EFTA01570361

GHISLAINE MAXWELL PROT0 PROT1 JPMorgan Chase Bank, N.A. For the Period 3/1/12 to 3/31/12 Asset Account J.P. Morgan Team Paul Morris Jason Bell Janet Young Gina Magliocco Banker Investment Specialist Client Service Team Client Service Team 212/464-0701 212/464-2084 800/634-1318 Table of Contents Account Summary Holdings Equity Alternative Assets Cash & Fixed Income Other Assets Portfolio Activity Online access www.MorganOnline.com Please see disclosures located at the end of this statement package for important information relating to each J.P.Morgan account(s). Page 2 4 8 9 15 16 Client News J.P. Morgan Securities LLC's (JPMS LLC) and J.P. Morgan Clearing Corp.'s (JPMCC) Net Capital and Net Capital Requirements At December 31, 2011, JPMS LLC's net capital of $11.1 billion exceeded the minimum regulatory net capital requirement of $1.6 billion by $9.5 billion. JPMCC's net capital of $7.4 billion was approximately 7.7% of aggregate debit items and exceeded the minimum regulatory net capital requirement of $1.9 billion by $5.5 billion. Complete copies of JPMS LLC's and JPMCC's individual audited Statement of Financial Condition may be obtained, at no cost, by accessing the following PROT2 JPMorgan Chase & Co. website address: http://investor.shareholder.com/jpmorganchase/financial -condition.cfm Additionally, you may call the following toll free phone number to request a hard copy of the statement: Effective in the second quarter, we will be implementing a new pricing procedure with regard to your statements. In cases where we are unable to obtain a current price from an internal or external source for a particular security, the price column on your statements may indicate "unpriced". Although such securities may have value, please note that if a security is indicated as "unpriced" it will not be included in your overall current market value as reflected on the statement. 0000000188.15.0.15.00003.MAXWE00.20120412 Page 1 of 53 PROT3 GHISLAINE MAXWELL ACCT. Account Summary Asset Allocation Equity Alternative Assets Other Market Value Accruals Market Value with Accruals Beginning Market Value 1,159,015.72 195,945.40 7,291,802.17 90,156.84 $8,736,920.13 31,969.35 $8,768,889.48 Ending Market Value 708,100.87 189,883.18 7,173,683.38 89,407.23 $8,161,074.66 34,548.43 $8,195,623.09 Current Portfolio Activity 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 (556,318.57) 1,541,183.60 (1,540,912.61) ($556,047.58) (2,711.81) (17,086.08) $8,161,074.66 34,548.43 $8,195,623.09 PROT4 Period Value 8,736,920.13 Change In Value (450,914.85) (6,062.22) (118,118.79) (749.61) ($575,845.47) 2,579.08 ($573,266.39) Year-to-Date Value 4,926,904.29 4,972,947.20 (2,079,617.24) 5,305,726.95 (5,203,158.62) $2,995,898.29 13,795.51 224,476.57 $8,161,074.66 34,548.43 $8,195,623.09 Estimated 45,693.48 58,037.36 $103,730.84 Current Annual Income Allocation 10% 2% 87% 1% 100% Other Alternative Assets Equity Cash & Fixed Income Asset Allocation Page 2 of 53 PROT5 Account Summary Tax Summary Domestic Dividends/Distributions Foreign Dividends Currency Gain/Loss Interest Income Taxable Income Tax-Exempt Income Bond Premium Amortization Tax-Exempt Income CONTINUED Current Period Value 803.27 334.32 (10,137.40) 6,288.00 ($2,711.81) Year-to-Date Value 1,633.76 4,478.79 (10,179.94) 14,707.72 $10,640.33 3,750.00 (594.82) $3,155.18 Unrealized Gain/Loss To-Date Value ($126,250.86) ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value (28,206.80) (7,809.25) ($36,016.05) Year-to-Date Value (22,131.05) (66,195.09) ($88,326.14) Cost Summary Equity Cost Other PROT6 Total 764,755.16 7,220,971.56 90,364.18 $8,076,090.90 Page 3 of 53 PROT7 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 Unrealized Gain/Loss Estimated Annual Income Accrued Dividends Yield Equity Detail Price US Large Cap Equity APACHE CORP 037411-10-5 APA Quantity Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield Beginning Market Value 115,212.84 6,000.00 395,528.88 436,402.00 205,872.00 $1,159,015.72 Ending Market Value 60,708.87 5,085.00 0.00 436,129.00 206,178.00 $708,100.87 Current Period Value 708,100.87 764,755.16 PROT8 (56,654.29) 45,693.48 7,249.82 6.44% Concentrated & Other Equity Equity as a percentage of your portfolio - 10 % Change In Value (54,503.97) (915.00) (395,528.88) (273.00) 306.00 ($450,914.85) Current Allocation 1% 1% 5% 3% 10% US Large Cap Equity Preferred Stocks US Small/Mid Cap Equity 100.44 95.000 9,541.80 11,403.30 (1,861.50) 64.60 0.68% Page 4 of 53 PROT9 Price US Large Cap Equity BANK OF AMERICA CORP CITIGROUP INC NEW 060505-10-4 BAC 36.55 172967-42-4 C PROSHARES ULTRASHORT S&P 500 PROSHARES TRUST SCHLUMBERGER LTD Total US Large Cap Equity 74347R-88-3 SDS 30.28 74347X-23-7 QID 69.93 806857-10-8 SLB $60,708.87 $116,137.71 ($55,428.84) 113.000 7,902.09 9,524.04 (1,621.95) 124.30 31.08 $240.98 $31.08 US Small/Mid Cap Equity GERON CORP 374163-10-3 GERN Non-US Equity RIO TINTO PLC ISIN GB0007188757 SEDOL 0718875 766994-90-9 GBP STANDARD CHARTERED PLC ORD U$ 0.50 ISIN GB0004082847 SEDOL 0408284 G84228-92-6 GBP Page 5 of 53 0.00 783.10 1.57% 0.40% 200.000 6,056.00 26,203.50 (20,147.50) 15.09 1,000.000 PROT10 15,090.00 44,809.50 (29,719.50) 358.000 13,084.90 14,048.52 (963.62) 14.32 0.11% 9.57 944.000 9,034.08 10,148.85 (1,114.77) 37.76 0.42% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 1.70 3,000.000 5,085.00 18,129.32 (13,044.32) 0.00 173.50 PROT11 Price Non-US Equity SUN HUNG KAI PROPERTIES ISIN HK0016000132 SEDOL 6859927 Y82594-12-1 SHKP HKD Total Non-US Equity $0.00 [repeated 3 times] 0.00 244.86 $0.00 $1,201.46 Preferred Stocks CITIGROUP CAPITAL XIII 7 7/8% PFD 173080-20-1 C PNNA /BA1 COUNTRYWIDE CAPITAL V 7% PFD 222388-20-9 CFC PB 3PM CHASE CAPITAL XXIX 6.7% PFD 48125E-20-7 3PM PC Total Preferred Stocks 25.55 2,500.000 63,875.00 $436,129.00 62,500.00 $422,578.96 1,375.00 $13,550.04 4,187.50 1,046.88 $31,227.50 $1,046.88 Concentrated & Other Equity GENERAL MOTORS CO CV PFD B 37045V-20-9 GM PB 6.56% 7.16% 23.87 4,200.000 100,254.00 98,778.96 1,475.04 7,350.00 7.33% PROT12 0.00% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 27.20 10,000.000 272,000.00 261,300.00 10,700.00 19,690.00 7.24% 41.85 1,000.000 41,850.00 50,000.00 (8,150.00) 2,375.00 5.68% Page 6 of 53 PROT13 Price Concentrated & Other Equity JPMORGAN CHASE & CO 7.9% PFD STK APR 30 2049 DTD 04/23/2008 46625H-HA-1 BBB /BAA Total Concentrated & Other Equity $206,178.00 $207,909.17 ($1,731.17) $14,225.00 $4,970.40 6.86% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 109.55 150,000.000 164,328.00 157,909.17 6,418.83 11,850.00 4,970.40 7.16% Page 7 of 53 PROT14 Alternative Assets Summary Beginning Hard Assets Estimated Value 195,945.40 Alternative Assets Detail Price Hard Assets BARC CALLABLE PALLDIUM CP NT 05/14/12 LNKD TO PLDMLNPM 7.4% CPN, 20% MAX, 80% BARRIER 05/03/2011 06738K-JA-0 DB X-TRACKERS ISIN LU0292106167 SEDOL B3DYFK4 892352-91-5 ETFS METAL SECURITIES LTD ISIN JEO0B1VS3770 SEDOL BlVS377 131994-91-5 ISHARES SILVER TRUST Total Hard Assets 46428Q-10-9 SLV $189,883.18 $211,234.62 31.38 1,000.000 31,380.00 44,010.03 163.16 301.000 49,109.66 45,068.38 43.41 2,058.000 89,335.52 102,156.21 100.29 20,000.000 20,058.00 20,000.00 Quantity Estimated Value Cost Ending 189,883.18 PROT15 Change In Value (6,062.22) Current Allocation 2% Page 8 of 53 PROT16 Cash & Fixed Income Summary Beginning Cash Non-USD Cash Non-USD Short Term US Fixed Income Non-US Fixed Income Complementary Structured Strategies Total Value Market Value/Cost Market Value Tax Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield Market Value 4,882,728.78 907,283.08 52,398.57 754,766.00 551,306.74 143,319.00 $7,291,802 17 Ending Market Value 5,352,493.82 330,502.14 49,370.00 758,172.56 540,385.36 142,759.50 $7,173,683.38 Current Period Value 7,173,683.38 7,220,971.56 (47,288.18) 58,037.36 26,490.93 0.80% Cash & Fixed Income as a percentage of your portfolio 87 % Change In Value 469,765.04 (576,780.94) (3,028.57) 3,406.56 PROT17 (10,921.38) (559.50) ($118,118.79) Current Allocation 64% 4% 1% 9% 7% 2% 87% Non-USD Short Term Complementary Structured Strategies Non-US Fixed Income Non-USD Cash Cash Page 9 of 53 PROT18 SUMMARY BY MATURITY 1 0-6 months 1-5 years' 5-10 years' 10+ years' Total Value 1 SUMMARY BY TYPE Market Value 5,990,229.96 667,473.42 290,284.50 225,695.50 $7,173,683.38 % of Bond Portfolio 84% 9% 4% 3% 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. Note: A - Bonds purchased at a premium show amortization. 1 Cash & Fixed Income Detail Price Cash US DOLLAR 3PM NY MUNI MM FD - MORGAN Total Cash 1.00 1.00 5,352,492.82 1.00 5,352,492.82 1.00 $5,352,493.82 5,352,492.82 1.00 $5,352,493.82 $0.00 $535.24 $42.19 PROT19 0.01% 535.24 42.19 0.01% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Income Yield Cash NON USD Cash Corporate Bonds Municipal Bonds International Bonds Mutual Funds Complementary Structure Total Value Market Value 5,352,493.82 330,502.14 286,783.00 225,695.50 815,206.46 20,242.96 142,759.50 $7,173,683.38 % of Bond Portfolio 77% 4% 3% 3% 11% 1% 1% 100% 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. Page 10 of 53 PROT20 Price Non-USD Cash AUSTRALIAN DOLLAR JP MORGAN CHASE BANK - CAD LONDON TIME DEPOSITS 0.6100% DATED 03/27/2012 MATURITY 04/03/2012 HELD BY LONDON TREASURY SERVICES JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 0.8500% DATED 03/30/2012 MATURITY 04/10/2012 Total Non-USD Cash $330,502.14 $319,993.53 $10,508.61 $2,531.71 $19.79 Non-USD Short Term INTL BK RECON & DEVELOP - BRL 8.75% JUN 15 2012 DTD 08/20/2009 HELD BY EUROCLEAR ISIN XS0446421157 SEDOL B435Z93 459058-96-1 NA /AAA BRL JPM MANAGED RESERVES C 051398-91-5 GBP ISHARES MARKIT IBOXX CORPORATE BOND ISIN IE00B00FV011 SEDOL BOOFV01 461278-91-3 GBP Page 11 of 53 10,341.88 192.79 7.54 105.00 77,926.10 20,242.96 79,003.04 19,023.08 (1,076.94) 1,219.88 54.86 90,000.00 49,370.00 50,106.74 (736.74) 4,316.72 3,432.11 8.10% PROT21 0.77% 17.53 1,227,095.70 215,127.09 207,074.66 8,052.43 1,828.57 10.11 0.85% Quantity Value Original Cost Unrealized Gain/Loss Yield 1.04 100.00 100.06 115,208.06 103.59 115,271.46 103.25 112,815.62 0.34 2,455.84 703.14 9.68 0.63% PROT22 GHISLAINE MAXWELL ACCT. Price HSBC FINANCE CORP MEDIUM TERM NOTE 2.9% OCT 15 2015 DTD 10/15/2010 40429X-YB-6 A /A3 GENERAL ELEC CAP CORP MEDIUM TERM FLOATING RATE NOTE MAY 11 2016 DTD 05/11/2007 36962G-2V-5 AA+ /AA2 BANK OF AMERICA CORP MEDIUM TERM NOTE 3.6% NOV 15 2016 DTD 11/04/2010 06050W-DW-2 A- /BAA BARCLAYS BANK PLC MEDIUM TERM NOTE 2 2/1% OCT 20 2017 DTD 10/20/2010 06740P-VG-8 NA /AA3 A MI ST MUNI BOND AUTH ST CLEAN WTR REVOLVING FD 5% OCT 01 2026 DTD 11/02/2006 HELD BY DTC BOOK ENTRY ONLY PAR CALL 10/01/2016 @ 100 59455T-PF-3 AAA /AAA A BIRDVILLE TEXAS INDEPENDENT SCHOOL DIST PERM SCH GTD FUND UNLIMITED TAX 5% FEB 15 2029 DTD 01/15/2007 HELD BY DTC BOOK ENTRY ONLY PAR CALL 02/15/2017 @ 100 090874-FV-5 AAA /AAA 113.22 100,000.00 113,220.00 109,810.34 110,503.00 3,409.66 5,000.00 638.80 3.92% 114.43 50,000.00 57,216.50 55,064.72 55,424.00 2,151.78 2,500.00 1,256.90 PROT23 3.70% 98.35 150,000.00 147,525.00 150,000.00 (2,475.00) 3,750.00 1,677.00 2.82% 94.20 150,000.00 141,306.00 150,000.00 (8,694.00) 5,400.00 2,040.00 5.02% 95.60 50,000.00 47,799.00 45,394.50 2,404.50 355.00 49.10 1.82% Quantity Value Original Cost Unrealized Gain/Loss Yield 97.68 100,000.00 97,678.00 100,000.00 (2,322.00) 2,900.00 1,337.20 3.60% Page 12 of 53 PROT24 GHISLAINE MAXWELL ACCT. Price A MA ST HLTH & EDUCTNL FACS AUTH REVENUE HARVARD UNIV 5% B JUL 15 2032 DTD 08/03/2005 HELD BY DTC BOOK ENTRY ONLY PAR CALL 07/15/2015 @ 100 57586C-FW-0 AAA /AAA Total US Fixed Income $758,172.56 $761,972.31 $763,387.62 Non-US Fixed Income BLUEBAY HIGH YIELD BD FD GBP HDG-DB ISIN LU0222772518 G13289-92-4 GBP ISHARES BARCLAYS CAPITAL ISIN IE00B1FZSD53 SEDOL B1G52V0 46578W-92-2 GBP KFW - TRY MTN 9 3/4% JUL 16 2013 DTD 02/10/2010 HELD BY EUROCLEAR ISIN XS0484842470 SEDOL B637YV8 14085A-9A-6 AAA /AAA TRY INTER AMERICAN DEVELOPMENT BANK- INR MEDIUM TERM NOTE 3% MAR 25 2014 DTD 03/25/2010 HELD BY EUROCLEAR ISIN XS0495010562 SEDOL 6511413 U45818-9G-5 AAA /AAA INR 1.82 6,700,000.00 121,821.75 143,232.17 (21,410.42) 3,945.43 75.62 7.11% 57.19 200,000.00 114,386.67 135,555.56 (21,168.89) 10,937.23 7,769.58 8.02% 21.35 PROT25 5,790.00 123,639.24 118,212.32 5,426.92 191.89 187.90 36,055.70 39,293.00 (3,237.30) ($3,799.75) $22,405.00 $7,526.75 3.24% 110.52 50,000.00 55,259.00 53,676.63 54,040.00 1,582.37 2,500.00 527.75 4.22% Quantity Value Original Cost Unrealized Gain/Loss Yield Page 13 of 53 PROT26 Price Non-US Fixed Income INTER AMERICAN DEVEL BK - IDR MEDIUM TERM NOTE 6.50% JUN 04 2014 DTD 06/04/2010 HELD BY EUROCLEAR ISIN XS0513770957 SEDOL B4YWHCO 45818W-9K-4 AAA /AAA IDR Total Non-US Fixed Income $540,385.36 $586,405.16 ($46,019.80) $24,123.69 $15,470.09 Complementary Structured Strategies MS 7YNC1Y STEP-UP NOTE 09/13/17 INITIAL RATE 2.75% CPN WHERE MAX RATE IS 6% PER ANNUM DD 9/8/10 61745E-6Q-9 A- /A2 4.84% Quantity Value Original Cost Unrealized Gain/Loss Yield 0.01 1,300,000,000.00 144,482.00 150,112.11 (5,630.11) 9,241.03 7,624.89 5.74% 95.17 150,000.00 142,759.50 150,000.00 (7,240.50) 4,125.00 Page 14 of 53 PROT27 Other Summary Balanced Beginning 90,156.84 Ending 89,407.23 Change In Value (749.61) Current Allocation 1% Current Market Value/Cost Tax Cost Estimated Gain/Loss Accrued Dividends Other Detail Price Balanced PIMCO FUNDS GLOBAL INVESTORS SERIES - GLOBAL INVESTMENT GRADE CREDIT FUND ISIN IE00B3BMD843 SEDOL B3BMD84 695421-91-7 GBP 20.50 4,361.513 89,407.23 90,364.18 (956.95) 807.68 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Accruals Period Value 89,407.23 90,364.18 (956.95) 807.68 Page 15 of 53 PROT28 PROT29 Portfolio Activity Summary - U S Dollar Beginning Cash Balance PRINCIPAL Current Transactions Income INFLOWS 2,904.43 Contributions Foreign Exchange - Inflows Total Inflows OUTFLOWS ** Withdrawals Foreign Exchange - Outflows Total Outflows TRADE ACTIVITY Total Trade Activity Settled Sales/Maturities/Redemptions Ending Cash Balance (159,902.42) ($159,902.42) 55,086.75 $55,086.75 $5,352,492.82 * 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 571,676.28 $574,580.71 15,495.33 4,972,118.20 574,845.37 $5,562,458.90 (1,419,530.95) (159,902.42) ($1,579,433.37) 204,254.72 $204,254.72 -$0.00 $0.00 [repeated 3 times] Period Value 4,882,727.78 Year-To-Date Value* -INCOME Current PROT30 Period Value 0.00 Year-To-Date Value* -$0.00 50.00 50.00 -Page 16 of 53 PROT31 Portfolio Activity Summary - U S Dollar Current Cost Adjustments Amortization Total Cost Adjustments Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method 3/1 [repeated 3 times] 3/12 3/13 3/14 Interest Income Div Domest [repeated 3 times] Corporate Interest Div Domest Description DEPOSIT SWEEP INTEREST FOR FEB. @ .01% RATE ON NET AVG COLLECTED BALANCE OF $4,881,432.38 AS OF 03/01/12 GENERAL MOTORS CO CV PFD B @ 0.59375 PER SHARE (ID: 37045V-20-9) KROGER CO @ 0.115 PER SHARE (ID: 501044-10-1) UNITED TECHNOLOGIES CORP @ 0.48 PER SHARE (ID: 913017-10-9) MS 7YNC1Y STEP-UP NOTE 09/13/17 INITIAL RATE 2.75% CPN WHERE MAX RATE IS 6% PER ANNUM DD 9/8/10 (ID: 61745E-6Q-9) E I DU PONT DE NEMOURS & CO @ 0.41 PER SHARE (ID: 263534-10-9) 224.000 0.41 91.84 150,000.000 0.014 2,062.50 1,000.000 265.000 162.000 0.594 0.115 0.48 PROT32 593.75 30.48 77.76 Quantity Cost Per Unit Amount PRINCIPAL Amount 38.66 INCOME Amount $0.00 Period Value Year-To-Date Value* (594.82) 9,237.41 $8,642.59 Page 17 of 53 PROT33 Type 3/23 3/27 [repeated 8 times] 3/30 Div Domest Spot FX [repeated 9 times] Description BANK OF AMERICA CORP @ 0.01 PER SHARE (ID: 060505-10-4) SPOT CURRENCY TRANSACTION - SELL BUY USD SELL AUD EXCHANGE RATE 1.038800000 DEAL 03/23/12 VALUE 03/27/12 (ID: OAUDPR-AA-8) CHF EXCHANGE RATE .910500000 DEAL 03/23/12 VALUE 03/27/12 (ID: OCHFPR-AA-4) EUR EXCHANGE RATE 1.324200000 DEAL 03/23/12 VALUE 03/27/12 (ID: OEURPR-AA-9) GBP EXCHANGE RATE 1.584400000 DEAL 03/23/12 VALUE 03/27/12 (ID: OGBPPR-AA-9) HKD EXCHANGE RATE 7.770700000 DEAL 03/23/12 VALUE 03/27/12 (ID: OHKDPR-AA-4) JPY EXCHANGE RATE 82.280000000 DEAL 03/23/12 VALUE 03/27/12 (ID: 0JPYPR-AA-9) NOK EXCHANGE RATE 5.756700000 DEAL 03/23/12 VALUE 03/27/12 (ID: ONOKPR-AA-1) SEK EXCHANGE RATE 6.743100000 DEAL 03/23/12 PROT34 VALUE 03/27/12 (ID: OSEKPR-AA-1) SPOT CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.586700000 DEAL 03/28/12 VALUE 03/30/12 (ID: OGBPPR-AA-9) Page 18 of 53 100,776.720 159,670.64 (159,902.42) (127,026.000) (18,879.35) 18,837.92 (80,557.600) (14,022.45) 13,993.71 (4,117,504.000 ) (50,035.13) 50,042.59 (111,932.420) (14,418.61) 14,404.42 (226,311.800) (360,424.50) 358,568.42 (75,122.880) (99,477.73) 99,477.72 (6,154.680) (6,755.96) 6,759.67 Quantity Cost Per Unit Amount 944.000 (5,387.790) (5,648.56) 0.01 PRINCIPAL Amount 9.44 5,596.84 INCOME Amount PROT35 Type 3/30 Spot FX Total Inflows & Outflows TRADE ACTIVITY Note: Trade Date Settle Date 3/16 3/21 3/16 3/21 3/16 3/21 3/23 3/28 3/23 3/28 Description INR EXCHANGE RATE 50.313035000 DEAL 03/26/12 VALUE 03/26/12 (ID: OINRPR-AA-8) $414,678.29 Quantity Cost Per Unit Amount (201,000.000) (3,915.46) PRINCIPAL Amount 3,994.99 INCOME Amount S indicates Short Term Realized Gain/Loss Type Selection Method Description Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale PROT36 High Cost E M C CORP MASS @ 28.96057 13,553.55 BROKERAGE 100.00 TAX &/OR SEC .25 J.P. MORGAN SECURITIES LLC (ID: 268648-10-2) KROGER CO @ 24.30 6,439.50 BROKERAGE 100.00 TAX &/OR SEC .12 J.P. MORGAN SECURITIES LLC (ID: 501044-10-1) UNITED TECHNOLOGIES CORP @ 85.75074 13,891.62 BROKERAGE 100.00 TAX &/OR SEC .26 J.P. MORGAN SECURITIES LLC (ID: 913017-10-9) WALT DISNEY CO @ 43.08 9,865.32 BROKERAGE 13.74 TAX &/OR SEC .18 J.P. MORGAN SECURITIES LLC (ID: 254687-10-6) E I DU PONT DE NEMOURS & CO @ 52.07571 11,664.96 BROKERAGE 13.44 TAX &/OR SEC .21 J.P. MORGAN SECURITIES LLC (ID: 263534-10-9) Total Settled Sales/Maturities/Redemptions $55,086.75 ($53,302.65) $1,784.10 S Page 19 of 53 (224.000) 52.015 11,651.31 (11,537.62) 113.69 S (229.000) 43.019 9,851.40 (9,015.40) 836.00 S (162.000) 85.132 13,791.36 (13,783.83) 7.53 S (265.000) 23.922 6,339.38 (6,587.16) (247.78) S Quantity (468.000) Per Unit Amount 28.746 Proceeds 13,453.30 Tax Cost (12,378.64) Realized PROT37 Gain/Loss 1,074.66 S PROT38 Portfolio Activity Summary - Australia Dollar PRINCIPAL US Dollar Value Current Transactions Income Contributions Total Inflows OUTFLOWS ** Total Outflows TRADE ACTIVITY Period Value INFLOWS -103.25 $103.25 (5,596.84) ($5,596.84) Settled Sales/Maturities/Redemptions 5,648.56 $5,648.56 -Year-To-Date Value* -103.25 216.26 $319.51 (5,811.27) ($5,811.27) 5,648.56 $5,648.56 -Local Value Current Period Value 0.00 100.00 100.00 (5,387.79) (5,387.79) 5,387.79 5,387.79 100.00 PROT39 Year-To-Date Value* -100.00 208.35 308.35 (5,596.14) (5,596.14) 5,387.79 5,387.79 -Page 20 of 53 PROT40 Portfolio Activity Summary - Australia Dollar INCOME Current Transactions Portfolio Activity Detail - Australia Dollar Per Unit Type 3/27 3/30 3/30 Spot FX Foreign Dividend Foreign Dividend Description AUD EXCHANGE RATE 1.038800000 DEAL 03/23/12 VALUE 03/27/12 (ID: OAUDPR-AA-8) QBE INSURANCE GROUP LTD ISIN AU000000QBE9 SEDOL 6715740 @ 0.0625 PER SHARE (ID: Q78063-91-6) QBE INSURANCE GROUP LTD ISIN AU000000QBE9 SEDOL 6715740 @ 0.1875 PER SHARE (ID: Q78063-91-6) 400.000 400.000 0.065 0.063 0.194 0.188 25.81 25.00 77.44 75.00 ($5,493.59) ($51.72) Quantity 5,596.840 Amount USD Local Value PRINCIPAL Amount USD Local Value PROT41 (5,596.84) (5,387.79) INCOME Amount USD Local Value Currency Gain/Loss USD (51.72) Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 21 of 53 PROT42 TRADE ACTIVITY - Australia Dollar Note: Per Unit Trade Date Settle Date 3/21 3/26 Type Sale High Cost QBE INSURANCE GROUP LTD ISIN AU000000QBE9 SEDOL 6715740 (ID: Q78063-91-6) Quantity (400.000) Amount USD Local Value 14.121 13.51 Proceeds USD Local Value 5,648.56 5,387.79 Tax Cost USD Realized Local Value Gain/Loss USD (7,237.30) (6,798.62) (1,588.74) S Page 22 of 53 PROT43 Portfolio Activity Summary - Canadian Dollar PRINCIPAL Current Transactions INFLOWS Total Inflows Income OUTFLOWS ** Total Outflows Withdrawals INCOME Current Transactions Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Period Value -55.11 $55.11 (55.11) ($55.11) -Year-To-Date Value* -174.03 $174.03 (174.03) ($174.03) -Local PROT44 Value Current Period Value 0.00 54.64 54.64 (54.64) (54.64) 0.00 Year-To-Date Value* -174.52 174.52 (174.52) (174.52) -Page 23 of 53 PROT45 Portfolio Activity Detail - Canadian Dollar Per Unit Type 3/6 Foreign Interest Description JP MORGAN CHASE BANK - CAD LONDON TIME DEPOSITS 0.6100% DATED 02/28/2012 MATURITY 03/06/2012 (ID: 2527Y9-9L-9) 3/6 3/6 Misc Disbursement REP: ROLLOVER TO TIME DEPOSIT CANADIAN DOLLAR (ID: OCADPR-AA-6) Free Delivery High Cost 3/6 Receipt of Assets 0.6100% DATED 02/28/2012 MATURITY 03/06/2012 HELD BY LONDON TREASURY SERVICES CLIENT REF FTD (ID: 2527Y9-9L-9) 0.6100% DATED 03/06/2012 MATURITY 03/13/2012 (ID: 252869-9T-5) 3/13 0.6100% DATED 03/06/2012 MATURITY 03/13/2012 (ID: 252869-9T-5) 3/13 3/13 Misc Disbursement REP: ROLLOVER TO TIME DEPOSIT CANADIAN DOLLAR (ID: OCADPR-AA-6) Free Delivery High Cost 0.6100% DATED 03/06/2012 MATURITY 03/13/2012 (ID: 252869-9T-5) (13.660) (115,167.080) (13.75) (13.66) 115,167.080 PROT46 13.75 13.66 115,167.080 (13.660) (115,153.420) (13.75) (13.66) Quantity 115,153.420 Amount USD Local Value PRINCIPAL Amount USD Local Value 13.75 13.66 INCOME Amount USD Local Value Currency Gain/Loss USD Page 24 of 53 PROT47 Per Unit Type 3/13 Description 0.6100% DATED 03/13/2012 MATURITY 03/20/2012 (ID: 2528F9-9C-8) 3/20 0.6100% DATED 03/13/2012 MATURITY 03/20/2012 (ID: 2528F9-9C-8) 3/20 3/20 Misc Disbursement REP: ROLLOVER TO TIME DEPOSIT CANADIAN DOLLAR (ID: OCADPR-AA-6) Free Delivery High Cost 3/20 0.6100% DATED 03/13/2012 MATURITY 03/20/2012 (ID: 2528F9-9C-8) 0.6100% DATED 03/20/2012 MATURITY 03/27/2012 (ID: 2528H9-9W-2) 3/27 0.6100% DATED 03/20/2012 MATURITY 03/27/2012 (ID: 2528H9-9W-2) 3/27 3/27 Misc Disbursement REP: ROLLOVER TO TIME DEPOSIT CANADIAN DOLLAR (ID: OCADPR-AA-6) Free Delivery High Cost 0.6100% DATED 03/20/2012 MATURITY 03/27/2012 (ID: 2528H9-9W-2) PROT48 (13.660) (115,194.400) (13.78) (13.66) 115,194.400 13.78 13.66 115,194.400 (13.660) (115,180.740) (13.83) (13.66) 115,180.740 13.83 13.66 Quantity 115,180.740 Amount USD Local Value PRINCIPAL Amount USD Local Value INCOME Amount USD Local Value Currency Gain/Loss USD Page 25 of 53 PROT49 Per Unit Type 3/27 Description 0.6100% DATED 03/27/2012 MATURITY 04/03/2012 (ID: 2528M9-9A-4) $0.00 Quantity 115,208.060 Amount USD Local Value PRINCIPAL Amount USD Local Value INCOME Amount USD Local Value Currency Gain/Loss USD Page 26 of 53 PROT50 Portfolio Activity Summary - Euro PRINCIPAL Current Transactions Income INFLOWS Total Inflows OUTFLOWS ** Tax Payments Total Outflows TRADE ACTIVITY (99,477.72) ($99,477.72) 99,477.73 $99,477.73 -Period Value -Year-To-Date Value* -118.42 $0.00 $118.42 (29.61) (101,512.47) ($101,542.08) 99,477.73 $99,477.73 -(75,122.88) (75,122.88) 75,122.88 75,122.88 0.00 0.00 Local Value Current Period Value 0.00 Year-To-Date Value* PROT51 -92.40 92.40 (23.10) (76,727.64) (76,750.74) 75,122.88 75,122.88 -Page 27 of 53 PROT52 Portfolio Activity Summary - Euro INCOME Current Transactions Current Total Cost Adjustments Period Value $0.00 Year-To-Date Value* 25,835.27 $25,835.27 0.00 Local Value Current Period Value Year-To-Date Value* 18,995.12 18,995.12 Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 28 of 53 PROT53 Portfolio Activity Detail - Euro Per Unit Type 3/27 Spot FX Description EUR EXCHANGE RATE 1.324200000 DEAL 03/23/12 VALUE 03/27/12 (ID: OEURPR-AA-9) TRADE ACTIVITY - Euro Note: Trade Date Settle Date 3/20 3/22 3/20 3/22 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost ALLIANZ SE HOLDING ISIN DE0008404005 SEDOL 5231485 (ID: D03080-90-6) BAYER AG REGISTERED SHS ISIN DE000BAY0017 SEDOL 5069211 (ID: 072733-91-8) AKZO NOBEL N V ISIN NL0000009132/SEDOL 5458314 (ID: N01803-90-2) GDF SUEZ ISIN FR0010208488 SEDOL BOC2CQ3 PROT54 (ID: 36827E-91-4) PHILIPS ELECTRONICS N.V. ISIN NL0000009538 SEDOL 5986622 (ID: N6983Q-91-5) CAP GEMINI S A ISIN FR0000125338 SEDOL 4163437 (ID: F13587-92-2) Quantity (77.000) (163.000) (149.000) (289.000) (337.000) (217.000) Quantity 99,477.720 Amount USD Local Value PRINCIPAL Amount USD Local Value (99,477.72) (75,122.88) INCOME Amount USD Local Value Currency Gain/Loss USD (0.01) Per Unit Amount USD Local Value 122.583 92.85 71.371 54.06 58.559 44.355 26.24 19.875 21.124 16.00 43.59 33.017 Proceeds USD Local Value 9,438.90 7,128.00 11,633.55 8,785.34 8,725.25 6,589.07 PROT55 7,583.23 5,726.65 7,118.66 5,375.82 9,459.10 7,143.26 Tax Cost USD Realized (10,206.94) (7,160.78) (13,056.92) (9,159.47) (9,781.64) (6,870.72) (9,914.97) (6,956.66) (8,419.17) (6,190.11) (11,437.04) (8,023.57) (768.04) S (1,423.37) S (1,056.39) S (2,331.74) S (1,300.51) S (1,977.94) S Page 29 of 53 PROT56 Per Unit Trade Date Settle Date 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost SANOFI ISIN FR0000120578 SEDOL 5671735 (ID: F5548N-91-1) PPR SA ISIN FR0000121485 SEDOL 5505072 (ID: F74953-93-0) SOLVAY SA ISIN BE0003470755 SEDOL 4821100 (ID: 834437-91-5) SCHNEIDER S A ISIN FR0000121972 SEDOL 4834108 (ID: F86921-91-7) STORA ENSO OYJ R SHS ISIN FI0009005961 SEDOL 5072673 (ID: X21349-90-1) Total Settled Sales/Maturities/Redemptions (USD) Quantity (156.000) (38.000) (77.000) (164.000) (933.000) Amount USD Local Value 77.247 58.51 174.468 132.15 PROT57 113.104 85.67 67.586 51.193 7.552 5.72 Proceeds USD Local Value 12,050.46 9,100.18 6,629.78 5,006.63 8,709.00 6,576.80 11,084.06 8,370.38 7,045.74 5,320.75 $99,477.73 Tax Cost USD Realized (11,779.77) (8,268.90) (6,319.18) (4,646.11) (8,750.42) (6,250.38) (11,096.92) (8,158.90) (9,050.23) (6,343.18) ($109,813.20) 270.69 S 310.60 S (41.42) S (12.86) S (2,004.49) S ($10,335.47) S Page 30 of 53 PROT58 Portfolio Activity Summary - Hong Kong Dollar PRINCIPAL Current Transactions Income INFLOWS Total Inflows OUTFLOWS ** Total Outflows TRADE ACTIVITY Period Value -Year-To-Date Value* -309.23 $0.00 (14,404.42) ($14,404.42) Settled 14,418.61 $14,418.61 -$309.23 (14,713.38) ($14,713.38) 14,418.61 $14,418.61 -0.00 (111,932.42) (111,932.42) 111,932.42 111,932.42 0.00 Local Value Current Period Value 0.00 Year-To-Date Value* -2,400.00 2,400.00 PROT59 (114,332.42) (114,332.42) 111,932.42 111,932.42 -Page 31 of 53 PROT60 Portfolio Activity Summary - Hong Kong Dollar INCOME Current Transactions Portfolio Activity Detail - Hong Kong Dollar Per Unit Type 3/27 Spot FX Description HKD EXCHANGE RATE 7.770700000 DEAL 03/23/12 VALUE 03/27/12 (ID: OHKDPR-AA-4) Quantity 14,404.420 Amount USD Local Value PRINCIPAL Amount USD Local Value (14,404.42) (111,932.42) INCOME Amount USD Local Value Currency Gain/Loss USD (14.19) Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 32 of 53 PROT61 PROT62 TRADE ACTIVITY - Hong Kong Dollar Note: Per Unit Trade Date Settle Date 3/21 3/23 Type Sale High Cost SUN HUNG KAI PROPERTIES ISIN HK0016000132 SEDOL 6859927 (ID: Y82594-12-1) Quantity (1,000.000) Amount USD Local Value 14.419 112.40 Proceeds USD Local Value 14,418.61 111,932.42 Tax Cost USD Realized (15,082.81) (117,635.35) (664.20) S Page 33 of 53 PROT63 Portfolio Activity Summary - Indian Rupee PRINCIPAL Current Transactions INFLOWS Total Inflows Income OUTFLOWS ** Total Outflows INCOME Current Transactions Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Period Value -3,915.46 $3,915.46 (3,994.99) ($3,994.99) -Year-To-Date Value* -3,915.46 $3,915.46 (3,994.99) ($3,994.99) -Local PROT64 Value Current Period Value 0.00 201,000.00 201,000.00 (201,000.00) (201,000.00) 0.00 Year-To-Date Value* -201,000.00 201,000.00 (201,000.00) (201,000.00) -Page 34 of 53 PROT65 Portfolio Activity Detail - Indian Rupee Per Unit Type 3/30 3/30 Spot FX Description INR EXCHANGE RATE 50.313035000 DEAL 03/26/12 VALUE 03/26/12 (ID: OINRPR-AA-8) INTER AMERICAN DEVELOPMENT BANK- INR MEDIUM TERM NOTE 3% MAR 25 2014 DTD 03/25/2010 HELD BY EUROCLEAR ISIN XS0495010562 SEDOL B5114T3 AS OF 03/26/12 (ID: U45818-9G-5) ($79.53) $79.53 6,700,000.000 0.001 0.03 3,915.46 201,000.00 Quantity 3,994.990 Amount USD Local Value PRINCIPAL Amount USD Local Value (3,994.99) (201,000.00) INCOME Amount USD Local Value Currency Gain/Loss USD 79.53 Page 35 of 53 PROT66 Portfolio Activity Summary - Japanese Yen PRINCIPAL Current Transactions Contributions INFLOWS Total Inflows OUTFLOWS ** Total Outflows TRADE ACTIVITY Period Value -Year-To-Date Value* -612.74 $0.00 (50,042.59) ($50,042.59) Settled 39,862.11 $39,862.11 -$612.74 (50,653.54) ($50,653.54) 50,035.13 $50,035.13 -0.00 (4,117,504.00) (4,117,504.00) 3,333,469.00 3,333,469.00 0.00 Local Value Current Period Value 784,035.00 Year-To-Date Value* -47,055.00 47,055.00 PROT67 (4,164,559.00) (4,164,559.00) 4,117,504.00 4,117,504.00 -Page 36 of 53 PROT68 Portfolio Activity Summary - Japanese Yen INCOME Current Transactions Portfolio Activity Detail - Japanese Yen Per Unit Type 3/27 Spot FX Description JPY EXCHANGE RATE 82.280000000 DEAL 03/23/12 VALUE 03/27/12 (ID: OJPYPR-AA-9) Quantity 50,042.590 Amount USD Local Value PRINCIPAL Amount USD Local Value (50,042.59) (4,117,504.00) INCOME Amount USD Local Value Currency Gain/Loss USD 7.46 Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 37 of 53 PROT69 PROT70 TRADE ACTIVITY - Japanese Yen Note: Trade Date Settle Date 3/21 3/26 3/21 3/26 3/21 3/26 3/21 3/26 3/21 3/26 Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost JFE HOLDINGS INC ISIN JP3386030005 SEDOL 6543792 (ID: 476990-91-6) MITSUBISHI UFJ FINANCIAL GROUP ISIN JP3902900004 SEDOL 6335171 (ID: J44497-92-3) MITSUI & CO ISIN JP3893600001 SEDOL 6597302 (ID: J43787-91-0) NISSAN MOTOR CO LTD ISIN JP3672400003 SEDOL 6642860 (ID: J57160-91-3) SHISEIDO COMPANY LIMITED ISIN JP3351600006 SEDOL 6805265 (ID: 824841-91-0) Total Settled Sales/Maturities/Redemptions (USD) Quantity (200.000) (1,400.000) (500.000) (1,200.000) (400.000) Per Unit Amount USD Local Value 22.235 PROT71 1,865.00 5.282 443.00 16.87 1,415.00 10.492 880.00 17.49 1,467.00 Proceeds USD Local Value 4,447.01 371,881.00 7,394.19 618,339.00 8,435.00 705,377.00 12,589.92 1,052,832.00 6,995.99 585,040.00 $39,862.11 Tax Cost USD Realized (5,219.70) (409,479.56) (6,697.36) (531,138.47) (8,640.50) (686,606.37) (12,254.65) (971,746.90) (7,325.88) (574,712.78) ($40,138.09) (772.69) S 696.83 S (205.50) S 335.27 S (329.89) S ($275.98) S Page 38 of 53 PROT72 Portfolio Activity Summary Norwegian Krone PRINCIPAL Current Transactions Income INFLOWS Total Inflows OUTFLOWS ** Withdrawals Total Outflows TRADE ACTIVITY Period Value -216.27 $216.27 (216.27) (13,993.71) ($14,209.98) 14,022.70 $14,022.70 -Year-To-Date Value* -467.69 $467.69 (103,428.09) (13,993.71) ($117,421.80) 116,983.65 $116,983.65 -Local Value Current Period Value 0.00 1,228.06 1,228.06 (1,228.06) (80,557.60) (81,785.66) 80,557.60 80,557.60 PROT73 0.00 Year-To-Date Value* -2,685.75 2,685.75 (594,838.41) (80,557.60) (675,396.01) 672,710.26 672,710.26 -Page 39 of 53 PROT74 Portfolio Activity Summary - Norwegian Krone INCOME Current Transactions Current Total Cost Adjustments Period Value (138,881.78) ($138,881.78) Year-To-Date Value* (138,881.78) ($138,881.78) Local Value Current Period Value (784,956.53) (784,956.53) Year-To-Date Value* (784,956.53) (784,956.53) Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 40 of 53 PROT75 Portfolio Activity Detail - Norwegian Krone Per Unit Type 3/2 Description (ID: 2527X9-9W-6) 3/2 3/2 Misc Disbursement REP: ROLLOVER TO TIME DEPOSIT NORWEGIAN KRONE (ID: ONOKPR-AA-1) Free Delivery High Cost 3/2 1.1500% DATED 02/24/2012 MATURITY 03/02/2012 (ID: 2527X9-9W-6) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,141.760 1.1500% DATED 03/02/2012 MATURITY 03/09/2012 (ID: 252869-9A-6) 3/9 JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,141.760 1.1500% DATED 03/02/2012 MATURITY 03/09/2012 (ID: 252869-9A-6) 3/9 3/9 Free Delivery High Cost 1.1500% DATED 03/02/2012 MATURITY 03/09/2012 (ID: 252869-9A-6) (274.180) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS (1,226,141.760 ) (49.13) (274.18) 49.13 274.18 (274.120) JP MORGAN CHASE BANK NOK LONDON TIME DEPOSITS (1,225,867.640 ) (49.12) PROT76 (274.12) Quantity JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,225,867.640 1.1500% DATED 02/24/2012 MATURITY 03/02/2012 Amount USD Local Value PRINCIPAL Amount USD Local Value 49.12 274.12 INCOME Amount USD Local Value Currency Gain/Loss USD Page 41 of 53 PROT77 Per Unit Type 3/9 Description Quantity JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,415.940 1.1500% DATED 03/09/2012 MATURITY 03/16/2012 (ID: 2528E9-9D-7) 3/16 JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,415.940 1.1500% DATED 03/09/2012 MATURITY 03/16/2012 (ID: 2528E9-9D-7) 3/16 3/16 Free Delivery High Cost 3/16 1.1500% DATED 03/09/2012 MATURITY 03/16/2012 (ID: 2528E9-9D-7) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,690.180 0.8500% DATED 03/16/2012 MATURITY 03/23/2012 (ID: 2528H9-9E-2) 3/23 JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,690.180 0.8500% DATED 03/16/2012 MATURITY 03/23/2012 (ID: 2528H9-9E-2) 3/23 3/23 Free Delivery High Cost 0.8500% DATED 03/16/2012 MATURITY 03/23/2012 (ID: 2528H9-9E-2) (202.740) PROT78 JP MORGAN CHASE BANK NOK LONDON TIME DEPOSITS (1,226,690.180 (35.04) (202.74) (0.25) 35.04 202.74 (274.240) JP MORGAN CHASE BANK NOK LONDON TIME DEPOSITS (1,226,415.940 (47.74) (274.24) 47.74 274.24 Amount USD Local Value PRINCIPAL Amount USD Local Value INCOME Amount USD Local Value Currency Gain/Loss USD Page 42 of 53 ) ) PROT79 Per Unit Type 3/23 Description Quantity JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,892.920 0.8500% DATED 03/23/2012 MATURITY 03/30/2012 (ID: 2528L9-9C-1) 3/27 3/30 Spot FX NOK EXCHANGE RATE 5.756700000 DEAL 03/23/12 VALUE 03/27/12 (ID: ONOKPR-AA-1) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,226,892.920 0.8500% DATED 03/23/2012 MATURITY 03/30/2012 (ID: 2528L9-9C-1) 3/30 3/30 Free Delivery High Cost 3/30 0.8500% DATED 03/23/2012 MATURITY 03/30/2012 (ID: 2528L9-9C-1) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS 1,227,095.700 0.8500% DATED 03/30/2012 MATURITY 04/10/2012 (ID: 2528P9-9H-6) ($13,993.71) ($28.99) (202.780) JP MORGAN CHASE BANK - NOK LONDON TIME DEPOSITS (1,226,892.920 ) (35.24) (202.78) 35.24 202.78 13,993.710 (13,993.71) PROT80 (80,557.60) (28.74) Amount USD Local Value PRINCIPAL Amount USD Local Value INCOME Amount USD Local Value Currency Gain/Loss USD Page 43 of 53 PROT81 TRADE ACTIVITY - Norwegian Krone Note: Per Unit Trade Date Settle Date 3/19 3/22 Type Sale High Cost MARINE HARVEST ASA ISIN N00003054108 SEDOL B02L486 (ID: 693045-91-6) Quantity (25,000.000) Amount USD Local Value 0.561 3.232 Proceeds USD Local Value 14,022.70 80,557.60 Tax Cost USD Realized (24,582.88) (141,642.88) (10,560.18) S COST ADJUSTMENTS - Norwegian Krone Cost Basis Settle Date 3/16 Type Cost Basis Adj Description MARINE HARVEST ASA ISIN N00003054108 SEDOL B02L486 COST BASIS ADJUSTMENT (ID: 693045-91-6) Quantity 25,000.000 Adjustments USD Local Value (138,881.78) (784,956.53) Page 44 of 53 PROT82 Portfolio Activity Summary - Pound Sterling PRINCIPAL Current Transactions Income OUTFLOWS ** Withdrawals Tax Payments Total Outflows TRADE ACTIVITY (358,568.42) ($914,615.61) 199,506.62 $199,506.62 -Period Value INFLOWS Foreign Exchange - Inflows Total Inflows -231.07 159,902.42 $160,133.49 (556,047.19) Year-To-Date Value* -3,986.86 159,902.42 $163,889.28 (556,140.84) (313.72) (358,568.42) ($915,022.98) 731,932.01 $731,932.01 -Local Value Current Period Value 350,630.98 145.74 PROT83 100,776.72 100,922.46 (350,776.72) (226,311.80) (577,088.52) 125,535.08 125,535.08 0.00 Year-To-Date Value* -2,543.57 100,776.72 103,320.29 (350,837.45) (195.63) (226,311.80) (577,344.88) 455,251.08 455,251.08 -Page 45 of 53 PROT84 Portfolio Activity Summary - Pound Sterling INCOME Current Transactions Current Total Cost Adjustments Period Value $0.00 Year-To-Date Value* 19,023.08 $19,023.08 0.00 Local Value Current Period Value Year-To-Date Value* 12,117.00 12,117.00 Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --Page 46 of 53 PROT85 Portfolio Activity Detail - Pound Sterling Per Unit Type 3/21 3/21 3/26 3/27 3/30 Foreign Dividend Description ISHARES MARKIT IBOXX CORPORATE BOND ISIN IE00B00FV011 SEDOL BOOFV01 @ 1.388 PER SHARE (ID: 461278-91-3) Misc Disbursement GBP DELIVERED TO ROYAL BANK OF SCOTLAND POUND STERLING (ID: OGBPPR-AA-9) Misc Disbursement GBP DELIVERED TO BARCLAYS BANK PLC POUND STERLING (ID: OGBPPR-AA-9) Spot FX Spot FX GBP EXCHANGE RATE 1.584400000 DEAL 03/23/12 VALUE 03/27/12 (ID: OGBPPR-AA-9) SPOT CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.586700000 DEAL 03/28/12 VALUE 03/30/12 (ID: OGBPPR-AA-9) ($754,482.12) ($10,091.76) (159,902.420) 159,902.42 100,776.72 (231.78) (250,000.000) (100,776.720) 358,568.420 (396,175.00) (250,000.00) (159,872.19) (100,776.72) (358,568.42) (226,311.80) (6,715.43) (1,288.47) (1,856.08) Quantity 105.000 Amount USD PROT86 Local Value 2.201 1.388 PRINCIPAL Amount USD Local Value 231.07 145.74 INCOME Amount USD Local Value Currency Gain/Loss USD Page 47 of 53 PROT87 TRADE ACTIVITY - Pound Sterling L indicates Long Term Realized Gain/Loss Note: ** Realized Gain/Loss and tax cost are shown as "N/A" in cases where we do not have appropriate cost information for all tax lots comprising the sale. Please contact your J.P. Morgan team for additional information. Per Unit Trade Date Settle Date 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 3/20 3/23 Type Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost AVIVA PLC ISIN GB0002162385 SEDOL 0216238 (ID: G2307K-92-2) CENTRICA ISIN GB00B033F229 SEDOL 8033F22 PROT88 (ID: 15639K-90-4) CINEWORLD GROUP PLC ISIN GBOOB15FWH70 SEDOL Bl5FWH7 (ID: 172145-91-4) MARKS & SPENCER PLC - GBP ISIN GB0031274896 SEDOL 3127489 (ID: G5824M-92-5) RSA INSURANCE GROUP PLC ISIN GB0006616899 SEDOL 0661689 (ID: G8566X-91-9) RIO TINTO PLC ISIN GB0007188757 SEDOL 0718875 (ID: 766994-90-9) STANDARD CHARTERED PLC ORD U$ 0.50 ISIN GB0004082847 SEDOL 0408284 (ID: G84228-92-6) MARSTON'S PLC ISIN GBOOBUQDM80 SEDOL BUQDM8 (ID: G58512-91-7) Total Settled Sales/Maturities/Redemptions (USD) Quantity (6,000.000) (1,556.000) (4,500.000) (4,350.000) (23,800.000) (191.000) (555.000) (30,000.000) Amount USD Local Value 5.942 3.75 4.941 3.119 3.379 2.132 6.014 3.796 1.819 1.148 54.847 34.615 25.803 16.285 1.557 0.983 Proceeds USD Local Value 35,650.50 22,432.28 7,688.52 4,837.83 15,203.59 9,566.52 26,160.49 16,460.90 PROT89 43,296.94 27,243.63 10,475.76 6,591.64 14,320.84 9,011.07 46,709.98 29,391.21 $199,506.62 Tax Cost USD Realized N/A ** (7,922.75) (4,877.95) (16,168.92) (9,993.46) (26,287.24) (16,247.25) (48,596.10) (30,035.60) (12,954.00) (7,975.35) (14,171.09) (8,724.78) (48,127.99) (29,746.28) ($174,228.09) N/A (234.23) S (965.33) L (126.75) L (5,299.16) L (2,478.24) S 149.75 S (1,418.01) L ($7,809.25) L ($2,562.72) S Page 48 of 53 PROT90 Portfolio Activity Summary - Swedish Krona PRINCIPAL Current Transactions OUTFLOWS ** Total Outflows TRADE ACTIVITY Period Value -(18,837.92) ($18,837.92) Settled INCOME Current Transactions Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --18,879.35 $18,879.35 -Year-To-Date Value* -(18,837.92) ($18,837.92) 18,879.35 $18,879.35 -Local PROT91 Value Current Period Value 0.00 (127,026.00) (127,026.00) 127,026.00 127,026.00 0.00 Year-To-Date Value* -(127,026.00) (127,026.00) 127,026.00 127,026.00 -Page 49 of 53 PROT92 Portfolio Activity Detail - Swedish Krona Per Unit Type 3/27 Spot FX Description SEK EXCHANGE RATE 6.743100000 DEAL 03/23/12 VALUE 03/27/12 (ID: OSEKPR-AA-1) TRADE ACTIVITY - Swedish Krona Note: Per Unit Trade Date Settle Date 3/20 3/23 3/20 3/23 Type Sale High Cost Sale High Cost ATLAS COPCO AB-A SHS ISIN SE0000101032 SEDOL B1QGR41 (ID: W10020-92-8) ERICSSON LM-B SHS ISIN SE0000108656 SEDOL 5959378 (ID: W26049-91-1) Total Settled Sales/Maturities/Redemptions (USD) Quantity (442.000) (793.000) Amount USD Local Value 24.73 166.50 10.023 67.863 Proceeds USD Local Value 10,930.73 73,372.00 7,948.62 53,654.00 $18,879.35 PROT93 Tax Cost USD Realized (10,669.62) (67,821.86) (10,052.84) (64,371.67) ($20,722.46) 261.11 S (2,104.22) S ($1,843.11) S Quantity 18,837.920 Amount USD Local Value PRINCIPAL Amount USD Local Value (18,837.92) (127,026.00) INCOME Amount USD Local Value Currency Gain/Loss USD (41.43) Page 50 of 53 PROT94 Portfolio Activity Summary - Swiss Franc PRINCIPAL Current Transactions OUTFLOWS ** Total Outflows TRADE ACTIVITY Period Value -(6,759.67) ($6,759.67) Settled INCOME Current Transactions Period Value --Year-To-Date Value* --Local Value Current Period Value 0.00 0.00 Year-To-Date Value* --6,755.96 $6,755.96 -Year-To-Date Value* -(6,759.67) ($6,759.67) 6,755.96 $6,755.96 -Local PROT95 Value Current Period Value 0.00 (6,154.68) (6,154.68) 6,154.68 6,154.68 0.00 Year-To-Date Value* -(6,154.68) (6,154.68) 6,154.68 6,154.68 -Page 51 of 53 PROT96 Portfolio Activity Detail - Swiss Franc Per Unit Type 3/27 Spot FX Description CHF EXCHANGE RATE .910500000 DEAL 03/23/12 VALUE 03/27/12 (ID: OCHFPR-AA-4) TRADE ACTIVITY - Swiss Franc Note: Trade Date Settle Date 3/20 3/23 Type Sale High Cost CREDIT SUISSE GROUP AG ISIN CH0012138530 SEDOL 7171589 (ID: H3698D-93-0) Quantity (230.000) Quantity 6,759.670 Amount USD Local Value PRINCIPAL Amount USD Local Value (6,759.67) (6,154.68) INCOME Amount USD Local Value Currency Gain/Loss USD 3.71 Per Unit Amount USD Local Value 29.374 26.84 Proceeds USD Local Value PROT97 6,755.96 6,154.68 Tax Cost USD Realized (8,916.46) (7,453.83) (2,160.50) S Page 52 of 53 PROT98 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Trade Related AUSTRALIA DOLLAR U S DOLLAR SWISS FRANC U S DOLLAR EURO U S DOLLAR POUND STERLING U S DOLLAR HONG KONG DOLLAR U S DOLLAR JAPANESE YEN U S DOLLAR NORWEGIAN KRONE U S DOLLAR SWEDISH KRONA U S DOLLAR POUND STERLING U S DOLLAR INDIAN RUPEE U S DOLLAR Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 23 12 Mar. 27 12 Mar. 28 12 Mar. 30 12 Mar. 26 12 Mar. 30 12 AUD USD CHF USD PROT99 EUR USD GBP USD HKD USD JPY USD NOK USD SEK USD GBP USD INR USD (5,387.79) 5,596.84 (6,154.68) 6,759.67 (75,122.88) 99,477.72 (226,311.80) 358,568.42 (111,932.42) 14,404.42 (4,117,504.00) 50,042.59 (80,557.60) 13,993.71 (127,026.00) 18,837.92 100,776.72 (159,902.42) (201,000.00) 3,994.99 1.038800 0.910500 1.324200 1.584400 7.770700 82.280000 5.756700 6.743100 1.586700 50.313035 1.048400 0.911000 1.324200 1.592601 7.763052 PROT100 82.292261 5.744902 6.728304 1.584400 51.334964 5,596.84 6,759.67 99,477.72 358,568.42 14,404.42 50,042.59 13,993.71 18,837.92 (159,902.42) 3,994.99 (5,648.56) (6,755.96) (99,477.73) (360,424.50) (14,418.61) (50,035.13) (14,022.45) (18,879.35) 159,670.64 (3,915.46) (51.72) 3.71 (0.01) (1,856.08) (14.19) 7.46 (28.74) (41.43) (231.78) 79.53 Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L Page 53 of 53 PROT101 THIS PAGE INTENTIONALLY LEFT BLANK PROT102 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. 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 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. 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. Where J.P. Morgan was unable to obtain a price from an outside service for a particular ARS, the price column on your statement and online will indicate "$0.00" which should not be relied on as the price at which ARS would trade. J.P. Morgan makes no representation, warranty or guarantee, express or implied, that any quoted value represents 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 or securities could be liquidated. Such values may only be indicative. Valuations of over-the-counter derivative transactions, including certain PROT103 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. 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 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"). Disclosures Page 1 of 5 PROT104 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, 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 PROT105 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 ( In Case of Errors or Questions About Your Electronic Transfers. Contact your J.P. Morgan Team at one of the tele hone numbers on the front of our statements or write us at J.P. Morgan, 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. Disclosures Page 2 of 5 PROT106 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 Corn. ("JPMCC"l. 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 PROT107 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. 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. Disclosures Page 3 of 5 PROT108 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 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 PROT109 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. Prospectuses and other fund information for JPMorgan funds may be obtained b callin our J.P. Morgan team or JPMorgan Distribution Services, Inc. at . 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. Disclosures Page 4 of 5 PROT110 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 PROT111 PROT112