EFTA01553575.pdf

03 2004 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 88 J.P. Morgan Portfolios March 1 - March 31, 2004 Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio 0 JPMCB JPMSI 161121381 2 3 86 000000.0000.00.0000.000.000000000.000000 FINANCIAL TRUST COMPANY INC ATTN: JEFFREY E EPSTEIN C/O AMERICAN YACHT HARBOR 6100 RED HOOK, QUARTERS 483 ST THOMAS 00802 US VIRGIN ISLDS EFTA01553575 03 2004 Portfolio Summary FINANCIAL TRUST COMPANY INC March 01, 2004 - March 31, 2004 Page 2 of 88 Portfolio Summary Net Worth Summary Asset Portfolio USD Assets(Long) Cash s Short Term Equities Other Options Liabilities (Short) Cash S Short Term Other Options Total FE Gain/Loss Accrued Income Total Net Worth Income Summary Dividends Total 124,585,644.88 59,797,222.27 16,761,634.10 46,825,854.82 1,200,933.69 - 23,200,337.19 - 16,425,914.98 - 591,930.63 - 6,182,491.58 101,385,307.69 - 482,634.5836,048.08 100,938,721.19 Margin Portfolio USD 161121381 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 .00 0.00 0.00 124,585,644.88 59,797,222.27 16,761,634.10 46,825,854.82 1,200,933.69 - 23,200,337.19 - 16,425,914.98 - 591,930.63 - 6,182,491.58 101,385,307.69 - 482,634.5836,048.08 100,938,721.19 This Period 28,772.46 28,772.46 Year to Date 71,214.97 71,214.97 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 EFTA01553576 ny of its bank of thrift affiliates (unless otherwise indicated), and are subject to investment risks, including possible loss of the pr incipal amount invested. Assets held in custody by JPMCB are not protected under the Securities Investor Protection Corporati on ("SIPC") insurance. Total USD EFTA01553577 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 3 of 88 Asset Account Portfolio March 1 - March 31, 2004 Table of Contents Portfolio Summary Cash and Short Term Equities Other Options Outstanding Foreign Exchange Contracts Trade Activity Account Transactions Account Officers D'ORAZIO/HORNAK Page 4 6 7 8 12 20 23 36 EFTA01553578 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 4 of 88 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 41% Cash and Short Term 16% Equities 43% Other Market Value USD Mar 31 Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value 43,371,307.29 16,761,634.10 46,233,924.19 - 4,981,557.89 101,385,307.69 - 482,634.58 36,048.08 100,938,721.19 Income Summary Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Net Long Term Gain/Loss Total Market Value USD Feb 29 46,883,245.43 15,345,496.04 48,492,597.02 - 7,756,491.30 102,964,847.19 1,476,821.65 28,772.46 104,470,441.30 Tax Cost USD 43,626,443.27 45,525,000.00 - 3,665,981.08 85,485,462.19 Estimated Annual Income USD 522,082.14 Yield 1.2 0.0 0.0 522,082.14 N/A N/A 0.5 This Period USD 28,772.46 28,772.46 Year to Date USD* EFTA01553579 71,214.97 71,214.97 Realized This Period USD Realized Year to Date USD* - 1,007,526.90 - 1,007,526.90 10,536,371.35 10,536,371.35 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of March 31, 2004 Market value of Options is not included in pie chart. Currency AUD EUR GBP Exchange Rate 0.7634 1.2289 1.8377 Unrealized USD - 766,637.26 - 293,700.12 - 1,060,337.38 EFTA01553580 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 5 of 88 Exchange Rates Spot Rates as of March 31, 2004 Currency HKD HUF MXN NOK NZD THB TWD Exchange Rate 7.7911 202.4537 11.1700 6.8659 0.6658 39.2900 32.9500 EFTA01553581 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 6 of 88 Cash and Short Term Summary by Maturity Current Market Value USD Adjusted Cash Balance Total 43,371,307.29 43,371,307.29 Estimated Annual Income USD 522,082.14 522,082.14 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: .92% P N ZEALAND DOLLAR COST OF PENDING PURCHASES PROCEEDS FROM PENDING SALES Adjusted Cash Balance USD 46,737,222.27 1.00 1.00 46,737,222.27 46,737,222.27 36,048.08 NZD USD USD - 20,000,000 13,060,000 - 3,110,779 0.653 1.00 1.00 1.00 1.00 - 13,060,000.00 13,060,000.00 - 3,110,779.00 43,626,443.27 - 13,315,135.98 - 255,135.98 13,060,000.00 - 3,110,779.00 43,371,307.29 - 255,135.98 36,048.08 430,449.81 0.92 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 EFTA01553582 Annual Yield/ Income USD YTM % Current N/A 120,282.60 - 28,650.27 0.92 0.92 522,082.14 1.20 EFTA01553583 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 7 of 88 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 20.95 16,761,634.10 16,761,634.10 N/A 0.00 N/A 0.0 EFTA01553584 03 Other Swaps in Alphabetical Order Description WALT DISNEY CO EQUITY SWAP 24,954,900 USD NOTIONAL JAN 19 2005 DEAL REF t 2353480 SWPBDA-FL-1 N/0 Client WALT DISNEY CO TOTAL RETURN SWAP 11,920,650 USD NOTIONAL FEB 14 2005 DEAL REF t 2361214 SWPBDA-FV-9 N/0 Client INTEREST RATE SWAP 30,000,000 USD NOTIONAL 3/9/2014 REC FLOATING RATE QUARTERLY 3 MONTH LIBOR PAY: FIXED RATE SEMI-ANNUAL 4.205$ ACTUAL/360 SWPBDA-GJ-5 N/0 Client - 23,751.00 491,861.74 Trade Date Maturity Date Estimated Value USD - 142,495.63 JPMorgan Chase Bank 2004 Account Number: FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 8 of 88 EFTA01553585 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 9 of 88 Swaps in Alphabetical Order Description continued Trade Date INTEREST RATE SWAP 10,000,000 AUD NOTIONAL 3/9/2014 REC:FIXED RATE 5.72% AUD SEMI-ANNUAL PAY: FLOATING RATE AUD 3 MONTH BANK BILL RATE ACTUAL/365 SWPBDA-GV-8 N/0 Client INTEREST RATE SWAP 10,000,000 NZD NOTIONAL 3/9/2014 REC:FIXED RATE 6.14% NZD SEMI-ANNUAL PAY:FLOATING RATE NZD 3 MONTH BANK BILL RATE ACTUAL/365 SWPBDA-GW-6 N/O Client INTEREST RATE SWAP 10,000,000 AUD NOTIONAL 3/9/2014 REC:FIXED RATE 5.68% AUD SEMI-ANNUAL PAY:FLOATING RATE AUD 3 MONTH BANK BILL RATE ACTUAL/365 SWPBDA-GX-4 N/O Client INTEREST RATE SWAP 10,000,000 NZD NOTIONAL 3/9/2014 REC:FIXED RATE 6.11% NZD SEMI-ANNUAL PAY:FLOATING RATE NZD 3 MONTH BANK BILL RATE ACTUAL/365 SWPBDA-GY-2 N/O Client - 87,119.00 - 144,683.00 - 72,263.00 Maturity Date Estimated Value USD - 121,619.00 EFTA01553586 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 10 of 88 Swaps in Alphabetical Order Description continued Trade Date CROSS CURRENCY SWAP 10MM NZD NOTIONAL 6.51MM USD NOTIONAL 3/9/2014 REC: FIXED RATE 6.26% NZD SEMI-ANNUAL PAY: FLOATING RATE USD 3 MONTH LIBOR QUARTERLY SWPBDA-HA-3 N/0 Client CROSS CURRENCY SWAP 10MM AUD NOTIONAL 7.41MM USD NOTIONAL 3/9/2014 REC: FIXED RATE 5.84% AUD SEMI-ANNUAL PAY: FLOATING RATE USD 3 MONTH LIBOR QUARTERLY SWPBDA-HB-1 N/0 Client Structured Investments in Alphabetical Order Description 3 MONTH MXN BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN MXN JPMORGAN CHASE LONDON 5/3/2004 630998-9G-9 Bearer 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JPMORGAN CHASE LONDON 5/10/2004 630998-9H-7 Bearer Maturity Date Estimated Value USD 122,826.00 175,791.68 Market Value USD Unrealized Estimated Annual Currency Quantity MXN 110,500,000 Unit Cost 100.00 PriCe/Unit 100.2373 Tax Cost 10,000,000.00 Accrued Income USD 9,916,137.40 Gain/Loss USD - 83,862.60 Income USD Yield % N/A HUF 2,120,000,000 100.00 104.709 10,000,000.00 10,965,700.00 965,700.00 N/A EFTA01553587 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 11 of 88 Structured Investments in Alphabetical Order Description 3 MONTH NZD BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN NZD JPMORGAN CHASE LONDON 5/10/2004 630998-9T-1 Bearer 3 MONTH EUR BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN EUR JPMORGAN CHASE LONDON 5/04/2004 630998-9U-8 Bearer Total Other continued Market Value USD Currency NZD Quantity 10,000,000 Unit Cost 100.00 PriCS/Unit 100.3504 Tax Cost 6,775,000.00 Accrued Income USD 6,680,909.00 Unrealized Estimated Annual Gain/Loss USD - 94,091.00 Income USD Yield N/A EUR 15,000,000 100.00 100.2139 18,750,000.00 18,472,629.00 - 277,371.00 N/A 2,255,500,000 45,525,000.00 46,233,924.19 510,375.40 EFTA01553588 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 12 of 88 Options Foreign Exchange Description Cusip HUF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 211. KNOCK IN @ 220 XHUFPA-AI-2 HUF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 212. KNOCK IN @ 220 XHUFPA-AJ-2 GBP PUT USD CALL FX EUROPEAN STYLE OPTION APR 22, 2004 @ 1.84 KNOCK IN TRIGGERED @ 1.8250 XGBPPA-GV-Z GBP CALL USD PUT FX EUROPEAN STYLE OPTION MAY 24, 2004 @ 1.85 KNOCK IN @ 1.87 XGBPCA-HX-2 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.565 XEURCA-VS-2 EUR - 10,000,000 CHF - 15,650,000.00 USD - 38,273.00 - 38,273.00 - 43,821.50 - 5,548.50 GBP - 5,000,000 USD - 9,250,000.00 USD - 94,350.00 - 94,350.00 - 101,377.65 - 7,027.65 GBP - 15,000,000 USD - 27,600,000.00 USD - 300,840.00 - 300,840.00 - 350,881.50 - 50,041.50 HUF -1,696,000,000 USD - 8,000,000.00 USD - 424,000.00 - 424,000.00 - 305,263.04 118,736.96 Counter Amount Currency Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD HUF -1,002,250,000 USD - 4,750,000.00 USD - 277,875.00 - 277,875.00 - 189,575.59 88,299.41 EFTA01553589 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 13 of 88 Foreign Exchange Description EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.55 XEURPA-NV-Z EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 XEURPA-NW-2 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.565 XEURCA-VR-2 EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.55 XEURPA-NS-2 EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 XEURPA-NT-2 NOK CALL USD PUT FX EUROPEAN STYLE OPTION APR 28, 2004 @ 6.85 KNOCK IN @ 6.75 XNOKCA-CG-2 NOK - 102,750,000 USD - 15,000,000.00 USD - 121,500.00 - 121,500.00 - 192,131.20 - 70,631.20 EUR - 10,262,295 CHF - 15,649,999.88 USD - 44,887.00 - 44,887.00 - 26,850.06 18,036.94 EUR 10,096,774 CHF 15,649,999.70 USD 141,691.00 141,691.00 76,026.08 - 65,664.92 EUR - 10,000,000 CHF - 15,650,000.00 USD - 36,146.00 - 36,146.00 - 43,821.50 - 7,675.50 EUR - 10,262,295 CHF - 15,649,999.88 USD - 42,394.00 - 42,394.00 - 26,850.06 15,543.94 Counter Amount Currency continued EUR 10,096,774 CHF 15,649,999.70 USD 137,397.00 137,397.00 76,026.08 - 61,370.92 EFTA01553590 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553591 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 14 of 88 Foreign Exchange Description GBP PUT USD CALL FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.79 KNOCK IN @ 1.77 XGBPPA-GW-Z GBP CALL USD PUT FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.845 KNOCK IN @ 1.8650 XGBPCA-HZ-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ 1.2 KNOCK IN @ 1.1885 XEURPA-NX-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.23 KNOCK IN @ 1.25 XEURCA-VV-Z P NZD CALL USD PUT FX EUROPEAN STYLE OPTION MAR 30, 2004 @ .653 XNZDCA-CA-Z P GBP CALL USD PUT FX EUROPEAN STYLE OPTION MAY 24, 2004 @ 1.85 KNOCK IN @ 1.87 XGBPCA-IB-Z GBP - 5,000,000 USD - 9,250,000.00 USD - 103,600.00 - 103,600.00 0.00 103,600.00 NZD O USD 0.00 USD 0.00 0.00 EUR - 20,000,000 USD - 24,600,000.00 USD - 154,980.00 - 154,980.00 - 294,370.80 - 139,390.80 EUR - 25,000,000 USD - 30,000,000.00 USD - 903,000.00 - 903,000.00 - 763,124.50 139,875.50 GBP - 10,000,000 USD - 18,450,000.00 USD - 110,700.00 - 110,700.00 - 171,023.70 - 60,323.70 Counter Amount Currency continued GBP - 10,000,000 USD - 17,900,000.00 USD - 132,460.00 - 132,460.00 - 72,246.90 60,213.10 Counter Premium Amount Currency Premium Local EFTA01553592 Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553593 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 15 of 88 Foreign Exchange Description HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 @ 7.833 XHKDPA-AH-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.25 KNOCK OUT @ 1.1375 KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 XEURCA-TP-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.3 KNOCK OUT @ 1.1375 KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 XEURCA-TQ-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 11, 2004 @ .7775 KNOCK IN TRIGGERED @ .7565 KNOCK OUT @ .8020 XAUDPA-CQ-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 19, 2004 @ .63 XNZDPA-CS-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ 1.22 KNOCK IN @ 1.202 XEURPA-MG-Z EUR - 5,000,000 USD - 6,100,000.00 USD - 171,410.00 - 171,410.00 - 198,901.75 - 27,491.75 NZD - 12,000,000 USD - 7,560,000.00 USD - 233,226.00 - 233,226.00 - 188,857.32 44,368.68 AUD - 8,000,000 USD - 6,220,000.00 USD - 213,346.40 - 213,346.40 - 294,892.96 - 81,546.56 EUR 10,000,000 USD 13,000,000.00 USD 56,447.00 56,447.00 160,914.20 104,467.20 EUR 5,000,000 USD 6,250,000.00 USD 49,186.20 49,186.20 151,281.00 102,094.80 Counter Amount Currency continued HKD 156,660,000 USD 20,000,000.00 USD 312,280.00 312,280.00 EFTA01553594 18,579.88 - 293,700.12 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553595 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 16 of 88 Foreign Exchange Description P NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .66 KNOCK IN TRIGGERED @ .6475 XNZDPA-CT-Z P AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .76 KNOCK IN TRIGGERED @ .7475 XAUDPA-CY-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION JAN 31, 2005 @ 1.35 KNOCK OUT @ 1.1995 BARRIER EXP 4/29/04 XEURCA-UR-Z P EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 04, 2004 @ 1.29 KNOCK IN @ 1.33 XEURCA-UZ-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN TRIGGERED @ .6625 XNZDPA-DC-Z P NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN TRIGGERED @ .6625 XNZDPA-DB-Z NZD - 1,986,500 USD - 1,350,820.00 USD - 61,192.17 - 61,192.17 - 261,008.99 - 199,816.82 NZD - 20,000,000 USD - 13,600,000.00 USD - 564,400.00 - 564,400.00 - 1,009,175.20 - 444,775.20 EUR O USD 0.00 USD 0.00 0.00 EUR 20,000,000 USD 27,000,000.00 USD 291,600.00 291,600.00 161,700.20 - 129,899.80 AUD O USD 0.00 USD 0.00 0.00 Counter Amount Currency continued NZD O USD 0.00 USD 0.00 0.00 Counter Premium EFTA01553596 Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553597 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 17 of 88 Foreign Exchange Description GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 KNOCK IN TRIGGERED @ 1.8375 XGBPPA-GN-2 P AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 KNOCK IN @ TRIGGERED @ .755 KNOCK OUT @ .7965 XAUDPA-DH-2 GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 KNOCK IN TRIGGERED @ 1.8285 XGBPPA-G0-2 THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 36. XTHBCA-AC-2 THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 38. XTHBCA-AB-2 TWD CALL USD PUT FX EUROPEAN STYLE OPTION MAR 01, 2005 @ 32.75 XTWDCA-AB-2 TWD 327,500,000 USD 10,000,000.00 USD 196,000.00 196,000.00 226,774.10 30,774.10 THB 351,500,000 USD 9,250,000.00 USD 108,225.00 108,225.00 69,069.75 - 39,155.25 THB 2,700,000,000 USD 75,000,000.00 USD 405,000.00 405,000.00 179,064.00 - 225,936.00 GBP - 5,600,000 USD - 10,444,000.00 USD - 426,115.23 - 426,115.23 - 552,220.48 - 126,105.25 AUD - 1,500,000 USD - 1,155,000.00 USD - 23,561.94 - 23,561.94 - 49,580.23 - 26,018.29 Counter Amount Currency continued GBP - 5,750,000.66 USD - 10,781,251.24 USD - 349,312.54 - 349,312.54 - 484,561.41 - 135,248.87 Counter Premium Amount Currency Premium EFTA01553598 Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553599 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 18 of 88 Foreign Exchange Description EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 20, 2004 @ 1.24 KNOCK IN @ 1.26 XEURCA-VN-Z P NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 29, 2004 @ .64 KNOCK IN @ .60 XNZDPA-DF-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 13, 2004 @ .63 KNOCK IN @ .60 XNZDPA-DE-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 13, 2004 @ .66 KNOCK OUT @ .62 KNOCK OUT @ .68 BARRIER EXP 4/13/04 XNZDCA-BX-Z GBP PUT USD CALL FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.78 KNOCK IN @ 1.76 XGBPPA-GT-Z P GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.8 XGBPCA-HV-Z GBP O USD 0.00 USD 0.00 0.00 GBP - 5,000,000 USD - 8,900,000.00 USD - 167,320.00 - 167,320.00 - 81,769.20 85,550.80 NZD 20,000,000 USD 13,200,000.00 USD 129,360.00 129,360.00 81,498.40 - 47,861.60 NZD - 15,000,000 USD - 9,450,000.00 USD - 272,160.00 - 272,160.00 - 183,973.65 88,186.35 NZD O USD 0.00 USD 0.00 0.00 Counter Amount Currency continued EUR - 5,625,000 USD - 6,975,000.00 USD - 134,618.00 - 134,618.00 - 134,848.69 - 230.69 Counter Premium EFTA01553600 Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553601 03 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 19 of 88 Foreign Exchange Description GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.83 KNOCK IN @ 1.86 XGBPCA-HW-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. - 3,665,981.08 - 4,981,557.89 - 1,315,576.80 Counter Amount Currency continued GBP - 5,000,000 USD - 9,150,000.00 USD - 91,500.00 - 91,500.00 - 161,363.70 - 69,863.70 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD 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. EFTA01553602 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 20 of 88 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Value in Currency Australia Dollar N Zealand Dollar U S Dollar - 10,000,000.00 20,000,000.00 - 6,020,634.58 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Gain/Loss - 482,634.58 - 482,634.58 Foreign Exchange Contracts Settlement Date Trade Date SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Feb. 20 04 Aug. 24 04 AUD Feb. 20 04 Aug. 24 04 AUD Mar. 1 04 Aug. 24 04 AUD Total Closed Mar. 31 04 Apr. 2 04 AUD Mar. 31 04 Apr. 2 04 AUD Total Open Total 7,500,000.00 USD 7,500,000.00 USD - 15,000,000.00 USD 0.00 10,000,000.00 USD - 20,000,000.00 USD - 10,000,000.00 - 10,000,000.00 EURO CURRENCY - U S DOLLAR Feb. 9 04 May. 11 04 EUR Feb. 9 04 May. 11 04 EUR Feb. 11 04 May. 11 04 EUR Feb. 12 04 May. 11 04 EUR Mar. 1 04 May. 11 04 EUR 15,000,000.00 USD 3,000,000.00 USD - 7,000,000.00 USD - 5,000,000.00 USD - 6,000,000.00 USD - 5,676,750.00 - 5,639,250.00 11,347,500.00 31,500.00 - 7,670,000.00 15,250,000.00 7,580,000.00 7,611,500.00 - 18,936,000.00 - 3,787,200.00 8,939,000.00 6,389,500.00 7,448,400.00 0.7569 0.7519 0.7565 0.767 0.7625 0.749973 0.749973 0.749973 1.30378 EFTA01553603 1.311475 5,624,798.30 5,624,798.30 11,347,500.00 22,597,096.60 7,670,000.00 15,250,000.00 22,920,000.00 45,517,096.60 1.2624 1.2624 1.277 1.2779 1.2414 0.814624 0.814624 0.814624 0.814624 0.814624 18,413,406.87 3,682,681.37 8,939,000.00 6,389,500.00 7,448,400.00 5,676,750.00 5,639,250.00 11,249,596.60 22,565,596.60 7,670,000.00 15,250,000.00 22,920,000.00 45,485,596.60 18,936,000.00 3,787,200.00 8,592,923.20 6,137,802.29 7,365,362.74 - 51,951.70 - 14,451.70 97,903.40 31,500.00 0.00 0.00 0.00 31,500.00 - 522,593.13 - 104,518.63 346,076.80 251,697.71 83,037.26 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553604 03 Trade Date JPMorgan Chase Bank 2004 Account Number: FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 21 of 88 Foreign Exchange Contracts Settlement Date Currency Mar. 3 04 Jun. 7 04 EUR Mar. 5 04 Jun. 7 04 EUR Mar. 5 04 Jun. 7 04 EUR Mar. 16 04 Jun. 7 04 EUR Feb. 20 04 Aug. 24 04 EUR Mar. 1 04 Aug. 24 04 EUR Total Closed continued Amount Counter Currency 5,000,000.00 USD 10,000,000.00 USD 20,000,000.00 USD - 35,000,000.00 USD 7,500,000.00 USD - 7,500,000.00 USD 0.00 POUND STERLING - U S DOLLAR Mar. 3 04 Jun. 7 04 GBP Mar. 5 04 Jun. 7 04 GBP Mar. 5 04 Jun. 8 04 GBP Mar. 16 04 Jun. 8 04 GBP Feb. 23 04 Aug. 24 04 GBP Mar. 1 04 Aug. 24 04 GBP Total Closed JAPANESE YEN Total Closed Feb. 20 04 May. 24 04 JPY Mar. 2 04 May. 24 04 JPY 10,000,000.00 USD - 10,000,000.00 USD 10,000,000.00 USD - 10,000,000.00 USD 10,000,000.00 USD - 10,000,000.00 USD 0.00 - U S DOLLAR 1,087,300,000.00 USD - 1,087,300,000.00 USD 0.00 N ZEALAND DOLLAR - U S DOLLAR Mar. 3 04 Jun. 8 04 NZD Mar. 4 04 Jun. 8 04 NZD Mar. 16 04 Jun. 8 04 NZD Mar. 22 04 Jun. 8 04 NZD Feb. 20 04 Aug. 24 04 NZD Feb. 23 04 Aug. 24 04 NZD Mar. 2 04 Aug. 24 04 NZD 15,000,000.00 USD 15,000,000.00 USD - 10,000,000.00 USD - 20,000,000.00 USD 5,000,000.00 USD 5,000,000.00 USD - 10,000,000.00 USD - 10,000,000.00 9,939,665.42 - 60,334.58 - 9,943,500.00 - 9,900,000.00 6,450,000.00 13,118,000.00 - 3,315,000.00 - 3,344,500.00 EFTA01553605 6,742,000.00 108.73 109.39 103.858758 103.858758 10,469,025.64 9,939,665.42 20,408,691.06 0.6629 0.66 0.645 0.6559 0.663 0.6689 0.6742 0.660241 0.660241 0.660241 0.660241 0.654041 0.654041 0.654041 9,903,620.68 9,903,620.68 6,450,000.00 13,118,000.00 3,270,206.49 3,270,206.49 6,742,000.00 10,000,000.00 10,469,025.64 20,469,025.64 9,943,500.00 9,900,000.00 6,602,413.79 13,204,827.58 3,315,000.00 3,344,500.00 6,540,412.98 469,025.64 - 529,360.22 - 60,334.58 - 39,879.32 3,620.68 - 152,413.79 - 86,827.58 - 44,793.51 - 74,293.51 201,587.02 Counter Amount - 6,073,500.00 - 12,395,000.00 - 24,726,000.00 42,952,000.00 - 9,395,250.00 9,287,250.00 - 296,800.00 - 18,106,000.00 18,290,000.00 - 18,295,000.00 18,012,000.00 - 18,337,000.00 18,404,000.00 - 32,000.00 Contract Rate 1.2147 1.2395 1.2363 1.2272 1.2527 1.2383 Current Market Forward Rate 0.81514 0.81514 0.81514 0.81514 0.816486 EFTA01553606 0.816486 Market Value Receivables USD 6,133,913.12 12,267,826.24 24,535,652.48 42,952,000.00 9,185,700.51 9,287,250.00 149,235,330.59 1.8106 1.829 1.8295 1.8012 1.8337 1.8404 1.826845 1.826845 1.826678 1.826678 1.813353 1.813353 18,268,453.30 18,290,000.00 18,266,784.97 18,012,000.00 18,133,532.13 18,404,000.00 109,374,770.40 Market Value Payables USD 6,073,500.00 12,395,000.00 24,726,000.00 42,937,391.84 9,395,250.00 9,185,700.51 149,532,130.58 18,106,000.00 18,268,453.30 18,295,000.00 18,266,784.97 18,337,000.00 18,133,532.13 109,406,770.40 Unrealized Gain/Loss USD 60,413.12 - 127,173.76 - 190,347.52 14,608.16 - 209,549.49 101,549.49 - 296,799.99 162,453.30 21,546.70 - 28,215.03 - 254,784.97 - 203,467.87 270,467.87 - 32,000.00 EFTA01553607 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 22 of 88 Foreign Exchange Contracts Settlement Date Currency Mar. 11 04 Mar. 15 05 NZD Mar. 23 04 Mar. 15 05 NZD Total Closed TRADE RELATED N ZEALAND DOLLAR - U S DOLLAR Mar. 30 04 Apr. 1 04 NZD Mar. 30 04 Apr. 1 04 NZD Total Open Total Foreign Exchange Contracts 10,000,000.00 USD 10,000,000.00 USD 20,000,000.00 - 6,588,000.00 - 6,530,000.00 - 13,118,000.00 0.6588 0.653 1.517911 1.531394 6,588,000.00 6,530,000.00 13,118,000.00 396,677,981.57 6,588,000.00 6,530,000.00 13,118,000.00 397,160,616.15 0.00 0.00 0.00 - 482,634.58 continued Amount Counter Currency 5,000,000.00 USD - 5,000,000.00 USD 0.00 Counter Amount - 3,102,500.00 3,170,500.00 - 125,000.00 Contract Rate 0.6205 0.6341 Current Market Forward Rate 0.639188 0.639188 Market Value Receivables USD 3,195,938.58 3,170,500.00 59,024,092.92 Market Value Payables USD 3,102,500.00 3,195,938.58 59,149,092.93 Unrealized Gain/Loss USD 93,438.58 - 25,438.58 - 125,000.01 EFTA01553608 EFTA01553609 03 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 23 of 88 Trade Activity Realized Gain/Loss Summary Short Term Gain/Loss Long Term Gain/Loss Foreign Exchange Gains/Losses 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 Mar 1 Mar 3 Purchase Opt TWD CALL USD PUT Mar 2 Mar 4 Buy-Back Opt FX EUROPEAN STYLE OPTION MAR 01, 2005 @ 32.75 EUR PUT USD CALL Mar 2 Mar 4 Buy-Back Opt FX EUROPEAN STYLE OPTION AUG 19, 2004 @ 1.255 KNOCK IN @ 1.24 KNOCK OUT @ 1.2940 EUR PUT USD CALL FX EUROPEAN STYLE OPTION AUG 19, 2004 @ 1.255 KNOCK IN @ 1.24 KNOCK OUT @ 1.2940 USD USD 327,500,000 5,200,000 1.96 - 196,000.00 - 260,387.00 78,964.50 - 181,422.50 5 Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD - 516,360.89 0.00 137,182.00 USD 5,200,000 - 210,137.00 78,964.50 - 131,172.50 S EFTA01553610 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 24 of 88 Settlement Date Realized Type Settled continued Mar 2 Mar 4 Buy-Back Opt JPY PUT USD CALL Mar 5 Mar 9 Buy-Back Opt FX EUROPEAN STYLE OPTION NOV 19, 2004 @ 108.5 KNOCK IN @ 110.75 KNOCK OUT @ 105.35 EUR CALL USD PUT Mar 5 Mar 9 Write Option FX EUROPEAN STYLE OPTION MAY 04, 2004 @ 1.29 KNOCK IN @ 1.33 JPY PUT USD CALL Mar 10 Mar 12 Buy-Back Opt FX EUROPEAN STYLE OPTION SEP 07, 2004 @ 112. KNOCK IN @ 113 KNOCK OUT @ 106 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 Mar 11 Mar 15 Write Option KNOCK IN TRIGGERED @ .6625 EUR CALL USD PUT Mar 11 Mar 15 Buy-Back Opt Mar 11 Mar 15 Purchase Opt FX EUROPEAN STYLE OPTION JUL 20, 2004 @ 1.24 KNOCK IN @ 1.26 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 20, 2004 @ 1.23 NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 13, 2004 @ .66 KNOCK OUT @ .62 KNOCK OUT @ .68 BARRIER EXP 4/13/04 USD - 5,625,000 1.93 134,618.00 USD 987,350,000 - 208,390.00 92,820.00 - 115,570.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 6,500,000 - 45,279.00 138,352.50 93,073.50 S USD -1,120,000,000 1.50 150,000.00 USD 13,513,500 - 673,567.00 416,269.99 EFTA01553611 - 257,297.01 S USD USD 5,000,000 - 184,808.00 20,000,000 0.98 - 129,360.00 142,065.00 - 42,743.00 S EFTA01553612 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 25 of 88 Settlement Date Realized Type Settled continued Mar 11 Mar 15 Write Option NZD PUT USD CALL Mar 11 Mar 15 Write Option FX EUROPEAN STYLE OPTION SEP 13, 2004 @ .63 KNOCK IN @ .60 NZD PUT USD CALL Mar 12 Mar 16 Write Option FX EUROPEAN STYLE OPTION NOV 29, 2004 @ .64 KNOCK IN @ .60 GBP CALL USD PUT Mar 15 Mar 17 Purchase Opt Mar 15 Mar 17 Write Option FX EUROPEAN STYLE OPTION MAR 26, 2004 @ 1.805 KNOCK IN @ 1.84 GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.8 GBP CALL USD PUT Mar 15 Mar 17 Write Option FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.83 KNOCK IN @ 1.86 GBP PUT USD CALL Mar 16 Mar 18 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.78 KNOCK IN @ 1.76 AUD PUT USD CALL Mar 16 Mar 18 Buy-Back Opt FX EUROPEAN STYLE OPTION OCT 11, 2004 @ .7775 KNOCK IN TRIGGERED @ .7565 KNOCK OUT @ .8020 AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .76 KNOCK IN TRIGGERED @ .7475 USD - 15,000,000 2.88 272,160.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 26,666,667 4.47 762,880.00 USD - 15,000,000 0.54 146,205.00 USD USD 5,000,000 1.69 - 5,000,000 EFTA01553613 1.00 - 152,100.00 91,500.00 USD - 5,000,000 1.88 167,320.00 USD 2,000,000 - 112,271.00 53,336.60 - 58,934.40 S USD 7,000,000 - 338,219.00 238,868.00 - 99,351.00 S EFTA01553614 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 26 of 88 Settlement Date Realized Type Settled continued Mar 16 Mar 18 Buy-Back Opt AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 Mar 16 Mar 16 Expired Opt Mar 16 Mar 16 Expired Opt Mar 16 Mar 18 Buy-Back Opt Mar 16 Mar 18 Buy-Back Opt KNOCK IN @ TRIGGERED @ .755 KNOCK OUT @ .7965 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 15, 2004 @ 1.15 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 16, 2004 @ 1.175 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 16, 2004 @ 1.22 GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 Mar 16 Mar 18 Buy-Back Opt KNOCK IN TRIGGERED @ 1.8375 GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 Mar 16 Mar 18 Write Option KNOCK IN TRIGGERED @ 1.8285 HUF PUT USD CALL Mar 16 Mar 18 Buy-Back Opt FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 211. KNOCK IN @ 220 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN TRIGGERED @ .6625 USD -1,002,250,000 5.85 277,875.00 USD 1,666,666 - 201,109.00 126,819.96 - 74,289.04 S USD USD USD USD - 80,500,000 - 58,750,000 2,333,333 1,666,666 0.00 0.00 - 73,088.00 - 181,016.00 - 543,848.00 - 420,690.00 55,865.78 101,249.96 - 543,848.00 S - 420,690.00 S EFTA01553615 - 17,222.22 S - 79,766.04 S USD 2,300,000 - 120,782.00 36,128.30 - 84,653.70 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 5,000,000 - 294,100.00 141,100.00 - 153,000.00 S EFTA01553616 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 27 of 88 Settlement Date Realized Type Settled continued Mar 17 Mar 19 Write Option HUF PUT USD CALL Mar 18 Mar 22 Buy-Back Opt Mar 18 Mar 22 Buy-Back Opt Mar 18 Mar 22 Buy-Back Opt FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 212. KNOCK IN @ 220 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 16, 2004 @ 1.22 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 20, 2004 @ 1.23 GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 Mar 18 Mar 22 Buy-Back Opt KNOCK IN TRIGGERED @ 1.8375 GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 Mar 18 Mar 22 Buy-Back Opt KNOCK IN TRIGGERED @ 1.8205 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 Mar 22 Mar 24 Buy-Back Opt KNOCK IN TRIGGERED @ .6625 GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 Mar 23 Mar 25 Buy-Back Opt KNOCK IN TRIGGERED @ 1.8375 GBP CALL USD PUT FX EUROPEAN STYLE OPTION MAR 26, 2004 @ 1.805 KNOCK IN TRIGGERED @ 1.84 USD 10,000,000 - 433,200.00 97,470.00 - 335,730.00 S USD 1,000,000 - 01,563.00 60,750.00 - 20,813.00 S USD 5,000,000 - 254,745.00 141,100.00 - 113,645.00 S USD 3,400,000 - 387,118.00 258,712.81 - 128,405.19 S USD -1,696,000,000 5.30 424,000.00 Description Currency EFTA01553617 Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD USD 15,000,000.60 - 392,078.00 5,000,000 2,250,000 - 162,053.00 - 210,938.00 359,137.22 142,065.00 136,687.50 - 32,940.78 S - 19,988.00 S - 74,250.50 S EFTA01553618 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 28 of 88 Settlement Date Realized Type Settled continued Mar 23 Mar 25 Write Option Mar 23 Mar 25 Write Option GBP PUT USD CALL FX EUROPEAN STYLE OPTION MAR 26, 2004 @ 1.845 GBP PUT USD CALL FX EUROPEAN STYLE OPTION APR 22, 2004 @ 1.84 Mar 24 Mar 26 Write Option KNOCK IN TRIGGERED @ 1.8250 GBP CALL USD PUT Mar 24 Mar 26 Buy-Back Opt FX EUROPEAN STYLE OPTION MAY 24, 2004 @ 1.85 KNOCK IN @ 1.87 GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 Mar 24 Mar 26 Buy-Back Opt KNOCK IN TRIGGERED @ 1.8375 GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 Mar 25 Mar 29 Write Option Mar 25 Mar 29 Write Option Mar 25 Mar 29 Purchase Opt Mar 25 Mar 29 Write Option KNOCK IN TRIGGERED @ 1.8285 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.565 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.565 EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.55 EUR PUT CHF CALL FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 USD USD USD USD - 10,000,000 - 10,000,000 10,096,774 - 10,262,295 0.297 0.315 1.155 0.36 36,146.00 38,273.00 - 141,691.00 44,887.00 USD 1,000,000 - 103,461.00 76,092.00 - 27,369.00 S USD EFTA01553619 - 5,000,000 1.02 94,350.00 USD USD - 10,000,000 - 15,000,000 0.376 1.09 69,372.00 300,840.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 1,000,000 - 89,719.00 60,750.00 - 28,969.00 S EFTA01553620 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 29 of 88 Settlement Date Realized Type Settled continued Mar 25 Mar 29 Purchase Opt EUR PUT CHF CALL Mar 25 Mar 29 Write Option FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.55 EUR PUT CHF CALL Mar 25 Mar 25 Expired Opt FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 JPY PUT USD CALL FX EUROPEAN STYLE OPTION SEP 07, 2004 @ 112. KNOCK IN @ 113 KNOCK OUT @ 106 Issued in USD Mar 26 Mar 30 FX Option AssiGBP CALL USD PUT Mar 26 Mar 30 Write Option FX EUROPEAN STYLE OPTION MAR 26, 2004 @ 1.805 KNOCK IN TRIGGERED @ 1.84 GBP CALL USD PUT Mar 26 Mar 30 FX Option Assi Mar 26 Mar 30 Write Option FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.845 KNOCK IN @ 1.8650 GBP PUT USD CALL FX EUROPEAN STYLE OPTION MAR 26, 2004 @ 1.845 GBP PUT USD CALL Mar 26 Mar 30 Write Option FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.79 KNOCK IN @ 1.77 NOK CALL USD PUT FX EUROPEAN STYLE OPTION APR 28, 2004 @ 6.85 KNOCK IN @ 6.75 USD 5,000,000 0.00 48,735.00 48,735.00 S USD USD 10,096,774 - 10,262,295 1.12 0.34 - 137,397.00 42,394.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD JPY 1,120,000,000 0.00 150,000.00 150,000.00 S USD EFTA01553621 - 10,000,000 0.60 110,700.00 USD USD 10,000,000 0.00 - 10,000,000 0.74 132,460.00 69,372.00 69,372.00 S USD - 102,750,000 0.81 121,500.00 EFTA01553622 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 30 of 88 Settlement Date Realized Type Settled continued Mar 26 Mar 30 FX Opt Asgn'D Mar 26 Mar 30 FX Opt Asgn'D Mar 29 Mar 31 Write Option SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION SELL GBP BUY USD SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION BUY GBP SELL USD EUR CALL USD PUT Mar 29 Mar 31 Buy-Back Opt FX EUROPEAN STYLE OPTION APR 28, 2004 @ 1.23 KNOCK IN @ 1.25 EUR PUT USD CALL Mar 29 Mar 31 Write Option FX EUROPEAN STYLE OPTION OCT 27, 2004 @ 1.22 KNOCK IN @ 1.202 EUR PUT USD CALL Mar 29 Mar 31 Write Option FX EUROPEAN STYLE OPTION OCT 27, 2004 @ 1.2 KNOCK IN @ 1.1885 NZD CALL USD PUT FX EUROPEAN STYLE OPTION MAR 30, 2004 @ .653 Trade Date Estimated Settlement Date Pending Mar 30 Apr 1 Buy-Back Opt EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 04, 2004 @ 1.29 KNOCK IN @ 1.33 USD 6,500,000 0.00 - 11,320.00 138,352.50 127,032.50 S Realized Gain/Loss Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD USD USD USD - 5,000,000 10,000,000 - 20,000,000 1.805 9,025,000.00 1.845 - 18,450,000.00 0.63 154,980.00 - 9,225,000.00 EFTA01553623 18,450,000.00 - 200,000.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 20,000,000 - 973,560.00 685,640.00 - 287,920.00 S USD - 25,000,000 3.01 903,000.00 USD - 20,000,000 0.22 28,732.00 EFTA01553624 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 31 of 88 Estimated Settlement Date Realized Gain/Loss Type Pending continued Mar 30 Apr 1 FX Option Assignment NZD CALL USD PUT FX EUROPEAN STYLE OPTION MAR 30, 2004 @ .653 Mar 30 Apr 1 Buy-Back Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .66 Mar 30 Apr 1 Buy-Back Opt KNOCK IN TRIGGERED @ .6475 NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .66 Mar 30 Apr 1 FX Opt Asgn'D Mar 31 Apr 2 Buy-Back Opt KNOCK IN TRIGGERED @ .6475 N ZEALAND DOLLAR AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .76 Mar 31 Apr 2 Buy-Back Opt KNOCK IN TRIGGERED @ .7475 AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 KNOCK IN @ TRIGGERED @ .755 KNOCK OUT @ .7965 Mar 31 Apr 2 Sell Option Mar 31 Apr 2 Write Option GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.8 GBP CALL USD PUT FX EUROPEAN STYLE OPTION MAY 24, 2004 @ 1.85 KNOCK IN @ 1.87 USD - 5,000,000 1.12 103,600.00 USD - 5,000,000 0.00 260,550.00 - 152,100.00 USD 5,500,000 0.00 - 210,691.00 86,393.76 - 124,297.24 S NZD USD - 20,000,000 30,000,000 0.665 0.00 0.00 - 1,077,300.00 1,023,720.00 - 53,580.00 S USD 15,000,000 EFTA01553625 0.00 - 569,745.00 435,600.00 - 134,145.00 S USD 15,800,000 0.00 - 551,381.00 458,832.00 - 92,549.00 S USD 20,000,000 0.00 0.00 28,732.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD EFTA01553626 03 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 32 of 88 Estimated Settlement Date Realized Gain/Loss Type Pending continued Mar 31 Apr 2 Buy-Back Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .66 Mar 31 Apr 2 Buy-Back Opt KNOCK IN TRIGGERED @ .6475 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 Mar 31 Apr 2 Buy-Back Opt KNOCK IN TRIGGERED @ .6625 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 29, 2004 @ .64 KNOCK IN @ .60 Trade Date Settlement Date Counter Currency Settled Foreign Exchange Contracts SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Mar 3 04 Mar 3 04 Mar 5 04 Mar 5 04 Dec 11 03 Mar 15 04 Jan 2 04 Jan 7 04 Jan 9 04 Mar 15 04 Mar 15 04 Mar 15 04 Jan 15 04 Mar 15 04 Mar 16 04 Mar 18 04 Mar 16 04 Mar 18 04 AUD - 10,000,000.00 USD 7,513,000.00 AUD 10,000,000.00 USD - 7,512,000.00 AUD 10,000,000.00 USD - 7,287,000.00 AUD 10,000,000.00 USD - 7,524,000.00 AUD - 20,000,000.00 USD 15,258,000.00 5,000,000.00 USD - 3,861,000.00 3,821,000.00 7,430,000.00 AUD AUD - 5,000,000.00 USD AUD - 10,000,000.00 USD AUD 10,000,000.00 USD - 7,430,000.00 0.751300 0.751200 0.728700 0.752400 0.762900 0.772200 0.764200 0.743000 0.743000 0.751200 0.751200 1.367400 EFTA01553627 1.367400 1.367400 1.367400 1.367400 0.743000 0.743000 7,513,000.00 - 7,512,000.00 - 7,287,000.00 - 7,524,000.00 - 7,512,000.00 7,512,000.00 7,313,149.04 7,313,149.04 15,258,000.00 - 14,626,298.08 - 3,861,000.00 3,821,000.00 7,430,000.00 - 7,430,000.00 3,656,574.52 - 3,656,574.52 - 7,430,000.00 7,430,000.00 1,000.00 26,149.04 - 210,850.96 631,701.92 - 204,425.48 164,425.48 Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD USD 26,666,667 0.00 - 634,880.00 762,880.00 128,000.00 S USD 3,700,000 0.00 - 169,578.00 113,974.84 - 55,603.16 S USD 8,200,000 0.00 - 250,034.00 238,128.00 - 11,906.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD EFTA01553628 03 Date JPMorgan Chase Bank 2004 Account Number: FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio March 01, 2004 - March 31, 2004 Page 33 of 88 Settled Foreign Exchange Contracts Trade Settlement Date Currency EURO CURRENCY - U S DOLLAR Mar 2 04 Mar 2 04 Mar 3 04 Mar 3 04 Mar 4 04 Mar 4 04 Mar 5 04 Mar 5 04 Dec 11 03 Mar 15 04 Dec 31 03 Mar 15 04 Jan 5 04 Jan 6 04 Jan 9 04 Mar 15 04 Mar 15 04 Mar 15 04 Jan 12 04 Mar 15 04 Mar 12 04 Mar 16 04 Mar 12 04 Mar 16 04 Mar 8 04 Mar 9 04 Mar 17 04 Mar 17 04 Mar 10 04 Mar 17 04 Mar 10 04 Mar 17 04 Mar 10 04 Mar 17 04 Mar 11 04 Mar 17 04 Mar 16 04 Mar 17 04 Mar 5 04 Mar 5 04 Counter Amount Currency continued EUR - 10,000,000.00 USD 12,267,000.00 EUR 10,000,000.00 USD - 12,244,000.00 EUR - 10,000,000.00 USD 12,175,000.00 EUR 10,000,000.00 USD - 12,175,000.00 EUR 10,000,000.00 USD - 12,125,000.00 EUR - 10,000,000.00 USD 12,583,000.00 EUR 10,000,000.00 USD - 12,561,000.00 EUR - 10,000,000.00 USD 12,751,000.00 5,000,000.00 USD - 6,413,500.00 6,385,000.00 EUR EUR - 5,000,000.00 USD EUR - 10,000,000.00 USD 12,225,000.00 EUR 10,000,000.00 USD - 12,205,000.00 EUR - 10,000,000.00 USD 12,378,000.00 EUR - 7,000,000.00 USD EUR 10,000,000.00 USD - 12,280,000.00 EUR - 13,000,000.00 USD 16,016,000.00 EUR - 5,000,000.00 USD EUR - 10,000,000.00 USD 12,281,000.00 EUR 35,000,000.00 USD - 43,050,000.00 POUND STERLING - U S DOLLAR Mar 3 04 Mar 3 04 Mar 10 04 Mar 12 04 GBP - 5,000,000.00 USD GBP GBP - 5,000,000.00 USD 9,128,500.00 5,000,000.00 USD - 9,126,000.00 EFTA01553629 9,137,000.00 8,696,800.00 6,155,500.00 1.226700 1.224400 1.217500 1.217500 1.212500 1.258300 1.256100 1.275100 1.282700 1.277000 1.222500 1.220500 1.237800 1.242400 1.228000 1.232000 1.231100 1.228100 1.230000 1.825700 1.825200 1.827400 1.224400 1.224400 1.217500 1.217500 1.222419 1.222419 1.222419 1.222419 1.222419 1.222419 1.220500 1.220500 1.219512 1.219512 1.219512 1.219512 1.219512 1.219512 1.230000 1.825200 1.825200 1.820600 12,267,000.00 - 12,244,000.00 - 12,244,000.00 12,175,000.00 - 12,175,000.00 - 12,175,000.00 - 12,125,000.00 12,583,000.00 - 12,224,191.67 - 12,561,000.00 12,751,000.00 - 12,224,191.67 - 6,413,500.00 6,385,000.00 12,225,000.00 - 12,205,000.00 - 12,205,000.00 12,378,000.00 - 12,195,121.95 8,696,800.00 - 12,280,000.00 16,016,000.00 - 15,853,658.53 6,155,500.00 12,281,000.00 - 12,195,121.95 - 43,050,000.00 9,128,500.00 - 9,126,000.00 9,137,000.00 23,000.00 12,244,000.00 12,175,000.00 12,224,191.67 12,224,191.67 6,112,095.83 - 6,112,095.83 12,205,000.00 - 8,536,585.36 12,195,121.95 EFTA01553630 - 6,097,560.97 43,050,000.00 - 9,126,000.00 9,126,000.00 - 9,103,000.00 2,500.00 34,000.00 182,878.05 160,214.64 - 84,878.05 162,341.47 57,939.03 85,878