EX-99.77P 5 ml58831_ex99-77p.txt TRADING VOLUME REPORT EXHIBIT 77P TRADING VOLUME REPORT
EXHIBIT TO ITEM 77P 04/01/2002 - 06/30/2002 ML PREMIER INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 04/04/2002 M P LONG LANE MASTER IV-C4 57.55 MM GOLDMAN SACHS 1.8100 WINDMILL FNDING CORP- FT2 04/04/2002 due 05/06/2002 CREDIT SUISSE 1.8100 PREFERRED RECEIVABLE- FT2 @ 1.8500 FT2 04/04/2002 M P FALCON ASSET SECURIT-C4 99.86 MM GOLDMAN SACHS 1.8200 BLUE RIDGE ASSET-C4 FT2 04/04/2002 due 05/02/2002 LEHMAN 1.8100 WINDMILL FNDING CORP- FT2 @ 1.8200 FT2 04/09/2002 M P DAKOTA-XN 49.87 MM J.P. MORGAN 1.8240 APRECO, INC.-XN FT2 04/09/2002 due 05/29/2002 GOLDMAN SACHS 1.8200 WINDMILL FNDING CORP- FT2 @ 1.8400 FT2 04/24/2002 M P ABBEY NAT'L TREASURY-VY 274.85 MM SALOMON SMITH BARNE 1.8058 ABBEY NAT'L TREASURY- FT2 04/26/2002 due 04/28/2003 J.P. MORGAN 1.7854 ABBEY NAT'L TREASURY- FT2 @ 1.8058 UN 04/24/2002 M P SVENSKA HANDELSBANKN- 104.95 MM SALOMON SMITH BARNE 1.8156 SVENSKA HANDELSBANK FT2 04/26/2002 due 04/28/2003 J.P. MORGAN 1.7953 SVENSKA HANDELSBANK FT2 @ 1.8207 FT2 05/08/2002 M P COUNTRYWIDE HOME-CP 44.89 MM LEHMAN 1.8300 COUNTRYWIDE HOME-CP FT2 05/09/2002 due 06/27/2002 GOLDMAN SACHS 1.8300 COUNTRYWIDE HOME-CP FT2 @ 1.8300 FT2 05/16/2002 M P DAKOTA-XN 49.91 MM GOLDMAN SACHS 1.8020 WINDMILL FNDING CORP- FT2 05/16/2002 due 06/21/2002 LEHMAN 1.8000 DAKOTA-XN FT2 @ 1.8200 FT2 05/30/2002 M P CAN IMPERIAL BANK-VY 124.95 MM DEUTSCHE BANK 1.7991 CAN IMPERIAL BANK-VY FT2 06/05/2002 due 06/05/2003 J.P. MORGAN 1.7941 NAT CITY, OHIO-VY FT2 @ 1.7991 FT2 05/30/2002 M P ABBEY NAT'L TREASURY-VY 199.92 MM DEUTSCHE BANK 1.7941 CAN IMPERIAL BANK-VY FT2 06/05/2002 due 06/05/2003 J.P. MORGAN 1.7891 NAT CITY, OHIO-VY FT2 @ 1.7941 FT2 06/10/2002 M P APRECO, INC.-C4 44.90 MM LEHMAN 1.7800 APRECO, INC.-C4 FT2 06/10/2002 due 07/23/2002 GOLDMAN SACHS 1.7600 CXC, LLC-C4 FT2 @ 1.8000 FT2 06/11/2002 M P SVENSKA HANDELSBANKN- 74.97 MM J.P. MORGAN 2.5350 SVENSKA HANDELSBANK FT2 06/13/2002 due 06/13/2003 CREDIT SUISSE 2.4800 NORDDEUTSCHE LANDES FT2 @ 2.5350 FT2 06/12/2002 M P PREFERRED RECEIVABLE-C4 199.64 MM GOLDMAN SACHS 1.7800 PREFERRED RECEIVABLE- FT2 06/12/2002 due 07/18/2002 BANK ONE CAP MKTS 1.7800 PREFERRED RECEIVABLE- FT2 @ 1.7900 FT2 06/12/2002 M P FORRESTAL FUNDING-C4 200.01 MM BANC OF AMER SEC LLC 1.7900 FORRESTAL FUNDING-C4 FT2 06/12/2002 due 07/23/2002 MORGAN STANLEY & CO 1.7800 FORRESTAL FUNDING-C4 FT2 @ 1.7900 FT2 06/14/2002 MLG P U.S. TREASURY NOTE-TN 25.21 MM BARCLAYS BANK 2.8685 U.S. TREASURY NOTE-TN NR 06/17/2002 due 05/31/2004 J.P. MORGAN 2.8685 U.S. TREASURY NOTE-TN NR @ 2.8809 FTG 06/21/2002 M P PREFERRED RECEIVABLE-C4 99.81 MM GOLDMAN SACHS 1.7800 PREFERRED RECEIVABLE- FT2 06/21/2002 due 07/29/2002 LEHMAN 1.7800 AMSTERDAM FUNDING-C4 FT2 @ 1.8000 FT2 06/24/2002 M P DELAWARE FNDING CORP-C 104.59 MM GOLDMAN SACHS 1.7900 DELAWARE FNDING CORP FT2 06/24/2002 due 07/22/2002 J.P. MORGAN 1.7800 DELAWARE FNDING CORP FT2 @ 1.8000 FT2 06/27/2002 M P DAKOTA-XN 49.89 MM SALOMON SMITH BARNE 1.7600 SALOMON SMITH BARNEY FT2 06/27/2002 due 08/09/2002 MORGAN STANLEY & CO 1.7500 DEXIA DELAWARE LLC-XN FT2 @ 1.8500 FT2
EXHIBIT TO ITEM 77P 07/01/2002 - 09/30/2002 ML PREMIER INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 07/09/2002 M P LONG LANE MASTER IV-C4 45.65 MM SALOMON SMITH BARNE 1.7900 DAKOTA-C4 FT2 07/09/2002 due 10/10/2002 MORGAN STANLEY & CO 1.7900 DAKOTA-C4 FT2 @ 1.8100 FT2 07/09/2002 M P LONG LANE MASTER IV-C4 53.69 MM SALOMON SMITH BARNE 1.7900 DAKOTA-C4 FT2 07/09/2002 due 08/06/2002 GOLDMAN SACHS 1.7800 JUPITER SEC. CORP.-C4 FT2 @ 1.8100 FT2 07/09/2002 M P COUNTRYWIDE HOME-CP 47.30 MM GOLDMAN SACHS 1.8200 COUNTRYWIDE HOME-CP FT2 07/09/2002 due 09/30/2002 LEHMAN 1.8200 COUNTRYWIDE HOME-CP FT2 @ 1.8400 FT2 07/17/2002 MLG P U.S. TREASURY NOTE-TN 75.39 MM J.P. MORGAN 2.6719 U.S. TREASURY NOTE-TN NR 07/18/2002 due 06/30/2004 DEUTSCHE BANK 2.6719 U.S. TREASURY NOTE-TN NR @ 2.6719 FTG 07/17/2002 MLG S U.S. TREASURY NOTE-TN 75.42 MM CREDIT SUISSE 2.6554 U.S. TREASURY NOTE-TN NR 07/18/2002 due 06/30/2004 BARCLAYS BANK 2.6554 U.S. TREASURY NOTE-TN NR @ 2.6554 FTG 07/19/2002 M P THUNDER BAY FUNDING-C4 66.00 MM LEHMAN 1.7600 SHEFFIELD RECEIVABLE-C FT2 07/19/2002 due 08/16/2002 GOLDMAN SACHS 1.7600 ASSET SECURITIZATION-C FT2 @ 1.7800 FT2 07/23/2002 MLG P U.S. TREASURY NOTE-TN 111.22 MM BARCLAYS BANK 2.3800 U.S. TREASURY NOTE-TN NR 07/24/2002 due 06/30/2004 J.P. MORGAN 2.3800 U.S. TREASURY NOTE-TN NR @ 2.3820 FTG 07/23/2002 MGL S U.S. TREASURY NOTE-TN 111.26 MM J.P. MORGAN 2.3676 U.S. TREASURY NOTE-TN NR 07/24/2002 due 06/30/2004 BARCLAYS BANK 2.3635 U.S. TREASURY NOTE-TN NR @ 2.3635 FTG 07/25/2002 M P APRECO, INC.-C4 21.49 MM GOLDMAN SACHS 1.7600 CXC, LLC-C4 FT2 07/25/2002 due 08/30/2002 J.P. MORGAN 1.7600 MONTBLANC CAPITAL-C4 FT2 @ 1.7700 FT2 07/25/2002 M P AMSTERDAM FUNDING-C4 49.92 MM J.P. MORGAN 1.7600 MONTBLANC CAPITAL-C4 FT2 07/25/2002 due 08/27/2002 LEHMAN 1.7600 CXC, LLC-C4 FT2 @ 1.7650 FT2 07/25/2002 M P AMSTERDAM FUNDING-C4 46.93 MM J.P. MORGAN 1.7600 MONTBLANC CAPITAL-C4 FT2 07/25/2002 due 08/26/2002 LEHMAN 1.7600 CXC, LLC-C4 FT2 @ 1.7650 FT2 07/25/2002 MLG P U.S. TREASURY NOTE-TN 74.85 MM BARCLAYS BANK 2.3485 U.S. TREASURY NOTE-TN NR 07/31/2002 due 07/31/2004 CREDIT SUISSE 2.3465 U.S. TREASURY NOTE-TN NR @ 2.3505 FTG 07/25/2002 MLG S U.S. TREASURY NOTE-TN 74.88 MM LEHMAN 2.3324 U.S. TREASURY NOTE-TN NR 07/31/2002 due 07/31/2004 CREDIT SUISSE 2.3304 U.S. TREASURY NOTE-TN NR @ 2.3304 FTG 07/26/2002 M P CORPORATE RECEIVABLE-C 103.11 MM GOLDMAN SACHS 1.7400 CORP ASSET FUNDING-C4 FT2 07/26/2002 due 09/09/2002 LEHMAN 1.7300 CORPORATE RECEIVABLE FT2 @ 1.7600 FT2 07/26/2002 M P FALCON ASSET SECURIT-C4 49.92 MM CREDIT SUISSE 1.7500 FALCON ASSET SECURIT-C FT2 07/26/2002 due 08/26/2002 SALOMON SMITH BARNE 1.7400 EUREKA SECURITIZ.-C4 FT2 @ 1.7600 FT2 08/06/2002 M P LONG LANE MASTER IV-C4 52.92 MM MORGAN STANLEY & CO 1.7600 DEN NORSKE BANK ASA-C FT2 08/06/2002 due 09/06/2002 LEHMAN 1.7300 DAKOTA-C4 FT2 @ 1.7600 FT2 08/07/2002 M P OLD LINE FUNDING-C4 66.59 MM CREDIT SUISSE 1.7300 OLD LINE FUNDING-C4 FT2 08/07/2002 due 09/09/2002 LEHMAN 1.7300 OLD LINE FUNDING-C4 FT2 @ 1.7400 FT2 08/07/2002 M P ENTERPRISE FUNDING-C4 164.50 MM CREDIT SUISSE 1.7300 OLD LINE FUNDING-C4 FT2 08/07/2002 due 09/09/2002 LEHMAN 1.7300 OLD LINE FUNDING-C4 FT2 @ 1.7400 FT2
EXHIBIT TO ITEM 77P 07/01/2002 - 09/30/2002 ML PREMIER INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 08/07/2002 M P FORRESTAL FUNDING-C4 46.00 MM GOLDMAN SACHS 1.7300 TULIP FUNDING CORP.-C4 FT2 08/07/2002 due 09/10/2002 J.P. MORGAN 1.7300 TRANSAMERICA FINANCE FT2 @ 1.7400 FT2 08/07/2002 M P PREFERRED RECEIVABLE-C4 87.91 MM GOLDMAN SACHS 1.7300 JUPITER SEC. CORP.-C4 FT2 08/07/2002 due 09/13/2002 LEHMAN 1.7200 EUREKA SECURITIZ.-C4 FT2 @ 1.7350 FT2 08/09/2002 M P DAKOTA-XN 24.96 MM LEHMAN 1.7400 DAKOTA-XN FT2 08/09/2002 due 09/13/2002 MORGAN STANLEY & CO 1.7300 MONTAUK FUNDING CORP FT2 @ 1.7400 FT2 08/14/2002 M P DAKOTA-XN 24.96 MM GOLDMAN SACHS 1.7300 WINDMILL FNDING CORP- FT2 08/14/2002 due 09/20/2002 LEHMAN 1.7300 BARTON CAPITAL CORP.- FT2 @ 1.7400 FT2 08/16/2002 M P THUNDER BAY FUNDING-C4 56.01 MM GOLDMAN SACHS 1.7400 RIO TINTO AMERICA-C4 FT2 08/16/2002 due 09/09/2002 LEHMAN 1.7000 CORPORATE RECEIVABLE FT2 @ 1.7700 FT2 08/21/2002 M P FORRESTAL FUNDING-C4 117.67 MM DEUTSCHE BANK 1.7500 ASPEN FUNDING CORP.-C4 FT2 08/21/2002 due 09/20/2002 MORGAN STANLEY & CO 1.7500 FORRESTAL FUNDING-C4 FT2 @ 1.7500 FT2 08/27/2002 M P FALCON ASSET SECURIT-C4 145.90 MM J.P. MORGAN 1.7600 PARK AVE RECEIVABLES- FT2 08/27/2002 due 10/07/2002 MORGAN STANLEY & CO 1.7600 PARK AVE RECEIVABLES- FT2 @ 1.7700 FT2 08/28/2002 M P AMSTERDAM FUNDING-C4 74.85 MM MORGAN STANLEY & CO 1.7600 SHEFFIELD RECEIVABLE-C FT2 08/28/2002 due 10/08/2002 GOLDMAN SACHS 1.7600 RIO TINTO (CP) LTD.-C4 FT2 @ 1.7700 FT2 09/09/2002 M P CLIPPER RECEIVABLES-C4 65.46 MM SALOMON SMITH BARNE 1.7400 APRECO, INC.-C4 FT2 09/09/2002 due 10/11/2002 CREDIT SUISSE 1.7300 CORPORATE RECEIVABLE FT2 @ 1.7700 FT2 09/09/2002 M P LONG LANE MASTER IV-C4 34.56 MM MORGAN STANLEY & CO 1.7600 APRECO, INC.- FT2 09/09/2002 due 10/04/2002 CREDIT SUISSE 1.7600 FALCON ASSET SECURIT- FT2 @ 1.7900 FT2 09/10/2002 M P FORRESTAL FUNDING-C4 46.00 MM DEUTSCHE BANK 1.7600 ASPEN FUNDING CORP.-C4 FT2 09/10/2002 due 10/25/2002 GOLDMAN SACHS 1.7600 PREFERRED RECEIVABLE- FT2 @ 1.7700 FT2 09/10/2002 M P ASSET SECURITIZATION-C4 99.85 MM DEUTSCHE BANK 1.7600 ASPEN FUNDING CORP.-C4 FT2 09/10/2002 due 10/10/2002 GOLDMAN SACHS 1.7600 PREFERRED RECEIVABLE- FT2 @ 1.7700 FT2 09/18/2002 M P FED NAT'L MTG ASSN-AC 82.39 MM HSBC 2.5081 FED NAT'L MTG ASSN-AC NR 10/01/2002 due 10/01/2004 FIRST TENN BK MEMPHI 2.5000 FED NAT'L MTG ASSN-AC NR @ 2.5083 FTG 09/19/2002 M P FORRESTAL FUNDING-C4 179.63 MM J.P. MORGAN 1.7600 DELAWARE FNDING CORP FT2 09/20/2002 due 11/01/2002 MORGAN STANLEY & CO 1.7500 FORRESTAL FUNDING-C4 FT2 @ 1.7700 FT2 09/23/2002 M P HBOS TREASURY SERVICE-C 99.88 MM GOLDMAN SACHS 1.7670 ASSET SECURITIZATION-C FT2 09/23/2002 due 10/18/2002 LEHMAN 1.7600 BARTON CAPITAL CORP.-C FT2 @ 1.7700 FT2 09/24/2002 M P SWEDBANK-VY 149.95 MM SALOMON SMITH BARNE 1.8053 NORDEA BANK FINLAND- FT2 09/27/2002 due 09/29/2003 MORGAN STANLEY & CO 1.8053 NORDEA BANK FINLAND- FT2 @ 1.8162 FT2
EXHIBIT TO ITEM 77P 07/01/2002 - 09/30/2002 ML INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 07/11/2002 M P APRECO, INC.-C4 29.91 MM SALOMON SMITH BARNE 1.7700 EUREKA SECURITIZ.-C4 FT2 07/11/2002 due 09/06/2002 GOLDMAN SACHS 1.7600 DEXIA DELAWARE LLC-C4 FT2 @ 1.7900 FT2 07/17/2002 MLG P U.S. TREASURY NOTE-TN 25.13 MM J.P. MORGAN 2.6719 U.S. TREASURY NOTE-TN NR 07/18/2002 due 06/30/2004 DEUTSCHE BANK 2.6719 U.S. TREASURY NOTE-TN NR @ 2.6719 FTG 07/17/2002 MLG S U.S. TREASURY NOTE-TN 25.14 MM CREDIT SUISSE 2.6554 U.S. TREASURY NOTE-TN NR 07/18/2002 due 06/30/2004 BARCLAYS BANK 2.6554 U.S. TREASURY NOTE-TN NR @ 2.6554 FTG 07/22/2002 M P FORRESTAL FUNDING-C4 99.81 MM GOLDMAN SACHS 1.7700 WINDMILL FNDING CORP- FT2 07/22/2002 due 08/29/2002 BANK ONE CAP MKTS 1.7700 PREFERRED RECEIVABLE- FT2 @ 1.7700 FT2 07/23/2002 M P FALCON ASSET SECURIT-C4 99.82 MM J.P. MORGAN 1.7700 DELAWARE FNDING CORP FT2 07/23/2002 due 08/28/2002 GOLDMAN SACHS 1.7700 AMSTERDAM FUNDING-C4 FT2 @ 1.7750 FT2 07/23/2002 M P AMSTERDAM FUNDING-C4 24.91 MM LEHMAN 1.7800 BETA FINANCE INC.-C4 FT2 07/23/2002 due 10/04/2002 GOLDMAN SACHS 1.7700 AMSTERDAM FUNDING-C4 FT2 @ 1.7850 FT2 07/23/2002 MLG P U.S. TREASURY NOTE-TN 40.45 MM BARCLAYS BANK 2.3800 U.S. TREASURY NOTE-TN NR 07/24/2002 due 06/30/2004 J.P. MORGAN 2.3800 U.S. TREASURY NOTE-TN NR @ 2.3820 FTG 07/23/2002 MLG S U.S. TREASURY NOTE-TN 40.46 MM J.P. MORGAN 2.3676 U.S. TREASURY NOTE-TN NR 07/24/2002 due 06/30/2004 BARCLAYS BANK 2.3635 U.S. TREASURY NOTE-TN NR @ 2.3635 FTG 07/25/2002 M P WINDMILL FNDING CORP-C4 49.91 MM GOLDMAN SACHS 1.7500 AMSTERDAM FUNDING-C4 FT2 07/25/2002 due 08/29/2002 CREDIT SUISSE 1.7500 CORP ASSET FUNDING-C4 FT2 @ 1.7600 FT2 07/25/2002 M P PREFERRED RECEIVABLE-C4 49.91 MM CREDIT SUISSE 1.7500 CORP ASSET FUNDING-C4 FT2 07/25/2002 due 08/29/2002 GOLDMAN SACHS 1.7500 AMSTERDAM FUNDING-C4 FT2 @ 1.7600 FT2 07/25/2002 MLG P U.S. TREASURY NOTE-TN 24.95 MM BARCLAYS BANK 2.3485 U.S. TREASURY NOTE-TN NR 07/31/2002 due 07/31/2004 CREDIT SUISSE 2.3465 U.S. TREASURY NOTE-TN NR @ 2.3505 FTG 07/25/2002 MLG S U.S. TREASURY NOTE-TN 24.96 MM LEHMAN 2.3324 U.S. TREASURY NOTE-TN NR 07/31/2002 due 07/31/2004 CREDIT SUISSE 2.3304 U.S. TREASURY NOTE-TN NR @ 2.3304 FTG 08/23/2002 M P FORRESTAL FUNDING-C4 74.89 MM MORGAN STANLEY & CO 1.7500 FORRESTAL FUNDING-C4 FT2 08/23/2002 due 09/23/2002 GOLDMAN SACHS 1.7500 CXC, LLC-C4 FT2 @ 1.7500 FT2 09/19/2002 M P INTREPID FUNDING-C4 54.43 MM GOLDMAN SACHS 1.7600 NORDEA NORTH AMERICA FT2 09/20/2002 due 10/18/2002 SALOMON SMITH BARNE 1.7600 PB FINANCE DELAWARE-C FT2 @ 1.7800 FT2 09/20/2002 M P AMSTERDAM FUNDING-C4 99.85 MM CREDIT SUISSE 1.7700 BAVARIA TRR CORP.-C4 FT2 09/20/2002 due 10/21/2002 GOLDMAN SACHS 1.7700 CLIPPER RECEIVABLES-C4 FT2 @ 1.7700 FT2 09/20/2002 M P INTREPID FUNDING-C4 44.94 MM GOLDMAN SACHS 1.7780 CLIPPER RECEIVABLES-C4 FT2 09/20/2002 due 10/15/2002 CREDIT SUISSE 1.7700 BAVARIA TRR CORP.-C4 FT2 @ 1.7800 FT2 09/20/2002 M P CORPORATE RECEIVABLE-C 71.99 MM LEHMAN 1.7550 SANTANDER FIN (DEL)-C4 FT2 09/23/2002 due 12/04/2002 GOLDMAN SACHS 1.7500 CXC, LLC-C4 FT2 @ 1.7700 FT2 09/23/2002 M P FORRESTAL FUNDING-C4 100.81 MM BANC OF AMER SEC LLC 1.7700 FORRESTAL FUNDING-C4 FT2 09/23/2002 due 10/31/2002 MORGAN STANLEY & CO 1.7600 FORRESTAL FUNDING-C4 FT2 @ 1.7700 FT2
EXHIBIT TO ITEM 77P 07/01/2002 - 09/30/2002 ML INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 09/24/2002 M P SWEDBANK-VY 74.98 MM SALOMON SMITH BARNE 1.8053 NORDEA BANK FINLAND- FT2 09/27/2002 due 09/29/2003 MORGAN STANLEY & CO 1.8053 NORDEA BANK FINLAND- FT2 @ 1.8162 FT2
EXHIBIT TO ITEM 77P 07/01/2002 - 09/30/2002 ML INSTITUTIONAL FUND TRADE SETTLE SUB P/S SECURITY AMOUNT COMPETITIVE BROKER PRICES SECURITY RATING CODE 04/10/2002 M P FORRESTAL FUNDING-C4 48.90 MM GOLDMAN SACHS 1.7900 ASSET SECURITIZATION-C FT2 04/10/2002 due 05/20/2002 CREDIT SUISSE 1.7600 CIESCO L.P.-C4 FT2 @ 1.8000 FT2 04/10/2002 M P GREYHAWK FUNDING LLC-C 67.35 MM GOLDMAN SACHS 1.8000 APRECO, INC.-C4 FT2 04/10/2002 due 05/24/2002 CREDIT SUISSE 1.7900 PREFERRED RECEIVABLE- FT2 @ 1.8000 FT2 04/24/2002 M P SVENSKA HANDELSBANKN- 54.97 MM SALOMON SMITH BARNE 1.8156 SVENSKA HANDELSBANK FT2 04/26/2002 due 04/28/2003 J.P. MORGAN 1.7953 SVENSKA HANDELSBANK FT2 @ 1.8207 FT2 05/10/2002 M P THREE RIVERS FUNDING-C4 74.89 MM DEUTSCHE BANK 1.7800 ASPEN FUNDING CORP.-C4 FT2 05/10/2002 due 06/10/2002 GOLDMAN SACHS 1.7800 DELAWARE FNDING CORP FT2 @ 1.7800 FT2 05/21/2002 M P AMSTERDAM FUNDING-C4 49.96 MM GOLDMAN SACHS 1.7700 WINDMILL FNDING CORP- FT2 05/21/2002 due 06/07/2002 CREDIT SUISSE 1.7700 BETA FINANCE INC.-C4 FT2 @ 1.7800 FT2 05/21/2002 M P FORRESTAL FUNDING-C4 100.01 MM MORGAN STANLEY & CO 1.7800 VARIABLE FUNDING-C4 FT2 05/21/2002 due 07/22/2002 CREDIT SUISSE 1.7700 EUREKA SECURITIZ.-C4 FT2 @ 1.7900 FT2 05/24/2002 M P INTREPID FUNDING-C4 63.72 MM GOLDMAN SACHS 1.8000 EDISON ASSET-C4 FT2 05/24/2002 due 08/19/2002 J.P. MORGAN 1.8000 EDISON ASSET-C4 FT2 @ 1.8100 FT2 05/30/2002 M P CAN IMPERIAL BANK-VY 119.95 MM DEUTSCHE BANK 1.7991 CAN IMPERIAL BANK-VY FT2 06/05/2002 due 06/05/2003 J.P. MORGAN 1.7941 NAT CITY, OHIO-VY FT2 @ 1.7991 FT2 05/30/2002 M P ABBEY NAT'L TREASURY-VY 99.96 MM DEUTSCHE BANK 1.7941 CAN IMPERIAL BANK-VY FT2 06/05/2002 due 06/05/2003 J.P. MORGAN 1.7891 NAT CITY, OHIO-VY FT2 @ 1.7941 FT2 06/10/2002 M P APRECO, INC.-C4 29.94 MM LEHMAN 1.7800 APRECO, INC.-C4 FT2 06/10/2002 due 07/23/2002 GOLDMAN SACHS 1.7600 CXC, LLC-C4 FT2 @ 1.8000 FT2 06/18/2002 M P DELAWARE FNDING CORP-C 29.39 MM GOLDMAN SACHS 1.7800 DELAWARE FNDING CORP FT2 06/18/2002 due 07/18/2002 J.P. MORGAN 1.7800 DELAWARE FNDING CORP FT2 @ 1.8000 FT2