Does Trading Frequency Affect Subordinated Debt Spreads?

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Does Trading Frequency Affect Subordinated Debt Spreads? Christopher Bianchi, Diana Hancock, and Laura Kawano 2005-08 NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series (other than acknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.

DOES TRADING FREQUENCY AFFECT SUBORDINATED DEBT SPREADS? Christopher Bianchi, Diana Hancock, and Laura Kawano Board of Governors of the Federal Reserve System Washington, DC 20551 December 14, 2004 ABSTRACT Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization’s financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period. Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading frequency does significantly affect observed subordinated debt spreads. We also provide estimates for the premium of illiquidity. The views expressed are those of the authors and do not necessarily reflect those of the Board of Governors of the Federal Reserve System or its staff

INTRODUCTION Since the mid-1980's, a growing number of observers have proposed using subordinated debt as a vehicle for improved market discipline.1 Because subordinated debt holders have an incentive to monitor a banking organization’s financial condition, observed subordinated debt spreads could provide informative signals of these investors’ perceptions. However, there are several reasons why subordinated debt spreads may not accurately reflect investor perceptions of risk.2 For example, Covitz, Hancock, and Kwast (2004)3 demonstrate that the risk-sensitivity of bank funding manager decisions affect observed subordinated debt issuance spreads. And, Birchler and Hancock (2004)4 show that subordinated debt issuance spreads are influenced by the (less sophisticated) perceptions of senior debt investors. In this study, we consider whether trading frequency significantly influences time-series information on large, complex, banking organization subordinated debt spreads. There are at least two reasons why this is an important topic. First, illiquid bonds, which do not trade as frequently as other bonds, may be relatively poorly priced. Consequently, it may be difficult to make inferences about investor perceptions regarding changes in a banking organization’s financial condition. Second, in volatile bond markets, the uncertainty about an illiquid bond’s price may be larger. But, such times may be those when supervisors may be most interested in the views of market participants. 1. See Board of Governors of the Federal Reserve System and U.S. Treasury Department, “The Feasibility and Desirability of Mandatory Subordinated Debt” Report to Congress pursuant to Section 108 of the Gramm-Leach-Bliley Act of 1999 (2002), for a summary of various subordinated debt proposals. 2. Bond characteristics (e.g., length of maturity, call options and the frequency of coupon payments), bond liquidity, and systematic risks are likely to affect secondary market spreads. Also, accurate bond prices may be difficult to obtain. See, for example, Hancock, D. and M.L. Kwast, 2001, “Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?,” Journal of Financial Services Research,20, pp. 147-187. 3. Covitz, D.M., D. Hancock, and M.L. Kwast, 2004, “A Reconsideration of th Risk Sensitivity of U.S. Banking Organization Subordinated Debt Spreads: A Sample Selection Approach,” Federal Reserve Bank of New York Economic Policy Review vol. 10, no. 2. 4. Birchler, U., and D. Hancock. 2004. “What Does the Yield on Subordinated Bank Debt Measure?” Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series no. 2004-19. -1-

Using data on observed secondary market prices on the subordinated debt of large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period, we find that trading frequency does significantly affect subordinated debt spreads. Large gaps between observed prices for a bond significantly increases its spread. And, bonds that are traded highly frequently have significantly lower spreads than less frequently traded bonds. MEASURING TRADING FREQUENCY A direct measure of a bond’s trading frequency would be its number or dollar volume of trades. But, the bond market is an over-the-counter market where the volume of trades for each bond is not disclosed. Instead, we use various indirect measures for weekly trading frequency for each bond that are derived from daily time-series information on Bloomberg “generic” bond prices. These prices are constructed using the consensus method, which averages observed trading prices after dropping the highest and lowest observations. A minimum of three observations is required, after dropping the highest and lowest observations, for a price to be valid, otherwise a missing value is entered for the trading price. This algorithm ensures that at least five trades occur on each date when a generic price is reported. From this pricing series, we construct several trading frequency variables for each bond: (1) the number of weeks since the last generic bond price was reported, nweeks; (2) an indicator variable that equals one, when there has been an increase in the number of traded prices reported for adjoining weeks, upindicator; (3) a “low” trading frequency indicator variable, pricefreqg, g=1,2 and 3, that equals one when “generic” prices are reported for only 1, 2 or 3 days in the week, and zero otherwise, and (4) a “high” trading frequency indicator variable, pricefreq5, that equals one when “generic” prices are reported for all 5 days in the week, and zero otherwise. We consider 211 bonds traded in the secondary market over the 1987:Q2 - 2002:Q4 period, which were issued by 22 large, complex, banking organizations that have been monitored monthly by U.S. bank supervisors.5 For a bond to be included in the sample, its amount 5. The U.S. banking organizations included in this study are AmSouth Bancorporation, Bank One Corporation, BankAmerica Corporation, Bank of New York Company, Citicorp, Chase Manhattan Corp., Comerica Incorporated, J.P. Morgan Chase & Co., Firstar Corporation, First Union Corporation, FleetBoston, Huntington Bancshares Inc., Keycorp, Mellon Financial -2-

outstanding at issuance had to exceed $75 million and there had to be a minimum of 20 weeks with generic prices reported by Bloomberg during the sample period. The Appendix provides for each large, complex, banking organization a one-page summary of its subordinated notes and debenture Bloomberg generic pricing information.6 The top panel on each page contains a chart of end-of-week secondary market subordinated debt spreads over comparable maturity Treasury securities7 during the entire sample period. Solid lines in each chart appear when the weekly data are continuous. Dashed lines in each chart appear when the weekly data are discontinuous. These dashed lines are linear interpolations of spreads derived using the observed generic prices. Strikingly, these dashed lines appear well above the solid lines in cases where a banking organization has both frequently traded and infrequently traded bonds outstanding at the same time. It also appears that the dashed lines are fairly close to the solid lines when the time-series gaps are small, but are disproportionately larger as the time-series gap widens. The bottom panel on each page contains a table with annual summary statistics on (1) the number of subordinated notes and debentures outstanding, (2) the number of such bonds with generic pricing information available from Bloomberg, (3) the number of bond-weeks with generic prices available, and (4) the number of bond-weeks with each pricing frequency, pricefreqf, f=1,...,5. Looking across firms, the Bloomberg generic pricing data tend to be available for recently issued bonds, for firms with many outstanding issues, and for actively- Corporation, PNC Financial Services Group, Inc. (but, there were no bonds issued by this organization in an amount over $75 million), Regions Financial Corporation, Republic New York Corporation, Southtrust Corporation, SunTrust Banks, Inc., Union Planters Corporation, U.S. Bancorp, Wachovia Corporation, and Wells Fargo & Company. 6. In the Appendix, the banking organizations are in alphabetical order. 7. Each end-of-week spread was calculated using a three-step procedure. First, yields on each bond were derived from reported bond prices using the Newton-Raphson iterative method. Second, the term structure of Treasury interest rates was identified for each date by using a smoothing spline of the forward rate curve that incorporated a “roughness” penalty determined by generalized cross validation. (The splining technique is described in Fisher, Mark, Douglas Nychka and David Zervos, 1995, “Fitting the Term Structure of Interest Rates with Smoothing Splines,” Finance and Economics Discussion Series, #95-1, Board of Governors of the Federal Reserve System, January). Third, the spread was calculated as the difference between the derived bond yield and an interpolated Treasury yield of the same maturity. -3-

traded bonds. In fact, for some of the largest banking organizations (e.g., Bank of America, Citigroup, J.P. Morgan Chase & Co.), there is a high proportion of bond-weeks with “high” trading frequency (i.e., generic prices available for every day of the week) when generic prices were available. Banking organizations with just a few bonds outstanding (e.g., Amsouth, Comerica, and Keycorp) tend to have large gaps in their time-series for Bloomberg generic price data, but these data are more likely to be available in weeks with “high” trading frequency. THE EMPIRICAL MODEL Various factors other than trading frequency are expected to influence observed secondary market subordinated debt spreads. For example, market leverage (i.e., the ratio of total (book) liabilities to (the market value of common stock plus the book value of preferred stock)) has been shown to be positively related to banking organization subordinated debt spreads.8 This proxy for banking organization-specific default risk, marketlev, evolves each day i with the firm’s common stock price and shifts with movements in its quarter-end balance sheet information. Because market leverage can be calculated on a weekly basis, we used this proxy for banking organization-specific risk to gauge bond market participants’ perceptions about expected default losses.9 It may also be the case that investors require a risk premium that is above and beyond the expected loss from default in order to compensate for systematic, rather than diversifiable, risk. In fact, researchers have recently identified several common risk factors in U.S. stock returns and bond spreads.10 We use three of these factors: an overall stock market excess return, 8. Higher market leverage should raise default risk. See Flannery, Mark J. and Sorin M. Sorescu, 1996, “Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991,” Journal of Finance, 51 (4), September, pp. 1347-1377 and Hancock, Diana and Myron L. Kwast, 2001, “Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?,” Journal of Financial Services Research, 20:2/3, pp. 147-187. 9. Weekly market leverage data was constructed from weekly averages for the common stock price observed for each banking organization. 10. See Fama, Eugene and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, February, pp. 3 -56, and Elton, Edwin J., Martin J. Gruber, Deepak Agrawal and Christopher Mann, 2000, “Explaining the Rate Spread on Corporate Bonds, The Journal of Finance, 56 (1), February, pp. 247-277. -4-

EXRET, a measure of the performance of small firms relative to large firms, SMB, and a t t measure of the performance of value stocks relative to growth stocks, HML.11 t Center for Research in Security Prices (CRSP) data are used to compute a weekly average of daily excess stock returns, EXRET. The daily excess stock market returns are t calculated as the difference between the daily value-weighted return on NYSE, Amex, and Nasdaq stocks and the off-the-run one-month Treasury return. The relative performance measures, SMB and HML, are also calculated from CRSP data. t t Both of these measures depend on stratifications with respect to firm-size and with respect to book-to-market equity ratios. In each year, firms with NYSE, Amex, and Nasdaq stocks are classified as “small,” when their size (price times shares) is less than the median firm size for the NYSE. And, firms are classified as “large,” when their size is greater than the median firm size for the NYSE.12 In each year, firms are also stratified into three book-to-market equity groups based on the breakpoints for the bottom 30 percent, “low,” the middle 40 percent, “medium,” and the top 30 percent, “high.” The relative performance measure, SMB, is calculated as the t difference between returns on small-firm and big-firm stock portfolios with about the same weighted-average book-to-market equity. Similarly, the relative performance measure, HML, is t calculated as the difference in returns on high- and low- book-to-market equity portfolios with about the same weighted-average size. During periods of bond market stress, such as the post-Russian default period of August - October 1998, sharp increases in overall corporate bond spreads over Treasuries with comparable maturities can occur.13 To proxy for bond market risk, we use an implied stock market volatility, bondvolatility, which is exogenous to, but highly correlated with, bond market t volatiliy. Our volatility measure, which is computed from CRSP data, equals the weekly standard deviation of the daily S&P 500 stock returns. 11. These three risk factors were developed in Fama, Eugene and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, February, pp. 3 -56. 12. June data are used for the firm size stratifications in each year of the sample. 13. Increases in overall corporate bond spreads are sometimes explained by an increase in risk aversion or by a flight to quality. -5-

To ascertain the effects of trading frequency on banking organization subordinated debt spreads, we use our panel data to estimate the following fixed-effects regression: 2 Spread =α+∑γmarketlev +βEXRET +βSMB +βHML bit j i,t−j 1 t 2 t 3 t j=1 2 2 +∑µbondvolatility +∑ξnweeks j +ξupindicator j t− j j bt 3 bt j=1 j=1 21 +ξpricefreq 123+ξpricefreq 5+∑φbankindicator 4 bt 5 bt i i i=1 where Spread is the secondary market spread on bond b at time t (issued in a previous period bit by banking organization i); market lev is the market leverage measured for banking i,t organization i at time t; EXRET, SMB, and HML are the common risk factors at time t; t t t bondvolatility is the proxy for bond market volatility at time t; nweeks j, upindicator, t bt pricefreq 123, pricefreq 5 are the trading frequency measures for bond b at time t; and bt bt bankindicator, i=1,...,22 are the banking organization-specific indicator variables.14 Two lags i for the market leverage measure of banking organization risk are included because investors may be interested in how this measure is evolving over time, rather than just its current level.15 Tests for the appropriate lag length indicated that only two lags were needed to capture such an effect. For similar reasons, two lags for the bond market volatility measure were included in the model. Because the premium contained in the spread did not appear to be a linear function of the number of weeks since the last observed generic price, we used various indicator variables constructed from nweeks of different time-interval lengths (e.g., a week, a month, a quarter, two bt quarters, a year, etc.). 14. One bank indicator is dropped from the regression to avoid singularity. Parameter estimates for the other bank indicators can be viewed as relative to the omitted indicator. 15. Because market leverage for week t depends on the weekly average for the common stock price observed for each banking organization, the contemporaneous market leverage variable is only known at the end-of-day on the end-of-week. Understandably, the contemporaneous market leverage variable was statistically insignificant even at the 10 percent level in model specifications that included it. -6-

FINDINGS Parameter estimates, t-statistics, and the R2 for the “best-fit specification” that omits the indicator variable for nweeks for one to 26 weeks (i.e., 1 week to 6 months) and includes bt indicator variables for 27 to 104 weeks and for greater than 104 weeks (i.e., 2 years) are presented in Table 1.16 As expected, the banking organization-specific default risk proxy (i.e., the lagged marketlev variables) were not only significant, but also positive. This means that an increase in default risk increased observed secondary market spreads. Moreover, an increase in bond market volatility, significantly increased observed banking organization secondary subordinated debt spreads: The parameter estimates on bondvolatility and bondvolatility t-1 t-2 are both positive and significant at the 5 percent level of confidence. Not surprisingly, the common risk factors that affect aggregate corporate bond spreads and stock market returns also influenced banking organization subordinated debt spreads. Each of the common risk factors, EXRET, SMB, and HML, significantly influenced observed secondary spreads on banking organization subordinated debt instruments. Trading frequency measures importantly influenced observed secondary spreads for banking organization subordinated debt instruments. In particular, the longer the lapse between observed traded prices, measured using nweeks j, the higher the secondary subordinated debt bt spread. Bonds that did not have generic prices available for 27 to 104 weeks had spreads that were, on average, 19 basis points higher than bonds with generic prices available more frequently. And, spreads on bonds that did not have generic prices available for two years or longer were on average 64 basis points higher than spreads on bonds that had such prices available within a six-month period.17 This is economically significant since the average spread observed for the sample period was only 101.78 basis points. Surprisingly, generic pricing 16. Indicator variables of lengths one week, two to four weeks, five to 12 weeks, and 13 to 26 weeks were individually and together insignificant at the five and ten percent level of confidence. Similarly, parameter estimates for indicators between 27 and 104 weeks were not significantly different from one another, so the more parsimonious specification is reported here. 17. Inclusion of interaction terms between the nweeks indicator variables and conteporaneous bond market volatility measures in the model suggest that the spread differential between actively- and inactively-traded bonds rises with bond market volatility. -7-

lapses of less than six months did not materially or significantly affect spreads. This is likely why data sources that employ matrix prices (e.g., Bloomberg Fair Value and Interactive Data Corporation) remain popular with market practitioners. In addition, the weekly trading frequency indicator variables were statistically significant, of the expected sign, and of plausible magnitude. The “high” trading frequency indicator (pricefreq 5 ) parameter estimate is significant and equal to -0.016. This means that bt spreads on bonds that have generic prices available for each day of the week are about 1.6 basis points lower than spreads on bonds that have generic prices available less frequently during the week. The insignificant “low” trading frequency indicator (pricefreq 123) parameter estimate bt means that trading four days per week does not reduce the spread that is observed when a bond trades only 1, 2 or 3 days per week. The parameter estimate on the indicator variable, upindicator, which signaled an increase in the number of generic prices reported for adjoining weeks, was not statistically significant though it was of the expected (i.e., negative) sign. This finding is consistent with the lack of a statistical difference in the spreads for bonds traded between one and four times per week. What really matters is whether a generic price is available all the time (i.e., every day during the week), or less frequently. Banking organization-specific effects importantly influenced observed secondary spreads. The parameter estimates for the banking organization indicators are ordered in Table 1 so that the largest banking organization (measured using total consolidated assets) is first and the smallest banking organization is last.18 Larger banking organizations tend to have significantly lower spreads than smaller banking organizations. This finding is consistent with banking organization asset size importantly influencing observed secondary spreads even after the inclusion of many default risk proxies.19 Negative indicator variables for some of the regional banks (e.g., Keycorp and Mellon) are consistent with market participant views that the spreads 18. Since some of the organizations no longer exist, banking organizations are ordered by their total asset size in their last year of existence during the sample period. 19. See Flannery, Mark J. and Sorin M. Sorescu, 1996, “Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991,” Journal of Finance, 51 (4), September, pp. 1347- 1377. -8-

for debt issued by “known names” are lower than the spreads for debt issued by other banking organizations.20 CONCLUSION Trading frequency measures significantly influence the observed subordinated debt spreads on instruments issued by large domestic banking organizations. When a bond does not have generic prices available for every business day during the week, its observed spreads will be about 1.5 basis points higher. When a bond has not received a generic price on Bloomberg for between 6 months and two years, it will have a spread that is about 20 basis points higher than a bond that has traded within the last six months. And, when the interval between generic prices is longer than two years, the spread will typically be 64 basis points higher than for a bond that has generic prices available within the preceding six month period. These rules-of-thumb derived from the estimated time-series model can potentially be used to adjust banking organization subordinated debt spreads calculated from observed generic prices to place frequently- and infrequently-traded bonds on a more comparable basis. 20. Board of Governors of the Federal Reserve System, 1999, “Using Subordinated Debt as an Instrument of Market Discipline,” Staff Study #172, December, pp. 46-47. -9-

TABLE 1: THE EFFECTS OF TRADING FREQUENCY ON BANK SUBORDINATED DEBT SPREADS (22 Large, Complex, Banking Organizations, 206 Subordinated Instruments, Weekly Data, 1987-2002) DEPENDENT VARIABLES PARAMETER ESTIMATE T-STATISTIC Bank-specific Risk Measures marketlev 0.011 2.67 i, t-1 marketlev 0.049 11.73 i, t-2 Common Risk Factors EXRET -3.855 -7.84 t SMB 3.375 10.12 t HML -4.000 -9.13 t Bond Market Volatility Measure bondvolatility 0.125 28.72 t-1 bondvolatility 0.134 30.98 t-2 Trading Frequency Measures nweeks 27,104 0.192 5.24 b nweeks greater than 104 0.642 3.32 b upindicator -0.005 -0.88 b, t Pricefreq 123 -0.001 -0.18 b,t Pricefreq 5 -0.016 -2.13 b,t Banking Organization-Specific Indicators J.P. Morgan Chase -0.297 -18.89 Chase Manhattan -0.158 -10.17 Citicorp -0.139 -8.70 Bank of America -0.151 -10.04 Wachovia -0.108 -5.84 BancOne -0.004 -0.23 First Union -0.197 -11.77 Fleet Financial 0.054 2.85 US Bancorp -0.021 -0.82 Suntrust 0.266 5.56 Society (Keycorp) -0.110 -4.10 Firstar 0.444 10.58 Bank of New York -0.200 -9.56 Comerica 0.020 0.81 Republic NY -0.668 -37.15 Southtrust 0.110 3.28 Regions -0.112 -2.30 Amsouth 0.040 1.39 Mellon -0.841 -18.96 Union Planters 0.569 8.57 Huntington -0.242 -6.84 Goodness of Fit Measure R2 0.25 Note: The bank indicator variable for Wells Fargo was omitted from the regression. Remaining banking organizations are ordered by their total asset size in their last year of existence during the sample period. -10-

APPENDIX: SUMMARY OF SUBORDINATED NOTES AND DEBENTURE PRICING INFORMATION FOR LARGE, COMPLEX BANKING ORGANIZATIONS

AMSOUTH BANCORPORATION RSSD = 1078604 TICKER = ASO Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 1 1 1 1 1 1 1 2 Number of SND with Generic Pricing 1 1 1 1 1 1 1 2 Percentage of SND with Generic Pricing 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% Number of Bond-Weeks 35 52 52 52 52 52 52 85 Number of Bond-Weeks with Generic Pricing 5 51 47 50 51 37 30 10 Percentage of Bond-Weeks with Generic Pricing 14.29% 98.08% 90.38% 96.15% 98.08% 71.15% 57.69% 11.76% Number of Bond-Weeks with Various Frequencies 5 3 40 32 45 31 32 18 8 4 2 11 8 3 11 3 3 0 3 0 0 2 0 4 0 4 0 2 0 0 2 1 2 1 4 1 1 0 0 3 1 3 1 1 1 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 3 3 3 3 4 3 3 3 Number of SND with Generic Pricing 2 1 2 2 2 1 0 0 Percentage of SND with Generic Pricing 66.67% 33.33% 66.67% 66.67% 50.00% 33.33% 0.00% 0.00% Number of Bond-Weeks 113 156 156 156 167 156 156 156 Number of Bond-Weeks with Generic Pricing 14 4 24 36 8 5 0 0 Percentage of Bond-Weeks with Generic Pricing 12.39% 2.56% 15.38% 23.08% 4.79% 3.21% 0.00% 0.00% Number of Bond-Weeks with Various Frequencies 5 8 2 10 17 3 0 0 0 4 2 1 9 6 1 0 0 0 3 1 1 3 3 0 3 0 0 2 3 0 1 8 2 1 0 0 1 0 0 1 2 2 1 0 0

BANC ONE CORPORATION RSSD = 1068294 TICKER = ONE Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 1 2 3 4 4 4 Number of SND with Generic Pricing 0 0 0 1 1 2 2 2 Percentage of SND with Generic Pricing N/A N/A 0.00% 50.00% 33.33% 50.00% 50.00% 50.00% Number of Bond-Weeks 0 0 44 72 120 179 208 208 Number of Bond-Weeks with Generic Pricing 0 0 0 16 48 49 54 63 Percentage of Bond-Weeks with Generic Pricing N/A N/A 0.00% 22.22% 40.00% 27.37% 25.96% 30.29% Number of Bond-Weeks with Various Frequencies 5 N/A N/A 0 13 18 26 43 30 4 N/A N/A 0 2 12 10 3 10 3 N/A N/A 0 0 4 7 2 5 2 N/A N/A 0 1 4 2 2 6 1 N/A N/A 0 0 10 4 4 12 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 6 7 9 9 10 11 12 13 Number of SND with Generic Pricing 3 4 4 4 5 6 6 6 Percentage of SND with Generic Pricing 50.00% 57.14% 44.44% 44.44% 50.00% 54.55% 50.00% 46.15% Number of Bond-Weeks 256 322 436 468 515 543 579 614 Number of Bond-Weeks with Generic Pricing 95 121 146 153 173 253 187 268 Percentage of Bond-Weeks with Generic Pricing 37.11% 37.58% 33.49% 32.69% 33.59% 46.59% 32.30% 43.65% Number of Bond-Weeks with Various Frequencies 5 56 86 109 108 106 208 169 237 4 8 8 8 17 23 15 9 18 3 5 10 15 11 17 11 6 1 2 9 7 5 6 12 10 1 7 1 17 10 9 11 15 9 2 5

BANK OF AMERICA RSSD = 1026016, 1073757 TICKER = BAC Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 4 4 6 9 15 22 28 34 Number of SND with Generic Pricing 0 0 0 2 6 12 13 17 Percentage of SND with Generic Pricing 0.00% 0.00% 0.00% 22.22% 40.00% 54.55% 46.43% 50.00% Number of Bond-Weeks 189 208 263 386 696 961 1317 1587 Number of Bond-Weeks with Generic Pricing 0 0 0 49 273 404 560 626 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 0.00% 12.69% 39.22% 42.04% 42.52% 39.45% Number of Bond-Weeks with Various Frequencies 5 0 0 0 46 167 280 434 460 4 0 0 0 2 43 48 39 62 3 0 0 0 0 31 35 31 48 2 0 0 0 1 18 22 25 33 1 0 0 0 0 14 19 31 23 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 38 45 46 47 47 46 52 49 Number of SND with Generic Pricing 18 21 24 39 38 38 36 31 Percentage of SND with Generic Pricing 47.37% 46.67% 52.17% 82.98% 80.85% 82.61% 69.23% 63.27% Number of Bond-Weeks 1851 2128 2304 2416 2373 2342 2390 2339 Number of Bond-Weeks with Generic Pricing 691 813 876 1355 1345 1666 1152 1137 Percentage of Bond-Weeks with Generic Pricing 37.33% 38.20% 38.02% 56.08% 56.68% 71.14% 48.20% 48.61% Number of Bond-Weeks with Various Frequencies 5 544 607 702 996 906 1417 1001 892 4 52 79 48 132 191 80 39 65 3 38 38 42 98 112 64 42 40 2 30 42 42 80 75 44 34 66 1 27 47 42 49 61 61 36 74

BANK OF NY CO. RSSD = 1033470 TICKER = BK Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 2 2 2 2 3 5 7 8 Number of SND with Generic Pricing 0 0 0 0 0 2 2 3 Percentage of SND with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 40.00% 28.57% 37.50% Number of Bond-Weeks 104 104 104 104 123 188 294 368 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 32 95 69 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 17.02% 32.31% 18.75% Number of Bond-Weeks with Various Frequencies 5 0 0 0 0 0 29 88 55 4 0 0 0 0 0 2 3 3 3 0 0 0 0 0 0 1 3 2 0 0 0 0 0 0 2 5 1 0 0 0 0 0 1 1 3 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 8 8 7 8 9 9 9 11 Number of SND with Generic Pricing 3 3 3 3 4 4 3 3 Percentage of SND with Generic Pricing 37.50% 37.50% 42.86% 37.50% 44.44% 44.44% 33.33% 27.27% Number of Bond-Weeks 416 377 334 400 421 468 449 456 Number of Bond-Weeks with Generic Pricing 149 90 94 69 61 128 84 78 Percentage of Bond-Weeks with Generic Pricing 35.82% 23.87% 28.14% 17.25% 14.49% 27.35% 18.71% 17.11% Number of Bond-Weeks with Various Frequencies 5 136 58 66 46 34 90 51 55 4 8 11 10 4 5 11 11 4 3 0 8 4 6 12 8 3 2 2 1 6 7 9 7 6 6 6 1 4 7 7 4 3 13 13 11

CHASE MANHATTAN CORPORATION RSSD = 1039502 (1040795 prior to 3/31/1996) TICKER = CMB Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 4 5 8 8 10 20 34 41 Number of SND with Generic Pricing 3 3 5 5 6 12 17 22 Percentage of SND with Generic Pricing 75.00% 60.00% 62.50% 62.50% 60.00% 60.00% 50.00% 53.66% Number of Bond-Weeks 124 218 353 416 432 769 1437 2025 Number of Bond-Weeks with Generic Pricing 15 153 200 188 102 335 671 759 Percentage of Bond-Weeks with Generic Pricing 12.10% 70.18% 56.66% 45.19% 23.61% 43.56% 46.69% 37.48% Number of Bond-Weeks with Various Frequencies 5 9 120 178 174 22 198 571 577 4 6 33 19 9 33 36 47 75 3 0 0 2 0 22 36 23 42 2 0 0 0 4 14 40 21 31 1 0 0 1 1 11 25 9 34 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 49 49 52 54 56 48 N/A N/A Number of SND with Generic Pricing 30 37 42 37 36 25 N/A N/A Percentage of SND with Generic Pricing 61.22% 75.51% 80.77% 68.52% 64.29% 52.08% N/A N/A Number of Bond-Weeks 2466 2547 2653 2737 2685 2397 N/A N/A Number of Bond-Weeks with Generic Pricing 1029 649 1065 1041 932 646 N/A N/A Percentage of Bond-Weeks with Generic Pricing 41.73% 25.48% 40.14% 38.03% 34.71% 26.95% N/A N/A Number of Bond-Weeks with Various Frequencies 5 776 421 728 700 643 467 N/A N/A 4 82 72 97 127 116 55 N/A N/A 3 48 49 98 93 75 37 N/A N/A 2 60 57 65 59 52 39 N/A N/A 1 63 50 77 62 46 48 N/A N/A ** Chase Manhattan Corporation merged into J.P. Morgan Chase & Co. on 12/31/2000

CITICORP RSSD = 1951350, 1042351 TICKER = C, CCI Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 11 11 11 11 11 13 15 18 Number of SND with Generic Pricing 7 7 7 7 7 9 11 10 Percentage of SND with Generic Pricing 63.64% 63.64% 63.64% 63.64% 63.64% 69.23% 73.33% 55.56% Number of Bond-Weeks 525 572 572 572 572 622 739 892 Number of Bond-Weeks with Generic Pricing 35 357 343 352 273 329 344 358 Percentage of Bond-Weeks with Generic Pricing 6.67% 62.41% 59.97% 61.54% 47.73% 52.89% 46.55% 40.13% Number of Bond-Weeks with Various Frequencies 5 21 280 295 314 112 187 257 258 4 14 77 40 26 39 42 24 30 3 0 0 2 3 47 42 20 26 2 0 0 2 4 38 27 21 26 1 0 0 4 5 37 31 22 18 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 21 23 24 25 25 22 22 22 Number of SND with Generic Pricing 11 16 17 17 16 14 13 13 Percentage of SND with Generic Pricing 52.38% 69.57% 70.83% 68.00% 64.00% 63.64% 59.09% 59.09% Number of Bond-Weeks 955 1084 1153 1232 1208 1144 1144 1094 Number of Bond-Weeks with Generic Pricing 392 523 556 493 453 591 575 507 Percentage of Bond-Weeks with Generic Pricing 41.05% 48.25% 48.22% 40.02% 37.50% 51.66% 50.26% 46.34% Number of Bond-Weeks with Various Frequencies 5 313 416 425 340 306 459 501 408 4 26 44 33 43 71 39 23 30 3 18 19 36 41 35 33 13 19 2 16 21 35 34 21 18 15 27 1 19 23 27 35 20 42 23 23

COMERICA RSSD = 1199844 TICKER = CMA Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 1 2 2 2 2 2 2 2 Number of SND with Generic Pricing 1 2 2 2 2 2 2 1 Percentage of SND with Generic Pricing 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 50.00% Number of Bond-Weeks 34 85 104 104 104 104 104 104 Number of Bond-Weeks with Generic Pricing 5 67 102 104 103 62 40 18 Percentage of Bond-Weeks with Generic Pricing 14.71% 78.82% 98.08% 100.00% 99.04% 59.62% 38.46% 17.31% Number of Bond-Weeks with Various Frequencies 5 3 50 88 100 67 46 10 15 4 2 17 10 4 11 8 4 2 3 0 0 0 0 14 4 15 0 2 0 0 2 0 4 1 7 1 1 0 0 2 0 7 3 4 0 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 3 3 3 3 2 1 1 1 Number of SND with Generic Pricing 0 1 2 2 0 0 0 0 Percentage of SND with Generic Pricing 0.00% 33.33% 66.67% 66.67% 0.00% 0.00% 0.00% 0.00% Number of Bond-Weeks 126 156 156 127 70 52 52 52 Number of Bond-Weeks with Generic Pricing 0 16 33 5 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing 0.00% 10.26% 21.15% 3.94% 0.00% 0.00% 0.00% 0.00% Number of Bond-Weeks with Various Frequencies 5 0 14 21 2 0 0 0 0 4 0 0 1 0 0 0 0 0 3 0 1 3 0 0 0 0 0 2 0 0 5 2 0 0 0 0 1 0 1 3 1 0 0 0 0

FIRST UNION RSSD = 1073551 TICKER = FTU Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 1 1 2 2 3 5 9 12 Number of SND with Generic Pricing 1 1 2 2 3 5 8 9 Percentage of SND with Generic Pricing 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 88.89% 75.00% Number of Bond-Weeks 43 52 81 104 124 190 371 550 Number of Bond-Weeks with Generic Pricing 5 51 69 102 117 184 300 170 Percentage of Bond-Weeks with Generic Pricing 11.63% 98.08% 85.19% 98.08% 94.35% 96.84% 80.86% 30.91% Number of Bond-Weeks with Various Frequencies 5 3 40 57 92 68 137 256 108 4 2 11 6 8 20 20 23 18 3 0 0 3 0 13 11 12 13 2 0 0 2 2 9 11 4 19 1 0 0 1 0 7 5 5 12 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 16 19 18 20 20 19 19 N/A Number of SND with Generic Pricing 11 13 11 14 13 12 11 N/A Percentage of SND with Generic Pricing 68.75% 68.42% 61.11% 70.00% 65.00% 63.16% 57.89% N/A Number of Bond-Weeks 710 920 936 1015 1013 988 969 N/A Number of Bond-Weeks with Generic Pricing 315 369 298 316 242 404 234 N/A Percentage of Bond-Weeks with Generic Pricing 44.37% 40.11% 31.84% 31.13% 23.89% 40.89% 24.15% N/A Number of Bond-Weeks with Various Frequencies 5 235 289 201 206 151 302 204 N/A 4 22 34 30 27 29 36 7 N/A 3 17 16 29 31 25 22 10 N/A 2 19 12 20 30 18 18 3 N/A 1 22 18 18 22 19 26 10 N/A *** Acquired by Wachovia on 9/1/2001

FIRSTAR CORP RSSD = 1199479 (1123960 prior to 6/30/1989; currently owned by US Bancorp) TICKER = FSR Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 1 1 1 1 1 1 1 Number of SND with Generic Pricing 0 0 1 1 1 1 1 0 Percentage of SND with Generic Pricing N/A 0.00% 100.00% 100.00% 100.00% 100.00% 100.00% 0.00% Number of Bond-Weeks 0 35 52 52 52 52 52 52 Number of Bond-Weeks with Generic Pricing 0 0 27 52 19 29 4 0 Percentage of Bond-Weeks with Generic Pricing N/A 0.00% 51.92% 100.00% 36.54% 55.77% 7.69% 0.00% Number of Bond-Weeks with Various Frequencies 5 N/A N/A 20 46 7 20 1 N/A 4 N/A N/A 3 3 4 3 1 N/A 3 N/A N/A 1 1 2 3 0 N/A 2 N/A N/A 2 0 3 1 1 N/A 1 N/A N/A 1 2 3 2 1 N/A Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 2 2 2 2 N/A N/A N/A N/A Number of SND with Generic Pricing 0 1 0 0 N/A N/A N/A N/A Percentage of SND with Generic Pricing 0.00% 50.00% 0.00% 0.00% N/A N/A N/A N/A Number of Bond-Weeks 71 104 104 70 N/A N/A N/A N/A Number of Bond-Weeks with Generic Pricing 0 16 0 0 N/A N/A N/A N/A Percentage of Bond-Weeks with Generic Pricing 0.00% 15.38% 0.00% 0.00% N/A N/A N/A N/A Number of Bond-Weeks with Various Frequencies 5 N/A 10 N/A N/A N/A N/A N/A N/A 4 N/A 2 N/A N/A N/A N/A N/A N/A 3 N/A 2 N/A N/A N/A N/A N/A N/A 2 N/A 2 N/A N/A N/A N/A N/A N/A 1 N/A 0 N/A N/A N/A N/A N/A N/A *** Acquired by US Bancorp on 12/31/1998

FLEETBOSTON FINANCIAL CORP RSSD = 1113514 TICKER = FBF (FLT, FNG) Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 2 5 6 6 Number of SND with Generic Pricing 0 0 0 0 2 4 4 4 Percentage of SND with Generic Pricing N/A N/A N/A N/A 100.00% 80.00% 66.67% 66.67% Number of Bond-Weeks 0 0 0 0 33 186 305 312 Number of Bond-Weeks with Generic Pricing 0 0 0 0 25 80 169 92 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A 75.76% 43.01% 55.41% 29.49% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A 7 39 136 67 4 N/A N/A N/A N/A 5 13 16 5 3 N/A N/A N/A N/A 5 7 8 6 2 N/A N/A N/A N/A 5 14 4 8 1 N/A N/A N/A N/A 3 7 5 6 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 6 7 7 12 13 12 12 10 Number of SND with Generic Pricing 4 4 4 7 8 7 5 3 Percentage of SND with Generic Pricing 66.67% 57.14% 57.14% 58.33% 61.54% 58.33% 41.67% 30.00% Number of Bond-Weeks 312 350 364 551 626 624 592 520 Number of Bond-Weeks with Generic Pricing 100 74 58 183 162 230 153 150 Percentage of Bond-Weeks with Generic Pricing 32.05% 21.14% 15.93% 33.21% 25.88% 36.86% 25.84% 28.85% Number of Bond-Weeks with Various Frequencies 5 82 44 38 138 118 197 135 121 4 4 12 9 14 23 13 5 11 3 2 11 4 11 6 11 4 6 2 7 4 3 11 9 4 5 6 1 5 3 4 9 6 5 4 6

HUNTINGTON BANCSHARES RSSD = 1068191 TICKER = HBAN Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 1 1 1 Number of SND with Generic Pricing 0 0 0 0 0 1 1 1 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A 100.00% 100.00% 100.00% Number of Bond-Weeks 0 0 0 0 0 6 52 52 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 6 51 46 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A 100.00% 98.08% 88.46% Number of Bond-Weeks with Various Frequencies 5 0 0 0 0 0 5 46 41 4 0 0 0 0 0 1 1 2 3 0 0 0 0 0 0 3 1 2 0 0 0 0 0 0 1 1 1 0 0 0 0 0 0 0 1 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 1 1 1 3 3 3 3 3 Number of SND with Generic Pricing 1 1 1 1 2 1 2 2 Percentage of SND with Generic Pricing 100.00% 100.00% 100.00% 33.33% 66.67% 33.33% 66.67% 66.67% Number of Bond-Weeks 52 52 52 110 156 156 156 150 Number of Bond-Weeks with Generic Pricing 19 20 12 8 2 9 37 9 Percentage of Bond-Weeks with Generic Pricing 36.54% 38.46% 23.08% 7.27% 1.28% 5.77% 23.72% 6.00% Number of Bond-Weeks with Various Frequencies 5 14 11 9 4 0 1 24 4 4 1 2 3 2 0 0 6 1 3 1 4 0 1 0 0 2 1 2 1 2 0 4 2 1 3 2 1 2 1 0 0 0 1 2 1

J.P. MORGAN CHASE & CO (J.P. MORGAN) RSSD = 1039502 (1037115 prior to 12/31/2000) TICKER = JPM Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 2 4 5 5 8 12 15 19 Number of SND with Generic Pricing 0 3 4 4 6 10 13 16 Percentage of SND with Generic Pricing 0.00% 75.00% 80.00% 80.00% 75.00% 83.33% 86.67% 84.21% Number of Bond-Weeks 52 119 251 260 331 579 733 902 Number of Bond-Weeks with Generic Pricing 0 9 199 180 166 388 540 416 Percentage of Bond-Weeks with Generic Pricing 0.00% 7.56% 79.28% 69.23% 50.15% 67.01% 73.67% 46.12% Number of Bond-Weeks with Various Frequencies 5 0 6 175 166 71 293 441 326 4 0 3 20 8 41 38 32 38 3 0 0 1 0 30 20 28 17 2 0 0 2 4 14 17 19 14 1 0 0 1 2 10 20 20 21 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 22 26 38 39 37 85 82 80 Number of SND with Generic Pricing 18 19 25 23 21 42 41 35 Percentage of SND with Generic Pricing 81.82% 73.08% 65.79% 58.97% 56.76% 49.41% 50.00% 43.75% Number of Bond-Weeks 992 1313 1711 1960 1855 1892 4195 3676 Number of Bond-Weeks with Generic Pricing 619 672 778 661 595 500 1284 1159 Percentage of Bond-Weeks with Generic Pricing 62.40% 51.18% 45.47% 33.72% 32.08% 26.43% 30.61% 31.53% Number of Bond-Weeks with Various Frequencies 5 504 494 582 452 473 422 1119 911 4 43 59 67 65 54 14 51 82 3 26 54 49 59 36 19 32 29 2 29 30 36 38 17 14 29 65 1 17 35 44 47 15 31 53 72 *** Acquired Chase Manhattan Corporation on 12/31/2000

SOCIETY CORP (KEYCORP) RSSD = 1068025 TICKER = KEY Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 2 2 2 Number of SND with Generic Pricing 0 0 0 0 0 2 1 2 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A 100.00% 50.00% 100.00% Number of Bond-Weeks 0 0 0 0 0 54 104 104 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 33 6 18 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A 61.11% 5.77% 17.31% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A 25 6 11 4 N/A N/A N/A N/A N/A 3 0 0 3 N/A N/A N/A N/A N/A 0 0 2 2 N/A N/A N/A N/A N/A 3 0 2 1 N/A N/A N/A N/A N/A 2 0 3 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 2 4 4 5 6 6 6 6 Number of SND with Generic Pricing 2 3 3 3 3 3 2 2 Percentage of SND with Generic Pricing 100.00% 75.00% 75.00% 60.00% 50.00% 50.00% 33.33% 33.33% Number of Bond-Weeks 104 178 208 237 303 312 312 284 Number of Bond-Weeks with Generic Pricing 10 51 64 45 52 70 49 51 Percentage of Bond-Weeks with Generic Pricing 9.62% 28.65% 30.77% 18.99% 17.16% 22.44% 15.71% 17.96% Number of Bond-Weeks with Various Frequencies 5 7 42 52 21 35 42 36 30 4 0 1 5 6 7 8 2 7 3 2 2 3 8 5 4 4 4 2 0 3 3 5 3 9 3 7 1 1 3 1 5 2 7 4 3

MELLON FINANCIAL CORP RSSD = 1068762 TICKER = MEL Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 1 1 1 1 1 1 1 1 Number of SND with Generic Pricing 0 0 1 1 1 1 1 1 Percentage of SND with Generic Pricing 0.00% 0.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% Number of Bond-Weeks 17 52 52 52 52 52 52 52 Number of Bond-Weeks with Generic Pricing 0 0 36 23 19 26 17 9 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 69.23% 44.23% 36.54% 50.00% 32.69% 17.31% Number of Bond-Weeks with Various Frequencies 5 0 0 33 16 1 2 0 0 4 0 0 2 2 0 1 0 0 3 0 0 0 1 0 1 0 0 2 0 0 1 1 4 7 2 0 1 0 0 0 3 14 15 15 9 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 1 1 1 1 1 0 0 0 Number of SND with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of SND with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% N/A N/A N/A Number of Bond-Weeks 52 52 52 52 36 0 0 0 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% N/A N/A N/A Number of Bond-Weeks with Various Frequencies 5 0 0 0 0 0 0 0 0 4 0 0 0 0 0 0 0 0 3 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0

REGIONS FINANCIAL CORP. RSSD = 1078332 TICKER =RGBK Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 1 1 2 Number of SND with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A 0.00% 0.00% 0.00% Number of Bond-Weeks 0 0 0 0 0 5 52 69 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A 0.00% 0.00% 0.00% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A 0 0 0 4 N/A N/A N/A N/A N/A 0 0 0 3 N/A N/A N/A N/A N/A 0 0 0 2 N/A N/A N/A N/A N/A 0 0 0 1 N/A N/A N/A N/A N/A 0 0 0 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 2 2 2 2 2 2 3 4 Number of SND with Generic Pricing 1 1 1 1 0 1 1 2 Percentage of SND with Generic Pricing 50.00% 50.00% 50.00% 50.00% 0.00% 50.00% 33.33% 50.00% Number of Bond-Weeks 104 104 104 104 104 104 148 187 Number of Bond-Weeks with Generic Pricing 9 24 4 5 0 2 23 40 Percentage of Bond-Weeks with Generic Pricing 8.65% 23.08% 3.85% 4.81% 0.00% 1.92% 15.54% 21.39% Number of Bond-Weeks with Various Frequencies 5 3 13 0 3 0 0 19 27 4 0 3 0 0 0 0 0 4 3 3 3 1 0 0 1 3 3 2 1 3 1 1 0 0 1 2 1 2 2 2 1 0 1 0 4

REPUBLIC NEW YORK CORP. RSSD = 1021075 TICKER = RNB Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 2 4 9 14 15 16 Number of SND with Generic Pricing 0 0 0 2 5 7 8 9 Percentage of SND with Generic Pricing N/A N/A 0.00% 50.00% 55.56% 50.00% 53.33% 56.25% Number of Bond-Weeks 0 0 86 136 333 562 740 815 Number of Bond-Weeks with Generic Pricing 0 0 0 30 145 268 288 297 Percentage of Bond-Weeks with Generic Pricing N/A N/A 0.00% 22.06% 43.54% 47.69% 38.92% 36.44% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A 22 95 200 214 218 4 N/A N/A N/A 3 21 32 21 24 3 N/A N/A N/A 2 18 19 22 15 2 N/A N/A N/A 2 7 11 15 23 1 N/A N/A N/A 1 4 6 16 17 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 16 17 18 18 18 N/A N/A N/A Number of SND with Generic Pricing 9 9 10 10 9 N/A N/A N/A Percentage of SND with Generic Pricing 56.25% 52.94% 55.56% 55.56% 50.00% N/A N/A N/A Number of Bond-Weeks 832 874 908 936 936 N/A N/A N/A Number of Bond-Weeks with Generic Pricing 330 270 191 242 121 N/A N/A N/A Percentage of Bond-Weeks with Generic Pricing 39.66% 30.89% 21.04% 25.85% 12.93% N/A N/A N/A Number of Bond-Weeks with Various Frequencies 5 255 202 115 128 68 N/A N/A N/A 4 28 27 20 35 15 N/A N/A N/A 3 22 16 21 30 15 N/A N/A N/A 2 11 11 18 31 8 N/A N/A N/A 1 14 14 17 18 15 N/A N/A N/A *** Republic New York merged into HSBC USA INC. on 12/31/1999

SOUTHTRUST CORPORATION RSSD = 1079441 TICKER = SOTR Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 1 1 1 1 2 3 4 4 Number of SND with Generic Pricing 1 1 1 1 1 1 1 1 Percentage of SND with Generic Pricing 100.00% 100.00% 100.00% 100.00% 50.00% 33.33% 25.00% 25.00% Number of Bond-Weeks 32 52 52 52 53 86 137 192 Number of Bond-Weeks with Generic Pricing 5 51 52 52 44 31 12 14 Percentage of Bond-Weeks with Generic Pricing 15.63% 98.08% 100.00% 100.00% 83.02% 36.05% 8.76% 7.29% Number of Bond-Weeks with Various Frequencies 5 3 40 44 49 28 18 8 11 4 2 11 6 3 6 8 0 0 3 0 0 1 0 6 1 2 0 2 0 0 1 0 1 3 0 2 1 0 0 0 0 3 1 2 1 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 4 4 4 4 4 3 3 3 Number of SND with Generic Pricing 1 0 1 1 0 0 0 0 Percentage of SND with Generic Pricing 25.00% 0.00% 25.00% 25.00% 0.00% 0.00% 0.00% 0.00% Number of Bond-Weeks 208 208 208 208 179 156 156 156 Number of Bond-Weeks with Generic Pricing 1 0 3 1 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing 0.48% 0.00% 1.44% 0.48% 0.00% 0.00% 0.00% 0.00% Number of Bond-Weeks with Various Frequencies 5 0 N/A 1 0 N/A N/A N/A N/A 4 0 N/A 1 0 N/A N/A N/A N/A 3 0 N/A 0 0 N/A N/A N/A N/A 2 0 N/A 0 0 N/A N/A N/A N/A 1 1 N/A 1 1 N/A N/A N/A N/A

SUNTRUST BANKS INC. RSSD = 1131787 TICKER = STI Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 0 0 1 Number of SND with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A N/A N/A 0.00% Number of Bond-Weeks 0 0 0 0 0 0 0 48 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A N/A N/A 0.00% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A N/A N/A 0 4 N/A N/A N/A N/A N/A N/A N/A 0 3 N/A N/A N/A N/A N/A N/A N/A 0 2 N/A N/A N/A N/A N/A N/A N/A 0 1 N/A N/A N/A N/A N/A N/A N/A 0 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 1 3 4 4 4 5 5 5 Number of SND with Generic Pricing 0 0 0 0 0 1 1 1 Percentage of SND with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 20.00% 20.00% 20.00% Number of Bond-Weeks 52 125 189 208 208 244 260 260 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 36 36 37 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 14.75% 13.85% 14.23% Number of Bond-Weeks with Various Frequencies 5 0 0 0 0 0 35 33 25 4 0 0 0 0 0 0 0 4 3 0 0 0 0 0 1 1 2 2 0 0 0 0 0 0 0 3 1 0 0 0 0 0 0 2 3

UNION PLANTERS RSSD = 1094369 TICKER = UPC Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 0 1 1 Number of SND with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A N/A 0.00% 0.00% Number of Bond-Weeks 0 0 0 0 0 0 10 52 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 0 0 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A N/A N/A N/A Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A N/A 0 0 4 N/A N/A N/A N/A N/A N/A 0 0 3 N/A N/A N/A N/A N/A N/A 0 0 2 N/A N/A N/A N/A N/A N/A 0 0 1 N/A N/A N/A N/A N/A N/A 0 0 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 2 2 2 2 2 2 3 3 Number of SND with Generic Pricing 0 0 0 0 0 0 1 1 Percentage of SND with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 33.33% 33.33% Number of Bond-Weeks 61 104 104 104 104 104 149 156 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 26 29 Percentage of Bond-Weeks with Generic Pricing 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 17.45% 18.59% Number of Bond-Weeks with Various Frequencies 5 0 0 0 0 0 0 22 16 4 0 0 0 0 0 0 1 3 3 0 0 0 0 0 0 0 1 2 0 0 0 0 0 0 1 3 1 0 0 0 0 0 0 2 6

U.S. BANCORP RSSD = 1119794 (previously 2724645 through 2001, 1070251 through 1998Q3) TICKER = USB Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 0 2 2 Number of SND with Generic Pricing 0 0 0 0 0 0 1 1 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A N/A 50.00% 50.00% Number of Bond-Weeks 0 0 0 0 0 0 78 104 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 0 9 8 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A N/A 11.54% 7.69% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A N/A 2 6 4 N/A N/A N/A N/A N/A N/A 2 0 3 N/A N/A N/A N/A N/A N/A 2 0 2 N/A N/A N/A N/A N/A N/A 0 1 1 N/A N/A N/A N/A N/A N/A 3 1 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 5 6 6 6 6 6 6 6 Number of SND with Generic Pricing 3 4 4 4 4 4 0 4 Percentage of SND with Generic Pricing 60.00% 66.67% 66.67% 66.67% 66.67% 66.67% 0.00% 66.67% Number of Bond-Weeks 170 289 312 312 312 312 312 312 Number of Bond-Weeks with Generic Pricing 33 107 80 78 56 48 0 84 Percentage of Bond-Weeks with Generic Pricing 19.41% 37.02% 25.64% 25.00% 17.95% 15.38% 0.00% 26.92% Number of Bond-Weeks with Various Frequencies 5 26 75 57 43 23 34 N/A 39 4 2 11 7 12 7 5 N/A 14 3 1 8 6 10 9 0 N/A 7 2 2 5 2 7 12 4 N/A 9 1 2 8 8 6 5 5 N/A 15 ** Acquired Firstar on 12/31/1998

WACHOVIA RSSD = 1136157 (1073551 prior to 12/31/2001) TICKER = WB Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 1 2 3 Number of SND with Generic Pricing 0 0 0 0 0 1 1 2 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A 100.00% 50.00% 66.67% Number of Bond-Weeks 0 0 0 0 0 5 90 155 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 4 52 93 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A 80.00% 57.78% 60.00% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A 3 45 74 4 N/A N/A N/A N/A N/A 1 5 5 3 N/A N/A N/A N/A N/A 0 2 8 2 N/A N/A N/A N/A N/A 0 0 4 1 N/A N/A N/A N/A N/A 0 0 2 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 5 5 5 7 8 7 7 25 Number of SND with Generic Pricing 3 3 3 5 6 5 5 15 Percentage of SND with Generic Pricing 60.00% 60.00% 60.00% 71.43% 75.00% 71.43% 71.43% 60.00% Number of Bond-Weeks 200 260 260 284 406 364 364 1268 Number of Bond-Weeks with Generic Pricing 95 120 74 117 243 240 68 481 Percentage of Bond-Weeks with Generic Pricing 47.50% 46.15% 28.46% 41.20% 59.85% 65.93% 18.68% 37.93% Number of Bond-Weeks with Various Frequencies 5 76 91 43 81 184 212 120 354 4 6 15 4 10 27 14 1 40 3 6 6 11 14 19 4 0 18 2 6 6 6 6 13 4 0 23 1 1 2 10 6 0 6 2 46 *** Aquired First Union on 9/1/2001

WELLS FARGO & CO. RSSD = 1120754 (1027095 prior to 10/01/1998) TICKER = WFC Year 1987 1988 1989 1990 1991 1992 1993 1994 Number of SND Outstanding 0 0 0 0 0 2 4 4 Number of SND with Generic Pricing 0 0 0 0 0 2 2 2 Percentage of SND with Generic Pricing N/A N/A N/A N/A N/A 100.00% 50.00% 50.00% Number of Bond-Weeks 0 0 0 0 0 68 151 208 Number of Bond-Weeks with Generic Pricing 0 0 0 0 0 43 94 59 Percentage of Bond-Weeks with Generic Pricing N/A N/A N/A N/A N/A 63.24% 62.25% 28.37% Number of Bond-Weeks with Various Frequencies 5 N/A N/A N/A N/A N/A 26 78 47 4 N/A N/A N/A N/A N/A 6 3 7 3 N/A N/A N/A N/A N/A 4 6 2 2 N/A N/A N/A N/A N/A 3 4 2 1 N/A N/A N/A N/A N/A 4 3 1 Year 1995 1996 1997 1998 1999 2000 2001 2002 Number of SND Outstanding 4 6 6 7 7 7 8 11 Number of SND with Generic Pricing 2 3 3 5 5 5 4 4 Percentage of SND with Generic Pricing 50.00% 50.00% 50.00% 71.43% 71.43% 71.43% 50.00% 36.36% Number of Bond-Weeks 208 269 312 349 364 364 387 394 Number of Bond-Weeks with Generic Pricing 66 86 111 145 118 181 106 107 Percentage of Bond-Weeks with Generic Pricing 31.73% 31.97% 35.58% 41.55% 32.42% 49.73% 27.39% 27.16% Number of Bond-Weeks with Various Frequencies 5 47 63 89 111 84 144 94 84 4 5 9 7 14 11 14 2 5 3 4 4 5 7 8 10 4 2 2 7 4 3 6 9 5 2 7 1 3 6 7 7 6 8 4 9