EFTA01464701

SOUTHERN FINANCIAL, LLC 6100 RED HOOK QUARTER B3 ST THOMAS 00802 VIRGIN ISLANDS (U.S.) PROT0 PROT1 For the Period 8/1/13 to 8/31/13 Account Summary Account Number Investment Account(s) Total Value 2 Beginning Net Market Value 71,112,935.51 314,640.75 $71,427,576.26 Ending Net Market Value 70,977,092.83 314,640.75 $71,291,733.58 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 (135,842.68) 0.00 ($135,842.68) Start on Page 4 52 Client News A discrepancy was discovered in the display of certain transactions in the 1 PROT2 pending May month-end statement. All trades and positions have been recorded correctly in your account, and this discrepancy does not impact any holdings or market value(s) in your account(s). If you would like an updated statement for May, please reach out to your J.P. Morgan team. 0000012286.15.0.15.00001.SOUTHAH.20130904 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 32,270,100.98 1,987,600.00 36,259,988.98 $70,517,689.96 909,886.30 $71,427,576.26 Ending Market Value 35,278,219.09 2,021,051.39 33,107,426.37 $70,406,696.85 885,036.73 $71,291,733.58 Change In Value 3,008,118.11 33,451.39 (3,152,562.61) ($110,993.11) (24,849.57) ($135,842.68) Cash & Fixed Income Current Portfolio Activity Beginning Market Value Net Contributions/Withdrawals Income & Distributions Change in Investment Value Ending Market Value Accruals Market Value with Accruals Period Value 70,517,689.96 501,897.40 (612,890.51) $70,406,696.85 885,036.73 PROT5 $71,291,733.58 Year-to-Date Value 0.00 68,383,185.38 942,483.55 1,081,027.92 $70,406,696.85 885,036.73 $71,291,733.58 Estimated 1,600,370.70 Current Annual Income Allocation 50% 3% 1,983,056.26 $3,583,426.96 47% 100% Alternative Assets Equity 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 Income Summary Total Value Account Number Beginning Market Value 0.00 0.00 $0.00 Account Number $942,483.55 'Unrealized Gain/Loss represents data from the time of account inception to the current statement period. Net Contributions/ Withdrawals 68,068,729.31 314,456.07 $68,383,185.38 Income 942,483.55 Income Other Income & Receipts Income & Distributions 942,483.55 $942,483.55 Change in Investment Value 1,080,843.24 184.68 $1,081,027.92 Realized Gain/Loss Short-term 308,178.82 (50.11) $308,128.71 PROT7 Long-term 155,437.32 9,379.63 $164,816.95 $1,631,336.11 Ending Market Value with Accruals 70,977,092.83 314,640.75 $71,291,733.58 Unrealized Gain/Loss, 1,631,336.11 CONTINUED Consolidated Statement Page 3 PROT8 JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 SOUTHERN FINANCIAL, LLC ACCT. Asset Account J.P. Morgan Team Justin Nelson Paul Barrett Janet Young Gina Magliocco Jason Grosse Online access Banker Investment Specialist Client Service Team [repeated 3 times] 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 10 11 20 Account Page 1 of 48 Consolidated Statement Page 4 PROT9 SOUTHERN FINANCIAL, LLC ACCT. • Equity Alternative Assets Market Value Accruals Market Value with Accruals Beginning Market Value 32,270,100.98 1,987,600.00 35,945,348.23 $70,203,049.21 909,886.30 $71,112,935.51 Ending Market Value 35,278,219.09 2,021,051.39 32,792,785.62 $70,092,056.10 885,036.73 $70,977,092.83 Current Beginning Market Value Contributions Withdrawals & Fees Securities Transferred In Securities Transferred Out Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals $0.00 501,897.40 (612,890.51) $70,092,056.10 885,036.73 $70,977,092.83 Period Value 70,203,049.21 Change In Value 3,008,118.11 33,451.39 PROT10 (3,152,562.61) ($110,993.11) (24,849.57) ($135,842.68) Year-to-Date Value 0.00 15,362,706.02 (430,430.11) 53,240,793.69 (104,340.29) $68,068,729.31 942,483.55 1,080,843.24 $70,092,056.10 885,036.73 $70,977,092.83 Cash & Fixed Income Estimated 1,600,370.70 Current Annual Income Allocation 50% 3% 1,983,056.26 $3,583,426.96 47% 100% Alternative Assets Equity Account Page 2 of 48 Consolidated Statement Page 5 PROT11 Income Summary Domestic Dividends/Distributions Foreign Dividends Currency Gain/Loss Interest Income Accrued Interest Current Year Income CONTINUED Current Period Value 161,006.25 172,171.59 168,719.56 $501,897.40 Year-to-Date Value 625,538.75 54,375.00 (376,641.71) 761,154.64 (121,943.13) $942,483.55 Unrealized Gain/Loss ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value 16,509.61 6,937.32 $23,446.93 Year-to-Date Value 308,178.82 155,437.32 $463,616.14 To-Date Value $1,631,336.11 Cost Summary Equity Total 32,052,239.95 Cost 34,082,916.48 $66,135,156.43 Account Page 3 of 48 Consolidated Statement Page 6 PROT12 PROT13 Equity Summary Asset Categories US Large Cap Equity US Small/Mid Cap Equity Non-US Equity European Large Cap Equity Emerging Market Equity Preferred Stocks Concentrated & Other Equity Total Value Market Value/Cost Market Value Cost Unrealized Gain/Loss Estimated Annual Income Accrued Dividends Yield Beginning Market Value 4,011,215.61 909,500.00 3,851,991.91 1,992,600.00 878,712.86 5,599,378.28 15,026,702.32 $32,270,100.98 Ending Market Value 3,973,273.78 938,500.00 3,506,921.96 1,962,200.00 833,168.31 8,600,970.99 15,463,184.05 $35,278,219.09 Current Period Value 35,278,219.09 34,082,916.48 912,036.06 1,600,370.70 256,594.25 4.52% Equity as a percentage of your portfolio - 50 % Preferred Stocks Change In Value PROT14 (37,941.83) 29,000.00 (345,069.95) (30,400.00) (45,544.55) 3,001,592.71 436,481.73 $3,008,118.11 Current Allocation 6% 1% 5% 3% 1% 12% 22% 50% US Large Cap Equity European Large Cap Equity US Small/Mid Cap Equity Emerging Market Equity Non-US Equity Concentrated & Other Equity Asset Cate ories Account Page 4 of 48 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 GENERAL ELECTRIC CO 04033A-10-0 ARIA 213.02 09062X-10-3 BIIB 41.29 30303M-10-2 FB 23.14 369604-10-3 GE JPM VALUE ADVANTAGE FD - INSTL FUND 1400 4812A2-58-7 JVAI X Total US Large Cap Equity $3,973,273.78 $3,702,561.43 $270,712.35 $37,472.12 0.94% 24.96 78,709.170 1,964,580.88 2,000,000.00 (35,419.12) 19,992.12 1.02% 23,000.000 532,220.00 496,109.08 36,110.92 17,480.00 3.28% 17,500.000 722,645.00 665,000.00 57,645.00 2,095.000 446,276.90 250,454.95 PROT16 195,821.95 18.60 16,535.000 307,551.00 290,997.40 16,553.60 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield US Small/Mid Cap Equity DEUTSCHE BK AG LDN BRH 8.90 DBL LONG ETN38 25154H-55-8 DAG 50,000.000 445,000.00 352,529.00 92,471.00 Account Page 5 of 48 Consolidated Statement Page 8 PROT17 Price US Small/Mid Cap Equity SANGAMO BIOSCIENCES INC Total US Small/Mid Cap Equity 800677-10-6 SGMO $938,500.00 $774,743.00 $163,757.00 $0.00 0.00% 9.87 50,000.000 493,500.00 422,214.00 71,286.00 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Accrued Div. Yield Non-US Equity ACCOR SA 37.72 ISIN FR0000120404 SEDOL 5852842 F00189-90-6 UR ADECCO SA-REG ISIN CH0012138605 SEDOL 7110720 H00392-92-0 HF AUTOGRILL SA ISIN IT000113734 SEDOL 5256206 T8347V-91-5 UR BNP PARIBAS ISIN FR0000131104 SEDOL 7309681 F07875-90-3 UR CARREFOUR SUPERMARCHE ISIN FR0000120172 SEDOL 5641567 F13923-90-3 UR COCA-COLA HBC AG ISIN CH0198251305 SEDOL B9895B7 588874-91-7 BP COMPAGNIE DE SAINT-GOBAIN ISIN FR0000125007 SEDOL 7380482 F80343-95-1 UR Account Page 6 of 48 Consolidated Statement Page 9 PROT18 46.60 6,750.000 314,545.43 319,967.65 (5,422.22) 27.57 11,300.000 311,493.05 331,777.88 (20,284.83) 31.23 10,500.000 327,925.92 329,196.98 (1,271.06) 62.52 5,000.000 312,607.09 329,132.36 (16,525.27) 15.74 21,400.000 336,923.38 333,823.48 3,099.90 62.85 4,900.000 307,957.95 339,220.24 (31,262.29) 8,750.000 330,037.33 337,612.87 (7,575.54) PROT19 Price Non-US Equity FRAPORT AG ISIN DE0005773303 SEDOL 7107551 D3856U-90-0 UR JC DECAUX INTERNATIONAL ISIN FR0000077919 SEDOL 7136663 F5333N-91-0 UR LLOYDS BANKING GROUP PLC ISIN GB0008706128 SEDOL 0870612 G91101-10-8 BP RENAULT SA ISIN FR0000131906/SEDOL 4712798 759994-90-8 UR Total Non-US Equity $3,506,921.96 $3,637,834.94 ($130,912.98) $0.00 0.00% 71.31 4,000.000 285,239.55 317,870.23 (32,630.68) 1.12 291,000.000 326,582.03 343,600.28 (17,018.25) 33.43 10,000.000 334,265.09 327,986.80 6,278.29 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Accrued Div. Yield 63.87 5,000.000 319,345.14 327,646.17 (8,301.03) PROT20 European Large Cap Equity HSBC CONT BUFF EQ SX5E 08/29/14 98.11 80% EKO BARRIER- 4%CPN 17% CAP INITIAL LEVEL-05/24/13 SX5E:2764.29 40432X-FP-1 2,000,000.000 1,962,200.00 2,000,000.00 (37,800.00) Account Page 7 of 48 Consolidated Statement Page 10 PROT21 Price Emerging Market Equity 3PM LATIN AMERICA FD - SEL FUND 3815 4812A3-47-8 JLTS X Preferred Stocks ALLY FINANCIAL INC 8 1/2% PFD 02005N-30-8 ALLYPB NA /CAA GMAC CAPITAL TRUST I PFD STK 8 1/8% 361860-20-8 ALLYPA ROYAL BANK SCOTLAND GROUP PLC ADR NON-CUMULATIVE 780097-71-3 RBS PT NA /P-2 VOLKSWAGEN AG PFD ISIN DE0007664039 SEDOL 5497168 928662-92-3 UR Total Preferred Stocks $8,600,970.99 $7,929,703.71 $671,267.28 $648,432.00 7.54% 227.26 1,400.000 318,164.99 340,287.60 (22,122.61) 22.94 120,000.000 2,752,800.00 2,924,400.00 (171,600.00) 217,560.00 7.90% 26.54 80,000.000 2,123,200.00 1,882,773.60 240,426.40 162,480.00 7.65% Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss PROT22 Accrued Div. Yield 16.83 49,504.950 833,168.31 1,000,000.00 (166,831.69) 841.58 0.10% 26.91 126,600.000 3,406,806.00 2,782,242.51 624,563.49 268,392.00 7.88% Concentrated & Other Equity BANK OF AMERICA CORP 110.17 8 1/8% PFD STK DEC 29 2049 DTD 04/30/2008 060505-DT-8 BB+ /B1 2,000,000.000 2,203,400.00 2,081,180.56 122,219.44 162,500.00 47,846.00 7.32% Account Page 8 of 48 Consolidated Statement Page 11 PROT23 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 JPMORGAN CHASE & CO VAR RT 07/24/2013 DTD 07/29/2013 48126H-AA-8 BBB /BA1 LONG TOTAL RETURN SWAP 1,999,999.368942 USD NOTIONAL KOSPTREQ INDEX MAT MAR 20 2014 DEAL 30140386 N/O Client SWPBDR-UH-6 MS MARKET PLUS MRK 08/20/14 80% EKO BARRIER- 3.55%CPN ,UNCAPPED INITIAL LEVEL-02/14/13 MRK:41.19 61761J-DA-4 Total Concentrated & Other Equity $15,463,184.05 $15,038,073.40 $141,844.10 $913,625.00 $256,594.25 5.87% 112.21 1,000,000.000 1,122,050.00 1,000,000.00 122,050.00 1.00 888,972.000 283,266.55 N/A ** N/A 110.04 5,000,000.000 5,502,050.00 5,498,006.95 4,043.05 PROT24 395,000.00 132,760.00 94.69 750,000.000 710,137.50 750,000.00 (39,862.50) 45,000.00 3,750.00 7.12% 48.66 71,000.000 3,454,860.00 3,585,969.22 (131,109.22) 168,625.00 42,156.25 4.88% Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Accrued Div. Yield 109.37 2,000,000.000 2,187,420.00 2,122,916.67 64,503.33 142,500.00 30,082.00 6.45% 6.38% Account Page 9 of 48 Consolidated Statement Page 12 PROT25 Alternative Assets Summary Beginning Hard Assets Estimated Value 1,987,600.00 Alternative Assets Detail Price Hard Assets SG MARKET PLUS WTI CRUDE 08/05/14 LNKD TO CL1 78.75% BARRIER- 10%CPN ,UNCAPPED INITIAL LEVEL-07/25/13 CL1:105.68 78423E-HS-6 WTI CALL OPTION USD PUT OPTION STRIKE 110.00 EXPIRING 02/14/2014 250,000 BARRELS OTCBDC-PH-K WTI PUT OPTION USD CALL OPTION STRIKE 93.50, KI @ EXP 83.50 EXPIRING 02/14/2014 250,000 BARRELS OTCBDP-KG-F Total Hard Assets $2,021,051.39 $2,000,000.00 Account Page 10 of 48 Consolidated Statement Page 13 1.00 (250.000) (673,092.34) (562,500.00) 1.00 250.000 697,543.73 562,500.00 99.83 2,000,000.000 1,996,600.00 2,000,000.00 Quantity Estimated Value Cost Ending Estimated Value PROT26 2,021,051.39 Change In Value 33,451.39 Current Allocation 3% PROT27 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 Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield Market Value 4,452,801.94 (204,969.06) 24,368,521.90 3,089,156.20 4,159,761.47 80,075.78 $35,945,348.23 Ending Market Value 1,645,091.62 373,398.54 23,908,322.34 2,970,682.30 3,852,993.10 42,297.72 $32,792,785.62 Current Period Value 32,792,785.62 32,052,239.95 698,248.66 1,983,056.26 628,442.48 6.52% Cash & Fixed Income as a percentage of your portfolio 47 % Change In Value (2,807,710.32) 578,367.60 (460,199.56) (118,473.90) PROT28 (306,768.37) (37,778.06) ($3,152,562.61 ) Current Allocation 2% 1% 34% 4% 5% 1% 47% Foreign Exchange Contracts Non-USD Cash Non-US Fixed Income Cash Complementary Structured Strategies Account Page 11 of 48 Consolidated Statement Page 14 PROT29 SUMMARY BY MATURITY 1 0-6 months 1-5 years' 5-10 years' 10+ years' Total Value 1 SUMMARY BY TYPE Market Value 4,268,133.26 3,853,100.00 8,613,731.00 16,015,523.64 $32,750,487.90 % of Bond Portfolio 13% 11% 26% 50% 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 1,645,091.62 373,398.54 11,399,293.00 8,201,713.30 7,277,998.34 3,852,993.10 $32,750,487.90 % of Bond Portfolio 5% 1% 36% PROT30 25% 22% 11% 100% Account Page 12 of 48 Consolidated Statement Page 15 PROT31 Cash & Fixed Income Summary NET FX CONTRACTS EXPOSURE SUMMARY Value in Currency CANADIAN DOLLAR JAPANESE YEN (5,000,000.00) 468,650,000.00 Note: P indicates position adjusted for Pending Trade Activity. 1 Cash & Fixed Income Detail Price Cash US DOLLAR PROCEEDS FROM PENDING SALES Total Cash 1.00 1.00 1,394,841.62 250,250.00 1,394,841.62 250,250.00 $1,645,091.62 1,394,841.62 250,250.00 $1,645,091.62 $0.00 $139.48 $19.71 Non-USD Cash 0.01% 139.48 19.71 0.01% 1 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Income 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. PROT32 0.95 0.01 [repeated 3 times] Account Page 13 of 48 Consolidated Statement Page 16 PROT33 Price Non-USD Cash SWISS FRANC EURO PRINCIPAL CURRENCY Total Non-USD Cash Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Yield 1.07 1.32 0.01 0.01 283,178.22 373,398.52 $373,398.54 0.01 377,195.09 $377,195.11 (3,796.57) ($3,796.57) $0.00 0.00% HEADWATERS INC 106.50 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 CCC /B3 KINDRED HEALTHCARE INC 8 1/4% JUN 01 2019 DTD 06/01/2011 494580-AB-9 NR /B3 SERVICEMASTER COMPANY 8% FEB 15 2020 DTD 02/13/2012 81760N-AN-9 CCC /CAA LLOYDS TSB BANK PLC MTN 9 7/8% DEC 16 2021 DTD 12/16/2011 HELD BY EUROCLEAR PROT34 ISIN XS0717735822 SEDOL B7FQXT1 G4715J-9D-3 BBB /BA1 95.50 2,500,000.00 2,387,500.00 2,665,625.00 (278,125.00) 200,000.00 8,887.50 119.29 1,500,000.00 1,789,380.00 1,627,500.00 161,880.00 148,125.00 104,920.50 8.93% 105.00 2,000,000.00 2,100,000.00 1,966,250.00 133,750.00 165,000.00 41,250.00 7.17% 96.52 1,000,000.00 965,200.00 1,033,500.00 (68,300.00) 1,000,000.00 1,065,000.00 1,035,000.00 30,000.00 76,250.00 31,770.00 88,750.00 26,131.00 6.23% 9.68% 6.75% Account Page 14 of 48 Consolidated Statement Page 17 PROT35 Price BARCLAYS BANK PLC 7.750% 04/10/2023 DTD 04/10/2013 06739F-HK-0 BB+ /NR HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT 08/25/2029 DTD 07/30/2004 43739E-AC-1 CCC /CA SEQUOIA MORTGAGE TRUST 11 CL B1 VAR RT 12/20/2032 DTD 10/30/2002 81744A-AB-4 CCC /CAA COUNTRYWIDE HOME LOANS 2003-1 CL B1 5.750% 03/25/2033 DTD 01/01/2003 12669D-YS-1 STRUCTURED ASSET SECURITIES CO 2003-10 CL B2 6.000% 04/25/2033 DTD 03/28/2003 86359A-QW-6 CCC / COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 12669E-RR-9 IMPAC CMB TRUST 2005-2 CL 1M2 VAR RT 04/25/2035 DTD 03/03/2005 45254N-NC-7 CC /CA CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 161630-AK-4 CCC /CA Account Page 15 of 48 Consolidated Statement Page 18 95.21 1,828,512.97 1,741,000.34 1,618,233.98 122,766.36 54,708.92 4,558.48 3.39% 62.56 82.93 1,347,212.31 1,542,857.02 842,816.02 1,279,429.61 1,037,353.47 PROT36 1,076,142.77 (194,537.45) 203,286.84 7,191.79 598.16 14,317.71 41.65 6.69% 4.44% 93.34 936,183.76 873,805.84 936,183.76 (62,377.92) 56,171.02 4,680.91 7.88% 94.04 1,258,961.92 1,183,864.84 1,202,308.63 (18,443.79) 72,390.31 6,031.68 6.19% 74.53 1,027,327.76 765,626.28 757,654.23 7,972.05 16,983.78 93.48 5.81% 61.55 960,981.70 591,455.41 540,552.21 50,903.20 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Yield 102.22 300,000.00 306,651.00 300,000.00 PROT37 6,651.00 23,250.00 9,106.20 10,606.35 17.29 7.42% 3.69% PROT38 Price P ZIONS BANCORPORATION VAR RT 09/29/2049 DTD 08/13/2013 989701-BF-3 LBG CAPITAL NO.1 PLC 144A VAR RT 12/29/2049 DTD 12/15/2009 HELD BY EUROCLEAR ISIN XS0473106283 SEDOL B51C139 50178R-9A-1 BB- /NA GENERAL ELEC CAP CORP 5.250% 12/31/2049 DTD 05/29/2013 369622-ST-3 AA- /BAA SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 842400-FU-2 BBB /BAA Total US Fixed Income 105.15 3,000,000.00 3,154,560.00 3,016,649.17 137,910.83 91.30 1,400,000.00 1,278,158.00 1,400,000.00 (121,842.00) 73,500.00 17,966.20 187,500.00 15,624.00 $23,908,322.34 $23,910,453.22 ($2,130.88) $1,467,144.88 $338,281.05 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 5.83% 5.90% 104.50 3,000,000.00 3,135,000.00 PROT39 3,247,500.00 (112,500.00) 99.75 450,000.00 448,875.00 450,000.00 (1,125.00) 32,400.00 15,940.00 240,000.00 50,664.00 7.22% 7.63% Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Yield 6.61% 89.99 2,500,000.00 2,249,750.00 2,262,750.00 (13,000.00) 212,500.00 70,242.50 11.58% Account Page 16 of 48 Consolidated Statement Page 19 PROT40 Price Non-US Fixed Income REPUBLIC OF ARGENTINA -ARS NOTES DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN ARARGEO3E147 SEDOL BOS5SP7 042993-9R-8 RS REPUBLIC OF ARGENTINA NOTES DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN US040114GM64 SEDOL B2PDMW3 042993-9S-6 Total Non-US Fixed Income $2,970,682.30 $3,619,500.00 ($648,817.70) $515,771.90 $286,267.22 Complementary Structured Strategies JPY CALL CAD PUT FX EUROPEAN STYLE OPTION OCT 08, 2013 @ 76.9 AT EXP KI @ 69.65 XJPYCA-TZ-Z AD JPY CALL USD PUT SEP 10, 2013 @ 97.25 AT EXP KI @94.75 XJPYCA-UI-Z (486,250,000.00 ) (10,646.84) (85,000.00) 74,353.16 18.87% 7.43 7,500,000.00 556,875.00 1,038,750.00 (481,875.00) 237,652.50 169,282.50 42.20% Quantity Value Adjusted Cost Original Cost Unrealized PROT41 Gain/Loss Yield 1.64 10,000,000.00 164,057.30 318,000.00 (153,942.70) 65,619.40 46,742.22 39.66% (769,000,000.00 ) (0.71) (336,952.82) 336,952.82 Account Page 17 of 48 Consolidated Statement Page 20 PROT42 Price Complementary Structured Strategies JPY PUT CAD CALL OCT 08, 2013 @ 80.9 XJPYPB-EX-Z AD JPY PUT USD CALL SEP 10, 2013 @ 100. XJPYPB-FJ-Z JPY PUT USD CALL SEP 10, 2013 @ 105. XJPYPB-FK-Z GS MXN STEP UP NOTE 11/22/13 LNKD TO MXN VS USD 85%BARRIER- 5% ATM CPN-22.9%MXRTRN 11/08/12, INITIAL STRIKE: 13.11925 38141G-HY-3 3PM 3YR NC CLN TO MTOR 04/16/15 INITIAL RATE 6.20% CPN DD 04/16/12 4662A0-4Q-1 Total Complementary Structured Strategies $3,852,993.10 $2,500,000.00 $1,352,993.81 $0.00 $3,874.50 0.00% 106.89 1,500,000.00 1,603,350.00 1,500,000.00 103,350.00 3,874.50 101.87 1,000,000.00 1,018,690.00 1,000,000.00 18,690.00 (500,000,000.00 ) (65.94) (36,500.00) 36,434.06 500,000,000.00 12,369.70 121,500.00 (109,130.30) PROT43 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Yield 0.15 809,000,000.00 1,229,296.89 336,952.82 892,344.07 Account Page 18 of 48 Consolidated Statement Page 21 PROT44 Market Value Receivable Trade Date Foreign Exchange Contracts JAPANESE YEN Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Aug. 23 13 Oct. 10 13 CAD JPY (5,000,000.00) 468,650,000.00 93.730000 92.900150 4,777,445.75 4,735,148.03 42,297.72 Account Page 19 of 48 Consolidated Statement Page 22 PROT45 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 2,506,746.39 (2,717,730.00) ($210,983.61) $1,394,841.62 * Year to date information is calculated on a calendar year basis. ** Your account's standing instructions use a HIGH COST method for relieving assets from your position 31,253,042.44 (42,387,703.92) ($11,134,661.48) -(3,368,535.93) ($3,368,535.93) 297,447.51 $627,173.32 Period Value 4,347,187.84 329,725.81 Year-To-Date Value* -1,294,677.15 14,227,338.26 6,414,663.17 $21,936,678.58 (430,430.11) (8,976,745.37) ($9,407,175.48) Current Cost Adjustments PROT46 Cost Adjustments Total Cost Adjustments Period Value 93,145.83 $93,145.83 Year-To-Date Value* 6,129,741.97 $6,129,741.97 Current Securities Transferred In/Out Securities Transferred In Securities Transferred Out Period Value Year-To-Date Value* 52,196,971.85 (104,340.29) Account Page 20 of 48 Consolidated Statement Page 23 PROT47 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method Income 8/1 8/8 8/8 8/15 8/19 8/20 8/26 Div Domest Interest Income Interest Income Accrued Int Recd Accrued Int Recd Div Domest Corporate Interest Interest Income Accrued Int Recd Corporate Interest Corporate Interest Description SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 (ID: 842400-FU-2) DEPOSIT SWEEP INTEREST FOR 07/01/13 - 07/31/13 @ .01% RATE ON AVG COLLECTED BALANCE OF $7,860,019.43 AS OF 08/01/13 CLIFFS NATURAL RESOURCES CV PFD 7% @ 0.4375 PER SHARE (ID: 18683K-40-8) TO REVERSE ENTRY OF 05/30/2013 IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 AS OF 05/30/13 (ID: 45254N-NB-9) IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 (ID: 45254N-NB-9) ALLY FINANCIAL INC 8 1/2% PFD @ 0.53125 PER SHARE (ID: 02005N-30-8) SERVICEMASTER COMPANY 8% FEB 15 2020 DTD 02/13/2012 (ID: 81760N-AN-9) GMAC CAPITAL TRUST I PFD STK 8 1/8% @ 0.507813 PER SHARE (ID: 361860-20-8) ZIONS BANCORPORATION VAR RT 09/29/2049 DTD 08/13/2013 (ID: 989701-BF-3) SEQUOIA MORTGAGE TRUST 11 CL B1 VAR RT PROT48 12/20/2032 DTD 10/30/2002 (ID: 81744A-AB-4) COUNTRYWIDE HOME LOANS 2003-1 CL 81 5.750% 03/25/2033 DTD 01/01/2003 (ID: 12669D-YS-1) 1,580,099.390 126,600.000 2,500,000.000 80,000.000 50,000.000 1,032,091.287 1,334,646.920 0.531 0.04 0.508 0.001 0.001 0.005 Account Page 21 of 48 36.78 67,256.25 100,000.00 40,625.04 60.00 1,416.14 6,425.66 Consolidated Statement Page 24 6,000.000 1,580,099.390 0.438 2,625.00 (36.79) Quantity Cost 3,000,000.000 Per Unit Amount 0.031 Amount 93,750.00 65.73 PROT49 Type Income 8/26 [repeated 5 times] Corporate Interest [repeated 5 times] Total Income Type Spot FX 8/28 Description SPOT CURRENCY TRANSACTION - SELL BUY USD SELL JPY EXCHANGE RATE 97.160000000 DEAL 08/27/13 VALUE 08/28/13 (ID: 0JPYPR-AA-9) Quantity Cost (28,900,000.000 ) (295,788.34) Description COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 (ID: 12669E-RR-9) CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 (ID: 161630-AK-4) HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT 08/25/2029 DTD 07/30/2004 (ID: 43739E-AC-1) IMPAC CMB TRUST 2005-2 CL 1M2 VAR RT 04/25/2035 DTD 03/03/2005 (ID: 45254N-NC-7) STRUCTURED ASSET SECURITIES CO 2003-10 CL B2 6.000% 04/25/2033 DTD 03/28/2003 (ID: 86359A-QW-6) $329,725.81 971,761.274 1,552,704.830 961,788.930 0.001 0.001 0.005 882.71 1,276.71 PROT50 4,808.94 Quantity Cost 1,377,374.577 1,937,113.840 Per Unit Amount 0.004 0.002 Amount 6,145.27 4,388.37 Amount 297,447.51 Account Page 22 of 48 Consolidated Statement Page 25 PROT51 Type Spot FX 8/5 8/7 8/8 8/8 8/9 8/14 [repeated 4 times] Spot FX [repeated 8 times] Description SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD EXCHANGE RATE 1.327000000 DEAL 08/01/13 VALUE 08/05/13 (ID: OEURPR-AA-9) LINKED CURRENCY TRANSACTION - BUY BUY EUR SELL USD EXCHANGE RATE 1.326300000 DEAL 08/05/13 VALUE 08/07/13 (ID: OEURPR-CV-1) LINKED CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.536300000 DEAL 08/05/13 VALUE 08/08/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.536300000 DEAL 08/05/13 VALUE 08/08/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.337500000 DEAL 08/09/13 VALUE 08/09/13 (ID: OEURPR-AA-9) USD EXCHANGE RATE 1.551890000 DEAL 08/09/13 VALUE 08/14/13 (ID: OGBPPR-CV-1) LINKED CURRENCY TRANSACTION - BUY BUY CHF SELL USD EXCHANGE RATE .921588000 DEAL 08/09/13 VALUE 08/14/13 (ID: OCHFPR-CV-6) USD EXCHANGE RATE 1.331800000 DEAL 08/12/13 VALUE 08/14/13 (ID: OEURPR-CV-1) USD EXCHANGE RATE 1.331800000 DEAL 08/12/13 VALUE 08/14/13 (ID: OEURPR-CV-1) PROT52 123,680.680 164,717.93 (164,717.93) 130,101.380 173,269.02 (173,269.02) 154,970.960 168,156.44 (168,156.44) 108,325.320 168,108.98 (168,108.98) 95,681.360 128,074.29 (127,973.82) 114,424.210 175,789.91 (175,789.91) 1,126.450 1,730.57 (1,730.57) 122,844.180 162,928.24 (162,928.24) Quantity Cost 154,361.730 204,838.02 Amount (204,838.02) Account Page 23 of 48 Consolidated Statement Page 26 PROT53 Type Spot FX 8/15 Spot FX Description USD EXCHANGE RATE 1.332006000 DEAL 08/12/13 VALUE 08/15/13 (ID: OEURPR-AA-9) USD EXCHANGE RATE 1.548290000 DEAL 08/12/13 VALUE 08/15/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.548290000 DEAL 08/12/13 VALUE 08/15/13 (ID: OGBPPR-CV-1) LINKED CURRENCY TRANSACTION - BUY BUY CHF SELL USD EXCHANGE RATE .924191000 DEAL 08/12/13 VALUE 08/15/13 (ID: OCHFPR-AA-4) Total Foreign Exchange - Outflows ($3,368,535.93) 158,095.620 171,063.80 (171,063.80) 105,709.460 163,668.90 (163,668.90) 107,266.600 166,079.80 (166,079.80) Quantity Cost 1,141,294.030 1,520,210.50 Amount (1,520,210.50) Account Page 24 of 48 Consolidated Statement Page 27 PROT54 TRADE ACTIVITY Note: Trade Date Settle Date 7/24 8/1 7/24 8/2 7/31 8/5 8/1 8/6 8/2 8/7 8/2 8/7 8/2 8/7 5/23 8/8 L indicates Long Term Realized Gain/Loss 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 High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost JONES ENERGY INC - A @ 14.263229 99,842.60 BROKERAGE 280.00 TAX &/OR SEC 1.74 J.P. MORGAN SECURITIES LLC (ID: 48019R-10-8) GRANA Y MONTERO SA - ADR @ 21.542143 150,795.00 BROKERAGE 280.00 TAX &/OR SEC 2.63 J.P. MORGAN SECURITIES LLC (ID: 38500P-20-8) PROT55 COUSINS PROPERTIES INC @ 10.385268 103,852.68 BROKERAGE 400.00 TAX &/OR SEC 1.81 J.P. MORGAN SECURITIES LLC (ID: 222795-10-6) AMERICAN HOMES 4 RENT- A @ 15.560867 233,413.01 BROKERAGE 600.00 TAX &/OR SEC 4.07 J.P. MORGAN SECURITIES LLC (ID: 02665T-30-6) BOYD GAMING CORP @ 12.25 49,000.00 BROKERAGE 160.00 TAX &/OR SEC .86 J.P. MORGAN SECURITIES LLC (ID: 103304-10-1) LIBERTY PROPERTY TRUST S/B/I @ 36.00 270,000.00 BROKERAGE 300.00 TAX &/OR SEC 4.70 J.P. MORGAN SECURITIES LLC (ID: 531172-10-4) VANTIV INC - CL A @ 26.343917 158,063.50 BROKERAGE 240.00 TAX &/OR SEC 2.76 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) TO REVERSE ENTRY OF 05/30/2013 IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 @ 78.125 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 10,000,000.00 AS OF 05/30/13 (ID: 45254N-NB-9) Account Page 25 of 48 Consolidated Statement Page 28 1,580,099.390 79.372 (1,254,163.83) 1,106,069.20 (148,094.63) S* (6,000.000) 26.303 157,820.74 (154,500.00) 3,320.74 S (7,500.000) 35.959 269,695.30 (270,000.00) (304.70) S (4,000.000) 12.21 48,839.14 (48,000.00) 839.14 S (15,000.000) 15.521 232,808.94 (240,000.00) (7,191.06) S (10,000.000) 10.345 103,450.87 (100,000.00) PROT56 3,450.87 S* (7,000.000) 21.502 150,512.37 (147,910.00) 2,602.37 S* Quantity (7,000.000) Per Unit Amount 14.223 Proceeds 99,560.86 Cost (105,000.00) Realized Gain/Loss (5,439.14) S* PROT57 Trade Date Settle Date 5/23 8/8 8/7 8/12 8/8 8/13 8/8 8/13 8/8 8/13 8/8 8/14 8/8 8/14 8/9 8/14 8/9 8/14 Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 @ 78.125 JP MORGAN SECURITIES LLC (BIDL) FACE VALUE 10,000,000.00 (ID: 45254N-NB-9) ALLISON TRANSMISSION HOLDING @ 22.50 45,000.00 BROKERAGE 80.00 TAX &/OR SEC .79 J.P. MORGAN SECURITIES LLC (ID: 01973R-10-1) ADVENT SOFTWARE INC @ 28.10 28,100.00 BROKERAGE PROT58 40.00 TAX &/OR SEC .49 J.P. MORGAN SECURITIES LLC (ID: 007974-10-8) DCT INDUSTRIAL TRUST INC @ 7.27 29,080.00 BROKERAGE 160.00 TAX &/OR SEC .51 J.P. MORGAN SECURITIES LLC (ID: 233153-10-5) KAR AUCTION SERVICES INC @ 25.8605 25,860.50 BROKERAGE 40.00 TAX &/OR SEC .45 J.P. MORGAN SECURITIES LLC (ID: 48238T-10-9) DCP MIDSTREAM PARTNERS LP @ 50.040107 150,120.32 BROKERAGE 120.00 TAX &/OR SEC 2.62 J.P. MORGAN SECURITIES LLC (ID: 23311P-10-0) INTREXON CORP @ 22.00 27,500.00 BROKERAGE 15.00 TAX &/OR SEC .48 J.P. MORGAN SECURITIES LLC (ID: 46122T-10-2) NORWEGIAN CRUISE LINE HOLDIN @ 30.443 30,443.00 BROKERAGE 40.00 TAX &/OR SEC .53 J.P. MORGAN SECURITIES LLC (ID: G66721-10-4) QEP MIDSTREAM PARTNERS LP @ 22.70 113,500.00 BROKERAGE 200.00 TAX &/OR SEC 1.98 J.P. MORGAN SECURITIES LLC (ID: 74735R-11-5) (5,000.000) 22.66 113,298.02 (105,000.00) 8,298.02 S (1,000.000) 30.402 30,402.47 (29,750.00) 652.47 S (1,250.000) 21.988 27,484.52 (20,000.00) 7,484.52 S (3,000.000) 49.999 149,997.70 (150,120.00) (122.30) S (1,000.000) 25.82 25,820.05 (25,000.00) 820.05 S (4,000.000) 7.23 28,919.49 (28,800.00) 119.49 S (1,000.000) PROT59 28.06 28,059.51 (27,000.00) 1,059.51 S (2,000.000) 22.46 44,919.21 (44,000.00) 919.21 S Quantity (1,580,099.390 ) Per Unit Amount 78.125 Proceeds 1,234,452.66 Cost (1,106,069.20) Realized Gain/Loss 128,383.46 S* Account Page 26 of 48 Consolidated Statement Page 29 PROT60 Trade Date Settle Date 8/9 Type Sale 8/14 5/23 8/15 5/23 8/15 8/12 8/15 8/13 8/19 8/14 8/19 8/14 8/19 8/20 8/20 High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost QUALITY DISTRIBUTION INC @ 8.97 4,485.00 BROKERAGE 20.00 TAX &/OR SEC .08 J.P. MORGAN SECURITIES LLC (ID: 74756M-10-2) TO REVERSE ENTRY OF 05/29/2013 ZIONS BANCORPORATION VAR RT 12/31/2049 DTD 05/21/2013 @ 100.875 JP MORGAN SECURITIES LLC (BIDL) AS OF 05/29/13 (ID: 989701-BD-8) ZIONS BANCORPORATION VAR RT 12/31/2049 DTD 05/21/2013 @ 100.875 1,513,125.00 BROKERAGE 3,750.00 JP MORGAN SECURITIES LLC (BIDL) (ID: 989701-BD-8) CLIFFS NATURAL RESOURCES CV PFD 7% @ 22.033333 132,200.00 BROKERAGE 240.00 TAX &/OR SEC 2.31 J.P. MORGAN SECURITIES LLC (ID: 18683K-40-8) PROT61 LAREDO PETROLEUM HOLDINGS IN @ 23.621028 212,589.25 BROKERAGE 360.00 TAX &/OR SEC 3.70 J.P. MORGAN SECURITIES LLC (ID: 516806-10-6) NORTHERN TIER ENERGY LP @ 22.30 89,200.00 BROKERAGE 160.00 TAX &/OR SEC 1.56 J.P. MORGAN SECURITIES LLC (ID: 665826-10-3) ZIONS BANCORPORATION VAR RT 09/29/2049 DTD 08/13/2013 @ 100.10 50,050.00 BROKERAGE 25.00 JP MORGAN SECURITIES LLC (BIDL) (ID: 989701-BF-3) Principal Payment SEQUOIA MORTGAGE TRUST 11 CL B1 VAR RT Pro Rata (4,763.530) 12/20/2032 DTD 10/30/2002 PAYMENT A/C PRINCIPAL (ID: 81744A-AB-4) 100.00 4,763.53 (3,513.10) 1,250.43 S (50,000.000) 100.05 50,025.00 (50,000.00) 25.00 S (4,000.000) 22.26 89,038.44 (91,400.00) (2,361.56) S (9,000.000) 23.581 212,225.55 (213,750.00) (1,524.45) S (6,000.000) 21.993 131,957.69 (150,000.00) (18,042.31) S (1,500,000.000 ) 100.625 1,509,375.00 (1,500,000.00) 9,375.00 S* 1,500,000.000 100.875 (1,513,125.00) 1,500,000.00 (13,125.00) S* Quantity (500.000) PROT62 Per Unit Amount 8.93 Proceeds 4,464.92 Cost (4,300.00) Realized Gain/Loss 164.92 S Account Page 27 of 48 Consolidated Statement Page 30 PROT63 Trade Date Settle Date 8/14 8/20 8/14 8/20 8/14 8/20 8/15 8/21 8/15 8/21 8/26 [repeated 8 times] Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost GENMARK DIAGNOSTICS INC @ 10.2325 10,232.50 BROKERAGE 40.00 TAX &/OR SEC .18 J.P. MORGAN SECURITIES LLC (ID: 372309-10-4) MEDICINES CO @ 30.7147 30,714.70 BROKERAGE 40.00 TAX &/OR SEC .54 J.P. MORGAN SECURITIES LLC (ID: 584688-10-5) PENNYMAC MORTGAGE INVESTMENT TRUST @ 22.10 88,400.00 BROKERAGE 160.00 TAX &/OR SEC 1.54 J.P. MORGAN SECURITIES LLC (ID: 70931T-10-3) THIRD POINT REINSURANCE LTD @ 12.25 73,500.00 BROKERAGE 240.00 TAX &/OR SEC 1.28 J.P. MORGAN SECURITIES LLC (ID: G8827U-10-0) MEDICAL PROPERTIES TRUST INC @ 12.66 63,300.00 BROKERAGE 200.00 TAX &/OR SEC 1.11 J.P. MORGAN SECURITIES LLC (ID: 58463J-30-4) Principal Payment COUNTRYWIDE HOME LOANS 2003-1 CL B1 5.750% PROT64 Pro Rata (75,685.000) 03/25/2033 DTD 01/01/2003 PAYMENT A/C PRINCIPAL (ID: 12669D-YS-1) 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 CHASE MORTGAGE FINANCE CORPORATION REMIC Pro Rata 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 PAYMENT A/C PRINCIPAL (ID: 161630-AK-4) Principal Payment HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT Pro Rata 08/25/2029 DTD 07/30/2004 PAYMENT A/C PRINCIPAL (ID: 43739E-AC-1) (10,779.570) 100.00 10,779.57 (6,063.51) 4,716.06 S (108,600.870) 100.00 108,600.87 (96,111.77) 12,489.10 S (30,162.270) 100.00 30,162.27 (23,224.95) 6,937.32 L 100.00 75,685.00 (72,279.18) 3,405.82 S (5,000.000) 12.62 63,098.89 (63,750.00) (651.11) S (6,000.000) 12.21 73,258.72 (75,000.00) (1,741.28) S (4,000.000) 22.06 88,238.46 (89,360.00) (1,121.54) S PROT65 (1,000.000) 30.674 30,674.16 (30,250.00) 424.16 S Quantity (1,000.000) Per Unit Amount 10.192 Proceeds 10,192.32 Cost (9,840.00) Realized Gain/Loss 352.32 S Account Page 28 of 48 Consolidated Statement Page 31 PROT66 Trade Date Settle Date Type 8/26 Principal Payment IMPAC CMB TRUST 2005-2 CL 1M2 VAR RT 04/25/2035 Pro Rata DTD 03/03/2005 PAYMENT A/C PRINCIPAL (ID: 45254N-NC-7) Principal Payment STRUCTURED ASSET SECURITIES CO 2003-10 CL B2 Pro Rata 6.000% 04/25/2033 DTD 03/28/2003 PAYMENT A/C PRINCIPAL (ID: 86359A-QW-6) Total Settled Sales/Maturities/Redemptions $2,506,746.39 ($2,506,396.53) $6,937.32 L ($6,587.46) S (25,605.170) 100.00 25,605.17 (25,605.17) Quantity (9,847.810) Per Unit Amount 100.00 Proceeds 9,847.81 Cost (6,868.85) Realized Gain/Loss 2,978.96 S Trade Date Settle Date Type Description 7/24 Purchase 8/1 7/31 8/5 8/2 PROT67 8/6 8/2 8/6 8/1 8/6 8/2 8/7 Purchase GRANA Y MONTERO SA - ADR @ 21.13 J.P. MORGAN SECURITIES LLC (ID: 38500P-20-8) COUSINS PROPERTIES INC @ 10.00 J.P. MORGAN SECURITIES LLC (ID: 222795-10-6) Purchase Option WTI CALL OPTION USD PUT OPTION STRIKE 110.00 EXPIRING 02/14/2014 250,000 BARRELS PURCHASE OTC CALL (ID: OTCBDC-PH-K) Write Option Purchase Purchase WTI PUT OPTION USD CALL OPTION STRIKE 93.50, KI @ EXP 83.50 EXPIRING 02/14/2014 250,000 BARRELS WRITTEN OTC PUT (ID: OTCBDP-KG-F) AMERICAN HOMES 4 RENT- A @ 16.00 J.P. MORGAN SECURITIES LLC (ID: 02665T-30-6) BOYD GAMING CORP @ 12.00 J.P. MORGAN SECURITIES LLC (ID: 103304-10-1) 15,000.000 4,000.000 16.00 12.00 Account Page 29 of 48 (240,000.00) (48,000.00) Consolidated Statement Page 32 (250.000) 2,250.00 562,500.00 Quantity 7,000.000 10,000.000 250.000 Per Unit Amount 21.13 10.00 2,250.00 Market Cost (147,910.00) (100,000.00) (562,500.00) PROT68 PROT69 Trade Date Settle Date Type 8/2 Purchase 8/7 8/1 8/7 8/7 8/12 8/8 8/13 8/8 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 8/8 8/14 8/13 8/19 Purchase [repeated 12 times] Description LIBERTY PROPERTY TRUST S/B/I @ 36.00 J.P. MORGAN SECURITIES LLC (ID: 531172-10-4) VANTIV INC - CL A @ 25.75 J.P. MORGAN SECURITIES LLC (ID: 92210H-10-5) ALLISON TRANSMISSION HOLDING @ 22.00 J.P. PROT70 MORGAN SECURITIES LLC (ID: 01973R-10-1) ADVENT SOFTWARE INC @ 27.00 J.P. MORGAN SECURITIES LLC (ID: 007974-10-8) DCP MIDSTREAM PARTNERS LP @ 50.04 J.P. MORGAN SECURITIES LLC (ID: 23311P-10-0) DCT INDUSTRIAL TRUST INC @ 7.20 J.P. MORGAN SECURITIES LLC (ID: 233153-10-5) INTREXON CORP @ 16.00 J.P. MORGAN SECURITIES LLC (ID: 46122T-10-2) KAR AUCTION SERVICES INC @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 48238T-10-9) ZIONS BANCORPORATION VAR RT 12/31/2049 DTD 08/13/2013 @ 100.00 JP MORGAN SECURITIES LLC (BIDL) (ID: 989701-BF-3) NORWEGIAN CRUISE LINE HOLDIN @ 29.75 J.P. MORGAN SECURITIES LLC (ID: G66721-10-4) QEP MIDSTREAM PARTNERS LP @ 21.00 J.P. MORGAN SECURITIES LLC (ID: 74735R-11-5) QUALITY DISTRIBUTION INC @ 8.60 J.P. MORGAN SECURITIES LLC (ID: 74756M-10-2) LAREDO PETROLEUM HOLDINGS IN @ 23.75 J.P. MORGAN SECURITIES LLC (ID: 516806-10-6) 1,000.000 5,000.000 500.000 9,000.000 29.75 21.00 8.60 23.75 (29,750.00) (105,000.00) (4,300.00) (213,750.00) Quantity 7,500.000 6,000.000 2,000.000 1,000.000 3,000.000 4,000.000 1,250.000 1,000.000 750,000.000 Per Unit Amount 36.00 25.75 22.00 27.00 50.04 PROT71 7.20 16.00 25.00 100.00 Market Cost (270,000.00) (154,500.00) (44,000.00) (27,000.00) (150,120.00) (28,800.00) (20,000.00) (25,000.00) (750,000.00) Account Page 30 of 48 Consolidated Statement Page 33 PROT72 Trade Date Settle Date Type 8/14 Purchase 8/19 8/14 8/19 8/14 8/19 8/14 8/19 8/15 8/20 8/15 8/20 Total Settled Securities Purchased Trade Date Type Est. Settle Date Selection Method Description Pending Sales, Maturities, Redemptions Sale 8/28 9/3 ZIONS BANCORPORATION VAR RT 09/29/2049 DTD 08/13/2013 (ID: 989701-BF-3) Quantity (250,000.000) Per Unit Amount 100.10 Purchase [repeated 5 times] Description GENMARK DIAGNOSTICS INC @ 9.84 J.P. MORGAN SECURITIES LLC (ID: 372309-10-4) MEDICINES CO @ 30.25 J.P. MORGAN SECURITIES LLC (ID: 584688-10-5) NORTHERN TIER ENERGY LP @ 22.85 J.P. MORGAN SECURITIES LLC (ID: 665826-10-3) PENNYMAC MORTGAGE INVESTMENT TRUST @ 22.34 J.P. MORGAN SECURITIES LLC (ID: 70931T-10-3) THIRD POINT REINSURANCE LTD @ 12.50 J.P. MORGAN SECURITIES LLC (ID: G8827U-10-0) MEDICAL PROPERTIES TRUST INC @ 12.75 J.P. PROT73 MORGAN SECURITIES LLC (ID: 58463)-30-4) Quantity 1,000.000 1,000.000 4,000.000 4,000.000 6,000.000 5,000.000 Per Unit Amount 9.84 30.25 22.85 22.34 12.50 12.75 Market Cost (9,840.00) (30,250.00) (91,400.00) (89,360.00) (75,000.00) (63,750.00) ($2,717,730.00) Proceeds 250,250.00 Cost (250,000.00) Realized Gain/Loss 250.00 S Account Page 31 of 48 Consolidated Statement Page 34 PROT74 COST ADJUSTMENTS Settle Date Type Cost Adjustments 8/21 Cost Basis Adj Description JPMORGAN CHASE & CO 7.9% PFD STK APR 30 2049 DTD 04/23/2008 GENERAL MAINTENANCE (ID: 46625H-HA-1) Quantity 5,000,000.000 Cost Basis Adjustments 93,145.83 Account Page 32 of 48 Consolidated Statement Page 35 PROT75 Portfolio Activity Summary - Canadian Dollar US Dollar Value Current Transactions INFLOWS Contributions Total Inflows OUTFLOWS ** Total Outflows 7,134,950.74 $7,134,950.74 (7,134,950.74) ($7,134,950.74) -0.01 26,722,951.76 $26,722,951.77 (26,722,951.76) ($26,722,951.76) -7,500,000.00 7,500,000.00 (7,500,000.00) (7,500,000.00) 0.01 Year to date information is calculated on a calendar year basis. assets 0.01 27,500,000.00 27,500,000.01 (27,500,000.00) (27,500,000.00) -Period Value -Year-To-Date Value* -Local Value Current Period Value 0.01 Year-To-Date Value* -Account PROT76 Page 33 of 48 Consolidated Statement Page 36 PROT77 Portfolio Activity Detail - Canadian Type FX Fwd Contract 8/28 8/28 Spot FX Total Foreign Type 8/28 Description SETTLE FORWARD CURRENCY CONTRACT CAD CONTRACT RATE : 98.710000000 VALUE 8/28/13 (ID: OCADPR-AA-6) Quantity 740,325,000.000 Description SETTLE FORWARD CURRENCY CONTRACT JPY CONTRACT RATE : 96.810000000 VALUE 8/28/13 (ID: OCADPR-AA-6) SPOT CURRENCY TRANSACTION - BUY BUY JPY EXCHANGE RATE 93.880000000 DEAL VALUE 08/28/13 (ID: OCADPR-AA-6) $7,134,950.74 Amount USD Local Value (7,134,950.74) (7,500,000.00) $0.00 Currency Gain/Loss USD 17,442.93 (469,400,000.000 4,750,819.52 5,000,000.00 Quantity (242,025,000.000 Amount USD Local Value 2,384,131.22 2,500,000.00 Currency Gain/Loss USD Account Exchange - Inflows Page 34 of 48 Dollar BUY JPY SELL TRADE 5/23/13 BUY CAD SELL TRADE 6/10/13 CAD SELL 08/23/13 PROT78 Consolidated Statement Page 37 PROT79 Portfolio Activity Summary - Euro Current Transactions INFLOWS Contributions Total Inflows OUTFLOWS ** Total Outflows TRADE ACTIVITY 8,918,613.17 $8,918,613.17 (6,692,749.93) ($6,692,749.93) (2,963,524.14) ($2,963,524.14) -1,135,367.75 15,446,863.09 $16,582,230.84 (12,926,160.34) ($12,926,160.34) (2,963,524.14) ($2,963,524.14) -837,388.58 6,672,282.00 6,672,282.00 (5,000,000.00) (5,000,000.00) (2,226,492.36) (2,226,492.36) 283,178.22 Year to date information is calculated on a calendar year basis. assets 11,672,282.00 12,509,670.58 (10,000,000.00) (10,000,000.00) (2,226,492.36) (2,226,492.36) -Period Value PROT80 -US Dollar Value Local Value Year-To-Date Value* -Current Period Value 837,388.58 Year-To-Date Value* -Account Page 35 of 48 Consolidated Statement Page 38 PROT81 Portfolio Activity Detail - Euro Type Spot FX 8/5 8/7 8/8 8/9 8/14 8/14 8/15 Spot FX Spot FX Total Foreign Exchange - Inflows Description USD EXCHANGE RATE 1.327000000 DEAL 08/01/13 VALUE 08/05/13 (ID: OEURPR-AA-9) USD EXCHANGE RATE 1.326300000 DEAL 08/05/13 VALUE 08/07/13 (ID: OEURPR-CV-1) SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL CHF CONTRACT RATE : 1.251550000 TRADE 5/23/13 VALUE 8/08/13 (ID: OEURPR-AA-9) USD EXCHANGE RATE 1.337500000 DEAL 08/09/13 VALUE 08/09/13 (ID: OEURPR-AA-9) USD EXCHANGE RATE 1.331800000 DEAL 08/12/13 VALUE 08/14/13 (ID: OEURPR-CV-1) USD EXCHANGE RATE 1.331800000 DEAL 08/12/13 VALUE 08/14/13 (ID: OEURPR-CV-1) USD EXCHANGE RATE 1.332006000 DEAL 08/12/13 VALUE 08/15/13 (ID: OEURPR-AA-9) $8,918,613.17 $100.47 (1,520,210.500 ) 1,520,210.50 1,141,294.03 (164,717.930) 164,717.93 PROT82 123,680.68 (173,269.020) 173,269.02 130,101.38 (127,973.820) 127,973.82 95,681.36 100.47 (6,137,999.990 ) 6,564,675.64 4,904,318.64 (162,928.240) 162,928.24 122,844.18 Quantity (204,838.020) Amount USD Local Value 204,838.02 154,361.73 Currency Gain/Loss USD Account Page 36 of 48 Consolidated Statement Page 39 PROT83 Type 8/8 Description SETTLE FORWARD CURRENCY CONTRACT BUY CHF SELL EUR CONTRACT RATE : 1.227600000 TRADE 5/06/13 VALUE 8/08/13 (ID: OEURPR-AA-9) TRADE ACTIVITY - Euro Note: Trade Date Settle Date Type 7/31 Purchase 8/2 7/31 8/5 7/31 8/5 7/31 8/5 7/31 8/5 7/31 8/5 7/31 8/5 Purchase [repeated 6 times] Quantity 6,138,000.000 Amount USD Local Value (6,692,749.93) (5,000,000.00) Currency Gain/Loss USD (0.01) * Settled transaction was initiated in prior statement period and settled in current statement period Per Unit Description PROT84 VOLKSWAGEN AG PFD ISIN DE0007664039 SEDOL 5497168 (ID: 928662-92-3) 3C DECAUX INTERNATIONAL ISIN FR0000077919 SEDOL 7136663 (ID: F5333N-91-0) AUTOGRILL SA ISIN IT000113734 SEDOL 5256206 (ID: T8347V-91-5) CARREFOUR SUPERMARCHE ISIN FR0000120172 SEDOL 5641567 (ID: F13923-90-3) ACCOR SA ISIN FR0000120404 SEDOL 5852842 (ID: F00189-90-6) RENAULT SA ISIN FR0000131906/SEDOL 4712798 (ID: 759994-90-8) COMPAGNIE DE SAINT-GOBAIN ISIN FR0000125007 SEDOL 7380482 (ID: F80343-95-1) Quantity 700.000 5,000.000 10,900.000 5,500.000 4,500.000 2,000.000 3,500.000 Amount USD Local Value 238.598 179.15 32.157 24.097 15.321 11.49 30.925 23.174 37.786 28.315 78.882 59.11 46.374 34.75 Market Cost USD Local Value (167,018.58) (125,781.21) (160,785.93) (121,087.42) (166,999.72) (125,767.01) (170,089.99) (128,094.28) (170,037.29) (128,054.59) PROT85 (157,763.32) (118,811.10) (162,307.25) (122,233.12) Currency Gain/Loss USD 2,792.34 2,227.32 2,313.39 2,356.21 2,355.48 2,185.45 2,248.39 [repeated 6 times] Account Page 37 of 48 Consolidated Statement Page 40 PROT86 Per Unit Trade Date Settle Date Type 7/31 Purchase 8/5 8/5 8/7 8/12 8/14 8/12 8/14 8/12 8/15 8/12 8/15 8/12 8/15 8/12 8/15 8/12 8/15 8/12 8/15 8/12 8/16 Purchase [repeated 10 times] Description BNP PARIBAS ISIN FR0000131104 SEDOL 7309681 (ID: F07875-90-3) FRAPORT AG ISIN DE0005773303 SEDOL 7107551 (ID: D3856U-90-0) VOLKSWAGEN AG PFD ISIN DE0007664039 SEDOL 5497168 (ID: 928662-92-3) FRAPORT AG ISIN DE0005773303 SEDOL 7107551 (ID: D3856U-90-0) BNP PARIBAS ISIN FR0000131104 SEDOL 7309681 (ID: F07875-90-3) PROT87 ACCOR SA ISIN FR0000120404 SEDOL 5852842 (ID: F00189-90-6) RENAULT SA ISIN FR0000131906/SEDOL 4712798 (ID: 759994-90-8) COMPAGNIE DE SAINT-GOBAIN ISIN FR0000125007 SEDOL 7380482 (ID: F80343-95-1) CARREFOUR SUPERMARCHE ISIN FR0000120172 SEDOL 5641567 (ID: F13923-90-3) JC DECAUX INTERNATIONAL ISIN FR0000077919 SEDOL 7136663 (ID: F5333N-91-0) AUTOGRILL SA ISIN IT000113734 SEDOL 5256206 (ID: T8347V-91-5) Total Settled Securities Purchased (USD) Quantity 2,500.000 2,500.000 700.000 2,500.000 2,500.000 4,250.000 2,000.000 3,250.000 5,000.000 5,000.000 10,500.000 Amount USD Local Value 64.757 48.526 65.171 48.991 247.527 185.303 65.887 49.324 66.896 49.854 39.43 29.385 80.053 59.66 48.511 36.153 31.821 23.715 33.44 24.921 15.888 11.85 Market Cost USD PROT88 Local Value (161,893.57) (121,921.58) (162,928.24) (122,844.18) (173,269.02) (130,101.38) (164,717.93) (123,680.68) (167,238.79) (125,258.43) (167,575.58) (125,510.68) (160,106.91) (119,916.80) (157,660.40) (118,084.41) (159,106.99) (119,167.88) (167,200.87) (125,230.03) (166,823.76) (124,947.58) ($2,963,524.14) 393.81 394.60 377.01 371.26 374.66 393.72 392.83 $21,419.13 Currency Gain/Loss USD 2,242.66 Account Page 38 of 48 Consolidated Statement Page 41 PROT89 Portfolio Activity Summary - Japanese Yen US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -7,577,145.49 $7,577,145.49 Foreign Exchange - Outflows (7,525,366.46) ($7,525,366.46) -Year-To-Date Value* -27,203,183.62 $27,203,183.62 (27,143,358.55) ($27,143,358.55) -Local Value Current Period Value 0.00 740,325,000.00 740,325,000.00 (740,325,000.00) (740,325,000.00) 0.00 assets Year-To-Date Value* -2,699,025,000.00 2,699,025,000.00 (2,699,025,000.00 (2,699,025,000.00 ) -Account Page 39 of 48 Consolidated Statement Page 42 PROT90 Portfolio Activity Detail - Japanese Yen Type 8/28 Description SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL CAD CONTRACT RATE : 98.710000000 TRADE 5/23/13 VALUE 8/28/13 (ID: OJPYPR-AA-9) Quantity (7,500,000.000 ) Amount USD Local Value 7,577,145.49 740,325,000.00 Currency Gain/Loss USD Type 8/28 Spot FX Spot FX Description SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL JPY CONTRACT RATE : 96.810000000 TRADE 6/10/13 VALUE 8/28/13 (ID: OJPYPR-AA-9) SPOT CURRENCY TRANSACTION - SELL BUY CAD SELL JPY EXCHANGE RATE 93.880000000 DEAL 08/23/13 VALUE 08/28/13 (ID: OJPYPR-AA-9) SPOT CURRENCY TRANSACTION - SELL BUY USD SELL JPY EXCHANGE RATE 97.160000000 DEAL 08/27/13 VALUE 08/28/13 (ID: OJPYPR-AA-9) Total Foreign Exchange - Outflows ($7,525,366.46) ($51,779.03) 297,447.510 (297,447.51) (28,900,000.00) 1,659.17 5,000,000.000 (4,750,819.52) (469,400,000.00) (53,438.20) PROT91 Quantity 2,500,000.000 Amount USD Local Value (2,477,099.43) (242,025,000.00) Currency Gain/Loss USD Account Page 40 of 48 Consolidated Statement Page 43 PROT92 Portfolio Activity Summary - Pound Sterling US Dollar Value Current Transactions INFLOWS Total Inflows TRADE ACTIVITY Period Value -675,378.16 $675,378.16 Settled Securities Purchased (675,378.16) ($675,378.16) -Year-To-Date Value* -675,378.16 $675,378.16 (675,378.16) ($675,378.16) -Local Value Current Period Value 0.00 436,852.04 436,852.04 (436,852.04) (436,852.04) 0.00 Your account's standing instructions use a HIGH COST method for relieving assets Year-To-Date Value* -436,852.04 436,852.04 (436,852.04) (436,852.04) -Account Page 41 of 48 Consolidated Statement Page 44 PROT93 Portfolio Activity Detail - Pound Sterling Type Spot FX 8/8 8/8 8/14 8/15 8/15 Spot FX Total Foreign Exchange - Inflows Description USD EXCHANGE RATE 1.536300000 DEAL 08/05/13 VALUE 08/08/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.536300000 DEAL 08/05/13 VALUE 08/08/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.551890000 DEAL 08/09/13 VALUE 08/14/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.548290000 DEAL 08/12/13 VALUE 08/15/13 (ID: OGBPPR-CV-1) USD EXCHANGE RATE 1.548290000 DEAL 08/12/13 VALUE 08/15/13 (ID: OGBPPR-CV-1) $675,378.16 $0.00 (163,668.900) 163,668.90 105,709.46 (166,079.800) 166,079.80 107,266.60 (168,108.980) 168,108.98 108,325.32 (175,789.910) 175,789.91 114,424.21 Quantity (1,730.570) Amount USD PROT94 Local Value 1,730.57 1,126.45 Currency Gain/Loss USD Account Page 42 of 48 Consolidated Statement Page 45 PROT95 TRADE ACTIVITY - Pound Sterling Per Unit Trade Date Settle Date Type 8/5 Purchase 8/8 8/5 8/8 8/9 8/14 8/12 8/15 8/12 8/15 Purchase Description LLOYDS BANKING GROUP PLC ISIN GB0008706128 SEDOL 0870612 (ID: G91101-10-8) LLOYDS BANKING GROUP PLC ISIN GB0008706128 SEDOL 0870612 (ID: G91101-10-8) COCA-COLA HBC AG ISIN CH0198251305 SEDOL B9895B7 (ID: 588874-91-7) LLOYDS BANKING GROUP PLC ISIN GB0008706128 SEDOL 0870612 (ID: G91101-10-8) COCA-COLA HBC AG ISIN CH0198251305 SEDOL B9895B7 (ID: 588874-91-7) Total Settled Securities Purchased (USD) Quantity 1,500.000 148,500.000 5,650.000 141,000.000 5,650.000 Amount USD Local Value 1.154 0.745 1.184 0.764 29.754 19.115 1.178 0.755 PROT96 28.968 18.654 Market Cost USD Local Value (1,730.57) (1,126.45) (175,789.91) (114,424.21) (168,108.98) (108,325.32) (166,079.80) (107,266.60) (163,668.90) (105,709.46) ($675,378.16) $0.00 Currency Gain/Loss USD Account Page 43 of 48 Consolidated Statement Page 46 PROT97 Portfolio Activity Summary - Swiss Franc US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -7,016,039.56 $7,016,039.56 Foreign Exchange - Outflows TRADE ACTIVITY (6,676,819.31) ($6,676,819.31) (339,220.24) ($339,220.24) -Year-To-Date Value* -13,606,585.71 $13,606,585.71 (13,256,846.75) ($13,256,846.75) (339,220.24) ($339,220.24) -Local Value Current Period Value 0.00 6,451,066.58 6,451,066.58 (6,137,999.99) (6,137,999.99) (313,066.58) (313,066.58) 0.01 assets Year-To-Date Value* PROT98 -12,641,566.58 12,641,566.58 (12,328,499.99) (12,328,499.99) (313,066.58) (313,066.58) -Account Page 44 of 48 Consolidated Statement Page 47 PROT99 Portfolio Activity Detail - Swiss Franc Type 8/8 8/14 8/15 Spot FX Spot FX Total Foreign Exchange - Inflows Type 8/8 Description SETTLE FORWARD CURRENCY CONTRACT BUY EUR SELL CHF CONTRACT RATE : 1.251550000 TRADE 5/23/13 VALUE 8/08/13 (ID: OCHFPR-AA-4) Quantity 4,904,318.640 Description SETTLE FORWARD CURRENCY CONTRACT BUY CHF SELL EUR CONTRACT RATE : 1.227600000 TRADE 5/06/13 VALUE 8/08/13 (ID: OCHFPR-AA-4) LINKED CURRENCY TRANSACTION - BUY BUY CHF SELL USD EXCHANGE RATE .921588000 DEAL 08/09/13 VALUE 08/14/13 (ID: OCHFPR-CV-6) LINKED CURRENCY TRANSACTION - BUY BUY CHF SELL USD EXCHANGE RATE .924191000 DEAL 08/12/13 VALUE 08/15/13 (ID: OCHFPR-AA-4) $7,016,039.56 Amount USD Local Value (6,676,819.31) (6,137,999.99) $0.00 Currency Gain/Loss USD (171,063.800) 171,063.80 158,095.62 (168,156.440) 168,156.44 154,970.96 Quantity (5,000,000.000 ) PROT100 Amount USD Local Value 6,676,819.32 6,138,000.00 Currency Gain/Loss USD Account Page 45 of 48 Consolidated Statement Page 48 PROT101 TRADE ACTIVITY - Swiss Franc Per Unit Trade Date Settle Date Type 8/9 Purchase 8/14 8/12 8/19 Purchase Description ADECCO SA-REG ISIN CH0012138605 SEDOL 7110720 (ID: H00392-92-0) ADECCO SA-REG ISIN CH0012138605 SEDOL 7110720 (ID: H00392-92-0) Total Settled Securities Purchased (USD) Quantity 2,400.000 2,500.000 Amount USD Local Value 70.065 64.378 68.426 63.049 Market Cost USD Local Value (168,156.44) (154,970.96) (171,063.80) (158,095.62) ($339,220.24) $0.00 Currency Gain/Loss USD Account Page 46 of 48 Consolidated Statement Page 49 PROT102 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Trade Related EURO U S DOLLAR EURO U S DOLLAR POUND STERLING U S DOLLAR POUND STERLING U S DOLLAR EURO U S DOLLAR POUND STERLING U S DOLLAR SWISS FRANC U S DOLLAR EURO U S DOLLAR EURO U S DOLLAR EURO U S DOLLAR POUND STERLING U S DOLLAR POUND STERLING U S DOLLAR Aug. 1 13 Aug. 5 13 Aug. 5 13 Aug. 7 13 Aug. 5 13 Aug. 8 13 Aug. 5 13 Aug. 8 13 Aug. 9 13 Aug. 14 13 Aug. 9 13 Aug. 14 13 Aug. 12 13 Aug. 14 13 Aug. 12 13 Aug. 14 13 Aug. 12 13 Aug. 15 13 PROT103 Aug. 12 13 Aug. 15 13 Aug. 12 13 Aug. 15 13 EUR USD EUR USD GBP USD GBP USD EUR USD GBP USD CHF USD EUR USD EUR USD EUR USD GBP USD GBP USD Amount Counter Amount Contract Rate Revaluation Rate 154,361.73 (204,838.02) 122,844.18 (162,928.24) 1,126.45 (1,730.57) 114,424.21 (175,789.91) 95,681.36 (127,973.82) 108,325.32 (168,108.98) 154,970.96 (168,156.44) 130,101.38 (173,269.02) 123,680.68 (164,717.93) 1,141,294.03 (1,520,210.50) 107,266.60 PROT104 (166,079.80) 105,709.46 (163,668.90) Account Page 47 of 48 Consolidated Statement Page 50 1.327000 1.326300 1.536300 1.536300 1.337500 1.551890 0.921588 1.331800 1.331800 1.332006 1.548290 1.548290 1.327000 1.326300 1.536300 1.536300 1.338550 1.551890 0.921588 1.331800 1.331800 1.332006 1.548290 1.548290 Contracted Base Amount USD (204,838.02) (162,928.24) (1,730.57) (175,789.91) (127,973.82) (168,108.98) (168,156.44) (173,269.02) (164,717.93) (1,520,210.50) (166,079.80) (163,668.90) Revalued Amount USD 204,838.02 162,928.24 1,730.57 175,789.91 128,074.29 168,108.98 PROT105 168,156.44 173,269.02 164,717.93 1,520,210.50 166,079.80 163,668.90 100.47 Currency G/L PROT106 Trade Date Trade Related SWISS FRANC U S DOLLAR JAPANESE YEN U S DOLLAR Speculative SWISS FRANC EURO SWISS FRANC EURO JAPANESE YEN JAPANESE YEN JAPANESE YEN May. 6 13 Aug. 8 13 May. 23 13 Aug. 8 13 May. 23 13 Aug. 28 13 Jun. 10 13 Aug. 28 13 Aug. 23 13 Aug. 28 13 CHF EUR CHF EUR CAD JPY CAD 6,138,000.00 (5,000,000.00) (6,137,999.99) 4,904,318.64 (7,500,000.00) 740,325,000.00 2,500,000.00 JPY (242,025,000.00) CAD 5,000,000.00 JPY (469,400,000.00) 1.227600 1.251550 98.710000 96.810000 PROT107 93.880000 1.224678 1.272930 104.827638 0.009942 0.010533 (6,692,749.93) 6,564,675.64 7,577,145.49 (2,477,099.43) (4,804,257.72) 6,676,819.32 (6,676,819.31) (7,134,950.74) 2,384,131.22 4,750,819.52 (15,930.61) (112,143.67) 442,194.75 (92,968.21) (53,438.20) Currency Settle Date Counter Currency Aug. 12 13 Aug. 15 13 Aug. 27 13 Aug. 28 13 CHF USD JPY USD Amount Counter Amount Contract Rate Revaluation Rate 158,095.62 (171,063.80) (28,900,000.00) 297,447.51 0.924191 97.160000 0.924191 97.705001 Contracted Base Amount USD (171,063.80) 297,447.51 Revalued Amount USD 171,063.80 (295,788.34) 1,659.17 Currency G/L PROT108 Account Page 48 of 48 Consolidated Statement Page 51 PROT109 J.P. Morgan Securities LLC 383 Madison Avenue, New York, NY 10179 ACCT. Margin Account J.P. Morgan Team Justin Nelson Paul Barrett Janet Young Gina Magliocco Jason Grosse Online access Banker Investment Specialist Client Service Team [repeated 3 times] 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 4 6 Page 2 Account Page 1 of 6 Consolidated Statement Page 52 PROT110 MARGIN Cash Market Value Market Value 0.00 $0.00 Margin Market Value 314,640.75 $314,640.75 Current Beginning Market Value Contributions Withdrawals & Fees Securities Transferred In Net Contributions/Withdrawals Change In Investment Value Ending Market Value $0.00 $314,640.75 Period Value 314,640.75 Short Market Value 0.00 $0.00 Year-to-Date Value 0.00 350,956.66 (15,077.71) (21,422.88) $314,456.07 184.68 $314,640.75 Total 314,640.75 $314,640.75 Estimated $0.00 Current Market Value Annual Income Allocation 100% 100% ACCT. PROT111 Account Page 2 of 6 Consolidated Statement Page 53 PROT112 CONTINUED Current Income Summary ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Period Value Year-to-Date Value (50.11) 9,379.63 $9,329.52 ACCT. Cost Summary 314,640.75 Cost Total $314,640.75 Investment Objectives Speculation Permitted Income Generation Yes Yes Account Page 3 of 6 Consolidated Statement Page 54 PROT113 Cash & Fixed Income Summary Beginning Cash Market Value 314,640.75 ACCT. Ending Market Value 314,640.75 Change In Value 0.00 Current Allocation 100% Current Market Value/Cost Market Value Tax Cost SUMMARY BY MATURITY 1 0-6 months 1 Period Value 314,640.75 314,640.75 SUMMARY BY TYPE Market Value 314,640.75 % 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 314,640.75 % of Bond Portfolio 100% Account Page 4 of 6 Consolidated Statement Page 55 PROT114 Cash & Fixed Income Detail Quantity Price Cash US DOLLAR 1.00 314,640.75 Margin 314,640.75 314,640.75 Account Value Adjusted Cost Original Cost Unrealized Gain/Loss Yield ACCT. Account Page 5 of 6 Consolidated Statement Page 56 PROT115 Portfolio Activity Summary Current Transactions INFLOWS Total Inflows Contributions $0.00 OUTFLOWS ** Withdrawals Short Fees Charged Total Outflows TRADE ACTIVITY $0.00 $314,640.75 assets Portfolio Activity Detail No Activity This Period $0.00 Period Value 314,640.75 Year-To-Date Value* -350,956.66 $350,956.66 (15,073.28) (4.43) ($15,077.71) (21,238.20) ($21,238.20) -Current Securities Transferred In/Out Securities Transferred In Period Value Year-To-Date Value* (21,422.88) Account Page 6 of 6 Consolidated Statement Page 57 PROT116 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 PROT117 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 5 PROT118 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, PROT119 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 5 PROT120 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. PROT121 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 5 PROT122 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 PROT123 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. PRODUCT RELATED DISCLOSURE: THE JPMORGAN FUNDS OR THIRD PARTIES Shares of the funds referenced above are not bank deposits and are not guaranteed by any bank, government entity, or the FDIC. Return and share price will fluctuate and redemption value may be more or less than original cost. While the money market funds seek to maintain a stable net asset value of $1.00 per share, there is no assurance that they will continue to do so. The estimated annual income and dividend yield figures for mutual funds represent the funds' most recent income dividend annualized. Disclosures Page 4 of 5 PROT124 Prospectuses and other fund information for JPMorgan funds may be obtained by calling your J.P. Morgan team or JPMorgan Distribution Services, Inc. at (800) 480-4111. You also may view and order materials online for JPMorgan funds at www.jpmorganfunds.com. J.P. Morgan affiliates may receive compensation from the JPMorgan funds for providing investment advisory services to the funds. J.P. Morgan affiliates may also provide administrative, custodial, sales, distribution, shareholder or other services to the JPMorgan Funds or funds established, sponsored, advised, or managed by third parties, and J.P. Morgan affiliates may be compensated for such services as allowed by applicable law. The distributor of the JPMorgan Funds is JPMorgan Distribution Services, Inc., which is an affiliate of 3PMCB. Assets may be reflected herein even though they may be held by a third party unaffiliated with J.P. Morgan. In such cases, unless J.P. Morgan otherwise agrees, J.P. Morgan has no responsibility for the verification, valuation, safekeeping or management of those assets. Disclosures Page 5 of 5 PROT125 PROT126