EFTA01539938

HARRY BELLER C/O HBRK ASSOCIATES 301 E 66TH ST APT 10F NEW YORK NY 10065-6216 PROT0 PROT1 For the Period 8/1/12 to 8/31/12 Account Summary Account Number Investment Account(s) FINANCIAL TRUST COMPANY INC Total Value 2 Beginning Net Market Value 72,373,316.29 306,937.05 $72,680,253.34 Ending Net Market Value 75,461,078.51 305,051.26 $75,766,129.77 This account summary is provided for informational purposes and includes assets at different entities. (1) Assets held at JPMorgan Chase Bank, N.A., member Federal Deposit Insurance Corporation ("FDIC"), except for exchangelisted options, which are held at 3PMorgan Clearing Corporation ("JPMCC"). The Asset Account Statement reflects brokerage transactions executed through J.P. Morgan Securities LLC ("JPMS"), see "Portfolio Activity Detail". Equity securities, fixed income securities, and listed options transactions are generally cleared through JPMCC, a wholly owned subsidiary of 3PMS. Please see "Additional Information About Your Accounts" at the end of the Asset Account Statement. (2) Assets held in Margin Account at JPMCC, member Financial Regulatory Authority ("FINRA") and Securities Insurance Protection Corporation ("SIPC"). The Margin Account Statement reflects brokerage transactions executed by JPMS, see "Portfolio Activity Detail". Such transactions are cleared and carried through JPMCC. Please see disclosures located at the end of this statement package for important information relating to each 3.P.Morgan account(s). Change In Value 3,087,762.22 (1,885.79) $3,085,876.43 Start on Page 4 40 0000000006.15.0.15.00001.BELLE18.20120917 Consolidated Statement Page 1 1 PROT2 PROT3 THIS PAGE INTENTIONALLY LEFT BLANK PROT4 Consolidated Summary INVESTMENT ACCOUNTS Asset Allocation Equity Alternative Assets Cash & Fixed Income Market Value Accruals Market Value with Accruals Beginning Market Value 24,621,765.39 (223,035.51) 47,408,181.46 $71,806,911.34 873,342.00 $72,680,253.34 Ending Market Value 25,259,818.62 1,327,185.82 48,370,563.98 $74,957,568.42 808,561.35 $75,766,129.77 Change In Value 638,053.23 1,550,221.33 962,382.52 $3,150,657.08 (64,780.65) $3,085,876.43 Estimated 1,181,716.63 Current Annual Income Allocation 34% 2% 2,393,966.57 $3,575,683.20 64% 100% Equity Alternative Assets Cash & Fixed Income Current PROT5 Portfolio Activity Beginning Market Value Net Contributions/Withdrawals Income & Distributions Change in Investment Value Ending Market Value Accruals Market Value with Accruals Period Value 71,806,911.34 8,469.45 409,791.58 2,732,396.05 $74,957,568.42 808,561.35 $75,766,129.77 Year-to-Date Value 69,562,571.76 (7,393.41) 1,943,384.25 3,459,005.82 $74,957,568.42 808,561.35 $75,766,129.77 This Consolidated Summary shows all of your investments at J.P. Morgan other than investments we hold in trust for you. These investments may be held in custody or investment management account at JPMorgan Chase Bank, N.A. (the "Bank") or in a brokerage or margin account at J.P. Morgan Clearing Corp. ("JPMCC"). Brokerage and margin accounts are non-discretionary and all investment decisions are made by the client. J.P. Morgan Securities LLC ("JPMS") does not provide advice on asset allocation or investment management services, nor do its personnel take discretion over any client accounts. Such advice and services are provided exclusively by the Bank. Consolidated Statement Page 2 PROT6 Consolidated Summary INVESTMENT ACCOUNT(S) YEAR-TO-DATE Total Value Tax Summary Total Value Account Number Account Number Beginning Market Value 69,262,768.82 299,802.94 $69,562,571.76 Taxable Income 1,944,389.21 (1,004.96) $1,943,384.25 'Unrealized Gain/Loss represents data from the time of account inception to the current statement period. Net Contributions/ Withdrawals (7,197.47) (195.94) ($7,393.41) Tax-Exempt Income Other Income & Receipts Income & Distributions 1,944,389.21 (1,004.96) $1,943,384.25 Change in Investment Value 3,452,556.60 6,449.22 $3,459,005.82 Realized Gain/Loss PROT7 Short-term (622,467.69) ($622,467.69) Long-term 2,200,339.51 (5.94) $2,200,333.57 Ending Market Value with Accruals 75,461,078.51 305,051.26 $75,766,129.77 Unrealized Gain/Loss, 3,086,792.37 11,237.88 $3,098,030.25 CONTINUED Consolidated Statement Page 3 PROT8 JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 FINANCIAL TRUST COMPANY INC ACCT. Asset Account J.P. Morgan Team Paul Morris Paul Barrett Janet Young Gina Magliocco Online access Banker Investment Specialist Client Service Team Client Service Team www.jpmorganonline.com Please see disclosures located at the end of this statement package for important information relating to each J.P.Morgan account(s). Table of Contents Holdings Equity Alternative Assets Page 2 4 8 11 19 Account Page 1 of 36 Consolidated Statement Page 4 PROT9 Equity Alternative Assets Market Value Accruals Market Value with Accruals Beginning Market Value 24,639,233.04 (223,035.51) 47,083,776.76 $71,499,974.29 873,342.00 $72,373,316.29 Ending Market Value 25,279,148.46 1,327,185.82 48,046,182.88 $74,652,517.16 808,561.35 $75,461,078.51 Current Beginning Market Value Contributions Withdrawals & Fees Securities Transferred Out Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals Period Value 71,499,974.29 23,479.00 (14,985.94) (0.01) $8,493.05 409,791.58 2,734,258.24 $74,652,517.16 808,561.35 $75,461,078.51 Change In Value PROT10 639,915.42 1,550,221.33 962,406.12 $3,152,542.87 (64,780.65) $3,087,762.22 Equity Year-to-Date Value 69,262,768.82 1,051,933.65 (31,218.35) (1,027,912.77) ($7,197.47) 1,944,389.21 3,452,556.60 $74,652,517.16 808,561.35 $75,461,078.51 Estimated 1,184,266.75 Current Annual Income Allocation 33% 2% 2,393,966.57 $3,578,233.32 65% 100% Alternative Assets Cash & Fixed Income Account Page 2 of 36 Consolidated Statement Page 5 PROT11 Tax Summary Domestic Dividends/Distributions Foreign Dividends Currency Gain/Loss Interest Income Ordinary Income Accrued Interest Current Year Taxable Income CONTINUED Current Period Value 67,256.25 6,424.09 327,140.76 20,953.74 (11,983.26) $409,791.58 Year-to-Date Value 497,575.00 39,863.24 257,386.23 1,245,922.62 27,949.80 (124,307.68) $1,944,389.21 Unrealized Gain/Loss To-Date Value $3,086,792.37 ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value (235,953.38) (137,090.95) ($373,044.33) Year-to-Date Value (622,467.69) 2,200,339.51 $1,577,871.82 Cost Summary Equity Total 46,937,696.24 Cost PROT12 27,385,628.91 $74,323,325.15 Account Page 3 of 36 Consolidated Statement Page 6 PROT13 Equity Summary Asset Categories US Large Cap Equity US Small/Mid Cap Equity Preferred Stocks Concentrated & Other Equity Total Value Market Value/Cost Market Value Tax Cost Estimated Annual Income Accrued Dividends Yield Beginning Market Value 12,301,578.40 711,000.00 5,101,532.50 6,525,122.14 $24,639,233.04 Ending Market Value 9,162,450.65 722,000.00 6,945,022.50 8,449,675.31 $25,279,148.46 Current Period Value 25,279,148.46 27,385,628.91 (262,055.76) 1,184,266.75 222,936.71 4.66% Preferred Stocks Concentrated & Other Equity Change In Value (3,139,127.75) 11,000.00 1,843,490.00 1,924,553.17 $639,915.42 Current Allocation 12% 1% PROT14 9% 11% 33% US Small/Mid Cap Equity US Large Cap Equity Equity as a percentage of your portfolio - 33 % Account Page 4 of 36 Consolidated Statement Page 7 PROT15 Note: Unrealized Gain/Loss is shown as "N/A" in cases where we do not have appropriate cost information for all tax lots comprising the position. Please contact your J.P. Morgan team for additional information. Equity Detail Price US Large Cap Equity ARIAD PHARMACEUTICALS INC BIOGEN IDEC INC FACEBOOK INC-A 04033A-10-0 ARIA 146.59 09062X-10-3 BIIB 18.06 30303M-10-2 FB GS CONT BUFF EQ SPX 7/9/13 80% CONTIN BARRIER- 10.5%CPN 15% CAP INITIAL LEVEL-6/20/12 SPX:1355.69 38143U-Z9-5 HSBC MARKET PLUS SPX 05/17/13 72% KO BARRIER- 0%CPN ,UNCAPPED INITIAL LEVEL-02/14/12 SPX:1350.50 4042K1-XQ-1 Total US Large Cap Equity $9,162,450.65 $9,166,930.47 ($4,479.82) $0.00 0.00% 102.68 5,000,000.000 5,134,000.00 5,000,000.00 134,000.00 102.18 3,000,000.000 3,065,370.00 3,000,000.00 65,370.00 17,500.000 316,015.00 665,000.00 (348,985.00) 2,095.000 307,106.05 PROT16 250,454.95 56,651.10 20.56 16,535.000 339,959.60 251,475.52 88,484.08 Quantity Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield Account Page 5 of 36 Consolidated Statement Page 8 PROT17 Price US Small/Mid Cap Equity DEUTSCHE BK AG LDN BRH DBL LONG ETN38 25154H-55-8 DAG Preferred Stocks BARCLAYS BANK PLC PFD SHS SER 5 8 1/8% 06739H-36-2 BCS PDAA /P-2 CAPITAL ONE FINANCIAL CO PFD 6% 14040H-40-2 COF PP CITIGROUP CAPITAL XIII 7 7/8% PFD 173080-20-1 C PNNA /BA1 GMAC CAPITAL TRUST I PFD STK 8 1/8% 361860-20-8 JPMORGAN CHASE & CO PFD 5.500% 48126E-75-0 3PM PD Total Preferred Stocks 25.04 85,000.000 2,128,400.00 $6,945,022.50 2,125,000.00 $6,760,339.10 3,400.00 $184,683.40 116,875.00 $478,141.75 $17,938.46 5.49% 6.88% 27.58 24.82 30,000.000 80,000.000 827,400.00 1,985,600.00 750,000.00 1,882,773.60 77,400.00 102,826.40 59,070.00 162,480.00 7.14% PROT18 8.18% 25.00 40,000.000 1,000,000.00 1,000,000.00 Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 14.44 50,000.000 722,000.00 352,529.00 369,471.00 25.57 39,250.000 1,003,622.50 1,002,565.50 1,057.00 79,716.75 17,938.46 60,000.00 7.94% 6.00% Account Page 6 of 36 Consolidated Statement Page 9 PROT19 Price Concentrated & Other Equity GENERAL ELEC CAP CORP 7.125% DEC 15 2049 DTD 06/12/2012 369622-SN-6 AA- /BAA GENERAL MOTORS CO CV PFD B 37045V-20-9 GM PB JPMORGAN CHASE & CO 7.9% PFD STK APR 30 2049 DTD 04/23/2008 46625H-HA-1 BBB /BA1 LONG TOTAL RETURN SWAP 4,044,412.80 USD NOTIONAL APPLE INC MAT FEB 05 2013 DEAL 9966782 N/O Client SWPBDP-MH-9 Total Concentrated & Other Equity $8,449,675.31 $11,105,830.34 ($811,730.34) $706,125.00 $204,998.25 8.30% 208.17 8,860.000 (1,844,424.69) N/A ** N/A 111.52 5,000,000.000 5,576,200.00 5,404,861.12 171,338.88 395,000.00 132,760.00 7.02% 35.70 71,000.000 2,534,700.00 3,585,969.22 (1,051,269.22) 168,625.00 42,156.25 6.65% Quantity Value PROT20 Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 109.16 2,000,000.000 2,183,200.00 2,115,000.00 68,200.00 142,500.00 30,082.00 6.47% Account Page 7 of 36 Consolidated Statement Page 10 PROT21 Alternative Assets Summary Beginning Hard Assets Estimated Value (223,035.51) Alternative Assets Detail Price Hard Assets BRT CALL OPTION USD PUT OPTION STRIKE 126.50 EXPIRING 11/12/2012 125,000 BARRELS OTCBDC-NA-W BRT CALL OPTION USD PUT OPTION STRIKE 119.50 EXPIRING 11/12/2012 100,000 BARRELS OTCBDC-NB-L BRT CALL OPTION USD PUT OPTION STRIKE 119.00 EXPIRING 12/11/2012 OTCBDC-NB-M 4,793.10 100.000 479,310.44 233,000.00 3,612.11 100.000 361,211.13 184,000.00 Quantity Estimated Value Cost Ending Estimated Value 1,327,185.82 Change In Value 1,550,221.33 Current Allocation 2% 1,715.08 PROT22 125.000 214,384.49 75,000.00 Account Page 8 of 36 Consolidated Statement Page 11 PROT23 Price Hard Assets BRT CALL OPTION USD PUT OPTION STRIKE 118.50 EXPIRING 02/08/2013 OTCBDC-NB-N BRT PUT OPTION USD CALL OPTION STRIKE 96.50 EXPIRING 11/12/2012 125,000 BARRELS OTCBDP-JQ-R BRT PUT OPTION USD CALL OPTION STRIKE 80.00 EXPIRING 11/12/2012 OTCBDP-JQ-U BRT PUT OPTION USD CALL OPTION STRIKE 79.50 EXPIRING 12/11/2012 OTCBDP-JQ-V 608.35 (100.000) (60,835.47) (233,000.00) 273.75 (100.000) (27,375.04) (184,000.00) 1,208.11 (125.000) (151,013.20) (1,087,500.00) Quantity Estimated Value Cost 6,407.18 100.000 640,718.08 327,000.00 Account Page 9 of 36 Consolidated Statement Page 12 PROT24 PROT25 Price Hard Assets BRT PUT OPTION USD CALL OPTION STRIKE 79.00 EXPIRING 02/08/2013 OTCBDP-JQ-W Total Hard Assets $1,327,185.82 ($1,012,500.00) Quantity Estimated Value Cost 1,292.15 (100.000) (129,214.61) (327,000.00) Account Page 10 of 36 Consolidated Statement Page 13 PROT26 Cash & Fixed Income Summary Beginning Cash Non-USD Cash US Fixed Income Non-US Fixed Income Complementary Structured Strategies Foreign Exchange Contracts Total Value Market Value/Cost Market Value Tax Cost Estimated Annual Income Accrued Interest Yield Market Value 11,289,886.23 1,031,285.08 31,462,181.87 779,697.30 2,523,751.58 (3,025.30) $47,083,776.76 Ending Market Value 14,042,698.92 1,055,527.48 29,347,187.94 1,113,416.80 2,505,184.62 (17,832.88) $48,046,182.88 Current Period Value 48,046,182.88 46,937,696.24 1,009,162.31 2,393,966.57 585,624.64 5.24% Cash & Fixed Income as a percentage of your portfolio 65 % Change In Value 2,752,812.69 24,242.40 (2,114,993.93) 333,719.50 PROT27 (18,566.96) (14,807.58) $962,406.12 Current Allocation 19% 1% 41% 1% 3% 65% Cash Non-US Fixed Income Non-USD Cash Complementary Structured Strategies Asset Cate ories Account Page 11 of 36 Consolidated Statement Page 14 PROT28 SUMMARY BY MATURITY 1 0-6 months 1-5 years' 5-10 years' 10+ years' Total Value 1 SUMMARY BY TYPE Market Value 19,274,675.02 11,682,129.36 2,788,750.00 14,318,461.38 $48,064,015.76 % of Bond Portfolio 42% 24% 5% 29% 100% The years indicate the number of years until the bond is scheduled to mature based on the statement end date. Some bonds may be called, or paid in full, before their stated maturity. Cash NON USD Cash Corporate Bonds International Bonds Mortgage and Asset Backed Bonds Complementary Structure Other Total Value Market Value 14,042,698.92 1,055,527.48 15,750,949.36 3,842,126.80 7,760,764.58 2,505,184.62 3,106,764.00 $48,064,015.76 % of Bond Portfolio 28% PROT29 2% 36% 7% 16% 5% 6% 100% Account Page 12 of 36 Consolidated Statement Page 15 PROT30 Cash & Fixed Income Summary NET FX CONTRACTS EXPOSURE SUMMARY Value in Currency SWISS FRANC EURO CURRENCY MEXICAN NEW PESO US DOLLAR 11,990,000.00 (10,000,000.00) 12,900,000.00 (976,355.54) Note: 1 This is the Annual Percentage Yield (APY) which is the rate earned if balances remain on deposit for a full year with compounding, there is no change in the interest rate and all interest is left in the account. Cash & Fixed Income Detail Price Cash US DOLLAR 1.00 14,042,698.92 [repeated 3 times] 1,404.26 106.54 Non-USD Cash CANADIAN DOLLAR 0.01% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Income Yield 1.01 0.01 Account Page 13 of 36 Consolidated Statement Page 16 PROT31 Price Non-USD Cash EURO PRINCIPAL CURRENCY Total Non-USD Cash 1.26 837,388.58 1,055,527.47 $1,055,527.48 1,099,726.08 $1,099,726.09 (44,198.61) ($44,198.61) $0.00 0.00% Quantity Value Original Cost Unrealized Gain/Loss Yield ALLY FINANCIAL INC 24.54 8 1/2% PFD 02005N-30-8 NA /CAA ROYAL BANK SCOTLAND GRP PLC 5.05% JAN 08 2015 DTD 12/08/2004 780097-AP-6 BB+ /BA3 HCA INC 6 1/2% FEB 15 2016 DTD 2/8/2006 404119-AR-0 B- /B3 CIT GROUP INC 144A 7% MAY 02 2016 JUN 15 2011 125581-FZ-6 BB- /B1 AMERICAN AXLE & MFG INC 7 7/8% MAR 1 2017 DTD 2/27/2007 02406P-AF-7 B /B2 CIT GROUP INC 144A 7% MAY 02 2017 DTD 06/15/2011 125581-GA-0 BB- /B1 Account Page 14 of 36 PROT32 Consolidated Statement Page 17 100.49 959,777.22 964,499.32 885,394.49 (38,052.38) 67,184.40 15,116.49 6.63% 104.25 2,500,000.00 2,606,250.00 2,615,625.00 (9,375.00) 196,875.00 98,982.50 6.76% 100.61 4,010,282.83 4,034,545.04 3,789,717.27 244,827.77 101.50 1,000,000.00 1,014,960.00 966,000.00 48,960.00 50,500.00 7,434.00 108.43 1,500,000.00 1,626,375.00 1,530,000.00 96,375.00 97,500.00 4,332.00 280,719.79 16,373.98 4.37% 126,600.00 3,106,764.00 2,782,242.51 324,521.49 268,392.00 8.64% 3.87% 6.81% PROT33 FINANCIAL TRUST COMPANY INC ACCT. • Price NRG ENERGY INC 7 5/8% JAN 15 2018 DTD 07/15/2011 629377-BN-1 BB- /B1 LLOYDS TSB BANK PLC MTN 9 7/8% DEC 16 2021 DTD 12/16/2011 HELD BY EUROCLEAR ISIN XS0717735822 SEDOL B7FQXT1 G4715J-9D-3 BBB /BA1 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 576434-EY-6 CCC / COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 12669E-RR-9 BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 CL M1 VAR RT 11/25/2034 DTD 10/29/2004 073879-LR-7 B- /CA CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 5.4204% FEB 25 2035 DTD 02/01/2005 172973-P9-4 NA /NR BANC OF AMERICA FUNDING CORPORATION SER 2006-G CL 2A5 FLOATING RATE JUL 20 2036 DTD 07/31/2006 05950M-AF-7 CCC /CA 68.84 2,378,735.40 1,637,402.51 1,546,178.02 91,224.49 12,298.06 161.75 3.75% 73.29 2,011,915.45 1,474,512.71 1,669,889.82 (195,377.11) 109,053.86 9,087.82 7.82% 74.02 46.68 PROT34 1,598,989.91 2,186,057.05 1,183,620.30 1,020,342.13 1,231,222.23 1,027,446.82 (47,601.93) (7,104.69) 85,334.89 7,110.70 19,794.74 83.07 11.28% 10.19% 77.52 1,694,219.80 1,313,410.02 1,033,474.08 279,935.94 98,473.13 8,205.10 11.54% 114.25 1,500,000.00 1,713,750.00 1,627,500.00 86,250.00 148,125.00 104,920.50 7.66% Quantity Value Original Cost Unrealized Gain/Loss Yield 107.50 1,000,000.00 1,075,000.00 1,001,500.00 73,500.00 76,250.00 9,743.00 5.97% Account Page 15 of 36 Consolidated Statement Page 18 PROT35 FINANCIAL TRUST COMPANY INC ACCT. • Price BANC OF AMERICA MORTGAGE SECURITIES SER 2007-1 CL 2Al2 6% JAN 25 2037 DTD 02/27/2007 05952H-BY-4 CCC /C BANK OF AMERICA CORP 8 1/8% PFD STK DEC 29 2049 DTD 04/30/2008 060505-DT-8 BB+ /B1 SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 842400-FU-2 BBB /BAA Total US Fixed Income 108.90 3,000,000.00 3,267,060.00 2,999,982.50 267,077.50 187,500.00 15,624.00 $29,347,187.94 $27,938,521.23 $1,291,509.50 $1,981,676.44 $355,118.87 Non-US Fixed Income REPUBLIC OF ARGENTINA - ARS FLOATING RATE NOTE DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN ARARGE03E147 SEDOL B1MYWX3 EC0698-9B-7 ARS 5.67% 108.86 2,000,000.00 2,177,220.00 2,081,180.56 96,039.44 162,500.00 47,846.00 7.42% 56.03 2,019,592.88 1,131,476.91 1,151,167.93 (19,691.02) 121,175.57 PROT36 10,097.96 7.18% Quantity Value Original Cost Unrealized Gain/Loss Yield 7.09% 2.88 10,000,000.00 287,516.80 318,000.00 (30,483.20) 80,233.37 57,054.73 28.25% Account Page 16 of 36 Consolidated Statement Page 19 PROT37 FINANCIAL TRUST COMPANY INC ACCT. • Price Non-US Fixed Income REPUBLIC OF ARGENTINA NOTES DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN US040114GM64 SEDOL BOS5NQ3 042993-9S-6 Total Non-US Fixed Income $1,113,416.80 $1,356,750.00 ($243,333.20) $317,885.87 $226,524.73 Complementary Structured Strategies JPY CALL CAD PUT FX EUROPEAN STYLE OPTION OCT 08, 2013 @ 76.9 AT EXP KI @ 69.65 XJPYCA-SJ-Z CAD JPY PUT CAD CALL FX EUROPEAN STYLE OPTION OCT 08, 2013 @ 80.9 XJPYPB-AZ-Z CAD HSBC MARKET PLUS MXN NOTE 11/2/12 LNKED TO MXN VS USD 25% BUFFER, 9.75%CPN, 100%MAXRTN 10/26/11 4042K1-RA-3 109.42 1,000,000.00 1,094,200.00 1,000,000.00 94,200.00 0.05 809,000,000.00 384,269.73 347,756.17 36,513.56 28.92% Quantity Value Original Cost Unrealized Gain/Loss Yield PROT38 11.01 7,500,000.00 825,900.00 1,038,750.00 (212,850.00) 237,652.50 169,470.00 29.15% 0.05 (769,000,000.00 ) (408,785.11) (347,756.17) (61,028.94) Account Page 17 of 36 Consolidated Statement Page 20 PROT39 Price Complementary Structured Strategies JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 4662A0-40-1 Total Complementary Structured Strategies Quantity Value Original Cost Unrealized Gain/Loss Yield 95.70 8/24/12 $2,505,184.62 $2,500,000.00 $5,184.62 1,500,000.00 1,435,500.00 1,500,000.00 (64,500.00) 93,000.00 3,874.50 $93,000.00 $3,874.50 8.02% 4.60% Market Value Receivable Trade Date Foreign Exchange Contracts MEXICAN NEW PESO SWISS FRANC US DOLLAR EURO CURRENCY Total Foreign Exchange Contracts Aug. 17 12 Sep. 21 12 Aug. 1 12 Nov. 5 12 MXN USD CHF EUR 12,900,000.00 (976,355.54) PROT40 11,990,000.00 (10,000,000.00) 13.212400 1.199000 13.283292 1.200201 971,144.79 976,355.54 12,602,057.52 12,614,679.65 $13,573,202.31 $13,591,035.19 (5,210.75) (12,622.13) ($17,832.88) Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Account Page 18 of 36 Consolidated Statement Page 21 PROT41 Portfolio Activity Summary - U S Dollar Beginning Cash Balance Current Transactions INFLOWS Income Contributions Foreign Exchange - Inflows Total Inflows OUTFLOWS ** Withdrawals Foreign Exchange - Outflows Total Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance 13,404,537.62 (11,123,871.79) $2,280,665.83 $14,042,698.92 * Year to date information is calculated on a calendar year basis. ** Your account's standing instructions use a FIRST IN, FIRST OUT method for relieving assets from your position 66,210,955.18 (76,432,449.87) ($10,221,494.69) -Period Value 11,364,702.19 382,413.75 23,479.00 978,636.89 $1,384,529.64 (14,985.94) (972,212.80) ($987,198.74) Year-To-Date Value* -1,659,053.18 1,051,933.65 25,807,154.55 $28,518,141.38 (31,218.35) (25,411,419.21) ($25,442,637.56) Current PROT42 Securities Transferred In/Out Securities Transferred Out Period Value (0.01) Year-To-Date Value* (1,027,912.77) Current Cost Adjustments Cost Adjustments Total Cost Adjustments Period Value $0.00 Year-To-Date Value* 13,020.83 $13,020.83 Account Page 19 of 36 Consolidated Statement Page 22 PROT43 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method 8/1 8/1 8/6 8/10 8/15 8/16 8/16 Corporate Interest Interest Income Misc Disbursement Div Domest Interest Income Misc Receipt Accrued Int Paid Description SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 (ID: 842400-FU-2) DEPOSIT SWEEP INTEREST FOR JULY @ .01% RATE ON NET AVG COLLECTED BALANCE OF $10,316,918.79 AS OF 08/01/12 LONG TOTAL RETURN SWAP 4,044,412.80 USD NOTIONAL APPLE INC MAT FEB 05 2013 DEAL 9966782 SWAP RESET PAYMENT (ID: SWPBDP-MH-9) CIT GROUP INC 144A 7% MAY 02 2016 JUN 15 2011 (ID: 125581-FZ-6) ALLY FINANCIAL INC 8 1/2% PFD @ 0.53125 PER SHARE (ID: 02005N-30-8) HCA INC 6 1/2% FEB 15 2016 DTD 2/8/2006 (ID: 404119-AR-0) GMAC CAPITAL TRUST I PFD STK 8 1/8% @ 0.507813 PER SHARE (ID: 361860-20-8) LONG TOTAL RETURN SWAP 4,044,412.80 USD NOTIONAL APPLE INC MAT FEB 05 2013 DEAL 9966782 SWAP RESET PAYMENT (ID: SWPBDP-MH-9) ENTRY REVERSED ON 08/21/2012 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 61.00 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 08/13/12 FACE VALUE 6,781,882.00 (ID: 576434-EY-6) 3,412,000.000 0.00 PROT44 0.001 (4,157.27) 5,000,000.000 126,600.000 1,500,000.000 80,000.000 0.018 0.531 0.033 0.508 87,500.00 67,256.25 48,750.00 40,625.04 23,479.00 (14,985.94) Quantity Cost 3,000,000.000 Per Unit Amount 0.034 Amount 101,041 67 87.38 Account Page 20 of 36 Consolidated Statement Page 23 PROT45 Type 8/16 8/16 8/20 Accrued Int Recd Description SEQUOIA MORTGAGE TRUST SER 2003-1 CL B1 FLOATING RATE APR 20 2033 DTD 02/27/2003 (ID: 81743P-AH-9) ENTRY REVERSED ON 08/22/2012 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 (ID: 4662A0-4Q-1) BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 CL M1 VAR RT 11/25/2034 DTD 10/29/2004 @ 47.00 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 08/15/12 FACE VALUE 10,000,000.00 (ID: 073879-LR-7) 8/20 8/21 BANC OF AMERICA FUNDING CORPORATION SER 2006-G CL 2A5 FLOATING RATE JUL 20 2036 DTD 07/31/2006 (ID: 05950M-AF-7) TO REVERSE ENTRY OF 08/16/2012 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 61.00 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 08/13/12 FACE VALUE 6,781,882.00 AS OF 08/16/12 (ID: 576434-EY-6) 8/21 ENTRY REVERSED ON 08/22/2012 MASTR ALTERNATIVE (BIDL) TRADE DATE 08/13/12 FACE VALUE 3,412,000.00 (ID: 576434-EY-6) 8/21 8/22 CIT GROUP INC 144A 7% MAY 02 2016 JUN 15 2011 AS OF 08/20/12 (ID: 125581-FZ-6) TO REVERSE ENTRY OF 08/16/2012 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 AS OF PROT46 08/16/12 (ID: 4662A0-4Q-1) Account Page 21 of 36 Consolidated Statement Page 24 5,000,000.000 1,500,000.000 0.005 1,924.45 (7,750.00) 1,562,869.955 0.00 0.003 (4,157.27) (3,412,000.000 ) 0.00 0.001 4,157.27 2,414,447.720 1,095.17 2,236,842.500 0.00 0.001 (1,480.12) 1,500,000.000 0.005 7,750.00 Quantity Cost Per Unit Amount 1,745,472.480 0.001 Amount 1,975.14 PROT47 Type 8/22 Description TO REVERSE ENTRY OF 08/21/2012 MASTR SECURITIES LLC (BIDL) TRADE DATE 08/13/12 FACE VALUE 3,412,000.00 AS OF 08/21/12 (ID: 576434-EY-6) 8/22 ENTRY REVERSED ON 08/28/2012 MASTR ALTERNATIVE (BIDL) TRADE DATE 08/13/12 FACE VALUE 3,412,000.00 (ID: 576434-EY-6) 8/22 8/23 8/23 8/27 FX Fwd Contract FX Fwd Contract AMERICAN CAPITAL LTD 8.96% DEC 31 2013 DTD 06/28/2010 (ID: 02503Y-AF-0) SETTLE FORWARD CURRENCY CONTRACT BUY MXN SELL USD CONTRACT RATE : 13.268700000 TRADE 7/19/12 VALUE 8/23/12 (ID: OMXNPR-AA-7) SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL MXN CONTRACT RATE : 13.181600000 TRADE 8/17/12 VALUE 8/23/12 (ID: OMXNPR-AA-7) BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 CL M1 VAR RT 11/25/2034 DTD 10/29/2004 (ID: 073879-LR-7) BANC OF AMERICA MORTGAGE SECURITIES SER 2007-1 CL 2Al2 6% JAN 25 2037 DTD 02/27/2007 (ID: 05952H-BY-4) CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 5.4204% FEB 25 2035 DTD 02/01/2005 (ID: 172973-P9-4) 2,047,535.690 PROT48 0.005 9,255.46 2,027,700.746 0.005 10,138.50 2,236,842.500 0.001 1,752.39 (12,900,000.000 ) (983,250.44) 978,636.89 2,000,000.000 12,900,000.000 983,250.44 0.011 22,995.56 (972,212.80) 1,716,594.860 0.00 0.002 (4,157.27) Quantity Cost Per Unit Amount (1,562,869.955 ) 0.00 0.003 Amount 4,157.27 Account Page 22 of 36 Consolidated Statement Page 25 PROT49 Type 8/28 Description TO REVERSE ENTRY OF 08/22/2012 MASTR SECURITIES LLC (BIDL) TRADE DATE 08/13/12 FACE VALUE 3,412,000.00 AS OF 08/22/12 (ID: 576434-EY-6) 8/28 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 61.00 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 08/13/12 FACE VALUE 3,412,000.00 (ID: 576434-EY-6) 8/28 COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 @ 77.00 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 08/23/12 FACE VALUE 3,325,000.00 (ID: 12669E-RR-9) Total Inflows & Outflows SECURITIES TRANSFERRED IN/OUT Notes: Securities Transferred Out 8/20 Free Delivery Description SEQUOIA MORTGAGE TRUST SER 2003-1 CL B1 FLOATING RATE APR 20 2033 DTD 02/27/2003 (ID: 81743P-AH-9) $397,330.90 1,598,989.907 0.00 0.004 (6,400.12) 1,694,219.800 0.00 0.002 (4,103.02) Quantity Cost Per Unit Amount PROT50 (1,716,594.860 ) 0.00 0.002 Amount 4,157.27 * Transaction Market Value is representative of the prior trading day's market value. This is for informational purposes only and is not to be used for any financial or tax purposes. The Transaction Market Value shown is in USD. Type Quantity Cost (0.010) 0.01 Transaction Market Value * (0.01) Account Page 23 of 36 Consolidated Statement Page 26 PROT51 TRADE ACTIVITY Note: 0 Trade Date Settle Date 7/27 8/1 8/7 8/7 8/2 8/7 8/2 8/7 8/3 8/8 8/3 8/8 8/2 8/8 8/6 8/9 L indicates Long Term Realized Gain/Loss indicates Ordinary Income Realized Gain S indicates Short Term Realized Gain/Loss Settled transaction was initiated in prior statement period and settled in current statement period Type Selection Method Description Sale FIFO Redemption Pro Rata Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO CHESAPEAKE LODGING TRUST PFD 7 3/4% @ 25.16891 927,046.46 BROKERAGE 1,841.65 TAX &/OR SEC 20.77 J.P. MORGAN SECURITIES LLC PROT52 (ID: 165240-20-1) DB CONT BUFF EQ MS 08/07/12 25% CONTIN BARRIER13%CPN 30% CAP INITIAL LEVEL-07/15/11 MS:21.09 TO REDEMPTION (ID: 2515A1-A7-6) BOARDWALK PIPELINE PARTNERS @ 27.2572 68,143.00 BROKERAGE 125.00 TAX &/OR SEC 1.53 J.P. MORGAN SECURITIES LLC (ID: 096627-10-4) IDENIX PHARMACEUTICALS INC @ 8.01609 126,253.42 BROKERAGE 787.50 TAX &/OR SEC 2.83 J.P. MORGAN SECURITIES LLC (ID: 45166R-20-4) FACEBOOK INC-A @ 20.01632 350,285.60 BROKERAGE 875.00 TAX &/OR SEC 7.85 J.P. MORGAN SECURITIES LLC (ID: 30303M-10-2) VANTIV INC - CL A @ 22.0632 55,158.00 BROKERAGE 125.00 TAX &/OR SEC 1.24 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) ELOQUA INC @ 13.038 26,076.00 BROKERAGE 100.00 TAX &/OR SEC .59 J.P. MORGAN SECURITIES LLC (ID: 290139-10-4) AMERICAN INTERNATIONAL GROUP INC NEW @ 31.7346 199,927.98 BROKERAGE 315.00 TAX &/OR SEC 4.48 J.P. MORGAN SECURITIES LLC (ID: 026874-78-4) Account Page 24 of 36 Consolidated Statement Page 27 (6,300.000) 31.684 199,608.50 (192,150.00) 7,458.50 S (2,000.000) 12.988 25,975.41 (23,000.00) 2,975.41 S (2,500.000) 22.013 55,031.76 (54,750.00) 281.76 S (17,500.000) 19.966 349,402.75 (665,000.00) (315,597.25) S (15,750.000) 7.966 125,463.09 (126,000.00) (536.91) S (2,500.000) 27.207 PROT53 68,016.47 (69,500.00) (1,483.53) S (1,000,000.000 ) 61.80 617,828.35 (1,000,000.00) (382,171.65) L Quantity (36,833.000) Per Unit Amount 25.118 Proceeds 925,184.04 Tax Cost (920,825.00) Realized Gain/Loss 4,359.04 S* PROT54 Trade Date Settle Date 8/6 8/9 8/6 8/9 8/7 8/10 8/7 8/10 8/8 8/13 8/8 8/13 8/8 8/13 8/8 8/13 8/8 8/14 Type Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO KIMCO REALTY CORP PFD 5 1/2% @ 24.60166 158,090.27 BROKERAGE 257.04 TAX &/OR SEC 3.55 J.P. MORGAN SECURITIES LLC (ID: 49446R-77-8) DDR CORP PFD 6 1/2% @ 24.75 990,000.00 BROKERAGE 1,600.00 TAX &/OR SEC 22.18 J.P. MORGAN SECURITIES LLC (ID: 23317H-60-7) HEALTH CARE REIT INC @ 59.04819 162,382.52 BROKERAGE 110.00 TAX &/OR SEC 3.64 J.P. MORGAN PROT55 SECURITIES LLC (ID: 42217K-10-6) KIMCO REALTY CORP PFD 5 1/2% @ 24.54322 161,347.13 BROKERAGE 262.96 TAX &/OR SEC 3.62 J.P. MORGAN SECURITIES LLC (ID: 49446R-77-8) KILROY REALTY CORP @ 46.42128 92,842.56 BROKERAGE 100.00 TAX &/OR SEC 2.08 J.P. MORGAN SECURITIES LLC (ID: 49427F-10-8) KINDER MORGAN MANAGEMENT LLC @ 73.26444 197,813.99 BROKERAGE 108.00 TAX &/OR SEC 4.44 J.P. MORGAN SECURITIES LLC (ID: 49455U-10-0) PEREGRINE SEMICONDUCTOR CORP @ 14.634 14,634.00 BROKERAGE 100.00 TAX &/OR SEC .33 J.P. MORGAN SECURITIES LLC (ID: 71366R-70-3) WILLIAMS PARTNERS LP @ 50.87 50,870.00 BROKERAGE 100.00 TAX &/OR SEC 1.14 J.P. MORGAN SECURITIES LLC (ID: 96950E-10-4) BLOOMIN' BRANDS INC @ 11.93077 21,475 39 BROKERAGE 100.00 TAX &/OR SEC .49 J.P. MORGAN SECURITIES LLC (ID: 094235-10-8) (1,800.000) 11.875 21,374.90 (19,800.00) 1,574.90 S (1,000.000) 50.769 50,768.86 (51,430.00) (661.14) S (1,000.000) 14.534 14,533.67 (14,000.00) 533.67 S (2,700.000) 73.223 197,701.55 (198,450.00) (748.45) S (2,000.000) 46.37 92,740.48 (92,200.00) 540.48 S (6,574.000) 24.503 161,080.55 (164,350.00) (3,269.45) S (2,750.000) 59.007 PROT56 162,268.88 (161,562.50) 706.38 S (40,000.000) 24.709 988,377.82 (1,000,000.00) (11,622.18) S Quantity (6,426.000) Per Unit Amount 24.561 Proceeds 157,829.68 Tax Cost (160,650.00) Realized Gain/Loss (2,820.32) S Account Page 25 of 36 Consolidated Statement Page 28 PROT57 Trade Date Settle Date 8/9 8/9 8/14 [repeated 5 times] 8/10 8/15 8/13 8/16 8/13 8/16 8/14 8/17 Type Sale 8/14 FIFO Sale FIFO Expired Option FIFO Expired Option FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO INFINITY PHARMACEUTICALS INC @ 14.94506 33,626.39 BROKERAGE 100.00 TAX &/OR SEC .76 J.P. MORGAN SECURITIES LLC (ID: 45665G-30-3) SUBURBAN PROPANE PARTNERS L P UNITS OF LIMITED PARTNERSHIP @ 36.9775 73,955.00 BROKERAGE 100.00 TAX &/OR SEC 1.66 J.P. MORGAN SECURITIES LLC (ID: 864482-10-4) BRT CALL OPTION ABC INC USD PUT OPTION STRIKE 140.00 EXPIRING 08/13/2012 250,000 BARRELS EXPIRATION OF PURCHASED OTC CALL (ID: OTCBDC-JZ-N) BRT PUT OPTION USD CALL OPTION STRIKE 100.00 PROT58 EXPIRING 08/13/2012 250,000 BARRELS EXPIRATION OF WRITTEN OTC PUT (ID: OTCBDP-JN-G) MANCHESTER UNITED PLC-CL A @ 14.01683 40,999.23 BROKERAGE 117.00 TAX &/OR SEC .92 J.P. MORGAN SECURITIES LLC (ID: G5784H-10-6) SEQUOIA MORTGAGE TRUST SER 2003-1 CL B1 FLOATING RATE APR 20 2033 DTD 02/27/2003 @ 69.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 8,000,000.00 (ID: 81743P-AH-9) WELLS FARGO & COMPANY PFD 5.2% @ 25.02 250,200.00 BROKERAGE 400.00 TAX &/OR SEC 5.61 J.P. MORGAN SECURITIES LLC (ID: 949746-74-7) UNITS - MARKWEST ENERGY PARTNERS L P @ 50.66454 55,730.99 BROKERAGE 100.00 TAX &/OR SEC 1.25 J.P. MORGAN SECURITIES LLC (ID: 570759-10-0) (1,100.000) 50.572 55,629.74 (55,792.00) (162.26) S (10,000.000) 24.979 249,794.39 (250,000.00) (205.61) S (1,745,472.480 ) 69.00 1,204,376.01 (1,047,283.48) 157,092.53 S (2,925.000) 13.977 40,881.31 (40,950.00) (68.69) S 125.000 136,250.00 136,250.00 S (250.000) (200,000.00) (200,000.00) S (2,000.000) 36.927 73,853.34 (75,220.00) (1,366.66) S Quantity (2,250.000) Per Unit Amount 14.90 PROT59 Proceeds 33,525.63 Tax Cost (32,625.00) Realized Gain/Loss 900.63 S Account Page 26 of 36 Consolidated Statement Page 29 PROT60 Trade Date Settle Date Type 8/20 8/20 8/21 8/21 8/16 8/21 8/17 8/22 8/17 8/22 8/27 [repeated 6 times] Principal Payment BANC OF AMERICA FUNDING CORPORATION SER 2006-G Pro Rata CL 2A5 FLOATING RATE JUL 20 2036 DTD 07/31/2006 PAYMENT A/C PRINCIPAL (ID: 05950M-AF-7) Principal Payment CIT GROUP INC 144A 7% MAY 02 2016 JUN 15 2011 PAYMENT A/C PRINCIPAL AS OF 08/20/12 Pro Rata (ID: 125581-FZ-6) Sale FIFO Sale FIFO Sale FIFO Redemption Pro Rata SL GREEN REALTY CORP PFD 6.5% @ 24.80776 744,232.80 BROKERAGE 1,200.00 TAX &/OR SEC 16.68 J.P. MORGAN SECURITIES LLC (ID: 78440X-50-7) ARES CAPITAL CORPORATION @ 16.84 50,520.00 BROKERAGE 120.00 TAX &/OR SEC 1.14 J.P. MORGAN SECURITIES LLC (ID: 04010L-10-3) KILROY REALTY CORP PFD % 6.375 @ 24.65 7,395.00 BROKERAGE 100.00 TAX &/OR SEC .17 J.P. MORGAN SECURITIES LLC (ID: 49427F-80-1) PROT61 AMERICAN CAPITAL LTD 8.96% DEC 31 2013 DTD 06/28/2010 ENTIRE ISSUE CALLED @ 100.00 (ID: 02503Y-AF-0) Principal Payment BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 Pro Rata CL M1 VAR RT 11/25/2034 DTD 10/29/2004 PAYMENT A/C PRINCIPAL (ID: 073879-LR-7) Principal Payment BANC OF AMERICA MORTGAGE SECURITIES SER 2007-1 Pro Rata CL 2Al2 6% JAN 25 2037 DTD 02/27/2007 PAYMENT A/C PRINCIPAL (ID: 05952H-BY-4) Principal Payment CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 Pro Rata 5.4204% FEB 25 2035 DTD 02/01/2005 PAYMENT A/C PRINCIPAL (ID: 172973-P9-4) (35,620.240) 100.00 35,620.24 (29,564.80) 6,055.44 S (8,107.870) 100.00 8,107.87 (4,621.49) 3,486.38 S (50,785.450) 100.00 50,785.45 (23,869.16) 26,916.29 S (2,000,000.000 ) 100.00 2,000,000.00 (2,031,000.00) (31,000.00) S (300.000) 24.316 7,294.83 (7,500.00) (205.17) S (3,000.000) 16.80 50,398.86 (50,430.00) (31.14) S (30,000.000) 24.767 743,016.12 (750,000.00) (6,983.88) S (989,717.170) PROT62 100.00 989,717.17 (935,282.73) 33,480.70 L 20,953.74 0 Quantity (35,712.320) Per Unit Amount 100.00 Proceeds 35,712.32 Tax Cost (23,213.01) Realized Gain/Loss 12,499.31 S Account Page 27 of 36 Consolidated Statement Page 30 PROT63 Trade Date Settle Date 8/23 8/28 8/28 8/31 8/28 8/31 Type Sale FIFO Sale FIFO Sale FIFO SG MARKET PLUS SPX 02/07/13 75% CONTIN BARRIER6.25%CPN ,UNCAPPED INITIAL LEVEL-08/03/11 SPX:1,260.34 @ 110.58 JP MORGAN SECURITIES LLC (BIDL) (ID: 78423A-2Y-7) KILROY REALTY CORP PFD % 6.375 @ 24.55299 778,329.78 BROKERAGE 1,268.00 TAX &/OR SEC 17.44 J.P. MORGAN SECURITIES LLC (ID: 49427F-80-1) REGENCY CENTERS CORP PFD 6% @ 25.00029 625,007.25 BROKERAGE 1,000.00 TAX &/OR SEC 14.01 J.P. MORGAN SECURITIES LLC (ID: 758849-80-6) Total Settled Sales/Maturities/Redemptions $13,404,537.62 ($13,752,269.17) ($137,090.95) L ($231,594.34) S $20,953.74 0 (25,000.000) 24.96 623,993.24 (625,000.00) (1,006.76) S (31,700.000) 24.512 777,044.34 (792,500.00) (15,455.66) S Quantity (2,000,000.000 ) Per Unit Amount PROT64 110.60 Proceeds 2,211,600.00 Tax Cost (2,000,000.00) Realized Gain/Loss 211,600.00 L Trade Date Settle Date Type Description 7/18 Purchase 8/1 8/2 8/7 8/2 8/7 Purchase Purchase DDR CORP PFD 6 1/2% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 23317H-60-7) BOARDWALK PIPELINE PARTNERS @ 27.80 J.P. MORGAN SECURITIES LLC (ID: 096627-10-4) ELOQUA INC @ 11.50 J.P. MORGAN SECURITIES LLC (ID: 290139-10-4) Quantity 40,000.000 2,500.000 2,000.000 Per Unit Amount 25.00 27.80 11.50 Market Cost (1,000,000.00) * (69,500.00) (23,000.00) Account Page 28 of 36 Consolidated Statement Page 31 PROT65 Trade Date Settle Date Type 8/2 Purchase 8/7 8/3 8/8 8/3 8/8 8/7 8/10 8/7 8/10 8/7 8/13 8/8 8/13 8/8 8/13 8/8 8/13 8/8 8/13 8/9 8/14 8/8 8/14 8/6 8/15 Purchase [repeated 12 times] Description IDENIX PHARMACEUTICALS INC @ 8.00 J.P. MORGAN SECURITIES LLC (ID: 45166R-20-4) VANTIV INC - CL A @ 21.90 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) AMERICAN INTERNATIONAL GROUP INC NEW @ 30.50 PROT66 J.P. MORGAN SECURITIES LLC (ID: 026874-78-4) HEALTH CARE REIT INC @ 58.75 J.P. MORGAN SECURITIES LLC (ID: 42217K-10-6) SL GREEN REALTY CORP PFD 6.5% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 78440X-50-7) BLOOMIN' BRANDS INC @ 11.00 J.P. MORGAN SECURITIES LLC (ID: 094235-10-8) KILROY REALTY CORP @ 46.10 J.P. MORGAN SECURITIES LLC (ID: 49427F-10-8) KINDER MORGAN MANAGEMENT LLC @ 73.50 J.P. MORGAN SECURITIES LLC (ID: 49455U-10-0) PEREGRINE SEMICONDUCTOR CORP @ 14.00 J.P. MORGAN SECURITIES LLC (ID: 71366R-70-3) WILLIAMS PARTNERS LP @ 51.43 J.P. MORGAN SECURITIES LLC (ID: 96950E-10-4) INFINITY PHARMACEUTICALS INC @ 14.50 J.P. MORGAN SECURITIES LLC (ID: 45665G-30-3) SUBURBAN PROPANE PARTNERS L P UNITS OF LIMITED PARTNERSHIP @ 37.61 J.P. MORGAN SECURITIES LLC (ID: 864482-10-4) KILROY REALTY CORP PFD % 6.375 @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 49427F-80-1) 32,000.000 25.00 (800,000.00) Quantity 15,750.000 2,500.000 6,300.000 2,750.000 30,000.000 1,800.000 2,000.000 2,700.000 1,000.000 1,000.000 2,250.000 2,000.000 Per Unit Amount 8.00 21.90 30.50 58.75 25.00 11.00 46.10 73.50 14.00 51.43 14.50 PROT67 37.61 Market Cost (126,000.00) (54,750.00) (192,150.00) (161,562.50) (750,000.00) (19,800.00) (92,200.00) (198,450.00) (14,000.00) (51,430.00) (32,625.00) (75,220.00) Account Page 29 of 36 Consolidated Statement Page 32 PROT68 Trade Date Settle Date Type 8/10 Purchase 8/15 8/9 8/16 8/13 8/16 8/14 8/17 8/13 8/20 8/15 8/20 8/13 8/21 Purchase [repeated 5 times] Description MANCHESTER UNITED PLC-CL A @ 14.00 J.P. MORGAN SECURITIES LLC (ID: G5784H-10-6) WELLS FARGO & COMPANY PFD 5.2% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 949746-74-7) ENTRY REVERSED ON 08/21/2012 MASTR ALTERNATIVE (BIDL) FACE VALUE 6,781,882.00 (ID: 576434-EY-6) UNITS - MARKWEST ENERGY PARTNERS L P @ 50.72 J.P. MORGAN SECURITIES LLC (ID: 570759-10-0) CAPITAL ONE FINANCIAL CO PFD 6% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 14040H-40-2) BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 CL M1 VAR RT 11/25/2034 DTD 10/29/2004 @ 47.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 10,000,000.00 (ID: 073879-LR-7) Purchase TO REVERSE ENTRY OF 08/16/2012 MASTR SECURITIES LLC (BIDL) FACE VALUE 6,781,882.00 AS OF 08/16/12 (ID: 576434-EY-6) 8/13 8/21 PROT69 8/13 8/22 Purchase ENTRY REVERSED ON 08/22/2012 MASTR ALTERNATIVE (BIDL) FACE VALUE 3,412,000.00 (ID: 576434-EY-6) Purchase TO REVERSE ENTRY OF 08/21/2012 MASTR SECURITIES LLC (BIDL) FACE VALUE 3,412,000.00 AS OF 08/21/12 (ID: 576434-EY-6) Account Page 30 of 36 Consolidated Statement Page 33 (1,562,869.955 ) 67.00 1,047,122.87 1,562,869.955 67.00 (1,047,122.87) (3,412,000.000 ) 30.70 1,047,122.87 1,100.000 40,000.000 2,236,842.500 50.72 25.00 47.00 (55,792.00) (1,000,000.00) (1,051,315.98) Quantity 2,925.000 10,000.000 3,412,000.000 Per Unit Amount 14.00 25.00 30.70 Market Cost (40,950.00) (250,000.00) (1,047,122.87) PROT70 Trade Date Settle Date Type 8/13 Purchase 8/22 8/17 8/22 8/14 8/23 8/20 8/27 8/13 8/28 Purchase [repeated 4 times] Description ENTRY REVERSED ON 08/28/2012 MASTR ALTERNATIVE (BIDL) FACE VALUE 3,412,000.00 (ID: 576434-EY-6) ARES CAPITAL CORPORATION @ 16.81 J.P. MORGAN SECURITIES LLC (ID: 04010L-10-3) REGENCY CENTERS CORP PFD 6% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 758849-80-6) JPMORGAN CHASE & CO PFD 5.500% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 48126E-75-0) TO REVERSE ENTRY OF 08/22/2012 MASTR SECURITIES LLC (BIDL) FACE VALUE 3,412,000.00 AS OF 08/22/12 (ID: 576434-EY-6) 8/13 8/28 8/23 8/28 Purchase MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 61.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,412,000.00 (ID: 576434-EY-6) Purchase COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 @ 77.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,325,000.00 (ID: 12669E-RR-9) PROT71 Total Settled Securities Purchased ($11,123,871.79) 1,598,989.907 77.00 (1,231,222.23) 1,694,219.800 61.00 (1,033,474.08) 3,000.000 25,000.000 85,000.000 (1,716,594 860 ) 16.81 25.00 25.00 61.00 (50,430.00) (625,000.00) (2,125,000.00) 1,047,122.87 Quantity 1,716,594.860 Per Unit Amount 61.00 Market Cost (1,047,122.87) Account Page 31 of 36 Consolidated Statement Page 34 PROT72 Portfolio Activity Summary - Canadian Dollar US Dollar Value Current Transactions Beginning Cash Balance Ending Cash Balance Period Value --Portfolio Activity Detail - Canadian Dollar TRADE ACTIVITY - Canadian Dollar Note: C indicates Currency Gain/Loss Per Unit Trade Date Settle Date 8/8 8/8 8/10 Type Sell Option 8/10 FIFO FIFO Quantity JPY PUT CAD CALL FX EUROPEAN STYLE OPTION AUG (832,500,000.000 ) 13, 2012 @ 83.25 RESALE OF PURCHASED FX OPTION (ID: XJPYPA-YX-Z) Option Buyback JPY CALL CAD PUT FX EUROPEAN STYLE OPTION AUG 760,000,000.000 13, 2012 @ 76. KI @ 71 REPURCHASE OF WRITTEN FX OPTION (ID: X.WYCA-RC-Z) Total Settled Sales/Maturities/Redemptions (USD) Amount USD Local Value Proceeds USD Local Value 0.01 (0.01) $0.00 Tax Cost USD Realized Local Value Gain/Loss USD (411,436.90) (395,000.00) 411,436.90 395,000.00 $0.00 (411,436.89) C PROT73 411,436.89 C $0.00 Year-To-Date Value --Local Value Current Period Value 0.01 0.01 Year-To-Date Value --Account Page 32 of 36 Consolidated Statement Page 35 PROT74 Per Unit Trade Date Settle Date 8/8 8/8 8/10 8/8 8/10 Type Sale 8/10 Description JPY CALL CAD PUT FX EUROPEAN STYLE OPTION AUG 13, 2012 @ 76. KI @ 71 REPURCHASE OF WRITTEN FX OPTION (ID: OCADPR-AA-6) Purchase Option JPY PUT CAD CALL FX EUROPEAN STYLE OPTION OCT 809,000,000.000 08, 2013 @ 80.9 PURCHASED FX OPTION PUT 809,000,000.00 JPY CALL 10,000,000.00 CAD (ID: XJPYPB-AZ-Z) Write Option JPY CALL CAD PUT FX EUROPEAN STYLE OPTION OCT (769,000,000.000 ) 08, 2013 @ 76.9 AT EXP KI @ 69.65 WRITTEN FX OPTION CALL 769,000,000.00 JPY PUT 10,000,000.00 CAD (ID: XJPYCA-SJ-Z) Total Settled Securities Purchased (USD) $0.00 $0.00 3.46 347,756.17 346,000.00 3.46 (347,756.17) (346,000.00) Quantity (0.010) Amount USD Local Value Market Cost USD Local Value Currency Gain/Loss USD Account Page 33 of 36 Consolidated Statement Page 36 PROT75 Portfolio Activity Summary - Mexican New Peso Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS ** Total Outflows Period Value -983,250.44 $983,250.44 Foreign Exchange - Outflows Ending Cash Balance * Year to date information is calculated on a calendar year basis. ** Your account's standing instructions use a FIRST IN, FIRST OUT method for relieving assets from your position (983,250.44) ($983,250.44) -Year-To-Date Value* -2,936,278.71 $2,936,278.71 (2,899,419.43) ($2,899,419.43) -Local Value Current Period Value 0.00 12,900,000.00 12,900,000.00 (12,900,000.00) (12,900,000.00) 0.00 Year-To-Date Value* -38,700,000.00 38,700,000.00 (38,700,000.00) (38,700,000.00) -Account Page 34 of 36 Consolidated Statement Page 37 PROT76 Portfolio Activity Detail - Mexican New Peso Per Unit Type 8/23 8/23 FX Fwd Contract FX Fwd Contract Total Inflows & Outflows Description SETTLE FORWARD CURRENCY CONTRACT BUY MXN SELL USD CONTRACT RATE : 13.268700000 TRADE 7/19/12 VALUE 8/23/12 (ID: OMXNPR-AA-7) SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL MXN CONTRACT RATE : 13.181600000 TRADE 8/17/12 VALUE 8/23/12 (ID: OMXNPR-AA-7) $0.00 $6,424.09 978,636.890 (983,250.44) (12,900,000.00) (4,613.55) Quantity (972,212.800) Amount USD Local Value Amount USD Local Value 983,250.44 12,900,000.00 Currency Gain/Loss USD 11,037.64 Account Page 35 of 36 Consolidated Statement Page 38 PROT77 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Speculative MEXICAN NEW PESO U S DOLLAR MEXICAN NEW PESO U S DOLLAR Jul. 19 12 Aug. 23 12 Aug. 17 12 Aug. 23 12 MXN USD 12,900,000.00 (972,212.80) MXN (12,900,000.00) USD 978,636.89 13.268700 13.181600 13.119750 13.119750 (972,212.80) 978,636.89 983,250.44 (983,250.44) 11,037.64 (4,613.55) Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L Account Page 36 of 36 Consolidated Statement Page 39 PROT78 J.P. Morgan Securities LLC 383 Madison Avenue, New York, NY 10179 ACCT. Margin Account J.P. Morgan Team Paul Morris Paul Barrett Janet Young Gina Magliocco Online access Banker Investment Specialist Client Service Team Client Service Team www.jpmorganonline.com Transactions cleared and carried through J.P. Morgan Clearing Corp. Three Chase Metrotech Center, Brooklyn, NY 11245-0001, (347) 643-2578 Please see disclosures located at the end of this statement package for important information relating to each J.P.Morgan account(s). Table of Contents Holdings Equity Page 2 4 5 7 Account Page 1 of 8 Consolidated Statement Page 40 PROT79 MARGIN Cash Equity Market Value Market Value 0.00 0.00 $0.00 Margin Market Value 0.00 304,881.97 $304,881.97 Current Beginning Market Value Withdrawals & Fees Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Period Value 306,937.05 (23.60) ($23.60) (1,862.19) $305,051.26 Short Market Value (19,329.84) 19,499.13 $169.29 Year-to-Date Value 299,802.94 (195.94) ($195.94) (1,004.96) 6,449.22 $305,051.26 Total (19,329.84) 324,381.10 Estimated Current Market Value Annual Income Allocation (2,550.12) PROT80 $305,051.26 ($2,550.12) 100% 100% ACCT. Account Page 2 of 8 Consolidated Statement Page 41 PROT81 Tax Summary Foreign Dividends Taxable Income CONTINUED Current Period Value Year-to-Date Value (1,004.96) ($1,004.96) LT Realized Gain/Loss Realized Gain/Loss Current Period Value Year-to-Date Value (5.94) ($5.94) ACCT. To-Date Value $11,237.88 Cost Summary Equity Total 324,381.10 Cost $293,813.38 (30,567.72) Investment Objectives Speculation Permitted Capital Appreciation Yes Yes Account Page 3 of 8 Consolidated Statement Page 42 PROT82 Equity Summary Non-US Equity Beginning Market Value (17,467.65) Ending Market Value (19,329.84) Change In Value (1,862.19) Current Allocation ACCT. Current Market Value/Cost Market Value Tax Cost Estimated Annual Income Equity Detail Price Non-US Equity TELEFONICA S A SPONS ADR 879382-20-8 TEF Quantity Account Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield Period Value (19,329.84) (30,567.72) 11,237.88 (2,550.12) 12.56 (1,539.000) Short (19,329.84) (30,567.72) 11,237.88 (2,550.12) PROT83 13.19% Account Page 4 of 8 Consolidated Statement Page 43 PROT84 Cash & Fixed Income Summary Beginning Cash Market Value 324,404.70 ACCT. Ending Market Value 324,381.10 Change In Value (23.60) Current Allocation 100% Current Market Value/Cost Market Value Tax Cost SUMMARY BY MATURITY 1 0-6 months 1 Period Value 324,381.10 324,381.10 SUMMARY BY TYPE Market Value 324,381.10 % of Bond Portfolio 100% The years indicate the number of years until the bond is scheduled to mature based on the statement end date. Some bonds may be called, or paid in full, before their stated maturity. Cash Market Value 324,381.10 % of Bond Portfolio 100% Account Page 5 of 8 Consolidated Statement Page 44 PROT85 PROT86 Cash & Fixed Income Detail Quantity Price Cash US DOLLAR US DOLLAR Total Cash 1.00 1.00 304,881.97 Margin 19,499.13 Short 304,881.97 19,499.13 $324,381.10 304,881.97 19,499.13 $324,381.10 $0.00 $0.00 0.00% Account Value Original Cost Unrealized Gain/Loss Yield Account Page 6 of 8 Consolidated Statement Page 45 PROT87 Portfolio Activity Summary Beginning Cash Balance Transactions INFLOWS Total Inflows Income $0.00 OUTFLOWS ** Total Outflows Short Fees Charged TRADE ACTIVITY Total Trade Activity (23.60) ($23.60) $0.00 Ending Cash Balance $324,381.10 * Year to date information is calculated on a calendar year basis. ** Your account's standing instructions use a FIRST IN, FIRST OUT method for relieving assets from your position Current Period Value 324,404.70 Year-To-Date Value* -(1,004.96) ($1,004.96) (195.94) ($195.94) (5.94) ($5.94) -Account Page 7 of 8 Consolidated Statement Page 46 PROT88 For the Period 8/1/12 to 8/ Portfolio Activity Detail Type Settle Date Selection 8/13 8/13 8/20 8/20 8/21 8/27 8/27 Description Mark to Market Adj MARK TO [repeated 4 times] Misc Debit SHORT DEBIT FEE 07/21-08/20 Mark to Market Adj MARK TO Mark to Market Adj MARK TO Total Inflows & Outflows Quantity Cost Per Unit Amount Amount 1,569.78 (1,569.78) 1,231.20 (1,231.20) (23.60) (600.21) 600.21 ($23.60) Account Page 8 of Consolidated Statement Page ACCT. 31/12 Method MARKET [repeated 4 times] SHORT POS SUB-ACCOUNT: SUB-ACCOUNT: MGN SHORT POS SUB-ACCOUNT: SUB-ACCOUNT: MGN SUB-ACCOUNT: MGN MARKET SHORT POS SUB-ACCOUNT: MARKET SUB-ACCOUNT: MGN 8 47 SHT PROT89 For your convenience we have combined statement(s) for activity you conduct through J.P. Morgan in one package. Below are important disclosures relating to these different accounts. These statements may relate to various account types. Some of the disclosures are applicable to all of your accounts. For ease of reference the disclosures applicable to a particular type of account have been grouped together by descriptive headers. IMPORTANT GENERAL INFORMATION APPLICABLE TO ALL OF YOUR ACCOUNT(S) Important Information about Pricing ,Valuations, Estimated Annual Income, and Estimated Yield Market value information (including without limitation, prices, exchange rates, accrued income and bond ratings) furnished herein, some of which has been provided by pricing sources that J.P. Morgan believes to be reliable, is not guaranteed for accuracy but provided for informational purposes and is furnished for the exclusive use of the client. The current price is the value of the financial asset share, unit or contract as priced at the close of the market on the last day of the statement period or the last available price. All values provided for structured yield deposits (for example, JPMorgan London Time Deposits) reflect the original deposit amount only. The value for Real Estate, Mineral Interests and Miscellaneous Assets may not reflect the most current value of the asset. Important information regarding Auction Rate Securities (ARS). ARS are debt or preferred securities with an interest or dividend rate reset periodically in an auction. Although there may be daily, weekly and monthly resets, there is no guarantee that there will be liquidity. If there are not enough bids at an auction to redeem the securities available for sale, the result may be a failed auction. In the event of a failed auction, there is no assurance that a secondary market will develop or that the security will trade at par or any other price reflected on statements and online. Accordingly, investors should not rely on pricing information appearing in their statements or online with respect to ARS. When J.P. Morgan is unable to obtain a price from an internal or outside source for a particular ARS, the price column on your statement will indicate "unpriced". Valuations of over-the-counter derivative transactions, including certain derivatives-related deposit products, have been prepared on a mid-market basis. These valuations are sourced from the various issuers of the securities or they are sourced from a third party valuation provider. J.P. Morgan expressly disclaims any responsibility for (1) the accuracy of the models or estimates used in deriving the valuations, (2) any errors or omissions 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 details of each transaction. Certain assets, including but not limited to, pooled and private investments, non-publicly traded and infrequently traded securities, derivatives, partnership interests and tangible assets are generally illiquid, the value of such asset may have been provided to us by third PROT90 parties who may or may not be independent of the issuer or manager. Such information is reflected as of the last date provided to us, and is not independently verified. In cases where we are unable to obtain a current market value from an internal or outside source for a particular security, the price column on your statement will indicate "unpriced". Although such securities may have value, please note that the value of a security indicated as "unpriced" will not be included in your overall current market value as reflected on the statement. J.P. Morgan makes no representation, warranty or guarantee, express or implied, that any quoted value represents the actual terms at which 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. Such values may only be indicative. When we are unable to obtain a current value from an internal or outside source for a particular security, the price column on your statement will indicate "unpriced". If a partial call is made with respect to an issue of securities included in your Accounts we will allocate the call by a method we deem fair and equitable. To the extent applicable, please note the following regarding estimated annual income (EAI) and estimated yield (EY): EAI and EY for certain types of securities could include a return of principal or capital gains in which case the EAI and EY would be overstated. EAI and EY are estimates and the actual income and yield might be lower or higher than the estimated amounts. EY reflects only the income generated by an investment. It does not reflect changes in its price, which may fluctuate. Offshore Deposits - London and Nassau Disclosures Page 1 of 4 PROT91 Deposits in Foreign Branches are not insured by the FDIC or any other Agency of the Federal Government; amounts in such foreign accounts do not have the benefit of any domestic preference applicable to U.S Banks; certain Foreign accounts are considered reportable to the Internal Revenue Service on a Report of Foreign Bank and Financial Accounts (TD F 90-22.1). Bank products and services are offered through JPMorgan Chase Bank, N.A. ("JPMCB") and its banking affiliates. Securities are offered by J.P.Morgan Securities LLC ("JPMS") and, to the extent noted below, cleared through J.P. Morgan Clearing Corp. ("JPMCC"). Neither JPMS, nor JPMCC is a bank and are each separate legal entities from its bank or thrift affiliates. Investment Products: Not FDIC Insured -No Bank Guarantee -May Lose Value Fund manager disclosure information available upon request If you have an investment account that is managed by an SEC-Registered Investment Advisor, J.P. Morgan will provide a copy of the advisor's Form ADV II or brochure upon written request. These statements are not official documents for income tax reporting purposes and should not be relied upon for such purposes, including determination of income, cost basis, amortization or accretion, or gain/loss. Such information, which may be inaccurate, incomplete or subject to updating, should be confirmed with your records and your tax advisor. Please take the steps indicated below if you think statement(s) are incorrect or contact your J.P.Morgan team if you require additional information about a transaction on your statement(s). IMPORTANT ADDITIONAL INFORMATION APPLICABLE ONLY TO YOUR ASSET ACCOUNT(S) (LINKED TO JPMS) Your Asset Account consists of a bank account that custodies assets linked to a brokerage account through which securities transactions are executed. As a result, the Asset Account statement(s) reflect brokerage transactions executed through JPMS but (except for exchange listed options) held in custody at JPMCB. Securities purchased or sold through JPMS in U.S. markets (other then mutual funds) are cleared through an affiliate of JPMS, in non-U.S. markets securities are cleared through JPMS. Positions in exchange-listed options are held by JPMCC. For your convenience, however, positions in exchange-listed options are presented in Asset Account statement(s) together with other assets held in such account(s). All pertinent information about your settled and pending purchases and sales effected through your JPMS account during the period covered by these statement(s), is summarized in the "Trade Activity" portion of the statement(s). In Case of Other Errors or Questions About Your Asset Account Statement(s) Please review your statement(s) and promptly report any inaccuracy or discrepancy including possible unauthorized trading activity, unrecorded dividend payments, unaccounted cash positions, PROT92 improper payments or transfers in writing to both the introducing broker, JPMS and the clearing firm, JPMCC at the addresses shown on your statement(s). Any oral communication should be re-confirmed in writing to further protect your rights, including your rights under the Securities Investor Protection Act (SIPA). If you have any questions please contact your J.P.Morgan team. In your written communication, please provide the following information: (1) your name and account number; (2) the dollar amount of the suspected error; and (3) a description of the error and explanation, if you can, why you believe there is an error. If you need more information, you must describe the item you are unsure about. We must receive your written communication no later than 30 days after the statement on which the error or problem appeared is sent or made available. If you do not so notify us, you agree that the statement activity and account balance(s) are correct. JPMCC and JPMS are members of the Securities Investor Protection Corp ("SIPC"), a not-for-profit membership corporation funded by broker-dealers registered with the Securities and Exchange Commission. Securities and cash held for a customer at JPMCC are protected by SIPC up to $500,000 per customer, which includes up to $250,000 of protection for cash. SIPC does not protect against losses from fluctuations in the value of the securities. Assets held in custody by JPMCB are not subject to SIPC. You may obtain information about SIPC, including the SIPC Brochure, on their website, at "www.sipc.org" or by contacting them at (202) 371-8300. In Case of Errors or Questions About Your Electronic Transfers. Disclosures Page 2 of 4 PROT93 Contact your J.P. Morgan Team at one of the telephone numbers on the front of your statements or write us at J.P. Morgan, 500 Stanton Christiana Road, 1/OPS3, Newark, DE 19713-2107 as soon as you can, if you think your statement is wrong or if you need more information about a transfer on the statement. We must hear from you no later than 60 days after we sent you the FIRST statement on which the error or problem appeared. (1) Tell us your name and account number. (2) Describe the error or the transfer you are unsure about, and explain as clearly as you can why you believe it is an error or why you need more information. (3) Tell us the dollar amount of the suspected error. We will investigate your complaint and will correct any error promptly. If we take more than 10 business days (or 20 business days for new accounts) to do this, we will credit your account for the amount you think is in error, so that you will have the use of the money during the time it takes us to complete our investigation. In Case of Errors or Questions About Non-Electronic Transfers (Checks or Deposits) Contact JPMorgan Chase Bank, N.A. ("JPMCB") Member FDIC immediately if a statement is incorrect or if you need more information about any nonelectronic transactions (checks or deposits) on this statement. If any such error appears, you must notify the bank in writing as soon as possible after your statement was made available to you. For more complete details, see the applicable account agreements and appendices that govern your account. Deposit products and services are offered by JPMCB Member FDIC. You must promptly advise your J.P.Morgan representative of material changes in your investment objectives or financial situation or if you wish to modify the management of your account. Unless you inform otherwise, your J.P.Morgan representative will consider the information currently in its files to be complete and accurate. With reference to JPMS and JPMCC: A financial statement of this organization is available to you for personal inspection at its offices, or a copy will be mailed to you upon written request. You should have received (or have made available to you) separate confirmations for each securities transaction. All transactions are subject to the terms and conditions stated on the reverse side of such confirmations and are subject to the constitution, by-laws, customs and interpretations of the marketplace where executed and governed by and construed in accordance with the laws of the State of New York and all applicable federal laws and regulations. Further information with respect to commissions and other charges related to the execution of transactions, including options transactions, has been included in confirmations that were previously furnished or have made available to you. Upon written request, JPMS will promptly supply you with the latest information. IMPORTANT ADDITIONAL INFORMATION APPLICABLE ONLY TO YOUR MARGIN ACCOUNT(S) All positions in your Margin Account Portfolio(s) are held in custody at J.P. Morgan Clearing Corp. ("JPMCC"), Three Chase Metrotech Center, Brooklyn, NY 11245-001, (347) 643-2578. PROT94 If you have a margin account as permitted by law we may use certain securities in such account for, among other things, settling short sales and lending the securities for short sales, and as a result may receive compensation in connection therewith. Please keep the following in mind when using a statement to track your brokerage activity in a margin account: The statement combines your general margin account with the special memorandum account required by Section 220.6 Regulation T. As required by Regulation T, a permanent record of your separate account is available upon your request. Free credit balances in your margin account(s) are not segregated and may be used in the operation of JPMCCs business, subject to the limitations of SEC Rule 15c3-3. Unless otherwise noted, JPMCC or its agents and depositories will hold your securities. Upon your demand, JPMCC will pay to you the amount of your free credit balance, and will deliver to you fully-paid securities held on your behalf. Interest will be charged on any debit balance; the method of calculating interest is described in a letter sent to all margin customers. PRODUCT RELATED DISCLOSURE: IMPORTANT INFORMATION ABOUT ALTERNATIVE INVESTMENTS: FOOTNOTES 1 - 4 Private Equity, Hedge Funds, Exchange Funds, Real Estate and Other Alternative Assets 1. Direct private equity investments and pooled private investments (e.g., interests in limited partnerships and limited liability companies) are generally illiquid securities. Values are estimates only and are not warranted for accuracy or completeness. Values do not represent the actual terms at which transactions or securities could be bought or sold or new transactions could be entered into or the actual terms on which existing transactions could be liquidated as of the date of this statement. Disclosures Page 3 of 4 PROT95 Direct private equity investments are generally valued at cost, unless there is an active secondary trading market in the securities, in which case, direct private equity investments are valued using market prices as of the close of the last business day for this statement period. Pooled private equity investments are valued according to the General Partner's or Manager's stated methodology. Please refer to the limited partnership agreement, limited liability company agreement or other operative documentation for each investment for the specific valuation methodology used by the General Partner or Manager for that investment or for your Investment Management or Trust account contact your J.P. Morgan team. J.P. Morgan expressly disclaims any responsibility for (1) the accuracy of the information and the methodology used by the General Partner or Manager in deriving valuations, (2) any errors or omissions in compiling or disseminating the valuations, and (3) any use to which the valuations are put. Valuations are provided for information purposes only and are intended solely for your own use. Hedge funds generally calculate the price (the "Net Asset Value" or " NAV"), 10-15 business days following the last business day of the month. For that reason, hedge fund NAVs shown will generally be the NAV of the month preceding this statement period. In general, the NAV is stated net of management and incentive fees. The NAV is calculated according to the General Partner's or Manager's stated methodology. Please refer to the limited partnership agreement, limited liability company agreement or other operative documentation for each hedge fund for the specific methodology used by the General Partner or Manager for that hedge fund or for your Investment Management or Trust account contact your J.P. Morgan team. J.P. Morgan expressly disclaims any responsibility for (1) the accuracy of the information and the methodology used by the General Partner or Manager in deriving valuations, (2) any errors or omissions in compiling or disseminating the valuations, and (3) any use to which the valuations are put. Valuations are provided for information purposes only and are intended solely for your own use. These statements do not provide tax reporting on private investments. Please continue to rely upon the General Partner or Manager of the investment vehicle for this information or for your Investment Management or Trust account contact your J.P. Morgan team. 2. The 'Capital Called Since Inception USD' and 'Cash/Security distributions Since Inception USD' columns are updated monthly to reflect activity (capital calls and distributions), if any. 3. Hedge funds generally allow subscriptions on a monthly or quarterly basis. An interest in a hedge fund or hedge fund of funds is generally as of the first business day of the subscription period. Due to early funding requirements by the applicable fund, your account may be debited for the subscription amount prior to the subscription date. Please refer to the applicable hedge fund's operative documentation for further details or for your Investment Management or Trust account contact your J.P. Morgan team. Hedge fund redemptions are generally on a monthly, quarterly or annual basis PROT96 but can sometimes be subject to a multi-year lockup before a redemption is permitted. For redemptions, there is generally a notification period that can be a long interval before the actual redemption date. Redemption proceeds are generally paid 15 calendar days after the final NAV is issued, but can be subject to a holdback of a portion of the proceeds until an annual audit of the Fund has been completed. Please refer to the applicable hedge fund's operative documentation for further details or for your Investment Management or Trust account contact your J.P. Morgan team. Global Access Portfolios share certain characteristics with hedge funds. In particular, an investor who withdraws from a Global Access Portfolio will not receive the withdrawal proceeds in their entirety until 30-60 days after completion of the Portfolio's audit, which may be 18 months or longer after the redemption date. Interest might not be paid on any proceeds pending distribution. These restrictions apply even if the investor's account at JPMorgan is closed. The Confidential Private Placement Memorandum and applicable Supplements contain other important information about the Global Access Portfolios and are available upon request or for your Investment Management or Trust account contact your J.P. Morgan team. 4. Alternative assets may include publicly available mutual funds that utilize non-traditional investment management strategies, for example, strategies commonly employed by hedge funds. Mutual funds generally calculate the price (the "Net Asset Value" or "NAV") on a daily basis and mutual fund NAVs shown on your statement generally will be the NAV as of the close of the last business day for this statement period. Please refer to the applicable mutual fund prospectus for further details. If the applicable mutual fund is a JPMorgan Fund, please refer to disclosures on this statement concerning JPMorgan Funds for other important information. Disclosures Page 4 of 4 PROT97