 0.234394 0.242246 0.250361 0.258748 0.267416 88.19 94.20 38141GBX1 01/22/02 09/04/08 102.800 2.000 0.199955 0.204305 0.208787 0.213403 0.218158 73.80 77.09 38141GBY9 02/08/02 02/08/09 100.000 1.000 0.200595 0.205823 0.211209 0.216757 0.222474 74.67 78.64 38141GBZ6 02/12/02 02/12/09 100.000 2.000 0.201987 0.206563 0.211282 0.216148 0.221167 74.83 78.31 38141GCA0 03/08/02 03/08/09 100.000 2.000 0.208924 0.213851 0.218937 0.224185 0.229603 77.23 80.97 38141GCB8 04/08/02 04/08/12 100.000 2.000 0.217956 0.223356 0.228936 0.234700 0.240657 80.35 84.43 38141GCC6 04/10/02 04/10/12 100.000 2.500 0.217177 0.222141 0.227272 0.232575 0.238056 79.90 83.65 38141GCD4 04/29/02 04/29/12 100.000 3.500 0.213452 0.217409 0.221502 0.225733 0.230109 78.05 81.04 38141GCE2 07/03/02 07/03/12 100.000 3.000 0.195206 0.198753 0.202411 0.206186 0.210080 72.20 74.91 38141GCH5 08/27/02 08/27/09 100.000 0.000 0.167561 0.171897 0.176345 0.180908 0.185589 62.19 65.45 38141GCJ1 09/16/02 09/16/12 100.000 2.500 0.171073 0.173919 0.176844 0.179851 0.182943 62.70 64.85 38141GCK8 10/28/02 10/28/12 100.000 3.000 0.173172 0.175746 0.178394 0.181118 0.183919 63.13 65.06 38141GCL6 10/30/02 10/30/07 100.000 1.000 0.128471 0.130586 0.132745 0.134949 46.89 40.09 38141GCT9 02/11/03 02/11/10 100.000 0.500 0.146645 0.149798 0.153026 0.156331 0.159714 54.25 56.62 38141GCV4 02/28/03 02/28/13 100.000 0.000 0.162256 0.163737 0.170753 0.172311 0.178708 60.54 63.59 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38141GCW2 02/27/03 02/27/13 100.000 0.500 0.160564 0.164341 0.168216 0.172189 0.176266 59.43 62.27 38141GCX0 03/05/03 03/05/13 100.000 0.000 0.158905 0.162917 0.167031 0.171249 0.175573 58.87 61.88 38141GCZ5 04/21/03 04/18/13 100.000 0.000 0.162379 0.166561 0.170850 0.175249 0.179762 59.83 62.95 38141GDC5 04/21/03 04/21/13 100.000 2.250 0.153975 0.156331 0.158747 0.161225 0.163767 56.19 57.95 38141GDD3 05/09/03 05/09/10 100.000 2.500 0.120234 0.121288 0.122364 0.123462 0.124583 43.58 44.36 38141GDF8 05/30/03 05/30/13 100.000 0.000 0.144203 0.147542 0.150957 0.154452 0.158027 52.72 55.19 38141GDG6 06/11/03 06/11/13 100.000 3.000 0.121904 0.122724 0.123561 0.124416 0.125289 44.07 44.67 38141GDH4 06/20/03 06/20/13 100.000 0.250 0.133770 0.136528 0.139347 0.142226 0.145169 48.71 50.75 38141GDJ0 07/08/03 07/08/10 100.000 0.000 0.125148 0.127745 0.130395 0.133101 0.135863 46.43 48.38 38141GDL5 08/07/03 08/07/11 100.000 0.000 0.155329 0.159259 0.163288 0.167419 0.171655 57.77 60.73 38141GDM3 08/04/03 08/04/10 100.000 0.000 0.156004 0.159966 0.164029 0.168196 0.172468 58.05 61.04 38141GDN1 08/25/03 08/25/10 100.000 1.000 0.146137 0.149019 0.151971 0.154996 0.158093 53.86 56.03 38141GDP6 08/28/03 08/28/10 100.000 1.500 0.147346 0.149961 0.152642 0.155388 0.158203 54.17 56.13 38141GDR2 01/21/04 04/06/10 100.000 0.000 0.117057 0.119364 0.121717 0.124116 0.126562 42.95 44.66 38141GDS0 04/13/04 06/13/11 100.000 0.000 0.140267 0.143545 0.146901 0.150334 0.153848 51.21 53.63 38141GDT8 04/16/04 04/16/09 100.000 0.250 0.119822 0.122122 0.124469 0.126864 0.129307 43.90 45.60 38141GDW1 11/23/04 11/23/11 100.000 2.000 0.131138 0.132877 0.134655 0.136474 0.138335 47.66 48.94 38141GDY7 01/11/05 01/11/12 100.000 1.000 0.133839 0.136348 0.138916 0.141544 0.144234 49.50 51.39 38141GEB6 02/15/05 02/15/12 100.000 2.000 0.128000 0.129649 0.131334 0.133058 0.134821 46.83 48.06 38141GEC4 06/29/05 06/29/12 100.000 1.000 0.131524 0.133936 0.136404 0.138930 0.141514 47.79 49.57 38141GED2 08/30/05 08/30/08 100.000 0.250 0.118269 0.120008 0.123116 0.124932 0.127474 44.09 45.81 38141GEH3 04/13/06 04/13/10 100.000 0.000 0.153889 0.158151 0.162532 0.167034 40.04 58.42 38141GEN0 06/28/06 06/28/11 100.000 0.125 0.163889 0.168621 0.173493 0.178509 30.01 61.61 Goldman Sachs Group,Inc. 38143U457 04/16/04 10/16/11 100.000 0.000 0.141124 0.144466 0.147887 0.151389 0.154974 51.91 54.40 38143U648 02/05/04 02/05/09 100.000 0.000 0.111687 0.113809 0.115972 0.118175 0.120420 41.21 42.80 38143U739 12/24/03 12/24/07 100.000 0.000 0.103255 0.105046 0.106869 0.108723 37.52 38.06 38143U804 08/15/03 08/15/06 100.000 0.000 0.090010 0.091382 20.41 38143U812 11/28/03 11/29/07 100.000 0.000 0.107406 0.109339 0.111307 0.113311 39.14 36.87 38143UAC5 02/18/04 02/18/14* 100.000 3.000 0.143160 0.144656 8.03* 38143UAD3 03/09/04 03/09/09 100.000 2.000 0.094972 0.095632 0.096303 0.096986 0.097680 34.46 34.95 38143UAF8 04/08/04 04/08/09 100.000 1.250 0.113336 0.114877 0.116448 0.118050 0.119683 41.34 42.48 38143UAG6 04/08/04 04/08/09 100.000 0.250 0.115001 0.117119 0.119279 0.121480 0.123725 42.14 43.71 38143UAH4 04/12/04 04/12/09 100.000 0.750 0.112629 0.114405 0.116216 0.118062 0.119943 41.15 42.46 38143UAJ0 04/12/04 04/12/09 100.000 0.250 0.113451 0.115512 0.117613 0.119754 0.121937 41.54 43.07 38143UAK7 09/21/04 09/21/09 100.000 VARIES 0.112550 0.113605 0.114159 0.114363 0.114288 40.87 41.15 38143UAL5 05/20/04 05/20/14 100.000 VARIES 0.178855 0.182224 0.185693 0.188636 0.191667 65.27 67.62 38143UAM3 06/11/04 06/11/09 100.000 0.000 0.144763 0.148273 0.151869 0.155552 0.159324 52.89 55.48 38143UAN1 07/22/04 07/22/09 100.000 1.500 0.128792 0.130753 0.132757 0.134807 0.136902 47.35 48.82 38143UAP6 07/23/04 07/23/09* 100.000 1.500 0.128792 0.130752 0.041666 26.74* 38143UAQ4 09/10/04 09/10/11 100.000 VARIES 0.128871 0.130190 0.131585 0.132986 0.134381 46.93 47.93 38143UAR2 09/01/04 09/01/09 100.000 1.000 0.115966 0.117752 0.119574 0.121433 0.123329 42.50 43.83 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UAS0 09/10/04 09/10/12 100.000 0.500 0.138225 0.141191 0.144227 0.147335 0.150518 50.96 53.18 38143UAT8 09/20/04 09/20/11 100.000 VARIES 0.128381 0.129877 0.130823 0.131365 0.131578 46.73 47.27 38143UAU5 09/28/04 09/28/09 100.000 VARIES 0.112753 0.113838 0.114454 0.114761 0.114817 40.94 41.29 38143UAX9 10/08/04 10/08/11 100.000 1.500 0.130287 0.132304 0.134366 0.136474 0.138631 47.60 49.11 38143UAY7 12/15/04 12/15/09* 100.000 1.000 0.115668 5.78* 38143UAZ4 12/15/04 12/15/09 120.000 0.000 0.140162 0.142993 0.145882 0.148829 0.151835 51.06 53.14 38143UBA8 02/02/05 02/02/12 100.000 2.000 0.130014 0.131734 0.133494 0.135295 0.137137 47.63 48.92 38143UBB6 03/16/05 03/16/12 100.000 1.000 0.142828 0.145727 0.148699 0.151747 0.154871 52.56 54.73 38143UBC4 04/13/05 04/13/12 100.000 0.500 0.142014 0.145217 0.148500 0.151865 0.155315 52.21 54.60 38143UBF7 08/18/05 08/18/11 100.000 0.000 0.134444 0.137698 0.141030 0.144443 0.147938 49.86 52.30 38143UBH3 10/03/05 10/03/12 100.000 1.000 0.141667 0.144571 0.147549 0.150603 0.153735 52.04 54.21 38143UBJ9 10/17/05 10/17/10 100.000 0.000 0.139528 0.143032 0.146624 0.150307 0.154081 51.39 54.00 Goldman Sachs Group,Inc. 38143Y145 04/07/06 01/07/09 100.000 0.000 0.149374 0.151382 0.155453 0.159632 39.78 56.67 38143YAA1 03/07/05 03/07/11 100.000 0.000 0.132170 0.135243 0.138387 0.141605 0.144897 48.84 51.14 Goldman Sachs Group,Inc. 38144X203 09/28/05 06/18/08 100.000 0.000 0.128418 0.131357 0.134362 0.137437 0.140582 46.84 49.00 Great Lakes Carbon Corp. 390559AC6 05/22/98 05/15/09 53.092 VARIES 0.364568 0.364567 0.364566 0.364565 0.364564 131.24 131.24 Great Plains Energy,Inc. 391164605 06/14/04 02/16/09 100.000 VARIES 0.140536 0.141100 0.141677 50.85 6.38 391164AA8 06/14/04 02/16/09 100.000 VARIES 0.140536 0.141100 0.141677 0.142269 0.141546 50.85 51.09 Greater Peoria Airport Authority, IL 392298KK0 11/10/05 12/01/06 103.092 0.000 0.126535 0.129324 42.26 Grey Global Group, Inc. 39787MAA6 10/28/03 10/15/33 100.000 VARIES 0.285312 0.292195 0.299401 0.306945 0.314845 105.02 110.32 39787MAB4 10/28/03 10/15/33 100.000 VARIES 0.285312 0.292195 0.299401 0.306945 0.314845 105.02 110.32 Griffon Corporation 398433AA0 07/18/03 07/18/23 100.000 VARIES 0.258767 0.265042 0.271585 0.278405 0.285515 96.37 101.27 398433AB8 07/18/03 07/18/23 100.000 VARIES 0.258767 0.265042 0.271585 0.278405 0.285515 96.37 101.27 Guitar Center, Inc. 402040AC3 06/13/03 07/15/13* 100.000 4.000 0.259797 0.266115 51.54* H & E Equipment Services 404085AD4 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AE2 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AF9 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AG7 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AH5 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* HM Publishing Corp. 40425LAA4 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 40425LAB2 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 40425LAC0 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 HSBC USA, Inc. 40428HCU4 07/27/06 01/27/10 100.000 0.000 0.150740 0.154830 0.159031 23.21 56.28 John Hancock Life Insurance Company 41013MBT6 10/29/02 04/15/15 50.000 0.000 96.56 0.092367 0.094971 0.097650 0.100404 0.103235 34.12 36.07 Harrisburg, PA 414738NM2 12/28/95 04/01/06 51.318 0.000 470.83 0.177707 15.99 414738NN0 12/28/95 04/01/07 47.774 0.000 443.65 0.167885 0.173483 0.179268 62.47 16.13 414738NP5 12/28/95 04/01/08 44.423 0.000 417.53 0.158411 0.163740 0.169249 0.174943 0.180829 58.96 63.00 414738NQ3 12/28/95 04/01/09 41.259 0.000 392.47 0.149286 0.154353 0.159593 0.165010 0.170611 55.58 59.42 414738NR1 12/28/95 04/01/10 38.328 0.000 368.23 0.140370 0.145170 0.150135 0.155269 0.160578 52.28 55.91 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Harrisburg, PA 414738NS9 12/28/95 04/01/11 35.259 0.000 346.14 0.132573 0.137179 0.141945 0.146877 0.151981 49.40 52.89 414738NT7 12/28/95 04/01/12 32.621 0.000 324.02 0.124420 0.128781 0.133294 0.137965 0.142800 46.37 49.68 414738NU4 12/28/95 04/01/13 30.247 0.000 302.78 0.116462 0.120567 0.124816 0.129215 0.133770 43.42 46.53 414738NV2 12/28/95 04/01/14 27.925 0.000 282.79 0.109054 0.112930 0.116944 0.121101 0.125406 40.67 43.61 414738NW0 12/28/95 04/01/15 25.992 0.000 263.73 0.101745 0.105367 0.109118 0.113002 0.117025 37.94 40.69 414738NX8 12/28/95 04/01/16 24.047 0.000 245.87 0.095018 0.098419 0.101942 0.105591 0.109371 35.44 38.02 414738NY6 12/28/95 04/01/17 22.322 0.000 229.10 0.088614 0.091795 0.095090 0.098504 0.102039 33.06 35.47 414738NZ3 12/28/95 04/01/18 20.535 0.000 213.19 0.082669 0.085661 0.088762 0.091975 0.095304 30.85 33.12 414738PA6 12/28/95 04/01/19 19.125 0.000 198.55 0.076994 0.079781 0.082669 0.085661 0.088762 28.73 30.85 Hartford Financial Services Group, Inc. 416515203 09/13/02 11/16/08* 100.000 VARIES 0.133203 0.133657 30.01* 416515500 05/23/03 08/16/08* 100.000 VARIES 0.101918 0.102470 13.81* 416515AH7 05/23/03 08/16/08 100.000 VARIES 0.101918 0.102470 0.102407 0.101716 0.101014 36.86 36.55 Hasbro, Inc. 418056AM9 11/30/01 12/01/21 100.000 VARIES 0.287057 0.295648 0.304593 0.313906 0.323603 105.41 111.90 418056AN7 11/30/01 12/01/21 100.000 VARIES 0.287057 0.295648 0.304593 0.313906 0.323603 105.41 111.90 Headwaters, Inc. 42210PAA0 06/01/04 06/01/16 100.000 VARIES 0.239997 0.246403 0.253064 0.259993 0.267198 87.94 92.77 42210PAB8 06/01/04 06/01/16 100.000 VARIES 0.239997 0.246403 0.253064 0.259993 0.267198 87.94 92.77 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 34.17 0.043888 0.045454 0.047077 0.048758 0.050498 16.37 17.56 434110QJ4 08/28/03 04/01/28 17.813 0.000 31.85 0.040915 0.042375 0.043888 0.045455 0.047077 15.26 16.37 434110QK1 08/28/03 04/01/29 16.606 0.000 29.70 0.038143 0.039504 0.040914 0.042375 0.043888 14.23 15.26 434110QL9 08/28/03 04/01/30 15.481 0.000 27.68 0.035558 0.036828 0.038143 0.039504 0.040914 13.26 14.23 434110QM7 08/28/03 04/01/31 14.432 0.000 25.81 0.033149 0.034333 0.035558 0.036828 0.038142 12.36 13.26 434110QN5 08/28/03 04/01/32 13.454 0.000 24.06 0.030903 0.032006 0.033149 0.034332 0.035558 11.53 12.36 434110QP0 08/28/03 04/01/33 12.543 0.000 22.43 0.028810 0.029839 0.030904 0.032007 0.033150 10.75 11.53 Hollywood Casino Shreveport 43613PAA1 08/10/99 08/01/06 100.000 VARIES 0.386415 0.381287 80.22 43613PAB9 08/10/99 08/01/06 100.000 VARIES 0.386415 0.381287 80.22 43613PAE3 06/15/01 08/01/06 103.000 VARIES 0.377000 0.375500 78.90 Horace Mann Educators Corporation 440327AF1 05/14/02 05/14/32 47.500 1.426 0.104603 0.106841 0.109157 0.111552 0.115394 38.27 40.02 440327AG9 05/14/02 05/14/32 47.500 1.426 0.104603 0.106841 0.109157 0.111552 0.115394 38.27 40.02 Horizon PCS, Inc. 44043UAB6 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAD2 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAE0 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAF7 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 Host Marriott Corp. 441079209 12/02/96 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 441079308 12/02/96 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 441079407 05/19/97 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 Houghton Mifflin, LLC 441577AA1 05/15/06 05/15/11 99.000 VARIES 0.344169 0.372254 0.389608 0.419085 80.82 141.27 441577AB9 05/15/06 05/15/11 99.000 VARIES 0.344169 0.372254 0.389608 0.419085 80.82 141.27 Household Finance Corp. 441815AQ0 10/30/02 02/15/08 94.200 VARIES 0.302399 0.304121 0.304470 0.304838 0.305226 109.46 109.78 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Hynix Semiconductor, Inc 449130AD5 07/05/05 07/01/12 97.000 9.875 1.47 0.008808 0.009270 0.009756 0.010268 3.25 3.60 449130AE3 07/05/05 07/01/12 97.000 9.875 1.47 0.008808 0.009270 0.009756 0.010268 3.25 3.60 ICON Fitness Corporation 451039AB7 11/20/96 11/15/06 50.931 VARIES 0.388868 0.388867 122.10 Illinois Power Company 452092CK3 12/20/02 12/15/10 97.480 11.500 6.96 0.007658 0.008073 0.008605 0.009071 0.009616 2.89 3.24 452092CL1 12/20/02 12/15/10 97.480 11.500 6.95 0.007744 0.008208 0.008701 0.009223 0.009776 2.89 3.24 452092CM9 12/20/02 12/15/10 97.480 11.500 6.95 0.007744 0.008208 0.008701 0.009223 0.009776 2.89 3.24 IBC Capital Finance 453838500 12/18/96 12/31/26 100.000 9.250 0.256944 0.256944 0.256944 0.256944 0.256944 92.50 92.50 Insilco Holdings Co. 457661AA4 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 457661AB2 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 457661AC0 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 Insignia Financing I 45766X304 11/01/96 09/30/16 100.000 6.500 0.178571 0.177596 0.178571 0.177596 0.177596 65.00 64.91 Intermedia Communications, Inc. 458801BA4 02/24/99 03/01/09 55.057 VARIES 0.340266 0.340266 0.340265 0.340264 0.340263 122.50 122.50 International Bank for Reconstruction 459056GC5 03/06/85 02/15/06 9.429 0.000 892.31 0.297836 13.40 459056GD3 03/06/85 08/15/06 8.912 0.000 843.41 0.281517 0.302776 67.47 459056GE1 03/06/85 02/15/07 8.423 0.000 797.19 0.266096 0.286191 0.297848 105.18 13.40 459056GF8 03/06/85 08/15/07 7.962 0.000 753.50 0.251507 0.270499 0.281517 0.302776 99.41 67.47 459056GG6 03/06/85 02/15/08 7.690 0.000 712.13 0.236238 0.253958 0.264177 0.283993 0.295421 93.32 104.35 459056GH4 03/06/85 08/15/08 7.272 0.000 673.42 0.223397 0.240153 0.249817 0.268556 0.279363 88.25 98.68 459056GJ0 03/06/85 02/15/09 6.955 0.000 637.08 0.210683 0.226433 0.235489 0.253093 0.263215 83.20 92.99 459056GK7 03/06/85 08/15/09 6.732 0.000 603.34 0.198289 0.213012 0.221426 0.237867 0.247264 78.26 87.39 459056GL5 03/06/85 02/15/10 6.446 0.000 571.43 0.187216 0.201069 0.208963 0.224425 0.233236 73.86 82.44 459056GM3 03/06/85 08/15/10 6.175 0.000 541.45 0.176842 0.189882 0.197291 0.211839 0.220104 69.75 77.82 459056GN1 03/06/85 02/15/11 5.992 0.000 513.94 0.166803 0.179018 0.185914 0.199529 0.207215 65.75 73.28 459056GP6 03/06/85 08/15/11 5.676 0.000 486.82 0.157996 0.169566 0.176098 0.188994 0.196274 62.28 69.41 459056GQ4 03/06/85 02/15/12 5.445 0.000 461.92 0.149445 0.160351 0.166488 0.178639 0.185476 58.89 65.61 459056GR2 03/06/85 08/15/12 5.159 0.000 437.64 0.141588 0.151921 0.157735 0.169247 0.175725 55.79 62.16 459056GS0 03/06/85 02/15/13 5.019 0.000 416.46 0.133884 0.143587 0.149012 0.159811 0.165849 52.73 58.68 459056GT8 03/06/85 08/15/13 4.757 0.000 394.74 0.126907 0.136104 0.141247 0.151483 0.157207 49.98 55.63 459056GU5 03/06/85 02/15/14 4.634 0.000 376.15 0.120164 0.128812 0.133616 0.143231 0.148573 47.29 52.59 459056GV3 03/06/85 08/15/14 4.395 0.000 356.72 0.113955 0.122155 0.126711 0.135829 0.140895 44.85 49.87 459056GW1 03/06/85 02/15/15 4.349 0.000 341.43 0.108030 0.115722 0.119952 0.128493 0.133190 42.48 47.17 459056HY6 01/07/86 02/15/16 5.299 0.000 319.55 0.097539 0.104113 0.107535 0.114783 0.118556 38.18 42.09 459056JD0 01/07/86 02/15/06 12.535 0.000 862.34 0.273513 12.31 459056JE8 01/07/86 02/15/07 11.305 0.000 777.73 0.246676 0.264054 0.273513 96.91 12.31 459056JF5 01/07/86 02/15/08 10.303 0.000 701.15 0.221689 0.237250 0.245691 0.262937 0.272292 87.07 96.50 459056JG3 01/07/86 02/15/09 9.297 0.000 632.65 0.200028 0.214068 0.221684 0.237245 0.245686 78.56 87.07 459056JH1 01/07/86 02/15/10 8.388 0.000 570.85 0.180491 0.193160 0.200033 0.214074 0.221691 70.89 78.56 459056JJ7 01/07/86 02/15/11 7.569 0.000 515.08 0.162856 0.174287 0.180488 0.193157 0.200030 63.96 70.89 459056JK4 01/07/86 02/15/12 6.915 0.000 465.46 0.146701 0.156961 0.162507 0.173873 0.180016 57.60 63.81 459056JL2 01/07/86 02/15/13 6.323 0.000 421.01 0.132273 0.141491 0.146455 0.156661 0.162158 51.92 57.49 459056JM0 01/07/86 02/15/14 5.865 0.000 382.08 0.119281 0.127533 0.131945 0.141073 0.145954 46.79 51.76 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ International Bank for Reconstruction 459056JN8 01/07/86 02/15/15 5.604 0.000 349.36 0.107678 0.115017 0.118883 0.126987 0.131255 42.19 46.58 International Finance Corporation 45950K209 12/08/03 12/08/10 100.000 0.000 0.118353 0.120686 0.123064 0.125488 0.127961 43.14 44.85 International Game Tech 459902AK8 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 459902AL6 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 459902AM4 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 Ionica, PLC. 462213AK5 03/19/97 05/01/07 47.688 VARIES 0.416649 0.416648 0.416646 149.99 50.00 462213AL3 03/19/97 05/01/07 47.688 VARIES 0.416649 0.416648 0.416646 149.99 50.00 Itron Inc. 465741AJ5 08/04/06 08/01/26 100.000 VARIES 0.204969 0.209886 0.215068 30.13 76.19 Ivax Corporation 465823AH5 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AJ1 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AK8 12/22/04 12/15/24 98.500 VARIES 0.163374 0.166574 0.169866 0.173253 0.176737 59.49 61.87 465823AL6 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AM4 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AN2 12/22/04 12/15/24 98.500 VARIES 0.163374 0.166574 0.169866 0.173253 0.176737 59.49 61.87 465823AP7 05/09/05 05/15/25 100.000 VARIES 0.199483 0.204993 0.210696 0.216598 0.222706 73.32 77.47 465823AQ5 05/09/05 05/15/25 100.000 VARIES 0.199483 0.204993 0.210696 0.216598 0.222706 73.32 77.47 JDS Uniphase Corporation 46612JAA9 10/31/03 11/15/10 98.000 0.000 6.12 0.007862 0.007873 0.007884 0.007896 0.007907 2.83 2.84 46612JAB7 10/31/03 11/15/10 98.000 0.000 6.12 0.007862 0.007873 0.007884 0.007896 0.007907 2.83 2.84 JL French Automotive Castings, Inc. 46620QAC9 12/27/02 12/31/07 97.410 12.000 0.672945 0.698703 0.725573 0.753613 246.95 265.53 JP Morgan Chase & Co. 46623EBY4 11/01/04 11/01/11 100.000 VARIES 0.122111 0.122385 0.122382 0.122238 0.122201 44.03 44.02 JP Morgan Chase & Co. 46625HAQ3 11/26/02 11/26/07 100.000 0.000 0.112666 0.114716 0.116804 0.118930 41.07 38.34 46625HAU4 03/12/03 03/12/08 100.000 0.000 0.096594 0.098145 0.099720 0.101321 0.102948 35.39 36.54 46625HAY6 09/18/03 09/22/08 100.000 0.000 0.113914 0.116079 0.118286 0.120534 0.122825 41.83 43.44 46625HAZ3 10/30/03 10/30/08 100.000 0.000 0.113219 0.115360 0.117541 0.119764 0.122028 41.41 42.99 46625HBB5 12/17/03 01/21/09 100.000 0.000 0.112342 0.114481 0.116661 0.118882 0.121146 41.52 43.12 46625HBG4 03/31/04 03/31/09 100.000 0.000 0.098092 0.099740 0.101415 0.103118 0.104850 35.91 37.13 46625HBT6 06/25/04 07/07/09 100.000 0.000 0.138519 0.141809 0.145178 0.148626 0.152156 51.62 54.10 46625HBU3 09/21/04 09/21/09 100.000 0.000 0.115728 0.118046 0.120409 0.122820 0.125279 42.55 44.27 46625HBW9 09/30/04 09/30/10 100.000 0.000 0.119263 0.121721 0.124230 0.126790 0.129403 43.83 45.65 46625HBZ2 10/29/04 10/29/10 100.000 0.000 0.119552 0.122021 0.124542 0.127114 0.129740 43.79 45.62 46625HCB4 01/31/05 01/29/10 100.000 VARIES 0.118367 0.117323 0.117262 0.117199 0.117437 42.26 42.23 46625HCF5 03/23/05 03/22/12 100.000 0.000 0.141233 0.144737 0.148328 0.152008 0.155779 52.18 54.80 46625HCG3 03/31/05 04/02/08 100.000 0.000 0.131176 0.134203 0.137300 0.140467 0.143709 48.31 50.57 46625HCH1 04/29/05 05/01/08 100.000 0.000 0.124461 0.127189 0.129977 0.132825 0.135736 45.63 47.65 46625HCJ7 04/27/05 04/27/10 100.000 0.000 0.130207 0.133191 0.136242 0.139364 0.142557 47.80 50.01 46625HCL2 05/31/05 05/31/12 100.000 0.000 0.130744 0.133752 0.136829 0.139976 0.143197 47.80 50.02 46625HCN8 05/25/05 05/24/07 100.000 0.000 0.120555 0.121123 0.125761 44.30 17.98 46625HCQ1 06/22/05 06/22/11 100.000 0.000 0.132184 0.135258 0.138403 0.141621 0.144914 48.20 50.46 46625HCZ1 09/26/05 09/24/10 100.000 0.000 0.126742 0.129602 0.132558 0.135583 0.138676 46.71 48.86 46625HDP2 11/29/05 11/29/11 100.000 0.000 0.142269 0.145912 0.149649 0.153481 0.157412 52.11 54.81 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 46625HFT2 04/28/06 04/28/11 100.000 0.000 0.155925 0.160301 0.164800 0.169425 38.17 59.09 46625HFU9 04/26/06 04/26/13 100.000 0.000 0.155626 0.159986 0.164467 0.169074 38.41 58.99 46625HGC8 05/31/06 05/28/10 100.000 0.000 0.153691 0.157896 0.162264 0.166753 32.57 57.92 46625HGD6 05/31/06 11/28/08 100.000 0.000 0.151215 0.155285 0.159512 0.163854 32.04 56.95 JP Morgan Chase & Co. 4662A0NW7 08/08/05 09/03/10 100.000 0.000 0.132139 0.135272 0.138479 0.141762 0.145122 48.88 51.23 4662A0RR4 12/02/05 12/12/07 100.000 0.000 0.132928 0.136104 0.139356 0.142686 48.55 48.12 4662A0VA6 04/04/06 07/11/07 100.000 0.000 0.143300 0.145292 0.149040 38.60 28.28 4662A0VF5 04/05/06 08/29/07 100.000 0.000 0.144214 0.148031 0.151030 38.83 35.62 Jackson, TN 468826GP1 07/09/98 07/01/12 40.347 0.000 252.22 0.120209 0.124175 0.128273 0.132506 43.99 46.94 Jacobs Entertainment 469815AA2 02/08/02 02/01/09* 96.040 11.875 17.90 0.015742 0.016745 3.25* 469815AB0 02/08/02 02/01/09* 96.040 11.875 17.90 0.015742 0.016745 3.25* Jersey & Greene Counties 476538CQ4 06/26/03 02/01/06 100.000 0.000 0.079324 2.38 476538CR2 06/26/03 02/01/07 100.000 0.000 0.096574 0.098143 0.099738 35.52 2.99 476538CS0 06/26/03 02/01/08 100.000 0.000 0.114208 0.116378 0.118588 0.120841 0.123137 42.16 43.78 Josephine County, OR 480890AA0 10/30/01 06/01/17 36.621 0.000 112.96 0.086705 0.089544 0.092476 0.095505 0.098632 31.90 34.02 480890AB8 10/30/01 06/01/18 33.518 0.000 106.06 0.081659 0.084395 0.087222 0.090144 0.093163 30.06 32.10 480890AF9 10/30/01 06/01/06 80.090 0.000 179.17 0.132836 19.93 480890AG7 10/30/01 06/01/07 74.256 0.000 184.79 0.138457 0.142194 0.146033 50.74 21.90 480890AH5 10/30/01 06/01/08 69.953 0.000 177.64 0.133382 0.137049 0.140818 0.144689 0.148668 48.90 51.63 480890AJ1 10/30/01 06/01/09 65.529 0.000 171.43 0.129125 0.132773 0.136523 0.140379 0.144345 47.36 50.08 480890AK8 10/30/01 06/01/10 61.462 0.000 163.95 0.123750 0.127308 0.130968 0.134733 0.138606 45.41 48.06 480890AL6 10/30/01 06/01/11 57.805 0.000 155.68 0.117633 0.121044 0.124554 0.128166 0.131882 43.17 45.71 480890AM4 10/30/01 06/01/12 54.034 0.000 148.31 0.112301 0.115614 0.119024 0.122535 0.126150 41.23 43.69 480890AN2 10/30/01 06/01/13 50.411 0.000 140.98 0.106973 0.110182 0.113487 0.116892 0.120398 39.28 41.68 480890AP7 10/30/01 06/01/14 46.941 0.000 133.71 0.101670 0.104771 0.107966 0.111259 0.114652 37.35 39.66 480890AQ5 10/30/01 06/01/15 43.624 0.000 126.54 0.096419 0.099408 0.102489 0.105666 0.108942 35.43 37.66 480890AR3 10/30/01 06/01/16 40.464 0.000 119.49 0.091238 0.094111 0.097076 0.100133 0.103287 33.54 35.68 Jostens Holding Corp. 481086AA4 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 481086AB2 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 481086AC0 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 KFW 48245AAH4 05/05/06 05/06/08 100.000 0.000 0.144896 0.144919 0.148699 0.152577 0.156556 34.41 54.66 KI Holdings, Inc. 48247EAA9 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 48247EAB7 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 48247EAC5 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 Kaydon Corporation 486587AA6 05/23/03 05/23/23 100.000 VARIES 0.265154 0.271704 0.278532 0.285650 0.293070 97.14 102.11 486587AB4 05/23/03 05/23/23 100.000 VARIES 0.265154 0.271704 0.278532 0.285650 0.293070 97.14 102.11 Kendall, Kane and Will Counties, IL 488764NN7 04/22/03 10/01/08 105.843 VARIES 0.108981 0.108414 0.107835 0.107246 0.106646 39.03 38.61 488764NP2 04/22/03 10/01/09 105.260 VARIES 0.116572 0.116119 0.115657 0.115186 0.114705 41.80 41.47 488764NQ0 04/22/03 10/01/10 100.839 VARIES 0.121853 0.121784 0.121714 0.121643 0.121570 43.84 43.79 488764NR8 04/22/03 10/01/11 106.125 VARIES 0.133896 0.133461 0.133016 0.132561 0.132096 48.05 47.72 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Kendall, Kane and Will Counties, IL 488764NS6 04/22/03 10/01/12 100.093 VARIES 0.132922 0.132912 0.132902 0.132892 0.132881 47.85 47.84 488764NT4 04/22/03 10/01/13 100.778 VARIES 0.136917 0.136869 0.136820 0.136769 0.136717 49.27 49.24 Keyspan Corporation 49337WAE0 05/06/02 05/16/08 100.000 VARIES 0.159543 0.159028 0.158499 0.157955 0.157395 57.30 56.91 Kreditanstalt Fur Wiederaufbau 500769BR4 04/19/06 04/18/36 19.778 0.000 0.030085 0.030904 0.031751 0.032620 7.64 11.40 L-3 Communications Holdings, Inc. 502413AW7 07/29/05 08/01/35 100.000 VARIES 0.175854 0.178783 0.181803 0.184920 0.188135 64.73 66.96 L-3 Communications Holdings, Inc. 502424AE4 07/29/05 08/01/35 100.000 VARIES 0.175854 0.178783 0.181803 0.184920 0.188135 64.73 66.96 LaSalle & DeKalb Counties, Illinois 504238AX4 09/04/03 12/30/06 100.029 VARIES 0.096636 0.096626 34.69 LaSalle County, IL 504570DB5 04/01/04 12/01/06 103.959 VARIES 0.075044 0.074471 24.66 504570DC3 04/01/04 12/01/07 104.125 VARIES 0.087179 0.086685 0.086183 0.085673 31.27 28.35 LaSalle County, IL School District 141 504588EA8 05/12/06 12/01/07 102.832 0.000 0.154433 0.154873 0.159060 0.163360 35.58 53.26 504588EB6 05/12/06 12/01/08 104.303 VARIES 0.160059 0.160526 0.164960 0.169516 0.156219 36.88 59.94 504588EC4 05/12/06 12/01/09 105.939 VARIES 0.164743 0.165230 0.169855 0.174609 0.161030 37.97 61.74 504588ED2 05/12/06 12/01/10 107.147 VARIES 0.168689 0.169194 0.173988 0.178919 0.165294 38.88 63.26 LaSalle County, IL 504592AN6 06/19/03 12/01/06 104.790 VARIES 0.072599 0.072102 23.87 LaSalle County, IL 504597AR6 11/17/03 12/01/06 105.821 VARIES 0.095720 0.094825 31.43 504597AS4 11/17/03 12/01/07 105.602 VARIES 0.112299 0.111557 0.110801 0.110030 40.25 36.43 504597AT2 11/17/03 12/01/08 105.395 VARIES 0.124303 0.123685 0.123055 0.122411 0.121753 44.60 44.14 Lake County, IL School District No.187 509262CR0 04/09/03 01/01/07 87.867 0.000 87.24 0.093882 0.095524 34.09 509262CS8 04/09/03 01/01/08 83.406 0.000 92.07 0.099663 0.101593 0.103561 0.105567 36.23 37.64 509262CT6 04/09/03 01/01/09 78.814 0.000 94.65 0.102970 0.105132 0.107340 0.109593 37.46 39.05 509262CU3 04/09/03 01/01/10 74.126 0.000 95.70 0.104602 0.106955 0.109361 0.111822 38.08 39.81 509262CV1 04/09/03 01/01/21 35.244 0.000 61.38 0.068620 0.070668 0.072777 0.074949 25.07 26.59 Language Line Holdings II, Inc. 515860AA2 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 515860AB0 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 515860AC8 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 Language Line Holdings II, Inc. 515861AA0 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 515861AB8 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 515861AC6 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 Lee & Ogle Counties, IL 523372AD2 07/02/03 04/01/06 100.261 VARIES 0.076005 6.84 523372AE0 07/02/03 04/01/07 100.510 VARIES 0.094135 0.094083 0.094029 33.87 8.46 523372AF7 07/02/03 04/01/08 100.396 VARIES 0.108012 0.107979 0.107945 0.107911 0.107876 38.87 38.85 523372AG5 07/02/03 04/01/09 100.704 VARIES 0.118002 0.117942 0.117881 0.117818 0.117754 42.46 42.41 523372AH3 07/02/03 04/01/10 101.077 VARIES 0.125348 0.125263 0.125175 0.125086 0.124994 45.09 45.03 523372AT7 06/09/05 04/01/07 88.783 0.000 33.54 0.167935 0.173537 0.179325 62.49 16.14 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lee & Ogle Counties, IL 523372AU4 06/09/05 04/01/08 83.138 0.000 31.42 0.157321 0.162570 0.167995 0.173601 0.179393 58.54 62.51 523372AV2 06/09/05 04/01/09 77.853 0.000 29.43 0.147340 0.152257 0.157338 0.162589 0.168015 54.83 58.55 523372AW0 06/09/05 04/01/10 72.903 0.000 27.56 0.137988 0.142594 0.147353 0.152271 0.157354 51.35 54.83 523372AX8 06/09/05 04/01/11 68.268 0.000 25.81 0.129224 0.133538 0.137995 0.142601 0.147361 48.09 51.35 Lehman Brothers Holdings, Inc. 524908779 02/05/02 02/05/07 100.000 0.000 0.190737 0.196126 0.201666 71.23 6.86 524908CH1 02/24/00 02/24/07 100.000 0.250 0.347459 0.361335 0.375777 131.18 19.92 524908CS7 11/14/00 11/14/07 100.000 0.250 0.311645 0.323452 0.335717 0.348457 115.45 107.37 524908CT5 11/14/00 11/14/07 100.000 0.250 0.311645 0.323452 0.335717 0.348457 115.45 107.37 524908CU2 01/05/01 01/05/06 100.000 0.250 0.256616 1.03 524908CZ1 02/26/01 02/27/06 100.000 0.250 0.171634 9.61 524908DH0 06/01/01 06/01/08 100.000 0.250 0.250527 0.258752 0.267255 0.276045 0.285132 92.17 98.33 524908DN7 07/03/01 07/03/06 100.000 0.250 0.202217 0.207914 37.83 524908DU1 10/02/01 07/02/06 100.000 0.000 0.191283 0.196637 35.59 524908DW7 12/26/01 12/26/06 100.000 0.000 0.200378 0.206139 72.17 524908EF3 06/19/02 06/19/09 100.000 0.250 0.148628 0.151886 0.155220 0.158630 0.162119 54.17 56.58 524908EK2 08/05/02 08/05/07 100.000 0.000 0.161066 0.165092 0.169220 0.173450 59.90 36.97 524908EN6 08/05/02 08/05/08 100.000 0.000 0.170362 0.174834 0.179423 0.184133 0.188967 63.46 66.83 524908EP1 09/27/02 09/27/07 100.000 0.000 0.125127 0.127629 0.130182 0.132785 45.97 35.10 524908ES5 10/02/02 10/02/07 100.000 0.250 0.090470 0.091723 0.092994 0.094285 33.02 25.43 524908FB1 12/11/02 12/11/07 100.000 0.625 0.129854 0.132217 0.134629 0.137091 47.27 46.22 524908FJ4 04/29/03 04/29/10 100.000 0.000 0.136273 0.139271 0.142335 0.145467 0.148667 49.97 52.20 524908FL9 05/01/03 05/01/10 100.000 0.250 0.135473 0.138301 0.141190 0.144144 0.147162 49.62 51.72 524908FN5 05/08/03 05/08/10 100.000 0.250 0.130373 0.132995 0.135674 0.138409 0.141203 47.69 49.63 524908FP0 05/13/03 05/13/10 100.000 0.250 0.128680 0.131237 0.133847 0.136512 0.139233 47.03 48.92 524908FR6 05/27/03 05/27/08 100.000 0.250 0.091157 0.092446 0.093754 0.095082 0.096431 33.14 34.08 524908JE1 09/10/03 06/10/10 100.000 0.000 0.140166 0.143361 0.146629 0.149971 0.153390 51.17 53.53 524908JJ0 10/09/03 10/09/10 100.000 1.600 0.126422 0.128189 0.129994 0.131837 0.133720 46.12 47.44 524908JK7 11/06/03 11/06/09 100.000 0.000 0.127762 0.130464 0.133223 0.136041 0.138918 46.78 48.78 524908LS7 02/11/04 02/11/11 100.000 0.750 0.126567 0.128851 0.131184 0.133568 0.136003 46.62 48.33 524908MJ6 10/06/04 10/06/11 100.000 0.250 0.127351 0.130000 0.132707 0.135474 0.138301 46.78 48.75 524908NL0 06/21/05 06/21/10 100.000 0.750 0.126131 0.128478 0.130878 0.133331 0.135838 45.88 47.61 524908NM8 06/29/05 06/29/12 100.000 0.250 0.125757 0.128391 0.131084 0.133836 0.136650 45.76 47.70 524908NW6 09/26/05 09/26/08 107.550 0.250 0.130973 0.133692 0.136470 0.139310 0.142211 48.16 50.19 524908NX4 10/13/05 10/13/15 100.000 5.175 0.143750 0.143750 0.143750 0.143750 0.143750 51.75 51.75 524908NY2 10/28/05 10/28/12 100.000 3.000 0.138876 0.140265 0.141688 0.143147 0.144642 50.42 51.46 524908PA2 11/17/05 11/17/12 100.000 3.000 0.145042 0.146653 0.148306 0.150003 0.151743 52.65 53.85 524908PG9 01/06/06 01/06/12 100.000 0.250 0.140139 0.143499 0.146944 0.150475 50.34 53.50 524908PK0 03/08/06 03/03/09 100.000 2.000 0.141670 0.143805 0.146056 0.148363 41.76 52.71 524908PL8 03/23/06 03/23/09 100.000 1.000 0.139142 0.141931 0.144790 0.147721 38.95 52.18 524908PN4 03/29/06 03/29/13 100.000 1.500 0.150055 0.152983 0.155989 0.159077 41.08 56.18 524908SK7 08/09/06 08/09/09 100.000 0.000 0.150748 0.154839 0.159040 21.41 56.18 Lehman Brothers Holdings, Inc. 52517PAE1 10/15/93 10/15/23 100.000 VARIES 0.208654 0.208442 0.208223 0.207996 0.207761 75.04 74.88 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Brothers Holdings, Inc. 52517PB67 09/28/05 09/28/15* 100.000 VARIES 0.208239 0.202835 36.57* 52517PB91 09/30/05 10/01/07 100.000 0.000 0.116450 0.118890 0.121382 0.123926 42.81 33.23 52517PC25 10/20/05 10/20/20 100.000 VARIES 0.204520 0.203854 0.205446 0.204809 0.205314 74.60 74.86 52517PC90 11/25/05 11/26/07 100.000 0.000 0.133025 0.136210 0.139471 0.142810 48.69 45.93 52517PD73 12/21/05 12/20/09 82.123 0.000 0.113795 0.116617 0.119526 0.122507 0.125562 41.54 43.63 52517PE56 02/22/06 02/22/13 100.000 VARIES 0.143456 0.141781 0.140062 0.140092 44.11 50.51 52517PE64 02/07/06 08/07/07 100.000 0.000 0.133009 0.136193 0.139454 43.55 30.00 52517PE80 03/07/06 09/07/07 100.000 0.000 0.138350 0.141795 0.145327 41.07 35.52 52517PE98 03/15/06 03/15/11 100.000 0.000 0.147072 0.150966 0.154962 0.159065 42.48 55.93 52517PF22 03/22/06 03/24/08 100.000 0.000 0.139751 0.139790 0.143306 0.146911 0.150607 39.34 52.95 52517PF30 03/22/06 03/24/08 100.000 0.000 0.139751 0.139790 0.143306 0.146911 0.150607 39.34 52.95 52517PG70 04/20/06 04/20/07 100.000 0.000 0.141162 0.144749 35.69 15.78 52517PG88 04/24/06 04/24/08 100.000 0.000 0.143414 0.147117 0.150914 0.154810 35.67 54.16 52517PH46 05/17/06 05/17/21 100.000 VARIES 0.163344 0.161613 0.159831 0.160855 36.51 57.83 52517PH79 05/19/06 11/19/07 100.000 0.000 0.146228 0.150077 0.154028 32.62 48.44 52517PH87 05/19/06 11/19/07 100.000 0.000 0.146228 0.150077 0.154028 32.62 48.44 52517PJ93 06/26/06 12/27/07 100.000 0.000 0.154951 0.154976 0.159299 0.163742 28.69 57.51 52517PK26 06/30/06 06/30/08 100.000 0.000 0.157772 0.162252 0.166860 0.171599 28.56 59.25 52517PK42 07/26/06 07/26/21 100.000 VARIES 0.128326 0.124874 0.121342 19.89 44.49 52517PTP6 02/18/03 02/18/08 100.000 0.000 0.125682 0.130430 0.130980 0.135928 0.136501 47.45 49.45 52517PUH2 06/12/03 06/12/13 100.000 VARIES 0.118365 0.116028 0.114927 0.112530 0.110720 42.71 41.43 52517PUK5 05/23/03 05/23/13 100.000 VARIES 0.117306 0.114800 0.116087 0.113575 0.113885 42.31 41.82 52517PUL3 06/12/03 06/12/18 100.000 VARIES 0.142470 0.140750 0.140551 0.138791 0.137415 51.65 50.92 52517PUP4 07/03/03 07/03/18 100.000 VARIES 0.121583 0.121615 0.117635 0.117507 0.113498 43.67 42.16 52517PUR0 07/17/03 07/17/15 100.000 VARIES 0.112444 0.112417 0.108684 0.108511 0.104758 40.41 38.98 52517PUS8 06/24/03 06/24/08* 100.000 0.250 0.086050 .34* 52517PUT6 07/16/03 01/16/09 100.000 VARIES 0.087095 0.087715 0.085462 0.086028 0.085857 31.63 31.36 52517PUW9 07/30/03 07/30/07 100.000 VARIES 0.083840 0.084766 0.082959 0.085662 30.63 17.91 52517PUX7 08/07/03 08/07/08 100.000 VARIES 0.105616 0.106544 0.103982 0.104850 0.104475 38.48 38.18 52517PVC2 08/27/03 08/27/10 100.000 0.250 0.142592 0.145780 0.149042 0.152382 0.155799 52.71 55.09 52517PVE8 09/25/03 09/25/10 100.000 0.250 0.132380 0.135133 0.137947 0.140823 0.143761 48.69 50.74 52517PVG3 09/30/03 09/30/10 100.000 0.250 0.129761 0.132408 0.135112 0.137874 0.140695 47.68 49.65 52517PVN8 12/17/03 12/17/18 100.000 VARIES 0.171134 0.171593 0.173980 0.174508 0.175610 62.59 63.62 52517PVR9 01/13/04 01/13/11 100.000 0.250 0.129372 0.132053 0.134793 0.137593 0.140454 47.97 49.98 52517PVX6 03/16/04 03/16/07 100.000 VARIES 0.075784 0.074023 0.076276 27.39 5.64 52517PWB3 04/08/04 04/08/14 100.000 VARIES 0.124628 0.121653 0.119960 0.117561 0.115775 44.55 42.99 52517PWC1 04/08/04 04/08/11 100.000 VARIES 0.108496 0.105737 0.104093 0.101987 0.100921 38.72 37.34 52517PWD9 04/14/04 04/14/11 100.000 VARIES 0.097725 0.096974 0.097586 0.097131 0.097212 35.52 35.51 52517PWR8 05/13/04 09/16/10 90.250 1.000 0.127291 0.129695 0.132156 0.134678 0.137260 46.77 48.57 52517PWX5 07/07/04 07/07/11 100.000 0.250 0.147095 0.150634 0.154262 0.157982 0.161796 54.84 57.51 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Brothers Holdings, Inc. 52517PWY3 07/29/04 07/29/14 100.000 VARIES 0.143631 0.144150 0.140662 0.142183 0.139416 52.06 51.42 52517PXB2 08/20/04 08/20/09 100.000 VARIES 0.122120 0.121544 0.117584 0.118122 0.116352 43.86 42.85 52517PXD8 08/26/04 08/26/14 100.000 VARIES 0.143799 0.144130 0.140451 0.141770 0.138812 52.12 51.29 52517PXF3 09/15/04 09/15/14 100.000 VARIES 0.140436 0.134969 0.133890 0.128359 0.126295 49.55 47.03 52517PXG1 09/15/04 09/15/14 100.000 VARIES 0.140436 0.134969 0.133890 0.128359 0.126295 49.55 47.03 52517PXJ5 10/25/04 10/25/11 100.000 VARIES 0.123644 0.121378 0.121048 0.119373 0.118335 44.54 43.69 52517PXK2 10/27/04 10/27/14 100.000 VARIES 0.136596 0.134072 0.133682 0.131803 0.130624 49.20 48.25 52517PXL0 10/25/04 10/25/11 100.000 VARIES 0.121364 0.117785 0.116072 0.113035 0.110577 43.28 41.44 52517PXM8 10/25/04 10/25/17 100.000 VARIES 0.135814 0.135906 0.137514 0.137642 0.138544 49.70 50.29 52517PXN6 10/26/04 10/26/07* 100.000 VARIES 0.097551 10.44* 52517PXQ9 11/01/04 11/01/14 100.000 VARIES 0.134315 0.134202 0.134086 0.133624 0.133152 48.32 48.13 52517PXS5 10/29/04 10/29/19 100.000 VARIES 0.206736 0.205116 0.205732 0.204079 0.203531 75.10 74.65 52517PXV8 11/18/04 11/18/11 100.000 VARIES 0.134130 0.130810 0.131798 0.129147 0.130045 48.24 47.54 52517PXW6 11/22/04 11/22/19 100.000 VARIES 0.139894 0.138790 0.142320 0.141243 0.144087 50.96 51.82 52517PXZ9 12/07/04 12/07/16 100.000 VARIES 0.142631 0.142729 0.142830 0.142570 0.142303 51.37 51.36 52517PYC9 12/06/04 12/06/11 100.000 VARIES 0.124728 0.121069 0.118670 0.114901 0.111708 44.70 42.44 52517PYD7 12/23/04 12/23/11 100.000 VARIES 0.125034 0.121778 0.120782 0.118426 0.117016 45.00 43.62 52517PYE5 12/23/04 12/23/19 100.000 VARIES 0.141787 0.142087 0.143980 0.144330 0.145500 51.83 52.63 52517PYF2 12/23/04 06/23/08 100.000 VARIES 0.107656 0.107023 0.107510 0.106765 0.107661 39.18 39.11 52517PYG0 12/30/04 12/30/19 100.000 VARIES 0.140636 0.141069 0.141514 0.141971 0.142441 50.71 51.03 52517PYH8 01/06/05 01/06/20 100.000 VARIES 0.162290 0.161346 0.160373 0.159373 0.158342 57.92 57.20 52517PYJ4 12/30/04 12/30/19 100.000 VARIES 0.152319 0.152714 0.153120 0.153538 0.153969 54.91 55.20 52517PYK1 12/29/04 12/29/11 100.000 VARIES 0.126517 0.123605 0.121999 0.118677 0.115958 45.63 43.90 52517PYL9 12/29/04 12/29/14 100.000 VARIES 0.136993 0.133741 0.131893 0.128536 0.125832 49.39 47.51 52517PYM7 01/28/05 01/28/20 100.000 VARIES 0.163428 0.162511 0.161566 0.160594 0.159593 58.38 57.69 52517PYR6 02/02/05 02/02/17 100.000 VARIES 0.146073 0.144981 0.142990 0.145749 0.143765 52.65 52.81 52517PYT2 02/24/05 02/24/20 100.000 VARIES 0.134691 0.126749 0.127150 0.127561 0.127983 46.10 45.95 52517PYU9 02/24/05 02/24/20 100.000 VARIES 0.132903 0.124272 0.124783 0.125308 0.125845 45.26 45.15 52517PYW5 03/23/05 03/23/20 100.000 VARIES 0.137040 0.129787 0.130199 0.130622 0.131056 47.36 47.03 52517PYX3 03/17/05 03/17/20 100.000 VARIES 0.146418 0.147523 0.148657 0.149821 0.151016 53.14 53.97 52517PZF1 04/19/05 04/19/10 100.000 VARIES 0.136386 0.136665 0.136610 0.136554 0.136497 49.17 49.16 Lehman Brothers Holdings, Inc. 52520WAC5 06/05/06 06/15/09 100.000 1.383 0.150515 0.150684 0.153726 0.156850 0.160059 31.09 56.00 52520WAE1 06/05/06 06/15/09 100.000 2.070 0.150521 0.150661 0.153185 0.155777 0.158440 31.08 55.70 52520WAF8 06/09/06 06/09/09 100.000 1.000 0.149750 0.153038 0.156415 0.159882 30.32 55.85 52520WAG6 06/23/06 06/23/11 100.000 0.250 0.163515 0.168123 0.172867 0.177751 30.78 61.46 Level 3 Communications 52729NAD2 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAE0 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAF7 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAR1 02/29/00 03/15/10 53.308 VARIES 0.357612 0.357610 0.357608 0.357606 0.357604 128.74 128.74 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Liberty Media Corp. 530715AF8 11/16/99 11/15/29 100.000 4.000 0.350791 0.361659 0.373020 0.384896 0.397311 129.26 137.54 530715AG6 11/16/99 11/15/29 100.000 4.000 0.350791 0.361659 0.373020 0.384896 0.397311 129.26 137.54 530715AK7 02/10/00 02/15/30 100.000 3.750 0.366405 0.378769 0.391717 0.405274 0.419471 137.57 147.23 530715AL5 02/10/00 02/15/30 100.000 3.750 0.366405 0.378769 0.391717 0.405274 0.419471 137.57 147.23 530715AM3 01/11/01 01/15/31 100.000 3.500 0.350548 0.362581 0.375186 0.388389 0.402219 132.45 141.93 530715AN1 01/11/01 01/15/31 100.000 3.500 0.350548 0.362581 0.375186 0.388389 0.402219 132.45 141.93 530715AP6 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 530715AQ4 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 530715AR2 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 Liberty Media Corp. 530718AB1 03/26/03 03/30/23 98.500 0.750 0.172941 0.177200 0.181579 0.186081 0.190708 63.81 67.01 530718AF2 03/26/03 03/30/23 98.500 0.750 0.172941 0.177200 0.181579 0.186081 0.190708 63.81 67.01 Lithia Motors, Inc. 536797AA1 05/03/04 05/01/14 100.000 VARIES 0.273921 0.282654 0.291779 0.301315 0.311281 101.25 107.93 536797AB9 05/03/04 05/01/14 100.000 VARIES 0.273921 0.282654 0.291779 0.301315 0.311281 101.25 107.93 Lockheed Martin Corp. 539830AN9 08/13/03 08/15/33 98.500 VARIES 0.192998 0.200571 0.199674 0.205476 0.204658 72.74 74.62 539830AP4 08/13/03 08/15/33 98.500 VARIES 0.192998 0.200571 0.199674 0.205476 0.204658 72.74 74.62 Lowe's Companies, Inc. 548661CD7 02/16/01 02/16/21 60.841 0.000 78.35 0.047249 0.047840 0.048438 0.049043 0.049656 17.28 17.71 Lucent Technologies Capital Trust I 549462208 03/19/02 03/15/17 100.000 7.750 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 549462307 03/19/02 03/15/17 100.000 7.750 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 Lyondell Chemical Co. 552078AS6 12/04/02 12/15/08 97.750 9.500 9.83 0.010484 0.011008 0.011559 0.012137 0.012745 3.89 4.28 552078AT4 12/04/02 12/15/08 97.750 9.500 9.83 0.010484 0.011008 0.011559 0.012137 0.012745 3.89 4.28 Macoupin County, IL School District No.1 556003DG3 06/28/06 12/01/08 104.791 7.950 0.168955 0.167675 0.166132 0.164545 30.88 59.99 Marion County, OR 56913RAE8 03/28/02 06/01/06 79.181 0.000 185.22 0.153103 22.97 56913RAF5 03/28/02 06/01/07 73.606 0.000 183.55 0.152713 0.157301 0.162026 56.08 24.30 56913RAG3 03/28/02 06/01/08 68.057 0.000 179.71 0.150431 0.155191 0.160101 0.165167 0.170393 55.30 58.86 56913RAH1 03/28/02 06/01/09 63.326 0.000 171.32 0.143790 0.148440 0.153241 0.158197 0.163313 52.88 56.36 56913RAJ7 03/28/02 06/01/10 58.440 0.000 163.81 0.138034 0.142644 0.147407 0.152329 0.157416 50.80 54.25 56913RAK4 03/28/02 06/01/11 53.951 0.000 155.27 0.131236 0.135723 0.140364 0.145164 0.150127 48.33 51.69 56913RAL2 03/28/02 06/01/12 49.948 0.000 146.10 0.123717 0.128009 0.132450 0.137045 0.141800 45.57 48.79 56913RAM0 03/28/02 06/01/13 46.303 0.000 136.96 0.116134 0.120204 0.124417 0.128777 0.133290 42.79 45.84 56913RAN8 03/28/02 06/01/14 42.967 0.000 128.11 0.108730 0.112567 0.116540 0.120653 0.124912 40.07 42.95 56913RAP3 03/28/02 06/01/15 39.329 0.000 120.05 0.102183 0.105866 0.109682 0.113635 0.117731 37.67 40.44 56913RAQ1 03/28/02 06/01/16 36.142 0.000 112.04 0.095544 0.099036 0.102655 0.106407 0.110295 35.24 37.86 56913RAR9 03/28/02 06/01/17 33.393 0.000 104.32 0.089039 0.092315 0.095712 0.099234 0.102885 32.84 35.31 56913RAS7 03/28/02 06/01/18 31.307 0.000 97.06 0.082766 0.085791 0.088926 0.092176 0.095545 30.53 32.80 56913RAT5 03/28/02 06/01/19 28.898 0.000 90.28 0.077056 0.079892 0.082831 0.085879 0.089039 28.42 30.55 56913RAU2 03/28/02 06/01/20 26.649 0.000 83.89 0.071668 0.074323 0.077076 0.079932 0.082893 26.44 28.44 Markel Corporation 570535AD6 05/23/02 08/15/07 92.756 7.200 46.36 0.041145 0.042990 0.044917 0.046930 15.66 10.42 570535AE4 05/23/02 05/15/08 90.005 7.000 53.81 0.049048 0.051307 0.053670 0.056142 0.058727 18.28 20.00 Marquee Holdings, Inc. 57143VAA7 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 57143VAB5 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 57143VAC3 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Masco Corporation 574599AW6 07/20/01 07/20/31 39.445 VARIES 0.122427 0.127401 0.132577 0.137963 0.143568 46.60 50.47 574599BB1 07/20/01 07/20/31 39.445 VARIES 0.122427 0.127401 0.132577 0.137963 0.143568 46.60 50.47 Matria Healthcare, Inc. 576817AA8 07/09/01 05/01/08 93.500 11.000 36.60 0.029462 0.030785 0.033242 0.034734 0.037300 11.23 12.66 576817AB6 07/09/01 05/01/08 93.500 11.000 36.60 0.029462 0.030785 0.033242 0.034734 0.037300 11.23 12.66 McCaw International LTD. 579472AC5 03/06/97 04/15/07 50.991 VARIES 0.369240 0.369782 0.370361 133.11 38.52 579472AD3 03/06/97 04/15/07 50.991 VARIES 0.369240 0.369782 0.370361 133.11 38.52 McHenry County, Illinois 581156AW6 03/11/04 12/01/06 108.179 VARIES 0.092261 0.090883 30.20 581156AX4 03/11/04 12/01/07 100.444 VARIES 0.100534 0.100469 0.100402 0.100334 36.18 33.12 581156AY2 03/11/04 12/01/08 104.812 VARIES 0.117535 0.116955 0.116363 0.115759 0.115142 42.17 41.75 581156AZ9 03/11/04 12/01/09 106.159 VARIES 0.126375 0.125740 0.125092 0.124429 0.123751 45.34 44.87 Medicis Pharmaceutical Corporation 584690AB7 08/14/03 06/04/33 93.000 VARIES 0.281038 0.291989 0.303441 0.315417 0.327941 103.75 112.06 Medtronic, Inc. 585055AA4 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 585055AB2 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 585055AD8 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 Cass & Sangamon Counties, Illinois 586362DJ1 06/10/04 12/01/06 104.830 VARIES 0.103091 0.102086 33.84 586362DK8 06/10/04 12/01/07 105.112 VARIES 0.115943 0.115112 0.114265 0.113401 41.54 37.55 The Mens Wearhouse, Inc. 587118AB6 10/21/03 10/15/23 100.000 VARIES 0.245020 0.251348 0.257930 0.264775 0.271894 90.33 95.15 587118AC4 10/21/03 10/15/23 100.000 VARIES 0.245020 0.251348 0.257930 0.264775 0.271894 90.33 95.15 Mercury Interactive Corp 589405AC3 04/29/03 05/01/08 98.000 0.000 10.63 0.011110 0.011132 0.011155 0.011177 0.011200 4.01 4.02 589405AD1 04/29/03 05/01/08 98.000 0.000 10.63 0.011110 0.011132 0.011155 0.011177 0.011200 4.01 4.02 Merisant Worldwide, Inc. 58985CAA8 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 Merrill Lynch & Co.,Inc. 590188249 09/13/00 09/13/07 100.000 0.000 0.283585 0.289012 0.304388 0.310213 106.80 78.69 590188256 08/04/00 08/03/07 100.000 0.000 0.296990 0.313306 0.319828 0.337399 114.80 71.62 590188264 08/04/00 08/03/07 100.000 0.000 0.296990 0.313306 0.319828 0.337399 114.80 71.62 590188272 06/29/00 06/29/07 100.000 0.000 0.324731 0.335506 0.350458 120.58 62.73 590188280 03/30/00 03/30/07 100.000 0.000 0.311263 0.322906 0.334985 116.31 29.81 590188298 03/03/00 03/05/07 100.000 0.000 0.266639 0.275550 0.284759 99.70 18.22 590188A65 05/23/01 05/23/31 51.108 VARIES 0.114270 0.117774 0.121385 0.125108 0.128944 42.04 44.66 590188A73 03/13/02 03/13/32 100.000 VARIES 0.193287 0.198809 0.204488 0.210329 0.216338 71.79 75.95 590188P44 09/30/03 09/30/08 100.000 0.000 0.101004 0.102720 0.104466 0.106242 0.108047 36.99 38.25 590188P51 10/03/03 10/03/08 100.000 0.000 0.108070 0.110027 0.112019 0.114047 0.116112 39.60 41.05 590188V70 07/30/04 07/30/07 100.000 0.000 0.090488 0.091916 0.093367 0.094841 33.27 19.78 590188V88 08/31/04 08/31/07 100.000 0.000 0.072488 0.072584 0.074323 0.074422 26.34 17.63 590188V96 09/27/04 09/27/07 100.000 0.000 0.071682 0.072584 0.073498 0.074422 26.14 19.72 590188W20 10/29/04 10/29/07 100.000 0.000 0.071746 0.072650 0.073565 0.074491 26.10 22.09 590188W38 11/30/04 11/30/07 100.000 0.000 0.090733 0.092169 0.093628 0.095110 33.01 31.07 590188W79 12/30/04 01/02/14 100.000 0.000 0.131599 0.134645 0.137761 0.140950 0.144212 49.03 51.32 590188X86 05/05/05 05/12/10 100.000 VARIES 0.117155 0.117167 0.117158 0.117149 0.117136 42.18 42.17 Merrill Lynch & Co.,Inc. 59018FBA9 05/16/03 05/17/10 100.000 0.250 0.123053 0.125394 0.127783 0.130219 0.132704 44.93 46.66 59018FBD3 12/30/03 12/30/06 100.000 0.000 0.068435 0.069239 24.71 Merrill Lynch & Co.,Inc. 59018SB94 03/20/98 03/20/28 12.154 0.000 88.43 0.040882 0.042344 0.043858 0.045425 0.047049 15.28 16.39 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch & Co.,Inc. 59018SRZ9 02/25/97 02/25/27 9.506 0.000 95.29 0.041148 0.042794 0.044506 0.046286 0.048138 15.53 16.80 Merrill Lynch & Co.,Inc. 59018YDJ7 01/12/01 01/07/08 100.000 0.250 0.231356 0.238484 0.245838 0.253426 0.261255 87.09 92.55 59018YKD2 06/27/01 06/27/08 100.000 0.250 0.225428 0.232223 0.239230 0.246455 0.253904 82.43 87.48 59018YNR8 10/03/02 04/03/06 100.000 1.500 0.101031 9.29 59018YUY5 11/29/04 11/29/06 100.000 0.000 0.081833 0.083005 27.05 Merrill Lynch & Co.,Inc. 59021J109 10/06/00 10/05/07 100.000 0.000 0.276870 0.285144 0.296901 0.305774 104.33 83.87 59021J141 06/03/03 06/03/10 100.000 0.000 0.106187 0.108048 0.109941 0.111868 0.113828 38.67 40.03 59021J208 11/20/00 11/20/07 100.000 0.000 0.282503 0.292611 0.303080 0.313924 104.36 98.63 59021J307 04/30/01 06/27/07 100.000 0.000 0.214852 0.221189 0.227713 78.54 40.08 59021J315 06/03/03 09/03/08 100.000 0.000 0.090406 0.091781 0.093176 0.094593 0.096031 33.12 34.14 59021J471 09/04/02 09/04/09 100.000 0.000 0.160443 0.164441 0.168538 0.172737 0.177041 59.43 62.42 59021J489 08/07/02 08/07/09 100.000 0.000 0.170516 0.174996 0.179593 0.184311 0.189153 63.50 66.88 59021J513 06/28/02 06/29/09 100.000 0.000 0.185426 0.190541 0.195796 0.201197 0.206747 67.69 71.48 59021J596 05/03/02 05/04/09 100.000 0.000 0.211067 0.217554 0.224240 0.231131 0.238235 77.90 82.76 59021J679 03/28/02 03/30/09 100.000 0.000 0.217155 0.223986 0.231032 0.238300 0.245796 80.67 85.82 59021J695 03/28/02 03/30/09 100.000 0.000 0.217155 0.223986 0.231032 0.238300 0.245796 80.67 85.82 59021J794 01/16/02 01/16/09 100.000 0.000 0.192817 0.198314 0.203968 0.209782 0.215763 72.24 76.42 59021J877 09/28/01 09/29/08 100.000 0.000 0.190360 0.195607 0.200998 0.206538 0.212230 70.45 74.39 59021J885 08/31/01 08/29/08 100.000 0.000 0.192898 0.199438 0.203953 0.210868 0.214469 72.98 77.02 59021JAA7 05/28/02 05/28/09 100.000 1.000 0.205020 0.210479 0.216107 0.221907 0.227886 75.16 79.23 Merrill Lynch & Co.,Inc. 59021S489 05/10/05 05/10/12 100.000 4.200 0.116667 0.116667 0.116667 0.116667 0.116667 42.00 42.00 59021S497 05/10/05 11/13/06 100.000 0.000 0.102688 0.104552 32.37 59021S612 04/04/05 06/04/09 100.000 0.000 0.115866 0.118219 0.120619 0.123068 0.125567 42.26 44.00 59021S695 03/08/05 03/08/10 100.000 VARIES 0.132324 0.132300 0.132276 0.132250 0.132225 47.63 47.61 59021S752 02/04/05 02/05/07 100.000 0.000 0.090132 0.091571 0.093033 33.13 3.16 59021S778 02/04/05 02/04/10 100.000 3.800 0.105556 0.105556 0.105556 0.105556 0.105556 38.00 38.00 59021S786 01/06/05 07/13/06 100.000 0.000 0.081235 0.082405 15.81 59021S794 12/10/04 01/02/08 100.000 0.000 0.102646 0.104505 0.106397 0.108324 0.110286 37.96 39.35 59021S836 11/30/04 01/30/06 100.000 0.000 0.070030 2.03 59021S844 11/30/04 01/22/10 100.000 0.000 0.106256 0.108240 0.110262 0.112321 0.114419 39.25 40.73 59021S851 11/05/04 01/05/06 100.000 0.000 0.071070 .28 59021S877 11/30/04 11/30/09 100.000 VARIES 0.103168 0.103176 0.103152 0.103160 0.103136 37.14 37.14 Merrill Lynch & Co.,Inc. 59021W159 09/29/04 09/29/09 100.000 VARIES 0.110055 0.110034 0.110013 0.109991 0.109969 39.61 39.60 59021W183 11/01/04 04/30/12 100.000 0.000 0.115246 0.117545 0.119889 0.122280 0.124719 42.19 43.89 59021W217 08/31/04 08/31/11 100.000 0.000 0.115731 0.116712 0.120361 0.121382 0.124477 42.40 44.01 59021W225 08/31/04 08/31/09 100.000 3.940 0.110674 0.109444 0.110674 0.109444 0.110056 39.62 39.55 59021W290 08/04/04 08/04/09 100.000 VARIES 0.110583 0.110573 0.110562 0.110551 0.110540 39.80 39.80 59021W308 07/02/03 07/02/10 100.000 0.000 0.108841 0.110825 0.112845 0.114902 0.116996 40.26 41.74 59021W324 08/02/04 08/01/08 100.000 0.000 0.114513 0.116783 0.119098 0.121459 0.123866 42.32 44.02 59021W464 05/14/04 02/14/12 100.000 0.000 0.091903 0.093364 0.094849 0.096357 0.097890 33.75 34.83 59021W555 07/30/04 07/29/11 100.000 0.000 0.121126 0.123660 0.126247 0.128888 0.131585 44.84 46.74 59021W571 03/01/04 03/28/11 100.000 0.000 0.105203 0.107087 0.109004 0.110956 0.112943 38.57 39.96 59021W613 03/30/04 03/21/07 100.000 0.000 0.051415 0.051879 0.052346 18.69 4.19 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch & Co.,Inc. 59021W654 12/26/03 12/27/10 100.000 0.000 0.128719 0.131460 0.134259 0.137118 0.140038 46.85 48.87 59021W704 08/05/03 08/05/10 100.000 0.000 0.133294 0.136225 0.139221 0.142283 0.145412 49.38 51.57 59021W712 12/08/03 03/08/11 100.000 0.000 0.115247 0.117483 0.119761 0.122084 0.124452 42.40 44.06 59021W795 01/30/04 01/31/11 100.000 0.000 0.107692 0.109668 0.111681 0.113731 0.115819 39.73 41.20 59021W845 09/30/03 09/30/10 100.000 0.000 0.124468 0.127037 0.129660 0.132337 0.135069 45.74 47.65 59021W860 09/03/03 09/03/08 100.000 0.000 0.118097 0.120419 0.122787 0.125202 0.127664 43.49 45.21 59021WAA8 07/15/04 07/15/11 100.000 0.000 0.119582 0.122053 0.124575 0.127149 0.129776 44.32 46.17 United Mexican States 593048BN0 03/30/01 12/30/19 89.000 8.125 13.12 0.009675 0.010129 0.010604 0.011102 0.011623 3.57 3.91 Microcell Telecommunications 59501TAG1 06/20/96 06/01/06 43.193 VARIES 0.420600 63.09 59501TAL0 05/25/99 06/01/09 55.731 VARIES 0.333322 0.333321 0.333320 0.333319 0.333319 120.00 120.00 Mirant Corporation 604675AA6 05/31/01 06/15/21* 100.000 2.500 0.314911 1.57* Mississippi Home Corp. 60535JAD8 06/17/93 12/01/08 34.265 0.000 474.42 0.159097 0.164706 0.170513 0.176524 0.182748 58.63 62.83 60535JAH9 07/22/93 06/01/09 36.262 0.000 441.14 0.144327 0.149017 0.153859 0.158859 0.164022 53.09 56.59 Mississippi Home Corp. 60535MCB3 07/21/93 09/15/16 19.775 0.000 274.95 0.091626 0.094890 0.098270 0.101771 0.105396 34.28 36.76 J.P. Morgan & Co., Inc. 61688AAF5 02/26/97 04/15/27 10.165 0.000 97.29 0.042039 0.043664 0.045352 0.047105 0.048926 15.68 16.91 61688AAG3 04/24/97 04/24/27 8.845 0.000 90.10 0.040298 0.041961 0.043691 0.045494 0.047370 15.03 16.30 61688AAH1 05/21/97 05/15/27 9.170 0.000 90.46 0.040711 0.042366 0.044088 0.045880 0.047745 15.11 16.36 61688AAJ7 06/18/97 06/18/27 9.169 0.000 89.28 0.040725 0.042380 0.044101 0.045893 0.047757 15.00 16.25 61688AAK4 07/01/97 07/01/27 9.644 0.000 90.65 0.041316 0.042958 0.044666 0.046442 15.17 16.40 61688AAW8 06/30/98 06/30/28 12.693 0.000 85.77 0.041350 0.042797 0.044295 0.045846 0.047450 15.15 16.23 Morgan Stanley Dean Witter & Co. 617446DJ5 05/19/99 05/30/06 98.259 0.000 0.250988 37.40 617446DM8 08/06/99 08/06/06 98.266 0.000 0.293378 0.303764 64.95 617446DP1 10/19/99 10/19/06 98.266 0.000 0.291628 0.301908 85.84 617446DZ9 07/19/00 07/30/07 100.000 0.250 0.281485 0.291342 0.301553 0.312130 106.14 64.93 617446GC7 11/17/00 11/30/07 100.000 0.250 0.259983 0.267149 0.277545 0.285211 96.77 93.83 617446GD5 11/17/00 11/30/07 100.000 0.250 0.259983 0.267149 0.277545 0.285211 96.77 93.83 617446GF0 01/24/01 01/30/08 100.000 0.250 0.215660 0.221924 0.228376 0.235021 0.241866 80.69 85.45 617446GK9 04/03/01 04/15/08 100.000 0.250 0.205692 0.211432 0.217338 0.223415 0.229668 75.97 80.27 617446GN3 05/02/01 05/30/08 100.000 0.250 0.210735 0.216723 0.222888 0.229234 0.235766 77.32 81.78 617446GQ6 05/30/01 05/30/08 100.000 0.250 0.214621 0.220834 0.227234 0.233825 0.240613 78.77 83.41 617446GR4 08/21/01 12/30/08 100.000 1.250 0.188111 0.192399 0.196808 0.201339 0.205998 68.50 71.68 617446GT0 08/16/01 12/30/08 100.000 0.250 0.197419 0.202779 0.208291 0.213958 0.219784 72.05 76.02 617446GU7 09/27/01 12/30/08 100.000 0.250 0.171670 0.175826 0.180087 0.184455 0.188934 62.56 65.63 617446GV5 10/05/01 12/30/09 100.000 0.000 0.172894 0.177251 0.181718 0.186298 0.190993 63.03 66.25 617446GX1 11/08/01 12/30/08 100.000 0.000 0.149663 0.153018 0.156448 0.159955 0.163541 54.49 56.96 617446GY9 12/11/01 12/30/09 92.281 0.000 0.168047 0.172503 0.177076 0.181771 0.186590 61.31 64.60 617446HH5 08/05/02 12/15/09 100.000 1.000 0.185455 0.189948 0.194569 0.199322 0.204210 67.72 71.05 617446HP7 02/14/03 03/30/10 100.000 0.000 0.147125 0.150575 0.154105 0.157718 0.161415 54.22 56.79 617446HV4 03/12/03 03/31/08 100.000 0.000 0.108987 0.110353 0.112968 0.114384 0.116454 40.40 41.82 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617446HX0 03/18/03 06/30/08 100.000 0.000 0.111842 0.113878 0.115952 0.118063 0.120212 40.63 42.13 617446HZ5 04/28/03 09/15/10 100.000 0.000 0.147475 0.150976 0.154560 0.158229 0.161985 54.47 57.09 617446JB6 04/23/03 04/30/10 100.000 0.000 0.143115 0.146403 0.149766 0.153207 0.156727 52.52 54.96 617446JC4 04/25/03 04/30/08 100.000 0.000 0.118346 0.120635 0.122969 0.125348 0.127773 43.30 44.99 617446JE0 04/30/03 04/30/10 100.000 0.000 0.144657 0.148015 0.151452 0.154968 0.158565 53.10 55.59 617446JF7 05/28/03 12/30/10 100.000 0.000 0.121918 0.124335 0.126800 0.129313 0.131877 44.33 46.11 617446JG5 05/06/03 05/15/10 100.000 0.250 0.125999 0.128450 0.130951 0.133503 0.136109 46.03 47.84 617446JH3 05/21/03 05/30/10 100.000 0.000 0.106524 0.108395 0.110298 0.112235 0.114206 38.80 40.18 617446JJ9 07/10/03 06/30/08 100.000 0.000 0.099604 0.101251 0.102925 0.104626 0.106356 36.16 37.36 617446JL4 08/08/03 03/23/07 100.000 0.000 0.103583 0.105378 0.107205 37.97 8.79 617446JP5 11/25/03 12/30/10 100.000 1.500 0.161988 0.165222 0.168543 0.171953 0.175455 58.90 61.30 617446JQ3 12/26/03 12/30/10 100.000 2.000 0.123172 0.124604 0.126067 0.127561 0.129087 44.60 45.66 617446MD8 12/22/03 12/30/08 115.000 0.000 0.124024 0.126263 0.128543 0.130864 0.133227 45.06 46.70 617446MF3 01/28/04 01/30/11 100.000 1.000 0.119032 0.120899 0.122803 0.124747 0.126731 43.76 45.15 617446MG1 01/21/04 07/30/11 100.000 0.300 0.121520 0.123856 0.126241 0.128675 0.131159 44.88 46.63 617446MH9 02/25/04 04/30/11 100.000 2.000 0.120193 0.121541 0.122918 0.124322 0.125756 43.68 44.68 617446MJ5 02/17/04 07/30/11 102.625 0.300 0.126439 0.128915 0.131442 0.134023 0.136658 46.72 48.57 617446MK2 03/29/04 06/30/11 100.000 1.500 0.108323 0.109572 0.110844 0.112141 0.113462 39.22 40.14 617446ML0 03/22/04 05/15/10 121.125 0.250 0.125059 0.127138 0.129254 0.131407 0.133598 45.59 47.12 617446MM8 03/24/04 04/01/09 100.000 0.250 0.106431 0.108242 0.110086 0.111963 0.113875 38.97 40.31 617446MQ9 04/08/04 04/15/09 115.000 0.750 0.126373 0.128364 0.130393 0.132460 0.134567 46.16 47.63 617446SX8 12/06/04 12/30/11 100.000 0.500 0.130375 0.132996 0.135675 0.138415 0.141216 47.41 49.34 617446YM5 08/30/05 09/01/14 100.000 0.000 0.134661 0.137925 0.141268 0.144691 0.148198 49.86 52.30 Morgan Stanley Dean Witter & Co. 61744Y132 07/29/02 07/30/09 100.000 0.000 0.142620 0.145824 0.149100 0.152449 0.155874 52.90 55.30 61744Y140 03/27/03 06/15/10 100.000 0.000 0.150579 0.154169 0.157845 0.161609 0.165463 54.97 57.62 61744Y173 01/28/03 12/30/09 100.000 0.000 0.143418 0.146666 0.149988 0.153385 0.156859 52.22 54.61 61744Y181 12/17/02 03/30/09 100.000 0.000 0.141927 0.145129 0.148403 0.151751 0.155174 52.26 54.64 61744Y199 11/26/02 03/30/09 100.000 0.000 0.154489 0.158237 0.162076 0.166008 0.170036 56.98 59.78 61744Y231 10/28/02 12/30/08 100.000 0.000 0.164352 0.168502 0.172757 0.177120 0.181593 59.92 62.99 61744Y249 10/16/02 10/30/09 100.000 0.000 0.153621 0.157300 0.161067 0.164924 0.168873 56.42 59.15 61744Y264 09/26/02 06/30/09 100.000 0.000 0.154902 0.158604 0.162394 0.166275 0.170248 56.44 59.17 61744Y280 08/27/02 02/28/09 100.000 0.000 0.167861 0.169422 0.176712 0.178356 0.185009 62.65 65.82 61744Y322 06/26/02 12/30/08 100.000 0.000 0.154101 0.157730 0.161446 0.165248 0.169141 56.14 58.81 61744Y348 06/11/02 12/30/08 100.000 0.000 0.161519 0.165474 0.169525 0.173675 0.177927 58.87 61.78 61744Y363 05/10/02 08/30/08 100.000 0.000 0.165104 0.168380 0.173614 0.177059 0.181564 61.92 64.99 Morgan Stanley 61745ETQ4 02/28/06 03/01/11 100.000 VARIES 0.139828 0.137539 0.137764 0.136383 0.137800 42.25 50.03 61745EUA7 10/03/06 10/03/16 100.000 VARIES 0.153054 0.151148 0.149190 13.47 54.42 Morgan Stanley 61746BCS3 02/09/06 02/11/13 100.000 0.000 0.148594 0.148639 0.152614 0.156696 0.160888 48.42 56.83 61746BCT1 02/27/06 02/27/13 100.000 0.000 0.148931 0.152923 0.157023 0.161232 45.77 56.82 Morgan Stanley 61746S190 01/27/04 03/30/11 100.000 1.875 0.121542 0.123003 0.124494 0.126018 0.127573 44.29 45.37 61746S273 10/26/04 10/30/11 100.000 0.000 0.123102 0.125716 0.128386 0.131112 0.133897 45.11 47.05 61746S422 09/28/04 09/30/12 100.000 1.300 0.127781 0.129824 0.131912 0.134047 0.136230 46.74 48.27 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61746S539 08/27/04 03/30/11 100.000 0.000 0.129499 0.132376 0.135317 0.138323 0.141396 47.67 49.81 61746S646 07/28/04 01/30/11 100.000 0.000 0.134499 0.137609 0.140790 0.144046 0.147376 49.93 52.26 61746S703 02/25/04 12/30/11 100.000 0.400 0.134974 0.137765 0.140618 0.143536 0.146520 49.10 51.15 61746S778 04/28/04 12/30/11 100.000 0.000 0.147094 0.150687 0.154367 0.158137 0.161999 53.61 56.26 61746S877 03/29/04 12/30/11 100.000 0.500 0.119721 0.121864 0.124051 0.126283 0.128559 43.49 45.06 61746SAA7 03/10/04 03/31/09 100.000 0.000 0.109069 0.111091 0.113151 0.115248 0.117385 40.00 41.50 61746SAC3 04/05/04 04/15/09 100.000 0.000 0.104467 0.106328 0.108222 0.110150 0.112113 38.23 39.60 61746SAW9 10/12/04 10/30/09 100.000 0.250 0.117623 0.119875 0.122172 0.124517 0.126909 43.03 44.69 61746SBD0 11/30/04 12/30/11 100.000 0.250 0.128592 0.131284 0.134036 0.136848 0.139723 46.78 48.76 61746SBF5 06/30/05 01/04/07 100.000 0.000 0.109054 0.111193 0.113375 40.41 .34 61746SBG3 07/27/05 07/22/08 100.000 0.000 0.122915 0.125559 0.128337 0.131176 0.134078 45.59 47.63 61746SBH1 07/22/05 01/22/07 100.000 0.000 0.116561 0.119007 0.121504 43.19 2.55 61746SBJ7 08/30/05 08/31/08 100.000 0.000 0.129020 0.130517 0.135014 0.136580 0.140497 47.44 49.55 61746SBK4 10/03/05 10/03/08 100.000 0.000 0.125217 0.128039 0.130925 0.133876 0.136893 46.09 48.19 61746SBM0 11/02/05 11/02/07 100.000 0.000 0.129544 0.132565 0.135656 0.138819 47.54 41.40 61746SBT5 12/05/05 12/05/07 100.000 0.000 0.131591 0.134708 0.137898 0.141165 48.10 46.65 61746SBU2 01/06/06 07/06/11 100.000 VARIES 0.142901 0.143376 0.144157 0.146577 50.81 52.32 61746SBW8 02/03/06 02/04/08 100.000 0.000 0.134522 0.134542 0.137799 0.141136 0.144554 44.61 51.20 61746SBZ1 01/30/06 01/30/13 100.000 0.000 0.145468 0.149277 0.153186 0.157197 48.73 55.64 61746SCA5 03/03/06 03/03/08 100.000 0.000 0.143251 0.146945 0.150734 0.154620 43.12 54.49 61746SCJ6 05/03/06 11/03/09 100.000 0.000 0.152003 0.156162 0.160434 0.164824 36.42 57.49 61746SCQ0 06/06/06 06/06/08 100.000 0.000 0.151981 0.156139 0.160410 0.164798 31.26 57.20 61746SCR8 07/06/06 12/30/08 100.000 0.000 0.153479 0.157578 0.161931 0.166404 26.86 57.52 61746SCS6 06/30/06 12/30/08 100.000 3.100 0.073866 0.075993 0.078181 0.080432 13.37 27.76 61746SCT4 06/30/06 03/20/10 100.000 0.000 0.159681 0.161721 0.166369 0.171151 29.11 60.01 61746SCV9 08/04/06 02/04/08 100.000 0.000 0.154795 0.159108 0.163541 22.75 57.79 61746SCW7 09/05/06 03/05/09 100.000 0.000 0.147617 0.151540 0.155566 17.12 54.77 61746SCX5 10/03/06 04/03/09 100.000 0.000 0.141151 0.144737 0.148414 12.42 52.10 Morgan Stanley 61746Y155 08/29/05 08/30/10 100.000 0.000 0.126178 0.128370 0.132039 0.134332 0.137417 47.18 49.28 61746Y288 06/28/05 06/30/11 100.000 0.500 0.121642 0.123957 0.126322 0.128737 0.131205 44.21 45.92 61746Y361 05/26/05 12/30/08 100.000 0.000 0.121094 0.123668 0.126297 0.128981 0.131723 44.06 45.96 61746Y478 04/27/05 10/30/10 100.000 1.000 0.129011 0.131320 0.133682 0.136098 0.138568 47.14 48.86 61746Y593 03/29/05 09/30/08 100.000 0.300 0.132258 0.135145 0.138099 0.141121 0.144214 48.66 50.82 61746Y650 02/24/05 09/01/10 100.000 0.000 0.125490 0.128261 0.131093 0.133987 0.136946 46.35 48.42 61746Y759 01/26/05 06/30/08 100.000 0.000 0.111592 0.113755 0.115960 0.118207 0.120499 40.57 42.15 61746Y858 12/28/04 12/30/11 100.000 0.000 0.128518 0.131363 0.134271 0.137243 0.140281 46.78 48.88 61746YAB2 12/30/04 12/30/12 100.000 0.000 0.137477 0.140723 0.144047 0.147449 0.150931 50.08 52.48 Morgan Stanley 61747S140 06/28/06 06/30/08 100.000 0.000 0.153031 0.153077 0.157294 0.161627 0.166079 28.02 57.41 61747S728 08/16/06 08/14/09 100.000 0.000 0.150719 0.154763 0.158962 20.35 56.12 61747S850 08/31/06 08/26/11 100.000 VARIES 0.151553 0.151671 0.151681 18.34 54.60 Morgan Stanley 61747Y162 06/30/06 06/24/11 100.000 5.771 0.160306 0.160306 0.160306 0.160306 29.02 57.71 61747Y394 02/23/06 02/23/10 100.000 0.000 0.146420 0.150279 0.154239 0.158304 45.59 55.84 61747Y543 01/20/06 01/10/08 100.000 0.000 0.135622 0.138749 0.142136 0.145606 46.78 51.73 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61747Y584 02/09/06 02/17/10 100.000 0.000 0.144894 0.145062 0.148846 0.152728 0.156711 47.22 55.34 61747Y733 11/28/05 05/30/09 100.000 0.000 0.134965 0.138243 0.141600 0.145039 0.148562 49.38 51.81 61747Y808 09/28/05 12/30/09 100.000 0.000 0.128765 0.131715 0.134733 0.137819 0.140977 46.89 49.07 Morgan Stanley 61748A114 06/24/03 06/15/10 100.000 0.000 0.116511 0.118736 0.121003 0.123314 0.125669 42.42 44.05 61748A122 08/22/03 08/30/09 100.000 0.000 0.141629 0.143276 0.148217 0.149941 0.154245 52.08 54.40 61748A486 07/24/06 07/24/09 100.000 0.000 0.155888 0.160262 0.164759 24.47 58.30 61748A494 07/31/06 07/20/10 100.000 0.000 0.154205 0.158248 0.162640 23.28 57.60 61748A528 06/29/06 06/30/09 100.000 0.000 0.159357 0.159384 0.163955 0.168658 0.173496 29.01 59.88 61748A585 04/28/06 04/20/10 100.000 0.000 0.152499 0.156499 0.160795 0.165208 37.34 57.73 61748A742 06/01/04 03/30/12 100.000 2.800 0.150799 0.152717 0.154686 0.156706 0.158779 54.99 56.42 61748A775 11/25/03 12/30/10 100.000 2.000 0.180926 0.184679 0.188545 0.192527 0.196627 65.82 68.60 61748A874 07/29/03 12/30/09 100.000 0.000 0.135237 0.138201 0.141230 0.144325 0.147489 49.22 51.41 61748AAA4 09/24/03 12/30/10 100.000 0.000 0.156204 0.160128 0.164151 0.168275 0.172503 56.95 59.85 61748AAC0 04/30/04 12/30/11 100.000 0.000 0.147139 0.150735 0.154418 0.158191 0.162057 53.62 56.28 61748AAD8 04/30/04 12/30/11 100.000 0.000 0.147139 0.150735 0.154418 0.158191 0.162057 53.62 56.28 61748AAF3 11/29/05 11/30/12 100.000 0.000 0.145583 0.149398 0.153312 0.157329 0.161451 53.34 56.17 61748AAG1 11/29/05 11/30/12 100.000 0.000 0.145583 0.149398 0.153312 0.157329 0.161451 53.34 56.17 Morgan Stanley 61748U300 04/21/06 04/19/10 100.000 0.000 0.154424 0.158669 0.163079 0.167612 38.91 58.56 Morton's Restaurant Group, Inc. 619429AA1 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* 619429AB9 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* 619429AC7 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* Multnomah County, OR 625506HH6 12/08/99 06/01/13 36.019 0.000 210.06 0.121503 0.126193 0.131064 0.136123 0.141377 44.87 48.40 625506HJ2 12/08/99 06/01/14 33.298 0.000 194.81 0.112747 0.117110 0.121642 0.126350 0.131240 41.64 44.93 625506HK9 12/08/99 06/01/15 30.863 0.000 180.56 0.104502 0.108546 0.112747 0.117110 0.121643 38.60 41.64 625506HL7 12/08/99 06/01/16 28.606 0.000 167.36 0.096860 0.100609 0.104502 0.108546 0.112747 35.77 38.60 625506HN3 12/08/99 06/01/20 21.112 0.000 123.52 0.071487 0.074253 0.077127 0.080112 0.083212 26.40 28.49 625506HP8 12/08/99 06/01/21 19.568 0.000 114.48 0.066259 0.068823 0.071487 0.074253 0.077127 24.47 26.40 625506HQ6 12/08/99 06/01/22 18.137 0.000 106.11 0.061413 0.063790 0.066259 0.068823 0.071487 22.68 24.47 625506HR4 12/08/99 06/01/23 16.811 0.000 98.35 0.056922 0.059125 0.061414 0.063790 0.066259 21.02 22.68 625506HS2 12/08/99 06/01/24 15.582 0.000 91.16 0.052760 0.054802 0.056923 0.059126 0.061414 19.49 21.02 625506HT0 12/08/99 06/01/25 14.442 0.000 84.49 0.048901 0.050794 0.052760 0.054802 0.056922 18.06 19.49 625506HU7 12/08/99 06/01/26 13.386 0.000 78.32 0.045326 0.047080 0.048902 0.050794 0.052760 16.74 18.06 625506HV5 12/08/99 06/01/27 12.407 0.000 72.59 0.042011 0.043637 0.045325 0.047080 0.048902 15.52 16.74 625506HW3 12/08/99 06/01/28 11.500 0.000 67.28 0.038939 0.040446 0.042011 0.043637 0.045326 14.38 15.52 625506HX1 12/08/99 06/01/29 10.659 0.000 62.36 0.036091 0.037488 0.038939 0.040446 0.042011 13.33 14.38 625506HY9 12/08/99 06/01/30 9.879 0.000 57.80 0.033451 0.034746 0.036091 0.037488 0.038938 12.35 13.33 Muzak Holdings Finance 62844VAC5 03/18/99 03/15/10 53.328 VARIES 0.361107 0.361107 0.361107 0.361106 0.361106 130.00 130.00 Nabors Industries, Inc. 629568AE6 02/05/01 02/05/21 60.841 0.000 78.87 0.047249 0.047840 0.048438 0.049043 0.049656 17.29 17.72 629568AF3 02/05/01 02/05/21 60.841 0.000 78.87 0.047249 0.047840 0.048438 0.049043 0.049656 17.29 17.72 Nash Finch Company 631158AC6 03/15/05 03/15/35 46.611 VARIES 0.105972 0.108399 0.110923 0.113548 0.116278 39.11 40.97 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Nash Finch Company 631158AD4 03/15/05 03/15/35 46.611 VARIES 0.105972 0.108399 0.110923 0.113548 0.116278 39.11 40.97 Neenah Foundry Company 640071AK2 09/30/03 09/30/10 91.536 11.000 19.73 0.027850 0.029642 0.031550 0.033580 0.035741 10.69 12.10 640071AN6 09/30/03 09/30/10 91.536 11.000 19.73 0.027850 0.029642 0.031550 0.033580 0.035741 10.69 12.10 Network Associates, Inc. 640938AA4 02/13/98 02/13/18 39.106 0.000 175.16 0.073374 0.075117 0.076901 0.078727 0.080597 27.22 28.52 Economic Development Authority, New Jersey 64578JAA4 12/22/05 07/01/15 60.170 0.000 .81 0.090458 0.092903 0.095413 0.097992 33.00 34.81 64578JAB2 12/22/05 07/01/16 56.811 0.000 .77 0.086043 0.088386 0.090792 0.093264 31.40 33.13 64578JAC0 12/22/05 07/01/17 53.569 0.000 .73 0.081803 0.084049 0.086356 0.088726 29.85 31.51 64578JAD8 12/22/05 07/01/18 50.436 0.000 .70 0.077723 0.079876 0.082088 0.084362 28.37 29.96 64578JAE6 12/22/05 07/01/19 47.535 0.000 .66 0.073714 0.075769 0.077881 0.080052 26.91 28.43 New Jersey Economic Development Authority 645913AJ3 06/30/97 02/15/06 55.059 0.000 441.10 0.188873 8.31 645913AK0 06/30/97 02/15/07 51.069 0.000 414.07 0.177711 0.184023 0.190559 66.86 8.38 645913AL8 06/30/97 02/15/08 47.236 0.000 388.63 0.167273 0.173281 0.179505 0.185953 0.192632 62.96 67.57 645913AM6 06/30/97 02/15/09 43.647 0.000 364.03 0.157107 0.162809 0.168718 0.174842 0.181188 59.16 63.54 645913AN4 06/30/97 02/15/10 40.322 0.000 340.27 0.147190 0.152580 0.158168 0.163960 0.169964 55.45 59.59 645913AP9 06/30/97 02/15/11 37.204 0.000 317.63 0.137714 0.142802 0.148078 0.153549 0.159222 51.90 55.81 645913AQ7 06/30/97 02/15/12 34.381 0.000 295.88 0.128493 0.133269 0.138223 0.143361 0.148690 48.44 52.11 645913AR5 06/30/97 02/15/13 31.673 0.000 275.49 0.119891 0.124383 0.129044 0.133880 0.138896 45.21 48.67 645913AS3 06/30/97 02/15/14 29.262 0.000 256.09 0.111586 0.115787 0.120146 0.124669 0.129362 42.09 45.32 645913AT1 06/30/97 02/15/15 27.085 0.000 237.87 0.103722 0.107637 0.111700 0.115916 0.120291 39.13 42.14 645913AU8 06/30/97 02/15/16 25.082 0.000 220.87 0.096359 0.100004 0.103786 0.107711 0.111785 36.36 39.16 645913AV6 06/30/97 02/15/17 23.177 0.000 204.99 0.089511 0.092908 0.096433 0.100093 0.103891 33.78 36.39 645913AW4 06/30/97 02/15/18 21.450 0.000 190.21 0.083099 0.086259 0.089539 0.092943 0.096477 31.36 33.79 645913AX2 06/30/97 02/15/19 19.886 0.000 176.50 0.077124 0.080058 0.083104 0.086266 0.089548 29.11 31.36 645913AY0 06/30/97 02/15/20 18.435 0.000 163.76 0.071571 0.074296 0.077124 0.080061 0.083109 27.01 29.11 645913AZ7 06/30/97 02/15/21 17.088 0.000 151.93 0.066411 0.068941 0.071568 0.074294 0.077125 25.06 27.01 645913BA1 06/30/97 02/15/22 15.838 0.000 140.94 0.061618 0.063967 0.066405 0.068937 0.071565 23.26 25.06 645913BB9 06/30/97 02/15/23 14.678 0.000 130.73 0.057164 0.059345 0.061609 0.063959 0.066399 21.58 23.25 645913BC7 06/30/97 02/15/24 13.601 0.000 121.24 0.053028 0.055052 0.057153 0.059335 0.061600 20.02 21.57 645913BD5 06/30/97 02/15/25 12.602 0.000 112.44 0.049185 0.051064 0.053015 0.055040 0.057142 18.57 20.01 645913BE3 06/30/97 02/15/26 11.676 0.000 104.27 0.045618 0.047361 0.049172 0.051051 0.053003 17.22 18.56 New Millennium Homes 647536AC5 04/11/03 12/31/07 86.094 0.000 77.67 0.083354 0.084686 0.086040 0.087415 30.25 31.14 The City of New York 649653MG4 05/27/93 05/15/06 35.938 0.000 611.82 0.214953 28.80 The City of New York 649654NK2 05/27/93 05/15/07 32.768 0.000 568.64 0.200819 0.209002 0.217518 74.54 29.15 649654NL0 05/27/93 05/15/08 29.863 0.000 527.18 0.187045 0.194751 0.202775 0.211129 0.219827 69.45 75.29 The City of New York 649655LL9 05/27/93 05/15/09 27.086 0.000 488.19 0.174193 0.181465 0.189041 0.196934 0.205155 64.70 70.22 649655LN5 05/27/93 05/15/10 24.595 0.000 450.84 0.161613 0.168433 0.175541 0.182948 0.190669 60.05 65.22 Nextlink Communications 65333HAQ6 11/17/99 12/01/09* 55.257 VARIES 0.333097 5.00* Nexstar Finance Holdings, Inc. 65335BAD6 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Nexstar Finance Holdings, Inc. 65335BAE4 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 65335BAF1 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 NorAm Energy Corporation 655419AC3 06/17/96 03/15/12 80.000 6.000 90.28 0.037637 0.039199 0.040825 0.042519 0.044284 14.17 15.37 Northwest Airlines, Inc. 667280AD3 11/04/03 11/15/23 100.000 7.625 0.211806 0.211806 0.211806 0.211806 0.211806 76.25 76.25 667280AE1 11/04/03 11/15/23 100.000 7.625 0.211806 0.211806 0.211806 0.211806 0.211806 76.25 76.25 667280AF8 01/29/04 02/01/09 96.227 10.000 12.17 0.019100 0.020151 0.021259 0.022428 0.023662 7.39 8.22 Northwest Airlines, Inc. 667281AQ2 12/12/03 04/01/09 85.817 10.500 43.11 0.066807 0.071622 0.076784 0.082318 0.088251 25.82 29.67 NOVA Gas Transmission 66978QAD3 10/17/95 10/17/25 100.000 VARIES 0.024740 0.024512 0.024549 0.024316 0.024213 8.97 8.89 Novi, Michigan 670012ZJ5 10/11/95 10/01/07 95.988 6.500 32.02 0.012113 0.012538 0.012976 0.013431 4.51 3.59 670012ZK2 10/11/95 10/01/08 93.268 6.250 47.64 0.018061 0.018698 0.019357 0.020039 0.020746 6.73 7.22 670012ZL0 10/11/95 10/01/09 90.349 6.000 60.85 0.023121 0.023942 0.024792 0.025672 0.026584 8.62 9.24 O'Sullivan Industries 67104RAA2 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAB0 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAC8 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAD6 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 Ocean Star 2004 PLC 675067AF9 10/07/04 11/13/10 100.000 VARIES 0.127353 0.125005 0.122527 0.120182 0.117882 45.19 43.46 Lee and DeKalb Counties 676865AC2 06/05/03 12/01/06 101.805 VARIES 0.085929 0.085691 28.31 Omnicom Group, Inc. 681919AH9 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AJ5 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AK2 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AL0 03/06/02 07/31/32 102.250 VARIES 0.232756 0.244533 0.248596 0.261174 0.265515 89.53 95.62 681919AM8 03/06/02 07/31/32 102.250 VARIES 0.232756 0.244533 0.248596 0.261174 0.265515 89.53 95.62 681919AN6 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AP1 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AQ9 06/10/03 07/01/38 100.000 VARIES 0.143553 0.203921 0.211404 0.219163 62.55 77.50 681919AR7 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AT3 06/30/06 07/01/38 100.000 VARIES 0.203877 0.203921 0.211404 0.219163 36.91 77.50 681919AU0 06/30/06 07/01/38 100.000 VARIES 0.203877 0.203921 0.211404 0.219163 36.91 77.50 Oneok, Inc. 682680400 01/28/03 02/16/08 100.000 VARIES 0.139540 0.139497 0.138711 0.137905 0.137081 50.11 49.57 682680AP8 01/28/03 02/16/08 100.000 VARIES 0.139540 0.139497 0.138711 0.137905 0.137081 50.11 49.57 Orange County, CA 68428LAV6 06/12/96 09/01/11 29.734 0.000 339.43 0.139991 0.145680 0.151601 0.157763 0.164175 52.81 57.19 68428LAW4 06/12/96 09/01/12 27.201 0.000 313.74 0.129699 0.135009 0.140537 0.146291 0.152281 48.95 53.04 68428LAX2 06/12/96 09/01/13 25.020 0.000 289.58 0.119805 0.124722 0.129841 0.135171 0.140719 45.22 49.01 68428LAY0 06/12/96 09/01/10 32.377 0.000 367.05 0.151145 0.157258 0.163618 0.170235 0.177120 57.01 61.71 68428LAZ7 06/12/96 09/01/14 23.005 0.000 267.17 0.110622 0.115174 0.119913 0.124847 0.129983 41.76 45.27 68428LBA1 06/12/96 09/01/15 21.183 0.000 246.44 0.102078 0.106283 0.110662 0.115220 0.119967 38.54 41.78 68428LBB9 06/12/96 09/01/16 19.464 0.000 227.21 0.094190 0.098079 0.102130 0.106347 0.110739 35.56 38.56 68428LBT0 03/03/97 09/01/11 34.929 0.000 313.65 0.132817 0.137725 0.142814 0.148091 0.153563 49.90 53.65 68428LBU7 04/01/97 09/01/12 30.602 0.000 293.37 0.127042 0.132015 0.137183 0.142554 0.148134 47.85 51.67 68428LBV5 04/01/97 09/01/13 28.339 0.000 271.69 0.117651 0.122257 0.127043 0.132017 0.137185 44.31 47.85 68428LBW3 01/17/97 09/01/14 26.499 0.000 255.53 0.108263 0.112420 0.116737 0.121219 0.125873 40.74 43.93 68428LBX1 04/01/97 09/01/15 24.175 0.000 232.96 0.100994 0.104963 0.109088 0.113374 0.117830 38.04 41.09 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Orange County, CA 68428LBY9 01/17/97 09/01/16 22.492 0.000 219.57 0.093272 0.096886 0.100640 0.104539 0.108590 35.11 37.89 68428LBZ6 01/17/97 09/01/17 20.762 0.000 203.40 0.086466 0.089825 0.093315 0.096940 0.100706 32.55 35.13 68428LCA0 01/17/97 09/01/18 19.198 0.000 188.40 0.080123 0.083240 0.086478 0.089842 0.093336 30.17 32.56 68428LCB8 01/17/97 09/01/19 17.826 0.000 174.64 0.074240 0.077124 0.080121 0.083233 0.086467 27.95 30.17 68428LCC6 01/17/97 09/01/20 16.480 0.000 161.73 0.068781 0.071456 0.074236 0.077123 0.080123 25.90 27.95 68428LCD4 01/17/97 09/01/21 15.306 0.000 149.94 0.063743 0.066219 0.068792 0.071464 0.074240 24.00 25.90 68428LCF9 01/17/97 09/01/06 50.677 0.000 447.37 0.186072 0.192761 45.86 68428LCG7 01/17/97 09/01/07 46.931 0.000 418.91 0.174632 0.180961 0.187520 0.194317 65.55 46.23 68428LCH5 01/17/97 09/01/08 43.315 0.000 392.32 0.164044 0.170055 0.176287 0.182746 0.189443 61.61 66.20 68428LCJ1 01/17/97 09/01/09 39.915 0.000 366.82 0.153845 0.159544 0.165455 0.171584 0.177941 57.80 62.17 68428LCK8 01/17/97 09/01/10 36.871 0.000 341.91 0.143669 0.149027 0.154585 0.160351 0.166331 54.00 58.10 Oregon Community College 68583RAC6 04/23/03 06/30/06 91.623 0.000 70.21 0.075735 13.56 68583RAD4 04/23/03 06/30/07 87.036 0.000 81.20 0.088375 0.089853 0.091355 32.08 16.35 68583RAE2 04/23/03 06/30/08 82.583 0.000 86.16 0.094316 0.096072 0.097861 0.099683 0.101539 34.27 35.56 68583RAF9 04/23/03 06/30/09 77.449 0.000 91.01 0.100319 0.102412 0.104549 0.106731 0.108958 36.50 38.03 68583RAG7 04/23/03 06/30/10 72.765 0.000 91.95 0.101818 0.104095 0.106423 0.108803 0.111237 37.07 38.75 68583RAH5 04/23/03 06/30/11 68.075 0.000 91.69 0.101960 0.104383 0.106863 0.109402 0.112002 37.15 38.93 68583RAJ1 04/23/03 06/30/12 63.740 0.000 89.85 0.100234 0.102721 0.105269 0.107881 0.110558 36.54 38.37 68583RAK8 04/23/03 06/30/13 59.557 0.000 87.35 0.097723 0.100240 0.102823 0.105471 0.108188 35.64 37.50 68583RAL6 04/23/03 06/30/14 55.504 0.000 84.42 0.094697 0.097222 0.099813 0.102474 0.105206 34.55 36.42 68583RAM4 04/23/03 06/30/15 51.363 0.000 81.38 0.091585 0.094122 0.096730 0.099411 0.102166 33.43 35.31 68583RAN2 04/23/03 06/30/16 47.583 0.000 77.85 0.087832 0.090341 0.092921 0.095575 0.098304 32.08 33.93 68583RAP7 04/23/03 06/30/17 44.239 0.000 74.00 0.083638 0.086076 0.088586 0.091169 0.093828 30.55 32.36 68583RAQ5 04/23/03 06/30/18 40.975 0.000 70.17 0.079461 0.081830 0.084269 0.086781 0.089367 29.04 30.79 68583RAR3 04/23/03 06/30/19 37.976 0.000 66.31 0.075217 0.077501 0.079854 0.082278 0.084775 27.49 29.19 68583RAS1 04/23/03 06/30/20 35.297 0.000 62.50 0.070981 0.073164 0.075414 0.077734 0.080124 25.95 27.57 68583RAT9 04/23/03 06/30/21 32.815 0.000 58.81 0.066860 0.068940 0.071085 0.073296 0.075576 24.45 25.99 68583RAU6 04/23/03 06/30/22 30.636 0.000 55.28 0.062888 0.064857 0.066887 0.068981 0.071141 23.00 24.46 68583RAV4 04/23/03 06/30/23 28.748 0.000 51.96 0.059122 0.060976 0.062888 0.064859 0.066893 21.62 23.00 Oregon School Boards Association 686053AD1 10/31/02 06/30/06 89.333 0.000 91.49 0.084780 15.18 686053AE9 10/31/02 06/30/07 85.050 0.000 98.88 0.092279 0.093894 0.095536 33.51 17.10 686053AF6 10/31/02 06/30/08 80.119 0.000 105.77 0.099485 0.101450 0.103453 0.105496 0.107579 36.17 37.62 686053AG4 10/31/02 06/30/09 75.501 0.000 107.94 0.102088 0.104263 0.106483 0.108751 0.111067 37.15 38.75 686053AH2 10/31/02 06/30/10 70.827 0.000 108.58 0.103212 0.105560 0.107961 0.110417 0.112929 37.58 39.31 686053AJ8 10/31/02 06/30/11 66.180 0.000 107.87 0.103024 0.105507 0.108049 0.110653 0.113319 37.54 39.37 686053AK5 10/31/02 06/30/12 62.040 0.000 105.15 0.100743 0.103261 0.105842 0.108488 0.111200 36.73 38.58 686053AL3 10/31/02 06/30/13 57.955 0.000 102.02 0.098043 0.100582 0.103187 0.105859 0.108601 35.76 37.63 686053AM1 10/31/02 06/30/14 53.950 0.000 98.51 0.094968 0.097513 0.100126 0.102809 0.105564 34.65 36.53 686053AN9 10/31/02 06/30/15 50.233 0.000 94.48 0.091321 0.093836 0.096421 0.099077 0.101806 33.33 35.20 686053AP4 10/31/02 06/30/16 46.574 0.000 90.34 0.087559 0.090041 0.092594 0.095218 0.097918 31.97 33.81 686053AQ2 10/31/02 06/30/17 43.110 0.000 86.00 0.083576 0.086007 0.088510 0.091085 0.093735 30.53 32.33 686053AR0 10/31/02 06/30/18 40.030 0.000 81.49 0.079342 0.081694 0.084116 0.086610 0.089177 28.99 30.74 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Oregon School Boards Association 686053AS8 10/31/02 06/30/19 37.212 0.000 77.00 0.075083 0.077343 0.079671 0.082069 0.084539 27.44 29.12 686053AT6 10/31/02 06/30/20 34.591 0.000 72.60 0.070897 0.073060 0.075288 0.077584 0.079950 25.92 27.52 686053BV0 04/21/03 06/30/06 91.623 0.000 70.24 0.075604 13.53 686053BW8 04/21/03 06/30/07 87.036 0.000 81.27 0.088263 0.089736 0.091235 32.04 16.33 686053BX6 04/21/03 06/30/08 82.583 0.000 86.25 0.094224 0.095976 0.097761 0.099579 0.101431 34.24 35.52 686053BY4 04/21/03 06/30/09 77.449 0.000 91.13 0.100241 0.102331 0.104464 0.106642 0.108865 36.47 38.00 686053BZ1 04/21/03 06/30/10 72.765 0.000 92.08 0.101754 0.104028 0.106353 0.108729 0.111159 37.05 38.72 686053CA5 04/21/03 06/30/11 68.075 0.000 91.83 0.101908 0.104327 0.106805 0.109341 0.111938 37.13 38.91 686053CB3 04/21/03 06/30/12 63.740 0.000 89.99 0.100192 0.102676 0.105222 0.107831 0.110505 36.52 38.35 686053CC1 04/21/03 06/30/13 59.557 0.000 87.49 0.097689 0.100204 0.102784 0.105431 0.108145 35.63 37.48 686053CD9 04/21/03 06/30/14 55.504 0.000 84.56 0.094670 0.097193 0.099783 0.102442 0.105171 34.54 36.41 686053CE7 04/21/03 06/30/15 51.363 0.000 81.52 0.091564 0.094100 0.096706 0.099385 0.102137 33.42 35.30 686053CF4 04/21/03 06/30/16 47.583 0.000 77.99 0.087817 0.090324 0.092902 0.095554 0.098282 32.07 33.93 686053CG2 04/21/03 06/30/17 44.239 0.000 74.13 0.083626 0.086064 0.088572 0.091154 0.093811 30.55 32.36 686053CH0 04/21/03 06/30/18 40.975 0.000 70.29 0.079453 0.081820 0.084258 0.086769 0.089354 29.03 30.79 686053CJ6 04/21/03 06/30/19 37.976 0.000 66.43 0.075212 0.077494 0.079846 0.082269 0.084766 27.49 29.19 686053CK3 04/21/03 06/30/20 35.297 0.000 62.62 0.070977 0.073160 0.075409 0.077728 0.080118 25.95 27.57 686053CL1 04/21/03 06/30/21 32.815 0.000 58.92 0.066859 0.068938 0.071082 0.073292 0.075572 24.45 25.99 686053CM9 04/21/03 06/30/22 30.636 0.000 55.39 0.062888 0.064856 0.066886 0.068979 0.071138 23.00 24.46 686053CN7 04/21/03 06/30/23 28.748 0.000 52.06 0.059123 0.060976 0.062888 0.064859 0.066892 21.62 23.00 PF.NET Communications 69333SAA9 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 69333SAB7 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 69333SAC5 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 PMA Capital Corporation 693419AA1 10/21/02 09/30/22 100.000 VARIES 0.229577 0.232559 0.238258 0.241518 0.245863 85.15 88.27 PPL Capital Funding 69352FAA3 05/09/01 05/18/06 100.543 VARIES 0.206879 28.34 Panamsat Holding Corporation 69831YAA3 10/19/04 11/01/14 60.103 VARIES 0.192293 0.202268 0.212759 0.223795 0.235403 72.25 79.94 69831YAB1 10/19/04 11/01/14 60.103 VARIES 0.192293 0.202268 0.212759 0.223795 0.235403 72.25 79.94 Park n' View, Inc. 700592AB4 05/27/98 05/15/08 93.800 13.000 38.93 0.023281 0.024932 0.026700 0.028593 0.030620 8.84 10.13 Paterson, City of 7031302A1 04/11/03 04/01/15 51.501 0.000 83.94 0.092206 0.094797 0.097461 0.100199 0.103015 34.13 36.08 7031302B9 04/11/03 04/01/16 47.811 0.000 80.14 0.088202 0.090746 0.093364 0.096058 0.098829 32.68 34.59 7031302C7 04/11/03 04/01/17 44.317 0.000 76.21 0.084022 0.086504 0.089061 0.091692 0.094402 31.15 33.02 703130Y99 04/11/03 04/01/06 91.771 0.000 75.12 0.079674 7.17 703130Z23 04/11/03 04/01/07 87.261 0.000 85.45 0.091288 0.092867 0.094473 33.43 8.50 703130Z31 04/11/03 04/01/08 82.728 0.000 90.54 0.097216 0.099087 0.100994 0.102938 0.104920 35.67 37.06 703130Z49 04/11/03 04/01/09 77.835 0.000 94.23 0.101689 0.103845 0.106047 0.108295 0.110590 37.39 38.99 703130Z56 04/11/03 04/01/10 72.826 0.000 96.04 0.104128 0.106523 0.108973 0.111479 0.114043 38.35 40.14 703130Z64 04/11/03 04/01/11 68.193 0.000 95.30 0.103665 0.106184 0.108764 0.111407 0.114114 38.23 40.11 703130Z72 04/11/03 04/01/12 63.812 0.000 93.25 0.101710 0.104288 0.106932 0.109642 0.112422 37.55 39.48 703130Z80 04/11/03 04/01/13 59.701 0.000 90.34 0.098751 0.101338 0.103993 0.106718 0.109514 36.49 38.42 703130Z98 04/11/03 04/01/14 55.492 0.000 87.37 0.095755 0.098359 0.101035 0.103783 0.106605 35.42 37.37 Penton Media, Inc. 709668AA5 06/28/01 06/15/11 97.749 10.375 7.39 0.005834 0.006148 0.006478 0.006826 0.007193 2.17 2.41 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Penton Media, Inc. 709668AB3 06/28/01 06/15/11 97.749 10.375 7.39 0.005834 0.006148 0.006478 0.006826 0.007193 2.17 2.41 City of Peoria, IL School District #150 713040FA6 08/15/05 01/01/11 77.688 0.000 13.94 0.104328 0.106805 0.109341 0.111938 38.00 39.83 713040FB4 08/15/05 01/01/12 73.711 0.000 13.48 0.100898 0.103339 0.105839 0.108400 36.76 38.56 713040FC2 08/15/05 01/01/13 69.865 0.000 12.98 0.097245 0.099637 0.102088 0.104599 35.44 37.20 Peoria County, Illinois 713165EE4 06/01/04 12/01/06 106.585 VARIES 0.104161 0.102768 34.12 713165EG9 06/01/04 12/01/08 107.011 VARIES 0.137051 0.136029 0.134982 0.133911 0.132815 49.09 48.34 713165EH7 06/01/04 12/01/09 108.053 VARIES 0.140816 0.139867 0.138896 0.137902 0.136885 50.47 49.76 Petro Stopping Centers Holdings, LP 71646DAE2 07/23/99 08/01/08 36.636 VARIES 0.476704 0.482315 0.488452 0.495162 0.502499 174.39 179.16 71646DAJ1 02/09/04 04/30/14 93.312 5.000 0.155961 0.161272 0.166802 0.172563 0.178564 57.76 61.79 71646DAK8 02/09/04 04/30/14 100.000 5.000 0.155961 0.161272 0.166802 0.172563 0.178564 57.76 61.79 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 109.74 0.055007 0.056847 0.058748 0.060713 0.062744 20.42 21.81 71781LAQ2 02/03/99 04/15/12 43.760 0.000 237.04 0.117591 0.121330 0.125188 0.129169 0.133275 43.58 46.40 71781LAR0 02/03/99 04/15/13 40.766 0.000 223.36 0.111014 0.114577 0.118254 0.122050 0.125967 41.16 43.84 71781LAS8 02/03/99 04/15/14 37.933 0.000 210.21 0.104672 0.108063 0.111564 0.115179 0.118910 38.82 41.37 71781LAT6 02/03/99 04/15/15 35.256 0.000 197.58 0.098570 0.101793 0.105121 0.108559 0.112108 36.56 38.99 71781LAU3 02/03/99 04/15/16 32.784 0.000 185.45 0.092662 0.095715 0.098869 0.102126 0.105491 34.38 36.68 71781LAV1 02/03/99 04/15/17 30.618 0.000 173.84 0.086915 0.089788 0.092755 0.095820 0.098987 32.25 34.42 71781LAW9 02/03/99 04/15/18 28.637 0.000 162.89 0.081468 0.084165 0.086950 0.089828 0.092801 30.23 32.26 71781LAX7 02/03/99 04/15/19 26.727 0.000 152.59 0.076363 0.078898 0.081517 0.084223 0.087019 28.34 30.25 71781LAY5 02/03/99 04/15/20 24.985 0.000 142.91 0.071542 0.073920 0.076378 0.078917 0.081541 26.55 28.35 71781LAZ2 02/03/99 04/15/21 23.403 0.000 133.86 0.067012 0.069240 0.071542 0.073920 0.076378 24.87 26.55 71781LBA6 02/03/99 04/15/22 21.872 0.000 125.33 0.062763 0.064853 0.067012 0.069243 0.071549 23.29 24.87 71781LBB4 02/03/99 04/15/23 20.437 0.000 117.33 0.058772 0.060731 0.062757 0.064849 0.067012 21.81 23.29 71781LBC2 02/03/99 04/15/25 17.878 0.000 102.83 0.051524 0.053245 0.055023 0.056861 0.058760 19.12 20.42 71781LBD0 02/03/99 04/15/26 16.697 0.000 96.21 0.048224 0.049837 0.051504 0.053227 0.055007 17.90 19.12 The Phoenix Companies, Inc. 71902EAA7 12/20/02 02/16/08 100.000 VARIES 0.210647 0.210593 0.209470 0.208305 0.207098 75.66 74.88 Pindo Deli Finance Mauritius Limited 722299AH7 10/01/97 10/01/27 92.750 10.875 0.007915 0.008384 0.008880 0.009406 0.009964 3.02 3.39 Pittsburgh, PA 7252085X6 03/14/97 03/01/06 57.478 0.000 0.200068 12.00 7252085Y4 03/14/97 09/01/06 55.533 0.000 0.193310 0.200076 47.61 7252085Z1 03/14/97 03/01/07 53.656 0.000 0.186769 0.193306 0.200071 70.01 12.00 7252086B3 03/14/97 03/01/24 47.086 VARIES 0.179028 0.185652 0.192521 0.199644 0.199733 67.26 71.46 Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25 100.000 VARIES 0.220399 0.225711 0.231228 0.236959 0.242912 81.45 85.51 728117AB8 03/15/05 03/15/25 100.000 VARIES 0.220399 0.225711 0.231228 0.236959 0.242912 81.45 85.51 Pliant Corporation 729136AG6 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 729136AH4 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 729136AJ0 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 Pope & Talbot, Inc. 732827AC4 07/30/02 06/01/13 86.415 8.375 28.05 0.027440 0.028881 0.030397 0.031994 0.033674 10.23 11.33 732827AD2 07/30/02 06/01/13 86.415 8.375 28.05 0.027440 0.028881 0.030397 0.031994 0.033674 10.23 11.33 Presidio Independent School District 741020DW8 05/14/98 02/15/12 38.054 0.000 270.02 0.125792 0.130288 0.134945 0.139769 0.144765 47.34 50.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Presidio Independent School District 741020DX6 05/14/98 02/15/13 35.472 0.000 251.71 0.117261 0.121452 0.125793 0.130290 0.134947 44.13 47.34 741020DY4 05/14/98 02/15/14 33.066 0.000 234.63 0.109306 0.113213 0.117260 0.121452 0.125793 41.14 44.13 741020DZ1 05/14/98 02/15/15 30.822 0.000 218.72 0.101893 0.105535 0.109308 0.113215 0.117262 38.35 41.14 741020EA5 05/14/98 02/15/16 28.486 0.000 203.94 0.095162 0.098587 0.102136 0.105813 0.109621 35.82 38.45 741020EB3 05/14/98 02/15/17 26.541 0.000 190.02 0.088664 0.091855 0.095162 0.098587 0.102136 33.38 35.82 741020EC1 05/14/98 02/15/18 24.728 0.000 177.04 0.082610 0.085583 0.088664 0.091856 0.095162 31.10 33.38 741020ED9 05/14/98 02/15/19 22.810 0.000 164.75 0.077000 0.079791 0.082683 0.085680 0.088786 29.00 31.14 741020EE7 05/14/98 02/15/20 21.242 0.000 153.43 0.071707 0.074307 0.077000 0.079791 0.082683 27.00 29.00 741020EF4 05/14/98 02/15/21 19.782 0.000 142.88 0.066779 0.069199 0.071707 0.074307 0.077000 25.15 27.00 741020EG2 05/14/98 02/15/22 18.422 0.000 133.06 0.062189 0.064443 0.066779 0.069199 0.071707 23.42 25.15 Pride International Inc. 74153QAC6 03/28/03 05/15/33 100.000 VARIES 0.262139 0.269229 0.276612 0.284299 0.292303 96.31 101.69 74153QAD4 03/28/03 05/15/33 100.000 VARIES 0.262139 0.269229 0.276612 0.284299 0.292303 96.31 101.69 Pride International Inc. 741932AE7 01/16/01 01/16/21 60.841 0.000 79.77 0.047249 0.047840 0.048438 0.049043 0.049656 17.31 17.75 Proassurance Corporation 74267CAA4 07/07/03 06/30/23 97.250 VARIES 0.266719 0.273648 0.280880 0.288429 0.296308 97.28 102.49 Providian Financial Corporation 74406AAB8 02/15/01 02/15/21* 45.289 0.000 96.53 0.060138 0.061341 3.93* 74406AAC6 05/27/03 05/15/08 100.000 4.000 0.364274 0.378196 0.392883 0.408377 0.424724 134.96 145.69 74406AAD4 03/19/04 03/15/16 100.000 VARIES 0.291673 0.301899 0.312610 0.323831 0.335584 109.06 116.99 Providian Corporation 74406QAM9 05/08/95 06/02/25 62.648 5.000 47.91 0.019059 0.019863 0.020701 0.021574 0.022484 7.05 7.66 Prudential Financial 744320AA0 12/18/01 11/15/06 100.000 VARIES 0.172139 0.171284 53.90 744320AB8 11/16/05 11/15/35 98.500 VARIES 0.167139 0.170891 0.174779 0.178785 0.182913 61.20 64.02 744320AC6 11/16/05 11/15/35 98.500 VARIES 0.167140 0.170892 0.174779 0.178786 0.182914 61.20 64.02 PURE Mortgages 2004 74622TAF6 12/10/04 11/30/09 100.000 VARIES 0.127693 0.126794 0.125921 0.125055 0.124174 45.75 45.12 QBE Funding Trust II 747271AA2 09/10/02 04/15/22 55.100 0.000 58.35 0.051538 0.052327 0.053129 0.053943 0.054770 18.82 19.40 QBE Funding Trust 74729CAA6 04/15/02 04/15/22 59.358 0.000 60.33 0.047418 0.048041 0.048671 0.049310 0.049957 17.28 17.73 QBE Funding Trust III 74729LAA6 09/24/04 09/24/24 67.165 0.000 17.19 0.038064 0.038445 0.038830 0.039218 0.039610 13.85 14.12 Quicksilver Resources 74837RAA2 11/01/04 11/01/24 98.500 VARIES 0.193801 0.198583 0.203527 0.208637 0.213921 71.21 74.81 74837RAB0 11/01/04 11/01/24 98.500 VARIES 0.193801 0.198583 0.203527 0.208637 0.213921 71.21 74.81 RC Trust I 749387403 05/09/01 05/15/06 100.000 VARIES 0.208146 27.89 R.J.Tower Corporation 74962JAD1 06/13/03 06/01/13 97.205 12.000 4.32 0.005574 0.005922 0.006292 0.006685 0.007103 2.09 2.36 RSL Communications, PLC 74972EAH1 11/09/98 11/01/08 94.489 12.000 32.01 0.019064 0.020303 0.021623 0.023029 0.024526 7.24 8.21 Radio Unica Corporation 750408AC0 07/27/98 08/01/06 63.256 VARIES 0.326376 0.326375 68.54 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 0.265031 0.273284 0.281899 0.290890 0.300275 98.68 105.05 758750AB9 04/05/04 03/15/24 100.000 VARIES 0.265031 0.273284 0.281899 0.290890 0.300275 98.68 105.05 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 0.440943 0.459862 0.479710 0.500532 0.522377 166.25 180.97 Rhodia, SA 762397AK3 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 762397AL1 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 762397AM9 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 Roche Holdings, Inc. 771196AG7 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 771196AH5 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Roche Holdings, Inc. 771196AJ1 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 Rockwell ISD, TX 774285UV0 07/02/98 08/15/08 52.654 0.000 320.43 0.147895 0.152657 0.157571 0.162645 0.167881 55.42 59.04 Roper Industries, Inc. 776696AA4 12/29/03 01/15/34 39.502 1.482 0.080813 0.082200 0.083636 0.085123 0.086662 29.81 30.88 Royal Bank of Canada 78008EAC1 08/31/05 02/26/10 100.000 0.000 0.125588 0.128364 0.131266 0.134233 0.137268 46.42 48.54 78008EAK3 01/31/06 07/28/09 100.000 0.000 0.136328 0.139636 0.143062 0.146573 45.63 51.95 78008EAM9 01/31/06 01/31/11 100.000 0.000 0.137778 0.141195 0.144696 0.148285 46.12 52.53 78008EAQ0 02/28/06 08/28/09 100.000 0.000 0.141945 0.145571 0.149291 0.153105 43.46 54.00 78008EAR8 02/28/06 02/27/09 100.000 0.000 0.141290 0.142521 0.148589 0.149904 43.53 54.06 78008EAX5 03/31/06 03/31/11 100.000 0.000 0.146389 0.150246 0.154205 0.158268 40.02 55.53 78008EAZ0 04/28/06 10/30/09 100.000 0.000 0.149756 0.149801 0.153839 0.157986 0.162245 36.65 56.64 78008EBC0 04/28/06 04/29/11 100.000 0.000 0.152689 0.152714 0.156911 0.161224 0.165655 37.37 57.81 78008EBE6 05/31/06 05/31/11 100.000 0.000 0.151944 0.156100 0.160369 0.164755 32.19 57.23 78008EBG1 05/31/06 05/30/08 100.000 0.000 0.145578 0.151933 0.153459 0.159301 31.50 55.97 78008EBJ5 05/31/06 11/30/09 100.000 0.000 0.150000 0.154050 0.158209 0.162481 31.78 56.47 78008EBK2 06/30/06 06/30/10 100.000 0.000 0.159722 0.164314 0.169038 0.173898 28.91 60.01 78008EBN6 06/30/06 06/30/11 100.000 0.000 0.160278 0.164902 0.169659 0.174554 29.01 60.23 78008EBP1 07/31/06 01/29/10 100.000 0.000 0.152065 0.156204 0.160480 22.96 56.77 78008EBT3 08/31/06 08/31/11 100.000 0.000 0.148314 0.150538 0.155376 17.95 54.65 78008ECA3 09/29/06 09/30/11 100.000 0.000 0.139919 0.139940 0.143464 0.147077 12.87 51.66 SG Holdings Inc. 784186AP3 01/31/01 01/31/06 100.000 0.000 0.206642 6.20 784186AQ1 02/28/01 02/28/06 100.000 0.000 0.197246 11.44 784186AR9 02/28/01 02/28/06 100.000 0.000 0.197246 11.44 784186AS7 03/30/01 03/31/06 100.000 0.000 0.192076 17.09 784186AT5 03/30/01 03/31/06 100.000 0.000 0.192076 17.09 784186AU2 04/30/01 04/28/06 100.000 0.000 0.185340 21.68 784186AV0 04/30/01 04/28/06 100.000 0.000 0.185340 21.68 784186AW8 05/31/01 05/31/06 100.000 0.000 0.193498 29.02 784186AX6 05/31/01 05/31/06 100.000 0.000 0.193498 29.02 784186AY4 06/29/01 06/30/06 100.000 0.000 0.195053 35.11 784186AZ1 06/29/01 06/30/06 100.000 0.000 0.195053 35.11 784186BA5 07/31/01 07/31/06 100.000 0.000 0.194089 0.202933 42.55 784186BB3 08/31/01 08/31/06 100.000 0.000 0.183245 0.185094 44.69 784186BC1 08/31/01 08/31/07 100.000 0.000 0.184367 0.187168 0.194306 0.197258 68.08 46.58 784186BD9 11/02/01 11/02/06 100.000 0.000 0.146344 0.147157 44.78 784186BE7 11/02/01 11/02/06 100.000 0.000 0.146344 0.147157 44.78 784186BF4 01/31/02 01/31/07 100.000 0.000 0.161084 0.167839 0.169221 61.27 5.08 784186BG2 03/15/02 03/15/07 100.000 0.000 0.154956 0.156055 0.162416 57.57 11.86 SG Structured Products 78422XBL6 10/31/02 10/31/08 100.000 0.000 0.110246 0.112213 0.114216 0.116254 0.118329 40.28 41.74 78422XBU6 02/28/03 02/29/08 100.000 1.250 0.139356 0.140161 0.144170 0.145029 0.148371 50.90 52.56 SLM Corporation 78442FCY2 10/01/04 10/01/14 100.000 VARIES 0.137510 0.137573 0.137637 0.137703 0.137771 49.53 49.57 St. Clair County, IL 788448HB7 11/03/04 12/01/06 103.698 VARIES 0.101029 0.100129 33.18 788448HC5 11/03/04 12/01/07 104.904 VARIES 0.114108 0.113228 0.112331 0.111416 40.87 36.90 St. Mary Land & Exploration Company 792228AA6 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ St. Mary Land & Exploration Company 792228AB4 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 792228AC2 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 Salomon Smith Barney Holdings, Inc. 79548GBA4 02/28/03 02/28/18 41.198 0.000 75.49 0.080487 0.081980 0.085387 0.086971 0.090079 29.84 31.59 Salomon, Inc. 79549GZN9 03/01/96 03/01/16* 47.900 VARIES 0.229492 13.77* 79549GZS8 04/04/96 04/04/16* 44.500 VARIES 0.254271 23.65* Compass Minerals International, Inc. 795559AD5 05/22/03 06/01/13 55.677 VARIES 0.249080 0.264024 0.279864 0.296654 0.314452 93.28 104.81 795559AE3 05/22/03 06/01/13 55.677 VARIES 0.249080 0.264024 0.279864 0.296654 0.314452 93.28 104.81 San Luis Obispo County 798703AQ7 07/02/03 09/01/18 45.439 0.000 63.10 0.074441 0.076403 0.078416 0.080482 0.082602 27.63 29.10 798703AR5 07/02/03 09/01/19 42.462 0.000 60.15 0.071034 0.072941 0.074899 0.076910 0.078975 26.38 27.81 798703AS3 07/02/03 09/01/20 39.603 0.000 57.20 0.067628 0.069477 0.071377 0.073329 0.075335 25.13 26.52 798703AT1 07/02/03 09/01/21 37.061 0.000 54.25 0.064192 0.065970 0.067797 0.069675 0.071605 23.86 25.20 798703AU8 07/02/03 09/01/22 34.700 0.000 51.38 0.060830 0.062533 0.064284 0.066084 0.067934 22.62 23.90 798703AV6 07/02/03 09/01/23 32.578 0.000 48.60 0.057568 0.059192 0.060861 0.062577 0.064341 21.41 22.64 798703AW4 07/02/03 09/01/24 30.563 0.000 45.94 0.054436 0.055982 0.057572 0.059207 0.060888 20.25 21.42 798703AX2 07/02/03 09/01/25 28.774 0.000 43.41 0.051452 0.052918 0.054427 0.055978 0.057573 19.14 20.25 798703AY0 07/02/03 09/01/26 27.018 0.000 40.99 0.048598 0.049990 0.051422 0.052895 0.054411 18.08 19.14 798703AZ7 07/02/03 09/01/27 25.534 0.000 38.74 0.045928 0.047244 0.048598 0.049990 0.051422 17.09 18.08 798703BA1 07/02/03 09/01/28 24.132 0.000 36.61 0.043406 0.044649 0.045928 0.047244 0.048598 16.15 17.09 798703BB9 07/02/03 09/01/29 22.806 0.000 34.60 0.041022 0.042197 0.043406 0.044649 0.045928 15.27 16.15 798703BC7 07/02/03 09/01/30 21.553 0.000 32.70 0.038768 0.039879 0.041021 0.042197 0.043405 14.43 15.27 Sea Containers Ltd 811371AN3 05/04/04 05/15/12 97.369 10.500 3.76 0.006948 0.007330 0.007733 0.008159 0.008608 2.61 2.90 Selective Insurance Group, Inc. 816300AA5 09/24/02 09/24/32 38.012 1.615 0.075049 0.076046 0.077075 0.078138 0.079237 27.39 28.15 816300AB3 09/24/02 09/24/32 38.012 1.615 0.075049 0.076046 0.077075 0.078138 0.079237 27.39 28.15 Christian and Macon Counties, IL 821510AK0 04/01/03 12/01/06 103.939 VARIES 0.088952 0.088447 29.26 821510AL8 04/01/03 12/01/07 104.240 VARIES 0.103819 0.103329 0.102831 0.102323 37.26 33.84 821510AM6 04/01/03 12/01/08 104.513 VARIES 0.113063 0.112606 0.112140 0.111664 0.111179 40.59 40.26 821510AN4 04/01/03 12/01/09 104.283 VARIES 0.124728 0.124328 0.123920 0.123502 0.123075 44.81 44.51 Sinclair Broadcast Group, Inc. 829226AS8 05/20/03 07/15/18 100.000 VARIES 0.283023 0.289848 0.296989 0.304461 0.312277 105.44 110.80 829226AU3 05/20/03 07/15/18 100.000 VARIES 0.283023 0.289848 0.296989 0.304461 0.312277 105.44 110.80 829226AV1 06/15/05 09/15/12 81.000 6.000 10.29 0.053068 0.055644 0.058346 0.061178 0.064149 20.13 22.13 Solectron Corporation 834182AK3 05/08/00 05/08/20 57.912 0.000 96.59 0.051408 0.052115 0.052832 0.053558 0.054294 18.71 19.23 Sonic Automotive, Inc. 83545GAK8 11/23/05 11/30/10 98.125 4.250 .35 0.009335 0.009553 0.009776 0.010005 0.010239 3.41 3.57 Sovereign Bancorp, Inc. 846048205 02/26/04 03/01/34 100.000 VARIES 0.216990 0.220546 0.224235 0.228062 0.232031 79.63 82.35 Sprint Capital Corp. 852060AK8 08/10/01 08/17/06 100.000 VARIES 0.179265 0.181565 41.29 Steel Heddle Group, Inc. 858123AB8 05/26/98 06/01/09 51.337 VARIES 0.381935 0.381934 0.381934 0.381933 0.381932 137.50 137.50 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ STMicroelectronics N.V. 861012AF9 02/23/06 02/23/16 100.000 0.000 0.041666 0.041978 0.042293 0.042610 12.87 15.25 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 0.319003 0.318834 0.318656 0.318468 0.318271 114.78 114.65 TVN Entertainment Corp. 87307RAB3 07/29/98 08/01/08 92.930 14.000 0.018282 0.016374 0.014079 0.011349 0.008129 5.61 3.68 87307RAD9 07/29/98 08/01/08 92.930 14.000 0.018282 0.016374 0.014079 0.011349 0.008129 5.61 3.68 Tabletop Holdings, Inc. 87336NAA9 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 87336NAB7 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 Telemundo Group, Inc. 87943MAF5 02/26/96 02/15/06 91.270 VARIES 0.097192 4.27 Telemundo Holdings, Inc. 87944FAA0 08/12/98 08/15/08 57.120 VARIES 0.319440 0.319440 0.319440 0.319439 0.319439 115.00 115.00 87944FAB8 08/12/98 08/15/08 57.120 VARIES 0.319440 0.319440 0.319440 0.319439 0.319439 115.00 115.00 87944FAC6 08/10/01 08/15/08 79.837 VARIES 0.319429 0.319428 0.319427 0.319426 0.319425 114.99 114.99 87944FAD4 08/10/01 08/15/08 79.837 VARIES 0.319429 0.319428 0.319427 0.319426 0.319425 114.99 114.99 Telex Communications Holdings, Inc. 879571AA5 11/15/03 05/15/09 100.000 12.000 0.455895 0.483248 0.512243 0.542978 0.575556 171.64 192.85 879571AB3 11/15/03 05/15/09 100.000 12.000 0.455895 0.483248 0.512243 0.542978 0.575556 171.64 192.85 Telesystem International Wireless, Inc. 879946AE1 10/29/97 11/01/07 59.915 VARIES 0.291661 0.291660 0.291660 0.291660 105.00 87.50 Terex Corporation 880779AJ2 03/09/99 04/01/08 94.802 8.875 34.66 0.019199 0.020135 0.021117 0.022146 0.023226 7.25 7.98 Thermwood Corporation 883672AC1 04/27/99 04/27/14 45.454 12.000 54.97 0.048347 0.054906 0.062355 0.070814 0.080421 19.48 25.13 3M Company 88579YAA9 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 88579YAB7 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 88579YAC5 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 0.094343 0.098495 0.102828 0.107353 0.112076 36.12 39.37 Toyota Motor Credit Corp 892332206 09/08/06 09/08/08 100.000 VARIES 0.145405 0.149211 0.151062 16.43 53.67 Toys R Us, Inc. 892335AJ9 05/28/02 08/16/07 96.460 VARIES 0.224843 0.224236 0.223606 0.222950 80.67 50.19 Toyota Motor Credit Corp 89233PSP2 10/01/04 10/01/09 100.000 1.220 43.82 -0.052798 0.150028 -0.097562 13.73 89233PYB6 04/21/06 04/23/36 11.632 0.000 0.023550 0.023597 0.024458 0.025351 0.026276 5.96 9.09 89233PYG5 05/08/06 05/09/36 11.635 0.000 0.023500 0.023598 0.024459 0.025352 0.026277 5.54 9.06 89233PYX8 08/16/06 08/16/16 100.000 VARIES 0.173075 0.171232 0.169332 23.37 61.47 89233PYY6 08/17/06 08/17/09 100.000 0.000 0.143329 0.147027 0.150820 19.21 53.27 89233PZC3 09/01/06 09/01/16 100.000 VARIES 0.164399 0.162688 0.160927 19.73 58.46 Transmeridian Exploration, Inc. 89376NAA6 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAB4 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAC2 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAD0 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAE8 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAF5 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 TransOcean SedcoForex 893830AA7 05/24/00 05/24/20 57.912 0.000 95.77 0.051408 0.052115 0.052832 0.053558 0.054294 18.69 19.20 Trenton, City of 895130H96 03/13/03 04/01/06 91.538 0.000 77.42 0.079935 7.19 895130J29 03/13/03 04/01/07 87.375 0.000 85.49 0.088782 0.090274 0.091790 32.50 8.26 895130J37 03/13/03 04/01/08 82.851 0.000 91.13 0.095154 0.096943 0.098765 0.100622 0.102514 34.90 36.23 895130J45 03/13/03 04/01/09 78.228 0.000 94.20 0.098801 0.100827 0.102893 0.105003 0.107155 36.30 37.80 895130J52 03/13/03 04/01/10 73.222 0.000 96.55 0.101764 0.104038 0.106363 0.108741 0.111171 37.46 39.15 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Trenton, City of 895130J60 03/13/03 04/01/11 69.016 0.000 95.08 0.100469 0.102810 0.105206 0.107657 0.110165 37.02 38.76 895130J78 03/13/03 04/01/12 64.697 0.000 93.37 0.098942 0.101351 0.103819 0.106346 0.108936 36.49 38.29 895130J86 03/13/03 04/01/13 60.578 0.000 90.86 0.096502 0.098938 0.101436 0.103998 0.106623 35.62 37.44 895130J94 03/13/03 04/01/14 56.464 0.000 88.06 0.093772 0.096228 0.098749 0.101337 0.103992 34.65 36.49 895130K27 03/13/03 04/01/15 52.558 0.000 84.80 0.090500 0.092947 0.095462 0.098044 0.100696 33.47 35.30 895130K35 03/13/03 04/01/22 31.423 0.000 58.34 0.062883 0.064823 0.066822 0.068884 0.071009 23.34 24.80 Tri-Union Development 895728AA1 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 895728AB9 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 895728AC7 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36 100.000 VARIES 0.238485 0.243915 0.249764 0.255866 48.81 89.22 UBS AG 90261KBB5 04/30/02 04/30/09 100.000 0.000 0.182728 0.187708 0.192822 0.198077 0.203474 67.29 71.01 90261KBF6 05/29/02 05/29/09 100.000 0.000 0.174050 0.178602 0.183272 0.188065 0.192983 63.77 67.15 90261KBV1 10/31/02 11/07/07 100.000 0.000 0.117054 0.119257 0.121502 0.123790 42.78 37.59 90261KBY5 11/29/02 12/07/07 100.000 0.000 0.112537 0.114581 0.116663 0.118783 40.98 39.58 90261KBZ2 12/24/02 10/07/11 100.000 0.000 0.138424 0.141478 0.144600 0.147790 0.151050 50.90 53.17 90261KCK4 01/30/03 02/07/08 100.000 0.000 0.100757 0.102438 0.104147 0.105885 0.107652 37.06 38.31 90261KCN8 02/27/03 09/08/10 100.000 0.000 0.119255 0.121577 0.123944 0.126357 0.128817 43.88 45.60 90261KCZ1 03/31/03 04/08/10 100.000 0.000 0.120676 0.123051 0.125474 0.127944 0.130463 44.27 46.03 90261KDA5 04/07/03 10/07/09 100.000 0.000 0.110985 0.113010 0.115073 0.117173 0.119311 40.66 42.16 90261KDE7 04/30/03 05/07/10 100.000 0.000 0.117701 0.119966 0.122275 0.124628 0.127027 43.03 44.70 90261KDH0 05/30/03 06/07/10 100.000 0.000 0.096005 0.097536 0.099093 0.100674 0.102280 34.91 36.03 90261KDL1 05/30/03 08/29/08 100.000 0.000 0.082624 0.083307 0.084936 0.085639 0.086829 30.15 30.93 90261KDY3 06/30/03 07/08/10 100.000 0.000 0.093523 0.095001 0.096502 0.098027 0.099575 34.45 35.55 90261KED8 07/31/03 08/06/10 100.000 0.000 0.120355 0.122762 0.125217 0.127722 0.130276 44.47 46.26 90261KEV8 08/27/03 09/08/09 100.000 0.000 0.123302 0.125822 0.128395 0.131019 0.133698 45.42 47.29 90261KFE5 09/30/03 07/30/09 100.000 0.000 0.116571 0.118849 0.121172 0.123540 0.125955 43.07 44.77 90261KFS4 10/31/03 01/31/12 100.000 0.000 0.131626 0.134516 0.137469 0.140488 0.143572 48.79 50.95 90261KGC8 12/31/03 01/08/09 100.000 0.000 0.104394 0.106253 0.108145 0.110071 0.112031 38.57 39.95 90261KGT1 01/30/04 02/06/09 100.000 0.000 0.100439 0.102163 0.103917 0.105702 0.107516 36.97 38.25 90261KHK9 02/27/04 05/31/11 100.000 0.000 0.118311 0.120662 0.123060 0.125505 0.127998 43.16 44.89 90261KHL7 03/31/04 01/03/12 100.000 0.000 0.109175 0.111222 0.113308 0.115433 0.117598 40.41 41.94 90261KHS2 05/28/04 05/31/11 100.000 0.000 0.144633 0.148136 0.151724 0.155399 0.159163 52.92 55.51 90261KHW3 07/30/04 08/07/09 100.000 0.000 0.116715 0.119069 0.121471 0.123921 0.126421 43.13 44.88 90261KJA9 09/30/04 10/07/10 100.000 0.000 0.114803 0.117082 0.119406 0.121777 0.124194 42.13 43.82 90261KJE1 10/29/04 11/07/12 100.000 2.810 0.114137 0.113009 0.115642 0.114519 0.116564 41.54 42.05 90261KJV3 01/31/05 07/31/06 100.000 0.000 0.095769 0.097392 20.31 90261KJW1 02/28/05 05/31/11 100.000 0.000 0.130299 0.133254 0.136276 0.139366 0.142526 47.62 49.81 90261KKR0 04/29/05 10/27/06 100.000 0.000 0.104769 0.106709 31.36 90261KKU3 05/23/05 11/22/06 100.000 0.000 0.104378 0.106304 33.85 90261KKW9 06/30/05 12/30/11 100.000 0.000 0.117671 0.120113 0.122605 0.125149 0.127746 42.81 44.60 90261KLD0 06/30/05 12/29/06 100.000 0.000 0.105250 0.107208 38.03 90261KLE8 07/26/05 07/30/10 100.000 0.000 0.122831 0.125545 0.128319 0.131155 0.134054 45.54 47.57 90261KLN8 07/25/05 04/29/11 100.000 0.000 0.133296 0.136455 0.139689 0.143000 0.146389 48.95 51.30 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG 90261KLP3 08/04/05 08/04/08 100.000 0.000 0.123337 0.126076 0.128875 0.131736 0.134660 45.71 47.76 90261KLS7 09/27/05 09/27/07 100.000 0.000 0.122213 0.124902 0.127649 0.130458 44.99 34.46 90261KLU2 10/25/05 10/25/07 100.000 0.000 0.128993 0.131988 0.135053 0.138188 47.38 40.27 90261KLZ1 01/31/06 01/28/08 100.000 0.000 0.132898 0.136042 0.139296 0.142629 44.47 50.57 90261KMB3 02/24/06 08/24/07 100.000 0.000 0.140421 0.143970 0.147609 43.56 34.20 90261KMC1 02/24/06 08/24/07 100.000 0.000 0.140421 0.143970 0.147609 43.56 34.20 90261KMF4 03/29/06 03/28/08 100.000 0.000 0.144572 0.148314 0.152173 0.156133 39.67 54.81 90261KMJ6 04/26/06 04/29/08 100.000 0.000 0.147223 0.147289 0.151192 0.155199 0.159311 36.33 55.65 90261KMK3 05/30/06 05/30/08 100.000 0.000 0.149970 0.154019 0.158176 0.162446 31.77 56.46 90261KML1 05/23/06 05/30/08 100.000 0.000 0.148488 0.148643 0.152616 0.156695 0.160883 32.53 55.93 90261KMN7 06/07/06 06/09/08 100.000 0.000 0.152686 0.152733 0.156930 0.161243 0.165675 31.25 57.46 90261KMQ0 06/30/06 06/30/08 100.000 0.000 0.159103 0.163660 0.168347 0.173168 28.80 59.77 90261KMR8 07/28/06 07/30/08 100.000 0.000 0.153082 0.153129 0.157348 0.161684 23.43 57.18 90261KMU1 08/31/06 08/29/08 100.000 0.000 0.147555 0.150590 0.154567 17.85 54.52 90261KMX5 09/26/06 09/30/08 100.000 0.000 0.137688 0.138521 0.141235 0.144794 13.43 51.64 UBS AG 90261XAE2 09/27/02 09/28/09 100.000 0.000 0.119865 0.122172 0.124522 0.126918 0.129361 44.00 45.71 90261XAG7 12/22/04 12/22/14 100.000 VARIES 0.126097 0.125299 0.124615 0.124276 0.123929 45.24 44.79 90261XAH5 02/28/05 08/28/06 100.000 0.000 0.098347 0.100058 23.62 90261XAJ1 03/07/05 05/07/06 100.000 0.000 0.098629 12.43 90261XAL6 03/22/05 05/22/06 100.000 0.000 0.102993 14.52 90261XAN2 04/27/05 04/27/35 12.879 0.000 6.12 0.025727 0.026621 0.027546 0.028504 0.029494 9.54 10.21 90261XAP7 04/20/05 10/20/06 100.000 0.000 0.104677 0.106051 30.82 90261XAQ5 05/19/05 07/19/06 100.000 0.000 0.101722 0.103574 20.47 90261XAT9 05/27/05 11/27/06 100.000 0.000 0.104964 0.106911 34.57 90261XAU6 06/23/05 08/23/06 100.000 0.000 0.104254 0.106198 24.54 90261XAY8 07/18/05 10/18/06 100.000 0.000 0.109870 0.112022 31.92 90261XAZ5 07/28/05 09/28/06 100.000 0.000 0.111467 0.113689 30.16 90261XBA9 07/28/05 11/28/06 100.000 0.000 0.113163 0.115437 37.41 90261XBF8 08/30/05 10/30/06 100.000 0.000 0.116921 0.119364 35.40 90261XBS0 05/31/06 05/29/09 100.000 0.000 0.145833 0.149640 0.153568 0.157599 30.89 54.83 90261XBU5 06/08/06 06/08/07 100.000 0.000 0.147779 0.151710 30.09 23.82 90261XBX9 07/24/06 01/24/08 100.000 0.000 0.151389 0.155514 0.159752 23.77 56.56 UIH Australia/Pacific, Inc. 902745AC2 05/14/96 05/15/06 50.816 VARIES 0.394120 52.81 USF&G Corporation 903290AD6 03/03/94 03/03/09 51.298 0.000 355.41 0.106971 0.109378 0.111839 0.114355 0.116928 39.52 41.32 United Technologies Corp 913017AR0 11/13/89 11/15/19 98.974 8.875 2.48 0.000802 0.000824 0.000875 0.000900 0.000950 .30 .33 University of North Carolina Chapel Hill 914713KR2 08/14/91 02/15/10 19.000 0.000 500.87 0.170266 0.178081 0.186255 0.194804 0.203746 64.88 70.97 914713KS0 08/14/91 02/15/11 17.000 0.000 458.01 0.156651 0.163932 0.171550 0.179523 0.187867 59.73 65.41 914713KT8 08/14/91 02/15/12 16.000 0.000 418.66 0.142027 0.148518 0.155306 0.162404 0.169827 54.10 59.16 914713KU5 08/14/91 02/15/13 14.000 0.000 381.51 0.130904 0.137027 0.143437 0.150147 0.157171 49.93 54.71 914713KV3 08/14/91 02/15/14 13.000 0.000 348.92 0.119214 0.124743 0.130528 0.136581 0.142915 45.45 49.76 914713KW1 08/14/91 02/15/15 12.000 0.000 319.22 0.108792 0.113812 0.119063 0.124556 0.130303 41.47 45.38 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Upshur County, WV 916734AD8 12/30/93 04/01/10 96.023 8.750 23.32 0.008830 0.009238 0.009664 0.010110 0.010576 3.33 3.64 Uruguay, Republic 917288AK8 03/20/02 03/25/09 87.661 7.875 55.68 0.049120 0.051673 0.054359 0.057184 0.060157 18.65 20.63 917288AL6 05/29/03 11/18/08 85.000 7.875 59.64 0.074847 0.079211 0.083829 0.088717 0.093889 28.12 31.49 917288AM4 05/29/03 07/02/09 68.000 2.145 115.25 0.135371 0.141532 0.147974 0.154709 0.161750 52.10 56.95 917288AN2 05/29/03 01/02/10 68.000 2.036 105.38 0.123037 0.128247 0.133678 0.139339 0.145240 47.14 51.21 917288AT9 05/29/03 03/25/14 76.000 7.875 33.71 0.041647 0.044119 0.046738 0.049512 0.052450 15.93 17.87 917288AU6 05/29/03 05/04/14 73.000 7.250 37.58 0.046938 0.049681 0.052585 0.055657 0.058910 17.71 19.84 917288AV4 05/29/03 06/22/15 76.000 8.750 26.41 0.033993 0.036150 0.038443 0.040882 0.043475 12.67 14.32 917288AX0 05/29/03 01/20/17 73.000 7.625 25.04 0.030262 0.032019 0.033879 0.035847 0.037929 11.79 13.20 917288AY8 05/29/03 02/15/11 76.500 7.250 56.94 0.069574 0.073750 0.078178 0.082871 0.087845 26.97 30.30 917288AZ5 05/29/03 03/15/15 71.500 7.500 33.89 0.041845 0.044376 0.047060 0.049907 0.052926 16.07 18.08 917288BA9 05/29/03 01/15/33 100.000 7.875 0.121112 0.123773 0.126552 0.128143 0.129801 44.98 46.39 Valhi, Inc. 918905AC4 10/20/92 10/20/07 25.759 0.000 592.19 0.214438 0.224356 0.234732 0.245589 80.42 69.79 Vermilion & Edgar Counties, Illinois 923439CK7 07/07/04 12/01/06 102.850 VARIES 0.106692 0.106133 35.11 923439CL5 07/07/04 12/01/07 102.860 VARIES 0.125395 0.124941 0.124476 0.124001 45.03 40.99 923439CM3 07/07/04 12/01/08 102.103 VARIES 0.141992 0.141720 0.141441 0.141155 0.140861 51.05 50.85 923439CN1 07/07/04 12/01/09 103.843 VARIES 0.149786 0.149342 0.148887 0.148421 0.147941 53.82 53.49 923439CP6 07/07/04 12/01/10 103.260 VARIES 0.155136 0.154821 0.154498 0.154166 0.153825 55.77 55.54 923439CQ4 07/07/04 12/01/11 103.596 VARIES 0.164274 0.163966 0.163648 0.163321 0.162985 59.06 58.83 923439CR2 07/07/04 12/01/12 102.910 VARIES 0.170593 0.170377 0.170155 0.169925 0.169690 61.36 61.20 923439CS0 07/07/04 12/01/13 103.470 VARIES 0.174399 0.174168 0.173930 0.173686 0.173433 62.73 62.56 923439CT8 07/07/04 12/01/14 103.682 VARIES 0.177704 0.177486 0.177261 0.177030 0.176791 63.92 63.76 Verizon Global Funding Corporation 92343VAA2 05/15/01 05/15/21 55.126 0.000 0.158316 0.161554 0.170368 0.173852 0.182330 58.95 63.39 Veritas Capital Trust 92343W300 12/22/97 01/01/28 100.000 10.000 0.277778 0.277778 0.277778 0.277778 100.00 100.00 Verizon Global Funding Corporation 92344GAN6 05/15/01 05/15/21* 55.126 0.000 0.158315 21.21* 92344GAP1 05/15/01 05/15/21* 55.126 0.000 0.158274 21.21* Vermilion County, IL School District 118 923613CZ4 02/24/06 12/01/12 103.452 VARIES 0.154764 0.157010 0.161238 0.165579 0.153582 48.11 58.60 Vermilion County, IL School District No. 7 92407PAA8 05/10/06 12/01/08 103.805 VARIES 0.172906 0.173511 0.178713 0.184071 0.169283 40.22 65.02 92407PAB6 05/10/06 12/01/09 105.069 VARIES 0.177599 0.178229 0.183652 0.189240 0.174256 41.32 66.84 92407PAC4 05/10/06 12/01/10 106.058 VARIES 0.181381 0.182032 0.187636 0.193412 0.178382 42.20 68.31 92407PAD2 05/10/06 12/01/11 106.419 VARIES 0.186802 0.187491 0.193415 0.199526 0.184291 43.47 70.46 VoiceStream Wireless 92861LAD0 11/09/99 11/15/09 56.061 VARIES 0.329853 0.329853 0.329852 0.329852 0.329851 118.75 118.75 WCI Communities, Inc. 92923CAJ3 08/05/03 08/05/23 100.000 VARIES 0.273221 0.280437 0.287975 0.295848 0.304071 101.81 107.44 92923CAK0 08/05/03 08/05/23 100.000 VARIES 0.273221 0.280437 0.287975 0.295848 0.304071 101.81 107.44 WMG Holdigns,Inc. 92930MAE3 12/23/04 12/15/14 63.002 VARIES 0.182046 0.190693 0.199751 0.209238 0.219177 67.38 73.93 92930MAF0 12/23/04 12/15/14 63.002 VARIES 0.182047 0.190694 0.199751 0.209239 0.219177 67.38 73.93 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Wachovia Corporation 929903557 08/30/06 01/29/10 100.000 0.000 0.142893 0.145935 0.149689 17.29 53.02 Walter Industries, Inc. 93317QAB1 04/20/04 05/01/24 100.000 VARIES 0.228992 0.233829 0.238853 0.244072 0.249493 83.90 87.56 93317QAC9 04/20/04 05/01/24 100.000 VARIES 0.228992 0.233829 0.238853 0.244072 0.249493 83.90 87.56 Watson Pharmaceuticals 942683AB9 03/07/03 03/15/23 100.000 VARIES 0.203507 0.208189 0.213023 0.218015 0.223168 75.11 78.66 WebMD Corporation 94769MAD7 06/25/03 06/15/23 97.250 VARIES 0.252011 0.260148 0.268611 0.277413 0.286566 92.45 98.57 94769MAE5 06/25/03 06/15/23 97.250 VARIES 0.252011 0.260148 0.268611 0.277413 0.286566 92.45 98.57 94769MAF2 08/30/05 09/01/25 100.000 VARIES 0.188913 0.192385 0.195975 0.199687 0.203525 69.48 72.12 94769MAG0 08/30/05 09/01/25 100.000 VARIES 0.188913 0.192385 0.195975 0.199687 0.203525 69.48 72.12 Weimer Independent School District 948679DD4 12/16/97 08/15/06 56.735 0.000 392.86 0.172991 0.178742 39.79 948679DE2 12/16/97 08/15/07 52.647 0.000 371.54 0.164163 0.169702 0.175429 0.181349 61.63 40.36 Weirton Steel Corp. 948774AH7 06/18/02 04/01/08 78.200 VARIES 0.259321 0.259097 0.258863 0.258617 0.258359 93.27 93.09 Wells Fargo & Company 949746ET4 12/19/02 01/04/08 100.000 0.000 0.107948 0.109866 0.111818 0.113804 0.115826 39.89 41.32 949746EU1 12/23/02 01/04/08 100.000 0.000 0.107912 0.109829 0.111780 0.113766 0.115788 39.88 41.31 949746EV9 03/05/03 04/15/09 100.000 0.000 0.115751 0.117939 0.120167 0.122437 0.124751 42.40 44.02 949746FB2 05/05/03 05/05/10 100.000 0.000 0.117742 0.120011 0.122323 0.124679 0.127081 43.05 44.73 949746FG1 08/29/03 08/25/09 100.000 0.000 0.089760 0.091126 0.092512 0.093920 0.095349 32.91 33.92 949746FL0 12/29/03 01/08/10 100.000 0.000 0.103162 0.104978 0.106826 0.108707 0.110621 38.10 39.45 949746FN6 06/04/04 06/05/06 100.000 0.000 0.083988 12.93 949746FU0 04/30/04 05/05/11 100.000 0.000 0.091128 0.092555 0.094003 0.095474 0.096968 33.22 34.27 949746FV8 04/29/04 04/29/14 100.000 0.250 0.137890 0.140934 0.144049 0.147237 0.150499 50.57 52.83 949746FW6 05/25/04 10/25/12 100.000 2.350 0.153530 0.155869 0.158270 0.160734 0.163264 56.00 57.75 949746HZ7 07/07/04 10/07/11 100.000 2.900 0.145846 0.147513 0.149223 0.150976 0.152774 53.09 54.33 949746JA0 07/09/04 01/20/10 100.000 0.000 0.129115 0.131983 0.134914 0.137911 0.140974 47.93 50.08 949746JH5 11/05/04 11/05/07 100.000 0.000 0.094376 0.095927 0.097505 0.099108 34.43 29.93 949746JK8 12/07/04 12/07/11 100.000 0.000 0.130379 0.133306 0.136298 0.139358 0.142487 47.61 49.77 949746ND9 02/07/06 02/07/11 100.000 0.000 0.140557 0.144113 0.147760 0.151498 46.05 53.60 Dupage County, Illinois 962757LH1 12/28/04 12/30/06 92.911 0.000 34.99 0.099076 0.100909 35.90 White Settlement ISD 964559JB5 03/20/97 02/15/06 54.197 0.000 449.76 0.187844 8.27 964559JC3 03/20/97 02/15/07 50.112 0.000 423.68 0.177604 0.183909 0.190436 66.82 8.38 Whole Foods Market, Inc. 966837AC0 03/02/98 03/02/18 37.243 0.000 175.87 0.074915 0.076788 0.078708 0.080676 0.082693 27.76 29.16 Wild Oats Markets, Inc. 96808BAA5 05/25/04 05/15/34 100.000 VARIES 0.246767 0.253223 0.259945 0.266945 0.274233 90.60 95.50 96808BAB3 05/25/04 05/15/34 100.000 VARIES 0.246767 0.253223 0.259945 0.266945 0.274233 90.60 95.50 Will County, IL School District 122 968852FG3 11/19/97 11/01/16 23.888 0.000 202.29 0.093163 0.096750 0.100474 0.104343 0.108360 34.62 37.34 968852FH1 11/19/97 11/01/17 22.150 0.000 187.57 0.086383 0.089709 0.093163 0.096749 0.100474 32.10 34.62 Winstar Communications 975515AY3 04/10/00 04/15/10 48.990 VARIES 0.409711 0.409710 0.409709 0.409708 0.409707 147.50 147.49 975515AZ0 04/10/00 04/15/10 48.990 VARIES 0.409711 0.409710 0.409709 0.409708 0.409707 147.50 147.49 Wynn Las Vegas, LLC 983130AA3 10/30/02 11/01/10* 92.793 12.000 20.07 0.021687 0.023151 6.77* Yahoo, Inc. 984332AA4 04/09/03 04/01/08 96.550 0.000 18.76 0.019284 0.019352 0.019420 0.019489 0.019558 6.97 7.02 984332AB2 04/09/03 04/01/08 96.550 0.000 18.76 0.019284 0.019352 0.019420 0.019489 0.019558 6.97 7.02 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ York County, PA 986812LW3 12/28/95 02/01/11 35.767 0.000 349.70 0.132336 0.136922 0.141665 0.146574 0.151652 49.87 53.38 986812LX1 12/28/95 02/01/12 33.049 0.000 327.58 0.124325 0.128676 0.133179 0.137840 0.142664 46.87 50.21 986812LY9 12/28/95 02/01/13 30.649 0.000 306.15 0.116383 0.120480 0.124720 0.129110 0.133655 43.89 47.03 986812LZ6 12/28/95 02/01/14 28.302 0.000 286.00 0.108991 0.112860 0.116866 0.121015 0.125310 41.11 44.09 986812MA0 12/28/95 02/01/15 26.297 0.000 266.77 0.101747 0.105369 0.109120 0.113004 0.117027 38.39 41.17 986812MB8 12/28/95 02/01/16 24.378 0.000 248.73 0.094982 0.098378 0.101895 0.105537 0.109310 35.84 38.45 986812MC6 12/28/95 02/01/17 22.586 0.000 231.77 0.088615 0.091796 0.095091 0.098505 0.102041 33.45 35.89 986812MD4 12/28/95 02/01/18 20.780 0.000 215.68 0.082669 0.085662 0.088762 0.091975 0.095305 31.21 33.51 986812ME2 12/28/95 02/01/19 19.353 0.000 200.88 0.076994 0.079781 0.082669 0.085662 0.088763 29.07 31.21 986812MF9 12/28/95 02/01/20 18.025 0.000 187.09 0.071709 0.074304 0.076994 0.079781 0.082669 27.08 29.07 986812MG7 12/28/95 02/01/21 16.787 0.000 174.24 0.066786 0.069204 0.071709 0.074305 0.076994 25.22 27.08 986812MH5 12/28/95 02/01/22 15.635 0.000 162.28 0.062201 0.064453 0.066786 0.069204 0.071709 23.49 25.22 986812MJ1 12/28/95 02/01/23 14.561 0.000 151.14 0.057931 0.060028 0.062201 0.064453 0.066786 21.87 23.49 986812MK8 12/28/95 02/01/24 13.562 0.000 140.77 0.053955 0.055908 0.057932 0.060029 0.062201 20.37 21.87 Zenith National Insurance Corp. 989390AG4 03/30/03 03/30/23 100.000 VARIES 0.217677 0.216304 0.222185 0.220906 0.225791 79.62 81.20 989390AH2 03/30/03 03/30/23 100.000 VARIES 0.217677 0.216304 0.222185 0.220906 0.225791 79.62 81.20 Ziff Davis Media Inc. 98951UAD8 08/12/02 08/12/09 100.000 VARIES 0.510429 0.552376 0.578436 0.589897 0.582241 203.56 213.74 98951UAE6 08/12/02 08/12/09 100.000 VARIES 0.510429 0.552376 0.578436 0.589897 0.582241 203.56 213.74 Goldman Sachs Group,Inc. 9FI546712 08/12/05 08/03/09 100.000 0.000 0.130369 0.133275 0.136403 0.139604 0.142880 48.35 50.64 Microcell Telecommunications C55185AE9 05/25/99 06/01/09 55.731 VARIES 0.333322 0.333321 0.333320 0.333319 0.333319 120.00 120.00 Rhodia, SA F7813KAH4 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 Danka Business Systems G2652NAB5 06/29/01 04/01/08 28.000 10.000 0.361016 0.440740 0.538070 0.656894 0.801957 160.25 238.84 Deutsche Bank AG G2737TFA8 12/20/02 12/20/07 100.000 0.000 0.106251 0.108085 0.109950 0.111848 38.62 37.93 G2737TFB6 03/10/03 03/13/06 100.000 0.000 0.064678 4.66 G2737TFC4 03/10/03 09/12/06 100.000 0.000 0.072079 0.072959 18.25 Dolphin Telecom, PLC G28058AD0 05/18/99 05/15/09 50.892 VARIES 0.388882 0.388882 0.388881 0.388881 0.388880 140.00 140.00 NII Holdings, Inc. G6520PAA3 11/12/02 11/01/09 55.746 VARIES 0.445352 0.453501 0.462439 0.472242 0.482993 162.82 169.48 QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 60.33 0.047418 0.048041 0.048671 0.049310 0.049957 17.28 17.73 UBS AG G91654452 03/31/06 12/31/10 100.000 0.000 0.142552 0.142047 0.148128 0.149472 0.155014 39.26 54.32 G91654585 04/28/06 04/28/11 100.000 0.000 0.151623 0.155761 0.160012 0.164379 37.11 57.38 G91654627 05/31/06 06/30/11 100.000 0.000 0.150394 0.148610 0.155185 0.156810 0.162849 32.01 56.95 G91654643 04/28/06 04/30/10 100.000 0.000 0.150930 0.148515 0.155101 0.156740 0.162791 37.24 57.39 G91654676 05/19/06 05/21/10 100.000 0.000 0.150359 0.147953 0.154498 0.156115 0.162126 33.86 57.00 G91654718 05/31/06 09/30/11 100.000 0.000 0.148815 0.152349 0.155643 0.159882 32.32 56.91 UBS AG G9183D252 12/29/05 11/30/11 100.000 0.000 0.136809 0.139654 0.143093 0.146617 0.150227 49.96 52.37 G9183D526 01/31/06 01/31/12 100.000 0.000 0.135346 0.136401 0.142058 0.143166 45.50 51.85 G9183D641 01/27/06 06/30/11 100.000 0.000 0.131977 0.132464 0.137877 0.138868 0.143748 44.84 50.51 UBS AG G9213L852 11/30/05 02/28/11 100.000 0.000 0.133948 0.133352 0.138849 0.139897 0.144863 49.38 51.61 STMicroelectronics N.V. N8357EAF3 02/23/06 02/23/16 100.000 0.000 0.041666 0.041978 0.042293 0.042610 12.87 15.25 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 OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Advanced Accessory Holdings Corporation U00730AA6 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 Alaska Communcations Systems Holdings, Inc. U01173AA8 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 Anixter INTL, Inc. U03525AB5 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 ASG Consolidated LLC U04402AA8 10/19/04 11/01/11 63.700 VARIES 0.228397 0.241527 0.255413 0.270098 0.285626 86.21 96.40 Bank of America Corp. U0662KBL4 03/18/02 01/04/17 38.300 0.000 106.68 0.086857 0.089720 0.092677 0.095732 0.098887 32.81 35.01 Buffets Holdings, Inc. U08940AA3 05/18/04 01/31/11 56.873 VARIES 0.257722 0.275602 0.294722 0.315168 0.337033 101.59 116.17 Chukchansi Economic Development Authority U17133AA4 10/08/02 06/15/09 91.476 14.500 30.17 0.034281 0.037137 0.040231 0.043582 0.047213 12.95 15.20 Crum & Forster Holdings Corporation U22859AA7 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 Dayton Superior Corporation U23993AA3 06/16/00 06/15/09 95.575 13.000 20.85 0.015048 0.016004 0.017208 0.018302 0.019572 5.70 6.52 U23993AB1 06/16/00 06/15/09 95.575 13.000 20.85 0.015048 0.016004 0.017208 0.018302 0.019572 5.70 6.52 U23993AC9 03/15/03 09/15/08 98.088 10.750 8.30 0.009514 0.010048 0.010612 0.011208 0.011837 3.64 4.06 H & E Equipment Services U24432AB9 06/17/02 06/15/13 80.016 12.500 31.92 0.033808 0.036597 0.039616 0.042883 0.046420 12.77 14.96 Details Capital Corp. U24922AA1 11/18/97 11/15/07 54.595 VARIES 0.347212 0.347212 0.347211 0.347210 125.00 109.02 Dex Media, Inc. U24975AB7 11/10/03 11/15/13 64.314 VARIES 0.191971 0.200610 0.209637 0.219070 0.228928 71.48 78.05 U24975AC5 02/11/04 11/15/13 69.384 VARIES 0.186392 0.194191 0.202317 0.210783 0.219604 69.24 75.15 DIVA Systems Corporation U2539PAC1 02/19/98 03/01/08 50.100 VARIES 0.368673 0.369888 0.371186 0.372572 0.374051 133.24 134.22 E. Spire Communications U26851AA0 07/24/98 07/01/08 59.989 VARIES 0.295103 0.295101 0.295099 0.295097 106.24 106.24 Fedders North America U31334AB8 08/24/99 08/15/07 95.304 9.375 34.18 0.019926 0.020947 0.022021 0.023150 7.64 5.14 Focal Communications U31430AA6 02/18/98 02/15/08 55.565 VARIES 0.336802 0.336802 0.336802 0.336802 0.336801 121.25 121.25 Globe Holdings, Inc. U33975AA8 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 GATX Financial Corp. U3697RAA7 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 Great Lakes Acquisition U39022AA3 05/22/98 05/15/09 53.092 VARIES 0.364568 0.364567 0.364566 0.364565 0.364564 131.24 131.24 HM Publishing Corp. U43338AA7 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 Hollywood Casino Shreveport U4378HAA3 08/10/99 08/01/06 100.000 VARIES 0.386415 0.381287 80.22 Houghton Mifflin, LLC U44212AA3 05/15/06 05/15/11 99.000 VARIES 0.344169 0.372254 0.389608 0.419085 80.82 141.27 ICG Services, Inc. U4493DAB0 04/27/98 05/01/08 61.691 VARIES 0.272789 0.268341 0.272788 0.268341 0.271289 98.75 98.66 Intermedia Communications, Inc. U45855AE0 02/24/99 03/01/09 55.057 VARIES 0.340266 0.340266 0.340265 0.340264 0.340263 122.50 122.50 Jacobs Entertainment U46754AA2 02/08/02 02/01/09* 96.040 11.875 17.90 0.015742 0.016745 3.25* Jostens Holding Corp. U47995AA0 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 KI Holdings, Inc. U49400AA9 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 Language Line Holdings II, Inc. U51303AA0 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 Language Line Holdings II, Inc. U51304AA8 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Level 3 Communications U52782AB2 12/02/98 12/01/08 59.966 VARIES 0.291664 0.291663 0.291663 0.291663 0.291663 105.00 105.00 U52782AE6 02/29/00 03/15/10 53.308 VARIES 0.357612 0.357610 0.357608 0.357606 0.357604 128.74 128.74 Liberty Media Corp. U52892AD5 01/11/01 01/15/31 100.000 3.500 0.350548 0.362581 0.375186 0.388389 0.402219 132.45 141.93 Lyondell Chemical Co. U55193AB9 12/04/02 12/15/08 97.750 9.500 9.83 0.010484 0.011008 0.011559 0.012137 0.012745 3.89 4.28 Marquee Holdings, Inc. U57131AA9 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 Matria Healthcare, Inc. U57614AA4 07/09/01 05/01/08 93.500 11.000 36.60 0.029462 0.030785 0.033242 0.034734 0.037300 11.23 12.66 Morton's Restaurant Group, Inc. U61945AA6 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* Muzak Holdings Finance U62340AA9 03/18/99 03/15/10 53.328 VARIES 0.361107 0.361107 0.361107 0.361106 0.361106 130.00 130.00 Nextel Communications U64977AB4 02/11/98 02/15/08 61.471 VARIES 0.276384 0.276383 0.276383 0.276383 0.276383 99.50 99.50 Nexstar Finance, Inc. U6497AAA9 03/16/01 04/01/08 96.012 12.000 23.21 0.017856 0.019006 0.020230 0.021533 0.022919 6.85 7.76 Nexstar Finance Holdings, Inc. U6497BAC3 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 Nextlink Communications U6500EAE8 11/17/99 12/01/09* 55.257 VARIES 0.333097 5.00* Omnicom Group, Inc. U68191AF9 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 O'Sullivan Industries U68328AA8 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 Penton Media, Inc. U7100RAA9 06/28/01 06/15/11 97.749 10.375 7.39 0.005834 0.006148 0.006478 0.006826 0.007193 2.17 2.41 Petro Stopping Centers U71660AB7 07/23/99 08/01/08 36.636 VARIES 0.476704 0.482315 0.488452 0.495162 0.502499 174.39 179.16 Pliant Corporation U7263LAC1 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 Pope & Talbot, Inc. U7316MAA0 07/30/02 06/01/13 86.415 8.375 28.05 0.027440 0.028881 0.030397 0.031994 0.033674 10.23 11.33 Roche Holdings, Inc. U75000AE6 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 Compass Minerals International, Inc. U79616AB1 05/22/03 06/01/13 55.677 VARIES 0.249080 0.264024 0.279864 0.296654 0.314452 93.28 104.81 Tabletop Holdings, Inc. U81965AA0 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 Sinclair Broadcast Group, Inc. U82751AE5 05/20/03 07/15/18 100.000 VARIES 0.283023 0.289848 0.296989 0.304461 0.312277 105.44 110.80 Steel Heddle Group, Inc. U85799AA9 05/26/98 06/01/09 51.337 VARIES 0.381935 0.381934 0.381934 0.381933 0.381932 137.50 137.50 Telemundo Holdings, Inc. U8795AAA4 08/10/01 08/15/08 79.837 VARIES 0.319429 0.319428 0.319427 0.319426 0.319425 114.99 114.99 Thermadyne Holdings U88342AA5 05/22/98 06/01/08 54.374 VARIES 0.347202 0.347201 0.347199 0.347198 0.347197 124.99 124.99 Tritel PCS, Inc. U89678AA1 05/11/99 05/15/09 53.828 VARIES 0.354157 0.354157 0.354156 0.354155 0.354155 127.50 127.50 Vail Resorts, Inc. U90984AB8 11/21/01 05/15/09 95.404 8.750 21.26 0.017505 0.018348 0.019231 0.020156 0.021126 6.53 7.18 United Rentals, Inc. U91139AB8 12/24/02 04/15/08 97.045 10.750 14.67 0.015938 0.016855 0.017825 0.018851 0.019935 6.05 6.76 VoiceStream Wireless U92709AB7 11/09/99 11/15/09 56.061 VARIES 0.329853 0.329853 0.329852 0.329852 0.329851 118.75 118.75 WMG Holdings Corp. U97137AC4 12/23/04 12/15/14 63.002 VARIES 0.182047 0.190694 0.199751 0.209239 0.219177 67.38 73.93 Hynix Semiconductor, Inc Y3817WAK5 07/05/05 07/01/12 97.000 9.875 1.47 0.008808 0.009270 0.009756 0.010268 3.25 3.60 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2006 1st 2006 2nd 2006 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/06 Period Period Period 2006 ______________ _________ ________ _________ ___________ ________ _________ ________ ________ ________ _____________ U.S.Treasury 9128272M3 01/15/97 01/15/07 100.000 3.375% 257.29 -0.325766 0.121150 -0.005629 16.41 U.S.Treasury 9128273T7 01/15/98 01/15/08 100.000 3.625% 233.02 -0.319476 0.118811 -0.005520 16.09 U.S.Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625% 231.61 -0.042407 0.175482 -0.149072 16.08 U.S.Treasury 9128274Y5 01/15/99 01/15/09 100.000 3.875% 214.63 -0.314713 0.117039 -0.005438 15.85 U.S.Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875% 211.73 -0.041723 0.172649 -0.146666 15.82 U.S.Treasury 9128275W8 01/15/00 01/15/10 100.000 4.250% 183.99 -0.306772 0.114086 -0.005301 15.45 U.S.Treasury 9128276R8 01/15/01 01/15/11 100.000 3.500% 144.53 -0.296549 0.110284 -0.005124 14.94 U.S.Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375% 122.25 -0.038642 0.159901 -0.135836 14.65 U.S.Treasury 9128277J5 01/15/02 01/15/12 100.000 3.375% 121.85 -0.290671 0.108098 -0.005023 14.64 U.S.Treasury 912828AF7 07/15/02 07/15/12 100.000 3.000% 107.90 -0.287057 0.106754 -0.004960 14.46 U.S.Treasury 912828BD1 07/15/03 07/15/13 100.000 1.875% 84.59 -0.281017 0.104508 -0.004856 14.16 U.S.Treasury 912828BW9 01/15/04 01/15/14 100.000 2.000% 78.07 -0.279330 0.103881 -0.004827 14.07 U.S.Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375% 56.78 -0.273813 0.101829 -0.004731 13.79 U.S.Treasury 912828CP3 07/15/04 07/15/14 100.000 2.000% 56.78 -0.273813 0.101829 -0.004731 13.79 U.S.Treasury 912828CZ1 10/15/04 04/15/10 100.000 0.875% 51.49 -0.036206 0.149819 -0.127271 13.72 U.S.Treasury 912828DH0 01/15/05 01/15/15 100.000 1.625% 43.23 -0.270302 0.100523 -0.004671 13.62 U.S.Treasury 912828EA4 07/15/05 07/15/15 100.000 1.875% 24.11 -0.265349 0.098681 -0.004585 13.37 U.S.Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000% 0.096708 -0.004493 16.74 U.S.Treasury 912828ET3 01/15/06 01/15/16 100.000 2.000% 0.096708 -0.004493 16.74 U.S.Treasury 912828FB1 04/15/06 04/15/11 100.000 2.375% 0.142994 -0.121473 16.69 U.S.Treasury 912828FL9 07/15/06 07/15/16 100.000 2.500% -0.004416 -0.75 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 2006). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/06 03/31/06 10.01 01/01/18 03/31/18 26.27 04/01/06 06/30/06 21.38 04/01/18 06/30/18 25.98 07/01/06 09/30/06 31.92 07/01/18 09/30/18 25.73 10/01/06 12/31/06 42.40 10/01/18 12/31/18 25.44 01/01/07 03/31/07 42.05 01/01/19 03/31/19 25.20 04/01/07 06/30/07 41.59 04/01/19 06/30/19 24.95 07/01/07 09/30/07 41.23 07/01/19 09/30/19 24.67 10/01/07 12/31/07 40.87 10/01/19 12/31/19 24.43 01/01/08 03/31/08 40.34 01/01/20 03/31/20 24.19 04/01/08 06/30/08 39.81 04/01/20 06/30/20 23.94 07/01/08 09/30/08 39.30 07/01/20 09/30/20 23.68 10/01/08 12/31/08 38.79 10/01/20 12/31/20 23.43 01/01/09 03/31/09 38.30 01/01/21 03/31/21 23.20 04/01/09 06/30/09 37.89 04/01/21 06/30/21 22.93 07/01/09 09/30/09 37.48 07/01/21 09/30/21 22.70 10/01/09 12/31/09 37.00 10/01/21 12/31/21 22.46 01/01/10 03/31/10 36.61 01/01/22 03/31/22 22.21 04/01/10 06/30/10 36.22 04/01/22 06/30/22 21.98 07/01/10 09/30/10 35.83 07/01/22 09/30/22 21.73 10/01/10 12/31/10 35.45 10/01/22 12/31/22 21.50 01/01/11 03/31/11 35.07 01/01/23 03/31/23 21.27 04/01/11 06/30/11 34.69 04/01/23 06/30/23 21.03 07/01/11 09/30/11 34.33 07/01/23 09/30/23 20.80 10/01/11 12/31/11 33.96 10/01/23 12/31/23 20.56 01/01/12 03/31/12 33.60 01/01/24 03/31/24 20.34 04/01/12 06/30/12 33.24 04/01/24 06/30/24 20.10 07/01/12 09/30/12 32.88 07/01/24 09/30/24 19.88 10/01/12 12/31/12 32.59 10/01/24 12/31/24 19.66 01/01/13 03/31/13 32.24 01/01/25 03/31/25 19.43 04/01/13 06/30/13 31.89 04/01/25 06/30/25 19.21 07/01/13 09/30/13 31.56 07/01/25 09/30/25 18.99 10/01/13 12/31/13 31.27 10/01/25 12/31/25 18.77 01/01/14 03/31/14 30.94 01/01/26 03/31/26 18.56 04/01/14 06/30/14 30.60 04/01/26 06/30/26 18.34 07/01/14 09/30/14 30.27 07/01/26 09/30/26 18.13 10/01/14 12/31/14 30.00 10/01/26 12/31/26 17.92 01/01/15 03/31/15 29.68 01/01/27 03/31/27 17.72 04/01/15 06/30/15 29.35 04/01/27 06/30/27 17.51 07/01/15 09/30/15 29.09 07/01/27 09/30/27 17.31 10/01/15 12/31/15 28.77 10/01/27 12/31/27 17.11 01/01/16 03/31/16 28.46 01/01/28 03/31/28 16.92 04/01/16 06/30/16 28.20 04/01/28 06/30/28 16.72 07/01/16 09/30/16 27.89 07/01/28 09/30/28 16.53 10/01/16 12/31/16 27.63 10/01/28 12/31/28 16.34 01/01/17 03/31/17 27.33 01/01/29 03/31/29 16.16 04/01/17 06/30/17 27.07 04/01/29 06/30/29 15.97 07/01/17 09/30/17 26.78 07/01/29 09/30/29 15.80 10/01/17 12/31/17 26.52 10/01/29 12/31/29 15.62 (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/30 03/31/30 15.44 07/01/38 09/30/38 10.61 04/01/30 06/30/30 15.27 10/01/38 12/31/38 10.49 07/01/30 09/30/30 15.10 01/01/39 03/31/39 10.38 10/01/30 12/31/30 14.93 04/01/39 06/30/39 10.26 01/01/31 03/31/31 14.76 07/01/39 09/30/39 10.15 04/01/31 06/30/31 14.60 10/01/39 12/31/39 10.04 07/01/31 09/30/31 14.43 01/01/40 03/31/40 9.93 10/01/31 12/31/31 14.27 04/01/40 06/30/40 9.82 01/01/32 03/31/32 14.12 07/01/40 09/30/40 9.71 04/01/32 06/30/32 13.96 10/01/40 12/31/40 9.60 07/01/32 09/30/32 13.81 01/01/41 03/31/41 9.50 10/01/32 12/31/32 13.65 04/01/41 06/30/41 9.39 01/01/33 03/31/33 13.51 07/01/41 09/30/41 9.29 04/01/33 06/30/33 13.36 10/01/41 12/31/41 9.18 07/01/33 09/30/33 13.21 01/01/42 03/31/42 9.08 10/01/33 12/31/33 13.07 04/01/42 06/30/42 8.98 01/01/34 03/31/34 12.93 07/01/42 09/30/42 8.88 04/01/34 06/30/34 12.79 10/01/42 12/31/42 8.78 07/01/34 09/30/34 12.64 01/01/43 03/31/43 8.69 10/01/34 12/31/34 12.52 04/01/43 06/30/43 8.59 01/01/35 03/31/35 12.38 07/01/43 09/30/43 8.50 04/01/35 06/30/35 12.24 10/01/43 12/31/43 8.40 07/01/35 09/30/35 12.12 01/01/44 03/31/44 8.31 10/01/35 12/31/35 11.99 04/01/44 06/30/44 8.22 01/01/36 03/31/36 11.86 07/01/44 09/30/44 8.13 04/01/36 06/30/36 11.73 10/01/44 12/31/44 8.04 07/01/36 09/30/36 11.60 01/01/45 03/31/45 7.95 10/01/36 12/31/36 11.47 04/01/45 06/30/45 7.86 01/01/37 03/31/37 11.34 07/01/45 09/30/45 7.77 04/01/37 06/30/37 11.22 10/01/45 12/31/45 7.69 07/01/37 09/30/37 11.09 01/01/46 03/31/46 7.60 10/01/37 12/31/37 10.97 04/01/46 06/30/46 7.52 01/01/38 03/31/38 10.85 07/01/46 09/30/46 7.44 04/01/38 06/30/38 10.73 10/01/46 12/31/46 7.35 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 2006, 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 2006 - April 2007 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912795WH0 01/05/06 07/07/05 98.319 16.81 WJ6 01/12/06 07/14/05 98.303 16.97 912795TR2 01/17/06 01/03/06 99.840 1.60 912795WK3 01/19/06 07/21/05 98.271 17.29 WL1 01/26/06 07/28/05 98.210 17.90 WM9 02/02/06 08/04/05 98.180 18.20 WN7 02/09/06 08/11/05 98.139 18.61 WP2 02/16/06 08/18/05 98.126 18.74 WQ0 02/23/06 08/25/05 98.134 18.66 WR8 03/02/06 09/01/05 98.126 18.74 WS6 03/09/06 09/08/05 98.195 18.05 912795TT8 03/14/06 03/08/06 99.927 0.73 TS0 03/15/06 03/03/06 99.851 1.49 912795WT4 03/16/06 09/15/05 98.144 18.56 WU1 03/23/06 09/22/05 98.121 18.79 WV9 03/30/06 09/29/05 98.106 18.94 WW7 04/06/06 10/06/05 98.043 19.57 WX5 04/13/06 10/13/05 98.003 19.97 912795TU5 04/17/06 04/03/06 99.817 1.83 912795WY3 04/20/06 10/20/05 97.970 20.30 WZ0 04/27/06 10/27/05 97.944 20.56 912795XA4 05/04/06 11/03/05 97.914 20.86 XB2 05/11/06 11/10/05 97.899 21.01 XC0 05/18/06 11/17/05 97.879 21.21 XD8 05/25/06 11/25/05 97.911 20.89 XE6 06/01/06 12/01/05 97.899 21.01 XF3 06/08/06 12/08/05 97.884 21.16 XG1 06/15/06 12/15/05 97.886 21.14 XH9 06/22/06 12/22/05 97.866 21.34 XJ5 06/29/06 12/29/05 97.876 21.24 XK2 07/06/06 01/05/06 97.843 21.57 XL0 07/13/06 01/12/06 97.851 21.49 XM8 07/20/06 01/19/06 97.818 21.82 XN6 07/27/06 01/26/06 97.805 21.95 XP1 08/03/06 02/02/06 97.757 22.43 XQ9 08/10/06 02/09/06 97.725 22.75 XR7 08/17/06 02/16/06 97.704 22.96 XS5 08/24/06 02/23/06 97.702 22.98 XT3 08/31/06 03/02/06 97.684 23.16 XU0 09/07/06 03/09/06 97.674 23.26 XV8 09/14/06 03/16/06 97.651 23.49 912795TV3 09/15/06 09/01/06 99.798 2.02 912795XW6 09/21/06 03/23/06 97.669 23.31 XX4 09/28/06 03/30/06 97.674 23.26 XY2 10/05/06 04/06/06 97.639 23.61 XZ9 10/12/06 04/13/06 97.623 23.77 Section III-A (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912795YA3 10/19/06 04/20/06 97.598 24.02 YB1 10/26/06 04/27/06 97.606 29.39 YC9 11/02/06 05/04/06 97.583 24.17 YD7 11/09/06 05/11/06 97.558 24.42 YE5 11/16/06 05/18/06 97.563 24.37 YF2 11/24/06 05/25/06 97.554 24.46 YG0 11/30/06 06/01/06 97.553 24.47 YH8 12/07/06 06/08/06 97.565 24.35 YJ4 12/14/06 06/15/06 97.510 24.90 YK1 12/21/06 06/22/06 97.444 25.56 YL9 12/28/06 06/29/06 97.416 25.84 Discount to be Issue Price Reported as 2007 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912795YM7 01/04/07 07/06/06 97.426 25.74 YN5 01/11/07 07/13/06 97.419 25.81 YP0 01/18/07 07/20/06 97.426 25.74 YQ8 01/25/07 07/27/06 97.441 25.59 YR6 02/01/07 08/03/06 97.484 25.16 YS4 02/08/07 08/10/06 97.477 25.23 YT2 02/15/07 08/17/06 97.457 25.43 YU9 02/22/07 08/24/06 97.484 25.16 YV7 03/01/07 08/31/06 97.487 25.13 YW5 03/08/07 09/07/06 97.512 24.88 YX3 03/15/07 09/14/06 97.505 24.95 YY1 03/22/07 09/21/06 97.512 24.88 YZ8 03/29/07 09/28/06 97.568 24.32 912795ZA2 04/05/07 10/05/06 97.560 24.40 Section III-B STUDENT LOAN MARKETING ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- No Short-Term Discount Obligations Maturing in 2006 Section III-C FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385RH1 01/03/06 01/13/05 97.091 29.09 RJ7 01/04/06 01/10/05 97.068 29.32 RK4 01/05/06 01/10/05 97.090 29.10 RL2 01/06/06 01/11/05 97.060 29.40 RP3 01/09/06 04/07/05 97.422 25.78 RQ1 01/10/06 01/19/05 97.083 29.17 RR9 01/11/06 01/19/05 97.075 29.25 RS7 01/12/06 04/14/05 97.475 25.25 RT5 01/13/06 01/19/05 97.030 29.70 RX6 01/17/06 01/28/05 97.050 29.50 RY4 01/18/06 01/26/05 97.055 29.45 RZ1 01/19/06 01/24/05 97.080 29.20 313385SA5 01/20/06 01/25/05 97.080 29.20 SD9 01/23/06 01/28/05 97.000 30.00 SE7 01/24/06 07/22/05 98.114 18.86 SF4 01/25/06 01/31/05 97.028 29.72 SG2 01/26/06 02/01/05 97.008 29.92 SH0 01/27/06 02/01/05 97.020 29.80 SL1 01/30/06 02/04/05 96.970 30.30 SM9 01/31/06 02/07/05 96.997 30.03 SN7 02/01/06 02/11/05 97.002 29.98 SP2 02/02/06 02/11/05 96.994 30.06 SQ0 02/03/06 02/01/05 96.948 30.52 ST4 02/06/06 05/05/05 97.422 25.78 SU1 02/07/06 05/04/05 97.412 25.88 SV9 02/08/06 05/04/05 97.402 25.98 SW7 02/09/06 02/15/05 96.929 30.71 SX5 02/10/06 02/15/05 96.920 30.80 313385TA4 02/13/06 02/18/05 96.870 31.30 TB2 02/14/06 03/16/05 96.873 31.27 TC0 02/15/06 02/22/05 96.876 31.24 TD8 02/16/06 03/15/05 96.845 31.55 TE6 02/17/06 02/24/05 96.834 31.66 TJ5 02/21/06 08/15/05 98.031 19.69 TK2 02/22/06 08/15/05 98.021 19.79 TL0 02/23/06 02/28/05 96.748 32.52 TM8 02/24/06 03/03/05 96.755 32.45 TQ9 02/27/06 03/09/05 96.756 32.44 TR7 02/28/06 05/11/05 97.216 27.84 TS5 03/01/06 03/11/05 96.697 33.03 TT3 03/02/06 07/05/05 97.660 23.40 TU0 03/03/06 03/08/05 96.728 32.72 TX4 03/06/06 03/11/05 96.650 33.50 TY2 03/07/06 03/16/05 96.638 33.62 TZ9 03/08/06 03/21/05 96.685 33.15 313385UA2 03/09/06 06/08/05 97.435 25.65 UB0 03/10/06 03/15/05 96.600 34.00 Section III-C (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- UE4 03/13/06 03/18/05 96.624 33.76 UF1 03/14/06 03/21/05 96.629 33.71 UG9 03/15/06 03/23/05 96.559 34.41 UH7 03/16/06 03/24/05 96.559 34.41 UJ3 03/17/06 03/23/05 96.501 34.99 UM6 03/20/06 03/31/05 96.558 34.42 UN4 03/21/06 03/29/05 96.549 34.51 UP9 03/22/06 03/29/05 96.599 34.01 UQ7 03/23/06 03/28/05 96.490 35.10 UR5 03/24/06 03/29/05 96.580 34.20 UU8 03/27/06 04/01/05 96.550 34.50 UV6 03/28/06 06/28/05 97.361 26.39 UW4 03/29/06 04/08/05 96.588 34.12 UX2 03/30/06 04/04/05 96.550 34.50 UY0 03/31/06 04/05/05 96.550 34.50 313385VB9 04/03/06 04/12/05 96.539 34.61 VC7 04/04/06 07/06/05 97.333 26.67 VD5 04/05/06 04/11/05 96.510 34.90 VE3 04/06/06 04/12/05 96.510 34.90 VF0 04/07/06 04/12/05 97.280 27.20 VJ2 04/10/06 07/26/05 97.327 26.73 VK9 04/11/06 05/12/05 96.808 31.92 VL7 04/12/06 09/19/05 97.836 21.64 VM5 04/13/06 04/19/05 96.689 33.11 VN3 04/14/06 04/13/06 99.987 0.13 VR4 04/17/06 07/22/05 97.205 27.95 VS2 04/18/06 07/26/05 97.251 27.49 VT0 04/19/06 04/25/05 96.628 33.72 VU7 04/20/06 04/25/05 96.600 34.00 VV5 04/21/06 04/27/05 96.609 33.91 VY9 04/24/06 04/29/05 96.600 34.00 VZ6 04/25/06 08/05/05 97.253 27.47 313385WA0 04/26/06 05/02/05 96.608 33.92 WB8 04/27/06 01/26/06 98.893 11.07 WC6 04/28/06 05/04/05 96.589 34.11 WF9 05/01/06 11/02/05 97.898 21.02 WG7 05/02/06 05/16/05 96.646 33.54 WH5 05/03/06 11/02/05 97.947 20.53 WJ1 05/04/06 05/09/05 96.510 34.90 WK8 05/05/06 05/10/05 96.500 35.00 WN2 05/08/06 05/13/05 96.550 34.50 WP7 05/09/06 08/02/05 97.044 29.56 WQ5 05/10/06 05/19/05 96.638 33.62 WR3 05/11/06 05/16/05 96.560 34.40 WS1 05/12/06 05/17/05 96.570 34.30 WV4 05/15/06 05/20/05 96.570 34.30 WW2 05/16/06 11/16/05 97.843 21.57 Section III-C (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- WX0 05/17/06 05/23/05 96.609 33.91 WY8 05/18/06 05/24/05 96.580 34.20 WZ5 05/19/06 05/26/05 96.589 34.11 313385XC5 05/22/06 08/26/05 97.093 29.07 XD3 05/23/06 11/21/05 97.860 21.40 XE1 05/24/06 11/23/05 97.807 21.93 XF8 05/25/06 06/03/05 96.628 33.72 XG6 05/26/06 05/31/05 96.540 34.60 XL5 05/30/06 11/30/05 97.848 21.52 XM3 05/31/06 10/06/05 97.334 26.66 XN1 06/01/06 06/08/05 96.569 34.31 XP6 06/02/06 06/07/05 96.580 34.20 XS0 06/05/06 06/10/05 96.687 33.13 XT8 06/06/06 11/15/05 97.620 23.80 XU5 06/07/06 12/02/05 97.772 22.28 XV3 06/08/06 06/13/05 96.450 35.50 XW1 06/09/06 06/16/05 96.460 35.40 XZ4 06/12/06 06/17/05 96.460 35.40 313385YA8 06/13/06 06/20/05 96.460 35.40 YB6 06/14/06 06/21/05 96.460 35.40 YC4 06/15/06 06/21/05 96.450 35.50 YD2 06/16/06 06/21/05 96.440 35.60 YG5 06/19/06 06/24/05 96.520 34.80 YH3 06/20/06 06/28/05 96.499 35.01 YJ9 06/21/06 06/29/05 96.490 35.10 YK6 06/22/06 07/01/05 96.489 35.11 YL4 06/23/06 06/29/05 96.472 35.28 YP5 06/26/06 07/06/05 96.460 35.40 YQ3 06/27/06 07/06/05 96.361 36.39 YR1 06/28/06 12/14/05 97.610 23.90 YS9 06/29/06 07/05/05 96.350 36.50 YT7 06/30/06 12/14/05 97.580 24.20 YW0 07/03/06 07/08/05 96.360 36.40 YY6 07/05/06 07/13/05 96.311 36.89 YZ3 07/06/06 07/14/05 96.311 36.89 313385ZA7 07/07/06 07/12/05 96.310 36.90 ZD1 07/10/06 07/15/05 96.270 37.30 ZE9 07/11/06 07/20/05 96.292 37.08 ZF6 07/12/06 07/20/05 96.281 37.19 ZG4 07/13/06 01/03/06 97.676 23.24 ZH2 07/14/06 07/19/05 96.230 37.70 ZL3 07/17/06 07/22/05 96.230 37.70 ZM1 07/18/06 07/26/05 96.232 37.68 ZN9 07/19/06 08/02/05 96.295 37.05 ZP4 07/20/06 07/26/05 96.211 37.89 ZQ2 07/21/06 07/28/05 96.201 37.99 ZT6 07/24/06 08/03/05 96.194 38.06 Section III-C (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- ZU3 07/25/06 08/03/05 96.193 38.07 ZV1 07/26/06 12/27/05 97.427 25.73 ZW9 07/27/06 08/04/05 96.172 38.28 ZX7 07/28/06 08/03/05 96.161 38.39 313385A22 07/31/06 08/08/05 96.172 38.28 A30 08/01/06 08/08/05 96.094 39.06 A48 08/02/06 08/09/05 96.052 39.48 A55 08/03/06 08/10/05 96.072 39.28 A63 08/04/06 08/09/05 96.030 39.70 A97 08/07/06 08/17/05 96.125 38.75 313385B21 08/08/06 05/08/06 98.743 12.57 B39 08/09/06 02/08/06 97.658 23.42 B47 08/10/06 01/30/06 97.627 23.73 B54 08/11/06 08/16/05 96.090 39.10 B88 08/14/06 08/19/05 96.090 39.10 B96 08/15/06 09/01/05 96.327 36.73 313385C20 08/16/06 08/22/05 96.306 36.94 C38 08/17/06 08/26/05 96.124 38.76 C46 08/18/06 08/24/05 96.119 38.81 C79 08/21/06 08/26/05 96.080 39.20 C87 08/22/06 02/22/06 97.672 23.28 C95 08/23/06 01/11/06 97.250 27.50 313385D29 08/24/06 09/01/05 96.261 37.39 D37 08/25/06 09/01/05 96.251 37.49 D60 08/28/06 09/02/05 96.310 36.90 D78 08/29/06 03/01/06 97.662 23.38 D86 08/30/06 09/06/05 96.321 36.79 D94 08/31/06 09/06/05 96.310 36.90 313385E28 09/01/06 09/06/05 96.300 37.00 E69 09/05/06 09/16/05 96.234 37.66 E77 09/06/06 12/01/05 96.612 33.88 E85 09/07/06 09/16/05 96.213 37.87 E93 09/08/06 09/13/05 96.179 38.21 313385F43 09/11/06 09/19/05 96.162 38.38 F50 09/12/06 09/19/05 97.635 23.65 F68 09/13/06 01/17/06 97.052 29.48 F76 09/14/06 09/30/05 96.219 37.81 F84 09/15/06 09/23/05 96.115 38.85 313385G34 09/18/06 09/23/05 96.080 39.20 G42 09/19/06 03/23/06 97.615 23.85 G59 09/20/06 12/30/05 96.751 32.49 G67 09/21/06 09/26/05 96.090 39.10 G75 09/22/06 09/28/05 96.011 39.89 313385H25 09/25/06 03/29/06 97.585 24.15 H33 09/26/06 10/05/05 95.916 40.84 H41 09/27/06 10/04/05 95.873 41.27 H58 09/28/06 10/03/05 95.872 41.28 Section III-C (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- H66 09/29/06 12/30/05 96.641 33.59 H90 10/02/06 10/07/05 95.978 40.22 313385J23 10/03/06 04/04/06 97.563 24.37 J31 10/04/06 04/06/06 97.572 24.28 J49 10/05/06 04/06/06 97.558 24.42 J56 10/06/06 10/13/05 95.933 40.67 J98 10/10/06 01/10/06 96.656 33.44 313385K21 10/11/06 01/10/06 96.644 33.56 K39 10/12/06 06/12/06 98.278 17.22 K47 10/13/06 10/18/05 95.830 41.70 K70 10/16/06 10/21/05 95.820 41.80 K88 10/17/06 03/24/06 97.240 27.60 K96 10/18/06 10/26/05 95.785 42.15 313385L20 10/19/06 10/24/05 96.886 31.14 L38 10/20/06 10/26/05 95.762 42.38 L61 10/23/06 10/28/05 95.750 42.50 L79 10/24/06 04/28/06 97.562 24.38 L87 10/25/06 04/25/06 97.508 24.92 L95 10/26/06 01/30/06 96.667 33.33 313385M29 10/27/06 11/01/05 95.770 42.30 M52 10/30/06 01/05/06 96.358 36.42 M60 10/31/06 11/07/05 96.346 36.54 M78 11/01/06 05/05/06 97.525 24.75 M86 11/02/06 08/23/06 98.992 10.08 M94 11/03/06 11/09/05 95.646 43.54 313385N44 11/06/06 05/26/06 97.731 22.69 N51 11/07/06 08/03/06 98.627 13.73 N69 11/08/06 11/17/05 95.659 43.41 N77 11/09/06 11/21/05 95.705 42.95 N85 11/10/06 05/10/06 97.480 25.20 313385P34 11/13/06 04/28/06 97.302 26.98 P42 11/14/06 05/16/06 97.498 25.02 P59 11/15/06 03/15/06 96.774 32.26 P67 11/16/06 11/21/05 95.610 43.90 P75 11/17/06 05/15/06 97.468 25.32 313385Q25 11/20/06 05/19/06 97.456 25.44 Q33 11/21/06 08/21/06 98.702 12.98 Q41 11/22/06 11/28/05 95.662 43.38 Q66 11/24/06 11/29/05 95.640 43.60 Q90 11/27/06 12/02/05 95.607 43.93 313385R24 11/28/06 05/31/06 97.486 25.14 R32 11/29/06 01/06/06 96.003 39.97 R40 11/30/06 12/05/05 96.590 34.10 R57 12/01/06 12/06/05 95.540 44.60 R81 12/04/06 12/09/05 95.619 43.81 R99 12/05/06 12/19/05 95.661 43.39 313385S23 12/06/06 06/06/06 97.428 25.72 Section III-C (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- S31 12/07/06 12/12/05 95.570 44.30 S49 12/08/06 12/13/05 95.530 44.70 S72 12/11/06 12/16/05 95.560 44.40 S80 12/12/06 12/19/05 96.460 35.40 S98 12/13/06 12/23/05 95.612 43.88 313385T22 12/14/06 12/22/05 95.591 44.09 T30 12/15/06 12/20/05 95.560 44.40 T63 12/18/06 01/30/06 96.064 39.36 T71 12/19/06 04/10/06 96.592 34.08 T89 12/20/06 04/12/06 96.598 34.02 T97 12/21/06 04/10/06 96.565 34.35 313385U79 12/27/06 01/10/06 95.700 43.00 U87 12/28/06 01/10/06 95.688 43.12 U95 12/29/06 01/09/06 95.673 43.27 Section III-D FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589RH8 01/03/06 01/18/05 97.054 29.46 RJ4 01/04/06 04/04/05 97.426 25.74 RK1 01/05/06 01/18/05 97.037 29.63 RL9 01/06/06 01/18/05 97.024 29.76 RP0 01/09/06 04/04/05 97.371 26.29 RQ8 01/10/06 01/18/05 96.995 30.05 RR6 01/11/06 06/07/05 97.984 20.16 RS4 01/12/06 03/11/05 97.194 28.06 RT2 01/13/06 03/10/05 97.185 28.15 RX3 01/17/06 03/10/05 97.140 28.60 RY1 01/18/06 02/15/05 97.089 29.11 RZ8 01/19/06 04/19/05 97.517 24.83 313589SA2 01/20/06 03/14/05 97.140 28.60 SD6 01/23/06 03/10/05 97.058 29.42 SE4 01/24/06 06/21/05 97.920 20.80 SF1 01/25/06 04/01/05 97.151 28.49 SG9 01/26/06 03/21/05 97.089 29.11 SH7 01/27/06 02/02/05 96.934 30.66 SL8 01/30/06 05/18/05 97.608 23.92 SM6 01/31/06 05/16/05 97.573 24.27 SN4 02/01/06 03/09/05 96.975 30.25 SP9 02/02/06 05/11/05 97.471 25.29 SQ7 02/03/06 03/17/05 96.985 30.15 ST1 02/06/06 04/13/05 97.151 28.49 SU8 02/07/06 02/15/05 96.886 31.14 SV6 02/08/06 04/27/05 97.337 26.63 SW4 02/09/06 05/27/05 97.571 24.29 SX2 02/10/06 02/15/05 96.850 31.50 313589TA1 02/13/06 03/23/05 96.794 32.06 TB9 02/14/06 04/01/05 96.943 30.57 TC7 02/15/06 03/30/05 96.869 31.31 TD5 02/16/06 03/23/05 96.792 32.08 TE3 02/17/06 02/23/05 96.769 32.31 TJ2 02/21/06 04/01/05 96.858 31.42 TK9 02/22/06 07/22/05 97.820 21.80 TL7 02/23/06 04/07/05 96.914 30.86 TM5 02/24/06 03/02/05 96.680 33.20 TQ6 02/27/06 03/23/05 96.637 33.63 TR4 02/28/06 03/23/05 96.628 33.72 TS2 03/01/06 03/24/05 96.647 33.53 TT0 03/02/06 05/02/05 97.171 28.29 TU7 03/03/06 04/18/05 97.076 29.24 TX1 03/06/06 06/01/05 97.359 26.41 TY9 03/07/06 11/17/05 98.729 12.71 TZ6 03/08/06 06/20/05 97.463 25.37 313589UA9 03/09/06 08/01/05 97.708 22.92 Section III-D (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- UB7 03/10/06 05/16/05 97.177 28.23 UE1 03/13/06 05/31/05 97.283 27.17 UF8 03/14/06 06/01/05 97.283 27.17 UG6 03/15/06 05/16/05 97.122 28.78 UH4 03/16/06 03/24/05 96.470 35.30 UJ0 03/17/06 03/24/05 96.460 35.40 UM3 03/20/06 05/18/05 97.085 29.15 UN1 03/21/06 11/16/05 98.545 14.55 UP6 03/22/06 06/20/05 97.319 26.81 UQ4 03/23/06 03/29/05 96.460 35.40 UR2 03/24/06 05/27/05 97.124 28.76 UU5 03/27/06 05/16/05 96.999 30.01 UV3 03/28/06 07/19/05 97.403 25.97 UW1 03/29/06 08/29/05 97.733 22.67 UX9 03/30/06 06/23/05 97.278 27.22 UY7 03/31/06 04/06/05 96.501 34.99 313589VB6 04/03/06 05/18/05 96.969 30.31 VC4 04/04/06 12/08/05 98.599 14.01 VD2 04/05/06 06/20/05 97.174 28.26 VE0 04/06/06 06/01/05 97.056 29.44 VF7 04/07/06 05/16/05 96.894 31.06 VJ9 04/10/06 06/21/05 97.119 28.81 VK6 04/11/06 07/26/05 97.324 26.76 VL4 04/12/06 10/12/05 97.931 20.69 VM2 04/13/06 11/29/05 98.406 15.94 VN0 04/14/06 06/14/05 97.036 29.64 VR1 04/17/06 06/14/05 97.007 29.93 VS9 04/18/06 12/19/05 98.553 14.47 VT7 04/19/06 09/27/05 97.779 22.21 VU4 04/20/06 07/21/05 97.179 28.21 VV2 04/21/06 07/13/05 97.110 28.90 VY6 04/24/06 06/17/05 96.950 30.50 VZ3 04/25/06 06/15/05 96.930 30.70 313589WA7 04/26/06 06/16/05 96.912 30.88 WB5 04/27/06 06/15/05 96.893 31.07 WC3 04/28/06 05/04/05 96.550 34.50 WF6 05/01/06 07/15/05 97.028 29.72 WG4 05/02/06 05/16/05 96.627 33.73 WH2 05/03/06 05/17/05 96.627 33.73 WJ8 05/04/06 07/14/05 96.987 30.13 WK5 05/05/06 08/09/05 97.116 28.84 WN9 05/08/06 07/15/05 96.939 30.61 WP4 05/09/06 08/23/05 97.216 27.84 WQ2 05/10/06 10/18/05 97.688 23.12 WR0 05/11/06 09/13/05 97.507 24.93 WS8 05/12/06 07/14/05 96.888 31.12 Section III-D (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- WV1 05/15/06 07/26/05 96.948 30.52 WW9 05/16/06 12/12/05 98.118 18.82 WX7 05/17/06 08/22/05 97.104 28.96 WY5 05/18/06 07/26/05 96.917 30.83 WZ2 05/19/06 08/10/05 96.961 30.39 313589XC2 05/22/06 07/21/05 96.814 31.86 XD0 05/23/06 10/14/05 97.495 25.05 XE8 05/24/06 07/21/05 96.802 31.98 XF5 05/25/06 07/19/05 96.779 32.21 XG3 05/26/06 06/01/05 96.530 34.70 XL2 05/30/06 07/19/05 96.701 32.99 XM0 05/31/06 08/01/05 96.776 32.24 XN8 06/01/06 07/01/05 96.697 33.03 XP3 06/02/06 08/23/05 96.934 30.66 XS7 06/05/06 07/21/05 96.659 33.41 XT5 06/06/06 11/17/05 97.610 23.90 XU2 06/07/06 08/12/05 96.777 32.23 XV0 06/08/06 09/07/05 97.191 28.09 XW8 06/09/06 07/26/05 96.679 33.21 XZ1 06/12/06 07/21/05 96.595 34.05 313589YA5 06/13/06 07/22/05 96.595 34.05 YB3 06/14/06 07/28/05 96.612 33.88 YC1 06/15/06 07/27/05 96.617 33.83 YD9 06/16/06 07/20/05 96.534 34.66 YG2 06/19/06 08/24/05 96.769 32.31 YH0 06/20/06 10/11/05 97.144 28.56 YJ6 06/21/06 08/19/05 96.668 33.32 YK3 06/22/06 08/30/05 96.769 32.31 YL1 06/23/06 08/16/05 96.639 33.61 YP2 06/26/06 08/18/05 96.620 33.80 YQ0 06/27/06 07/21/05 96.448 35.52 YR8 06/28/06 09/22/05 97.009 29.91 YS6 06/29/06 08/17/05 96.577 34.23 YT4 06/30/06 07/06/05 96.290 37.10 YW7 07/03/06 07/27/05 96.420 35.80 YY3 07/05/06 08/25/05 96.590 34.10 YZ0 07/06/06 10/05/05 96.887 31.13 313589ZA4 07/07/06 11/18/05 97.222 27.78 ZD8 07/10/06 10/11/05 96.895 31.05 ZE6 07/11/06 09/19/05 96.853 31.47 ZF3 07/12/06 08/19/05 96.430 35.70 ZG1 07/13/06 10/24/05 96.972 30.28 ZH9 07/14/06 09/23/05 96.807 31.93 ZL0 07/17/06 08/19/05 96.376 36.24 ZM8 07/18/06 08/24/05 96.428 35.72 ZN6 07/19/06 09/27/05 96.722 32.78 Section III-D (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- ZP1 07/20/06 09/26/05 96.774 32.26 ZQ9 07/21/06 10/18/05 96.826 31.74 ZT3 07/24/06 08/29/05 96.399 36.01 ZU0 07/25/06 08/22/05 96.312 36.88 ZV8 07/26/06 08/23/05 96.312 36.88 ZW6 07/27/06 12/21/05 97.317 26.83 ZX4 07/28/06 08/03/05 96.091 39.09 313589A29 07/31/06 02/16/06 97.887 21.13 A37 08/01/06 09/13/05 96.619 33.81 A45 08/02/06 02/01/06 97.680 23.20 A52 08/03/06 02/24/06 97.938 20.62 A60 08/04/06 08/17/05 96.177 38.23 A94 08/07/06 09/15/05 96.595 34.05 313589B28 08/08/06 04/03/06 98.303 16.97 B36 08/09/06 12/12/05 97.040 29.60 B44 08/10/06 09/22/05 96.539 34.61 B51 08/11/06 09/21/05 96.499 35.01 B85 08/14/06 10/12/05 96.498 35.02 B93 08/15/06 09/29/05 96.436 35.64 313589C27 08/16/06 01/06/06 97.280 27.20 C35 08/17/06 09/16/05 96.464 35.36 C43 08/18/06 09/27/05 96.380 36.20 C76 08/21/06 09/27/05 96.356 36.44 C84 08/22/06 12/06/05 96.798 32.02 C92 08/23/06 02/22/06 97.621 23.79 313589D26 08/24/06 10/19/05 96.429 35.71 D34 08/25/06 09/28/05 96.322 36.78 D67 08/28/06 10/12/05 96.329 36.71 D75 08/29/06 09/30/05 96.217 37.83 D83 08/30/06 10/26/05 96.355 36.45 D91 08/31/06 09/27/05 96.263 37.37 313589E25 09/01/06 09/07/05 96.211 37.89 E66 09/05/06 12/06/05 96.618 33.82 E74 09/06/06 12/15/05 96.724 32.76 E82 09/07/06 04/13/06 98.011 19.89 E90 09/08/06 12/07/05 96.608 33.92 313589F40 09/11/06 12/01/05 96.521 34.79 F57 09/12/06 12/13/05 96.610 33.90 F65 09/13/06 12/14/05 96.625 33.75 F73 09/14/06 12/15/05 96.625 33.75 F81 09/15/06 09/29/05 96.071 39.29 313589G31 09/18/06 12/12/05 96.516 34.84 G49 09/19/06 09/29/05 96.026 39.74 G56 09/20/06 01/03/06 96.779 32.21 G64 09/21/06 12/01/05 96.374 36.26 G72 09/22/06 12/05/05 96.387 36.13 Section III-D (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589H22 09/25/06 12/06/05 96.362 36.38 H30 09/26/06 01/27/06 96.955 30.45 H48 09/27/06 12/21/05 96.523 34.77 H55 09/28/06 12/08/05 96.390 36.10 H63 09/29/06 10/05/05 95.837 41.63 H97 10/02/06 12/12/05 96.350 36.50 313589J20 10/03/06 06/06/06 98.334 16.66 J38 10/04/06 01/12/06 96.717 32.83 J46 10/05/06 01/26/06 96.829 31.71 J53 10/06/06 12/15/05 96.362 36.38 J95 10/10/06 12/12/05 96.233 37.67 313589K28 10/11/06 01/11/06 96.625 33.75 K36 10/12/06 10/17/05 95.810 41.90 K44 10/13/06 12/13/05 96.217 37.83 K77 10/16/06 12/15/05 96.221 37.79 K85 10/17/06 12/12/05 96.163 38.37 K93 10/18/06 12/14/05 96.193 38.07 313589L27 10/19/06 12/16/05 96.222 37.78 L35 10/20/06 01/06/06 96.476 35.24 L68 10/23/06 12/15/05 96.135 38.65 L76 10/24/06 06/21/06 98.188 18.12 L84 10/25/06 12/12/05 96.064 39.36 L92 10/26/06 01/31/06 96.605 33.95 313589M26 10/27/06 11/02/05 95.610 43.90 M59 10/30/06 12/21/05 96.096 39.04 M67 10/31/06 01/09/06 96.370 36.30 M75 11/01/06 12/15/05 96.005 39.95 M83 11/02/06 03/09/06 96.853 31.47 M91 11/03/06 11/29/05 95.843 41.57 313589N41 11/06/06 12/12/05 95.897 41.03 N58 11/07/06 02/22/06 96.632 33.68 N66 11/08/06 02/08/06 96.489 35.11 N74 11/09/06 12/13/05 95.890 41.10 N82 11/10/06 01/19/06 96.345 36.55 313589P31 11/13/06 12/15/05 95.875 41.25 P49 11/14/06 02/15/06 96.479 35.21 P56 11/15/06 12/21/05 95.897 41.03 P64 11/16/06 12/15/05 95.837 41.63 P72 11/17/06 12/15/05 95.825 41.75 313589Q22 11/20/06 01/19/06 96.221 37.79 Q30 11/21/06 02/27/06 96.507 34.93 Q48 11/22/06 03/02/06 96.526 34.74 Q63 11/24/06 03/01/06 96.494 35.06 Q97 11/27/06 02/13/06 96.277 37.23 313589R21 11/28/06 03/21/06 96.668 33.32 R39 11/29/06 01/30/06 96.179 38.21 Section III-D (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- R47 11/30/06 01/26/06 96.141 38.59 R54 12/01/06 12/07/05 95.532 44.68 R88 12/04/06 01/25/06 96.079 39.21 R96 12/05/06 04/27/06 96.966 30.34 313589S20 12/06/06 03/06/06 96.372 36.28 S38 12/07/06 12/23/05 95.667 43.33 S46 12/08/06 01/19/06 95.998 40.02 S79 12/11/06 02/17/06 96.131 38.69 S87 12/12/06 02/17/06 96.118 38.82 S95 12/13/06 02/13/06 96.069 39.31 313589T29 12/14/06 02/17/06 96.092 39.08 T37 12/15/06 01/20/06 95.915 40.85 T60 12/18/06 02/01/06 95.947 40.53 T78 12/19/06 01/19/06 95.862 41.38 T86 12/20/06 01/18/06 95.856 41.44 T94 12/21/06 04/27/06 96.747 32.53 313589U27 12/22/06 01/20/06 95.837 41.63 U68 12/26/06 03/22/06 96.288 37.12 U76 12/27/06 02/21/06 95.949 40.51 U84 12/28/06 01/24/06 95.794 42.06 U92 12/29/06 01/04/06 95.564 44.36 Section III-E FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313RH3 01/03/06 11/29/05 99.603 3.97 RJ9 01/04/06 12/01/05 99.613 3.87 RK6 01/05/06 11/03/05 99.295 7.05 RL4 01/06/06 07/08/05 98.205 17.95 RP5 01/09/06 01/31/05 97.113 28.87 RQ3 01/10/06 12/06/05 99.597 4.03 RR1 01/11/06 10/12/05 99.014 9.86 RS9 01/12/06 04/14/05 97.467 25.33 RT7 01/13/06 01/20/05 97.007 29.93 RX8 01/17/06 12/15/05 99.617 3.83 RY6 01/18/06 12/14/05 99.594 4.06 RZ3 01/19/06 11/17/05 99.284 7.16 313313SA7 01/20/06 04/29/05 97.540 24.60 SD1 01/23/06 12/16/05 99.559 4.41 SE9 01/24/06 12/19/05 99.582 4.18 SF6 01/25/06 04/19/05 97.463 25.37 SG4 01/26/06 07/27/05 98.124 18.76 SH2 01/27/06 10/28/05 98.979 10.21 SL3 01/30/06 08/31/05 98.446 15.54 SM1 01/31/06 08/02/05 98.114 18.86 SN9 02/01/06 03/21/05 97.024 29.76 SP4 02/02/06 04/28/05 97.402 25.98 SQ2 02/03/06 06/22/05 97.822 21.78 ST6 02/06/06 06/28/05 97.832 21.68 SU3 02/07/06 04/12/05 97.115 28.85 SV1 02/08/06 11/09/05 98.971 10.29 SW9 02/09/06 01/05/06 99.593 4.07 SX7 02/10/06 07/21/05 97.915 20.85 313313TA6 02/13/06 11/14/05 98.961 10.39 TB4 02/14/06 02/25/05 96.814 31.86 TC2 02/15/06 02/16/05 96.835 31.65 TD0 02/16/06 01/17/06 99.645 3.55 TE8 02/17/06 04/15/05 97.151 28.49 TJ7 02/21/06 04/19/05 97.134 28.66 TK4 02/22/06 11/23/05 98.941 10.59 TL2 02/23/06 04/21/05 97.142 28.58 TM0 02/24/06 10/24/05 98.623 13.77 TQ1 02/27/06 11/28/05 98.933 10.67 TR9 02/28/06 04/26/05 97.108 28.92 TS7 03/01/06 05/31/05 97.374 26.26 TT5 03/02/06 01/30/06 99.620 3.80 TU2 03/03/06 06/14/05 97.453 25.47 TX6 03/06/06 01/31/06 99.584 4.16 TY4 03/07/06 09/06/05 98.140 18.60 TZ1 03/08/06 05/18/05 97.223 27.77 313313UA4 03/09/06 12/08/05 98.923 10.77 Section III-E (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- UB2 03/10/06 09/12/05 98.121 18.79 UE6 03/13/06 01/06/06 99.217 7.83 UF3 03/14/06 03/24/05 96.509 34.91 UG1 03/15/06 03/17/05 96.562 34.38 UH9 03/16/06 05/12/05 97.023 29.77 UJ5 03/17/06 03/22/05 96.570 34.30 UM8 03/20/06 02/03/06 99.448 5.52 UN6 03/21/06 02/07/06 99.484 5.16 UP1 03/22/06 11/23/05 98.605 13.95 UQ9 03/23/06 02/10/06 99.498 5.02 UR7 03/24/06 05/24/05 97.087 29.13 UU0 03/27/06 10/25/05 98.258 17.42 UV8 03/28/06 09/29/05 98.025 19.75 UW6 03/29/06 09/23/05 97.990 20.10 UX4 03/30/06 12/29/05 98.921 10.79 UY2 03/31/06 10/04/05 98.007 19.93 313313VB1 04/03/06 01/10/06 99.002 9.98 VC9 04/04/06 01/12/06 99.009 9.91 VD7 04/05/06 02/02/06 99.235 7.65 VE5 04/06/06 01/06/06 98.920 10.80 VF2 04/07/06 03/03/06 99.565 4.35 VJ4 04/10/06 04/11/05 96.421 35.79 VK1 04/11/06 12/15/05 98.593 14.07 VL9 04/12/06 09/22/05 97.834 21.66 VM7 04/13/06 10/17/05 97.978 20.22 VR6 04/17/06 04/20/05 96.571 34.29 VS4 04/18/06 02/15/06 99.232 7.68 VT2 04/19/06 03/22/06 99.642 3.58 VU9 04/20/06 01/19/06 98.898 11.02 VV7 04/21/06 03/15/06 99.531 4.69 VY1 04/24/06 03/17/06 99.519 4.81 VZ8 04/25/06 01/31/06 98.955 10.45 313313WA2 04/26/06 10/14/05 97.801 21.99 WB0 04/27/06 09/23/05 97.666 23.34 WC8 04/28/06 10/21/05 97.827 21.73 WF1 05/01/06 03/28/06 99.560 4.40 WG9 05/02/06 03/15/06 99.388 6.12 WH7 05/03/06 03/17/06 99.403 5.97 WJ3 05/04/06 03/27/06 99.508 4.92 WK0 05/05/06 03/30/06 99.533 4.67 WN4 05/08/06 05/31/05 96.666 33.34 WP9 05/09/06 03/30/06 99.480 5.20 WQ7 05/10/06 05/10/05 96.401 35.99 WR5 05/11/06 02/10/06 98.870 11.30 WS3 05/12/06 08/12/05 97.050 29.50 WV6 05/15/06 05/16/05 96.471 35.29 Section III-E (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- WW4 05/16/06 02/16/06 98.880 11.20 WX2 05/17/06 05/25/05 96.549 34.51 WY0 05/18/06 02/17/06 98.868 11.32 WZ7 05/19/06 04/21/06 99.634 3.66 313313XC7 05/22/06 03/02/06 98.967 10.33 XD5 05/23/06 03/15/06 99.109 8.91 XE3 05/24/06 02/22/06 98.852 11.48 XF0 05/25/06 02/22/06 98.840 11.60 XG8 05/26/06 10/27/05 97.521 24.79 XL7 05/30/06 08/29/05 97.009 29.91 XM5 05/31/06 03/01/06 98.832 11.68 XN3 06/01/06 06/02/05 96.522 34.78 XP8 06/02/06 03/03/06 98.832 11.68 XS2 06/05/06 03/15/06 98.934 10.66 XT0 06/06/06 12/06/05 97.776 22.24 XU7 06/07/06 06/08/05 96.491 35.09 XV5 06/08/06 02/24/06 98.668 13.32 XW3 06/09/06 04/10/06 99.210 7.90 XZ6 06/12/06 04/17/06 99.263 7.37 313313YA0 06/13/06 03/14/06 98.812 11.88 YB8 06/14/06 03/15/06 98.814 11.86 YC6 06/15/06 08/05/05 96.625 33.75 YD4 06/16/06 06/17/05 96.360 36.40 YG7 06/19/06 03/17/06 98.778 12.22 YH5 06/20/06 04/24/06 99.238 7.62 YJ1 06/21/06 09/22/05 97.061 29.39 YK8 06/22/06 04/28/06 99.262 7.38 YL6 06/23/06 02/24/06 98.470 15.30 YP7 06/26/06 03/15/06 98.652 13.48 YQ5 06/27/06 04/04/06 98.889 11.11 YR3 06/28/06 08/26/05 96.634 33.66 YS1 06/29/06 03/30/06 98.797 12.03 YT9 06/30/06 01/10/06 97.901 20.99 YW2 07/03/06 05/15/06 99.333 6.67 YY8 07/05/06 05/11/06 99.251 7.49 YZ5 07/06/06 01/12/06 97.832 21.68 313313ZA9 07/07/06 05/22/06 99.371 6.29 ZD3 07/10/06 06/01/06 99.462 5.38 ZE1 07/11/06 09/27/05 96.795 32.05 ZF8 07/12/06 09/16/05 96.786 32.14 ZG6 07/13/06 08/18/05 96.390 36.10 ZH4 07/14/06 09/09/05 96.757 32.43 ZL5 07/17/06 08/04/05 96.231 37.69 ZM3 07/18/06 07/22/05 96.159 38.41 ZN1 07/19/06 01/10/06 97.651 23.49 ZP6 07/20/06 06/15/06 99.503 4.97 Section III-E (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- ZQ4 07/21/06 06/15/06 99.489 5.11 ZT8 07/24/06 08/22/05 96.313 36.87 ZU5 07/25/06 06/16/06 99.442 5.58 ZV3 07/26/06 07/27/05 96.107 38.93 ZW1 07/27/06 04/27/06 98.764 12.36 ZX9 07/28/06 06/23/06 99.496 5.04 313313A24 07/31/06 08/30/05 96.296 37.04 A32 08/01/06 02/01/06 97.702 22.98 A40 08/02/06 08/03/05 96.026 39.74 A57 08/03/06 06/15/06 99.302 6.98 A65 08/04/06 06/29/06 99.481 5.19 A99 08/07/06 01/09/06 97.410 25.90 313313B23 08/08/06 08/09/05 95.976 40.24 B31 08/09/06 05/10/06 98.751 12.49 B49 08/10/06 05/11/06 98.749 12.51 B56 08/11/06 10/12/05 96.499 35.01 B80 08/14/06 06/12/06 99.115 8.85 B98 08/15/06 02/15/06 97.662 23.38 313313C22 08/16/06 05/17/06 98.751 12.49 C30 08/17/06 01/17/06 97.374 26.26 C48 08/18/06 02/17/06 97.644 23.56 C71 08/21/06 05/26/06 98.797 12.03 C89 08/22/06 07/14/06 99.439 5.61 C97 08/23/06 05/31/06 98.833 11.67 313313D21 08/24/06 05/25/06 98.741 12.59 D39 08/25/06 05/26/06 98.751 12.49 D62 08/28/06 02/27/06 97.624 23.76 D70 08/29/06 09/23/05 96.269 37.31 D88 08/30/06 05/30/06 98.720 12.80 D96 08/31/06 02/28/06 97.593 24.07 313313E20 09/01/06 06/01/06 98.712 12.88 E61 09/05/06 06/05/06 98.720 12.80 E79 09/06/06 03/29/06 97.849 21.51 E87 09/07/06 06/07/06 98.707 12.93 E95 09/08/06 06/09/06 98.718 12.82 313313F45 09/11/06 08/01/06 99.407 5.93 F52 09/12/06 07/13/06 99.117 8.83 F60 09/13/06 09/13/05 96.056 39.44 F78 09/14/06 03/16/06 97.589 24.11 F86 09/15/06 11/16/05 96.288 37.12 313313G36 09/18/06 06/12/06 98.612 13.88 G44 09/19/06 08/08/06 99.395 6.05 G51 09/20/06 08/15/06 99.487 5.13 G69 09/21/06 08/16/06 99.487 5.13 G77 09/22/06 08/16/06 99.473 5.27 313313H27 09/25/06 02/28/06 97.254 27.46 Section III-E (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- H35 09/26/06 06/27/06 98.668 13.32 H43 09/27/06 10/27/05 96.008 39.92 H50 09/28/06 06/28/06 98.651 13.49 H68 09/29/06 07/03/06 98.712 12.88 H92 10/02/06 08/02/06 99.116 8.84 313313J25 10/03/06 08/15/06 99.299 7.01 J33 10/04/06 08/31/06 99.514 4.86 J41 10/05/06 04/06/06 97.533 24.67 J58 10/06/06 07/10/06 98.709 12.91 J90 10/10/06 07/13/06 98.705 12.95 313313K23 10/11/06 09/07/06 99.513 4.87 K31 10/12/06 10/13/05 95.763 42.37 K49 10/13/06 05/17/06 97.939 20.61 K72 10/16/06 06/12/06 98.212 17.88 K80 10/17/06 04/18/06 97.508 24.92 K98 10/18/06 05/18/06 97.879 21.21 313313L22 10/19/06 09/13/06 99.484 5.16 L30 10/20/06 04/21/06 97.508 24.92 L63 10/23/06 07/24/06 98.673 13.27 L71 10/24/06 09/19/06 99.499 5.01 L89 10/25/06 04/26/06 97.482 25.18 L97 10/26/06 05/25/06 97.853 21.47 313313M21 10/27/06 09/22/06 99.502 4.98 M54 10/30/06 05/30/06 97.862 21.38 M62 10/31/06 07/31/06 98.666 13.34 M70 11/01/06 03/01/06 96.781 32.19 M88 11/02/06 11/02/05 95.529 44.71 M96 11/03/06 03/24/06 96.995 30.05 313313N53 11/07/06 03/28/06 97.013 29.87 N79 11/09/06 02/09/06 96.459 35.41 N87 11/10/06 08/09/06 98.664 13.36 313313P36 11/13/06 08/11/06 98.653 13.47 P51 11/15/06 11/15/05 95.478 45.22 P69 11/16/06 05/17/06 97.459 25.41 P77 11/17/06 05/18/06 97.453 25.47 313313Q27 11/20/06 05/22/06 97.467 25.33 Q35 11/21/06 05/23/06 97.457 25.43 Q43 11/22/06 05/25/06 97.476 25.24 Q92 11/27/06 08/29/06 98.715 12.85 313313R42 11/30/06 08/31/06 98.698 13.02 R59 12/01/06 09/01/06 98.698 13.02 R83 12/04/06 03/15/06 96.502 34.98 R91 12/05/06 06/05/06 97.443 25.57 313313S25 12/06/06 05/19/06 97.203 27.97 S41 12/08/06 06/02/06 97.354 26.46 S74 12/11/06 09/11/06 98.696 13.04 Section III-E (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- S82 12/12/06 06/06/06 97.328 26.72 S90 12/13/06 06/07/06 97.323 26.77 313313T24 12/14/06 09/15/06 98.713 12.87 T32 12/15/06 12/15/05 95.458 45.42 T65 12/18/06 09/18/06 98.698 13.02 T81 12/20/06 01/19/06 95.850 41.50 T99 12/21/06 09/25/06 98.763 12.37 313313U22 12/22/06 05/04/06 96.778 32.22 U89 12/28/06 06/30/06 97.340 26.60 U97 12/29/06 07/31/06 97.806 21.94 Section III-F FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397RH6 01/03/06 01/18/05 97.113 28.87 RJ2 01/04/06 06/06/05 98.027 19.73 RK9 01/05/06 01/27/05 97.142 28.58 RL7 01/06/06 01/21/05 97.113 28.87 RP8 01/09/06 01/28/05 97.107 28.93 RQ6 01/10/06 01/11/05 96.967 30.33 RR4 01/11/06 11/01/05 99.209 7.91 RS2 01/12/06 08/29/05 98.591 14.09 RT0 01/13/06 08/12/05 98.426 15.74 RX1 01/17/06 07/19/05 98.145 18.55 RY9 01/18/06 11/08/05 99.201 7.99 RZ6 01/19/06 09/08/05 98.674 13.26 313397SA0 01/20/06 02/18/05 97.079 29.21 SD4 01/23/06 08/24/05 98.412 15.88 SE2 01/24/06 07/26/05 98.134 18.66 SF9 01/25/06 08/25/05 98.402 15.98 SG7 01/26/06 08/17/05 98.313 16.87 SH5 01/27/06 08/17/05 98.302 16.98 SL6 01/30/06 08/30/05 98.402 15.98 SM4 01/31/06 08/02/05 98.104 18.96 SN2 02/01/06 03/15/05 96.976 30.24 SP7 02/02/06 07/14/05 97.959 20.41 SQ5 02/03/06 07/12/05 97.934 20.66 ST9 02/06/06 11/22/05 99.132 8.68 SU6 02/07/06 02/08/05 96.855 31.45 SV4 02/08/06 12/19/05 99.404 5.96 SW2 02/09/06 12/09/05 99.277 7.23 SX0 02/10/06 12/09/05 99.265 7.35 313397TA9 02/13/06 09/22/05 98.484 15.16 TB7 02/14/06 08/16/05 98.069 19.31 TC5 02/15/06 03/04/05 96.829 31.71 TD3 02/16/06 09/22/05 98.452 15.48 TE1 02/17/06 12/06/05 99.144 8.56 TJ0 02/21/06 08/23/05 98.054 19.46 TK7 02/22/06 10/18/05 98.592 14.08 TL5 02/23/06 12/13/05 99.152 8.48 TM3 02/24/06 09/30/05 98.416 15.84 TQ4 02/27/06 04/06/05 96.848 31.52 TR2 02/28/06 04/07/05 96.848 31.52 TS0 03/01/06 08/15/05 97.927 20.73 TT8 03/02/06 10/20/05 98.515 14.85 TU5 03/03/06 03/16/05 96.656 33.44 TX9 03/06/06 03/28/05 96.627 33.73 TY7 03/07/06 03/08/05 96.613 33.87 TZ4 03/08/06 01/06/06 99.287 7.13 313397UA7 03/09/06 03/08/06 99.988 0.12 Section III-F (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- UB5 03/10/06 03/28/05 96.588 34.12 UE9 03/13/06 06/14/05 97.363 26.37 UF6 03/14/06 08/10/05 97.696 23.04 UG4 03/15/06 03/24/05 96.500 35.00 UH2 03/16/06 11/15/05 98.602 13.98 UJ8 03/17/06 03/22/05 96.530 34.70 UM1 03/20/06 03/22/05 96.501 34.99 UN9 03/21/06 06/16/05 97.282 27.18 UP4 03/22/06 10/19/05 98.272 17.28 UQ2 03/23/06 06/21/05 97.296 27.04 UR0 03/24/06 10/17/05 98.231 17.69 UU3 03/27/06 06/16/05 97.215 27.85 UV1 03/28/06 06/16/05 97.205 27.95 UW9 03/29/06 06/10/05 97.169 28.31 UX7 03/30/06 05/02/05 96.864 31.36 UY5 03/31/06 06/10/05 97.151 28.49 3128X4LS8 04/01/06 09/20/05 97.985 20.15 313397VB4 04/03/06 07/07/05 97.300 27.00 VC2 04/04/06 04/05/05 96.441 35.59 VD0 04/05/06 07/19/05 97.299 27.01 VE8 04/06/06 12/05/05 98.546 14.54 VF5 04/07/06 05/17/05 96.876 31.24 VJ7 04/10/06 05/20/05 96.867 31.33 VK4 04/11/06 08/31/05 97.671 23.29 VL2 04/12/06 06/01/05 96.981 30.19 VM0 04/13/06 04/13/05 96.431 35.69 VR9 04/17/06 04/22/05 96.630 33.70 VS7 04/18/06 04/19/05 96.575 34.25 VT5 04/19/06 12/08/05 98.416 15.84 VU2 04/20/06 08/26/05 97.465 25.35 VV0 04/21/06 05/13/05 96.694 33.06 VY4 04/24/06 12/15/05 98.433 15.67 VZ1 04/25/06 10/25/05 97.892 21.08 313397WA5 04/26/06 11/23/05 98.173 18.27 WB3 04/27/06 12/15/05 98.397 16.03 WC1 04/28/06 05/23/05 96.694 33.06 WF4 05/01/06 07/14/05 97.001 29.99 WG2 05/02/06 05/03/05 96.502 34.98 WH0 05/03/06 12/08/05 98.240 17.60 WJ6 05/04/06 01/12/06 98.644 13.56 WK3 05/05/06 08/25/05 97.266 27.34 WN7 05/08/06 08/15/05 97.133 28.67 WP2 05/09/06 10/14/05 97.643 23.57 WQ0 05/10/06 05/11/05 96.453 35.47 WR8 05/11/06 08/19/05 97.122 28.78 WS6 05/12/06 05/23/05 96.539 34.61 Section III-F (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- WV9 05/15/06 08/09/05 96.962 30.38 WW7 05/16/06 11/15/05 97.801 21.99 WX5 05/17/06 08/26/05 97.147 28.53 WY3 05/18/06 08/26/05 97.137 28.63 WZ0 05/19/06 10/06/05 97.475 25.25 313397XC0 05/22/06 12/16/05 98.092 19.08 XD8 05/23/06 11/22/05 97.801 21.99 XE6 05/24/06 07/22/05 96.804 31.96 XF3 05/25/06 01/27/06 98.541 14.59 XG1 05/26/06 06/24/05 96.677 33.23 XL0 05/30/06 05/31/05 96.441 35.59 XM8 05/31/06 07/01/05 96.669 33.31 XN6 06/01/06 06/14/05 96.519 34.81 XP1 06/02/06 11/10/05 97.592 24.08 XS5 06/05/06 07/20/05 96.649 33.51 XT3 06/06/06 12/06/05 97.765 22.35 XU0 06/07/06 11/02/05 97.420 25.80 XV8 06/08/06 07/07/05 96.612 33.88 XW6 06/09/06 07/07/05 96.602 33.98 XZ9 06/12/06 08/03/05 96.635 33.65 313397YA3 06/13/06 12/13/05 97.755 22.45 YB1 06/14/06 01/11/06 98.105 18.95 YC9 06/15/06 07/14/05 96.519 34.81 YD7 06/16/06 01/11/06 98.080 19.20 YG0 06/19/06 09/21/05 97.079 29.21 YH8 06/20/06 10/24/05 97.245 27.55 YJ4 06/21/06 10/31/05 97.236 27.64 YK1 06/22/06 01/13/06 98.027 19.73 YL9 06/23/06 09/22/05 97.047 29.53 YP0 06/26/06 08/25/05 96.687 33.13 YQ8 06/27/06 06/28/05 96.390 36.10 YR6 06/28/06 09/26/05 96.975 30.25 YS4 06/29/06 07/22/05 96.400 36.00 YT2 06/30/06 08/25/05 96.644 33.56 YW5 07/03/06 09/12/05 96.954 30.46 YY1 07/05/06 07/08/05 96.290 37.10 YZ8 07/06/06 05/04/06 99.148 8.52 313397ZA2 07/07/06 07/20/05 96.304 36.96 ZD6 07/10/06 03/07/06 98.382 16.18 ZE4 07/11/06 01/10/06 97.745 22.55 ZF1 07/12/06 03/15/06 98.456 15.44 ZG9 07/13/06 05/25/06 99.332 6.68 ZH7 07/14/06 11/30/05 97.238 27.62 ZL8 07/17/06 09/29/05 96.759 32.41 ZM6 07/18/06 01/17/06 97.740 22.60 ZN4 07/19/06 03/27/06 98.499 15.01 Section III-F (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- ZP9 07/20/06 03/28/06 98.496 15.04 ZQ7 07/21/06 12/16/05 97.348 26.52 ZT1 07/24/06 10/14/05 96.738 32.62 ZU8 07/25/06 07/26/05 96.117 38.83 ZV6 07/26/06 08/25/05 96.352 36.48 ZW4 07/27/06 03/16/06 98.264 17.36 ZX2 07/28/06 08/04/05 96.112 38.88 313397A27 07/31/06 08/16/05 96.171 38.29 A35 08/01/06 08/09/05 96.053 39.47 A43 08/02/06 03/08/06 98.085 19.15 A50 08/03/06 03/15/06 98.159 18.41 A68 08/04/06 08/09/05 96.030 39.70 A92 08/07/06 12/05/05 96.985 30.15 313397B26 08/08/06 02/07/06 97.659 23.41 B34 08/09/06 03/30/06 98.240 17.60 B42 08/10/06 03/15/06 98.064 19.36 B59 08/11/06 09/15/05 96.526 34.74 B83 08/14/06 01/18/06 97.440 25.60 B91 08/15/06 09/16/05 96.430 35.70 313397C25 08/16/06 04/11/06 98.293 17.07 C33 08/17/06 04/10/06 98.266 17.34 C41 08/18/06 04/17/06 98.340 16.60 C74 08/21/06 04/04/06 98.131 18.69 C82 08/22/06 08/23/05 95.986 40.14 C90 08/23/06 04/17/06 98.268 17.32 313397D24 08/24/06 04/20/06 98.296 17.04 D32 08/25/06 01/27/06 97.363 26.37 D65 08/28/06 12/22/05 96.943 30.57 D73 08/29/06 02/28/06 97.619 23.81 D81 08/30/06 11/16/05 96.508 34.92 D99 08/31/06 12/06/05 96.687 33.13 313397E23 09/01/06 09/12/05 96.254 37.46 E64 09/05/06 01/30/06 97.245 27.55 E72 09/06/06 05/02/06 98.261 17.39 E80 09/07/06 04/24/06 98.153 18.47 E98 09/08/06 10/28/05 96.264 37.36 313397F48 09/11/06 04/07/06 97.889 21.11 F55 09/12/06 03/14/06 97.578 24.22 F63 09/13/06 05/11/06 98.281 17.19 F71 09/14/06 04/12/06 97.903 20.97 F89 09/15/06 05/17/06 98.336 16.64 313397G39 09/18/06 11/16/05 96.235 37.65 G47 09/19/06 09/20/05 96.036 39.64 G54 09/20/06 12/01/05 96.386 36.14 G62 09/21/06 01/23/06 97.001 29.99 G70 09/22/06 12/16/05 96.554 34.46 Section III-F (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397H20 09/25/06 12/08/05 96.419 35.81 H38 09/26/06 03/28/06 97.568 24.32 H46 09/27/06 09/28/05 95.885 41.15 H53 09/28/06 07/21/06 99.001 9.99 H61 09/29/06 10/04/05 95.850 41.50 H95 10/02/06 05/24/06 98.184 18.16 313397J28 10/03/06 04/04/06 97.528 24.72 J36 10/04/06 03/17/06 97.365 26.35 J44 10/05/06 07/26/06 98.969 10.31 J51 10/06/06 12/15/05 96.362 36.38 J93 10/10/06 04/11/06 97.508 24.92 313397K34 10/12/06 05/11/06 97.878 21.22 K42 10/13/06 05/10/06 97.851 21.49 K75 10/16/06 11/29/05 96.086 39.14 K83 10/17/06 10/18/05 95.713 42.87 K91 10/18/06 06/08/06 98.141 18.59 313397L25 10/19/06 05/02/06 97.681 23.19 L33 10/20/06 02/21/06 96.867 31.33 L66 10/23/06 01/06/06 96.448 35.52 L74 10/24/06 01/18/06 96.544 34.56 L82 10/25/06 01/31/06 96.611 33.89 L90 10/26/06 01/18/06 96.519 34.81 313397M24 10/27/06 01/03/06 96.321 36.79 M57 10/30/06 02/06/06 96.586 34.14 M65 10/31/06 02/06/06 96.574 34.26 M73 11/01/06 11/04/05 95.545 44.55 M81 11/02/06 06/15/06 97.997 20.03 M99 11/03/06 06/20/06 98.032 19.68 313397N49 11/06/06 12/28/05 96.140 38.60 N56 11/07/06 05/09/06 97.477 25.23 N64 11/08/06 01/31/06 96.433 35.67 N72 11/09/06 12/29/05 96.141 38.59 N80 11/10/06 01/31/06 96.407 35.93 313397P39 11/13/06 04/04/06 96.977 30.23 P47 11/14/06 11/15/05 95.470 45.30 P54 11/15/06 12/12/05 95.803 41.97 P62 11/16/06 01/19/06 96.263 37.37 P70 11/17/06 01/19/06 96.250 37.50 313397Q20 11/20/06 01/23/06 96.254 37.46 Q38 11/21/06 02/02/06 96.277 37.23 Q46 11/22/06 07/12/06 98.057 19.43 Q61 11/24/06 01/27/06 96.221 37.79 Q95 11/27/06 01/27/06 96.183 38.17 313397R29 11/28/06 01/03/06 95.906 40.94 R37 11/29/06 01/23/06 96.142 38.58 R45 11/30/06 01/24/06 96.142 38.58 Section III-F (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- R52 12/01/06 12/02/05 95.497 45.03 R86 12/04/06 01/26/06 96.074 39.26 R94 12/05/06 02/09/06 96.130 38.70 313397S28 12/06/06 05/05/06 97.038 29.62 S36 12/07/06 07/18/06 97.929 20.71 S44 12/08/06 04/21/06 96.862 31.38 S77 12/11/06 01/25/06 96.018 39.82 S85 12/12/06 12/13/05 95.450 45.50 S93 12/13/06 02/16/06 96.100 39.00 313397T27 12/14/06 02/16/06 96.087 39.13 T35 12/15/06 01/20/06 95.915 40.85 T68 12/18/06 01/03/06 95.667 43.33 T76 12/19/06 06/20/06 97.336 26.64 T84 12/20/06 04/18/06 96.638 33.62 T92 12/21/06 09/01/06 98.421 15.79 313397U25 12/22/06 02/08/06 95.914 40.86 U66 12/26/06 02/24/06 95.993 40.07 U74 12/27/06 02/21/06 95.957 40.43 U82 12/28/06 03/23/06 96.274 37.26 U90 12/29/06 02/24/06 95.953 40.47 Section III-G FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2006 Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LRH3 01/03/06 12/02/05 99.630 3.70 RJ9 01/04/06 12/07/05 99.674 3.26 RK6 01/05/06 12/01/05 99.596 4.04 RL4 01/06/06 10/06/05 99.001 9.99 RP5 01/09/06 10/21/05 99.118 8.82 RQ3 01/10/06 12/02/05 99.549 4.51 RR1 01/11/06 10/28/05 99.159 8.41 RS9 01/12/06 12/12/05 99.663 3.37 RT7 01/13/06 10/05/05 98.917 10.83 RX8 01/17/06 12/14/05 99.605 3.95 RY6 01/18/06 01/12/06 99.931 0.69 RZ3 01/19/06 11/23/05 99.348 6.52 31315LSA7 01/20/06 10/20/05 98.984 10.16 SD1 01/23/06 11/07/05 99.125 8.75 SE9 01/24/06 01/23/06 99.988 0.12 SF6 01/25/06 01/24/06 99.988 0.12 SG4 01/26/06 01/25/06 99.988 0.12 SH2 01/27/06 12/20/05 99.557 4.43 SL3 01/30/06 10/28/05 98.937 10.63 SM1 01/31/06 01/30/06 99.988 0.12 SN9 02/01/06 11/03/05 98.979 10.21 SP4 02/02/06 11/04/05 98.979 10.21 SQ2 02/03/06 12/21/05 99.482 5.18 ST6 02/06/06 02/03/06 99.963 0.37 SU3 02/07/06 02/06/06 99.988 0.12 SV1 02/08/06 02/07/06 99.988 0.12 SW9 02/09/06 01/11/06 99.659 3.41 SX7 02/10/06 01/10/06 99.638 3.62 31315LTA6 02/13/06 11/10/05 98.918 10.82 TB4 02/14/06 01/18/06 99.678 3.22 TC2 02/15/06 11/29/05 99.090 9.10 TD0 02/16/06 11/07/05 98.850 11.50 TE8 02/17/06 02/16/06 99.988 0.12 TJ7 02/21/06 02/14/06 99.914 0.86 TK4 02/22/06 02/21/06 99.988 0.12 TL2 02/23/06 01/23/06 99.627 3.73 TM0 02/24/06 11/22/05 98.906 10.94 TQ1 02/27/06 11/28/05 98.932 10.68 TR9 02/28/06 12/01/05 98.952 10.48 TS7 03/01/06 12/22/05 99.180 8.20 TT5 03/02/06 02/02/06 99.657 3.43 TU2 03/03/06 03/02/06 99.988 0.12 TX6 03/06/06 01/20/06 99.461 5.39 TY4 03/07/06 02/07/06 99.657 3.43 TZ1 03/08/06 02/08/06 99.657 3.43 31315LUA4 03/09/06 03/08/06 99.988 0.12 UB2 03/10/06 12/27/05 99.128 8.72 Section III-G (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- UE6 03/13/06 02/14/06 99.669 3.31 UF3 03/14/06 02/14/06 99.656 3.44 UG1 03/15/06 02/16/06 99.668 3.32 UH9 03/16/06 12/08/05 98.831 11.69 UJ5 03/17/06 12/19/05 98.944 10.56 UM8 03/20/06 03/17/06 99.963 0.37 UN6 03/21/06 02/23/06 99.680 3.20 UP1 03/22/06 02/21/06 99.644 3.56 UQ9 03/23/06 02/23/06 99.655 3.45 UR7 03/24/06 03/17/06 99.914 0.86 UU0 03/27/06 12/27/05 98.920 10.80 UV8 03/28/06 03/27/06 99.987 0.13 UW6 03/29/06 02/28/06 99.645 3.55 UX4 03/30/06 12/29/05 98.913 10.87 UY2 03/31/06 12/30/05 98.913 10.87 31315LVB1 04/03/06 09/29/05 97.970 20.30 VC9 04/04/06 03/07/06 99.652 3.48 VD7 04/05/06 04/04/06 99.987 0.13 VE5 04/06/06 01/06/06 98.915 10.85 VF2 04/07/06 01/09/06 98.934 10.66 VJ4 04/10/06 03/10/06 99.613 3.87 VK1 04/11/06 10/11/05 97.917 20.83 VL9 04/12/06 04/11/06 99.987 0.13 VM7 04/13/06 01/11/06 98.886 11.14 VR6 04/17/06 03/15/06 99.589 4.11 VS4 04/18/06 01/19/06 98.913 10.87 VT2 04/19/06 03/22/06 99.638 3.62 VU9 04/20/06 03/30/06 99.730 2.70 VV7 04/21/06 01/20/06 98.883 11.17 VY1 04/24/06 03/29/06 99.662 3.38 VZ8 04/25/06 01/27/06 98.905 10.95 31315LWA2 04/26/06 04/25/06 99.987 0.13 WB0 04/27/06 04/26/06 99.987 0.13 WC8 04/28/06 01/30/06 98.900 11.00 WF1 05/01/06 12/27/05 98.476 15.24 WG9 05/02/06 02/07/06 98.944 10.56 WH7 05/03/06 05/06/05 97.683 23.17 WJ3 05/04/06 05/03/06 99.987 0.13 WK0 05/05/06 02/10/06 98.947 10.53 WN4 05/08/06 03/29/06 99.481 5.19 WP9 05/09/06 05/08/06 99.987 0.13 WQ7 05/10/06 02/16/06 98.950 10.50 WR5 05/11/06 04/13/06 99.634 3.66 WS3 05/12/06 02/17/06 98.934 10.66 WV6 05/15/06 05/12/06 99.961 0.39 WW4 05/16/06 02/16/06 98.873 11.27 WX2 05/17/06 04/17/06 99.607 3.93 Section III-G (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- WY0 05/18/06 04/17/06 99.594 4.06 WZ7 05/19/06 03/01/06 98.997 10.03 31315LXC7 05/22/06 05/26/05 97.883 21.17 XD5 05/23/06 02/24/06 98.878 11.22 XE3 05/24/06 05/02/06 99.705 2.95 XF0 05/25/06 04/27/06 99.625 3.75 XG8 05/26/06 02/27/06 98.874 11.26 XL7 05/30/06 02/27/06 98.822 11.78 XM5 05/31/06 05/30/06 99.986 0.14 XN3 06/01/06 04/25/06 99.508 4.92 XP8 06/02/06 06/01/06 99.986 0.14 XS2 06/05/06 05/05/06 99.579 4.21 XT0 06/06/06 03/30/06 99.105 8.95 XU7 06/07/06 06/06/06 99.986 0.14 XV5 06/08/06 06/07/06 99.986 0.14 XW3 06/09/06 06/08/06 99.986 0.14 XZ6 06/12/06 03/10/06 98.790 12.10 31315LYA0 06/13/06 03/17/06 98.851 11.49 YB8 06/14/06 05/16/06 99.604 3.96 YC6 06/15/06 05/23/06 99.685 3.15 YD4 06/16/06 03/17/06 98.812 11.88 YG7 06/19/06 01/19/06 98.142 18.58 YH5 06/20/06 06/19/06 99.986 0.14 YJ1 06/21/06 06/20/06 99.987 0.13 YK8 06/22/06 05/24/06 99.602 3.98 YL6 06/23/06 06/09/06 99.808 1.92 YP7 06/26/06 05/23/06 99.534 4.66 YQ5 06/27/06 03/29/06 98.806 11.94 YR3 06/28/06 05/31/06 99.615 3.85 YS1 06/29/06 03/30/06 98.792 12.08 YT9 06/30/06 03/31/06 98.792 12.08 YW2 07/03/06 05/26/06 99.479 5.21 YY8 07/05/06 06/02/06 99.545 4.55 YZ5 07/06/06 04/06/06 98.784 12.16 31315LZA9 07/07/06 04/07/06 98.784 12.16 ZD3 07/10/06 07/07/06 99.957 0.43 ZE1 07/11/06 07/10/06 99.986 0.14 ZF8 07/12/06 04/13/06 98.785 12.15 ZG6 07/13/06 04/13/06 98.772 12.28 ZH4 07/14/06 01/17/06 97.790 22.10 ZL5 07/17/06 01/24/06 97.835 21.65 ZM3 07/18/06 04/11/06 98.688 13.12 ZN1 07/19/06 07/18/06 99.986 0.14 ZP6 07/20/06 04/20/06 98.769 12.31 ZQ4 07/21/06 06/26/06 99.641 3.59 ZT8 07/24/06 07/21/06 99.957 0.43 ZU5 07/25/06 07/24/06 99.986 0.14 Section III-G (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- ZV3 07/26/06 07/12/06 99.800 2.00 ZW1 07/27/06 04/25/06 98.734 12.66 ZX9 07/28/06 04/28/06 98.753 12.47 31315LA24 07/31/06 07/28/06 99.957 0.43 A32 08/01/06 07/03/06 99.584 4.16 A40 08/02/06 05/25/06 99.046 9.54 A57 08/03/06 07/10/06 99.657 3.43 A65 08/04/06 07/07/06 99.598 4.02 A99 08/07/06 08/04/06 99.958 0.42 31315LB23 08/08/06 05/10/06 98.760 12.40 B31 08/09/06 08/08/06 99.986 0.14 B49 08/10/06 07/10/06 99.555 4.45 B56 08/11/06 05/11/06 98.732 12.68 B80 08/14/06 07/19/06 99.626 3.74 B98 08/15/06 08/14/06 99.986 0.14 31315LC22 08/16/06 05/16/06 98.730 12.70 C30 08/17/06 04/18/06 98.360 16.40 C48 08/18/06 06/21/06 99.164 8.36 C71 08/21/06 08/18/06 99.957 0.43 C89 08/22/06 08/21/06 99.986 0.14 C97 08/23/06 05/22/06 98.714 12.86 31315LD21 08/24/06 05/23/06 98.714 12.86 D39 08/25/06 07/25/06 99.552 4.48 D62 08/28/06 08/04/06 99.653 3.47 D70 08/29/06 08/04/06 99.639 3.61 D88 08/30/06 08/29/06 99.986 0.14 D96 08/31/06 05/31/06 98.716 12.84 31315LE20 09/01/06 06/01/06 98.712 12.88 E61 09/05/06 08/01/06 99.493 5.07 E79 09/06/06 06/23/06 98.908 10.92 E87 09/07/06 08/01/06 99.465 5.35 E95 09/08/06 07/27/06 99.377 6.23 31315LF45 09/11/06 09/13/05 96.098 39.02 F52 09/12/06 09/11/06 99.986 0.14 F60 09/13/06 07/18/06 99.172 8.28 F78 09/14/06 08/28/06 99.757 2.43 F86 09/15/06 06/16/06 98.681 13.19 31315LG36 09/18/06 08/24/06 99.642 3.58 G44 09/19/06 06/19/06 98.663 13.37 G51 09/20/06 07/19/06 99.085 9.15 G69 09/21/06 07/18/06 99.056 9.44 G77 09/22/06 08/11/06 99.400 6.00 31315LH27 09/25/06 08/28/06 99.600 4.00 H35 09/26/06 09/25/06 99.986 0.14 H43 09/27/06 06/23/06 98.595 14.05 H50 09/28/06 09/27/06 99.986 0.14 H68 09/29/06 05/24/06 98.212 17.88 Section III-G (continued) Discount to be Issue Price Reported as 2006 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- H92 10/02/06 06/27/06 98.580 14.20 31315LJ25 10/03/06 09/07/06 99.627 3.73 J33 10/04/06 07/19/06 98.879 11.21 J58 10/06/06 07/06/06 98.643 13.57 J90 10/10/06 09/11/06 99.585 4.15 31315LK23 10/11/06 07/13/06 98.681 13.19 K31 10/12/06 07/18/06 98.743 12.57 K49 10/13/06 07/13/06 98.651 13.49 K72 10/16/06 09/15/06 99.556 4.44 K98 10/18/06 07/19/06 98.668 13.32 31315LL22 10/19/06 07/28/06 98.787 12.13 L63 10/23/06 09/22/06 99.558 4.42 L71 10/24/06 10/24/05 95.661 43.39 L89 10/25/06 07/19/06 98.565 14.35 31315LM21 10/27/06 07/27/06 98.653 13.47 M54 10/30/06 07/27/06 98.609 13.91 M70 11/01/06 05/05/06 97.493 25.07 M96 11/03/06 05/25/06 97.737 22.63 31315LN53 11/07/06 08/14/06 98.777 12.23 N61 11/08/06 07/31/06 98.539 14.61 31315LP36 11/13/06 08/15/06 98.708 12.92 P77 11/17/06 08/17/06 98.681 13.19 31315LQ92 11/27/06 08/23/06 98.623 13.77 31315LR42 11/30/06 12/08/05 95.518 44.82 R59 12/01/06 06/12/06 97.559 24.41 31315LS41 12/08/06 09/08/06 98.696 13.04 31315LT32 12/15/06 05/16/06 97.030 29.70 T73 12/19/06 09/19/06 98.693 13.07 T99 12/21/06 09/21/06 98.698 13.02 31315LU89 12/28/06 06/26/06 97.287 27.13 U97 12/29/06 09/29/06 98.708 12.92 68 69