EFTA01553904.pdf

06 2004 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 72 J.P. Morgan Portfolios June 1 - June 30, 2004 Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio JPMCB JPMSI 2 3 70 000000.0000.00.0000.000.000000000.000000 FINANCIAL TRUST COMPANY INC ATTN: JEFFREY E EPSTEIN C/O AMERICAN YACHT HARBOR 6100 RED HOOK, QUARTERS 4B3 ST THOMAS 00802 US VIRGIN ISLDS EFTA01553904 06 2004 Portfolio Summary FINANCIAL TRUST COMPANY INC June 01, 2004 - June 30, 2004 Page 2 of 72 Portfolio Summary Net Worth Summary Asset Portfolio USD Q 30171-00-5 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 94,497,990.86 71,355,658.97 12,786,822.60 9,050,006.39 1,305,502.90 - 5,775,777.61 - 157,500.00 - 1,691,453.00 - 3,926,824.61 88,722,213.25 - 114,708.1261,065.98 88,668,571.11 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 94,497,990.86 71,355,658.97 12,786,822.60 9,050,006.39 1,305,502.90 - 5,775,777.61 - 157,500.00 - 1,691,453.00 - 3,926,824.61 88,722,213.25 - 114,708.1261,065.98 88,668,571.11 This Period 42,497.15 42,497.15 Year to Date 182,733.00 182,733.00 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 EFTA01553905 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 EFTA01553906 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 3 of 72 Asset Account Portfolio June 1 - June 30, 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 11 16 19 28 EFTA01553907 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 4 of 72 Overview Current 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 78% Cash and Short Term 14% Equities 8% Other Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value Market Value USD Jun 30 71,198,158.97 12,786,822.60 7,358,553.39 - 2,621,321.71 88,722,213.25 - 114,708.12 61,065.98 88,668,571.11 Income Summary Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Net Long Term Gain/Loss Total Prior Period Market Value USD May 31 87,138,872.82 13,465,312.74 - 3,757,741.98 - 5,467,207.26 91,379,236.32 - 2,639,866.08 42,497.15 88,781,867.39 This Period USD 42,497.15 42,497.15 Year to Date USD* 182,733.00 182,733.00 Tax Cost USD 71,198,158.98 8,003,201.28 - 2,352,745.65 76,848,614.61 Estimated Annual Income USD 776,771.91 Yield 1.1 0.0 EFTA01553908 0.0 776,771.91 N/A N/A 0.9 Realized This Period USD Realized Year to Date USD* - 2,371,188.83 - 2,371,188.83 7,464,729.35 7,464,729.35 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of June 30, 2004 Market value of Options is not included in pie chart. Currency AUD CHF Exchange Rate 0.6966 1.2524 Unrealized USD - 40,873.39 - 310,879.62 - 351,753.01 EFTA01553909 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 5 of 72 Exchange Rates Spot Rates as of June 30, 2004 Currency EUR GBP HKD HUF JPY NZD THB TWD ZAR Exchange Rate 1.2166 1.8135 7.7998 206.1176 109.1150 0.6351 40.8850 33.6400 6.2123 EFTA01553910 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 6 of 72 Cash and Short Term Summary by Maturity Current Market Value USD Adjusted Cash Balance Total 71,198,158.97 71,198,158.97 Estimated Annual Income USD 776,771.91 776,771.91 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% POUND STERLING COST OF PENDING PURCHASES PROCEEDS FROM PENDING SALES Adjusted Cash Balance USD 71,010,158.72 1.00 1.00 71,010,158.72 71,010,158.72 61,065.98 GBP USD USD 0.14 - 157,500 345,500 1.857143 1.00 1.00 1.8135 1.00 1.00 0.26 - 157,500.00 345,500.00 71,198,158.98 0.25 - 157,500.00 345,500.00 71,198,158.97 61,065.98 - 0.01 - 0.01 - 1,718.33 3,769.41 774,720.83 1.09 Currency/ Unit Cost Adjusted Account Type Quantity Original Market Price Tax Cost Adjusted Original EFTA01553911 Market Value USD Accrued Interest USD Unrealized Gain/Loss USD Estimated Current Annual Yield/ Income USD YTM Current N/A 1.09 1.09 776,771.91 1.09 EFTA01553912 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 7 of 72 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 765,678 are liened USD Total Equity 765,678 765,678 16.70 12,786,822.60 12,786,822.60 N/A 0.00 N/A 0.0 EFTA01553913 06 Other Swaps in Alphabetical Order Description WALT DISNEY CO EQUITY SWAP 24,954,900 USD NOTIONAL JAN 19 2005 DEAL REF f 2353480 SWPBDA-FL-1 N/0 Client WALT DISNEY CO TOTAL RETURN SWAP 11,920,650 USD NOTIONAL FEB 14 2005 DEAL REF f 2361214 SWPBDA-FV-9 N/0 Client 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 - 157,228.00 758,420.36 Trade Date Maturity Date Estimated Value USD 371,561.53 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 8 of 72 EFTA01553914 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 9 of 72 Swaps in Alphabetical Order Description continued Trade Date 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/0 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 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 - 354,732.00 - 240,014.00 - 178,274.00 Maturity Date Estimated Value USD - 226,048.00 EFTA01553915 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 10 of 72 Swaps in Alphabetical Order Description continued Trade Date 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/O Client Structured Investments in Alphabetical Order Description 6 MONTH CHF LINKED STRUCTURE 100% PRINCIPAL PROTECTED IN CHF JPMORGAN LONDON 12/6/2004 638998-9A-4 Bearer Total Other Maturity Date Estimated Value USD - 535,157.00 Market Value USD Unrealized Estimated Annual Currency CHF Quantity 10,000,000 Unit Cost 100.00 PriCe/Unit 99.1903 Tax Cost 8,003,201.28 Accrued Income USD 7,920,024.50 Gain/Loss USD - 83,176.78 Income USD Yield % N/A 10,000,000 8,003,201.28 7,358,553.39 - 83,176.78 EFTA01553916 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 11 of 72 Options Foreign Exchange Description Cusip HUF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 211. KNOCK IN @ 220 XHUFPA-AI-Z HUF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2004 @ 212. KNOCK IN @ 220 XHUFPA-AJ-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION NOV 04, 2004 @ 111. KNOCK IN TRIGGERED @ 112.5 KNOCK OUT @ 106.25 XJPYPA-JW-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 11, 2004 @ .69 KNOCK IN @ .67 XAUDPA-DN-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION DEC 06, 2004 @ 1.1 XEURPA-OP-Z EUR 20,000,000 USD 22,000,000.00 USD 96,800.00 96,800.00 66,956.20 - 29,843.80 AUD - 4,000,000 USD - 2,760,000.00 USD - 91,908.00 - 91,908.00 - 76,307.88 15,600.12 JPY -1,110,000,000 USD - 10,000,000.00 USD - 138,000.00 - 138,000.00 - 97,191.60 40,808.40 HUF -1,696,000,000 USD - 8,000,000.00 USD - 424,000.00 - 424,000.00 - 177,147.20 246,852.80 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 - 111,790.97 166,084.03 EFTA01553917 06 Cusip JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 12 of 72 Foreign Exchange Description HUF PUT USD CALL FX EUROPEAN STYLE OPTION DEC 20, 2004 @ 215. KNOCK IN @ 225 KNOCK OUT @ 202 XHUFPA-AL-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .625 KNOCK IN @ .6450 XNZDCA-CM-Z AUD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .69 KNOCK IN @ .7250 KNOCK OUT @ .65 XAUDCA-CD-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .625 KNOCK IN @ .6450 XNZDCA-CN-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .64 KNOCK IN @ .6515 XNZDCA-CO-Z P ZAR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 30, 2004 @ 6.18 KNOCK IN @ 5.95 XZARCA-AI-Z ZAR - 61,800,000 USD - 10,000,000.00 USD - 164,000.00 - 164,000.00 0.00 164,000.00 NZD - 27,000,000 USD - 17,280,000.00 USD - 369,792.00 - 369,792.00 - 424,900.89 - 55,108.89 NZD - 22,000,000 USD - 13,750,000.00 USD - 398,750.00 - 398,750.00 - 483,511.60 - 84,761.60 AUD - 10,000,000 USD - 6,900,000.00 USD - 124,890.00 - 124,890.00 - 182,261.10 - 57,371.10 NZD - 10,000,000 USD - 6,250,000.00 USD - 163,750.00 - 163,750.00 - 219,778.00 - 56,028.00 Counter Amount Currency continued HUF -2,580,000,000 USD - 12,000,000.00 USD - 451,200.00 - 451,200.00 - 253,639.80 197,560.20 Counter Premium Amount Currency EFTA01553918 Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553919 06 Cusip JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 13 of 72 Foreign Exchange Description P CHF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 30, 2004 @ 1.27 KNOCK IN @ 1.29 KNOCK OUT @ 1.2360 XCHFPA-DR-2 P CHF CALL USD PUT FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.26 KNOCK OUT @ 1.23 KNOCK OUT @ 1.31 BARRIER EXP 7/14/04 XCHFCA-DP-2 HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 @ 7.833 XHKDPA-AH-2 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-2 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-2 EUR 10,000,000 USD 13,000,000.00 USD 56,447.00 56,447.00 300,314.40 243,867.40 EUR 5,000,000 USD 6,250,000.00 USD 49,186.20 49,186.20 855,162.45 805,976.25 HKD 156,660,000 USD 20,000,000.00 USD 312,280.00 312,280.00 1,400.54 - 310,879.46 CHF 11,340,000 USD 9,000,000.00 USD 157,500.00 157,500.00 0.00 - 157,500.00 Counter Amount Currency continued CHF - 19,050,000 USD - 15,000,000.00 USD - 181,500.00 - 181,500.00 0.00 181,500.00 Counter Premium Amount Currency Premium Local Premium USD EFTA01553920 Current Market Value USD Unrealized Gain/Loss USD EFTA01553921 06 Cusip JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 14 of 72 Foreign Exchange Description 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 NOV 22, 2004 @ .68 KNOCK IN TRIGGERED @ .6625 XNZDPA-DC-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN TRIGGERED @ .6625 XNZDPA-DB-Z GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 KNOCK IN TRIGGERED @ 1.8375 XGBPPA-GN-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 KNOCK IN @ TRIGGERED @ .755 KNOCK OUT @ .7965 XAUDPA-DH-Z THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 36. XTHBCA-AC-Z THB 2,700,000,000 USD 75,000,000.00 USD 405,000.00 405,000.00 1,377.00 - 403,623.00 AUD - 1,500,000 USD - 1,155,000.00 USD - 23,561.94 - 23,561.94 - 127,266.27 - 103,704.33 GBP - 5,750,000.66 USD - 10,781,251.24 USD - 349,312.54 - 349,312.54 - 425,246.24 - 75,933.70 NZD - 1,986,500 USD - 1,350,820.00 USD - 61,192.17 - 61,192.17 - 119,858.34 - 58,666.17 NZD - 14,450,000 USD - 9,826,000.00 USD - 407,779.00 - 407,779.00 - 871,861.56 - 464,082.56 Counter Amount Currency continued AUD - 4,000,000 USD - 3,110,000.00 USD - 106,673.20 - 106,673.20 - 356,063.16 - 249,389.96 EFTA01553922 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553923 06 Cusip JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 15 of 72 Foreign Exchange Description THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 8 38. XTHECA-AB-2 TWD CALL USD PUT FX EUROPEAN STYLE OPTION MAR 01, 2005 8 32.75 XTWDCA-AB-2 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. - 2,352,745.65 - 2,621,321.71 - 268,576.22 TWD 327,500,000 USD 10,000,000.00 USD 196,000.00 196,000.00 73,350.18 - 122,649.82 Counter Amount Currency continued THB 351,500,000 USD 9,250,000.00 USD 108,225.00 108,225.00 6,942.13 - 101,282.87 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. EFTA01553924 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 16 of 72 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Swiss Franc Euro Currency Pound Sterling U S Dollar Value in Currency 15,200,000.00 - 10,000,000.00 2,000,000.00 - 3,073,243.37 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Open Total Unrealized Gain/Loss - 55,000.01 - 59,708.11 - 114,708.12 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 Jun. 10 04 Jul. 14 04 AUD Apr. 16 04 Oct. 20 04 AUD Apr. 23 04 Oct. 20 04 AUD Total Open Total SWISS FRANC Jun. 4 04 Jul. 8 04 CHF Jun. 16 04 Jul. 8 04 CHF 7,500,000.00 USD 7,500,000.00 USD - 15,000,000.00 USD 0.00 - 13,000,000.00 USD 10,000,000.00 USD 3,000,000.00 USD 0.00 0.00 - EURO CURRENCY 22,839,000.00 EUR 15,200,000.00 EUR - 15,000,000.00 - 10,000,000.00 1.5226 1.52 1.523116 1.523116 18,240,186.94 12,139,359.93 18,246,369.15 12,164,246.10 - 6,182.21 - 24,886.17 - 5,676,750.00 - 5,639,250.00 11,347,500.00 31,500.00 9,003,800.00 - 7,289,000.00 - 2,148,600.00 - 433,800.00 - 402,300.00 EFTA01553925 0.7569 0.7519 0.7565 0.6926 0.7289 0.7162 0.692268 0.692268 0.692268 0.695436 0.688194 0.688194 5,192,012.37 5,192,012.37 11,347,500.00 21,731,524.74 9,003,800.00 6,881,944.22 2,064,583.26 17,950,327.48 39,681,852.22 5,676,750.00 5,639,250.00 10,384,024.74 21,700,024.74 9,040,673.94 7,289,000.00 2,148,600.00 18,478,273.94 40,178,298.68 - 484,737.63 - 447,237.63 963,475.26 31,500.00 - 36,873.94 - 407,055.78 - 84,016.74 - 527,946.46 - 496,446.46 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553926 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 17 of 72 Foreign Exchange Contracts Settlement Date Currency Jun. 21 04 Jul. 8 04 CHF Jun. 21 04 Jul. 8 04 CHF Total Open continued Amount Counter Currency - 15,226,000.00 EUR - 7,613,000.00 EUR 15,200,000.00 EURO CURRENCY - U S DOLLAR May. 17 04 Aug. 6 04 EUR May. 27 04 Aug. 6 04 EUR Feb. 20 04 Aug. 24 04 EUR Mar. 1 04 Aug. 24 04 EUR Apr. 16 04 Oct. 20 04 EUR Apr. 23 04 Oct. 20 04 EUR May. 3 04 Oct. 20 04 EUR May. 11 04 Oct. 20 04 EUR May. 17 04 Oct. 20 04 EUR Total Closed Jun. 21 04 Jul. 8 04 EUR Jun. 21 04 Jul. 8 04 EUR Total Open Total Feb. 23 04 Aug. 24 04 GBP Mar. 1 04 Aug. 24 04 GBP Jun. 10 04 Jul. 14 04 GBP Jun. 25 04 Jul. 14 04 GBP Apr. 16 04 Oct. 20 04 GBP Apr. 23 04 Oct. 20 04 GBP Total Open Total - 5,000,000.00 USD 5,000,000.00 USD 7,500,000.00 USD - 7,500,000.00 USD 10,000,000.00 USD 3,000,000.00 USD - 10,000,000.00 USD - 1,500,000.00 USD - 1,500,000.00 USD 0.00 - 103,516.92 USD - 49,747.94 USD - 153,264.86 - 153,264.86 POUND STERLING - U S DOLLAR Total Closed 10,000,000.00 USD - 10,000,000.00 USD 0.00 - 8,000,000.00 USD - 3,000,000.00 USD 10,000,000.00 USD 3,000,000.00 USD 2,000,000.00 2,000,000.00 Counter Amount 10,103,516.92 5,049,747.94 - 9,846,735.14 5,993,500.00 - 6,127,000.00 EFTA01553927 - 9,395,250.00 9,287,250.00 - 11,971,000.00 - 3,536,700.00 11,883,000.00 1,766,100.00 1,796,100.00 - 304,000.00 125,069.14 60,135.31 185,204.45 - 118,795.55 - 18,337,000.00 18,404,000.00 67,000.00 14,679,200.00 5,455,800.00 - 17,725,000.00 - 5,232,300.00 - 2,822,300.00 - 2,755,300.00 Contract Rate 1.507 1.5076 Current Market Forward Rate 1.523116 1.523116 Market Value Receivables USD 12,290,166.62 6,142,637.66 48,812,351.15 1.1987 1.2254 1.2527 1.2383 1.1971 1.1789 1.1883 1.1774 1.1974 1.2082 1.2088 0.822528 0.822528 0.822747 0.822747 0.823045 0.823045 0.823045 0.823045 0.823045 0.822081 0.822081 5,993,500.00 6,078,819.97 9,115,799.96 9,287,250.00 12,150,007.75 3,645,002.32 11,883,000.00 1,766,100.00 1,796,100.00 61,715,580.00 125,069.14 60,135.31 185,204.45 61,900,784.45 1.8337 1.8404 1.8349 1.8186 1.7725 1.7441 1.804587 1.804587 1.81121 1.81121 EFTA01553928 1.795735 1.795735 18,045,866.55 18,404,000.00 36,449,866.55 14,679,200.00 5,455,800.00 17,957,350.88 5,387,205.26 43,479,556.14 79,929,422.69 Market Value Payables USD 12,160,124.62 6,080,062.31 48,650,802.18 6,078,819.97 6,127,000.00 9,395,250.00 9,115,799.96 11,971,000.00 3,536,700.00 12,150,007.75 1,822,501.16 1,822,501.16 62,019,580.00 125,920.52 60,514.61 186,435.13 62,206,015.13 18,337,000.00 18,045,866.55 36,382,866.55 14,489,687.92 5,433,632.97 17,725,000.00 5,232,300.00 42,880,620.89 79,263,487.44 Unrealized Gain/Loss USD 130,042.00 62,575.35 161,548.97 - 85,319.97 - 48,180.03 - 279,450.04 171,450.04 179,007.75 108,302.32 - 267,007.75 - 56,401.16 - 26,401.16 - 304,000.00 - 851.38 - 379.30 - 1,230.68 - 305,230.68 - 291,133.45 358,133.45 67,000.00 189,512.08 22,167.03 232,350.88 154,905.26 598,935.25 665,935.25 EFTA01553929 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 18 of 72 Foreign Exchange Contracts Settlement Date Currency HUNGARIAN FORINT - U S DOLLAR Jun. 10 04 Jul. 14 04 HUF Apr. 27 04 Oct. 20 04 HUF Apr. 28 04 Oct. 20 04 HUF Total Open JAPANESE YEN Jun. 10 04 Jul. 14 04 JPY Apr. 16 04 Oct. 20 04 JPY May. 25 04 Oct. 20 04 JPY 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 - 1,694,220,000.00 USD 1,059,940,000.00 USD 634,280,000.00 USD 0.00 7,959,689.92 - 4,803,280.91 - 2,859,564.49 296,844.52 - U S DOLLAR - 518,050,000.00 USD 1,076,700,000.00 USD - 558,650,000.00 USD 0.00 N ZEALAND DOLLAR - U S DOLLAR Feb. 20 04 Aug. 24 04 NZD Feb. 23 04 Aug. 24 04 NZD Mar. 2 04 Aug. 24 04 NZD Mar. 11 04 Mar. 15 05 NZD Mar. 23 04 Mar. 15 05 NZD Total Closed Jun. 10 04 Jul. 14 04 NZD Apr. 16 04 Oct. 20 04 NZD May. 27 04 Oct. 20 04 NZD May. 27 04 Oct. 20 04 NZD Total Open Total 5,000,000.00 USD 5,000,000.00 USD - 10,000,000.00 USD 5,000,000.00 USD - 5,000,000.00 USD 0.00 - 20,000,000.00 USD 10,000,000.00 USD 5,000,000.00 USD 5,000,000.00 USD 0.00 0.00 Total Foreign Exchange Contracts 4,735,807.66 EFTA01553930 - 10,000,000.00 5,000,000.00 - 264,192.34 - 3,315,000.00 - 3,344,500.00 6,742,000.00 - 3,102,500.00 3,170,500.00 150,500.00 12,550,000.00 - 6,276,000.00 - 3,127,000.00 - 3,127,000.00 20,000.00 170,500.00 109.39 107.67 111.73 109.052610 108.505567 108.505567 4,735,807.66 9,922,993.17 5,000,000.00 19,658,800.83 0.663 0.6689 0.6742 0.6205 0.6341 0.6275 0.6276 0.6254 0.6254 0.630567 0.630567 0.630567 0.616595 0.616595 0.633915 0.626147 0.626147 0.626147 3,152,836.40 3,152,836.40 6,742,000.00 3,082,973.37 3,170,500.00 19,301,146.17 12,550,000.00 6,261,473.25 3,130,736.62 3,130,736.62 25,072,946.49 44,374,092.66 310,290,864.05 4,750,459.44 10,000,000.00 5,148,583.76 19,899,043.20 3,315,000.00 3,344,500.00 6,305,672.81 3,102,500.00 3,082,973.37 19,150,646.18 12,678,303.46 6,276,000.00 3,127,000.00 3,127,000.00 25,208,303.46 44,358,949.64 310,405,572.17 - 14,651.78 - 77,006.83 - 148,583.76 - 240,242.37 - 162,163.60 - 191,663.60 EFTA01553931 436,327.19 - 19,526.63 87,526.63 150,499.99 - 128,303.46 - 14,526.75 3,736.62 3,736.62 - 135,356.97 15,143.02 - 114,708.12 212.85 220.67 221.81 206.962252 212.471481 212.471481 7,959,689.92 4,988,622.44 2,985,247.69 15,933,560.05 8,186,130.50 4,803,280.91 2,859,564.49 15,848,975.90 - 226,440.58 185,341.53 125,683.20 84,584.15 EFTA01553932 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 19 of 72 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 Jun 1 Jun 3 Write Option CHF PUT EUR CALL Jun 1 Jun 3 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.535 KNOCK IN @ 1.54 EUR PUT CHF CALL Jun 1 Jun 3 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 EUR PUT CHF CALL Jun 4 Jun 8 Purchase Opt FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.525 KNOCK IN @ 1.52 EUR PUT USD CALL FX EUROPEAN STYLE OPTION DEC 06, 2004 @ 1.1 USD - 15,350,000 0.265 32,383.00 Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD - 1,998,174.47 0.00 USD 7,262,295 - 33,057.10 31,765.08 - 1,292.02 S USD 10,262,295 - 46,713.90 42,394.00 - 4,319.90 S USD 20,000,000 0.44 - 96,800.00 EFTA01553933 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 20 of 72 Settlement Date Realized Type Settled continued Jun 8 Jun 10 Buy-Back Opt GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.83 Jun 8 Jun 10 Write Option Jun 8 Jun 10 Write Option Jun 9 Jun 11 Buy-Back Opt KNOCK IN TRIGGERED @ 1.86 GBP CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.835 GBP PUT USD CALL FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.825 EUR CALL USD PUT Jun 9 Jun 11 Write Option Jun 9 Jun 11 write Option Jun 9 Jun 14 Purchase FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.185 KNOCK IN TRIGGERED @ 1.2 EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.215 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.1975 6 MONTH CHF BASKET STRUCTURE 100% PRINCIPAL PROTECTED IN USD JPMORGAN CHASE LONDON EXPIRES 12/15/004 PRICED IN CHF Jun 10 Jun 15 Buy-Back Opt AUD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 16, 2004 @ .69 Jun 10 Jun 15 Write Option KNOCK IN TRIGGERED @ .71 AUD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 16, 2004 @ .6975 USD - 5,000,000 0.725 25,284.00 CHF 10,000,000 100.00 - 10,000,000.00 USD USD USD - 5,000,000 - 5,000,000 5,000,000 0.48 0.28 44,040.00 25,550.00 - 112,575.00 59,487.08 - 53,087.92 S USD 5,000,000 - 59,704.00 91,500.00 EFTA01553934 31,796.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD - 10,000,000 0.195 - 10,000,000 0.195 23,693.00 23,351.00 USD 5,000,000 - 53,044.00 48,645.00 - 4,399.00 S EFTA01553935 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 21 of 72 Settlement Date Realized Type Settled continued Jun 10 Jun 15 Write Option Jun 10 Jun 14 Buy-Back Opt AUD PUT USD CALL FX EUROPEAN STYLE OPTION JUN 16, 2004 @ .6875 EUR CALL USD PUT Jun 10 Jun 14 FX Option Assi FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.185 KNOCK IN TRIGGERED @ 1.2 NZD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 10, 2004 @ .62 Jun 10 Jun 14 Write Option Jun 10 Jun 14 Write Option Jun 10 Jun 14 FX Opt Asgn'D KNOCK IN TRIGGERED @ .635 NZD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 17, 2004 @ .6375 NZD PUT USD CALL FX EUROPEAN STYLE OPTION JUN 17, 2004 @ .6275 SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION SELL NZD BUY USD Jun 14 Jun 16 Buy-Back Opt GBP CALL USD PUT Jun 15 Jun 17 Buy-Back Opt Jun 15 Jun 15 Expired Opt Jun 15 Jun 15 Expired Opt FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.835 AUD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 16, 2004 @ .6975 EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.215 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.1975 USD USD USD USD USD - 15,000,000 5,000,000 5,000,000 10,000,000 10,000,000 1.612 9,300,000.00 - 2,532.00 - 1,744.00 0.00 0.00 - 9,475,178.40 44,040.00 25,284.00 23,693.00 23,351.00 - 175,178.40 EFTA01553936 41,508.00 S 23,540.00 S 23,693.00 S 23,351.00 S USD USD - 15,000,000 - 15,000,000 0.44 0.566 42,120.00 53,310.00 USD USD - 5,000,000 7,000,000 0.16 5,500.00 - 178,135.00 83,281.92 - 94,853.08 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 15,000,000 0.00 91,140.00 91,140.00 S EFTA01553937 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 22 of 72 Settlement Date Realized Type Settled continued Jun 15 Jun 17 FX Option AssiGBP PUT USD CALL FX EUROPEAN STYLE OPTION JUN 15, 2004 @ 1.825 Jun 15 Jun 17 FX Opt Asgn'D Jun 16 Jun 16 Expired Opt Jun 17 Jun 21 FX Option Assi Jun 17 Jun 21 FX Opt Asgn'D Jun 18 Jun 22 Write Option SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION BUY GBP SELL USD AUD PUT USD CALL FX EUROPEAN STYLE OPTION JUN 16, 2004 @ .6875 NZD PUT USD CALL FX EUROPEAN STYLE OPTION JUN 17, 2004 @ .6275 SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION BUY NZD SELL USD HUF PUT USD CALL Jun 21 Jun 21 Expired Opt Jun 23 Jun 25 Write Option FX EUROPEAN STYLE OPTION DEC 20, 2004 @ 215. KNOCK IN @ 225 KNOCK OUT @ 202 NZD CALL USD PUT FX EUROPEAN STYLE OPTION JUN 17, 2004 @ .6375 AUD CALL USD PUT Jun 23 Jun 25 Write Option FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .69 KNOCK IN @ .7250 KNOCK OUT @ .65 NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .625 KNOCK IN @ .6450 USD 15,000,000 USD -2,580,000,000 1.593 3.76 - 9,412,500.00 451,200.00 9,412,500.00 USD USD USD 5,000,000 5,000,000 15,000,000 1.825 - 9,125,000.00 0.00 0.00 9,125,000.00 5,500.00 53,310.00 5,500.00 S 53,310.00 S EFTA01553938 USD 5,000,000 0.00 25,550.00 25,550.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD 15,000,000 0.00 - 10,000,000 1.81 124,890.00 42,120.00 42,120.00 S USD - 10,000,000 2.62 163,750.00 EFTA01553939 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 23 of 72 Settlement Date Realized Type Settled continued Jun 23 Jun 25 Write Option Jun 24 Jun 28 Write Option ZAR CALL USD PUT FX EUROPEAN STYLE OPTION JUN 24, 2004 @ 6.2675 NZD CALL USD PUT Jun 24 Jun 28 Write Option FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .625 KNOCK IN @ .6450 NZD CALL USD PUT Jun 24 Jun 28 FX Option Assi Jun 24 Jun 28 FX Opt Asgn'D FX EUROPEAN STYLE OPTION DEC 23, 2004 @ .64 KNOCK IN @ .6515 ZAR CALL USD PUT FX EUROPEAN STYLE OPTION JUN 24, 2004 @ 6.2675 SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION SELL ZAR BUY USD Jun 25 Jun 28 Buy-Back Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 Jun 25 Jun 28 Buy-Back Opt KNOCK IN TRIGGERED @ .6625 NZD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 13, 2004 @ .63 Jun 28 Jun 28 Expired Opt KNOCK IN TRIGGERED @ .60 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 10, 2004 @ .615 KNOCK IN TRIGGERED @ .60 KNOCK OUT @ .642 Issued in USD NZD 10,000,000 0.00 193,725.33 193,725.33 S USD 5,000,000 - 95,287.50 90,720.00 - 4,567.50 S USD USD - 12,535,000 2,200,000 6.267 2,000,000.00 - 138,380.00 - 1,998,405.74 62,084.00 1,594.26 S - 76,296.00 S USD USD - 62,675,000 - 22,000,000 EFTA01553940 0.30 2.90 30,000.00 398,750.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 27,000,000 2.14 369,792.00 USD 12,535,000 0.00 6,000.00 6,000.00 S EFTA01553941 06 Trade Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 24 of 72 Settlement Date Realized Type Settled continued Jun 29 Jun 29 Expired Opt CHF PUT EUR CALL Jun 29 Jun 29 Expired Opt Jun 29 Jun 29 Expired Opt FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.535 KNOCK IN @ 1.54 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION JUN 25, 2004 @ 1.565 ZAR CALL USD PUT FX EUROPEAN STYLE OPTION JUN 24, 2004 @ 6.2675 Issued in USD Trade Date Estimated Settlement Date Pending Jun 30 Jul 1 Purchase Opt CHF CALL USD PUT FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.26 KNOCK OUT @ 1.23 Jun 30 Jul 1 Write Option KNOCK OUT @ 1.31 BARRIER EXP 7/14/04 CHF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 30, 2004 @ 1.27 KNOCK IN @ 1.29 KNOCK OUT @ 1.2360 Jun 30 Jul 2 Write Option ZAR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 30, 2004 @ 6.18 KNOCK IN @ 5.95 USD - 61,800,000 1.64 164,000.00 USD - 19,050,000 1.21 181,500.00 USD 11,340,000 1.75 - 157,500.00 Realized Gain/Loss Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD USD 15,350,000 0.00 32,383.00 EFTA01553942 32,383.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD ZAR 10,000,000 0.00 50,140,000 0.00 38,273.00 24,000.00 38,273.00 S 24,000.00 S EFTA01553943 06 Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 25 of 72 Settled Foreign Exchange Contracts Trade Settlement Date Currency SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Apr 29 04 Jun 1 04 May 11 04 Jun 15 04 May 14 04 Jun 15 04 May 17 04 Jun 15 04 Jun 10 04 Jun 15 04 Jun 15 04 Jun 18 04 Jun 16 04 Jun 18 04 SWISS FRANC Jun 9 04 Jun 9 04 Jun 11 04 Jun 11 04 Jun 7 04 Jun 7 04 Jun 7 04 AUD - 10,000,000.00 USD AUD - 3,000,000.00 USD AUD - 5,000,000.00 USD AUD - 5,000,000.00 USD 7,171,000.00 2,081,400.00 3,438,000.00 3,408,500.00 AUD 13,000,000.00 USD - 9,035,000.00 AUD - 5,000,000.00 USD AUD 5,000,000.00 USD - 3,436,000.00 - U S DOLLAR CHF - 2,495,000.00 USD CHF EURO CURRENCY - U S DOLLAR Mar 3 04 Mar 5 04 Mar 5 04 EUR Mar 16 04 Jun 7 04 Jun 18 04 Jun 29 04 Jun 21 04 Jun 29 04 Jun 7 04 Jun 7 04 Jun 8 04 1,997,278.26 2,495,000.00 USD - 1,996,798.72 5,000,000.00 USD - 6,073,500.00 EUR 10,000,000.00 USD - 12,395,000.00 EUR 20,000,000.00 USD - 24,726,000.00 EUR - 35,000,000.00 USD 42,952,000.00 EUR 10,000,000.00 USD - 12,105,000.00 EUR - 10,000,000.00 USD 12,102,000.00 POUND STERLING - U S DOLLAR Mar 3 04 Mar 5 04 Mar 5 04 Mar 16 04 Jun 8 04 May 11 04 Jun 14 04 GBP 10,000,000.00 USD - 18,106,000.00 GBP - 10,000,000.00 USD 18,290,000.00 GBP 10,000,000.00 USD - 18,295,000.00 GBP - 10,000,000.00 USD 18,012,000.00 GBP - 5,000,000.00 USD 1.249200 1.249500 EFTA01553944 1.214700 1.239500 1.236300 1.227200 1.210500 1. 8,752,500.00 1.810600 1.829000 1.829500 1.801200 1.750500 1.249500 1.249500 1.230996 1.230996 1.230996 1.230996 1.211607 1.211607 1.836041 1.836041 1.835368 1.835368 1.817521 1,997,278.26 - 1,996,798.72 - 6,073,500.00 - 12,395,000.00 - 24,726,000.00 - 1,996,798.72 1,996,798.72 6,154,982.45 12,309,964.91 24,619,929.83 42,952,000.00 - 43,084,877.20 - 12,105,000.00 12,102,000.00 - 12,116,071.96 - 18,106,000.00 18,360,414.94 18,290,000.00 - 18,360,414.94 - 18,295,000.00 18,012,000.00 - 18,353,675.32 8,752,500.00 18,353,675.32 - 9,087,604.50 12,116,071.96 479.54 3,436,000.00 0.717100 0.693800 0.687600 0.681700 0.695000 0.687200 0.687200 1.408650 1.450000 1.450000 1.450000 1.450000 0.687200 0.687200 7,171,000.00 2,081,400.00 3,438,000.00 3,408,500.00 - 9,035,000.00 3,436,000.00 - 3,436,000.00 - 7,098,995.49 - 2,068,965.51 - 3,448,275.86 - 3,448,275.86 8,965,517.24 - 3,436,000.00 3,436,000.00 72,004.51 12,434.49 EFTA01553945 - 10,275.86 - 39,775.86 - 69,482.76 Counter Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD 81,482.45 - 85,035.09 - 106,070.17 - 132,877.20 11,071.96 - 14,071.96 254,414.94 - 70,414.94 58,675.32 - 341,675.32 - 335,104.50 EFTA01553946 06 Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 26 of 72 Settled Foreign Exchange Contracts Trade Settlement Date Currency May 12 04 Jun 14 04 May 17 04 Jun 14 04 May 19 04 Jun 14 04 Jun 10 04 Jun 14 04 Jun 10 04 Jun 14 04 Jun 15 04 Jun 17 04 Counter Amount Currency continued GBP - 5,000,000.00 USD GBP GBP - 4,000,000.00 USD GBP GBP GBP - 5,000,000.00 USD HUNGARIAN FORINT - U S DOLLAR May 12 04 Jun 14 04 May 17 04 Jun 14 04 Jun 10 04 Jun 14 04 JAPANESE YEN May 18 04 Jun 15 04 May 27 04 Jun 15 04 Jun 10 04 Jun 15 04 Jun 8 04 Jun 8 04 - U S DOLLAR JPY - 567,850,000.00 USD JPY 49,800,000.00 USD N ZEALAND DOLLAR - U S DOLLAR Mar 3 04 Mar 4 04 Mar 16 04 Jun 8 04 Mar 22 04 Jun 8 04 May 11 04 Jun 14 04 May 12 04 Jun 14 04 May 17 04 Jun 14 04 Jun 9 04 Jun 14 04 Jun 10 04 Jun 14 04 5,000,000.00 - 445,438.28 JPY 518,050,000.00 USD - 4,731,050.23 NZD 15,000,000.00 USD - 9,943,500.00 NZD 15,000,000.00 USD - 9,900,000.00 NZD - 10,000,000.00 USD 113.570000 111.800000 109.500000 6,450,000.00 NZD - 20,000,000.00 USD 13,118,000.00 NZD - 5,000,000.00 USD NZD - 5,000,000.00 USD NZD - 5,000,000.00 USD NZD - 5,000,000.00 USD NZD 20,000,000.00 USD - 12,600,000.00 3,017,000.00 3,033,500.00 2,971,500.00 3,134,500.00 0.662900 0.660000 0.645000 0.655900 0.603400 EFTA01553947 0.606700 0.594300 0.626900 0.630000 110.065000 110.065000 110.065000 1.596800 1.596800 1.596800 1.596800 1.588100 1.588100 1.588100 0.631901 0.629984 5,000,000.00 - 445,438.28 - 4,731,050.23 - 9,943,500.00 - 9,900,000.00 6,450,000.00 - 5,159,224.09 452,459.91 4,706,764.18 9,393,787.57 9,393,787.57 - 6,262,525.05 13,118,000.00 - 12,525,050.10 3,017,000.00 3,033,500.00 2,971,500.00 3,134,500.00 - 12,600,000.00 - 3,148,416.34 - 3,148,416.34 - 3,148,416.34 - 3,159,504.68 12,599,689.25 - 159,224.09 7,021.63 - 24,286.05 - 549,712.43 - 506,212.43 187,474.95 592,949.90 - 131,416.34 - 114,916.34 - 176,916.34 - 25,004.68 - 310.75 HUF- 1,396,450,000.00 USD HUF - 297,770,000.00 USD 8,850,500.00 1,000,000.00 USD - 1,767,000.00 7,103,600.00 8,000,000.00 USD - 14,720,000.00 5,000,000.00 USD - 9,219,500.00 9,096,000.00 6,478,242.71 1,394,968.61 HUF 1,694,220,000.00 USD - 8,029,478.67 1.770100 1.767000 1.775900 1.840000 1.843900 1.819200 215.560000 213.460000 211.000000 1.817521 1.817521 1.817521 1.840000 1.843900 1.825000 209.538178 209.538178 EFTA01553948 211.000000 8,850,500.00 - 1,767,000.00 7,103,600.00 - 14,720,000.00 - 9,219,500.00 9,096,000.00 6,478,242.71 1,394,968.61 - 8,029,478.67 - 9,087,604.50 1,817,520.90 - 7,270,083.60 14,720,000.00 9,219,500.00 - 9,125,000.00 - 6,664,417.98 - 1,421,077.54 8,029,478.67 - 237,104.50 50,520.90 - 166,483.60 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD - 29,000.00 - 186,175.27 - 26,108.93 EFTA01553949 06 Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 27 of 72 Settled Foreign Exchange Contracts Trade Settlement Date Currency Jun 10 04 Jun 14 04 Jun 15 04 Jun 18 04 Jun 17 04 Jun 18 04 Jun 17 04 Jun 21 04 Jun 17 04 Jun 21 04 TRADE RELATED AUSTRALIA DOLLAR - U S DOLLAR SWISS FRANC Jun 16 04 Jun 17 04 Jun 9 04 Jun 11 04 AUD - U S DOLLAR CHF 10,000,000.00 USD - 8,003,201.28 N ZEALAND DOLLAR - U S DOLLAR Jun 16 04 Jun 18 04 NZD 280,284.94 USD - 176,383.31 1.249500 0.629300 1.249500 0.620000 - 8,003,201.28 - 176,383.31 8,003,201.28 173,776.66 - 2,606.65 276,000.00 USD - 189,777.60 0.687600 0.689655 - 189,777.60 190,344.83 567.23 Counter Amount Currency continued NZD 15,000,000.00 USD - 9,516,000.00 NZD - 10,000,000.00 USD NZD 10,000,000.00 USD - 6,274,000.00 NZD - 5,000,000.00 USD NZD - 10,000,000.00 USD S AFRICAN RAND - U S DOLLAR Jun 24 04 Jun 28 04 ZAR 12,535,000.00 USD - 1,998,405.74 6,274,000.00 3,111,000.00 6,271,000.00 0.634400 0.627400 0.627400 0.622200 0.627100 6.272500 0.634400 0.627400 0.627400 0.627500 0.627500 6.272500 - 9,516,000.00 6,274,000.00 - 6,274,000.00 EFTA01553950 3,111,000.00 6,271,000.00 - 1,998,405.74 9,516,000.00 - 6,274,000.00 6,274,000.00 - 3,137,500.00 - 6,275,000.00 1,998,405.74 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD - 26,500.00 - 4,000.00 EFTA01553951 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 28 of 72 Account Transactions by Currency Australia Dollar Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Miscellaneous Disbursements Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Australia Dollar Activity by Date Settlement Date Jun 1 Type Fwd FX Ctrct Quantity Description 7,171,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.717100000 TRADE 4/29/04 VALUE 6/01/04 Jun 1 Spot FX - 7,187,000 SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD SPOT RATE : 0.718700000 TRADE 5/28/04 VALUE 6/01/04 AUSTRALIA DOLLAR U S DOLLAR - 276,000.00 - 28,000,000.00 -00 - 84,037.89 - 276,000.00 - 263,500,000.00 28,276,000.00 10,000,000.00 253,776,000.00 .00 Amount to Date Realized Amount Gain/Loss USD - 88,004.51 - 10,000,000.00 - 7,098,995.49 Amount USD 10,000,000.00 7,187,000.00 EFTA01553952 06 Date Jun 9 Jun 9 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 29 of 72 Australia Dollar Activity by Date Settlement continued Realized Type Misc. Disbursement Misc. Disbursement Jun 15 Fwd FX Ctrct 2,081,400 Quantity Description IR SWAP PAYMENT REF 4 68425098 (5.68%) AUSTRALIA DOLLAR IR SWAP PAYMENT REF 4 68428625 (5.72%) AUSTRALIA DOLLAR SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.693800000 TRADE 5/11/04 VALUE 6/15/04 Jun 15 Fwd FX Ctrct 3,438,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.687600000 TRADE 5/14/04 VALUE 6/15/04 Jun 15 Fwd FX Ctrct 3,408,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.681700000 TRADE 5/17/04 VALUE 6/15/04 Jun 15 Fwd FX Ctrct - 9,035,000 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.695000000 TRADE 6/10/04 VALUE 6/15/04 Jun 17 Spot FX - 189,777.60 SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD SPOT RATE : 0.687600000 TRADE 6/16/04 VALUE 6/17/04 AUSTRALIA DOLLAR U S DOLLAR 3,966.63 - 0.01 Gain/Loss USD - 138,000.00 - 138,000.00 - 3,000,000.00 - 97,155.73 - 97,155.73 - 2,068,965.51 Amount Amount USD - 5,000,000.00 - 3,448,275.86 - 5,000,000.00 - 3,448,275.86 13,000,000.00 8,965,517.24 276,000.00 189,777.60 EFTA01553953 06 Date JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 30 of 72 Australia Dollar Activity by Date Settlement continued Realized Type Jun 18 Spot FX Quantity Description 3,436,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL AUD SPOT RATE : 0.687200000 TRADE 6/15/04 VALUE 6/18/04 U S DOLLAR AUSTRALIA DOLLAR Jun 18 Spot FX - 3,436,000 SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD SPOT RATE : 0.687200000 TRADE 6/16/04 VALUE 6/18/04 AUSTRALIA DOLLAR U S DOLLAR 5,000,000.00 3,436,000.00 Gain/Loss USD - 5,000,000.00 - 3,436,000.00 Amount Amount USD EFTA01553954 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 31 of 72 Account Transactions by Currency Euro Currency Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Purchases of Securities Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Euro Currency Activity by Date Settlement Date Jun 7 Type Fwd FX Ctrct Quantity Description - 6,073,500 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.214700000 TRADE 3/03/04 VALUE 6/07/04 Jun 7 Fwd FX Ctrct - 12,395,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.239500000 TRADE 3/05/04 VALUE 6/07/04 - 45,000,000.00 .00 .01 - 30,000,000.00 - 302,941,124.64 45,000,000.00 29,941,124.64 303,000,000.00 .00 Amount to Date Realized Amount Gain/Loss USD 5,000,000.00 6,154,982.45 Amount USD 10,000,000.00 12,309,964.91 EFTA01553955 06 Date Jun 7 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 32 of 72 Euro Currency Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description - 24,726,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.236300000 TRADE 3/05/04 VALUE 6/07/04 Jun 7 Fwd FX Ctrct 42,952,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.227200000 TRADE 3/16/04 VALUE 6/07/04 Jun 29 Fwd FX Ctrct - 12,105,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.210500000 TRADE 6/18/04 VALUE 6/29/04 Jun 29 Fwd FX Ctrct 12,102,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.210200000 TRADE 6/21/04 VALUE 6/29/04 0.01 Gain/Loss USD 20,000,000.00 24,619,929.83 Amount Amount USD - 35,000,000.00 - 43,084,877.20 10,000,000.00 12,116,071.96 - 10,000,000.00 - 12,116,071.96 EFTA01553956 06 JPMorgan Chase Bank 2004 Account Number: Q 30171-00-5 FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio June 01, 2004 - June 30, 2004 Page 33 of 72 Account Transactions by Currency Hungarian Forint Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Purchases of Securities For