EFTA01553128.pdf

09 2003 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 72 J.P. Morgan Portfolios September 1 - September 30, 2003 Gift Processing The holiday season will soon be here. If you plan to make securities gifts this year, please notify us before December 1, 2003. This will provide us with sufficient time to process your request and meet the year-end deadline. Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio JPMCB JPMSI 161121381 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 8B3 ST THOMAS 00802 US VIRGIN ISLDS EFTA01553128 09 2003 Portfolio Summary FINANCIAL TRUST COMPANY INC September 01, 2003 - September 30, 2003 Page 2 of 72 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 84,913,833.20 72,691,748.00 11,785,148.94 0.00 436,936.26 - 3,508,365.74 - 3,508,365.74 81,405,467.46 1,700,462.28 24,066.75 83,129,996.49 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 84,913,833.20 72,691,748.00 11,785,148.94 0.00 436,936.26 - 3,508,365.74 - 3,508,365.74 81,405,467.46 1,700,462.28 24,066.75 83,129,996.49 This Period 14,989.84 14,989.84 Year to Date 258,350.00 634,402.02 892,752.02 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 EFTA01553129 EFTA01553130 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 3 of 72 Asset Account Portfolio September 1 - September 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: D'ORAZIO/HORNBEC Page 4 6 7 8 9 14 17 28 EFTA01553131 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 4 of 72 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 86% Cash and Short Term 14% Equities Market Value USD Sep 30 Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value 72,691,748.00 11,785,148.94 0.00 - 3,071,429.48 81,405,467.46 1,700,462.28 24,066.75 83,129,996.49 Income Summary Taxable Interest Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Net Long Term Gain/Loss Total Market Value USD Aug 31 15,859,445.51 12,977,265.16 56,366,150.00 - 4,543,525.51 80,659,335.16 333,095.60 14,989.84 81,007,420.60 Tax Cost USD 72,984,561.67 - 2,946,836.50 70,037,725.17 Estimated Annual Income USD 471,098.05 Yield 0.7 0.0 0.0 471,098.05 N/A N/A 0.6 This Period USD 14,989.84 14,989.84 Year to Date USD* 258,350.00 EFTA01553132 634,402.02 892,752.02 Realized This Period USD Realized Year to Date USD* - 423,675.26 - 423,675.26 3,347,571.16 3,347,571.16 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of September 30, 2003 Market value of Options is not included in pie chart. Currency AUD CHF Exchange Rate 0.6768 1.3206 Unrealized USD - 175,465.43 - 241,941.38 - 417,406.81 EFTA01553133 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 5 of 72 Exchange Rates Spot Rates as of September 30, 2003 Currency EUR GBP HKD MXN NOK NZD ZAR Exchange Rate 1.1646 1.6614 7.7438 11.0370 7.0559 0.5939 6.9650 EFTA01553134 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 6 of 72 Cash and Short Term Summary by Maturity Current Market Value USD Adjusted Cash Balance Total 72,691,748.00 72,691,748.00 Estimated Annual Income USD 471,098.05 471,098.05 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 P EURO PRINCIPAL CURRENCY JP MORGAN INSTITUTIONAL PRIME MONEY INSTITUTIONAL CLASS SWEEP FUND (829) (SWEEP DEADLINE IS 4:30 PM EST) 7-Day Annualized Yield: .92% P N ZEALAND DOLLAR PROCEEDS FROM PENDING SALES Adjusted Cash Balance EUR 9,974,741.74 USD 50,943,814.64 1.174629 1.00 1.164551 1.00 11,716,623.88 50,943,814.64 11,616,096.12 - 100,527.76 50,943,814.64 24,066.75 NZD 16,989,953.94 USD 40,824 0.605258 1.00 1.00 10,283,299.15 40,824.00 72,984,561.67 10,091,013.24 - 192,285.91 40,824.00 72,691,748.00 - 292,813.67 24,066.75 N/A 377.21 0.92 471,098.05 0.65 N/A 470,720.84 0.92 Currency/ Unit Cost Adjusted Account Type Quantity Original Market Price Tax Cost Adjusted Original Market Value USD Accrued Interest USD EFTA01553135 Unrealized Gain/Loss USD Estimated Current Annual Yield/ Income USD YTM t Current EFTA01553136 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 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 800,078 are liened USD Total Equity 800,078 800,078 14.73 11,785,148.94 11,785,148.94 N/A 0.00 N/A 0.0 EFTA01553137 09 Other Structured Investments in Alphabetical Order Description P 4 MONTH FX BULLISH EUROS DEPOSIT 100% PRINCIPAL PROTECTED IN EUROS DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 11/14/2003 619998-9E-9 Bearer 10,000,000 are liened P 2 MONTH FX BULLISH NZD DEPOSIT 100% PRINCIPAL PROTECTED IN NZD DOLLARS JPMORGAN CHASE LONDON MATURITY DATE 10/06/2003 619998-9G-4 Bearer 17,000,000 are liened Total Other 0.00 NZD 0 102.0509 0.00 N/A N/A Market Value USD Currency EUR Quantity 0 Unit Cost PriCe/Unit 100.6167 Tax Cost Accrued Income USD 0.00 Unrealized Estimated Annual Gain/Loss USD N/A Income USD Yield N/A JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 8 of 72 EFTA01553138 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 9 of 72 Options Foreign Exchange Description Cusip HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 8 7.833 XHICDPA-AH-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 8 1.2 XCHFCA-CQ-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 8 1.2 XCHFCA-CR-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 15, 2004 8 1.15 XCHFCA-CX-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 16, 2004 8 1.175 XCHFCA-DC-2 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 16, 2003 8 1. XEURPA-ID-2 EUR 50,000,000 USD 50,000,000.00 USD 300,000.00 300,000.00 0.00 - 300,000.00 CHF 58,750,000 USD 50,000,000.00 USD 420,690.00 420,690.00 146,954.31 - 273,735.69 CHF 80,500,000 USD 70,000,000.00 USD 543,848.00 543,848.00 189,383.50 - 354,464.50 CHF 12,000,000 USD 10,000,000.00 USD 106,200.00 106,200.00 15,129.84 - 91,070.16 CHF 12,000,000 USD 10,000,000.00 USD 107,300.00 107,300.00 15,129.84 - 92,170.16 Counter Amount Currency Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553139 HKD 156,660,000 USD 20,000,000.00 USD 312,280.00 312,280.00 70,338.77 - 241,941.23 EFTA01553140 09 Cusip JPMorgan Chase Bank 2003 Account Number: MPANY :N Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 10 of 72 Foreign Exchange Description EUR CALL CHF PUT FX EUROPEAN STYLE OPTION OCT 20, 2003 @ 1.495 XEURCA-QM-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 P EUR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.16 XEURCA-RU-Z GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 06, 2003 @ 1.625 KNOCK IN TRIGGERED @ 1.6150 XGBPPA-FS-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.08 XEURPA-KE-Z P EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 1.09 XEURPA-KX-Z NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 @ .59 XNZDCA-BJ-Z NZD - 5,000,000 USD - 2,950,000.00 USD - 38,940.00 - 38,940.00 - 59,888.10 - 20,948.10 EUR O USD 0.00 USD 0.00 0.00 EUR - 19,000,000 USD - 20,520,000.00 USD - 188,784.00 - 188,784.00 - 13,266.75 175,517.25 GBP - 4,000,000 USD - 6,500,000.00 USD - 123,500.00 - 123,500.00 - 32,049.24 91,450.76 EUR O USD 0.00 USD 0.00 0.00 NOK - 34,250,000 USD - 5,000,000.00 USD - 100,045.00 - 100,045.00 - 230,433.66 - 130,388.66 Counter Amount Currency continued EUR - 10,000,000 EFTA01553141 CHF - 14,950,000.00 USD - 55,011.50 - 55,011.50 - 266,352.10 - 211,340.60 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553142 09 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 11 of 72 Foreign Exchange Description MXN PUT USD CALL FX EUROPEAN STYLE OPTION FEB 19, 2004 @ 10.9 XMXNPA-AS-Z P NOK PUT USD CALL FX EUROPEAN STYLE OPTION MAR 03, 2004 @ 7.65 KNOCK IN @ 7.80 XNOKPA-EI-Z AUD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .645 KNOCK IN TRIGGERED @.6350 XAUDPA-CD-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAR 31, 2004 @ 1.06 XEURPA-LC-Z NOK CALL USD PUT FX EUROPEAN STYLE OPTION NOV 28, 2003 @ 7.5 XNOKCA-CF-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .5625 KNOCK IN @ .54 XNZDPA-CC-Z P GBP PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.58 XGBPPA-FW-Z GBP - 6,000,000 USD - 9,480,000.00 USD - 152,628.00 - 152,628.00 - 32,820.00 119,808.00 NZD - 17,777,777.77 USD - 10,000,000.00 USD - 303,000.00 - 303,000.00 - 128,568.53 174,431.47 NOK - 22,500,000 USD - 3,000,000.00 USD - 36,300.00 - 36,300.00 - 265,267.13 - 228,967.13 EUR - 10,000,000 USD - 10,600,000.00 USD - 222,600.00 - 222,600.00 - 60,060.20 162,539.80 AUD - 35,000,000 USD - 22,575,000.00 USD - 760,778.00 - 760,778.00 - 321,420.05 439,357.95 NOK - 38,250,000 USD - 5,000,000.00 USD - 175,500.00 - 175,500.00 - 73,332.14 102,167.86 Counter Amount Currency continued MXN - 109,000,000 USD - 10,000,000.00 USD - 390,000.00 EFTA01553143 - 390,000.00 - 427,904.57 - 37,904.57 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553144 09 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 12 of 72 Foreign Exchange Description AUD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .6475 KNOCK IN @ .6375 XAUDPA-CE-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .58 KNOCK IN @ .57 XNZDPA-CD-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.115 KNOCK OUT @ 1.1785 XEURPA-LE-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.115 KNOCK OUT @ 1.1785 XEURPA-LF-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION JUN 21, 2004 @ .58 KNOCK IN @ .58 KNOCK OUT @ .6020 XNZDPA-CF-Z ZAR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 7.2 XZARCA-AB-Z ZAR - 50,400,000 USD - 7,000,000.00 USD - 83,300.00 - 83,300.00 - 289,909.37 - 206,609.37 NZD - 15,000,000 USD - 8,700,000.00 USD - 156,600.00 - 156,600.00 - 120,891.45 35,708.55 EUR - 15,000,000 USD - 16,725,000.00 USD - 404,745.00 - 404,745.00 - 120,256.95 284,488.05 EUR - 5,500,000 USD - 6,132,500.00 USD - 172,323.00 - 172,323.00 - 44,094.22 128,228.78 NZD - 34,482,758.62 USD - 20,000,000.00 USD - 670,000.00 - 670,000.00 - 499,262.07 170,737.93 Counter Amount Currency continued AUD - 30,000,000 USD - 19,425,000.00 USD - 543,900.00 - 543,900.00 - 298,522.50 245,377.50 Counter Premium Amount Currency Premium EFTA01553145 Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553146 09 Cusip JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 13 of 72 Foreign Exchange Description ZAR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 24, 2003 @ 7.1 XZARCA-AD-Z P NOK PUT USD CALL FX EUROPEAN STYLE OPTION JUN 29, 2004 @ 7.15 KNOCK IN @ 7.20 KNOCK OUT @ 6.88 XNOKPA-EL-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. - 2,946,836.50 - 3,071,429.48 - 124,593.14 NOK - 35,750,000 USD - 5,000,000.00 USD - 80,000.00 - 80,000.00 0.00 80,000.00 Counter Amount Currency continued ZAR - 46,860,000 USD - 6,600,000.00 USD - 79,200.00 - 79,200.00 - 224,066.71 - 144,866.71 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. EFTA01553147 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 14 of 72 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Australia Dollar Swiss Franc Euro Currency Pound Sterling Norwegian Krone N Zealand Dollar U S Dollar Value in Currency 15,000,000.00 22,050,000.00 - 9,974,741.74 3,000,000.00 23,330,600.00 - 16,985,562.27 - 11,442,220.59 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Open Total Unrealized Gain/Loss - 174,208.00 1,874,670.28 1,700,462.28 Foreign Exchange Contracts Settlement Date Trade Date HEDGE EURO CURRENCY - U S DOLLAR N ZEALAND DOLLAR - U S DOLLAR Sep. 30 03 Oct. 2 03 EUR Sep. 30 03 Oct. 2 03 NZD SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Sep. 26 03 Oct. 14 03 AUD Jun. 3 03 Dec. 5 03 AUD Total Open - 5,000,000.00 USD 20,000,000.00 USD 15,000,000.00 3,363,500.00 - 13,040,000.00 - 9,676,500.00 0.6727 0.652 0.675796 0.672170 3,363,500.00 13,443,399.26 16,806,899.26 3,378,978.20 13,040,000.00 16,418,978.20 - 15,478.20 403,399.26 387,921.06 - 9,974,741.74 USD - 16,985,562.27 USD 11,630,548.87 10,106,409.55 1.166 0.595 0.857633 1.680672 11,630,548.87 10,106,409.55 11,630,548.87 10,106,409.55 EFTA01553148 0.00 0.00 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553149 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 15 of 72 Foreign Exchange Contracts Settlement Date Currency SWISS FRANC - U S DOLLAR Sep. 23 03 Oct. 9 03 CHF Sep. 23 03 Oct. 9 03 CHF Sep. 23 03 Oct. 9 03 CHF May. 8 03 Nov. 5 03 CHF Total Open 4,000,000.00 USD - 4,000,000.00 USD - 4,000,000.00 USD 26,050,000.00 USD 22,050,000.00 POUND STERLING - U S DOLLAR Sep. 5 03 Oct. 9 03 GBP Jul. 25 03 Dec. 15 03 GBP Sep. 4 03 Dec. 15 03 GBP Total Open JAPANESE YEN Sep. 22 03 Oct. 2 03 JPY Sep. 29 03 Oct. 2 03 JPY Sep. 22 03 Oct. 9 03 JPY Sep. 30 03 Oct. 9 03 JPY Sep. 30 03 Oct. 9 03 JPY Total Closed - 2,000,000.00 USD 10,000,000.00 USD - 5,000,000.00 USD 3,000,000.00 - U S DOLLAR 1,142,900,000.00 USD - 1,142,900,000.00 USD - 1,142,900,000.00 USD 775,390,000.00 USD 367,510,000.00 USD 0.00 NORWEGIAN KRONE - U S DOLLAR Aug. 29 03 Oct. 6 03 NOK Sep. 4 03 Oct. 6 03 NOK Sep. 5 03 Oct. 6 03 NOK Sep. 9 03 Oct. 6 03 NOK Sep. 10 03 Oct. 6 03 NOK Sep. 22 03 Oct. 6 03 NOK Dec. 11 02 DeC. 15 03 NOK Dec. 11 02 Dec. 15 03 NOK - 22,630,500.00 USD - 38,930,000.00 USD - 29,934,000.00 USD 29,427,200.00 USD 35,000,000.00 USD - 24,700,320.00 USD 73,135,000.00 USD 38,025,000.00 USD - 10,218,149.31 10,262,189.10 10,109,685.98 - 7,000,000.00 - 3,296,940.88 - 143,215.11 3,000,000.00 5,166,693.21 4,000,000.00 - 4,000,000.00 - 4,740,620.34 3,400,000.00 - 9,616,699.53 EFTA01553150 - 5,000,000.00 111.85 111.37 113.05 110.77 111.47 111.707368 111.37 111.680658 111.680658 111.680658 10,231,196.22 10,262,189.10 10,109,685.98 6,942,921.14 3,290,722.02 40,836,714.46 7.5435 7.5348 7.4835 7.3568 7.383 7.2648 7.605 7.605 7.057970 7.057970 7.057970 7.057970 7.057970 7.057970 7.07975 7.07975 3,000,000.00 5,166,693.21 4,000,000.00 4,169,357.51 4,958,933.00 3,400,000.00 10,330,166.40 5,370,952.04 10,218,149.31 10,262,189.10 10,233,643.17 7,000,000.00 3,296,940.88 41,010,922.46 3,206,375.23 5,515,750.33 4,241,162.86 4,000,000.00 4,740,620.34 3,499,635.19 9,616,699.53 5,000,000.00 13,046.91 0.00 - 123,957.19 - 57,078.86 - 6,218.86 - 174,208.00 - 206,375.23 - 349,057.12 - 241,162.86 169,357.51 218,312.66 - 99,635.19 713,466.87 370,952.04 - 2,961,865.98 2,960,331.56 2,960,331.56 - 20,000,000.00 - 17,041,202.86 3,169,000.00 - 16,102,000.00 7,811,000.00 - 5,122,000.00 1.3505 EFTA01553151 1.3512 1.3512 1.3025 1.320284 1.320284 1.320284 1.319356 3,029,652.34 2,960,331.56 2,960,331.56 19,744,483.01 28,694,798.47 1.5845 1.6102 1.5622 1.660304 1.652458 1.652458 3,169,000.00 16,524,576.61 7,811,000.00 27,504,576.61 2,961,865.98 3,029,652.34 3,029,652.34 20,000,000.00 29,021,170.66 3,320,608.75 16,102,000.00 8,262,288.30 27,684,897.05 67,786.36 - 69,320.78 - 69,320.78 - 255,516.99 - 326,372.19 - 151,608.75 422,576.61 - 451,288.30 - 180,320.44 continued Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553152 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 16 of 72 Foreign Exchange Contracts Settlement Date Currency 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 Sep. 23 03 Dec. 15 03 NOK Sep. 23 03 Dec. 15 03 NOK Total Open continued Amount Counter Currency 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 - 10,754,280.00 USD - 35,412,500.00 USD 23,330,600.00 N ZEALAND DOLLAR - U S DOLLAR Sep. 26 03 Oct. 14 03 NZD Sep. 29 03 Oct. 14 03 NZD Jul. 1 03 Dec. 15 03 NZD Aug. 7 03 Dec. 15 03 NZD Total Open - 10,000,000.00 USD - 10,000,000.00 USD 30,000,000.00 USD - 10,000,000.00 USD 0.00 Total Foreign Exchange Contracts Counter Amount - 5,000,000.00 - 5,000,000.00 - 9,962,491.63 - 5,000,000.00 - 4,885,424.37 10,000,000.00 10,000,000.00 10,000,000.00 1,511,281.62 5,000,000.00 - 1,127,261.04 5,865,000.00 5,865,000.00 - 17,550,000.00 5,751,000.00 - 69,000.00 Contract Rate 7.512 7.493 7.465 7.455 7.4405 7.18 7.2625 6.849 EFTA01553153 7.116 7.0825 Current Market Forward Rate 7.07975 7.07975 7.07975 7.07975 7.07975 7.07975 7.07975 7.07975 7.07975 7.07975 Market Value Receivables USD 5,305,271.76 5,291,853.21 10,504,607.58 5,265,016.10 5,134,361.78 10,000,000.00 10,000,000.00 10,000,000.00 1,511,281.62 5,000,000.00 108,408,494.21 0.5865 0.5865 0.585 0.5751 0.59297 0.59297 0.588814 0.588814 5,865,000.00 5,865,000.00 17,664,432.87 5,751,000.00 35,145,432.87 279,133,874.30 Market Value Payables USD 5,000,000.00 5,000,000.00 9,962,491.63 5,000,000.00 4,885,424.37 10,141,600.44 10,258,129.97 9,674,069.83 1,519,019.64 5,001,941.86 106,262,921.22 5,929,709.86 5,929,709.86 17,550,000.00 5,888,144.29 35,297,564.01 277,433,412.02 Unrealized Gain/Loss USD 305,271.76 291,853.21 542,115.95 265,016.10 248,937.41 - 141,600.44 - 258,129.97 325,930.17 - 7,738.02 - 1,941.86 2,145,572.99 - 64,709.86 - 64,709.86 114,432.87 - 137,144.29 - 152,131.14 1,700,462.28 EFTA01553154 EFTA01553155 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 17 of 72 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 Sep 3 Sep 5 Write Option Sep 4 Sep 8 Write Option ZAR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 7.25 NZD CALL USD PUT Sep 4 Sep 8 Buy-Back Opt Sep 4 Sep 8 Buy-Back Opt FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .58 KNOCK IN @ .5925 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 03, 2003 @ .58 NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .575 KNOCK IN TRIGGERED @ .5650 USD - 43,500,000 USD - 17,241,379.31 1.23 1.47 73,560.00 147,000.00 Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD 228,064.35 0.00 - 117,142.00 USD USD 10,000,000 - 187,340.00 17,391,304.34 - 451,000.00 168,200.00 335,000.00 - 19,140.00 S - 116,000.00 S EFTA01553156 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 18 of 72 Settlement Date Realized Type Settled continued Sep 4 Sep 8 Write Option NZD PUT USD CALL Sep 5 Sep 9 Write Option FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .5625 KNOCK IN @ .54 EUR CALL USD PUT Sep 5 Sep 9 Write Option FX EUROPEAN STYLE OPTION NOV 06, 2003 @ 1.115 KNOCK IN @ 1.13 EUR CALL USD PUT Sep 5 Sep 9 Buy-Back Opt Sep 5 Sep 9 Buy-Back Opt Sep 5 Sep 9 Buy-Back Opt Sep 5 Sep 9 Buy-Back Opt Sep 5 Sep 9 Buy-Back Opt FX EUROPEAN STYLE OPTION DEC 05, 2003 @ 1.11 KNOCK IN @ 1.1250 EUR PUT USD CALL FX EUROPEAN STYLE OPTION NOV 14, 2003 @ 1.08 EUR PUT USD CALL FX EUROPEAN STYLE OPTION SEP 15, 2003 @ 1.1 EUR PUT USD CALL FX EUROPEAN STYLE OPTION SEP 15, 2003 @ 1.1 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 1.09 NOK PUT USD CALL FX EUROPEAN STYLE OPTION FEB 27, 2004 @ 7.7 KNOCK IN @ 7.85 KNOCK OUT @ 7.20 USD - 17,777,777.77 3.03 303,000.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 17,500,000 1.01 197,076.00 USD - 20,000,000 1.52 337,440.00 USD USD USD USD 20,000,000 - 231,120.00 17,500,000 17,500,000 25,000,000 EFTA01553157 USD 170,250,203.20 - 115,500.00 - 179,025.00 - 239,800.00 - 380,299.00 198,720.00 107,800.00 107,800.00 149,875.00 577,082.00 - 32,400.00 S - 7,700.00 S - 71,225.00 S - 89,925.00 S 196,783.00 S EFTA01553158 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 19 of 72 Settlement Date Realized Type Settled continued Sep 9 Sep 11 Buy-Back Opt AUD CALL USD PUT Sep 9 Sep 11 Write Option FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .655 KNOCK IN 0.6650 AUD PUT USD CALL Sep 9 Sep 11 Buy-Back Opt Sep 9 Sep 11 Buy-Back Opt Sep 9 Sep 11 Write Option Sep 9 Sep 11 Buy-Back Opt FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .6475 KNOCK IN @ .6375 GBP CALL USD PUT FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.58 GBP CALL USD PUT FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.57 GBP PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.58 NZD CALL USD PUT Sep 9 Sep 11 Buy-Back Opt FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .585 KNOCK IN 0.5950 NZD CALL USD PUT Sep 9 Sep 11 Buy-Back Opt Sep 9 Sep 11 Write Option FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .58 KNOCK IN @ .5925 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 03, 2003 @ .58 NZD PUT USD CALL FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .58 KNOCK IN @ .57 USD 30,000,000 - 440,160.00 328,155.43 - 112,004.57 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 30,000,000 2.80 543,900.00 USD USD USD USD 6,000,000 - 177,276.00 6,000,000 - 12,000,000 EFTA01553159 17,094,017.09 1.61 - 209,124.00 305,256.00 - 219,000.00 179,000.00 - 40,000.00 S 132,720.00 160,140.00 - 44,556.00 S - 48,984.00 S USD 17,241,379.31 - 254,000.00 147,000.00 - 107,000.00 S USD 862,068.97 - 9,225.00 USD - 34,482,758.62 3.35 670,000.00 14,500.00 5,275.00 S EFTA01553160 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 20 of 72 Settlement Date Realized Type Settled continued Sep 11 Sep 15 Buy-Back Opt EUR CALL USD PUT Sep 11 sep 15 Write Option FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.095 EUR PUT USD CALL Sep 12 Sep 16 Buy-Back Opt Sep 12 Sep 16 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.115 KNOCK OUT @ 1.1785 EUR CALL USD PUT FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.095 EUR CALL USD PUT Sep 12 Sep 16 Buy-Back Opt FX EUROPEAN STYLE OPTION NOV 06, 2003 @ 1.115 KNOCK IN TRIGGERED @ 1.13 EUR CALL USD PUT FX EUROPEAN STYLE OPTION DEC 05, 2003 @ 1.11 Sep 12 Sep 16 sell Option Sep 12 sep 16 sell Option Sep 12 sep 16 Write Option KNOCK IN TRIGGERED @ 1.1250 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 31, 2003 @ 1.05 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 1.11 EUR PUT USD CALL Sep 16 Sep 18 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.115 KNOCK OUT @ 1.1785 ZAR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 7.25 USD USD USD - 75,000,000 - 23,000,000 - 40,000,000 2.42 39,375.00 86,802.00 1,079,320.00 - 236,250.00 - 306,360.00 - 196,875.00 5 - 219,558.00 5 USD USD 5,000,000 - 5,500,000 2.81 - 180,675.00 172,323.00 93,622.50 - 87,052.50 S Description EFTA01553161 Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD 5,000,000 - 220,095.00 17,500,000 - 470,251.00 93,622.50 197,076.00 - 126,472.50 S - 273,175.00 S USD 20,000,000 - 670,440.00 337,440.00 - 333,000.00 S USD 43,500,000 - 27,000.00 73,560.00 46,560.00 S EFTA01553162 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 21 of 72 Settlement Date Realized Type Settled continued Sep 18 Sep 22 Buy-Back Opt JPY PUT USD CALL Sep 18 Sep 22 Buy-Back Opt FX EUROPEAN STYLE OPTION FEB 17, 2004 @ 116 KNOCK OUT @ 113 ZAR PUT USD CALL Sep 19 Sep 23 Buy-Back Opt FX EUROPEAN STYLE OPTION FEB 10, 2004 @ 7.5 KNOCK OUT @ 7.03 AUD CALL USD PUT FX EUROPEAN STYLE OPTION FEB 25, 2004 @ .655 Sep 19 Sep 24 Purchase Opt Sep 19 Sep 24 Purchase Opt Sep 19 Sep 24 Purchase Opt Sep 19 Sep 23 Buy-Back Opt Sep 19 Sep 23 Write Option KNOCK IN TRIGGERED @ .6650 JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 111. JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 110. JPY PUT USD CALL FX EUROPEAN STYLE OPTION SEP 26, 2003 @ 115. NOK CALL USD PUT FX EUROPEAN STYLE OPTION NOV 28, 2003 8 7.5 NOK PUT USD CALL Sep 19 Sep 23 Buy-Back Opt FX EUROPEAN STYLE OPTION MAR 19, 2004 @ 7.35 KNOCK IN @ 7.50 KNOCK OUT @ 7.0050 NZD CALL USD PUT FX EUROPEAN STYLE OPTION DEC 11, 2003 8 .59 USD USD USD USD USD 2,220,000,000 3,300,000,000 2,300,000,000 52,500,000 - 73,500,000 1.34 0.70 0.54 0.52 - 140,000.00 - 162,000.00 - 104,000.00 - 349,200.00 134,000.00 84,700.00 - 264,500.00 S USD 638,000,000 EFTA01553163 - 65,450.00 72,864.00 7,414.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD 12,750,000 - 57,290.00 66,130.00 8,840.00 S USD 5,000,000 - 108,075.00 54,692.57 - 53,382.43 S USD 15,000,000 - 168,150.00 116,820.00 - 51,330.00 S EFTA01553164 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 22 of 72 Settlement Date Realized Type Settled continued Sep 19 Sep 23 Write Option NZD PUT USD CALL Sep 22 Sep 25 Sell Option Sep 22 Sep 25 Sell Option Sep 23 Sep 25 Sell Option Sep 23 Sep 25 Sell Option Sep 23 Sep 26 Write Option Sep 24 Sep 26 Buy-Back Opt FX EUROPEAN STYLE OPTION JUN 21, 2004 @ .58 KNOCK IN @ .58 KNOCK OUT @ .6020 JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 111. JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 110. JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 111. JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 110. ZAR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 7.2 EUR PUT USD CALL Sep 24 Sep 26 Write Option FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.115 KNOCK OUT @ 1.1785 EUR PUT USD CALL Sep 24 Sep 26 Write Option FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.13 KNOCK IN @ 1.12 KNOCK OUT @ 1.1685 JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 111.25 USD - 15,000,000 1.80 156,600.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD -1,110,000,000 120,000.00 USD -1,100,000,000 USD - 555,000,000 USD -2,200,000,000 USD USD - 50,400,000 25,000,000 1.19 91,000.00 EFTA01553165 61,000.00 160,000.00 83,300.00 - 454,363.00 674,575.00 220,212.00 S - 70,000.00 - 54,000.00 - 35,000.00 - 108,000.00 50,000.00 S 37,000.00 S 26,000.00 S 52,000.00 S USD - 25,000,000 1.33 375,725.00 USD -1,112,500,000 0.65 65,000.00 EFTA01553166 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 23 of 72 Settlement Date Realized Type Settled continued Sep 24 Sep 26 Write Option Sep 24 Sep 24 Expired Opt JPY CALL USD PUT FX EUROPEAN STYLE OPTION SEP 25, 2003 @ 111.65 NOK PUT U5D CALL FX EUROPEAN STYLE OPTION MAR 19, 2004 @ 7.35 KNOCK IN @ 7.50 KNOCK OUT @ 7.0050 Issued in USD Sep 24 Sep 26 Write Option Sep 25 Sep 29 Assign FX Opt Sep 25 Sep 29 FX Opt Asgn'D Sep 25 Sep 29 Sale ZAR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 24, 2003 @ 7.1 JPY CALL USD PUT FX EUROPEAN STYLE OPTION SEP 25, 2003 @ 111.65 SPOT CURRENCY TRANSACTION SETTLEMENT OF ASSIGNED FX OPTION SELL JPY BUY U5D 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 Sep 26 Sep 30 Sell Option Sep 26 Sep 30 Buy-Back Opt Sep 29 Sep 29 Expired Opt JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 22, 2003 @ 111. JPY CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 111.25 JPY PUT U5D CALL FX EUROPEAN STYLE OPTION SEP 26, 2003 @ 115. USD -1,116,500,000 AUD - 20,000,000 111.65 100.00 10,000,000.00 - 9,991,051.45 19,804,823.46 - 20,000,000.00 8,948.55 5 538,907.67 S USD USD - 46,860,000 1,116,500,000 1.20 79,200.00 0.00 28,000.00 28,000.00 S USD -1,116,500,000 NOK 73,500,000 0.28 EFTA01553167 28,000.00 0.00 134,000.00 134,000.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD USD - 555,000,000 43,000.00 1,112,500,000 USD -2,300,000,000 - 31,000.00 0.00 - 35,000.00 65,000.00 - 104,000.00 8,000.00 S 34,000.00 S - 104,000.00 S EFTA01553168 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 24 of 72 Settlement Date Realized Type Settled continued Sep 29 Sep 29 Expired Opt Sep 30 Sep 30 Expired Opt NOK CALL USD PUT FX EUROPEAN STYLE OPTION SEP 26, 2003 @ 6.85 EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUN 11, 2004 @ 1.13 KNOCK IN @ 1.12 KNOCK OUT @ 1.1685 Issued in USD Trade Date Estimated Settlement Date Pending Oct 2 Expired Opt Sep 29 Oct 1 Sell Option EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 02, 2003 @ 1.09 EUR CALL USD PUT FX EUROPEAN STYLE OPTION OCT 01, 2003 @ 1.16 Sep 29 Oct 1 Buy-Back Opt GBP PUT USD CALL FX EUROPEAN STYLE OPTION DEC 15, 2003 @ 1.58 Sep 29 Oct 1 Buy-Back Opt NOK PUT USD CALL FX EUROPEAN STYLE OPTION MAR 03, 2004 @ 7.65 KNOCK IN @ 7.80 USD 38,250,000 0.00 - 35,500.00 175,500.00 140,000.00 S USD 6,000,000 0.00 - 31,284.00 152,628.00 USD USD 6,000,000 - 14,000,000 0.00 0.00 0.00 27,608.00 35,970.00 - 302,064.00 Realized Gain/Loss Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD USD EUR EFTA01553169 - 41,100,000 25,000,000 0.00 0.00 - 120,600.00 375,725.00 - 120,600.00 S 375,725.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD EFTA01553170 09 Trade Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 25 of 72 Estimated Settlement Date Realized Gain/Loss Type Pending continued Sep 29 Oct 1 Write Option NOK PUT USD CALL FX EUROPEAN STYLE OPTION JUN 29, 2004 @ 7.15 KNOCK IN @ 7.20 KNOCK OUT @ 6.88 Sep 30 Oct 2 Sale 4 MONTH FX BULLISH EUROS DEPOSIT 100% PRINCIPAL PROTECTED IN EUROS DOLLARS JP MORGAN CHASE LONDON MATURITY DATE 11/14/2003 Sep 30 Oct 2 Sale 2 MONTH FX BULLISH NZD DEPOSIT 100% PRINCIPAL PROTECTED IN NZD DOLLARS JPMORGAN CHASE LONDON MATURITY DATE 10/06/2003 Trade Date Settlement Date Counter Currency Settled Foreign Exchange Contracts SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Aug 26 03 Sep 29 03 Sep 25 03 Sep 29 03 Sep 26 03 Sep 29 03 Sep 26 03 Sep 29 03 SWISS FRANC Aug 22 03 Sep 3 03 Sep 3 03 Sep 3 03 Dec 12 02 Sep 10 03 AUD AUD AUD - 10,000,000.00 USD 6,460,000.00 AUD - 19,804,823.46 USD 13,808,907.67 5,000,000.00 USD - 3,373,000.00 5,000,000.00 USD - 3,370,000.00 - U S DOLLAR CHF - 28,356,000.00 USD 20,000,000.00 CHF 28,356,000.00 USD - 19,969,014.08 CHF 7,178,000.00 USD - 4,984,653.98 1.417800 1.420000 1.440020 1.416550 1.420000 1.385900 20,000,000.00 - 20,017,648.51 - 19,969,014.08 - 4,984,653.98 - 17,648.51 19,969,014.08 5,179,305.86 194,651.88 0.646000 0.697250 EFTA01553171 0.674600 0.674000 1.484000 0.689520 0.674600 0.674000 6,460,000.00 - 6,738,544.47 13,808,907.67 - 13,655,831.30 - 3,373,000.00 - 3,370,000.00 3,373,000.00 3,370,000.00 - 278,544.47 153,076.37 Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EUR - 10,000,000 0.00 9,974,741.74 - 10,000,000.00 190,623.86 S USD - 35,750,000 1.60 80,000.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost USD NZD - 17,000,000 0.00 16,985,562.27 - 17,000,000.00 165,718.38 S EFTA01553172 09 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 26 of 72 Settled Foreign Exchange Contracta Trade Settlement Date Currency Dec 13 02 Sep 10 03 Jan 15 03 Sep 10 03 Apr 24 03 Sep 10 03 Aug 13 03 Sep 10 03 Sep 3 03 Sep 9 03 Sep 9 03 Sep 29 03 Sep 29 03 Sep 29 03 Sep 10 03 Sep 10 03 Counter Amount Currency continued CHF 14,290,000.00 USD - 9,969,307.95 CHF - 13,765,000.00 USD CHF - 7,770,500.00 USD CHF 67,500.00 USD 9,969,307.95 5,729,771.26 - 49,450.93 CHF - 26,050,000.00 USD 18,351,532.23 CHF 13,025,000.00 USD - 9,461,717.27 CHF 13,025,000.00 USD - 9,428,840.31 EURO CURRENCY - U S DOLLAR Sep 3 03 Sep 9 03 Aug 27 03 Sep 12 03 Aug 28 03 Sep 12 03 Sep 9 03 Sep 12 03 JAPANESE YEN Sep 18 03 Sep 22 03 Sep 18 03 Sep 22 03 Sep 19 03 Sep 24 03 Sep 22 03 Sep 24 03 Sep 25 03 Sep 29 03 EUR EUR EUR - 1,500,000.00 USD EUR 1,648,800.00 1,500,000.00 USD - 1,685,100.00 EUR - 12,500,000.00 USD 13,525,000.00 7,500,000.00 USD - 8,114,250.00 5,000,000.00 USD - 5,616,500.00 - U S DOLLAR JPY 426,314,000.00 USD - 3,698,395.07 JPY - 426,314,000.00 USD 3,700,000.00 JPY 1,142,900,000.00 USD - 10,000,000.00 JPY- 1,142,900,000.00 USD 10,213,583.56 JPY 1,116,500,000.00 USD - 9,991,051.45 MEXICAN NEW PESO - U S DOLLAR Jun 17 03 Sep 10 03 Sep 10 03 Jul 16 03 Sep 11 03 Sep 24 03 Sep 16 03 Sep 24 03 MXN 107,925,000.00 USD - 9,968,044.30 MXN - 107,925,000.00 USD 10,139,502.18 MXN 107,250,000.00 USD - 9,808,404.59 EFTA01553173 MXN - 107,250,000.00 USD N ZEALAND DOLLAR - U S DOLLAR 115.270000 115.220000 114.290000 111.900000 111.750000 9,858,352.25 10.827099 10.644014 10.934500 10.879100 115.270000 115.270000 114.290000 114.290000 111.750000 10.944500 10.944500 10.803000 10.803000 - 3,698,395.07 3,700,000.00 - 10,000,000.00 3,698,395.07 - 3,698,395.07 10,000,000.00 10,213,583.56 - 10,000,000.00 - 9,991,051.45 - 9,968,044.30 10,139,502.18 - 9,808,404.59 9,858,352.25 9,991,051.45 9,861,117.45 - 9,861,117.45 9,927,797.83 - 9,927,797.83 - 106,926.85 278,384.73 119,393.24 - 69,445.58 1,604.93 213,583.56 1.433399 1.380738 1.356162 1.364989 1.419500 1.376600 1.381400 1.099200 1.123400 1.082000 1.081900 1.123300 1.385900 1.385900 1.385900 1.385900 1.335800 1.335800 1.335800 1.121076 1.123400 1.130135 1.130135 1.130135 - 9,969,307.95 9,969,307.95 5,729,771.26 - 49,450.93 10,310,989.24 - 9,932,174.03 - 5,606,825.88 48,704.81 18,351,532.23 - 19,501,422.36 - 9,461,717.27 - 9,428,840.31 EFTA01553174 1,648,800.00 - 1,685,100.00 9,750,711.18 9,750,711.18 - 1,681,614.34 1,685,100.00 13,525,000.00 - 14,126,688.13 - 8,114,250.00 - 5,616,500.00 8,476,012.88 5,650,675.25 341,681.29 37,133.92 122,945.38 - 746.12 - 1,149,890.13 288,993.91 321,870.87 - 32,814.34 - 601,688.13 361,762.88 34,175.25 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01553175 09 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 27 of 72 Settled Foreign Exchange Contracts Trade Settlement Date Currency Aug 22 03 Sep 4 03 Sep 3 03 Sep 4 03 Apr 16 03 Sep 10 03 May 8 03 sep 10 03 Jun 11 03 Sep 10 03 Jun 12 03 Sep 10 03 Aug 26 03 Sep 29 03 Sep 3 03 Sep 29 03 Sep 26 03 Sep 29 03 Sep 29 03 Sep 29 03 Counter Amount Currency continued NZD - 10,000,000.00 USD 5,802,000.00 NZD 10,000,000.00 USD - 5,650,000.00 NZD 20,000,000.00 USD - 10,925,262.18 NZD 20,000,000.00 USD - 11,308,885.14 NZD - 15,000,000.00 USD 8,526,619.67 NZD - 25,000,000.00 USD 14,211,032.79 NZD - 10,000,000.00 USD NZD - 10,000,000.00 USD NZD 10,000,000.00 USD - 5,877,000.00 NZD 10,000,000.00 USD - 5,876,000.00 S AFRICAN RAND - U S DOLLAR Aug 26 03 Sep 5 03 Aug 27 03 Sep 5 03 ZAR TRADE RELATED AUSTRALIA DOLLAR - U S DOLLAR MEXICAN NEW PESO - U S DOLLAR Sep 8 03 Sep 10 03 Sep 11 03 Sep 12 03 AUD - 20,000,000.00 USD 12,994,000.00 MXN - 107,250,000.00 USD 9,817,382.95 0.649700 10.924500 0.649700 10.924500 12,994,000.00 - 12,994,000.00 9,817,382.95 - 9,817,382.95 ZAR - 7,507,000.00 USD 7,507,000.00 USD - 1,000,000.00 1,023,379.46 5,738,000.00 5,633,000.00 0.580200 0.565000 0.546263 0.565444 0.568441 0.568441 0.573800 0.563300 0.587700 0.587600 7.507000 7.335500 EFTA01553176 1.764750 0.565000 1.717050 1.717050 1.717050 1.717050 1.698950 1.698950 0.587700 0.587600 7.421250 7.421250 5,802,000.00 - 5,650,000.00 - 10,925,262.18 - 11,308,885.14 8,526,619.67 - 5,666,525.00 5,650,000.00 11,647,884.45 11,647,884.45 - 8,735,913.33 14,211,032.79 - 14,559,855.56 5,738,000.00 5,633,000.00 - 5,877,000.00 - 5,876,000.00 - 1,000,000.00 1,023,379.46 - 5,885,988.40 - 5,885,988.40 5,877,000.00 5,876,000.00 1,011,554.65 - 1,011,554.65 135,475.00 722,622.27 338,999.31 - 209,293.66 - 348,822.77 - 147,988.40 - 252,988.40 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD 11,554.65 11,824.81 EFTA01553177 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 28 of 72 Account Transactions by Currency Australia Dollar 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 Australia Dollar Activity by Date Settlement Date Type Sep 10 Redemption Quantity Description - 20,000,000 3 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 09/08/2003 TO REDEMPTION Sep 10 Spot FX 12,994,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL AUD SPOT RATE : 0.649700000 TRADE 9/08/03 VALUE 9/10/03 U 5 DOLLAR AUSTRALIA DOLLAR - 49,804,823.46 .00 - 156,660.29 - 40,000,000.00 - 199,804,823.46 39,804,823.46 10,000,000.00 39,804,823.46 200,000,000.00 .00 Amount to Date Realized Amount Gain/Loss USD - 276,000.00 20,000,000.00 12,994,000.00 Amount USD - 20,000,000.00 - 12,994,000.00 EFTA01553178 09 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 29 of 72 Australia Dollar Activity by Date Settlement continued Realized Type Sep 29 Fwd FX Ctrct Quantity Description 6,460,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.646000000 TRADE 8/26/03 VALUE 9/29/03 Sep 29 Spot FX - 3,373,000 SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD SPOT RATE : 0.674600000 TRADE 9/26/03 VALUE 9/29/03 AUSTRALIA DOLLAR U S DOLLAR AS OF 09/29/03 Sep 29 Spot FX - 3,370,000 SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD SPOT RATE : 0.674000000 TRADE 9/26/03 VALUE 9/29/03 AUSTRALIA DOLLAR U S DOLLAR Sep 29 Spot FX 13,808,907.67 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL AUD SPOT RATE : 0.697249700 TRADE 9/25/03 VALUE 9/29/03 U S DOLLAR AUSTRALIA DOLLAR Sep 29 Sale - 20,000,000 6 MONTH FX BULLISH AUD DEPOSIT 100% PRINCIPAL PROTECTION IN AUD JP MORGAN CHASE LONDON MATURITY DATE 12/8/2003 19,804,823.46 13,808,907.67 Gain/Loss USD - 156,660.29 - 10,000,000.00 - 6,738,544.47 Amount Amount USD 5,000,000.00 3,373,000.00 5,000,000.00 3,370,000.00 - 19,804,823.46 - 13,808,907.67 EFTA01553179 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 30 of 72 Account Transactions by Currency Euro Currency Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Miscellaneous Disbursements Foreign Exchange Ending Balance Foreign Exchange Gains/Losses Euro Currency Activity by Date Settlement Date Sep 2 Type Spot FX Quantity Description 1,093,200 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.093200000 TRADE 8/29/03 VALUE 9/02/03 U S DOLLAR EURO PRINCIPAL CURRENCY - 15,000,000.00 .00 - 3,485.66 -00 15,000,000.00 529,594,568.53 - 10,000,000.00 - .53 - 519,594,568.00 Amount to Date Realized Amount Gain/Loss USD - 4,400.00 - 1,000,000.00 - 1,093,200.00 Amount USD EFTA01553180 09 Date Sep 2 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 31 of 72 Euro Currency Activity by Date Settlement continued Realized Type Spot FX Quantity Description - 1,097,600 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.097600000 TRADE 8/29/03 VALUE 9/02/03 EURO PRINCIPAL CURRENCY U S DOLLAR Sep 10 Fwd FX Ctrct 1,648,800 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.099200000 TRADE 9/03/03 VALUE 9/10/03 Sep 10 Spot FX - 1,685,100 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.123400000 TRADE 9/09/03 VALUE 9/10/03 EURO PRINCIPAL CURRENCY U S DOLLAR Sep 12 Fwd FX Ctrct 13,525,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.082000000 TRADE 8/27/03 VALUE 9/12/03 Sep 12 Fwd FX Ctrct - 8,114,250 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.081900000 TRADE 8/28/03 VALUE 9/12/03 Sep 12 Fwd FX Ctrct - 5,616,500 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.123300000 TRADE 9/09/03 VALUE 9/12/03 - 3,485.66 Gain/Loss USD 1,000,000.00 1,097,600.00 Amount Amount USD - 1,500,000.00 - 1,681,614.34 1,500,000.00 1,685,100.00 - 12,500,000.00 - 14,126,688.13 7,500,000.00 8,476,012.88 5,000,000.00 5,650,675.25 EFTA01553181 09 JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 32 of 72 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 Sep 22 Spot FX Quantity Description - 3,698,395.07 SPOT CURRENCY TRANSACTION - BUY BUY JPY SELL USD SPOT RATE : 115.270000000 TRADE 9/18/03 VALUE 9/22/03 JAPANESE YEN U S DOLLAR Sep 22 Spot FX 3,700,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL JPY SPOT RATE : 115.220000000 TRADE 9/18/03 VALUE 9/22/03 U S DOLLAR JAPANESE YEN .00 2,685,714,000.00 - 2,685,714,000.0 .00 9,723,464,000.00 - 9,723,464,000.0 Amount to Date Realized Amount Gain/Loss USD 426,314,000.00 3,698,395.07 Amount USD - 426,314,000.00 - 3,700,000.00 EFTA01553182 09 Date JPMorgan Chase Bank 2003 Account Number: FINANCIAL TRUST COMPANY INC Asset Account Portfolio September 01, 2003 - September 30, 2003 Page 33 of 72 Japanese Yen Activity by Date Settlement continued Realized Type Sep 24 Spot FX Quantity Description - 10,000,000 SPOT CURRENCY TRANSACTION - BUY BUY JPY SELL USD SPOT RATE : 114.290000000 TRADE 9/19/03 VALUE 9/24/03 JAPANESE YEN U S DOLLAR Sep 24 Spot FX 10,213,583.56 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL JPY SPOT RATE : 111.900000000 TRADE 9/22/03 VALUE 9/24/03 U S DOLLAR JAPANESE YEN Sep 29 Spot FX - 9,991,051.45 SPOT CURRENCY TRANSACTION - BUY BUY JPY