EFTA01553501.pdf

02 2004 Confidential FINANCIAL TRUST COMPANY INC Page 1 of 58 J.P. Morgan Portfolios February 1 - February 29, 2004 Table of Contents Page Account Summary Asset Account Portfolio Margin Account Portfolio JPMCB JPMSI 161121381 2 3 56 000000.0000.00.0000.000.000000000.000000 FINANCIAL TRUST COMPANY INC ATTN: JEFFREY E EPSTEIN C/O AMERICAN YACHT HARBOR 6100 RED HOOK, QUARTERS IBS ST THOMAS 00802 US VIRGIN ISLDS EFTA01553501 02 2004 Portfolio Summary FINANCIAL TRUST COMPANY INC February 01, 2004 - February 29, 2004 Page 2 of 58 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 Dividends Total 111,642,205.14 46,883,245.43 15,345,496.04 48,492,597.02 920,866.65 - 8,677,357.95 - 8,677,357.95 102,964,847.19 1,476,821.65 28,772.46 104,470,441.30 Margin Portfolio USD 161121381 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 .00 0.00 0.00 111,642,205.14 46,883,245.43 15,345,496.04 48,492,597.02 920,866.65 - 8,677,357.95 - 8,677,357.95 102,964,847.19 1,476,821.65 28,772.46 104,470,441.30 This Period 25,981.76 25,981.76 Year to Date 42,442.51 42,442.51 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 EFTA01553502 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 3 of 58 Asset Account Portfolio February 1 - February 29, 2004 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 10 15 18 25 EFTA01553503 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 4 of 58 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 14% Equities 44% Other Market Value USD Feb 29 Cash S Short Term Equities Other Options Total Foreign Exchange Accrued Income Total Portfolio Value 46,883,245.43 15,345,496.04 48,492,597.02 - 7,756,491.30 102,964,847.19 1,476,821.65 28,772.46 104,470,441.30 Income Summary Dividends Total Net Gain/Loss Summary Net Short Term Gain/Loss Net Long Term Gain/Loss Total Market Value USD Jan 31 52,317,701.11 12,241,193.40 32,901,094.59 - 9,263,709.41 88,196,279.69 421,685.06 25,981.76 88,643,946.51 Tax Cost USD 46,883,245.43 45,525,000.00 - 5,972,028.80 86,436,216.63 Estimated Annual Income USD 435,545.35 Yield 0.9 0.0 0.0 435,545.35 N/A N/A 0.4 This Period USD 25,981.76 25,981.76 Year to Date USD* EFTA01553504 42,442.51 42,442.51 Realized This Period USD Realized Year to Date USD* 7,835,167.32 7,835,167.32 Unrealized USD 11,515,898.25 11,515,898.25 •Year to date information is calculated on a calendar year basis. Exchange Rates Spot Rates as of February 29, 2004 Market value of Options is not included in pie chart. Currency AUD CHF EUR Exchange Rate 0.7716 1.2701 1.2425 - 1,136,974.13 - 292,318.38 - 1,429,292.51 EFTA01553505 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 5 of 58 Exchange Rates Spot Rates as of February 29, 2004 Currency GBP HKD HUF JPY MXN NZD THB Exchange Rate 1.8558 7.7838 206.5988 109.2600 11.0645 0.6855 39.2900 EFTA01553506 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 6 of 58 Cash and Short Term Summary by Maturity Current Market Value USD Cash Total 46,883,245.43 46,883,245.43 Estimated Annual Income USD 435,545.35 435,545.35 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: .93% USD 46,883,245.43 1.00 1.00 46,883,245.43 46,883,245.43 28,772.46 435,545.35 0.93 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 EFTA01553507 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 7 of 58 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 19.18 15,345,496.04 15,345,496.04 N/A 0.00 N/A 0.0 EFTA01553508 02 Other Swaps in Alphabetical Order Description WALT DISNEY CO EQUITY SWAP 24,954,900 USD NOTIONAL JAN 19 2005 DEAL REF f 2353480 SWPBDA-FL-1 N/0 Client WALT DISNEY CO TOTAL RETURN SWAP 11,920,650 USD NOTIONAL FEB 14 2005 DEAL REF f 2361214 SWPBDA-FV-9 N/0 Client Structured Investments in Alphabetical Order Description 3 MONTH MXN BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN MXN JPMORGAN CHASE LONDON 5/3/2004 630998-9G-9 Bearer Market Value USD Currency Quantity MXN 110,500,000 Unit Cost 100.00 PriCe/Unit 99.8394 Tax Cost 10,000,000.00 Accrued Income USD 9,970,912.25 Unrealized Estimated Annual Gain/Loss USD - 29,087.75 Income USD Yield N/A 1,268,658.17 Trade Date Maturity Date Estimated Value USD 1,343,769.80 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 8 of 58 EFTA01553509 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 9 of 58 Structured Investments in Alphabetical Order Description 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JPMORGAN CHASE LONDON 5/10/2004 630998-9H-7 Bearer 3 MONTH NZD BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN NZD JPMORGAN CHASE LONDON 5/10/2004 630998-9T-1 Bearer 3 MONTH EUR BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN EUR JPMORGAN CHASE LONDON 5/04/2004 630998-9U-8 Bearer Total Other continued Market Value USD Currency Quantity HUF 2,120,000,000 Unit Cost 100.00 PriCW/Unit 101.3366 Tax Cost 10,000,000.00 Accrued Income USD 10,399,956.80 Unrealized Estimated Annual Gain/Loss USD 399,956.80 Income USD Yield N/A NZD 10,000,000 100.00 100.3289 6,775,000.00 6,877,500.00 102,500.00 N/A EUR 15,000,000 100.00 99.9694 18,750,000.00 18,631,800.00 - 118,200.00 N/A 2,255,500,000 45,525,000.00 48,492,597.02 355,169.05 EFTA01553510 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 10 of 58 Options Foreign Exchange Description Cusip HKD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 23, 2004 @ 7.833 XHKDPA-AH-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 15, 2004 @ 1.15 XCHFCA-CX-2 CHF CALL USD PUT FX EUROPEAN STYLE OPTION MAR 16, 2004 @ 1.175 XCHFCA-DC-2 EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.25 KNOCK OUT @ 1.1375 KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 XEURCA-TP-2 EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.3 KNOCK OUT @ 1.1375 KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 XEURCA-TQ-2 EUR 10,000,000 USD 13,000,000.00 USD 56,447.00 56,447.00 208,064.70 151,617.70 EUR 5,000,000 USD 6,250,000.00 USD 49,186.20 49,186.20 186,483.45 137,297.25 CHF 58,750,000 USD 50,000,000.00 USD 420,690.00 420,690.00 1,167.36 - 419,522.64 CHF 80,500,000 USD 70,000,000.00 USD 543,848.00 543,848.00 51.52 - 543,796.48 Counter Amount Currency Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD HKD 156,660,000 USD 20,000,000.00 USD 312,280.00 312,280.00 19,961.62 - 292,318.38 EFTA01553511 EFTA01553512 02 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 11 of 58 Foreign Exchange Description AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 11, 2004 @ .7775 KNOCK IN TRIGGERED @ .7565 KNOCK OUT @ .8020 XAUDPA-CQ-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 16, 2004 @ 1.22 XEURPA-LZ-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 19, 2004 @ .63 XNZDPA-CS-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 20, 2004 @ 1.23 XEURPA-MB-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ 1.22 KNOCK IN @ 1.202 XEURPA-MG-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .66 KNOCK IN @ .6475 XNZDPA-CT-Z NZD - 39,000,000 USD - 25,740,000.00 USD - 1,132,560.00 - 1,132,560.00 - 873,816.45 258,743.55 EUR - 25,000,000 USD - 30,500,000.00 USD - 857,050.00 - 857,050.00 - 866,164.75 - 9,114.75 EUR - 10,000,000 USD - 12,300,000.00 USD - 284,130.00 - 284,130.00 - 294,529.20 - 10,399.20 NZD - 12,000,000 USD - 7,560,000.00 USD - 233,226.00 - 233,226.00 - 130,301.40 102,924.60 EUR - 17,333,333.60 USD - 21,146,666.99 USD - 415,003.00 - 415,003.00 - 426,468.82 - 11,465.82 Counter Amount Currency continued AUD - 10,000,000 USD - 7,775,000.00 USD - 266,683.00 - 266,683.00 - 310,603.60 - 43,920.60 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD EFTA01553513 Unrealized Gain/Loss USD EFTA01553514 02 Cusip JPMorgan Chase Bank 2004 Account Number: m FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 12 of 58 Foreign Exchange Description AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 27, 2004 @ .76 KNOCK IN @ .7475 XAUDPA-CY-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION JAN 31, 2005 @ 1.35 KNOCK OUT @ 1.1995 BARRIER EXP 4/29/04 XEURCA-UR-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 04, 2004 @ 1.29 KNOCK IN @ 1.33 XEURCA-UZ-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION AUG 19, 2004 @ 1.255 KNOCK IN TRIGGERED @ 1.24 KNOCK OUT @ 1.2940 XEURPA-MV-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN @ .6625 XNZDPA-DC-Z NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN @ .6625 XNZDPA-DB-Z NZD - 19,200,000 USD - 13,056,000.00 USD - 591,437.00 - 591,437.00 - 680,067.46 - 88,630.46 NZD - 30,000,000 USD - 20,400,000.00 USD - 846,600.00 - 846,600.00 - 1,062,605.40 - 216,005.40 EUR - 10,400,000 USD - 13,052,000.00 USD - 157,929.00 - 157,929.00 - 384,621.43 - 226,692.43 EUR - 13,000,000 USD - 16,770,000.00 USD - 276,705.00 - 276,705.00 - 85,808.84 190,896.16 EUR 20,000,000 USD 27,000,000.00 USD 291,600.00 291,600.00 227,946.20 - 63,653.80 Counter Amount Currency continued AUD - 37,000,000 USD - 28,120,000.00 USD - 1,262,588.00 - 1,262,588.00 - 1,178,454.44 84,133.56 Counter Premium Amount Currency Premium EFTA01553515 Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553516 02 Cusip JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 13 of 58 Foreign Exchange Description JPY PUT USD CALL FX EUROPEAN STYLE OPTION NOV 19, 2004 @ 108.5 KNOCK IN @ 110.75 KNOCK OUT @ 105.35 XJPYPA-JR-2 GBP PUT USD CALL FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 KNOCK IN @ 1.8375 XGBPPA-GN-2 AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 KNOCK IN @ .755 KNOCK OUT @ .7965 XAUDPA-DH-2 GBP PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 KNOCK IN @ 1.8285 XGBPPA-G0-2 THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 36. XTHBCA-AC-2 THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 38. XTHBCA-AB-2 Total Foreign Exchange - 5,972,028.80 - 7,756,491.30 - 1,784,461.56 THB 351,500,000 USD 9,250,000.00 USD 108,225.00 108,225.00 65,916.80 - 42,308.20 THB 2,700,000,000 USD 75,000,000.00 USD 405,000.00 405,000.00 211,275.00 - 193,725.00 GBP - 11,666,666 USD - 21,758,332.09 USD - 887,740.00 - 887,740.00 - 1,052,325.46 - 164,585.46 AUD - 9,300,000 USD - 7,161,000.00 USD - 146,084.00 - 146,084.00 - 248,206.12 - 102,122.12 GBP - 11,666,666.66 USD - 21,874,999.99 USD - 708,750.00 - 708,750.00 - 900,606.35 - 191,856.35 Counter Amount Currency continued JPY - 987,350,000 USD - 9,100,000.00 USD - 92,820.00 - 92,820.00 EFTA01553517 - 182,778.23 - 89,958.23 Counter Premium Amount Currency Premium Local Premium USD Current Market Value USD Unrealized Gain/Loss USD EFTA01553518 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 14 of 58 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. 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. EFTA01553519 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 15 of 58 Outstanding Foreign Exchange Contracts Net Currency Exposure Summary Australia Dollar Euro Currency Pound Sterling Japanese Yen N Zealand Dollar U S Dollar Value in Currency 15,000,000.00 13,500,000.00 13,000,000.00 1,087,300,000.00 15,000,000.00 - 70,472,988.17 Gain/Loss Summary Total Unrealized Closed Value in USD Total Unrealized Open Total Unrealized Gain/Loss 1,055,461.83 421,359.82 1,476,821.65 Foreign Exchange Contracts Settlement Date Trade Date SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Dec. 11 03 Mar. 15 04 AUD Jan. 2 04 Mar. 15 04 AUD Jan. 7 04 Mar. 15 04 AUD Jan. 9 04 Mar. 15 04 AUD Jan. 15 04 Mar. 15 04 AUD Total Closed Feb. 20 04 Aug. 24 04 AUD Feb. 20 04 Aug. 24 04 AUD Total Open Total 10,000,000.00 USD 10,000,000.00 USD - 20,000,000.00 USD 5,000,000.00 USD - 5,000,000.00 USD 0.00 7,500,000.00 USD 7,500,000.00 USD 15,000,000.00 15,000,000.00 - 7,287,000.00 - 7,524,000.00 15,258,000.00 - 3,861,000.00 3,821,000.00 407,000.00 - 5,676,750.00 - 5,639,250.00 - 11,316,000.00 - 10,909,000.00 0.7287 0.7524 0.7629 0.7722 0.7642 0.7569 0.7519 0.770128 0.770128 0.770128 0.770128 EFTA01553520 0.770128 0.754685 0.754685 7,701,275.70 7,701,275.70 15,258,000.00 3,850,637.85 3,821,000.00 38,332,189.25 5,660,134.70 5,660,134.70 11,320,269.40 49,652,458.65 7,287,000.00 7,524,000.00 15,402,551.40 3,861,000.00 3,850,637.85 37,925,189.25 5,676,750.00 5,639,250.00 11,316,000.00 49,241,189.25 414,275.70 177,275.70 - 144,551.40 - 10,362.15 - 29,637.85 407,000.00 - 16,615.30 20,884.70 4,269.40 411,269.40 Currency Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD EFTA01553521 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 16 of 58 Foreign Exchange Contracts Settlement Date Currency EURO CURRENCY - U S DOLLAR Dec. 11 03 Mar. 15 04 EUR Dec. 31 03 Mar. 15 04 EUR Jan. 5 04 Mar. 15 04 EUR Jan. 6 04 Mar. 15 04 EUR Jan. 9 04 Mar. 15 04 EUR Jan. 12 04 Mar. 15 04 EUR Total Closed Feb. 9 04 May. 11 04 EUR Feb. 9 04 May. 11 04 EUR Feb. 11 04 May. 11 04 EUR Feb. 12 04 May. 11 04 EUR Feb. 20 04 Aug. 24 04 EUR Total Open Total Feb. 26 04 Mar. 1 04 GBP Feb. 26 04 Mar. 1 04 GBP Jan. 9 04 Mar. 15 04 GBP Jan. 14 04 Mar. 15 04 GBP Feb. 11 04 Mar. 15 04 GBP Feb. 23 04 Aug. 24 04 GBP Total Open Total JAPANESE YEN Feb. 20 04 May. 24 04 JPY continued Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD 10,000,000.00 USD - 10,000,000.00 USD 10,000,000.00 USD - 10,000,000.00 USD 5,000,000.00 USD - 5,000,000.00 USD 0.00 - 12,125,000.00 12,583,000.00 - 12,561,000.00 12,751,000.00 - 6,413,500.00 6,385,000.00 619,500.00 15,000,000.00 USD 3,000,000.00 USD - 7,000,000.00 USD - 5,000,000.00 USD 7,500,000.00 USD 13,500,000.00 13,500,000.00 POUND STERLING - U S DOLLAR Total Closed - 5,000,000.00 USD 5,000,000.00 USD EFTA01553522 0.00 5,000,000.00 USD 3,000,000.00 USD - 5,000,000.00 USD 10,000,000.00 USD 13,000,000.00 13,000,000.00 - U S DOLLAR 1,087,300,000.00 USD - 10,000,000.00 108.73 108.964914 9,978,441.32 10,000,000.00 - 21,558.68 - 18,936,000.00 - 3,787,200.00 8,939,000.00 6,389,500.00 - 9,395,250.00 - 16,789,950.00 - 16,170,450.00 9,321,500.00 - 9,293,500.00 28,000.00 - 9,191,500.00 - 5,473,500.00 9,374,500.00 - 18,337,000.00 - 23,627,500.00 - 23,599,500.00 1.2125 1.2583 1.2561 1.2751 1.2827 1.277 1.2624 1.2624 1.277 1.2779 1.2527 0.805172 0.805172 0.805172 0.805172 0.805172 0.805172 0.806424 0.806424 0.806424 0.806424 0.808414 12,419,699.79 12,583,000.00 12,419,699.79 12,751,000.00 6,209,849.89 6,385,000.00 62,768,249.47 18,600,629.46 3,720,125.89 8,939,000.00 6,389,500.00 9,277,429.62 46,926,684.97 109,694,934.44 1.8643 1.8587 1.8383 1.8245 1.8749 1.8337 1.8643 1.8587 1.853410 1.853410 1.853410 1.827308 EFTA01553523 9,321,500.00 9,293,500.00 18,615,000.00 9,267,047.53 5,560,228.52 9,374,500.00 18,273,078.20 42,474,854.25 61,089,854.25 12,125,000.00 12,419,699.79 12,561,000.00 12,419,699.79 6,413,500.00 6,209,849.89 62,148,749.47 18,936,000.00 3,787,200.00 8,680,293.74 6,200,209.82 9,395,250.00 46,998,953.56 109,147,703.03 9,321,500.00 9,293,500.00 18,615,000.00 9,191,500.00 5,473,500.00 9,267,047.53 18,337,000.00 42,269,047.53 60,884,047.53 294,699.79 163,300.21 - 141,300.21 331,300.21 - 203,650.11 175,150.11 619,500.00 - 335,370.54 - 67,074.11 258,706.26 189,290.18 - 117,820.38 - 72,268.59 547,231.41 0.00 0.00 0.00 75,547.53 86,728.52 107,452.47 - 63,921.80 205,806.72 205,806.72 EFTA01553524 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 17 of 58 Foreign Exchange Contracts Settlement Date Currency NORWEGIAN KRONE - U S DOLLAR Total Closed Dec. 11 03 Mar. 15 04 NOK Jan. 6 04 Mar. 15 04 NOK N ZEALAND DOLLAR - U S DOLLAR Jan. 2 04 Mar. 15 04 NZD Jan. 2 04 Mar. 15 04 NZD Jan. 5 04 Mar. 15 04 NZD Jan. 7 04 Mar. 15 04 NZD Jan. 9 04 Mar. 15 04 NZD Feb. 20 04 Aug. 24 04 NZD Feb. 23 04 Aug. 24 04 NZD Total Open continued Amount Counter Currency Counter Amount Contract Rate Current Market Forward Rate Market Value Receivables USD Market Value Payables USD Unrealized Gain/Loss USD 67,525,000.00 USD - 67,525,000.00 USD 0.00 - 10,000,000.00 10,028,961.83 28,961.83 10,000,000.00 USD 10,000,000.00 USD - 10,000,000.00 USD - 10,000,000.00 USD 5,000,000.00 USD 5,000,000.00 USD 5,000,000.00 USD 15,000,000.00 Total Foreign Exchange Contracts - 6,544,000.00 - 6,534,000.00 6,637,000.00 6,669,000.00 - 3,391,500.00 - 3,315,000.00 - 3,344,500.00 - 9,823,000.00 6.7525 6.733 7.041800 7.041800 9,589,167.65 10,028,961.83 19,618,129.48 0.6544 0.6534 0.6637 0.6669 0.6783 0.663 0.6689 EFTA01553525 0.684225 0.684225 0.684225 0.684225 0.684225 0.670699 0.670699 6,842,247.67 6,842,247.67 6,637,000.00 6,669,000.00 3,421,123.83 3,353,493.57 3,353,493.57 37,118,606.31 287,152,424.45 10,000,000.00 9,589,167.65 19,589,167.65 6,544,000.00 6,534,000.00 6,842,247.67 6,842,247.67 3,391,500.00 3,315,000.00 3,344,500.00 36,813,495.34 285,675,602.80 - 410,832.35 439,794.18 28,961.83 298,247.67 308,247.67 - 205,247.67 - 173,247.67 29,623.83 38,493.57 8,993.57 305,110.97 1,476,821.65 EFTA01553526 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 18 of 58 Trade Activity Realized Gain/Loss Summary Short Term Gain/Loss Long Term Gain/Loss Note: indicates Short Term Realized Gain/Loss indicates Long Term Realized Gain/Loss S L Capital gains and losses on sales with missing or incomplete tax cost are identified with N/A. Trade Date Settlement Date Settled Feb 3 Feb 6 Purchase Feb 4 Feb 6 Purchase Feb 5 Feb 9 Purchase Feb 5 Feb 10 Purchase 3 MONTH MXN BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN MXN JPMORGAN CHASE LONDON 5/3/2004 3 MONTH EUR BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN EUR JPMORGAN CHASE LONDON 5/04/2004 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JPMORGAN CHASE LONDON 5/10/2004 3 MONTH NZD BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN NZD JPMORGAN CHASE LONDON 5/10/2004 Feb 9 Feb 11 Buy-Back Opt AUD PUT USD CALL FX EUROPEAN STYLE OPTION APR 23, 2004 @ .695 KNOCK IN @ .685 MXN EUR HUF NZD USD 110,500,000 15,000,000 2,120,000,000 10,000,000 10,000,000 100.00 - 110,500,000.00 100.00 - 15,000,000.00 100.00 - 2,120,000,000.00 100.00 - 10,000,000.00 - 9,000.00 251,590.00 - 200,933.03 S 242,590.00 S Realized Type Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD Amount USD 6,475,939.80 0.00 EFTA01553527 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 19 of 58 Settlement Date Realized Type Settled continued Feb 9 Feb 11 Buy-Back Opt EUR PUT USD CALL Feb 10 Feb 10 Expired Opt FX EUROPEAN STYLE OPTION APR 07, 2004 @ 1.165 KNOCK IN TRIGGERED @ 1.15 AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 01, 2004 @ .755 KNOCK IN @ .740 KNOCK OUT @ .783 Issued in USD Feb 10 Feb 10 Expired Opt NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 18, 2004 @ .6625 KNOCK IN @ .652 KNOCK OUT @ .6985 Issued in USD Feb 11 Feb 13 Sell Option EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.3 KNOCK OUT @ 1.1375 Feb 11 Feb 11 Expired Opt KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 GBP PUT USD CALL FX EUROPEAN STYLE OPTION JUL 16, 2004 @ 1.83 KNOCK IN TRIGGERED @ 1.8165 KNOCK OUT @ 1.8793 Issued in USD Feb 11 Feb 11 Expired Opt GBP PUT USD CALL FX EUROPEAN STYLE OPTION OCT 18, 2004 @ 1.818 KNOCK IN TRIGGERED @ 1.815 KNOCK OUT @ 1.8735 Issued in USD GBP 7,168,458.74 0.00 301,045.00 301,045.00 S GBP 12,500,000 0.00 443,775.00 443,775.00 S USD - 25,000,000 822,250.00 - 141,117.50 681,132.50 S NZD 24,691,358.49 0.00 407,315.00 407,315.00 S USD 10,000,000 - 11,650.00 302,900.00 291,250.00 S EFTA01553528 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD AUD 10,000,000 0.00 226,500.00 226,500.00 S EFTA01553529 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 20 of 58 Settlement Date Realized Type Settled continued Feb 12 Feb 17 sell Option EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.25 KNOCK OUT @ 1.1375 Feb 12 Feb 17 Sell Option KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 EUR CALL USD PUT FX EUROPEAN STYLE OPTION NOV 01, 2004 @ 1.3 KNOCK OUT @ 1.1375 Feb 13 Feb 13 Expired Opt KNOCK OUT @ 1.21 BARRIER EXP 12/1/03 NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 11, 2004 @ .675 KNOCK IN TRIGGERED @ .6685 KNOCK OUT @ .7020 Issued in USD Feb 17 Feb 17 Expired Opt AUD PUT USD CALL FX EUROPEAN STYLE OPTION JUL 14, 2004 @ .765 KNOCK IN @ .75 KNOCK OUT @ .7975 Issued in USD Feb 17 Feb 17 Expired Opt AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 18, 2004 @ .7725 KNOCK IN @ .7525 KNOCK OUT @ .7973 Issued in USD Feb 17 Feb 17 Expired Opt EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.21 KNOCK IN @ 1.1995 KNOCK OUT @ 1.2875 Issued in USD EUR 10,000,000 0.00 225,060.00 225,060.00 S AUD 22,471,910.67 0.00 524,258.00 524,258.00 S AUD 16,666,666.66 0.00 303,450.00 303,450.00 S NZD 10,000,000 0.00 188,325.00 188,325.00 S USD - 15,000,000 505,050.00 EFTA01553530 - 84,670.50 420,379.50 S USD - 5,000,000 282,500.00 - 49,186.20 233,313.80 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD EFTA01553531 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 21 of 58 Settlement Date Realized Type Settled continued Feb 17 Feb 17 Expired Opt EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.21 KNOCK IN @ 1.1995 KNOCK OUT @ 1.2875 Issued in USD Feb 18 Feb 20 Write Option EUR CALL USD PUT Feb 19 Feb 23 Write Option FX EUROPEAN STYLE OPTION MAY 04, 2004 @ 1.29 KNOCK IN @ 1.33 EUR PUT USD CALL Feb 20 Feb 24 Write Option FX EUROPEAN STYLE OPTION AUG 19, 2004 @ 1.255 KNOCK IN TRIGGERED @ 1.24 KNOCK OUT @ 1.2940 AUD PUT USD CALL Feb 20 Feb 24 Write Option FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .77 KNOCK IN @ .755 KNOCK OUT @ .7965 GBP PUT USD CALL Feb 20 Feb 24 Write Option FX EUROPEAN STYLE OPTION AUG 20, 2004 @ 1.875 KNOCK IN @ 1.8375 GBP PUT USD CALL Feb 20 Feb 24 Write Option FX EUROPEAN STYLE OPTION NOV 22, 2004 @ 1.865 KNOCK IN @ 1.8285 JPY PUT USD CALL FX EUROPEAN STYLE OPTION NOV 19, 2004 @ 108.5 KNOCK IN @ 110.75 KNOCK OUT @ 105.35 USD - 13,000,000 1.65 276,705.00 EUR 10,000,000 0.00 248,655.00 248,655.00 S Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 10,400,000 1.21 157,929.00 USD - 9,300,000 2.04 146,084.00 EFTA01553532 USD - 11,666,666.66 3.24 708,750.00 USD - 11,666,666 4.08 887,740.00 USD - 987,350,000 1.02 92,820.00 EFTA01553533 02 Trade Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 22 of 58 Settlement Date Realized Type Settled continued Feb 20 Feb 24 Write Option NZD PUT USD CALL Feb 20 Feb 24 Write Option FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN @ .6625 NZD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 22, 2004 @ .68 KNOCK IN @ .6625 Feb 20 Feb 20 Sale 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JP MORGAN CHASE LONDON MATURITY 02/20/2004 Feb 23 Feb 25 Purchase Opt THB CALL USD PUT Feb 23 Feb 25 Purchase Opt FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 38. THB CALL USD PUT FX EUROPEAN STYLE OPTION FEB 23, 2005 @ 36. Trade Date Settlement Date Counter Currency Settled Foreign Exchange Contracts SPECULATIVE AUSTRALIA DOLLAR - U S DOLLAR Jan 9 04 Feb 13 04 Jan 15 04 Feb 13 04 Jan 20 04 Feb 13 04 Feb 11 04 Feb 13 04 Feb 10 04 AUD AUD - 5,000,000.00 USD 5,000,000.00 USD - 3,876,000.00 3,835,500.00 AUD 10,000,000.00 USD - 7,678,000.00 AUD - 10,000,000.00 USD EURO CURRENCY - U S DOLLAR Feb 6 04 7,783,000.00 EUR - 15,000,000.00 USD 19,042,500.00 0.775200 0.767100 0.767800 0.778300 1.269500 1.265950 1.265950 1.265950 0.789921 1.269800 - 3,876,000.00 3,835,500.00 - 7,678,000.00 7,783,000.00 3,949,603.06 - 3,949,603.06 EFTA01553534 7,899,206.12 - 7,899,206.12 19,042,500.00 - 19,047,000.00 73,603.06 - 114,103.06 221,206.12 - 116,206.12 - 4,500.00 Amount Currency Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD HUF -1,083,000,000 100.00 1,083,000,000.00- 1,083,000,000.00 582,991.00 S USD - 19,200,000 4.53 591,437.00 Description Currency Quantity Price/Unit Market Cost/Proceeds Tax Cost Gain/Loss USD USD - 30,000,000 4.15 846,600.00 USD USD 351,500,000 1.17 2,700,000,000 0.54 - 108,225.00 - 405,000.00 EFTA01553535 02 Date Feb 6 04 Jan 9 04 JPMorgan Chase Bank 2004 Account Number:a FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 23 of 58 Settled Foreign Exchange Contracts Trade Settlement Date Currency Feb 10 04 Feb 13 04 Jan 12 04 Feb 13 04 Jan 20 04 Feb 13 04 Feb 10 04 Feb 13 04 Feb 6 04 Feb 9 04 Feb 17 04 Feb 17 04 Jan 20 04 Feb 23 04 Feb 11 04 Feb 23 04 Feb 23 04 Feb 25 04 Feb 23 04 Feb 25 04 Jan 9 04 Feb 13 04 Feb 13 04 Feb 13 04 EUR Counter Amount Currency continued EUR 15,000,000.00 USD - 19,047,000.00 5,000,000.00 USD - 6,416,000.00 6,390,500.00 EUR - 5,000,000.00 USD EUR 10,000,000.00 USD - 12,585,000.00 EUR - 10,000,000.00 USD 12,780,000.00 EUR 10,000,000.00 USD - 12,709,000.00 EUR - 10,000,000.00 USD 12,714,000.00 7,000,000.00 USD - 8,758,400.00 8,948,800.00 9,339,000.00 EUR EUR - 7,000,000.00 USD EUR - 7,500,000.00 USD EUR POUND STERLING - U S DOLLAR GBP Jan 20 04 Feb 13 04 Feb 9 04 7,500,000.00 USD - 9,417,000.00 5,000,000.00 USD - 9,202,000.00 GBP 10,000,000.00 USD - 18,165,000.00 GBP - 15,000,000.00 USD 27,867,000.00 N ZEALAND DOLLAR - U S DOLLAR Jan 9 04 NZD Jan 12 04 Feb 13 04 Jan 15 04 Feb 13 04 Jan 16 04 Feb 13 04 Jan 20 04 Feb 13 04 Feb 9 04 Feb 13 04 Feb 11 04 Feb 19 04 Feb 17 04 Feb 19 04 5,000,000.00 USD - 3,405,000.00 NZD 15,000,000.00 USD - 10,176,000.00 NZD - 10,000,000.00 USD NZD - 5,000,000.00 USD 6,702,000.00 3,325,500.00 NZD 10,000,000.00 USD - 6,666,000.00 EFTA01553536 NZD - 15,000,000.00 USD 10,417,500.00 NZD 10,000,000.00 USD - 6,952,000.00 NZD - 10,000,000.00 USD 1.269800 1.283200 1.278100 1.258500 1.278000 1.270900 1.271400 1.251200 1.278400 1.245200 1.255600 1.840400 1.816500 1.857800 7,063,000.00 0.681000 0.678400 0.670200 0.665100 0.666600 0.694500 0.695200 0.706300 1.269800 1.278936 1.278936 1.278936 1.278936 1.282216 1.282216 1.255966 1.255966 1.255600 1.255600 1.888039 1.888039 1.888039 1.424100 1.424100 1.424100 1.424100 1.424100 1.424100 1.429600 0.699496 - 19,047,000.00 - 6,416,000.00 6,390,500.00 - 12,585,000.00 19,047,000.00 6,394,679.62 - 6,394,679.62 12,789,359.25 12,780,000.00 - 12,789,359.25 - 12,709,000.00 12,714,000.00 - 12,822,156.68 - 8,758,400.00 8,948,800.00 9,339,000.00 - 9,417,000.00 - 9,202,000.00 - 18,165,000.00 12,822,156.68 8,791,760.86 - 8,791,760.86 - 9,417,000.00 9,417,000.00 9,440,196.35 18,880,392.71 27,867,000.00 - 28,320,589.06 - 3,405,000.00 - 10,176,000.00 6,702,000.00 3,325,500.00 - 6,666,000.00 3,510,989.39 EFTA01553537 10,532,968.19 - 7,021,978.79 - 3,510,989.39 7,021,978.79 10,417,500.00 - 10,532,968.19 - 6,952,000.00 7,063,000.00 6,994,963.62 - 6,994,963.62 - 21,320.38 - 4,179.62 204,359.25 - 9,359.25 113,156.68 - 108,156.68 33,360.86 157,039.14 - 78,000.00 Counter Amount Contract Rate Revaluation Rate Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD 238,196.35 715,392.71 - 453,589.06 105,989.39 356,968.19 - 319,978.79 - 185,489.39 355,978.79 - 115,468.19 42,963.62 68,036.38 EFTA01553538 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 24 of 58 Settled Foreign Exchange Contracts Trade Settlement Date Currency TRADE RELATED EURO CURRENCY - U S DOLLAR POUND STERLING - U S DOLLAR HUNGARIAN FORINT - U S DOLLAR Feb 4 04 Feb 6 04 Feb 19 04 Feb 23 04 Feb 5 04 Feb 9 04 Feb 20 04 Feb 24 04 Feb 6 04 EUR 15,000,000.00 USD - 18,750,000.00 GBP - 3,000,000.00 USD 5,336,321.83 HUF 2,120,000,000.00 USD - 10,000,000.00 HUF- 1,083,000,000.00 USD MEXICAN NEW PESO - U S DOLLAR Feb 3 04 Feb 20 04 Feb 24 04 Feb 10 04 N ZEALAND DOLLAR - U S DOLLAR Feb 4 04 MXN 110,500,000.00 USD - 10,000,000.00 MXN - 56,250,000.00 USD 1.250000 1.778774 5,582,991.00 212.000000 193.982042 5,290,541.00 NZD 10,000,000.00 USD - 6,775,000.00 11.050000 10.632183 0.677500 1.250000 1.778774 212.000000 193.982042 11.050000 10.632183 1.433500 - 18,750,000.00 5,336,321.83 - 10,000,000.00 5,582,991.00 - 10,000,000.00 5,290,541.00 - 6,775,000.00 18,750,000.00 - 5,336,321.83 10,000,000.00 - 5,023,291.10 10,000,000.00 - 5,290,541.00 6,975,933.03 200,933.03 Counter Amount Currency continued Counter Amount Contract Rate Revaluation Rate EFTA01553539 Contracted/ Base Amount USD Revalued Amount USD Realized Gain/Loss USD EFTA01553540 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 25 of 58 Account Transactions by Currency Australia Dollar Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Foreign Exchange Ending Balance Australia Dollar Activity by Date Settlement Date Type Feb 10 Expired Opt Quantity Description 10,000,000 AUD PUT USD CALL FX EUROPEAN STYLE OPTION NOV 01, 2004 @ .755 KNOCK IN @ .740 KNOCK OUT @ .783 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT Feb 13 Fwd FX Ctrct - 3,876,000 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.775200000 TRADE 1/09/04 VALUE 2/13/04 5,000,000.00 3,949,603.06 - 15,000,000.00 .00 - 55,000,000.00 15,000,000.00 10,000,000.00 45,000,000.00 .00 Amount to Date Realized Amount Gain/Loss USD Amount USD EFTA01553541 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 26 of 58 Australia Dollar Activity by Date Settlement continued Realized Type Feb 13 Fwd FX Ctrct Quantity Description 3,835,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.767100000 TRADE 1/15/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct - 7,678,000 SETTLE FORWARD CURRENCY CONTRACT BUY ADD SELL USD CONTRACT RATE : 0.767800000 TRADE 1/20/04 VALUE 2/13/04 Feb 13 Spot FX 7,783,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL AUD SPOT RATE : 0.778300000 TRADE 2/11/04 VALUE 2/13/04 U S DOLLAR Feb 17 Expired Opt 22,471,910.67 AUSTRALIA DOLLAR AUD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 18, 2004 @ .7725 KNOCK IN @ .7525 KNOCK OUT @ .7973 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT Feb 17 Expired Opt 16,666,666.66 AUD PUT USD CALL FX EUROPEAN STYLE OPTION JUL 14, 2004 @ .765 KNOCK IN @ .75 KNOCK OUT @ .7975 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT Gain/Loss USD - 5,000,000.00 - 3,949,603.06 Amount Amount USD 10,000,000.00 7,899,206.12 - 10,000,000.00 - 7,783,000.00 EFTA01553542 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 27 of 58 Account Transactions by Currency Euro Currency Activity Summary Amount this Period Beginning Balance Credits Debits Foreign Exchange Purchases of Securities Foreign Exchange Ending Balance Euro Currency Activity by Date Settlement Date Feb 6 Type Spot FX Quantity Description - 18,750,000 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.250000000 TRADE 2/04/04 VALUE 2/06/04 EURO PRINCIPAL CURRENCY U S DOLLAR Feb 6 Purchase 15,000,000 3 MONTH EUR BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN EUR JPMORGAN CHASE LONDON 5/04/2004 .00 69,500,000.00 - 15,000,000.00 - 54,500,000.00 .00 104,500,000.00 - 15,000,000.00 - 89,500,000.00 Amount to Date Realized Amount Gain/Loss USD 15,000,000.00 18,750,000.00 Amount USD - 15,000,000.00 - 18,750,000.00 EFTA01553543 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 28 of 58 Euro Currency Activity by Date Settlement continued Realized Type Feb 10 Spot FX Quantity Description 19,042,500 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.269500000 TRADE 2/06/04 VALUE 2/10/04 U S DOLLAR EURO PRINCIPAL CURRENCY Feb 10 Spot FX - 19,047,000 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.269800000 TRADE 2/06/04 VALUE 2/10/04 EURO PRINCIPAL CURRENCY U S DOLLAR Feb 13 Fwd FX Ctrct - 6,416,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.283200000 TRADE 1/09/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct 6,390,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.278100000 TRADE 1/12/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct - 12,585,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.258500000 TRADE 1/20/04 VALUE 2/13/04 Feb 13 Spot Fx 12,780,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.278000000 TRADE 2/10/04 VALUE 2/13/04 U S DOLLAR EURO PRINCIPAL CURRENCY 15,000,000.00 19,047,000.00 Gain/Loss USD - 15,000,000.00 - 19,042,500.00 Amount Amount USD 5,000,000.00 6,394,679.62 - 5,000,000.00 - 6,394,679.62 10,000,000.00 12,789,359.25 - 10,000,000.00 - 12,780,000.00 EFTA01553544 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 29 of 58 Euro Currency Activity by Date Settlement continued Realized Type Feb 17 Fwd FX Ctrct Quantity Description - 12,709,000 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.270900000 TRADE 2/06/04 VALUE 2/17/04 Feb 17 Fwd FX Ctrct 12,714,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.271400000 TRADE 2/09/04 VALUE 2/17/04 Feb 17 Expired Opt 10,000,000 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.21 KNOCK IN @ 1.1995 KNOCK OUT @ 1.2875 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT AS OF 02/13/04 Feb 17 Expired Opt 10,000,000 EUR PUT USD CALL FX EUROPEAN STYLE OPTION OCT 29, 2004 @ 1.21 KNOCK IN @ 1.1995 KNOCK OUT @ 1.2875 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT AS OF 02/13/04 Feb 23 Fwd FX Ctrct - 8,758,400 SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL USD CONTRACT RATE : 1.251200000 TRADE 1/20/04 VALUE 2/23/04 7,000,000.00 8,791,760.86 Gain/Loss USD 10,000,000.00 12,822,156.68 Amount Amount USD - 10,000,000.00 - 12,822,156.68 EFTA01553545 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 30 of 58 Euro Currency Activity by Date Settlement continued Realized Type Feb 23 Fwd FX Ctrct Quantity Description 8,948,800 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL EUR CONTRACT RATE : 1.278400000 TRADE 2/11/04 VALUE 2/23/04 Feb 25 Spot FX 9,339,000 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL EUR SPOT RATE : 1.245200000 TRADE 2/23/04 VALUE 2/25/04 U S DOLLAR EURO PRINCIPAL CURRENCY Feb 25 Spot FX - 9,417,000 SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD SPOT RATE : 1.255600000 TRADE 2/23/04 VALUE 2/25/04 EURO PRINCIPAL CURRENCY U S DOLLAR 7,500,000.00 9,417,000.00 Gain/Loss USD - 7,000,000.00 - 8,791,760.86 Amount Amount USD - 7,500,000.00 - 9,339,000.00 EFTA01553546 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 31 of 58 Account Transactions by Currency Hungarian Forint Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Purchases of Securities Foreign Exchange Ending Balance Hungarian Forint Activity by Date Settlement Date Feb 9 Type Spot FX Quantity Description - 10,000,000 SPOT CURRENCY TRANSACTION - BUY BUY HUF SELL USD SPOT RATE : 212.000000000 TRADE 2/05/04 VALUE 2/09/04 HUNGARIAN FORINT U S DOLLAR Feb 9 Purchase Feb 20 Sale 2,120,000,000 - 1,083,000,000 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JPMORGAN CHASE LONDON 5/10/2004 3 MONTH HUF BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN HUF JP MORGAN CHASE LONDON MATURITY 02/20/2004 - 2,120,000,000.0 - 1,083,000,000.0 .00 - 2,120,000,000.0 - 1,083,000,000.0 1,083,000,000.00 2,120,000,000.00 1,083,000,000.00 2,120,000,000.00 .00 Amount to Date Realized Amount Gain/Loss USD 2,120,000,000.00 10,000,000.00 Amount USD -2,120,000,000.00 - 10,000,000.00 1,083,000,000.00 5,582,991.00 EFTA01553547 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 32 of 58 Hungarian Forint Activity by Date Settlement continued Realized Type Feb 24 Spot FX Quantity Description 5,582,991 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL HUF SPOT RATE : 193.982042000 TRADE 2/20/04 VALUE 2/24/04 U S DOLLAR HUNGARIAN FORINT Gain/Loss USD - 1,083,000,000.00 - 5,582,991.00 Amount Amount USD EFTA01553548 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 33 of 58 Account Transactions by Currency Mexican New Peso Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Purchases of Securities Foreign Exchange Ending Balance Mexican New Peso Activity by Date Settlement Date Feb 6 Type Spot FX Quantity Description - 10,000,000 SPOT CURRENCY TRANSACTION - BUY BUY MXN SELL USD SPOT RATE : 11.050000000 TRADE 2/03/04 VALUE 2/06/04 MEXICAN NEW PESO U S DOLLAR Feb 6 Purchase 110,500,000 3 MONTH MXN BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN MXN JPMORGAN CHASE LONDON 5/3/2004 - 110,500,000.00 - 56,250,000.00 .00 - 110,500,000.00 - 56,250,000.00 56,250,000.00 110,500,000.00 56,250,000.00 110,500,000.00 .00 Amount to Date Realized Amount Gain/Loss USD 110,500,000.00 10,000,000.00 Amount USD - 110,500,000.00 - 10,000,000.00 EFTA01553549 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 34 of 58 Mexican New Peso Activity by Date Settlement Type Feb 24 Spot FX continued Realized Quantity Description 5,290,541 SPOT CURRENCY TRANSACTION - SALE BUY USD SELL MXN SPOT RATE : 10.632182900 TRADE 2/20/04 VALUE 2/24/04 REP: FX TO COVER MATURITY OF MXN FX DEPOSIT U S DOLLAR MEXICAN NEW PESO Feb 25 Redemption - 56,250,000 3 MONTH MXN BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN MXN JPMORGAN CHASE LONDON 02/20/2004 TO REDEMPTION AS OF 02/24/04 290,541.00 56,250,000.00 5,290,541.00 Gain/Loss USD - 56,250,000.00 - 5,290,541.00 Amount Amount USD EFTA01553550 02 JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 35 of 58 Account Transactions by Currency N Zealand Dollar Activity Summary Amount this Period Beginning Balance Credits Sales, Maturities, Redemptions Foreign Exchange Debits Purchases of Securities Foreign Exchange Ending Balance N Zealand Dollar Activity by Date Settlement Date Type Feb 10 Fwd FX Ctrct Quantity Description - 6,775,000 SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.677500000 TRADE 2/04/04 VALUE 2/10/04 Feb 10 Expired Opt 24,691,358.49 NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT 18, 2004 @ .6625 KNOCK IN @ .652 KNOCK OUT @ .6985 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT - 10,000,000.00 - 40,000,000.00 -00 - 10,000,000.00 - 95,000,000.00 50,000,000.00 10,000,000.00 95,000,000.00 .00 Amount to Date Realized Amount Gain/Loss USD 10,000,000.00 6,975,933.03 Amount USD EFTA01553551 02 Date JPMorgan Chase Bank 2004 Account Number: I FINANCIAL TRUST COMPANY INC 345 Park Avenue, New York, NY 10154-1002 Asset Account Portfolio February 01, 2004 - February 29, 2004 Page 36 of 58 N Zealand Dollar Activity by Date Settlement continued Realized Type Feb 10 Purchase Feb 13 Fwd FX Ctrct Quantity Description 10,000,000 - 3,405,000 3 MONTH NZD BULLISH FX DEPOSIT 100% PRINCIPAL PROTECTED IN NZD JPMORGAN CHASE LONDON 5/10/2004 SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.681000000 TRADE 1/09/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct - 10,176,000 SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.678400000 TRADE 1/12/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct 6,702,000 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NZD CONTRACT RATE : 0.670200000 TRADE 1/15/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct 3,325,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NZD CONTRACT RATE : 0.665100000 TRADE 1/16/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct - 6,666,000 SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.666600000 TRADE 1/20/04 VALUE 2/13/04 Feb 13 Fwd FX Ctrct 10,417,500 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL NZD CONTRACT RATE : 0.694500000 TRADE 2/09/04 VALUE 2/13/04 0.01 - 0.01 Gain/Loss USD - 10,000,000.00 5,000,000.00 - 6,775,000.00 3,510,989.39 Amount Amount USD 15,000,000.00 10,532,968.19 - 10,000,000.00 - 7,021,978.79 - 5,000,000.00 - 3,510,989.39 10,000,000.00 7,021,978.79 - 15,000,000.00 - 10,532,968.19