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                




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