EFTA01552885.pdf

06 2003 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 51 J.P. Morgan Portfolios June 1 - June 30, 2003 Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio JPMCB JPMSI 161121381 2 3 49 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 EFTA01552885 06 2003 Portfolio Summary FINANCIAL TRUST COMPANY INC June 01, 2003 - June 30, 2003 Page 2 of 51 Portfolio Summary Net Worth Summary Asset Portfolio USD Assets(Long) Cash fi Short Term Equities Other Options Liabilities (Short) Total Options FX Gain/Loss Accrued Income Total Net Worth Income Summary Taxable Interest Dividends Total 92,356,960.21 38,510,764.12 16,201,579.50 37,044,260.00 600,356.59 - 3,791,128.36 - 3,791,128.36 88,565,831.85 7,461,823.37 44,796.88 96,072,452.10 Margin Portfolio USD 161121381 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 .00 0.00 0.00 92,356,960.21 38,510,764.12 16,201,579.50 37,044,260.00 600,356.59 - 3,791,128.36 - 3,791,128.36 88,565,831.85 7,461,823.37 44,796.88 96,072,452.10 This Period 90,551.53 90,551.53 Year to Date 258,350.00 557,237.64 815,587.64 JPMorgan provides this Portfolio Summary for informational purposes. This summary includes informati on about assets held at JPMCB and JPMSI in accounts listed on the front page. Securities are not bank deposits or FDIC insured, are not obligations of or guaranteed by JPMCB or a ny of its bank of thrift affiliates (unless otherwise indicated), and are subject to investment risks, including possible loss of the pr incipal amount invested. Assets held in custody by JPMCB are not protected under the Securities Investor Protection Corporati on ("SIPC") insurance. Total USD EFTA01552886 EFTA01552887 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 3 of 51 Asset Account Portfolio June 1 - June 30, 2003 Table of Contents Portfolio Summary Cash and Short Term Equities Other Options Outstanding Foreign Exchange Contracts Trade Activity Account Transactions Account Officers Service Specialist: HORNAK/DORAZIO Page 4 6 7 8 9 14 18 24 EFTA01552888 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 4 of 51 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 42% Cash and Short Term 18% Equities 40% Other Market Value USD Jun 30 Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value 38,510,764.12 16,201,579.50 37,044,260.00 - 3,190,771.77 88,565,831.85 7,461,823.37 44,796.88 96,072,452.10 Income Summary Taxable Interest Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Total Market Value USD May 31 94,586,661.21 13,945,359.54 - 4,217,396.71 104,314,624.04 10,705,399.60 90,551.53 115,110,575.17 Tax Cost USD 38,510,764.12 36,540,000.00 - 2,297,686.00 72,753,078.12 Estimated Annual Income USD 400,511.94 Yield 1.0 0.0 0.0 400,511.94 N/A N/A 0.5 This Period USD 90,551.53 90,551.53 Year to Date USD* 258,350.00 EFTA01552889 557,237.64 815,587.64 Realized This Period USD Realized Year to Date USD• 818,064.59 818,064.59 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of June 30, 2003 Market value of Options is not included in pie chart. Currency AUD CHF EUR Exchange Rate 0.6706 1.3546 1.1484 2,141,772.18 2,141,772.18 Unrealized USD - 388,825.92 - 388,825.92 EFTA01552890 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 5 of 51 Exchange Rates Spot Rates as of June 30, 2003 Currency GBP HKD JPY MXN NOK NZD ZAR Exchange Rate 1.6500 7.7982 120.0750 10.4240 7.2184 0.5854 7.5100 EFTA01552891 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 6 of 51 Cash and Short Term Summary by Maturity Current Market Value USD Adjusted Cash Balance Total 38,510,764.12 38,510,764.12 Estimated Annual Income USD 400,511.94 400,511.94 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% PROCEEDS FROM PENDING SALES Adjusted Cash Balance USD 38,288,014.12 1.00 1.00 38,288,014.12 38,288,014.12 44,796.88 USD 222,750 1.00 1.00 222,750.00 38,510,764.12 222,750.00 38,510,764.12 44,796.88 398,195.34 1.04 Currency/ Unit Cost Adjusted Account Type Quantity Original Market Price Tax Cost Adjusted Original Market Value USD Accrued Interest USD Unrealized Gain/Loss USD Estimated Current Annual Yield/ Income USD YTM % Current 2,316.60 1.04 400,511.94 1.04 EFTA01552892 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 7 of 51 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 USD Total Equity 800,078 800,078 20.25 16,201,579.50 16,201,579.50 N/A 0.00 N/A 0.0 EFTA01552893 06 Other Structured Investments in Alphabetical Order Description 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 618994-9Z-2 Bearer 3 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 09/08/2003 619998-9A-7 Bearer 3 MONTH FX BULLISH MXN DEPOSIT 100% PRINCIPAL PROTECTED IN MXN DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 9/10/2003 619998-9B-5 Bearer Total Other Market Value USD Currency AUD Quantity 20,000,000 Unit Cost 100.00 PriCe/Unit 99.6054 Tax Cost 13,270,000.00 Accrued Income USD 13,360,000.00 Unrealized Estimated Annual Gain/Loss USD 90,000.00 Income USD Yield N/A JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 8 of 51 AUD 20,000,000 100.00 100.008 13,270,000.00 13,414,000.00 144,000.00 N/A MXN 107,250,000 100.00 99.8202 10,000,000.00 10,270,260.00 270,260.00 N/A 147,250,000 36,540,000.00 37,044,260.00 504,260.00 EFTA01552894 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 9 of 51 Options Foreign Exchange Description Cusip HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 9 7.833 XHKDPA-AH-2 NOK CALL USD PUT FX EUROPEAN STYLE OPTION SEP 26, 2003 9 6.85 XNOKCA-BJ-2 P JPY CALL USD PUT FX EUROPEAN STYLE OPTION JUL 02, 2003 9 110. XJPYCA-DA-2 NOK CALL USD PUT FX EUROPEAN STYLE OPTION JUL 11, 2003 9 6.75 XNOKCA-BP-2 MXN PUT USD CALL FX EUROPEAN STYLE OPTION SEP 08, 2003 9 11.3 XMXNPA-AP-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 9 1.2 XCHFCA-CQ-2 CHF 12,000,000 USD 10,000,000.00 USD 107,300.00 107,300.00 28,577.28 - 78,722.72 MXN - 113,000,000 USD - 10,000,000.00 USD - 487,000.00 - 487,000.00 - 42,889.15 444,110.85 NOK 67,500,000 USD 10,000,000.00 USD 146,000.00 146,000.00 132.30 - 145,867.70 JPY O USD 0.00 USD 0.00 0.00 NOK 41,100,000 USD 6,000,000.00 USD 120,600.00 120,600.00 34,838.42 - 85,761.58 Counter Amount Currency Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD HKD 156,660,000 USD 20,000,000.00 USD EFTA01552895 312,280.00 312,280.00 101,072.33 - 211,207.67 EFTA01552896 06 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 10 of 51 Foreign Exchange Description CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 @ 1.2 XCHFCA-CR-Z CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 15, 2004 @ 1.15 XCHFCA-CX-Z CHF PUT USD CALL FX EUROPEAN STYLE OPTION SEP 16, 2003 @ 1.38 XCHFPA-DB-Z CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 16, 2004 @ 1.175 XCHFCA-DC-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION DEC 23, 2003 @ .5515 KNOCK IN @ .5200 XNZDPA-AQ-Z CHF PUT USD CALL FX EUROPEAN STYLE OPTION OCT 06, 2003 @ 1.42 XCHFPA-DN-Z GBP CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 @ 1.575 XGBPCA-HA-Z GBP - 5,000,000 USD - 7,875,000.00 USD - 136,238.00 - 136,238.00 - 400,196.50 - 263,958.50 CHF - 6,975,000 USD - 4,911,971.83 USD - 91,092.00 - 91,092.00 - 16,440.14 74,651.86 NZD - 10,000,000 USD - 5,515,000.00 USD - 278,298.00 - 278,298.00 - 38,997.30 239,300.70 CHF 58,750,000 USD 50,000,000.00 USD 420,690.00 420,690.00 211,632.19 - 209,057.81 CHF - 16,560,000 USD - 12,000,000.00 USD - 281,032.00 - 281,032.00 - 80,574.34 200,457.66 CHF 80,500,000 USD 70,000,000.00 USD 543,848.00 543,848.00 192,538.29 - 351,309.71 Counter Amount Currency continued CHF EFTA01552897 12,000,000 USD 10,000,000.00 USD 106,200.00 106,200.00 28,577.28 - 77,622.72 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01552898 06 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 11 of 51 Foreign Exchange Description NOK PUT USD CALL FX EUROPEAN STYLE OPTION JUL 14, 2003 @ 7.33 XNOKPA-DS-2 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 16, 2003 @ 1. XEURPA-ID-2 EUR CALL CHF PUT FX EUROPEAN STYLE OPTION OCT 20, 2003 @ 1.495 XEURCA-QM-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 24, 2003 @ 7.2 KNOCK IN @ 7.60 XMOKPA-DU-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ 7.1 KNOCK-IN @ 7.55 XMOKPA-DX-2 NOK PUT USD CALL FX EUROPEAN STYLE OPTION OCT 30, 2003 @ 7.1 KNOCK-IN @ 7.55 XNOKPA-DW-2 NOK - 35,500,000 USD - 5,000,000.00 USD - 164,775.00 - 164,775.00 - 127,141.83 37,633.17 NOK - 56,800,000 USD - 8,000,000.00 USD - 262,200.00 - 262,200.00 - 203,426.93 58,773.07 NOK - 65,594,995.20 USD - 9,110,416.00 USD - 265,958.00 - 265,958.00 - 169,010.10 96,947.90 EUR - 20,000,000 CHF - 29,900,000.00 USD - 110,023.00 - 110,023.00 - 781,943.20 - 671,920.20 EUR 50,000,000 USD 50,000,000.00 USD 300,000.00 300,000.00 2,988.50 - 297,011.50 Counter Amount Currency continued NOK - 73,300,000 USD - 10,000,000.00 USD - 227,000.00 - 227,000.00 - 10,584.52 216,415.48 Counter Premium Amount Currency Premium Local Premium EFTA01552899 USD Current Market Value USD Unrealized Gain/Loss USD EFTA01552900 06 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 12 of 51 Foreign Exchange Description NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 06, 2003 @ .56 KNOCK IN @ .53 XNZDPA-BB-Z ZAR PUT USD CALL FX EUROPEAN STYLE OPTION FEB 10, 2004 8 7.5 KNOCK OUT @ 7.03 XZARPA-AF-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION FEB 13, 2004 @ 116 KNOCK OUT @ 112 XJPYPA-JD-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION FEB 17, 2004 @ 116 KNOCK OUT @ 113 XJPYPA-JH-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION MAR 02, 2004 @ .65 KNOCK OUT 0.6750 XAUDPA-BK-Z NOK PUT USD CALL FX EUROPEAN STYLE OPTION MAR 03, 2004 @ 6.85 KNOCK IN FX OPTION TRIGGERED @ 7.00 KNOCK OUT @ 6.65 XNOKPA-EE-Z NOK - 68,500,000 USD - 10,000,000.00 USD - 200,090.00 - 200,090.00 - 611,803.64 - 411,713.64 AUD - 20,000,000 USD - 13,000,000.00 USD - 308,100.00 - 308,100.00 0.00 308,100.00 JPY -1,218,000,000 USD - 10,500,000.00 USD - 139,104.00 - 139,104.00 - 347,422.32 - 208,318.32 JPY -1,160,000,000 USD - 10,000,000.00 USD - 162,750.00 - 162,750.00 - 344,937.60 - 182,187.60 ZAR - 12,750,000 USD - 1,700,000.00 USD - 66,130.00 - 66,130.00 - 105,411.39 - 39,281.39 Counter Amount Currency continued NZD - 20,000,000 USD - 11,200,000.00 USD - 319,200.00 - 319,200.00 - 67,918.40 251,281.60 Counter Premium Amount Currency Premium EFTA01552901 Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01552902 06 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 13 of 51 Foreign Exchange Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.145 XEURPA-JS-2 AUD PUT USD CALL FX EUROPEAN STYLE OPTION MAR 25, 2004 @ .67 KNOCK OUT @ .68 XAUDPA-B0-2 P EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAR 31, 2004 @ 1.15 KNOCK OUT @ 1.175 XEURPA-JV-Z Total Foreign Exchange Exchange-listed options are valued using market prices at the close of business for statement date Over-The-Counter (OTC) options are valued at Mid-Market, unless otherwise agreed. See: Important Information about Pricing and Valuations. - 2,297,686.00 - 3,190,771.77 - 893,085.92 EUR - 11,739,130.43 USD - 13,499,999.99 USD - 222,750.00 - 222,750.00 0.00 222,750.00 AUD - 20,000,000 USD - 13,400,000.00 USD - 246,426.00 - 246,426.00 - 73,589.40 172,836.60 Counter Amount Currency Continued EUR - 15,000,000 USD - 17,175,000.00 USD - 386,438.00 - 386,438.00 - 368,841.60 17,596.40 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 EFTA01552903 purposes only and are intended solely for your own use. Please refer to the trade confirmation for d etails of each transaction. EFTA01552904 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 14 of 51 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Swiss Franc Euro Currency Mexican New Peso Norwegian Krone N Zealand Dollar U S Dollar Value in Currency 25,982,500.00 7,500,000.00 107,925,000.00 97,940,150.00 47,000,000.00 - 70,976,470.96 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Open Total Unrealized Gain/Loss 4,998,263.50 2,463,559.87 7,461,823.37 Foreign Exchange Contracts Settlement Date Trade Date SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR May. 1 03 Nov. 5 03 AUD May. 8 03 Nov. 5 03 AUD Jun. 4 03 Nov. 5 03 AUD Total Closed Jun. 25 03 Jul. 28 03 AUD Jun. 3 03 Dec. 5 03 AUD Total Open Total 20,000,000.00 USD 20,000,000.00 USD - 40,000,000.00 USD 0.00 - 20,000,000.00 USD 20,000,000.00 USD 0.00 0.00 CANADIAN DOLLAR - U S DOLLAR Apr. 30 03 Nov. 3 03 CAD May. 5 03 Nov. 3 03 CAD 14,510,000.00 USD - 14,510,000.00 USD - 12,430,000.00 - 12,666,000.00 26,140,000.00 1,044,000.00 13,294,000.00 - 13,040,000.00 254,000.00 1,298,000.00 - 10,000,000.00 10,112,202.94 0.6215 0.6333 0.6535 0.6647 0.652 0.662354 0.662354 0.662354 0.668550 0.660471 EFTA01552905 13,247,088.72 13,247,088.72 26,140,000.00 52,634,177.44 13,294,000.00 13,209,422.06 26,503,422.06 79,137,599.50 1.451 1.4349 1.368692 1.368692 10,601,362.32 10,112,202.94 12,430,000.00 12,666,000.00 26,494,177.44 51,590,177.44 13,370,994.28 13,040,000.00 26,410,994.28 78,001,171.72 10,000,000.00 10,601,362.32 817,088.72 581,088.72 - 354,177.44 1,044,000.00 - 76,994.28 169,422.06 92,427.78 1,136,427.78 601,362.32 - 489,159.38 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01552906 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 15 of 51 Foreign Exchange Contracts Settlement Date Currency May. 1 03 Nov. 5 03 CAD May. 5 03 Nov. 5 03 CAD Total Closed SWISS FRANC May. 8 03 Nov. 5 03 CHF Dec. 12 02 Dec. 15 03 CHF Dec. 13 02 Dec. 15 03 CHF Jan. 15 03 Dec. 15 03 CHF Apr. 24 03 Dec. 15 03 CHF Total Open Continued Amount Counter Currency - 14,510,000.00 USD 14,510,000.00 USD 0.00 - U S DOLLAR 26,050,000.00 USD 7,178,000.00 USD 14,290,000.00 USD - 13,765,000.00 USD - 7,770,500.00 USD 25,982,500.00 EURO CURRENCY - U S DOLLAR Apr. 30 03 Nov. 5 03 EUR Apr. 30 03 Nov. 5 03 EUR May. 7 03 Nov. 5 03 EUR Jun. 4 03 Nov. 5 03 EUR Jun. 6 03 Nov. 5 03 EUR Jun. 6 03 Nov. 5 03 EUR Dec. 12 02 Dec. 15 03 EUR Dec. 12 02 Dec. 15 03 EUR Mar. 12 03 Dec. 15 03 EUR Mar. 12 03 Dec. 15 03 EUR Total Closed Jun. 25 03 Jul. 2 03 EUR Jun. 25 03 Jul. 2 03 EUR Jun. 25 03 Jul. 2 03 EUR Jun. 20 03 Jul. 24 03 EUR Jun. 24 03 Jul. 24 03 EUR May. 7 03 May. 10 04 EUR 15,000,000.00 USD 10,000,000.00 USD 10,000,000.00 USD - 10,000,000.00 USD - 12,500,000.00 USD - 12,500,000.00 USD 5,000,000.00 USD 1,500,000.00 USD - 5,000,000.00 USD - 1,500,000.00 USD 0.00 5,000,000.00 USD 6,000,000.00 USD - 6,000,000.00 USD 10,000,000.00 USD - 15,000,000.00 USD 15,000,000.00 USD - 20,000,000.00 - 5,000,000.00 - 10,000,000.00 10,000,000.00 5,747,411.24 - 19,252,588.76 EFTA01552907 - 16,650,000.00 - 11,111,000.00 - 11,320,000.00 11,601,000.00 14,582,500.00 14,531,250.00 - 5,044,000.00 - 1,510,500.00 5,440,000.00 1,635,750.00 2,155,000.00 - 5,760,000.00 - 6,947,400.00 6,916,800.00 - 11,602,000.00 17,178,000.00 - 17,002,500.00 1.11 1.1111 1.132 1.1601 1.1666 1.1625 1.0088 1.007 1.088 1.0905 1.152 1.1579 1.1528 1.1602 1.1452 1.1335 0.873956 0.873956 0.873956 0.873956 0.873956 0.873956 0.874851 0.874851 0.874851 0.874851 0.870856 0.870856 0.870856 0.871473 0.871473 0.877568 1.3025 1.4356 1.429 1.3765 1.352 1.350580 1.349403 1.349403 1.349403 1.349403 19,288,011.82 5,319,390.43 10,589,870.35 10,000,000.00 5,747,411.24 50,944,683.84 17,163,335.91 11,442,223.94 11,442,223.94 11,601,000.00 14,582,500.00 14,531,250.00 5,715,256.28 1,714,576.88 5,440,000.00 1,635,750.00 95,268,116.95 5,741,476.79 6,889,772.15 6,916,800.00 EFTA01552908 11,474,818.43 17,178,000.00 17,092,686.79 20,000,000.00 5,000,000.00 10,000,000.00 10,200,809.33 5,758,473.58 50,959,282.91 16,650,000.00 11,111,000.00 11,320,000.00 11,442,223.94 14,302,779.92 14,302,779.92 5,044,000.00 1,510,500.00 5,715,256.28 1,714,576.88 93,113,116.94 5,760,000.00 6,947,400.00 6,889,772.15 11,602,000.00 17,212,227.64 17,002,500.00 - 711,988.18 319,390.43 589,870.35 - 200,809.33 - 11,062.34 - 14,599.07 513,335.91 331,223.94 122,223.94 158,776.06 279,720.08 228,470.08 671,256.28 204,076.88 - 275,256.28 - 78,826.88 2,155,000.01 - 18,523.21 - 57,627.85 27,027.85 - 127,181.57 - 34,227.64 90,186.79 Counter Amount 10,097,425.19 - 10,113,612.60 96,015.53 Contract Rate 1.437 1.4347 Current Market Forward Rate 1.368842 1.368842 Market Value Receivables USD 10,097,425.19 10,600,201.62 41,411,192.07 Market Value Payables USD 10,600,201.62 10,113,612.60 41,315,176.54 Unrealized Gain/Loss USD - 502,776.43 486,589.02 96,015.53 EFTA01552909 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 16 of 51 Foreign Exchange Contracts Settlement Date Currency Jun. 6 03 May. 10 04 EUR Total Open Total Dec. 13 02 Dec. 15 03 GBP Jun. 6 03 Dec. 15 03 GBP JAPANESE YEN continued Amount Counter Currency - 7,500,000.00 USD 7,500,000.00 7,500,000.00 POUND STERLING - U S DOLLAR Total Closed - U S DOLLAR Dec. 13 02 Dec. 15 03 JPY Jan. 23 03 Dec. 15 03 JPY Total Closed Jun. 17 03 Dec. 19 03 MXN Jun. 16 03 Jul. 2 03 NOK Jun. 10 03 Jul. 14 03 NOK Dec. 11 02 Dec. 15 03 NOK Dec. 11 02 Dec. 15 03 NOK Dec. 12 02 Dec. 15 03 NOK Dec. 12 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Dec. 13 02 Dec. 15 03 NOK Jan. 15 03 Dec. 15 03 NOK Apr. 24 03 Dec. 15 03 NOK May. 21 03 Dec. 15 03 NOK Total Open 1,186,500,000.00 USD - 1,186,500,000.00 USD 0.00 MEXICAN NEW PESO - U S DOLLAR NORWEGIAN KRONE - U S DOLLAR 107,925,000.00 USD - 55,273,600.00 USD 31,948,750.00 USD 73,135,000.00 USD 38,025,000.00 USD 37,560,000.00 USD 37,465,000.00 USD 74,370,000.00 USD 37,275,000.00 USD 36,350,000.00 USD - 71,800,000.00 USD - 72,625,000.00 USD - 68,490,000.00 USD 97,940,150.00 - 10,000,000.00 10,171,453.06 171,453.06 - 10,000,000.00 8,000,000.00 - 4,544,630.16 - 9,616,699.53 - 5,000,000.00 - 5,000,000.00 - 5,000,000.00 - 9,962,491.63 - 5,000,000.00 - 4,885,424.37 EFTA01552910 10,000,000.00 10,000,000.00 10,000,000.00 - 11,009,245.69 118.65 116.65 119.421422 119.421422 9,935,403.35 10,171,453.06 20,106,856.41 10.7925 6.9092 7.03 7.605 7.605 7.512 7.493 7.465 7.455 7.4405 7.18 7.2625 6.849 10.669042 7.219707 7.227547 7.29396 7.29396 7.29396 7.29396 7.29396 7.29396 7.29396 7.29396 7.29396 7.29396 10,115,716.35 8,000,000.00 4,420,414.22 10,026,788.02 5,213,216.85 5,149,465.48 5,136,441.00 10,196,106.17 5,110,392.06 4,983,574.82 10,000,000.00 10,000,000.00 10,000,000.00 88,236,398.62 10,000,000.00 9,935,403.35 19,935,403.35 10,000,000.00 7,655,934.28 4,544,630.16 9,616,699.53 5,000,000.00 5,000,000.00 5,000,000.00 9,962,491.63 5,000,000.00 4,885,424.37 9,843,759.89 9,956,867.16 9,389,959.82 85,855,766.84 - 64,596.65 236,049.71 171,453.06 115,716.35 344,065.72 - 124,215.94 410,088.49 213,216.85 149,465.48 136,441.00 233,614.54 EFTA01552911 110,392.06 98,150.45 156,240.11 43,132.84 610,040.18 2,380,631.78 5,000,000.00 USD - 5,000,000.00 USD 0.00 Counter Amount 8,683,500.00 - 8,533,600.00 - 6,378,600.00 - 7,770,500.00 8,177,000.00 406,500.00 Contract Rate 1.1578 Current Market Forward Rate 0.877568 Market Value Receivables USD 8,683,500.00 73,977,054.16 169,245,171.11 1.5541 1.6354 1.631784 1.631784 8,158,919.84 8,177,000.00 16,335,919.84 Market Value Payables USD 8,546,343.39 73,960,243.18 167,073,360.12 7,770,500.00 8,158,919.84 15,929,419.84 Unrealized Gain/Loss USD 137,156.61 16,810.98 2,171,810.99 388,419.84 18,080.16 406,500.00 EFTA01552912 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 17 of 51 Foreign Exchange Contracts Settlement Date Currency N ZEALAND DOLLAR - U S DOLLAR Apr. 16 03 Oct. 22 03 NZD May. 8 03 Oct. 22 03 NZD Jun. 11 03 Oct. 22 03 NZD Jun. 12 03 Oct. 22 03 NZD Total Closed Jun. 24 03 Jul. 2 03 NZD Jun. 30 03 Jan. 5 04 NZD Total Open Total continued Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD 20,000,000.00 USD 20,000,000.00 USD - 15,000,000.00 USD - 25,000,000.00 USD 0.00 - 10,936,000.00 - 11,320,000.00 8,535,000.00 14,225,000.00 504,000.00 30,000,000.00 USD 17,000,000.00 USD 47,000,000.00 47,000,000.00 SWEDISH KRONA - U S DOLLAR Dec. 12 02 Dec. 15 03 SEK Dec. 12 02 Dec. 15 03 SEK Mar. 12 03 Dec. 15 03 SEK Total Closed Total Foreign Exchange Contracts 45,757,500.00 USD 45,617,500.00 USD - 91,375,000.00 USD 0.00 - 17,643,000.00 - 9,790,300.00 - 27,433,300.00 - 26,929,300.00 - 5,000,000.00 - 5,000,000.00 10,621,294.90 621,294.90 0.5468 0.566 0.569 0.569 0.5881 0.5759 0.577982 0.577982 EFTA01552913 0.577982 0.577982 0.585299 0.573347 11,559,638.58 11,559,638.58 8,535,000.00 14,225,000.00 45,879,277.16 17,558,972.10 9,746,899.95 27,305,872.05 73,185,149.21 9.1515 9.1235 8.603 8.070108 8.070108 8.070108 5,669,998.28 5,652,650.31 10,621,294.90 21,943,943.49 570,662,630.44 10,936,000.00 11,320,000.00 8,669,728.93 14,449,548.22 45,375,277.15 17,643,000.00 9,790,300.00 27,433,300.00 72,808,577.15 5,000,000.00 5,000,000.00 11,322,648.60 21,322,648.60 563,200,807.07 623,638.58 239,638.58 - 134,728.93 - 224,548.22 504,000.01 - 84,027.90 - 43,400.05 - 127,427.95 376,572.06 669,998.28 652,650.31 - 701,353.70 621,294.89 7,461,823.37 EFTA01552914 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 18 of 51 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 Jun 2 Jun 4 Write Option AUD PUT USD CALL Jun 2 Jun 4 Buy-Back Opt Jun 3 Jun 5 Write Option FX EUROPEAN STYLE OPTION MAR 02, 2004 @ .65 KNOCK OUT @.6750 NOK CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 @ 7.15 NOK PUT USD CALL FX EUROPEAN STYLE OPTION MAR 03, 2004 @ 6.85 KNOCK IN @ 7.00 KNOCK OUT @ 6.65 USD - 20,000,000 2.37 308,100.00 Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD 983,064.61 0.00 - 165,000.00 USD USD 53,785,066.25 - 456,104.00 - 68,500,000 2.00 200,090.00 123,367.21 - 332,736.79 S EFTA01552915 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 19 of 51 Settlement Date Realized Type Settled continued Jun 4 Jun 4 Expired Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 27, 2004 @ .57 KNOCK OUT @ .5825 Issued in USD Jun 5 Jun 9 Buy-Back Opt EUR PUT USD CALL Jun 5 Jun 9 Write Option FX EUROPEAN STYLE OPTION SEP 17, 2003 @ 1.045 MXN PUT USD CALL Jun 5 Jun 9 Buy-Back Opt FX EUROPEAN STYLE OPTION MAR 05, 2004 @ 10.6 KNOCK OUT @ 10.4 ZAR PUT USD CALL FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 Jun 5 Jun 10 Purchase 3 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 09/08/2003 Jun 6 Jun 10 Purchase 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 Jun 10 Jun 12 Buy-Back Opt EUR PUT USD CALL Jun 10 Jun 10 Expired Opt FX EUROPEAN STYLE OPTION OCT 06, 2003 @ 1.04 NOK CALL USD PUT FX EUROPEAN STYLE OPTION JUN 10, 2003 @ 7. AUD 20,000,000 100.00 - 20,000,000.00 128,963.83 S USD USD 9,569,377.99 - 78,440,000 2.09 - 10,000.00 154,300.00 227,335.00 217,335.00 S NZD 20,000,000 0.00 192,660.00 192,660.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 43,500,000 - 704,700.00 EFTA01552916 225,620.00 - 479,080.00 S AUD 20,000,000 100.00 - 20,000,000.00 128,963.83 S USD USD 5,000,000 - 5,000.00 35,875,000 0.00 92,292.00 41,000.00 87,292.00 S 41,000.00 S EFTA01552917 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 20 of 51 Settlement Date Realized Type Settled continued Jun 11 Jun 12 Purchase 3 MONTH FX BULLISH MXN DEPOSIT 100% PRINCIPAL PROTECTED IN MXN DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 9/10/2003 Jun 12 Jun 17 Buy-Back Opt ZAR PUT USD CALL Jun 12 Jun 12 Expired Opt FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 ZAR PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ 8.3 KNOCK OUT @ 7.80 Issued in USD Jun 16 Jun 16 Expired Opt Jun 16 Jun 16 Expired Opt Jun 18 Jun 18 Expired Opt CHF PUT USD CALL FX EUROPEAN STYLE OPTION JUN 13, 2003 @ 1.355 EUR PUT GBP CALL FX EUROPEAN STYLE OPTION JUN 13, 2003 @ .68 NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 27, 2004 @ .57 KNOCK OUT @ .585 Issued in USD Jun 18 Jun 18 Expired Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 27, 2004 @ .57 KNOCK OUT @ .5865 Issued in USD Jun 24 Jun 26 Buy-Back Opt ZAR PUT USD CALL FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 USD 15,000,000 - 205,000.00 77,800.00 - 127,200.00 S NZD 10,000,000 0.00 117,420.00 117,420.00 S USD USD NZD 23,712,500 - 40,000,000 10,000,000 0.00 0.00 0.00 307,927.00 - 272,664.00 98,610.00 307,927.00 S - 272,664.00 S EFTA01552918 98,610.00 S 107,250,000 100.00 - 107,250,000.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 26,250,000 - 372,750.00 136,150.00 - 236,600.00 S ZAR 49,800,000 0.00 228,000.00 228,000.00 S EFTA01552919 06 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 21 of 51 Settlement Date Realized Type Settled continued Jun 25 Jun 27 Write Option AUD PUT USD CALL Jun 25 Jun 27 Buy-Back Opt FX EUROPEAN STYLE OPTION MAR 25, 2004 @ .67 KNOCK OUT @ .68 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 16, 2003 @ 1.048 EUR BINARY ONE-TOUCH Jun 25 Jun 27 Write Option Jun 25 Jun 27 Buy-Back Opt EUR PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.145 ZAR PUT USD CALL Jun 27 Jun 27 Expired Opt FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 MXN PUT USD CALL FX EUROPEAN STYLE OPTION MAR 05, 2004 @ 10.6 KNOCK OUT @ 10.4 Issued in USD Trade Date Estimated Settlement Date Pending Jul 2 Jun 30 Jul 2 Expired Opt Write Option JPY CALL USD PUT FX EUROPEAN STYLE OPTION JUL 02, 2003 @ 110. EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAR 31, 2004 @ 1.15 KNOCK OUT @ 1.175 USD -2,200,000,000 USD - 11,739,130.43 0.00 1.65 0.00 222,750.00 165,000.00 - 165,000.00 S Realized Gain/Loss Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD USD USD - 15,000,000 15,000,000 2.25 EFTA01552920 386,438.00 - 183,000.00 77,800.00 - 105,200.00 S USD - 20,000,000 1.84 246,426.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 562,977.10 - 64,900.00 300,000.00 235,100.00 S MXN 78,440,000 0.00 154,300.00 154,300.00 S EFTA01552921 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 22 of 51 Settled Foreign Exchange Contracts Trade Settlement Date Currency SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Jan 21 03 Jun 12 03 Mar 28 03 Jun 12 03 SWISS FRANC Dec 30 02 Jun 12 03 Jan 15 03 Jun 12 03 Jun 10 03 Jun 10 03 Jun 10 03 Jun 10 03 - U S DOLLAR CHF 13,880,000.00 USD - 10,000,000.00 CHF - 13,880,000.00 USD 10,050,687.91 EURO CURRENCY - U S DOLLAR Jun 6 03 Jun 6 03 Jun 6 03 Jun 6 03 Dec 11 02 Jun 12 03 Mar 12 03 Jun 12 03 Jun 5 03 Jun 6 03 Jun 30 03 Jun 30 03 Jun 24 03 Jun 30 03 JAPANESE YEN May 15 03 Jun 19 03 May 15 03 Jun 19 03 Jun 19 03 Jun 19 03 Jun 19 03 Jun 26 03 Jun 25 03 Jun 26 03 EUR EUR - 15,000,000.00 USD 17,580,000.00 EUR 15,000,000.00 USD - 17,608,500.00 EUR 11,000,000.00 USD - 12,897,500.00 EUR - 11,000,000.00 USD 13,057,000.00 5,000,000.00 USD - 5,030,000.00 5,483,500.00 EUR - 5,000,000.00 USD EUR 10,000,000.00 USD - 11,838,000.00 EUR - 5,000,000.00 USD EUR - 5,000,000.00 USD - U S DOLLAR JPY 576,400,000.00 USD - 5,000,000.00 JPY 1,154,000,000.00 USD - 10,000,000.00 JPY- 1,730,400,000.00 USD 14,683,071.70 JPY 1,730,400,000.00 USD - 14,686,810.38 JPY- 1,730,400,000.00 USD 14,713,034.61 NORWEGIAN KRONE - U S DOLLAR Apr 30 03 Jun 5 03 NOK 70,220,000.00 USD - 10,000,000.00 115.280000 115.400000 117.850000 117.820000 117.610000 7.022000 118.720000 118.720000 118.720000 119.360000 119.360000 6.889100 EFTA01552922 - 5,000,000.00 - 10,000,000.00 4,855,121.29 9,720,350.40 14,683,071.70 - 14,575,471.69 - 14,686,810.38 14,713,034.61 - 14,497,319.03 - 10,000,000.00 10,192,913.44 14,497,319.03 - 144,878.71 - 279,649.60 107,600.01 - 189,491.35 215,715.58 192,913.44 5,833,500.00 5,731,500.00 1.388000 1.381000 1.172000 1.173900 1.172500 1.187000 1.006000 1.096700 1.183800 1.166700 1.146300 1.314100 1.314100 1.173308 1.173900 1.172500 1.173308 1.173021 1.173021 1.148369 1.148369 1.148369 - 10,000,000.00 10,562,362.07 10,050,687.91 - 10,562,362.07 17,580,000.00 - 17,599,615.38 - 17,608,500.00 - 12,897,500.00 13,057,000.00 - 12,906,384.62 - 5,030,000.00 5,483,500.00 - 11,838,000.00 5,833,500.00 5,731,500.00 562,362.07 - 511,674.16 - 19,615.38 17,608,500.00 12,897,500.00 5,865,102.63 - 5,865,102.63 11,483,693.15 - 5,741,846.57 - 5,741,846.57 150,615.38 835,102.63 - 381,602.63 - 354,306.85 91,653.43 - 10,346.57 AUD 15,000,000.00 USD - 8,704,500.00 AUD - 15,000,000.00 USD 8,932,500.00 0.580300 0.595500 1.505800 1.505800 - 8,704,500.00 8,932,500.00 9,961,482.26 - 9,961,482.26 EFTA01552923 1,256,982.26 - 1,028,982.26 Counter Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01552924 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 23 of 51 Settled Foreign Exchange Contracts Trade Settlement Date Currency May 16 03 Jun 5 03 May 27 03 Jun 5 03 Jun 4 03 Jun 5 03 Dec 30 02 Jun 12 03 Jan 16 03 Jun 12 03 May 15 03 Jun 12 03 May 19 03 Jun 12 03 Jun 2 03 Jun 12 03 Jun 10 03 Jun 12 03 Jun 10 03 Jun 12 03 Jun 11 03 Jun 12 03 TRADE RELATED AUSTRALIA DOLLAR - U S DOLLAR MEXICAN NEW PESO - U S DOLLAR Jun 4 03 Jun 10 03 Jun 10 03 Jun 12 03 AUD 40,000,000.00 USD - 26,540,000.00 MXN 107,250,000.00 USD - 10,000,000.00 0.663500 10.725000 1.521950 10.725000 - 26,540,000.00 - 10,000,000.00 26,282,072.34 10,000,000.00 - 257,927.66 Counter Amount Currency continued NOK - 34,062,500.00 USD NOK - 19,903,500.00 USD NOK - 16,254,000.00 USD 5,000,000.00 3,000,000.00 2,342,750.07 NOK 71,125,000.00 USD - 10,000,000.00 NOK 34,750,000.00 USD - 5,000,000.00 NOK 29,111,250.00 USD - 4,226,924.25 NOK - 67,975,000.00 USD 10,000,000.00 NOK 20,182,200.00 USD - 3,000,000.00 NOK - 35,062,500.00 USD NOK - 31,948,750.00 USD NOK - 20,182,200.00 USD 5,000,000.00 4,557,596.29 2,883,995.43 6.812500 6.634500 6.938000 7.112500 6.950000 6.887100 6.797500 6.727400 7.012500 7.010000 6.998000 6.889100 6.889100 6.889100 EFTA01552925 6.989700 6.989700 6.989700 6.989700 6.989700 6.989700 6.989700 6.989700 5,000,000.00 3,000,000.00 2,342,750.07 - 10,000,000.00 - 5,000,000.00 - 4,226,924.25 10,000,000.00 - 3,000,000.00 5,000,000.00 4,557,596.29 2,883,995.43 - 4,944,404.92 - 2,889,129.20 - 2,359,379.31 10,175,687.08 4,971,601.07 4,164,878.32 - 9,725,023.96 2,887,420.06 - 5,016,309.71 - 4,570,832.80 - 2,887,420.06 55,595.08 110,870.80 - 16,629.24 175,687.08 - 28,398.93 - 62,045.93 274,976.04 - 112,579.94 - 16,309.71 - 13,236.51 - 3,424.63 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01552926 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 24 of 51 Account Transactions by Currency Australia Dollar Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Foreign Exchange Ending Balance Australia Dollar Activity by Date Settlement Date Type Jun 10 Fwd FX Ctrct Quantity Description - 26,540,000 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.663500000 TRADE 6/04/03 VALUE 6/10/03 Jun 10 Purchase 20,000,000 3 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 09/08/2003 Jun 10 Purchase 20,000,000 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 .00 55,000,000.00 - 40,000,000.00 - 15,000,000.00 -00 110,000,000.00 - 40,000,000.00 - 70,000,000.00 Amount to Date Realized Amount Gain/Loss USD 40,000,000.00 26,282,072.34 Amount USD - 20,000,000.00 - 13,270,000.00 - 20,000,000.00 - 13,270,000.00 EFTA01552927 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 25 of 51 Australia Dollar Activity by Date Settlement continued Realized Type Jun 12 Fwd FX Ctrct Quantity Description - 8,704,500 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.580300000 TRADE 1/21/03 VALUE 6/12/03 Jun 12 Fwd FX Ctrct 8,932,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.595500000 TRADE 3/28/03 VALUE 6/12/03 Gain/Loss USD 15,000,000.00 9,961,482.26 Amount Amount USD - 15,000,000.00 - 9,961,482.26 EFTA01552928 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 26 of 51 Account Transactions by Currency Euro Currency Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Miscellaneous Disbursements Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Euro Currency Activity by Date Settlement Date Type Jun 10 Spot FX Quantity Description 17,580,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.172000000 TRADE 6/06/03 VALUE 6/10/03 U S DOLLAR EURO PRINCIPAL CURRENCY Jun 10 Spot FX - 17,608,500 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.173900000 TRADE 6/06/03 VALUE 6/10/03 EURO PRINCIPAL CURRENCY U S DOLLAR 15,000,000.00 17,608,500.00 .00 41,000,000.00 319,254,389.97 - .53 - 41,000,000.00 .00 - .01 - 319,254,389.44 Amount to Date Realized Amount Gain/Loss USD - 15,000,000.00 - 17,580,000.00 Amount USD EFTA01552929 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 27 of 51 Euro Currency Activity by Date Settlement continued Realized Type Jun 10 Spot FX Quantity Description - 12,897,500 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.172500000 TRADE 6/06/03 VALUE 6/10/03 EURO PRINCIPAL CURRENCY U S DOLLAR Jun 10 Spot FX 13,057,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.187000000 TRADE 6/06/03 VALUE 6/10/03 U S DOLLAR EURO PRINCIPAL CURRENCY Jun 12 Fwd FX Ctrct - 5,030,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.006000000 TRADE 12/11/02 VALUE 6/12/03 Jun 12 Fwd FX Ctrct 5,483,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.096700000 TRADE 3/12/03 VALUE 6/12/03 Jun 30 Fwd FX Ctrct - 11,838,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.183800000 TRADE 6/05/03 VALUE 6/30/03 Jun 30 Fwd FX Ctrct 5,833,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.166700000 TRADE 6/06/03 VALUE 6/30/03 - 0.01 5,000,000.00 5,865,102.63 Gain/Loss USD 11,000,000.00 12,897,500.00 Amount Amount USD - 11,000,000.00 - 13,057,000.00 - 5,000,000.00 - 5,865,102.63 10,000,000.00 11,483,693.15 - 5,000,000.00 - 5,741,846.57 EFTA01552930 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 28 of 51 Euro Currency Activity by Date Settlement continued Realized Type Jun 30 Fwd FX Ctrct Quantity Description 5,731,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.146300000 TRADE 6/24/03 VALUE 6/30/03 Gain/Loss USD - 5,000,000.00 - 5,741,846.57 Amount Amount USD EFTA01552931 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 29 of 51 Account Transactions by Currency Japanese Yen Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Foreign Exchange Ending Balance Japanese Yen Activity by Date Settlement Date Type Jun 19 Fwd FX Ctrct Quantity Description - 5,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL USD CONTRACT RATE : 115.280000000 TRADE 5/15/03 VALUE 6/19/03 Jun 19 Fwd FX Ctrct - 10,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL USD CONTRACT RATE : 115.400000000 TRADE 5/15/03 VALUE 6/19/03 Jun 19 Spot FX 14,683,071.70 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL JPY SPOT RATE : 117.850000000 TRADE 6/19/03 VALUE 6/19/03 U S DOLLAR JAPANESE YEN .00 3,460,800,000.00 - 3,460,800,000.0 .00 5,851,250,000.00 - 5,851,250,000.0 Amount to Date Realized Amount Gain/Loss USD 576,400,000.00 4,855,121.29 Amount USD 1,154,000,000.00 9,720,350.40 - 1,730,400,000.00 - 14,683,071.70 EFTA01552932 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 30 of 51 Japanese Yen Activity by Date Settlement continued Realized Type Jun 26 Fwd FX Ctrct Quantity Description - 14,686,810.38 SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL USD CONTRACT RATE : 117.820000000 TRADE 6/19/03 VALUE 6/26/03 Jun 26 Spot FX 14,713,034.61 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL JPY SPOT RATE : 117.610000000 TRADE 6/25/03 VALUE 6/26/03 U S DOLLAR JAPANESE YEN Gain/Loss USD 1,730,400,000.00 14,497,319.03 Amount Amount USD - 1,730,400,000.00 - 14,713,034.61 EFTA01552933 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 31 of 51 Account Transactions by Currency Mexican New Peso Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Foreign Exchange Ending Balance Mexican New Peso Activity by Date Settlement Date Type Jun 12 Spot FX Quantity Description - 10,000,000 SPOT CURRENCY TRANSACTION - BUY BUY MXN SELL USD SPOT RATE : 10.725000000 TRADE 6/10/03 VALUE 6/12/03 MEXICAN NEW PESO U S DOLLAR Jun 12 Purchase 107,250,000 3 MONTH FX BULLISH MXN DEPOSIT 100% PRINCIPAL PROTECTED IN MXN DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 9/10/2003 .00 107,250,000.00 - 107,250,000.00 -00 311,250,000.00 - 107,250,000.00 - 204,000,000.00 Amount to Date Realized Amount Gain/Loss USD 107,250,000.00 10,000,000.00 Amount USD - 107,250,000.00 - 10,000,000.00 EFTA01552934 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 32 of 51 Account Transactions by Currency Norwegian Krone Activity Summary Amount this Period Beginning Balance Credits Taxable Interest Sales, Maturities, Redemptions Miscellaneous Receipts Foreign Exchange Debits Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Norwegian Krone Activity by Date Settlement Date Jun 5 Type Fwd FX Ctrct Quantity Description - 10,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL USD CONTRACT RATE : 7.022000000 TRADE 4/30/03 VALUE 6/05/03 Jun 5 Fwd FX Ctrct 5,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NOK CONTRACT RATE : 6.812500000 TRADE 5/16/03 VALUE 6/05/03 - 0.01 - 225,388,450.00 .00 - .01 - 1,657,478,404.0 225,388,450.00 1,915,704.00 73,684,296.00 4.16 1,578,497,695.84 .00 Amount to Date Realized Amount Gain/Loss USD 70,220,000.00 10,192,913.44 Amount USD - 34,062,500.00 - 4,944,404.92 EFTA01552935 06 Date Jun 5 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 33 of 51 Norwegian Krone Activity by Date Settlement continued Realized Type Fwd FX Ctrct Quantity Description 3,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NOK CONTRACT RATE : 6.634500000 TRADE 5/27/03 VALUE 6/05/03 Jun 5 Spot FX 2,342,750.07 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL NOK SPOT RATE : 6.938000000 TRADE 6/04/03 VALUE 6/05/03 U S DOLLAR NORWEGIAN KRONE Jun 12 Fwd FX Ctrct - 10,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL USD CONTRACT RATE : 7.112500000 TRADE 12/30/02 VALUE 6/12/03 Jun 12 Fwd FX Ctrct - 5,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL USD CONTRACT RATE : 6.950000000 TRADE 1/16/03 VALUE 6/12/03 Jun 12 Fwd FX Ctrct - 4,226,924.25 SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL USD CONTRACT RATE : 6.887100000 TRADE 5/15/03 VALUE 6/12/03 Jun 12 Fwd FX Ctrct 10,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NOK CONTRACT RATE : 6.797500000 TRADE 5/19/03 VALUE 6/12/03 Jun 12 Fwd FX Ctrct - 3,000,000 SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL USD CONTRACT RATE : 6.727400000 TRADE 6/02/03 VALUE 6/12/03 71,125,000.00 10,175,687.08 Gain/Loss USD - 19,903,500.00 - 2,889,129.20 Amount Amount USD - 16,254,000.00 - 2,342,750.07 34,750,000.00 4,971,601.07 29,111,250.00 4,164,878.32 - 67,975,000.00 - 9,725,023.96 20,182,200.00 2,887,420.06 EFTA01552936 EFTA01552937 06 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset Account Portfolio June 01, 2003 - June 30, 2003 Page 34 of 51 Norwegian Krone Activity by Date Settlement continued Realized Type Jun 12 Spot FX Quantity Description 5,000,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL NOK SPOT RATE : 7.012500000 TRADE 6/10/03 VALUE 6/12/03 U S DOLLAR NORWEGIAN KRONE Jun 12 Spot FX 4,557,596.29 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL NOK SPOT RATE : 7.010000000 TRADE 6/10/03 VALUE 6/12/03 U S DOLLAR NORWEGIAN KRONE Jun 12 Spot FX 2,883,995.43 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL NOK SPOT RATE : 6.998000000 TRADE 6/11/03 VALUE 6/12/03 U S DOLLAR NORWEGIAN KRONE - 20,182,200.00 - 2,883,995.43 - 31,948,750.00 - 4,557,596.29 Gain/Loss USD - 35,062,500.00 - 5,000,000.00 Amount Amount USD EFTA01552938 06 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC , New York, NY 10154-1002 Asset A