EFTA01553043.pdf

07 2003 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 64 J.P. Morgan Portfolios July 1 - July 31, 2003 Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio JPMCB JPMSI 161121381 2 3 62 000000.0000.00.0000.000.000000000.000000 PB STATEMENTS QUALITY ASSURANCE TEAM 3/OPS3 EFTA01553043 07 2003 FINANCIAL TRUST COMPANY INC Portfolio Summary July 01, 2003 - July 31, 2003 Page 2 of 64 Portfolio Summary Net Worth Summary Asset Portfolio USD Assets(Long) Cash s Short Term Equities Other Options Liabilities (Short) Cash S Short Term Options Total FX Gain/Loss Accrued Income Total Net Worth Income Summary Taxable Interest Dividends Total 93,093,985.36 19,917,096.20 14,721,435.20 57,838,677.90 616,776.06 - 7,802,970.78 - 201,413.00 - 7,601,557.78 85,291,014.58 1,336,769.20 16,866.14 86,644,649.92 Margin Portfolio USD 161121381 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 .00 0.00 0.00 93,093,985.36 19,917,096.20 14,721,435.20 57,838,677.90 616,776.06 - 7,802,970.78 - 201,413.00 - 7,601,557.78 85,291,014.58 1,336,769.20 16,866.14 86,644,649.92 This Period 44,796.88 44,796.88 Year to Date 258,350.00 602,034.52 860,384.52 JPMorgan provides this Portfolio Summary for informational purposes. This summary includes informati on about assets held at JPMCB and JPMSI in accounts listed on the front page. Securities are not bank deposits or FDIC insured, are not obligations of or guaranteed by JPMCB or a ny of its bank of thrift affiliates (unless otherwise indicated), and are subject to investment risks, including possible loss of the pr EFTA01553044 incipal amount invested. Assets held in custody by JPMCB are not protected under the Securities Investor Protection Corporati on ("SIPC") insurance. Total USD EFTA01553045 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 3 of 64 Asset Account Portfolio July 1 - July 31, 2003 Checkbook Orders Private Bank clients receive all standard checkbooks free of charge. Standard checkbooks are available with blue, green or yellow safety paper in the following styles: - Personal wallet - Personal deskbook (3 wallet-size checks per page) - Executive deskbook (3 business-size checks per page) All other checkbook orders will be charged accordingly. For more information, please contact your Client Service Team. Table of Contents Portfolio Summary Cash and Short Term Equities Other Options Outstanding Foreign Exchange Contracts Trade Activity Account Transactions Account Officers Service Specialist: HORNAK/DORAZIO Page 4 6 7 8 10 16 19 27 EFTA01553046 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 4 of 64 Overview Portfolio Summary Except for the Deposit Account (if elected), and the cash in your Asset Account, which are insured deposits with JPMCB, none of the investments referred to in this statement of your Asset Account, including mutual funds, are FDIC insured or bank deposits, obligations of or guaranteed by JPMCB or any of its bank or thrift affiliates (unless otherwise indicated). Such securities and other investments are subject to investment risks, including possible loss of the principal amount invested. See "Important Information about your JPMSI Brokerage Account" at the end of this Asset Account Portfolio. Asset Allocation 21% Cash and Short Term 16% Equities 63% Other Market Value USD Jul 31 Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value 19,715,683.20 14,721,435.20 57,838,677.90 - 6,984,781.72 85,291,014.58 1,336,769.20 16,866.14 86,644,649.92 Income Summary Taxable Interest Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Total Market Value USD Jun 30 38,510,764.12 16,201,579.50 37,044,260.00 - 3,190,771.77 88,565,831.85 7,797,636.59 44,796.88 96,408,265.32 Tax Cost USD 19,715,683.20 58,181,000.03 - 2,230,900.00 75,665,783.23 Estimated Annual Income USD 186,707.51 Yield 1.0 0.0 0.0 186,707.51 N/A N/A 0.2 This Period USD 44,796.88 44,796.88 Year to Date USD* EFTA01553047 258,350.00 602,034.52 860,384.52 Realized This Period USD Realized Year to Date USD* 5,702,908.23 5,702,908.23 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of July 31, 2003 Market value of Options is not included in pie chart. Currency AUD CHF EUR Exchange Rate 0.6481 1.3730 1.1256 Unrealized USD 8,009,680.41 - 5,096,203.88 8,009,680.41 - 5,096,203.88 EFTA01553048 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 5 of 64 Exchange Rates Spot Rates as of July 31, 2003 Currency GBP HKD JPY MXN NOK NZD ZAR Exchange Rate 1.6075 7.7993 120.5450 10.4835 7.2441 0.5797 7.4131 EFTA01553049 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 6 of 64 Cash and Short Term Summary by Maturity Current Market Value USD Adjusted Cash Balance Total 19,715,683.20 19,715,683.20 Estimated Annual Income USD 186,707.51 186,707.51 Current yield is displayed for instruments with no maturity and YTM on market is displayed for instr uments that mature. Cash and Short Term by Type Description Cusip/S&P/Moody's Rating Cash JP MORGAN INSTITUTIONAL PRIME MONEY INSTITUTIONAL CLASS SWEEP FUND (829) (SWEEP DEADLINE IS 4:30 PM EST) 7-Day Annualized Yield: 1.03% COST OF PENDING PURCHASES PROCEEDS FROM PENDING SALES Adjusted Cash Balance USD 19,705,858.20 1.00 1.00 19,705,858.20 19,705,858.20 16,866.14 USD USD - 201,413 211,238 1.00 1.00 1.00 1.00 - 201,413.00 211,238.00 19,715,683.20 - 201,413.00 211,238.00 19,715,683.20 16,866.14 186,614.47 0.95 CurrenCy/ Unit Cost Adjusted Account Type Quantity Original Market Price Tax Cost Adjusted Original Market Value USD Accrued Interest USD Unrealized Gain/Loss USD Estimated Current Annual Yield/ Income USD YTM % Current - 1,907.38 2,000.42 EFTA01553050 0.95 0.95 186,707.51 0.95 EFTA01553051 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 7 of 64 Equities Equity Holdings in Alphabetical Order Description Cusip/Symbol CurrenCyi Account Type Quantity unit Cost Current Market Price Tax Cost Current Market Value USD USD Accrued Dividends USD Estimated Unrealized Gain/Loss USD Annual Dividend Income USD Yield TOO INC 890333-10-7 TOO 800,078 are liened USD Total Equity 800,078 800,078 18.40 14,721,435.20 14,721,435.20 N/A 0.00 N/A 0.0 EFTA01553052 07 Other Structured Investments in Alphabetical Order Description 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 618994-9Z-2 Bearer 20,000,000 are liened 3 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 09/08/2003 619998-9A-7 Bearer 20,000,000 are liened 3 MONTH FX BULLISH MXN DEPOSIT 100% PRINCIPAL PROTECTED IN MXN DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 9/10/2003 619998-9B-5 Bearer 107,250,000 are liened MXN 107,250,000 100.00 100.304 7/23/03 10,000,000.00 10,261,529.85 261,529.85 N/A AUD 20,000,000 100.00 101.8021 7/23/03 13,270,000.00 13,195,788.60 - 74,211.40 N/A Market Value USD Currency AUD Quantity 20,000,000 Unit Cost 100.00 PriCe/Unit 101.229 7/23/03 Tax Cost 13,270,000.00 Accrued Income USD Unrealized Estimated Annual Gain/Loss USD 13,121,511.60 - 148,488.40 Income USD Yield N/A JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 8 of 64 EFTA01553053 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 9 of 64 Structured Investments in Alphabetical Order Description 1 MONTH FX BULLISH NZD DEPOSIT 100% PRINCIPAL PROTECTED IN NZD DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 8/4/2003 619998-9D-1 Bearer 17,000,000 are liened 4 MONTH FX BULLISH EUROS DEPOSIT 100% PRINCIPAL PROTECTED IN EUROS DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 11/14/2003 619998-9E-9 Bearer 10,000,000 are liened Total Other EUR 10,000,000 100.00 101.4051 7/23/03 11,526,000.02 11,413,722.40 - 112,277.62 N/A continued Market Value USD Currency NZD Quantity 17,000,000 Unit Cost 100.00 PriCS/Unit 99.909 7/23/03 Tax Cost 10,115,000.01 Accrued Income USD Unrealized Estimated Annual Gain/Loss USD 9,846,125.45 - 268,874.56 Income USD Yield % N/A 174,250,000 58,181,000.03 57,838,677.90 - 342,322.13 EFTA01553054 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 10 of 64 Options Foreign Exchange Description Cusip HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 8 7.833 XHKDPA-AH-2 NOK CALL USD PUT FX EUROPEAN STYLE OPTION SEP 26, 2003 8 6.85 XNOKCA-BJ-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 8 1.2 XCHFCA-CQ-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 8 1.2 XCHFCA-CR-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 15, 2004 8 1.15 XCHFCA-CX-2 CHF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2003 8 1.38 XCHFPA-DB-2 CHF - 16,560,000 USD - 12,000,000.00 USD - 281,032.00 - 281,032.00 CHF 80,500,000 USD 70,000,000.00 USD 543,848.00 543,848.00 CHF 12,000,000 USD 10,000,000.00 USD 106,200.00 106,200.00 CHF 12,000,000 USD 10,000,000.00 USD 107,300.00 107,300.00 NOK 41,100,000 USD 6,000,000.00 USD 120,600.00 120,600.00 Counter Amount Currency Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD HKD 156,660,000 USD 20,000,000.00 USD 312,280.00 312,280.00 112,948.73 07/22/03 9,371.21 07/22/03 15,376.68 07/22/03 15,376.68 EFTA01553055 07/22/03 122,700.52 07/22/03 - 113,466.97 07/22/03 - 199,331.27 - 111,228.79 - 91,923.32 - 90,823.32 - 421,147.48 167,565.03 EFTA01553056 07 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 11 of 64 Foreign Exchange Description CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 16, 2004 @ 1.175 XCHFCA-DC-2 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 16, 2003 @ 1. XEURPA-ID-2 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION OCT 20, 2003 @ 1.495 XEURCA-QM-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 24, 2003 @ 7.2 KNOCK IN @ 7.60 XNOKPA-DU-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ 7.1 KNOCK-IN @ 7.55 XNOKPA-DX-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ 7.1 KNOCK-IN @ 7.55 XNOKPA-DW-2 NOK - 35,500,000 USD - 5,000,000.00 USD - 164,775.00 - 164,775.00 NOK - 56,800,000 USD - 8,000,000.00 USD - 262,200.00 - 262,200.00 NOK - 65,594,995.20 USD - 9,110,416.00 USD - 265,958.00 - 265,958.00 EUR - 20,000,000 CHF - 29,900,000.00 USD - 110,023.00 - 110,023.00 EUR 50,000,000 USD 50,000,000.00 USD 300,000.00 300,000.00 Counter Amount Currency continued CHF 58,750,000 USD 50,000,000.00 USD 420,690.00 420,690.00 142,480.50 07/22/03 5,313.00 07/22/03 - 654,280.00 07/22/03 - 313,678.55 07/22/03 - 278,209.50 Counter Premium Amount Currency Premium Local Premium USD Current Market EFTA01553057 Value USD Unrealized Gain/Loss USD - 294,687.00 - 544,257.00 - 47,720.55 - 360,844.72 07/22/03 - 98,644.72 - 225,527.95 07/22/03 - 60,752.95 EFTA01553058 07 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 12 of 64 Foreign Exchange Description ZAR PUT USD CALL FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 XZARPA-AF-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION FEB 13, 2004 8 116 KNOCK OUT @ 112 XJPYPA-JD-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION FEB 17, 2004 @ 116 KNOCK OUT @ 113 XJPYPA-JH-Z NOK PUT USD CALL FX EUROPEAN STYLE OPTION MAR 03, 2004 @ 6.85 KNOCK IN FX OPTION TRIGGERED @ 7.00 KNOCK OUT @ 6.65 XNOKPA-EE-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.145 XEURPA-JS-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION MAR 25, 2004 @ .67 KNOCK OUT @ .68 XAUDPA-BO-Z AUD - 20,000,000 USD - 13,400,000.00 USD - 246,426.00 - 246,426.00 EUR - 15,000,000 USD - 17,175,000.00 USD - 386,438.00 - 386,438.00 - 534,121.50 07/22/03 - 325,728.60 07/08/03 - 147,683.50 NOK - 68,500,000 USD - 10,000,000.00 USD - 200,090.00 - 200,090.00 JPY -1,218,000,000 USD - 10,500,000.00 USD - 139,104.00 - 139,104.00 JPY -1,160,000,000 USD - 10,000,000.00 USD - 162,750.00 - 162,750.00 Counter Amount Currency continued ZAR - 12,750,000 USD - 1,700,000.00 USD - 66,130.00 - 66,130.00 - 122,461.07 07/22/03 - 56,331.07 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD EFTA01553059 Unrealized Gain/Loss USD - 347,420.00 07/22/03 - 184,670.00 - 350,284.62 07/22/03 - 211,180.62 - 849,327.39 07/22/03 - 649,237.39 - 79,302.60 EFTA01553060 07 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 13 of 64 Foreign Exchange Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAR 31, 2004 @ 1.15 KNOCK OUT @ 1.175 XEURPA-JV-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.15 KNOCK IN TRIGGERED @ 1.14 XEURPA-JW-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.16 XEURCA-RU-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .595 XNZDCA-AV-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION DEC 16, 2003 @ .67 KNOCK IN @.6550 XAUDPA-BR-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION APR 08, 2004 @ .66 KNOCK OUT @ .680 XAUDPA-BV-Z AUD - 10,000,000 USD - 6,600,000.00 USD - 181,500.00 - 181,500.00 AUD - 35,000,000 USD - 23,450,000.00 USD - 639,341.00 - 639,341.00 NZD 20,000,000 USD 11,900,000.00 USD 217,770.00 217,770.00 EUR 14,000,000 USD 16,240,000.00 USD 302,064.00 302,064.00 134,899.94 07/22/03 58,308.80 07/22/03 - 1,187,082.75 07/22/03 - 167,164.06 EUR - 14,000,000 USD - 16,100,000.00 USD - 243,110.00 - 243,110.00 Counter Amount Currency continued EUR - 11,739,130.43 USD - 13,499,999.99 USD - 222,750.00 - 222,750.00 - 396,054.20 07/22/03 - 173,304.20 Counter Premium Amount Currency Premium Local Premium USD EFTA01553061 Current Market Value USD Unrealized Gain/Loss USD - 410,800.74 07/22/03 - 167,690.74 - 159,461.20 - 547,741.75 - 286,753.10 07/22/03 - 105,253.10 EFTA01553062 07 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 14 of 64 Foreign Exchange Description GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 06, 2003 @ 1.625 KNOCK IN TRIGGERED @ 1.6150 XGBPPA-FS-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 03, 2003 @ .58 XNZDPA-BS-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.08 XEURPA-KE-Z P AUD CALL USD PUT FX EUROPEAN STYLE OPTION JAN 29, 2004 @ .655 XAUDCA-BK-Z P AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ .655 KNOCK IN @ .6325 XAUDPA-CA-Z Total Foreign Exchange Exchange-listed options are valued using market prices at the close of business for statement date. Over-The-Counter (OTC) options are valued at Mid-Market, unless otherwise agreed. See: Important Information about Pricing and Valuations. - 2,230,900.00 - 6,984,781.72 - 4,753,881.75 AUD - 15,000,000 USD - 9,825,000.00 USD - 211,238.00 - 211,238.00 0.00 211,238.00 AUD 15,000,000 USD 9,825,000.00 USD 201,413.00 201,413.00 EUR - 50,000,000 USD - 54,000,000.00 USD - 496,800.00 - 496,800.00 NZD - 20,000,000 USD - 11,600,000.00 USD - 336,400.00 - 336,400.00 - 382,792.20 07/22/03 - 335,275.50 07/22/03 0.00 - 46,392.20 Counter Amount Currency Continued GBP - 8,000,000 USD - 13,000,000.00 USD - 247,000.00 - 247,000.00 - 405,657.92 07/22/03 - 158,657.92 Counter Premium Amount Currency Premium Local Premium USD EFTA01553063 Current Market Value USD Unrealized Gain/Loss USD 161,524.50 - 201,413.00 EFTA01553064 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 15 of 64 Important Information about Pricing and Valuations Prices, some of which are provided by pricing services or other sources which we deem reliable, are not guaranteed for accuracy or as realizable values. Valuations of over-the-counter derivative transactions, including certain derivatives-related deposi t products, have been prepared on a mid-market basis. These valuations are indicative values as of t he close of business of the date of this statement and, except as otherwise agreed in writing, these valuations do not represent the actual terms at wh ich transactions or securities could be bought or sold or new transactions could be entered into, or the actual terms on which existing transactions or securities could be liquidated as of the date of this statement. We do not warrant their completenes s or accuracy. These valuations are derived from proprietary models based upon well recognized finan cial principles and we have, when necessary to calculate the present value of future cash flows, made reasonable estimates about relevant future ma rket conditions. Valuations based on other models or different assumptions may yield different resul ts. Morgan expressly disclaims any responsibility for (1) the accuracy of the models or estimates used in deriving the valuations, (2) any errors or o missions in computing or disseminating the valuations, and (3) any uses to which the valuations are put. Valuations are provided for information purposes only and are intended solely for your own use. Please refer to the trade confirmation for d etails of each transaction. EFTA01553065 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 16 of 64 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Swiss Franc Pound Sterling Norwegian Krone N Zealand Dollar U S Dollar Value in Currency 25,982,500.00 10,000,000.00 121,265,000.00 20,000,000.00 - 61,356,196.75 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Open Total Unrealized Gain/Loss 399,007.54 937,761.66 1,336,769.20 Foreign Exchange Contracts Settlement Date Trade Date SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Jul. 15 03 Aug. 7 03 AUD Jun. 3 03 Dec. 5 03 AUD Total Open SWISS FRANC May. 8 03 Nov. 5 03 CHF Dec. 12 02 Dec. 15 03 CHF Dec. 13 02 Dec. 15 03 CHF Jan. 15 03 Dec. 15 03 CHF Apr. 24 03 Dec. 15 03 CHF Total Open - 20,000,000.00 USD 20,000,000.00 USD 0.00 - U S DOLLAR 26,050,000.00 USD 7,178,000.00 USD 14,290,000.00 USD - 13,765,000.00 USD - 7,770,500.00 USD 25,982,500.00 - 20,000,000.00 - 5,000,000.00 - 10,000,000.00 10,000,000.00 5,747,411.24 - 19,252,588.76 1.3025 1.4356 1.429 1.3765 1.352 1.369890 1.368689 1.368689 1.368689 1.368689 19,016,130.68 5,244,435.89 10,440,650.45 10,000,000.00 5,747,411.24 50,448,628.26 20,000,000.00 EFTA01553066 5,000,000.00 10,000,000.00 10,057,071.62 5,677,332.00 50,734,403.62 - 983,869.32 244,435.89 440,650.45 - 57,071.62 70,079.24 - 285,775.36 12,940,000.00 - 13,040,000.00 - 100,000.00 0.647 0.652 0.647636 0.639880 12,940,000.00 12,797,590.64 25,737,590.64 12,952,713.40 13,040,000.00 25,992,713.40 - 12,713.40 - 242,409.36 - 255,122.76 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553067 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 17 of 64 Foreign Exchange Contracts Settlement Date Currency EURO CURRENCY - U S DOLLAR Total Closed Jul. 3 03 Aug. 7 03 EUR Jul. 15 03 Aug. 7 03 EUR POUND STERLING - U S DOLLAR MEXICAN NEW PESO - U S DOLLAR Total Closed Jul. 25 03 Dec. 15 03 GBP Jun. 17 03 Dec. 19 03 MXN Jul. 16 03 Dec. 19 03 MXN NORWEGIAN KRONE - U S DOLLAR Dec. 11 02 Dec. 15 03 NOK Dec. 11 02 Dec. 15 03 NOK Dec. 12 02 Dec. 15 03 NOK Dec. 12 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Jan. 15 03 Dec. 15 03 NOK Apr. 24 03 Dec. 15 03 NOK May. 21 03 Dec. 15 03 NOK Total Open continued Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD 10,000,000.00 USD - 10,000,000.00 USD 0.00 - 11,470,000.00 11,193,000.00 - 277,000.00 10,000,000.00 USD 107,925,000.00 USD - 107,925,000.00 USD 0.00 73,135,000.00 USD 38,025,000.00 USD 37,560,000.00 USD 37,465,000.00 USD 74,370,000.00 USD 37,275,000.00 USD 36,350,000.00 USD - 71,800,000.00 USD - 72,625,000.00 USD - 68,490,000.00 USD 121,265,000.00 N ZEALAND DOLLAR - U S DOLLAR Apr. 16 03 Oct. 22 03 NZD May. 8 03 Oct. 22 03 NZD Jun. 11 03 Oct. 22 03 NZD 20,000,000.00 USD 20,000,000.00 USD - 15,000,000.00 USD EFTA01553068 - 16,102,000.00 - 10,000,000.00 10,172,007.54 172,007.54 - 9,616,699.53 - 5,000,000.00 - 5,000,000.00 - 5,000,000.00 - 9,962,491.63 - 5,000,000.00 - 4,885,424.37 10,000,000.00 10,000,000.00 10,000,000.00 - 14,464,615.53 - 10,936,000.00 - 11,320,000.00 8,535,000.00 1.147 1.1193 0.888636 0.888636 11,253,198.96 11,193,000.00 22,446,198.96 1.6102 10.7925 10.61 1.593448 10.673532 10.673532 15,934,476.09 10,111,461.08 10,172,007.54 20,283,468.62 7.605 7.605 7.512 7.493 7.465 7.455 7.4405 7.18 7.2625 6.849 7.303094 7.303094 7.303094 7.303094 7.303094 7.303094 7.303094 7.303094 7.303094 7.303094 10,014,248.95 5,206,697.42 5,143,025.78 5,130,017.59 10,183,355.36 5,104,001.22 4,977,342.57 10,000,000.00 10,000,000.00 10,000,000.00 75,758,688.89 0.5468 0.566 0.569 0.574414 0.574414 0.574414 11,488,288.28 11,488,288.28 8,535,000.00 11,470,000.00 11,253,198.96 22,723,198.96 16,102,000.00 EFTA01553069 10,000,000.00 10,111,461.08 20,111,461.08 9,616,699.53 5,000,000.00 5,000,000.00 5,000,000.00 9,962,491.63 5,000,000.00 4,885,424.37 9,831,449.71 9,944,415.53 9,378,217.14 73,618,697.91 10,936,000.00 11,320,000.00 8,616,216.21 - 216,801.04 - 60,198.96 - 277,000.00 - 167,523.91 111,461.08 60,546.46 172,007.54 397,549.42 206,697.42 143,025.78 130,017.59 220,863.73 104,001.22 91,918.20 168,550.29 55,584.47 621,782.86 2,139,990.98 552,288.28 168,288.28 - 81,216.21 EFTA01553070 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 18 of 64 Foreign Exchange Contracts Settlement Date Currency Jun. 12 03 Oct. 22 03 NZD Total Closed Jul. 15 03 Aug. 7 03 NZD Jul. 24 03 Aug. 7 03 NZD Jul. 1 03 Dec. 15 03 NZD Total Open Total continued Amount Counter Currency - 25,000,000.00 USD 0.00 - 25,000,000.00 USD 15,000,000.00 USD 30,000,000.00 USD 20,000,000.00 20,000,000.00 Total Foreign Exchange Contracts Counter Amount 14,225,000.00 504,000.00 14,450,000.00 - 8,736,000.00 - 17,550,000.00 - 11,836,000.00 - 11,332,000.00 Contract Rate 0.569 0.578 0.5824 0.585 Current Market Forward Rate 0.574414 0.579249 0.579249 0.571156 Market Value Receivables USD 14,225,000.00 45,736,576.56 14,450,000.00 8,688,738.90 17,134,685.31 40,273,424.21 86,010,000.77 296,619,052.23 Market Value Payables USD 14,360,360.35 45,232,576.56 14,481,231.50 8,736,000.00 17,550,000.00 40,767,231.50 85,999,808.06 295,282,283.03 unrealized Gain/Loss USD - 135,360.35 504,000.00 - 31,231.50 - 47,261.10 EFTA01553071 - 415,314.69 - 493,807.29 10,192.71 1,336,769.20 EFTA01553072 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 19 of 64 Trade Activity Realized Gain/Loss Summary Short Term Gain/Loss Long Term Gain/Loss Note: indicates Short Term Realized Gain/Loss indicates Long Term Realized Gain/Loss S L Capital gains and losses on sales with missing or incomplete tax cost are identified with N/A. Trade Date Settlement Date Settled Jul 1 Jul 3 Jul 1 Jul 3 Jul 1 Jul 1 Purchase Opt AUD CALL USD PUT Write Option Expired Opt FX EUROPEAN STYLE OPTION DEC 16, 2003 0 .6775 AUD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 16, 2003 0 .695 AUD PUT USD CALL FX EUROPEAN STYLE OPTION MAR 02, 2004 0 .65 KNOCK OUT 0.6750 Issued in USD Jul 1 Jul 3 Write Option AUD PUT USD CALL FX EUROPEAN STYLE OPTION DEC 16, 2003 0 .67 KNOCK IN 0.6550 USD - 35,000,000 2.73 639,341.00 USD USD AUD 35,000,000 - 35,000,000 20,000,000 2.12 1.13 - 501,851.00 274,152.00 0.00 308,100.00 308,100.00 S Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD 5,722,375.28 0.00 EFTA01553073 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 20 of 64 Settlement Date Realized Type Settled continued Jul 1 Jul 3 Jul 1 Jul 3 Jul 1 Jul 3 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Purchase Opt EUR CALL USD PUT USD Write Option Write Option FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.16 EUR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.175 EUR PUT USD CALL Jul 1 Jul 3 Jul 1 Jul 3 Jul 1 Jul 3 Purchase Opt Write Option Write Option FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.15 KNOCK IN @ 1.14 NZD CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .595 NZD CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .605 NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .5875 KNOCK IN 0.5775 Jul 1 Jul 3 Purchase 1 MONTH FX BULLISH NZD DEPOSIT 100% PRINCIPAL PROTECTED IN NZD DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 8/4/2003 Jul 1 Jul 3 Purchase 4 MONTH FX BULLISH EUROS DEPOSIT 100% PRINCIPAL PROTECTED IN EUROS DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 11/14/2003 Jul 2 Jul 2 Expired Opt JPY CALL USD PUT FX EUROPEAN STYLE OPTION JUL 02, 2003 @ 110. EUR 10,000,000 100.00 - 10,000,000.00 0.02 S NZD 17,000,000 100.00 - 17,000,000.00 EFTA01553074 0.01 S USD USD 14,000,000 - 14,000,000 - 14,000,000 1.86 1.22 1.51 - 302,064.00 200,690.00 243,110.00 USD USD USD 20,000,000 1.83 - 20,000,000 - 20,000,000 1.01 1.82 - 217,770.00 122,210.00 213,850.00 USD -2,200,000,000 0.00 - 165,000.00 - 165,000.00 S EFTA01553075 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 21 of 64 Settlement Date Realized Type Settled continued Jul 7 Jul 9 Jul 7 Jul 9 Jul 7 Jul 9 Jul 7 Jul 9 Jul 7 Jul 9 Jul 7 Jul 9 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Sell Option Buy-Back Opt Buy-Back Opt Buy-Back Opt Buy-Back Opt Buy-Back Opt AUD CALL USD PUT USD FX EUROPEAN STYLE OPTION DEC 16, 2003 @ .6775 CHF PUT USD CALL FX EUROPEAN STYLE OPTION OCT 06, 2003 @ 1.42 EUR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.175 MXN PUT USD CALL FX EUROPEAN STYLE OPTION SEP 08, 2003 @ 11.3 NOK PUT USD CALL FX EUROPEAN STYLE OPTION JUL 14, 2003 @ 7.33 NZD PUT USD CALL Jul 7 Jul 9 Buy-Back Opt FX EUROPEAN STYLE OPTION DEC 23, 2003 @ .5515 KNOCK IN @ .5200 NZD PUT USD CALL Jul 8 Jul 10 Write Option FX EUROPEAN STYLE OPTION NOV 06, 2003 @ .56 KNOCK IN @ .53 AUD PUT USD CALL Jul 8 Jul 10 Buy-Back Opt FX EUROPEAN STYLE OPTION APR 08, 2004 @ .66 KNOCK OUT @ .680 GBP CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 @ 1.575 USD USD USD USD USD - 35,000,000 6,975,000 14,000,000 113,000,000 73,300,000 EFTA01553076 10,000,000 488,931.00 - 36,236.00 - 105,345.00 - 45,600.00 - 56,900.00 - 41,509.00 - 501,851.00 91,092.00 200,690.00 487,000.00 227,000.00 278,298.00 - 12,920.00 S 54,856.00 S 95,345.00 S 441,400.00 S 170,100.00 S 236,789.00 S USD 20,000,000 - 74,848.00 319,200.00 244,352.00 S USD - 10,000,000 2.75 181,500.00 USD 5,000,000 - 303,188.00 136,238.00 - 166,950.00 S EFTA01553077 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 22 of 64 Settlement Date Realized Type Settled continued Jul 8 Jul 10 Write Option GBP PUT USD CALL Jul 11 Jul 11 Expired Opt Jul 15 Jul 17 Purchase Opt Jul 15 Jul 17 Buy-Back Opt FX EUROPEAN STYLE OPTION NOV 06, 2003 @ 1.625 KNOCK IN @ 1.6150 NOK CALL USD PUT FX EUROPEAN STYLE OPTION JUL 11, 2003 @ 6.75 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 15, 2003 @ 1.05 NZD PUT USD CALL Jul 15 Jul 17 Write Option Jul 16 Jul 18 Purchase Opt Jul 16 Jul 18 Write Option Jul 23 Jul 25 Sell Option Jul 23 Jul 25 Sell Option Jul 24 Jul 29 Buy-Back Opt FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .5875 KNOCK IN TRIGGERED 0.5775 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 03, 2003 @ .58 EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.1 EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.08 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 15, 2003 @ 1.05 EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.1 NZD CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ .605 USD - 8,000,000 1.90 247,000.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD USD - 67,500,000 0.00 84,000,000 20,000,000 0.32 - 282,240.00 - 381,875.00 213,850.00 EFTA01553078 - 168,025.00 S - 146,000.00 - 146,000.00 S USD USD USD USD USD USD - 20,000,000 2.90 50,000,000 - 50,000,000 - 84,000,000 - 50,000,000 20,000,000 1.59 0.92 336,400.00 - 874,500.00 496,800.00 56,976.00 429,850.00 - 66,550.00 - 282,240.00 - 874,500.00 122,210.00 - 225,264.00 S - 444,650.00 .5 55,660.00 S EFTA01553079 07 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 23 of 64 Settlement Date Realized Type Settled continued Jul 29 Jul 31 Buy-Back Opt AUD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 16, 2003 @ .695 Trade Date Estimated Settlement Date Pending Jul 30 Aug 1 Purchase Opt AUD CALL USD PUT Jul 30 Aug 1 Write Option FX EUROPEAN STYLE OPTION JAN 29, 2004 @ .655 AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ .655 KNOCK IN @ .6325 Trade Date Settlement Date Counter Currency Settled Foreign Exchange Contracts SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR May 1 03 Jul 10 03 May 8 03 Jul 10 03 Jun 4 03 Jul 10 03 Jun 25 03 Jul 28 03 Jul 8 03 Jul 28 03 AUD 20,000,000.00 USD - 12,384,312.69 AUD 20,000,000.00 USD - 12,619,445.26 AUD - 40,000,000.00 USD 26,043,920.65 AUD - 20,000,000.00 USD 13,294,000.00 AUD 20,000,000.00 USD - 13,218,000.00 CANADIAN DOLLAR - U S DOLLAR Apr 30 03 Jul 10 03 CAD 14,510,000.00 USD - 9,963,835.80 0.619216 0.630972 0.651098 0.664700 0.660900 1.456267 1.523600 1.523600 1.523600 1.502750 1.502750 1.384450 - 12,384,312.69 - 12,619,445.26 13,126,804.93 13,126,804.93 26,043,920.65 - 26,253,609.87 13,294,000.00 - 13,308,933.62 - 13,218,000.00 - 9,963,835.80 13,308,933.62 10,480,696.30 EFTA01553080 742,492.24 507,359.67 - 209,689.22 - 14,933.62 90,933.62 516,860.50 Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD USD USD 15,000,000 - 15,000,000 2.05 2.15 - 201,413.00 211,238.00 Realized Gain/Loss Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD USD 35,000,000 - 168,221.00 274,152.00 105,931.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD EFTA01553081 07 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 24 of 64 Settled Foreign Exchange Contracts Trade Settlement Date Currency May 1 03 Jul 10 03 May 5 03 Jul 10 03 May 5 03 Jul 10 03 Counter Amount Currency continued CAD - 14,510,000.00 USD 10,060,311.42 CAD 14,510,000.00 USD - 10,076,439.33 CAD - 14,510,000.00 USD 10,075,632.97 EURO CURRENCY - U S DOLLAR Jun 25 03 Jul 2 03 Jun 25 03 Jul 2 03 Jun 25 03 Jul 2 03 Jul 1 03 EUR EUR Jul 2 03 Dec 12 02 Jul 10 03 Dec 12 02 Jul 10 03 Mar 12 03 Jul 10 03 Mar 12 03 Jul 10 03 Apr 30 03 Jul 10 03 Apr 30 03 Jul 10 03 May 7 03 Jul 10 03 May 7 03 Jul 10 03 Jun 4 03 Jun 6 03 Jun 6 03 Jun 6 03 Jun 6 03 Jul 15 03 Jul 15 03 Jul 17 03 Jul 10 03 Jul 10 03 Jul 10 03 Jul 10 03 Jul 10 03 Jul 17 03 Jul 17 03 Jul 18 03 EUR - 6,000,000.00 USD EUR - 5,000,000.00 USD EUR EUR EUR - 5,000,000.00 USD EUR - 1,500,000.00 USD 5,000,000.00 USD - 5,760,000.00 6,000,000.00 USD - 6,947,400.00 6,916,800.00 5,775,000.00 5,000,000.00 USD - 5,019,497.33 1,500,000.00 USD - 1,503,162.31 5,413,573.64 1,627,803.88 EUR 15,000,000.00 USD - 16,588,801.79 EUR 10,000,000.00 USD - 11,070,160.76 EUR 15,000,000.00 USD - 16,840,362.32 EUR 10,000,000.00 USD - 11,278,392.57 EUR - 10,000,000.00 USD 11,558,359.74 EUR - 12,500,000.00 USD 14,528,901.03 EUR - 12,500,000.00 USD 14,477,839.40 EUR - 7,500,000.00 USD EUR - 7,500,000.00 USD EFTA01553082 EUR 20,000,000.00 USD - 22,380,000.00 EUR - 20,000,000.00 USD 22,396,000.00 EUR - 12,000,000.00 USD 13,460,400.00 1.442301 1.439993 1.440108 8,631,149.97 8,600,693.21 1.152000 1.157900 1.152800 1.155000 1.003900 1.002108 1.082715 1.085203 1.105920 1.107016 1.122691 1.127839 1.155836 1.162312 1.158227 1.150820 1.146759 1.119000 1.119800 1.121700 1.384450 1.384450 1.384450 1.151676 1.151676 1.151676 1.151676 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.134366 1.119000 1.119000 1.121800 10,060,311.42 - 10,480,696.30 - 10,076,439.33 10,075,632.97 - 10,480,696.30 - 5,760,000.00 - 6,947,400.00 6,916,800.00 5,775,000.00 - 5,019,497.33 - 1,503,162.31 5,413,573.64 1,627,803.88 - 16,588,801.79 - 11,070,160.76 - 16,840,362.32 - 11,278,392.57 5,758,378.44 6,910,054.12 - 6,910,054.12 - 5,758,378.44 5,671,828.03 1,701,548.40 - 5,671,828.03 - 1,701,548.40 17,015,484.09 11,343,656.06 17,015,484.09 11,343,656.06 11,558,359.74 - 11,343,656.06 EFTA01553083 14,528,901.03 - 14,179,570.07 14,477,839.40 - 14,179,570.07 8,631,149.97 8,600,693.21 - 22,380,000.00 22,396,000.00 - 22,380,000.00 13,460,400.00 - 13,461,600.00 10,480,696.30 - 420,384.88 404,256.97 - 405,063.33 - 8,507,742.04 - 8,507,742.04 22,380,000.00 - 1,621.56 - 37,345.88 6,745.88 16,621.56 652,330.70 198,386.09 - 258,254.39 - 73,744.52 426,682.30 273,495.30 175,121.77 65,263.49 214,703.68 349,330.96 298,269.33 123,407.93 92,951.17 16,000.00 - 1,200.00 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01553084 07 Date Jul 17 03 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 25 of 64 Settled Foreign Exchange Contracts Trade Settlement Date Currency Jul 18 03 Jun 20 03 Jul 24 03 Jun 24 03 Jul 24 03 Jul 1 03 Jul 24 03 Dec 13 02 Jul 10 03 Jun 6 03 Jul 10 03 JAPANESE YEN Dec 13 02 Jul 10 03 Jan 23 03 Jul 10 03 Counter Amount Currency continued EUR 12,000,000.00 USD - 13,461,600.00 EUR 10,000,000.00 USD - 11,602,000.00 EUR - 15,000,000.00 USD 17,178,000.00 5,000,000.00 USD - 5,774,000.00 EUR POUND STERLING - U S DOLLAR GBP - U S DOLLAR JPY 1,186,500,000.00 USD - 9,951,422.14 JPY- 1,186,500,000.00 USD 10,122,042.32 NORWEGIAN KRONE - U S DOLLAR Jun 16 03 Jul 2 03 Jul 1 03 Jul 2 03 Jun 10 03 Jul 14 03 Jul 1 03 Jul 8 03 Jul 11 03 Jul 11 03 Jul 23 03 Jul 14 03 Jul 14 03 Jul 14 03 Jul 23 03 Jul 23 03 NOK - 55,273,600.00 USD 8,000,000.00 NOK 55,273,600.00 USD - 7,741,400.56 NOK 31,948,750.00 USD - 4,544,630.16 NOK - 55,273,600.00 USD NOK 36,448,000.00 USD - 5,000,000.00 NOK - 13,123,150.00 USD NOK 13,123,150.00 USD - 1,785,219.70 NOK - 13,123,150.00 USD N ZEALAND DOLLAR - U S DOLLAR Jun 24 03 Jul 2 03 Jul 1 03 Jul 2 03 Jun 30 03 Jul 10 03 Jul 1 03 Jul 10 03 119.229190 117.219427 7,732,195.56 1,786,191.64 1,798,923.92 NZD 30,000,000.00 USD - 17,643,000.00 NZD - 30,000,000.00 USD 17,850,000.00 NZD 17,000,000.00 USD - 9,736,348.01 EFTA01553085 NZD - 17,000,000.00 USD SWEDISH KRONA - U S DOLLAR 6.909200 7.140000 7.030000 7.148500 7.289600 7.347000 7.351000 7.295000 9,858,073.49 0.588100 0.595000 0.572726 0.579887 117.890000 117.890000 7.158000 7.140000 7.379500 7.379500 7.379500 7.379500 7.248250 7.248250 1.682250 0.594442 1.701700 1.701700 - 9,951,422.14 10,064,466.87 10,122,042.32 - 10,064,466.87 8,000,000.00 - 7,741,400.56 - 4,544,630.16 7,732,195.56 - 5,000,000.00 1,786,191.64 - 1,785,219.70 1,798,923.92 - 17,643,000.00 - 7,721,933.50 7,741,400.56 4,329,392.23 - 7,490,155.15 4,939,088.01 - 1,778,325.09 1,810,526.67 - 1,810,526.67 17,833,259.02 17,850,000.00 - 17,833,259.02 - 9,736,348.01 9,858,073.49 9,990,009.99 - 9,990,009.99 113,044.73 57,575.45 278,066.50 - 215,237.93 242,040.41 - 60,911.99 7,866.55 25,306.97 - 11,602.75 190,259.02 16,740.98 253,661.98 - 131,936.50 GBP - 5,000,000.00 USD 5,000,000.00 USD - 7,732,752.57 8,137,277.88 1.121800 1.160200 1.145200 1.154800 1.546551 1.627456 1.121800 1.148501 EFTA01553086 1.148501 1.148501 1.628532 1.628532 - 13,461,600.00 - 11,602,000.00 13,461,600.00 11,485,012.05 17,178,000.00 - 17,227,518.08 - 5,774,000.00 - 7,732,752.57 8,137,277.88 5,742,506.02 8,142,659.39 - 8,142,659.39 - 116,987.95 - 49,518.08 - 31,493.98 409,906.82 - 5,381.51 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01553087 07 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 26 of 64 Settled Foreign Exchange Contracts Trade Settlement Date Currency Dec 12 02 Jul 10 03 Dec 12 02 Jul 10 03 Mar 12 03 Jul 10 03 TRADE RELATED EURO CURRENCY - U S DOLLAR N ZEALAND DOLLAR - U S DOLLAR Jul 1 03 Jul 1 03 Jul 3 03 Jul 3 03 EUR 10,000,000.00 USD - 11,526,000.00 NZD 17,000,000.00 USD - 10,115,000.00 1.152600 0.595000 1.152600 0.595000 - 11,526,000.00 - 10,115,000.00 11,526,000.00 10,115,000.00 Counter Amount Currency continued SEK 45,617,500.00 USD - 4,975,711.07 SEK 45,757,500.00 USD - 4,975,711.07 SEK - 91,375,000.00 USD 10,569,698.92 9.168036 9.196173 8.644996 8.062850 8.062850 8.062850 - 4,975,711.07 - 4,975,711.07 5,657,738.88 5,675,102.47 10,569,698.92 - 11,332,841.36 682,027.81 699,391.40 - 763,142.44 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01553088 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 27 of 64 Account Transactions by Currency Australia Dollar Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Australia Dollar Activity by Date Settlement Date Jul 10 Type Fwd FX Ctrct Quantity Description - 12,619,445.26 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.630972300 TRADE 5/08/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 26,043,920.65 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.651098000 TRADE 6/04/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 12,384,312.69 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.619215600 TRADE 5/01/03 VALUE 7/10/03 0.01 .00 60,000,000.00 170,000,000.00 - 60,000,000.00 .00 .01 - 40,000,000.00 - 130,000,000.00 Amount to Date Realized Amount Gain/Loss USD 20,000,000.00 13,126,804.93 Amount USD - 40,000,000.00 - 26,253,609.87 20,000,000.00 13,126,804.93 EFTA01553089 07 Date Jul 28 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 28 of 64 Australia Dollar Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description 13,294,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.664700000 TRADE 6/25/03 VALUE 7/28/03 Jul 28 Fwd FX Ctrct - 13,218,000 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.660900000 TRADE 7/08/03 VALUE 7/28/03 Gain/Loss USD - 20,000,000.00 - 13,308,933.62 Amount Amount USD 20,000,000.00 13,308,933.62 EFTA01553090 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 29 of 64 Account Transactions by Currency Canadian Dollar Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Foreign Exchange Ending Balance Canadian Dollar Activity by Date Settlement Date Jul 10 Type Fwd FX Ctrct Quantity Description 10,060,311.42 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL CAD CONTRACT RATE : 1.442301300 TRADE 5/01/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 9,963,835.80 SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL USD CONTRACT RATE : 1.456266500 TRADE 4/30/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 10,076,439.33 SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL USD CONTRACT RATE : 1.439992800 TRADE 5/05/03 VALUE 7/10/03 .00 29,020,000.00 - 29,020,000.00 .00 29,020,000.00 - 29,020,000.00 Amount to Date Realized Amount Gain/Loss USD - 14,510,000.00 - 10,480,696.30 Amount USD 14,510,000.00 10,480,696.30 14,510,000.00 10,480,696.30 EFTA01553091 07 Date Jul 10 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 30 of 64 Canadian Dollar Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description 10,075,632.97 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL CAD CONTRACT RATE : 1.440108000 TRADE 5/05/03 VALUE 7/10/03 Gain/Loss USD - 14,510,000.00 - 10,480,696.30 Amount Amount USD EFTA01553092 07 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 31 of 64 Account Transactions by Currency Euro Currency Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Miscellaneous Disbursements Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Euro Currency Activity by Date Settlement Date Jul 2 Type Fwd FX Ctrct Quantity Description - 5,760,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.152000000 TRADE 6/25/03 VALUE 7/02/03 Jul 2 Fwd FX Ctrct - 6,947,400 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.157900000 TRADE 6/25/03 VALUE 7/02/03 .00 124,500,000.00 - 10,000,000.00 - 114,500,000.00 .00 - .01 443,754,389.97 - 10,000,000.00 - .53 - 433,754,389.44 Amount to Date Realized Amount Gain/Loss USD 5,000,000.00 5,758,378.44 Amount USD 6,000,000.00 6,910,054.12 EFTA01553093 07 Date Jul 2 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 32 of 64 Euro Currency Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description 6,916,800 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.152800000 TRADE 6/25/03 VALUE 7/02/03 Jul 2 Spot FX 5,775,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.155000000 TRADE 7/01/03 VALUE 7/02/03 U S DOLLAR EURO PRINCIPAL CURRENCY Jul 3 Spot FX - 11,526,000 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.152600000 TRADE 7/01/03 VALUE 7/03/03 EURO PRINCIPAL CURRENCY U S DOLLAR Jul 3 Purchase 10,000,000 4 MONTH FX BULLISH EUROS DEPOSIT 100% PRINCIPAL PROTECTED IN EVROS DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 11/14/2003 Jul 10 Fwd FX Ctrct - 5,019,497.33 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.003899500 TRADE 12/12/02 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 16,588,801.79 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.105920100 TRADE 4/30/03 VALUE 7/10/03 10,000,000.00 11,526,000.00 Gain/Loss USD - 6,000,000.00 - 6,910,054.12 Amount Amount USD - 5,000,000.00 - 5,775,000.00 - 10,000,000.00 - 11,526,000.02 5,000,000.00 5,671,828.03 15,000,000.00 17,015,484.09 EFTA01553094 07 Date Jul 10 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 33 of 64 Euro Currency Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description 5,413,573.64 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.082714700 TRADE 3/12/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 14,528,901.03 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.162312100 TRADE 6/06/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 11,558,359.74 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.155836000 TRADE 6/04/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 1,627,803.88 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.085202600 TRADE 3/12/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 14,477,839.40 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.158227200 TRADE 6/06/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 8,631,149.97 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.150820000 TRADE 6/06/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 16,840,362.32 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.122690800 TRADE 5/07/03 VALUE 7/10/03 - 0.01 - 0.01 Gain/Loss USD - 5,000,000.00 - 5,671,828.03 Amount Amount USD - 12,500,000.00 - 14,179,570.07 - 10,000,000.00 - 11,343,656.06 - 1,500,000.00 - 1,701,548.40 - 12,500,000.00 EFTA01553095 - 14,179,570.07 - 7,500,000.00 - 8,507,742.04 15,000,000.00 17,015,484.09 EFTA01553096 07 Date Jul 10 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio July 01, 2003 - July 31, 2003 Page 34 of 64 Euro Currency Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description - 1,503,162.31 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.002108200 TRADE 12/12/02 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 11,070,160.76 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.107016100 TRADE 4/30/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct - 11,278,392.57 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.127839300 TRADE 5/07/03 VALUE 7/10/03 Jul 10 Fwd FX Ctrct 8,600,693.21 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.146759100 TRADE 6/06/03 VALUE 7/10/03 Jul 17 Spot FX - 22,380,000 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.119000000 TRADE 7/15/03 VALUE 7/17/03 EURO PRINCIPAL CURRENCY U S DOLLAR Jul 17 Spot FX 22,396,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.119800000 TRADE 7/15/03 VAL