EFTA Document EFTA01540355

FINANCIAL TRUST COMPANY INC 6100 RED HOOK QUARTER STE B-3 ST THOMAS 00802 VIRGIN ISLANDS, U.S. PROT0 PROT1 For the Period 12/1/12 to 12/31/12 Account Summary Account Number Investment Account(s) Total Value W23560001, 242006862 Beginning Net Market Value 67,905,099.69 304,267.64 $68,209,367.33 Ending Net Market Value 67,729,464.62 303,532.75 $68,032,997.37 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 (175,635.07) (734.89) ($176,369.96) Start on Page 4 36 Client News 2012 Year End Tax 1099's You will be able to view your 2012 Form 1099 on Morgan PROT2 Online beginning Feb 22, 2013. Unless you have selected edelivery, you should expect to receive them via mail shortly thereafter. You may contact your J.P. Morgan Team with any questions. 0000006180.15.0.15.00002.FINAN48.20130108 Consolidated Statement Page 1 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 23,365,867.93 325,236.60 43,613,550.30 $67,304,654.83 904,712.50 $68,209,367.33 Ending Market Value 22,446,963.63 79,346.66 45,088,564.08 $67,614,874.37 418,123.00 $68,032,997.37 Change In Value (918,904.30) (245,889.94) 1,475,013.78 $310,219.54 (486,589.50) ($176,369.96) Estimated 1,370,099.88 Current Annual Income Allocation 33% 1% 1,855,977.01 $3,226,076.89 66% 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 67,304,654.83 (26.98) 1,063,366.86 (753,120.34) $67,614,874.37 418,123.00 $68,032,997.37 Year-to-Date Value 69,562,571.76 (11,379,811.15) 3,701,470.94 5,730,642.82 $67,614,874.37 418,123.00 $68,032,997.37 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 W23560001 24200686 Account Number W23560001 24200686 Beginning Market Value 69,262,768.82 299,802.94 $69,562,571.76 Taxable Income 3,702,475.90 (1,004.96) $3,701,470.94 'Unrealized Gain/Loss represents data from the time of account inception to the current statement period. Net Contributions/ Withdrawals (11,379,527.97) (283.18) ($11,379,811.15 ) Tax-Exempt Income Other Income & Receipts Income & Distributions 3,702,475.90 (1,004.96) $3,701,470.94 Change in Investment Value 5,725,624.87 5,017.95 $5,730,642.82 Realized Gain/Loss PROT7 Short-term 1,940,322.85 $1,940,322.85 Long-term 2,619,579.99 (5.94) $2,619,574.05 Ending Market Value with Accruals 67,729,464.62 303,532.75 $68,032,997.37 Unrealized Gain/Loss, (854.41) 9,806.61 $8,952.20 CONTINUED Consolidated Statement Page 3 PROT8 JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 FINANCIAL TRUST COMPANY INC ACCT. W23560001 Asset Account J.P. Morgan Team Justin Nelson 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). 203/629-3124 212/622-2770 800/634-1318 Table of Contents Holdings Equity Alternative Assets Page 2 4 8 9 17 Account W23560001 Page 1 of 32 Consolidated Statement Page 4 PROT9 Equity Alternative Assets Market Value Accruals Market Value with Accruals Beginning Market Value 23,385,921.10 325,236.60 43,289,229.49 $67,000,387.19 904,712.50 $67,905,099.69 Ending Market Value 22,467,724.74 79,346.66 44,764,270.22 $67,311,341.62 418,123.00 $67,729,464.62 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 (0.03) ($0.03) 1,063,366.86 (752,412.40) $67,311,341.62 418,123.00 $67,729,464.62 Period Value 67,000,387.19 Change In Value (918,196.36) (245,889.94) PROT10 1,475,040.73 $310,954.43 (486,589.50) ($175,635.07) Equity Year-to-Date Value 69,262,768.82 1,203,424.65 (11,045,958.93) (1,536,993.69) ($11,379,527.97 ) 3,702,475.90 5,725,624.87 $67,311,341.62 418,123.00 $67,729,464.62 Estimated 1,372,650.00 Current Annual Income Allocation 33% 1% 1,855,977.01 $3,228,627.01 66% 100% Alternative Assets Cash & Fixed Income Account W23560001 Page 2 of 32 Consolidated Statement Page 5 PROT11 Tax Summary Domestic Dividends/Distributions Foreign Dividends Currency Gain/Loss Interest Income Ordinary Income Accrued Interest Current Year Accrued Interest Subsequent Year Taxable Income CONTINUED Current Period Value 114,593.75 18,125.00 25,686.16 905,345.63 (383.68) $1,063,366.86 Year-to-Date Value 1,101,372.92 77,919.86 193,826.49 2,503,965.11 123,025.58 (292,550.73) (5,083.33) $3,702,475.90 ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value 32,276.18 $32,276.18 Year-to-Date Value 1,940,322.85 2,619,579.99 $4,559,902.84 Unrealized Gain/Loss To-Date Value ($854.41) Cost Summary Equity Total 46,399,766.89 PROT12 Cost 20,801,442.90 $67,201,209.79 Account W23560001 Page 3 of 32 Consolidated Statement Page 6 PROT13 Equity Summary Asset Categories US Large Cap Equity US Small/Mid Cap Equity Non-US Equity Preferred Stocks Concentrated & Other Equity Total Value Market Value/Cost Market Value Tax Cost Estimated Annual Income Accrued Dividends Yield Beginning Market Value 1,600,566.15 624,000.00 963,600.00 6,416,284.00 13,781,470.95 $23,385,921.10 Ending Market Value 1,502,386.45 589,500.00 956,400.00 5,457,782.00 13,961,656.29 $22,467,724.74 Current Period Value 22,467,724.74 20,801,442.90 996,905.55 1,372,650.00 94,024.00 6.07% Preferred Stocks Change In Value (98,179.70) (34,500.00) (7,200.00) (958,502.00) 180,185.34 ($918,196.36) Current PROT14 Allocation 2% 1% 1% 8% 21% 33% US Large Cap Equity US Small/Mid Cap Equity Non-US Equity Concentrated & Other Equity Equity as a percentage of your portfolio - 33 % Account W23560001 Page 4 of 32 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 DEAN FOODS CO FACEBOOK INC-A 04033A-10-0 ARIA 146.37 09062X-10-3 BIIB 16.51 242370-10-4 DF 26.62 30303M-10-2 FB Total US Large Cap Equity $1,502,386.45 $1,637,370.22 ($134,983.77) $0.00 0.00% 17,500.000 465,850.00 665,000.00 (199,150.00) 25,000.000 412,750.00 470,439.75 (57,689.75) 2,095.000 306,645.15 250,454.95 56,190.20 19.18 16,535.000 317,141.30 251,475.52 65,665.78 Quantity Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss PROT16 Est. Annual Inc. Accrued Div. Yield US Small/Mid Cap Equity DEUTSCHE BK AG LDN BRH 11.79 DBL LONG ETN38 25154H-55-8 DAG 50,000.000 589,500.00 352,529.00 236,971.00 Account W23560001 Page 5 of 32 Consolidated Statement Page 8 PROT17 Price Non-US Equity ROYAL BANK SCOTLAND GROUP PLC ADR NON-CUMULATIVE 780097-71-3 RBS PTAA /P-2 Preferred Stocks ALLY FINANCIAL INC 8 1/2% PFD 02005N-30-8 GMAC CAPITAL TRUST I PFD STK 8 1/8% 361860-20-8 Total Preferred Stocks $5,457,782.00 $4,665,016.11 $792,765.89 $431,505.00 7.91% 26.65 80,000.000 2,132,000.00 1,882,773.60 249,226.40 162,480.00 7.62% 23.91 40,000.000 956,400.00 951,600.00 4,800.00 72,520.00 7.58% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 26.27 126,600.000 3,325,782.00 2,782,242.51 543,539.49 269,025.00 8.09% Concentrated & Other Equity PROT18 BANK OF AMERICA CORP 110.53 8 1/8% PFD STK DEC 29 2049 DTD 04/30/2008 060505-DT-8 BB+ /B1 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 Account W23560001 Page 6 of 32 Consolidated Statement Page 9 44.13 71,000.000 3,133,230.00 3,585,969.22 (452,739.22) 168,625.00 5.38% 114.04 2,000,000.000 2,280,860.00 2,122,916.67 157,943.33 142,500.00 6,332.00 6.16% 2,000,000.000 2,210,640.00 2,081,180.56 129,459.44 162,500.00 20,762.00 7.30% PROT19 Price Concentrated & Other Equity 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 50028664 N/O Client SWPBDP-MH-9 Total Concentrated & Other Equity $13,961,656.29 $13,194,927.57 $97,352.43 $868,625.00 $94,024.00 6.17% 75.55 8,860.000 669,376.29 N/A ** N/A Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 113.35 5,000,000.000 5,667,550.00 5,404,861.12 262,688.88 395,000.00 66,930.00 6.89% Account W23560001 Page 7 of 32 Consolidated Statement Page 10 PROT20 Alternative Assets Summary Beginning Real Estate & Infrastructure Hard Assets Estimated Value 164,737.50 160,499.10 Alternative Assets Detail Total Value $325,236.60 Ending Estimated Value 0.00 79,346.66 $79,346.66 Change In Value (164,737.50) (81,152.44) ($245,889.94) Current Allocation 1% 1% Price Quantity Hard Assets BRT CALL OPTION USD PUT OPTION STRIKE 118.50 EXPIRING 02/08/2013 100,000 BARRELS OTCBDC-NB-N BRT PUT OPTION USD CALL OPTION STRIKE 79.00 EXPIRING 02/08/2013 100,000 BARRELS OTCBDP-JQ-W Total Hard Assets $79,346.66 $0.00 16.70 (100.000) (1,670.06) (327,000.00) Estimated Value PROT21 Cost 810.17 100.000 81,016.72 327,000.00 Account W23560001 Page 8 of 32 Consolidated Statement Page 11 PROT22 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 19,010,198.13 1,089,106.76 17,973,354.04 2,383,054.40 2,819,772.34 13,743.82 $43,289,229.49 Ending Market Value 17,750,169.52 1,290,991.15 20,878,788.69 2,221,464.60 3,181,246.31 (558,390.05) $44,764,270.22 Current Period Value 44,764,270.22 46,399,766.89 (1,077,106.62) 1,855,977.01 324,099.00 4.41% Cash Cash & Fixed Income as a percentage of your portfolio 66 % Change In Value (1,260,028.61) 201,884.39 2,905,434.65 PROT23 (161,589.80) 361,473.97 (572,133.87) $1,475,040.73 Current Allocation 26% 2% 30% 3% 5% 66% Non-US Fixed Income Non-USD Cash Complementary Structured Strategies Account W23560001 Page 9 of 32 Consolidated Statement Page 12 PROT24 SUMMARY BY MATURITY 1 0-6 months 6-12 months, 1-5 years, 5-10 years, 10+ years, Total Value 1 SUMMARY BY TYPE Market Value 19,714,576.98 1,015,480.00 7,151,100.00 6,984,125.00 10,457,378.29 $45,322,660.27 % of Bond Portfolio 47% 2% 15% 14% 22% 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 Total Value Market Value 17,750,169.52 1,290,991.15 12,654,320.00 4,020,609.60 6,425,323.69 3,181,246.31 $45,322,660.27 % of Bond Portfolio PROT25 45% 2% 26% 8% 13% 6% 100% Account W23560001 Page 10 of 32 Consolidated Statement Page 13 PROT26 Cash & Fixed Income Summary NET FX CONTRACTS EXPOSURE SUMMARY Value in Currency CANADIAN DOLLAR SWISS FRANC EURO CURRENCY JAPANESE YEN MEXICAN NEW PESO US DOLLAR (10,000,000.00) 12,051,000.00 (10,000,000.00) 822,800,000.00 12,900,000.00 (1,011,828.19) Note: P indicates position adjusted for Pending Trade Activity. Cash & Fixed Income Detail Price Cash US DOLLAR COST OF PENDING PURCHASES Total Cash 1.00 1.00 19,779,308.00 (2,029,138.48 ) 19,779,308.00 (2,029,138.48) $17,750,169.52 19,779,308.00 (2,029,138.48) $17,750,169.52 1,977.93 142.79 $0.00 $1,977.93 $142.79 0.01% 1 Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Income PROT27 Yield 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 0.01% Account W23560001 Page 11 of 32 Consolidated Statement Page 14 PROT28 Price Non-USD Cash ARGENTINE PESO CANADIAN DOLLAR EURO PRINCIPAL CURRENCY Total Non-USD Cash 0.20 1.00 1.32 919,190.00 0.01 837,388.58 186,978.87 0.01 1,104,012.27 $1,290,991.15 187,896.57 0.01 1,076,801.61 $1,264,698.19 (917.70) 27,210.66 $26,292.96 Quantity Value Original Cost Unrealized Gain/Loss Yield $0.00 0.00% HCA INC 108.50 6 1/2% FEB 15 2016 DTD 2/8/2006 404119-AR-0 B- /B3 AMERICAN AXLE & MFG INC 7 7/8% MAR 1 2017 DTD 2/27/2007 02406P-AF-7 B /B2 NRG ENERGY INC 7 5/8% JAN 15 2018 DTD 07/15/2011 629377-BN-1 BB- /B1 HEADWATERS INC PROT29 7.625 04/01/2019 DTD 03/11/2011 42210P-AQ-5 B+ /B2 EARTHLINK INC 8 7/8% MAY 15 2019 DTD 05/17/2011 270321-AC-6 B- /B2 104.75 1,000,000.00 1,047,480.00 1,033,500.00 13,980.00 107.00 1,000,000.00 1,070,000.00 1,035,000.00 35,000.00 76,250.00 19,062.00 88,750.00 11,340.00 6.25% 7.91% 110.75 1,000,000.00 1,107,500.00 1,001,500.00 106,000.00 76,250.00 35,159.00 5.17% 102.75 2,500,000.00 2,568,750.00 2,615,625.00 (46,875.00) 196,875.00 65,625.00 7.10% 1,500,000.00 1,627,500.00 1,530,000.00 97,500.00 97,500.00 36,832.50 3.60% Account W23560001 Page 12 of 32 Consolidated Statement Page 15 PROT30 Price KINDRED HEALTHCARE INC 8 1/4% JUN 01 2019 DTD 06/01/2011 494580-AB-9 NR /B3 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 GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 5.250% 11/25/2032 DTD 11/01/2004 378961-AH-9 BB- /CAA COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 12669E-RR-9 IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 45254N-NB-9 CCC /B2 MORTGAGEIT TRUST 2005-2 CL 1M1 VAR RT 05/25/2035 DTD 04/27/2005 61915R-AD-8 BBB /NR P CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 161630-AK-4 CCC /CA 20.64 74.21 2,008,890.08 4,601,070.99 414,614.82 3,414,500.79 1,406,223.05 4,071,947.83 (991,608.23) (657,447.04) 13,570.05 224.99 137,663.58 11,089.48 28.24% 3.04% 73.62 53.85 1,520,282.70 1,656,462.48 PROT31 1,119,186.51 891,955.35 1,170,617.68 1,159,523.71 (51,431.17) (267,568.36) 81,134.44 6,760.69 14,174.34 11.23% 13.79% 82.23 711,465.11 585,066.22 572,729.41 12,336.81 37,351.91 622.53 5.87% 119.94 1,500,000.00 1,799,145.00 1,627,500.00 171,645.00 148,125.00 6,171.00 6.83% 98.00 2,000,000.00 1,960,000.00 1,966,250.00 (6,250.00) 165,000.00 13,750.00 8.66% Quantity Value Original Cost Unrealized Gain/Loss Yield Account W23560001 Page 13 of 32 Consolidated Statement Page 16 PROT32 Price SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 842400-FU-2 BBB /BAA Total US Fixed Income $20,878,788.69 $22,190,399.18 ($1,311,610.49) Quantity Value Original Cost Unrealized Gain/Loss Yield 109.10 3,000,000.00 3,273,090.00 2,999,982.50 273,107.50 187,500.00 78,123.00 $1,320,144.32 $284,760.19 Non-US Fixed Income PETROLEOS DE VENEZUELA S 8 1/2% NOV 02 2017 DTD 10/29/2010 HELD BY EUROCLEAR ISIN USP7807HAK16 SEDOL BSSCOL3 716550-9A-8 B+ /NA REPUBLIC OF ARGENTINA - ARS FLOATING RATE NOTE DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN ARARGEO3E147 SEDOL B1MYWX3 EC0698-9B-7 ARS 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 $2,221,464.60 PROT33 $2,694,500.00 ($473,035.40) $440,854.76 $35,321.52 Account W23560001 Page 14 of 32 Consolidated Statement Page 17 20.15% 7.11 7,500,000.00 533,475.00 1,038,750.00 (505,275.00) 237,652.50 11,062.50 44.52% 2.25 12/27/12 10,000,000.00 225,489.60 318,000.00 (92,510.40) 75,702.26 3,364.02 33.83% 5.66% 6.85% 97.50 1,500,000.00 1,462,500.00 1,337,750.00 124,750.00 127,500.00 20,895.00 9.15% PROT34 Price 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 GS MXN STEP UP NOTE 11/22/13 LNKD TO MXN VS USD 85%BARRIER- 5% ATM CPN-22.9%MXRTRN 11/08/12 38141G-HY-3 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 4662A0-40-1 Total Complementary Structured Strategies 99.49 12/14/12 $3,181,246.31 $2,500,000.00 $681,246.31 1,500,000.00 1,492,350.00 1,500,000.00 (7,650.00) 93,000.00 3,874.50 $93,000.00 $3,874.50 6.44% 3.02% 101.55 1,000,000.00 1,015,480.00 1,000,000.00 15,480.00 0.09 809,000,000.00 748,233.15 347,756.17 400,476.98 Quantity Value Original Cost PROT35 Unrealized Gain/Loss Yield 0.01 (769,000,000.00 ) (74,816.84) (347,756.17) 272,939.33 Account W23560001 Page 15 of 32 Consolidated Statement Page 18 PROT36 Market Value Receivable Trade Date Foreign Exchange Contracts CANADIAN DOLLAR MEXICAN NEW PESO SWISS FRANC JAPANESE YEN US DOLLAR EURO CURRENCY Total Foreign Exchange Contracts Dec. 4 12 Jan. 8 13 Dec. 18 12 Jan. 22 13 Nov. 2 12 Feb. 6 13 CAD JPY MXN USD CHF EUR (10,000,000.00) 822,800,000.00 12,900,000.00 (1,011,828.19) 12,051,000.00 (10,000,000.00) 82.280000 12.749200 1.205100 86.817315 13.014592 1.206286 9,516,631.51 10,041,424.31 991,195.13 1,011,828.19 13,175,417.02 13,188,381.21 $23,683,243.66 $24,241,633.71 (524,792.80) (20,633.06) (12,964.19) ($558,390.05) Currency Settlement Date Counter Currency PROT37 Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Account W23560001 Page 16 of 32 Consolidated Statement Page 19 PROT38 Portfolio Activity Summary - U S Dollar Beginning Cash Balance Current Transactions INFLOWS Income Contributions Foreign Exchange - Inflows Total Inflows OUTFLOWS ** Withdrawals Interest Purchased Foreign Exchange - Outflows Total Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance 5,610,937.78 (4,244,389.35) $1,366,548.43 $19,779,308.00 * 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 112,490,036.92 (107,609,711.76) $4,880,325.16 -(987,477.11) ($987,477.11) 1,013,163.27 $1,862,947.40 Period Value 17,537,289.28 849,784.13 Year-To-Date Value* -3,202,810.59 1,075,412.65 29,932,418.19 $34,210,641.43 (11,045,958.93) (5,083.33) (29,449,306.12) ($40,500,348.38) Current PROT39 Securities Transferred In/Out Securities Transferred Out Period Value (0.03) Year-To-Date Value* (1,027,912.80) Current Cost Adjustments Cost Adjustments Total Cost Adjustments Period Value $0.00 Year-To-Date Value* 20,937.50 $20,937.50 Account W23560001 Page 17 of 32 Consolidated Statement Page 20 PROT40 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method 12/3 [repeated 4 times] Corporate Interest Interest Income Div Domest Accrued Int Recd Description KINDRED HEALTHCARE INC 8 1/4% JUN 01 2019 DTD 06/01/2011 (ID: 494580-AB-9) DEPOSIT SWEEP INTEREST FOR 11/01/12 - 11/30/12 @ .01% RATE ON AVG COLLECTED BALANCE OF $17,849,336.06 AS OF 12/01/12 GENERAL MOTORS CO CV PFD B @ 0.59375 PER SHARE (ID: 37045V-20-9) TO REVERSE ENTRY OF 11/30/2012 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 AS OF 11/30/12 (ID: 576434-EY-6) 12/3 12/3 12/4 12/6 12/11 [repeated 3 times] MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 (ID: 576434-EY-6) CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 5.4204% FEB 25 2035 DTD 02/01/2005 (ID: 172973-P9-4) ENTRY REVERSED ON 12/28/2012 WELLS FARGO MTGE SEC 2004-EE CL 81 VAR RT 12/25/2034 DTD 12/01/2004 (ID: 949779-AD-4) TO REVERSE ENTRY OF 11/16/2012 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 AS OF 11/16/12 (ID: 4662A0-4Q-1) PRUDENTIAL FINANCIAL INC VAR RT 06/15/2043 DTD 11/19/2012 (ID: 744320-AM-4) 600,000.000 PROT41 0.003 2,062.50 1,500,000.000 0.005 (7,750.00) 2,042,064.189 468.14 1,918,740.679 0.002 3,757.98 1,601,895.680 0.002 3,369.30 71,000.000 1,601,895.680 0.594 0.004 42,156.25 (6,997.77) Quantity Cost 2,000,000.000 Per Unit Amount 0.041 Amount 82,500.00 144.59 Account W23560001 Page 18 of 32 Consolidated Statement Page 21 PROT42 Type 12/13 Accrued Int Paid Description ENTRY REVERSED ON 01/02/2013 CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 @ 88.50 JP MORGAN SECURITIES LLC (BIDL) TRADE DATE 11/28/12 FACE VALUE 8,180,000.00 AS OF 12/03/12 (ID: 161630-AK-4) 12/17 12/18 12/18 12/19 12/19 12/26 Interest Income Div Domest Foreign Interest Foreign Interest FX Fwd Contract Spot FX REGIONS FINANCIAL CORP PFD 6.375% PERPETUAL @ 0.19479 PER SHARE (ID: 7591EP-30-8) GENERAL ELEC CAP CORP 7.125% DEC 15 2049 DTD 06/12/2012 (ID: 369622-SN-6) ENTRY REVERSED ON 12/27/2012 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 (ID: 4662A0-4Q-1) REPUBLIC OF ARGENTINA NOTES DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN US040114GM64 SEDOL BOS5NQ3 AS OF 12/17/12 (ID: 042993-9S-6) LLOYDS TSB BANK PLC MTN 9 7/8% DEC 16 2021 DTD 12/16/2011 HELD BY EUROCLEAR ISIN XS0717735822 SEDOL B7FQXT1 AS OF 12/17/12 (ID: G4715J-9D-3) SETTLE FORWARD CURRENCY CONTRACT BUY MXN SELL USD CONTRACT RATE : 13.063594000 TRADE 11/21/12 VALUE 12/19/12 (ID: OMXNPR-AA-7) SPOT CURRENCY TRANSACTION - SELL BUY USD SELL MXN EXCHANGE RATE 12.732400000 DEAL 12/18/12 VALUE 12/19/12 (ID: OMXNPR-AA-7) COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 (ID: 12669E-RR-9) PROT43 1,537,144.127 0.004 6,852.73 (12,900,000.000 ) (1,013,692.71) 1,013,163.27 12,900,000.000 1,013,692.71 (987,477.11) 1,500,000.000 0.099 148,125.00 7,500,000.000 0.063 469,920.00 25,000.000 2,000,000.000 1,500,000.000 0.195 0.036 0.005 4,869.75 72,437.50 7,750.00 Quantity Cost Per Unit Amount 2,308,259.149 0.00 Amount (383.68) Account W23560001 Page 19 of 32 Consolidated Statement Page 22 PROT44 Type 12/26 12/27 12/28 12/28 12/31 12/31 [repeated 4 times] Foreign Dividend Total Inflows & Outflows Description GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 5.250% 11/25/2032 DTD 11/01/2004 (ID: 378961-AH-9) MORTGAGEIT TRUST 2005-2 CL 1M1 VAR RT 05/25/2035 DTD 04/27/2005 (ID: 61915R-AD-8) IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 (ID: 45254N-NB-9) TO REVERSE ENTRY OF 12/17/2012 JP MORGAN CHASE BANK NA 6.200% 04/16/2015 DTD 04/16/2012 AS OF 12/17/12 (ID: 4662A0-4Q-1) TO REVERSE ENTRY OF 12/04/2012 WELLS FARGO MTGE SEC 2004-EE CL 81 VAR RT 12/25/2034 DTD 12/01/2004 AS OF 12/04/12 (ID: 949779-AD-4) ENTRY REVERSED ON 01/02/2013 WELLS FARGO MTGE SEC 2004-EE CL 81 VAR RT 12/25/2034 DTD 12/01/2004 (ID: 949779-AD-4) WELLS FARGO MTGE SEC 2004-EE CL B1 VAR RT 12/25/2034 DTD 12/01/2004 AS OF 12/26/12 (ID: 949779-AD-4) ROYAL BANK SCOTLAND GROUP PLC ADR NON-CUMULATIVE @ 0.453125 PER SHARE (ID: 780097-71-3) $875,470.29 40,000.000 0.453 18,125.00 2,042,064.200 0.002 PROT45 4,681.20 2,036,368.211 468.14 2,042,064.189 (468.14) 2,027,728.916 1,660,673.290 1,500,000.000 0.001 0.001 0.005 1,094.13 1,179.77 (7,750.00) Quantity Cost Per Unit Amount 724,969.830 0.004 Amount 3,171.74 Account W23560001 Page 20 of 32 Consolidated Statement Page 23 PROT46 SECURITIES TRANSFERRED IN/OUT Notes: Securities Transferred Out 12/14 Free Delivery Description MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 DELIVER OFF FRACTIONAL SHARES TRADE DATE 12/14/12 FACE VALUE 1.00 CLIENT REF 104269092 (ID: 576434-EY-6) 12/17 Free Delivery BEAR STEARNS ASSET BACKED SECURITIES 2004-AC6 CL M1 VAR RT 11/25/2034 DTD 10/29/2004 DELIVER OFF FRACTIONAL SHARES TRADE DATE 12/17/12 FACE VALUE 1.00 CLIENT REF 104269092 (ID: 073879-LR-7) Total Securities Transferred Out ($0.03) (0.020) 0.01 (0.01) * 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 (0.027) 0.02 Transaction Market Value * (0.02) Account W23560001 Page 21 of 32 Consolidated Statement Page 24 PROT47 TRADE ACTIVITY Note: S Trade Date Settle Date 11/8 12/3 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 TO REVERSE ENTRY OF 11/30/2012 MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 72.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,412,000.00 AS OF 11/30/12 (ID: 576434-EY-6) 11/8 12/3 Sale FIFO TO REVERSE ENTRY OF 11/28/2012 CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 5.4204% FEB 25 2035 DTD 02/01/2005 @ 87.50 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,364,000.00 AS OF 11/28/12 (ID: 172973-P9-4) 11/8 12/3 11/8 12/3 11/29 12/4 11/29 12/4 Sale FIFO Sale FIFO Sale FIFO Sale FIFO MASTR ALTERNATIVE LOANS TRUST 2003-4 CL B3 5.812343% 06/25/2033 DTD 05/01/2003 @ 72.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE PROT48 3,412,000.00 (ID: 576434-EY-6) CITICORP MORTGAGE SECURITIES SER 2005-1 CL B2 5.4204% FEB 25 2035 DTD 02/01/2005 @ 87.50 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,364,000.00 (ID: 172973-P9-4) EQUITY RESIDENTIAL S/B/I @ 55.68 111,360.00 BROKERAGE 100.00 TAX &/OR SEC 2.50 J.P. MORGAN SECURITIES LLC (ID: 29476L-10-7) ENTRY REVERSED ON 12/28/2012 WELLS FARGO MTGE SEC 2004-EE CL B1 VAR RT 12/25/2034 DTD 12/01/2004 @ 80.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,275,000.00 (ID: 949779-AD-4) (2,042,064.189 ) 80.00 1,633,651.35 (1,485,601.70) 148,049.65 S* (2,000.000) 55.629 111,257.50 (109,500.00) 1,757.50 S* (1,918,740.679 ) 87.50 1,678,898.10 (1,592,554.76) 86,343.34 S* (1,601,895.680 ) 72.00 1,153,364.89 (977,156.36) 176,208.53 S* 1,918,740.679 89.12 (1,709,974.81) 1,592,554.76 (117,420.05) S* Quantity 1,601,895.680 Per Unit Amount 72.00 Proceeds (1,153,364.89) Tax Cost 977,156.36 Realized Gain/Loss (176,208.53) S* Account W23560001 Page 22 of 32 Consolidated Statement Page 25 PROT49 PROT50 Trade Date Settle Date 11/29 12/5 12/5 12/11 12/6 12/11 12/6 12/11 12/7 12/12 12/7 12/12 [repeated 5 times] 12/5 12/13 Type Selection Method Description Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Expired Option FIFO Expired Option FIFO Sale FIFO AVALONBAY COMMUNITIES INC @ 133.0048 166,256.00 BROKERAGE 100.00 TAX &/OR SEC 3.73 J.P. MORGAN SECURITIES LLC (ID: 053484-10-1) ATLAS PIPELINE PARTNERS L P UNIT OF LIMITED PARTNERSHIP INT @ 30.88 108,080.00 BROKERAGE 140.00 TAX &/OR SEC 2.43 J.P. MORGAN SECURITIES LLC (ID: 049392-10-3) PRUDENTIAL FINANCIAL INC VAR RT 06/15/2043 DTD PROT51 11/19/2012 @ 100.25 JP MORGAN SECURITIES LLC (BIDL) (ID: 744320-AM-4) KAR AUCTION SERVICES INC @ 17.78666 26,679.99 BROKERAGE 100.00 TAX 64/OR SEC .60 J.P. MORGAN SECURITIES LLC (ID: 48238T-10-9) QR ENERGY LP @ 15.90 39,750.00 BROKERAGE 100.00 TAX &/OR SEC .90 J.P. MORGAN SECURITIES LLC (ID: 74734R-10-8) VANTIV INC - CL A @ 20.9125 104,562.50 BROKERAGE 200.00 TAX &/OR SEC 2.35 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) BRT CALL OPTION USD PUT OPTION STRIKE 119.00 EXPIRING 12/11/2012 100,000 BARRELS EXPIRATION OF PURCHASED OTC CALL (ID: OTCBDC-NB-M) BRT PUT OPTION USD CALL OPTION STRIKE 79.50 EXPIRING 12/11/2012 100,000 BARRELS EXPIRATION OF WRITTEN OTC PUT (ID: OTCBDP-JQ-V) WHITEHORSE FINANCE LLC @ 13.90212 71,943.47 BROKERAGE 207.00 TAX &/OR SEC 1.62 J.P. MORGAN SECURITIES LLC (ID: 96524V-10-6) (5,175.000) 13.862 71,734.85 (77,625.00) (5,890.15) S 100.000 233,000.00 233,000.00 S (100.000) (233,000.00) (233,000.00) S (5,000.000) 20.872 104,360.15 (100,500.00) 3,860.15 S (2,500.000) 15.86 39,649.10 (40,600.00) (950.90) S (1,500.000) 17.72 26,579.39 (26,250.00) 329.39 S (600,000.000) 100.25 601,500.00 (599,964.00) 1,536.00 S PROT52 (3,500.000) 30.839 107,937.57 (108,500.00) (562.43) S Quantity (1,250.000) Per Unit Amount 132.922 Proceeds 166,152.27 Tax Cost (162,500.00) Realized Gain/Loss 3,652.27 S* Account W23560001 Page 23 of 32 Consolidated Statement Page 26 PROT53 Trade Date Settle Date 12/11 12/14 12/11 12/14 12/11 12/14 12/12 12/17 12/12 12/17 12/13 12/18 12/13 12/18 12/13 12/18 12/14 12/20 Type Selection Method Description Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO AMERICAN INTERNATIONAL GROUP INC NEW @ 34.4999 698,622.98 BROKERAGE 810.00 TAX &/OR SEC 15.65 J.P. MORGAN SECURITIES LLC (ID: 026874-78-4) HERTZ GLOBAL HOLDINGS INC @ 15.65791 93,947.46 BROKERAGE 240.00 TAX &/OR SEC 2.11 J.P. MORGAN SECURITIES LLC (ID: 42805T-10-5) REGIONS FINANCIAL CORP PFD 6.375% PERPETUAL @ 24.73932 618,483.00 BROKERAGE 1,000.00 TAX &/OR PROT54 SEC 13.86 J.P. MORGAN SECURITIES LLC (ID: 7591EP-30-8) CITY NATIONAL CORP PFD 5.5% @ 24.40525 488,105.00 BROKERAGE 800.00 TAX &/OR SEC 10.94 J.P. MORGAN SECURITIES LLC (ID: 17800X-20-2) SPECTRA ENERGY CORPORATION @ 27.23 108,920.00 BROKERAGE 160.00 TAX &/OR SEC 2.44 J.P. MORGAN SECURITIES LLC (ID: 847560-10-9) GRAPHIC PACKAGING HOLDING COMPANY @ 6.20 6,200.00 BROKERAGE 100.00 TAX &/OR SEC .14 J.P. MORGAN SECURITIES LLC (ID: 388689-10-1) INFINITY PHARMACEUTICALS INC @ 28.033 28,033.00 BROKERAGE 100.00 TAX &/OR SEC .63 J.P. MORGAN SECURITIES LLC (ID: 45665G-30-3) WILLIAMS COMPANIES INC @ 31.45014 31,450.14 BROKERAGE 100.00 TAX &/OR SEC .71 J.P. MORGAN SECURITIES LLC (ID: 969457-10-0) SILVER BAY REALTY TRUST CORP @ 18.75 28,125.00 BROKERAGE 60.00 TAX &/OR SEC .63 J.P. MORGAN SECURITIES LLC (ID: 82735Q-10-2) (1,500.000) 18.71 28,064.37 (27,750.00) 314.37 S (1,000.000) 31.349 31,349.43 (31,000.00) 349.43 S (1,000.000) 27.932 27,932.37 (26,330.00) 1,602.37 S (1,000.000) 6.10 6,099.86 (6,100.00) (0.14) S (4,000.000) 27.189 108,757.56 (107,000.00) 1,757.56 S (20,000.000) 24.365 487,294.06 (500,000.00) (12,705.94) S (25,000.000) PROT55 24.699 617,469.14 (625,000.00) (7,530.86) S (6,000.000) 15.618 93,705.35 (94,800.00) (1,094.65) S Quantity (20,250.000) Per Unit Amount 34.459 Proceeds 697,797.33 Tax Cost (658,125.00) Realized Gain/Loss 39,672.33 S Account W23560001 Page 24 of 32 Consolidated Statement Page 27 PROT56 Trade Date Settle Date Type Selection Method Description 12/26 [repeated 8 times] 12/20 12/26 11/29 12/28 Principal Payment COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% Pro Rata 08/25/2033 DTD 06/01/2003 PAYMENT A/C PRINCIPAL (ID: 12669E-RR-9) Principal Payment GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 Pro Rata 5.250% 11/25/2032 DTD 11/01/2004 PAYMENT A/C PRINCIPAL (ID: 378961-AH-9) Principal Payment MORTGAGEIT TRUST 2005-2 CL 1M1 VAR RT Pro Rata (18,838.840) 05/25/2035 DTD 04/27/2005 PAYMENT A/C PRINCIPAL (ID: 61915R-AD-8) Principal Payment IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT Pro Rata Sale FIFO Sale FIFO ENTERGY ARKANSAS INC PFD 4.9% @ 24.905 622,625.00 BROKERAGE 1,000.00 TAX &/OR SEC 13.95 J.P. MORGAN SECURITIES LLC (ID: 29364D-76-1) TO REVERSE ENTRY OF 12/04/2012 WELLS FARGO MTGE 2,042,064.189 SEC 2004-EE CL B1 VAR RT 12/25/2034 DTD 12/01/2004 @ 80.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,275,000.00 AS OF 12/04/12 (ID: 949779-AD-4) 11/29 12/28 12/31 12/31 PROT57 Sale FIFO ENTRY REVERSED ON 01/02/2013 WELLS FARGO MTGE SEC 2004-EE CL B1 VAR RT 12/25/2034 DTD 12/01/2004 @ 80.00 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 3,275,000.00 (ID: 949779-AD-4) Principal Payment WELLS FARGO MTGE SEC 2004-EE CL B1 VAR RT Pro Rata Total Settled Sales/Maturities/Redemptions (5,695.989) 12/25/2034 DTD 12/01/2004 PAYMENT A/C PRINCIPAL AS OF 12/26/12 (ID: 949779-AD-4) $5,610,937.78 Account W23560001 Page 25 of 32 ($5,452,135.07) $158,802.71 S Consolidated Statement Page 28 100.00 5,695.99 (4,143.83) 1,552.16 S (2,036,368.211 ) 80.224 1,633,651.35 (1,481,457.88) 152,193.47 S* 80.00 (1,633,651.35) 1,485,601.70 (148,049.65) S* (4,210.810) 04/25/2035 DTD 03/03/2005 PAYMENT A/C PRINCIPAL (ID: 45254N-NB-9) (25,000.000) 24.864 621,611.05 (625,000.00) (3,388.95) S 100.00 4,210.81 (2,947.57) 1,263.24 S 100.00 18,838.84 (13,187.19) 5,651.65 S (13,504.720) 100.00 13,504.72 (10,871.30) 2,633.42 S PROT58 Quantity (16,861.430) Per Unit Amount 100.00 Proceeds 16,861.43 Tax Cost (12,983.30) Realized Gain/Loss 3,878.13 S PROT59 Trade Date Settle Date Type Settled Securities Purchased 11/28 Purchase 12/4 11/29 12/5 12/4 12/10 12/6 12/11 12/5 12/12 12/7 12/12 12/7 12/12 11/28 12/13 Purchase [repeated 7 times] Description EQUITY RESIDENTIAL S/B/I @ 54.75 J.P. MORGAN SECURITIES LLC (ID: 29476L-10-7) AVALONBAY COMMUNITIES INC @ 130.00 J.P. MORGAN SECURITIES LLC (ID: 053484-10-1) ATLAS PIPELINE PARTNERS L P UNIT OF LIMITED PARTNERSHIP INT @ 31.00 J.P. MORGAN SECURITIES LLC (ID: 049392-10-3) KAR AUCTION SERVICES INC @ 17.50 J.P. MORGAN SECURITIES LLC (ID: 48238T-10-9) WHITEHORSE FINANCE LLC @ 15.00 J.P. MORGAN SECURITIES LLC (ID: 96524V-10-6) QR ENERGY LP @ 16.24 J.P. MORGAN SECURITIES LLC (ID: 74734R-10-8) VANTIV INC - CL A @ 20.10 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) ENTRY REVERSED ON 01/02/2013 CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 @ 88.50 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 8,180,000.00 AS OF 12/03/12 (ID: 161630-AK-4) PROT60 12/6 12/13 12/11 12/14 12/11 12/14 12/11 12/17 Purchase [repeated 4 times] ENTERGY ARKANSAS INC PFD 4.9% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 29364D-76-1) AMERICAN INTERNATIONAL GROUP INC NEW @ 32.50 J.P. MORGAN SECURITIES LLC (ID: 026874-78-4) HERTZ GLOBAL HOLDINGS INC @ 15.80 J.P. MORGAN SECURITIES LLC (ID: 42805T-10-5) SPECTRA ENERGY CORPORATION @ 26.75 J.P. MORGAN SECURITIES LLC (ID: 847560-10-9) 25,000.000 20,250.000 6,000.000 4,000.000 25.00 32.50 15.80 26.75 Account W23560001 Page 26 of 32 (625,000.00) (658,125.00) (94,800.00) (107,000.00) Consolidated Statement Page 29 1,500.000 5,175.000 2,500.000 5,000.000 2,308,259.149 17.50 15.00 16.24 20.10 88.50 (26,250.00) (77,625.00) (40,600.00) (100,500.00) (2,042,809.35) * Quantity 2,000.000 PROT61 1,250.000 3,500.000 Per Unit Amount 54.75 130.00 31.00 Market Cost (109,500.00) (162,500.00) (108,500.00) PROT62 Trade Date Settle Date Type Settled Securities Purchased 12/13 Purchase 12/18 12/13 12/18 12/13 12/18 12/14 12/19 Total Settled Securities Purchased Trade Date Est. Settle Date Type Pending Securities Purchased 11/28 Purchase 12/3 Description CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 (ID: 161630-AK-4) Quantity 2,292,811.840 Per Unit Amount 88.50 Purchase Description GRAPHIC PACKAGING HOLDING COMPANY @ 6.10 J.P. MORGAN SECURITIES LLC (ID: 388689-10-1) INFINITY PHARMACEUTICALS INC @ 26.33 J.P. MORGAN SECURITIES LLC (ID: 45665G-30-3) WILLIAMS COMPANIES INC @ 31.00 J.P. MORGAN SECURITIES LLC (ID: 969457-10-0) SILVER BAY REALTY TRUST CORP @ 18.50 J.P. MORGAN SECURITIES LLC (ID: 82735Q-10-2) Quantity 1,000.000 1,500.000 Per Unit Amount 6.10 PROT63 26.33 31.00 18.50 Market Cost (6,100.00) (26,330.00) (31,000.00) (27,750.00) ($4,244,389.35) Market Cost (2,029,138.48) Account W23560001 Page 27 of 32 Consolidated Statement Page 30 PROT64 Portfolio Activity Summary - Argentine Peso Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Income OUTFLOWS ** Total Outflows Foreign Exchange - Outflows $0.00 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 -Period Value -187,896.57 $187,896.57 Year-To-Date Value* -187,896.57 $187,896.57 (136,626.89) ($136,626.89) -Local Value Current Period Value 0.00 919,190.00 919,190.00 Year-To-Date Value* -919,190.00 919,190.00 0.00 919,190.00 (595,420.00) (595,420.00) -Account W23560001 Page 28 of 32 Consolidated Statement Page 31 PROT65 Portfolio Activity Detail - Argentine Peso Per Unit Type 12/19 Foreign Interest Description REPUBLIC OF ARGENTINA - ARS FLOATING RATE NOTE DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN ARARGEO3E147 SEDOL B1MYWX3 AS OF 12/17/12 (ID: EC0698-9B-7) Quantity 10,000,000.000 Amount USD Local Value 0.019 0.092 Amount USD Local Value 187,896.57 919,190.00 Currency Gain/Loss USD Account W23560001 Page 29 of 32 Consolidated Statement Page 32 PROT66 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 -1,013,692.71 $1,013,692.71 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 (1,013,163.27) ($1,013,163.27) -Year-To-Date Value* -6,943,472.82 $6,943,472.82 (6,896,483.27) ($6,896,483.27) -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* -90,300,000.00 90,300,000.00 (90,300,000.00) (90,300,000.00) -Account W23560001 Page 30 of 32 Consolidated Statement Page 33 PROT67 Portfolio Activity Detail - Mexican New Peso Per Unit Type 12/19 12/19 FX Fwd Contract Spot FX Total Inflows & Outflows Description SETTLE FORWARD CURRENCY CONTRACT BUY MXN SELL USD CONTRACT RATE : 13.063594000 TRADE 11/21/12 VALUE 12/19/12 (ID: OMXNPR-AA-7) SPOT CURRENCY TRANSACTION - SELL BUY USD SELL MXN EXCHANGE RATE 12.732400000 DEAL 12/18/12 VALUE 12/19/12 (ID: OMXNPR-AA-7) $529.44 $25,686.16 1,013,163.270 (1,013,163.27) (12,900,000.00) (529.44) Quantity (987,477.110) Amount USD Local Value Amount USD Local Value 1,013,692.71 12,900,000.00 Currency Gain/Loss USD 26,215.60 Account W23560001 Page 31 of 32 Consolidated Statement Page 34 PROT68 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Speculative MEXICAN NEW PESO U S DOLLAR MEXICAN NEW PESO U S DOLLAR Nov. 21 12 Dec. 19 12 Dec. 18 12 Dec. 19 12 MXN USD 12,900,000.00 (987,477.11) MXN (12,900,000.00) USD 1,013,163.27 13.063594 12.732400 12.725750 12.725750 (987,477.11) 1,013,163.27 1,013,692.71 (1,013,692.71) 26,215.60 (529.44) Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L Account W23560001 Page 32 of 32 Consolidated Statement Page 35 PROT69 J.P. Morgan Securities LLC 383 Madison Avenue, New York, NY 10179 ACCT. 24200686 Margin Account J.P. Morgan Team Justin Nelson 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). 203/629-3124 212/622-2770 800/634-1318 Table of Contents Holdings Equity Page 2 4 5 7 Account 24200686 Page 1 of 8 Consolidated Statement Page 36 PROT70 MARGIN Cash Equity Market Value Market Value 0.00 0.00 $0.00 Margin Market Value 0.00 303,979.06 $303,979.06 Current Beginning Market Value Withdrawals & Fees Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Period Value 304,267.64 (26.95) ($26.95) (707.94) $303,532.75 Short Market Value (20,761.11) 20,314.80 ($446.31) Year-to-Date Value 299,802.94 (283.18) ($283.18) (1,004.96) 5,017.95 $303,532.75 Total (20,761.11) 324,293.86 Estimated Current Market Value Annual Income Allocation (2,550.12) PROT71 $303,532.75 ($2,550.12) 100% 100% ACCT. 24200686 Account 24200686 Page 2 of 8 Consolidated Statement Page 37 PROT72 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. 24200686 To-Date Value $9,806.61 Cost Summary Equity Total 324,293.86 Cost $293,726.14 (30,567.72) Investment Objectives Speculation Permitted Capital Appreciation Yes Yes Account 24200686 Page 3 of 8 Consolidated Statement Page 38 PROT73 Equity Summary Non-US Equity Beginning Market Value (20,053.17) Ending Market Value (20,761.11) Change In Value (707.94) Current Allocation ACCT. 24200686 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 (20,761.11) (30,567.72) 9,806.61 (2,550.12) 13.49 (1,539.000) Short (20,761.11) (30,567.72) 9,806.61 (2,550.12) PROT74 12.28% Account 24200686 Page 4 of 8 Consolidated Statement Page 39 PROT75 Cash & Fixed Income Summary Beginning Cash Market Value 324,320.81 ACCT. 24200686 Ending Market Value 324,293.86 Change In Value (26.95) Current Allocation 100% Current Market Value/Cost Market Value Tax Cost SUMMARY BY MATURITY 1 0-6 months 1 Period Value 324,293.86 324,293.86 SUMMARY BY TYPE Market Value 324,293.86 % 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 324,293.86 % of Bond Portfolio 100% Account 24200686 Page 5 of 8 Consolidated Statement Page 40 PROT76 PROT77 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Cash & Fixed Income Detail Quantity Price Cash US DOLLAR US DOLLAR Total Cash 1.00 1.00 303,979.06 Margin 20,314.80 Short 303,979.06 20,314.80 $324,293.86 303,979.06 20,314.80 $324,293.86 $0.00 $0.00 0.00% Account Value Original Cost Unrealized Gain/Loss Yield Account 24200686 Page 6 of 8 Consolidated Statement Page 41 PROT78 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Portfolio Activity Summary Beginning Cash Balance Transactions INFLOWS Total Inflows Income $0.00 OUTFLOWS ** Total Outflows Short Fees Charged TRADE ACTIVITY Total Trade Activity (26.95) ($26.95) $0.00 Ending Cash Balance $324,293.86 * 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 324,320.81 Year-To-Date Value* -(1,004.96) ($1,004.96) (283.18) ($283.18) (5.94) ($5.94) -Account 24200686 Page 7 of 8 Consolidated Statement Page 42 PROT79 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Portfolio Activity Detail Type 12/3 Misc Debit Description SHORT DEBIT FEE 11/01-11/30 SUB-ACCOUNT: MGN Quantity Cost Per Unit Amount Amount (26.95) Account 24200686 Page 8 of 8 Consolidated Statement Page 43 PROT80 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 PROT81 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 PROT82 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, PROT83 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 PROT84 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. PROT85 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 PROT86 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 PROT87 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 PROT88