EFTA01574360

GHISLAINE MAXWELL PROT0 PROT1 JPMorgan Chase Bank, N.A. GHISLAINE MAXWELL-HY 270 Park Avenue, New York, NY 10017-2014 ACCT. For the Period 7/1/13 to 7/31/13 Investment Management Account J.P. Morgan Team James Buckley Jason Bell 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 Account Summary Page 2 Holdings Cash & Fixed Income Portfolio Activity 4 5 0000002205.00.0.9E.00001.MAXEW00.20130802 Page 1 of 26 PROT2 GHISLAINE MAXWELL-HY ACCT. Account Summary Asset Allocation Cash & Fixed Income Market Value Accruals Market Value with Accruals Beginning Market Value 1,087,738.84 $1,087,738.84 16,120.90 $1,103,859.74 Current Portfolio Activity Beginning Market Value Withdrawals & Fees Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals Period Value 1,087,738.84 (1,103,527.89) ($1,103,527.89) 19,269.20 (3,480.15) $0.00 3.00 $3.00 Ending Market Value 0.00 $0.00 3.00 $3.00 Change In Value (1,087,738.84) ($1,087,738.84) (16,117.90) ($1,103,856.74) Year-to-Date Value 1,098,358.35 (1,111,942.23) ($1,111,942.23) 54,591.55 PROT3 (41,007.67) $0.00 3.00 $3.00 Estimated $0.00 Current Annual Income Allocation Page 2 of 26 PROT4 Account Summary Tax Summary Interest Income Ordinary Income Accrued Interest Current Year Taxable Income CONTINUED Current Period Value 18,244.16 1,055.12 (30.08) $19,269.20 Year-to-Date Value 55,944.38 1,055.12 (2,407.95) $54,591.55 ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value (7,649.75) 12,721.50 $5,071.75 Year-to-Date Value (7,557.55) 14,182.68 $6,625.13 Page 3 of 26 PROT5 Cash & Fixed Income Summary Beginning Asset Categories Cash US Fixed Income Market Value 73,697.48 1,014,041.36 $1,087,738.84 Cash & Fixed Income Detail Total Value Note: 1 Ending Market Value 0.00 0.00 $0.00 Change In Value (73,697.48) (1,014,041.36) ($1,087,738.84 ) 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. Current Allocation Price Quantity Cash US DOLLAR 1.00 0.00 3.00 0.01% Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss Est. Annual Income Accrued Interest Yield Page 4 of 26 PROT6 Portfolio Activity Summary Beginning Cash Balance Transactions INFLOWS Total Inflows Income OUTFLOWS ** Withdrawals Fees & Commissions Total Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance 1,013,776.33 (2,200.00) $1,011,576.33 $0.00 * 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 1,163,044.21 (163,428.10) $999,616.11 -Current Period Value 73,737.48 18,214.08 $18,214.08 (1,099,480 50) (4,047.39) ($1,103,527.89) Year-To-Date Value* -53,536.43 $53,536.43 (1,099,480.50) (12,461.73) ($1,111,942.23) Current Cost Adjustments Cost Adjustments Total Cost Adjustments Period Value $0.00 PROT7 Year-To-Date Value* 2,120.00 $2,120.00 Page 5 of 26 PROT8 Portfolio Activity Detail INFLOWS & OUTFLOWS Type Settle Date Selection Method Income 7/1 [repeated 3 times] 7/2 7/2 7/8 7/11 [repeated 5 times] Corporate Interest Interest Income Accrued Int Paid Foreign Interest Accrued Int Recd [repeated 5 times] Description SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 (ID: 832248-AQ-1) ZAYO GROUP LLC/ZAYO CAP 8.125% JAN 01 2020 DTD 08/17/2012 (ID: 989194-AG-0) DEPOSIT SWEEP INTEREST FOR 06/01/13 - 06/30/13 @ .01% RATE ON AVG COLLECTED BALANCE OF $51,225.75 AS OF 07/01/13 CDW LLC/CDW FINANCE 8% DEC 15 2018 DTD 06/15/2011 STEP CPN (ID: 12513G-AW-9) DINEEQUITY INC 9 1/2% OCT 30 2018 DTD 04/30/2011 @ 110.00 DEUTSCHE BANK ALEX BROWN TRADE DATE 06/24/13 (ID: 254423-AB-2) ROYAL BANK SCOTLAND GRP PLC 5.05% JAN 08 2015 DTD 12/08/2004 (ID: 780097-AP-6) ARCELORMITTAL 9.85% JUN 01 2019 DTD 05/20/2009 (ID: 03938L-AM-6) SPRINT NEXTEL CORP 6% DEC 1 2016 DTD 11/20/2006 (ID: 852061-AD-2) PINNACLE ENTERTAINMENT 8 5/8% AUG 01 2017 DTD 02/01/2010 (ID: 723456-AK-5) CCO HLDGS LLC CAP CORP 7 1/4% OCT 30 2017 DTD PROT9 09/27/2010 (ID: 1248EP-AQ-6) ZAYO GROUP LLC/ZAYO CAP 8.125% JAN 01 2020 DTD 08/17/2012 (ID: 989194-AG-0) 2,000.000 2,000.000 0.00 10,000.000 6,000.000 20,000.000 10,000.000 9,000.000 4,000.000 0.004 0.015 0.025 0.012 0.007 0.038 0.014 0.002 7.56 (30.08) 252.50 69.00 133.33 383.33 128.69 9.03 Page 6 of 26 Quantity Cost 10,000.000 4,000.000 Per Unit Amount 0.039 0.041 Amount 387.50 162.50 0.38 PROT10 Type Income 7/11 [repeated 13 times] Description ALLIANT TECHSYSTEMS INC 6 7/8% SEP 15 2020 DTD 09/13/2010 (ID: 018804-AP-9) CHESAPEAKE MIDSTREAM PT 6.125% JUL 15 2022 DTD 01/11/2012 (ID: 16524R-AE-3) DELPHI CORP 6.125% MAY 15 2021 DTD 05/07/2012 (ID: 24713E-AF-4) JARDEN CORP 6 1/8% NOV 15 2022 DTD 11/09/2010 (ID: 471109-AE-8) SALLY HOLDINGS/SALLY CAP 5.75% JUN 01 2022 DTD 05/18/2012 (ID: 79546V-AJ-5) BE AEROSPACE INC SR NOTES 6 7/8% OCT 01 2020 DTD 09/16/2010 (ID: 055381-AR-8) US STEEL CORP SR NOTES 7 3/8% APR 01 2020 DTD 03/19/2010 (ID: 912909-AF-5) WEYERHAEUSER CO 7 3/8% OCT 01 2019 DTD 10/01/2009 (ID: 962166-BV-5) ENDO PHARMACEUT HLDGS IN 7% JUL 15 2019 DTD 06/08/2011 (ID: 29264F-AG-1) MGM RESORTS INTL 11.375% MAR 01 2018 DTD PROT11 09/22/2009 (ID: 55303Q-AA-8) SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 (ID: 832248-AQ-1) GMAC 8% NOV 01 2031 DTD 12/31/2008 (ID: 36186C-BY-8) HOLOGIC INC 6.250% 08/01/2020 DTD 03/22/2013 (ID: 436440-AF-8) Quantity Cost 5,000.000 4,000.000 5,000.000 1,000.000 5,000.000 15,000.000 2,000.000 10,000.000 5,000.000 5,000.000 10,000.000 20,000.000 5,000.000 Per Unit Amount 0.022 0.03 0.01 0.01 0.006 0.019 0.02 0.02 0.034 0.041 0.002 0.016 0.028 Amount 110.76 119.78 47.64 9.53 31.94 286.46 40.97 204.86 171.11 205.38 21.53 311.11 138.89 PROT12 Page 7 of 26 PROT13 Type Income 7/11 Description LEAR CORP 8 1/8% MAR 15 2020 DTD 03/26/2010 (ID: 521865-AS-4) TENET HEALTHCARE CORP 6.25% NOV 01 2018 DTD 11/21/2011 (ID: 88033G-BP-4) DAVITA INC 6 3/8% NOV 01 2018 DTD 10/20/2010 (ID: 23918K-AL-2) DINEEQUITY INC 9 1/2% OCT 30 2018 DTD 04/30/2011 (ID: 254423-AB-2) CSC HOLDINGS LLC 8 5/8% FEB 15 2019 DTD 02/12/2009 (ID: 126307-AC-1) NOKIA CORP 5 3/8% MAY 15 2019 DTD 05/07/2009 (ID: 654902-AB-1) PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 (ID: 723787-AJ-6) CDW LLC/CDW FINANCE 8% DEC 15 2018 DTD 06/15/2011 STEP CPN (ID: 12513G-AW-9) HANESBRANDS INC 8% DEC 15 2016 DTD 12/10/2009 (ID: 410345-AF-9) CELANESE US HOLDINGS LLC 4.625% 11/15/2022 DTD PROT14 11/13/2012 (ID: 15089Q-AD-6) ALLBRITTON COMMUNICATION 8% MAY 15 2018 DTD 04/30/2010 (ID: 016745-AL-5) D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 (ID: 23331A-AZ-2) AIRCASTLE LTD 7.625% APR 15 2020 DTD 06/06/2012 (ID: 00928Q-AG-6) Quantity Cost 8,000.000 5,000.000 10,000.000 2,000.000 10,000.000 5,000.000 20,000.000 3,000.000 5,000.000 5,000.000 10,000.000 10,000.000 2,000.000 Per Unit Amount 0.026 0.012 0.012 0.019 0.035 0.008 0.037 0.006 0.006 0.015 0.012 0.016 0.018 Amount 209.44 60.76 123.96 37.47 349.79 41.81 733.33 17.33 28.89 74.51 124.44 155.28 36.43 PROT15 Page 8 of 26 PROT16 Type Income 7/11 Description ROYAL BANK SCOTLAND GRP PLC 5.05% JAN 08 2015 DTD 12/08/2004 (ID: 780097-AP-6) AIRCASTLE LTD 6.75% APR 15 2017 DTD 06/06/2012 (ID: 00928Q-AF-8) METROPCS WIRELESS INC SR NOTES 7 7/8% SEP 01 2018 DTD 09/21/2010 (ID: 591709-AK-6) WPX ENERGY INC 5.25% JAN 15 2017 DTD 06/25/2012 (ID: 98212B-AC-7) RRI ENERGY INC 7 7/8% JUN 15 2017 DTD 06/13/2007 (ID: 74971X-AC-1) WINDSTREAM CORP 7 7/8% NOV 01 2017 DTD 10/08/2009 (ID: 97381W-AJ-3) MGM RESORTS INTL 6.625% 12/15/2021 DTD 12/20/2012 (ID: 552953-CA-7) BURGER KING CORP 9 7/8% OCT 15 2018 DTD 10/19/2010 (ID: 121207-AA-2) FELCOR LODGING LP 6 3/4% JUN 01 2019 DTD 05/10/2011 (ID: 31430Q-BB-2) HCA INC 8 1/2% APR 15 2019 DTD 04/15/2010 PROT17 (ID: 404119-BF-5) STARZ LLC/STARZ FIN CORP 5.000% 09/15/2019 DTD 02/13/2013 (ID: 85571N-AB-5) VULCAN MATERIALS 6 1/2% DEC 01 2016 DTD 06/14/2011 (ID: 929160-AQ-2) CONTINENTAL RESOURCES 5% SEP 15 2022 DTD 08/14/2012 (ID: 212015-AH-4) Quantity Cost 10,000.000 3,000.000 15,000.000 5,000.000 15,000.000 20,000.000 15,000.000 5,000.000 5,000.000 20,000.000 10,000.000 10,000.000 5,000.000 0.016 0.028 0.026 0.006 0.015 0.005 0.024 0.008 0.02 0.016 0.007 0.016 Per Unit Amount Amount 4.21 48.38 426.56 128.33 85.31 306.25 71.77 117.95 37.50 406.11 161.11 72.22 80.56 Page 9 of 26 PROT18 PROT19 Type Income 7/11 Description AVIS BUDEGET CAR RENTAL 8 1/4% JAN 15 2019 DTD 01/15/2011 (ID: 053773-AN-7) PVH CORP 4.500% 12/15/2022 DTD 12/20/2012 (ID: 693656-AA-8) SEAGATE TECHNOLOGY HDD H SR NOTES 6.80% OCT 1 2016 DTD 9/20/2006 (ID: 81180R-AE-2) AMKOR TECHNOLOGIES INC 6 5/8% JUN 01 2021 DTD 05/20/2011 (ID: 031652-BE-9) HEALTH MANAGEMENT ASSOCIATION 6 1/8% APR 15 2016 DTD 04/21/2006 (ID: 421933-AH-5) BOISE PAPER HDG CO ISSR 8% APR 01 2020 DTD 03/19/2010 (ID: 09747G-AB-9) JARDEN CORP SR SUB NOTES 7 1/2% MAY 1 2017 DTD 2/13/2007 (ID: 471109-AB-4) GRAPHIC PACKAGING INTL 4.750% 04/15/2021 DTD 04/02/2013 (ID: 38869P-AK-0) AMERIGAS PART FIN CORP SR NOTES 6 1/2% MAY 20 2021 DTD 01/20/2011 (ID: 030981-AF-1) SESI LLC 7.125% DEC 15 2021 DTD 06/15/2012 PROT20 (ID: 78412F-AP-9) NIELSEN FINANCE LLC/CO 7 3/4% OCT 15 2018 DTD 04/15/2011 (ID: 65409Q-AY-8) CONSTELLATION BRANDS INC 7 1/4% MAY 15 2017 DTD 11/15/2007 (ID: 21036P-AF-5) WYNN LAS VEGAS LLC CORP 7 3/4% AUG 15 2020 DTD 08/04/2010 (ID: 983130-AR-6) Quantity Cost 5,000.000 5,000.000 2,000.000 5,000.000 10,000.000 10,000.000 19,000.000 5,000.000 7,000.000 3,000.000 10,000.000 15,000.000 10,000.000 Per Unit Amount 0.04 0.003 0.019 0.007 0.015 0.022 0.015 0.013 0.009 0.005 0.019 0.011 0.031 Amount 201.67 16.25 37.78 36.81 146.32 222.22 277.08 65.31 64.46 15.44 185.14 169.17 314.31 PROT21 Page 10 of 26 PROT22 Type Income 7/11 Description MERRILL LYNCH & CO MEDIUM TERM NOTES 6 7/8% APR 25 2018 DTD 04/25/2008 (ID: 59018Y-N6-4) NEWFIELD EXPLORATION CO 6 7/8% FEB 01 2020 DTD 01/25/2010 (ID: 651290-AN-8) LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 (ID: 526057-AS-3) CHESAPEAKE ENERGY CORP 6 1/2% AUG 15 2017 DTD 8/16/2005 (ID: 165167-BS-5) CABLEVISION SYSTEMS CORP SR NOTES 7 3/4% APR 15 2018 DTD 04/15/2010 (ID: 12686C-AZ-2) DISH DBS CORP 7 7/8% SEP 01 2019 DTD 08/17/2009 (ID: 25470X-AB-1) SESI LLC 6 3/8% MAY 01 2019 DTD 11/01/2011 (ID: 78412F-AL-8) COVANTA HOLDING CORP 6 3/8% OCT 01 2022 DTD 03/19/2012 (ID: 22282E-AE-2) FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 (ID: 35906A-AB-4) ENERGY TRANSFER EQUITY 7 1/2% OCT 15 2020 DTD PROT23 09/20/2010 (ID: 29273V-AC-4) MARKWEST ENERGY PART FIN 6 3/4% NOV 01 2020 DTD 11/02/2010 (ID: 570506-AM-7) AMC NETWORKS INC 7.75% JUL 15 2021 DTD 07/09/2012 (ID: 00164V-AB-9) OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 (ID: 681904-AM-0) Quantity Cost 10,000.000 20,000.000 10,000.000 15,000.000 10,000.000 15,000.000 2,000.000 7,000.000 11,000.000 20,000.000 5,000.000 10,000.000 15,000.000 Per Unit Amount 0.015 0.031 0.006 0.026 0.019 0.028 0.012 0.018 0.023 0.018 0.013 0.038 0.009 Amount 145.14 611.11 62.22 395.42 185.14 426.56 24.79 123.96 248.26 358.33 65.63 378.89 129.17 PROT24 Page 11 of 26 PROT25 Type Income 7/11 [repeated 3 times] 7/12 [repeated 10 times] [repeated 3 times] [repeated 9 times] Description ARCELORMITTAL 6 1/4% FEB 25 2022 DTD 02/28/2012 (ID: 03938L-AX-2) BALL CORP SR NOTES 6 3/4% SEP 15 2020 DTD 03/22/2010 (ID: 058498-AP-1) COMMERCIAL METALS CO NOTE 7.35% AUG 15 2018 DTD 08/04/2008 (ID: 201723-AJ-2) BANK OF AMERICA CORP 3 3/4% JUL 12 2016 DTD 07/12/2011 (ID: 06051G-EK-1) LAMAR MEDIA CORP 5.875% FEB 01 2022 DTD 07/27/2012 (ID: 513075-BB-6) CIT GROUP INC 5 1/4% MAR 15 2018 DTD 03/15/2012 (ID: 125581-GL-6) NRG ENERGY INC 8 1/4% SEP 01 2020 DTD 03/01/2011 (ID: 629377-BJ-0) CITYCENTER HLDGS/FINANCE 7 5/8% JAN 15 2016 DTD 07/15/2011 (ID: 178760-AB-0) UNITED RENTALS NORTH AM 9 1/4% DEC 15 2019 DTD 11/17/2009 (ID: 911365-AU-8) INTL LEASE FINANCE CORP 8 1/4% DEC 15 2020 DTD PROT26 12/07/2010 (ID: 459745-GF-6) QEP RESOURCES INC 5 3/8% OCT 01 2022 DTD 03/01/2012 (ID: 74733V-AB-6) REGAL CINEMAS CORP 8 5/8% JUL 15 2019 DTD 07/15/2009 (ID: 758753-AD-9) SERVICE CORP INTL 7% JUN 15 2017 DTD 06/15/2006 MULTI CPN (ID: 817565-BF-0) Quantity Cost 9,000.000 15,000.000 10,000.000 5,000.000 10,000.000 20,000.000 15,000.000 5,000.000 15,000.000 15,000.000 20,000.000 5,000.000 20,000.000 Per Unit Amount 0.026 0.022 0.03 0.019 0.026 0.017 0.03 0.037 0.007 0.006 0.015 0.042 0.005 Amount 229.50 326.25 298.08 93.75 261.11 341.25 450.31 187.45 104.06 92.81 301.60 212.03 105.00 PROT27 Page 12 of 26 PROT28 Type Income 7/12 Description IRON MOUNTAIN INC 8 3/8% AUG 15 2021 DTD 08/10/2009 (ID: 46284P-AM-6) KEY ENERGY SERVICES INC 6 3/4% MAR 01 2021 DTD 03/04/2011 (ID: 492914-AS-5) RANGE RESOURCES CORP 6 3/4% AUG 01 2020 DTD 08/12/2010 (ID: 75281A-AL-3) CCO HLDGS LLC/CAP CORP 6 5/8% JAN 26 2012 DTD 01/31/2022 (ID: 1248EP-AX-1) COVANTA HOLDING CORP SR NOTES 7 1/4% DEC 01 2020 DTD 12/01/2010 (ID: 22282E-AD-4) CROWN AMER/CAP CORP III 6 1/4% FEB 01 2021 DTD 08/01/2011 (ID: 22818V-AB-3) CONSOL ENERGY INC 8 1/4% APR 01 2020 DTD 10/01/2010 (ID: 20854P-AF-6) AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 (ID: 026874-BS-5) ROYAL BK SCOTLND GRP PLC 6.125% 12/15/2022 DTD 12/04/2012 (ID: 780099-CE-5) SEAGATE HDD CAYMAN 6 7/8% MAY 01 2020 DTD PROT29 05/01/2011 (ID: 81180W-AD-3) FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 (ID: 35906A-AB-4) CF INDUSTRIES INC 7 1/8% MAY 01 2020 DTD 04/23/2010 (ID: 12527G-AB-9) LIMITED BRANDS INC 8 1/2% JUN 15 2019 DTD 12/15/2009 (ID: 532716-AR-8) Quantity Cost 15,000.000 5,000.000 9,000.000 6,000.000 3,000.000 15,000.000 [repeated 3 times] 5,000.000 5,000.000 9,000.000 10,000.000 20,000.000 Per Unit Amount 0.034 0.025 0.03 0.03 0.008 0.028 0.023 0.013 0.005 0.014 0.023 0.014 0.006 Amount 512.97 122.81 271.69 178.88 24.77 419.27 347.19 194.16 22.97 67.80 205.16 140.52 127.50 PROT30 Page 13 of 26 PROT31 Type Income 7/15 7/15 Total Income Type Withdrawals 7/11 7/11 7/29 Description Misc Disbursement PHONE INSTRUCTIONS FROM CLIENT FROM TO V49920008 Misc Disbursement PHONE INSTRUCTIONS FROM CLIENT FROM TO Q52167006 Misc Disbursement INTERNAL TRANSFER OF FUNDS Total Withdrawals Fees & Commissions 7/23 Quantity Cost Description CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD 07/12/2010 (ID: 12561E-AK-1) CB STEEL DYNAMICS INC 7.625% MAR 15 2020 DTD 03/17/2010 (ID: 858119-AR-1) Quantity Cost 7,000.000 5,000.000 Per Unit Amount 0.057 0.025 Amount 398.13 127.08 $18,214 08 Amount (250,000.00) (250,000.00) (599,480.50) ($1,099,480.50) Fees & Commissions JPMORGAN CHASE INVESTMENT MANAGEMENT FEE FOR THE PERIOD 04-01-2013 TO 06-30-2013 PROT32 (4,047.39) Page 14 of 26 PROT33 TRADE ACTIVITY Note: 0 Trade Date Settle Date L indicates Long Term Realized Gain/Loss indicates Ordinary Income Realized Gain S indicates Short Term Realized Gain/Loss Settled transaction was initiated in prior statement period and settled in current statement period Type Selection Method Description 7/2 7/2 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Redemption Pro Rata Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost CDW LLC/CDW FINANCE 8% DEC 15 2018 DTD 06/15/2011 STEP CPN PARTIAL ISSUE CALLED @ 108.00 (ID: 12513G-AW-9) PROT34 ARCELORMITTAL 9.85% JUN 01 2019 DTD 05/20/2009 @ 118.813 FIRST UNION CAPITAL MARKETS (ID: 03938L-AM-6) SPRINT NEXTEL CORP 6% DEC 1 2016 DTD 11/20/2006 @ 104.75 UBS SECURITIES LLC (ID: 852061-AD-2) PINNACLE ENTERTAINMENT 8 5/8% AUG 01 2017 DTD 02/01/2010 @ 104.25 MLPFS INC/FIXED INCOME (ID: 723456-AK-5) CCO HLDGS LLC CAP CORP 7 1/4% OCT 30 2017 DTD 09/27/2010 @ 106.00 FIRST UNION CAPITAL MARKETS (ID: 1248EP-AQ-6) ZAYO GROUP LLC/ZAYO CAP 8.125% JAN 01 2020 DTD 08/17/2012 @ 108.00 FIRST UNION CAPITAL MARKETS (ID: 989194-AG-0) ALLIANT TECHSYSTEMS INC 6 7/8% SEP 15 2020 DTD 09/13/2010 @ 105.75 DEUTSCHE BANK ALEX BROWN (ID: 018804-AP-9) CHESAPEAKE MIDSTREAM PT 6.125% JUL 15 2022 DTD 01/11/2012 @ 101.00 DEUTSCHE BANK ALEX BROWN (ID: 16524R-AE-3) (4,000.000) 101.00 4,040.00 (3,930.00) 110.00 L (5,000.000) 105.75 5,287.50 (5,545.50) (258.00) S (4,000.000) 108.00 4,320.00 (4,500.00) (180.00) S (9,000.000) 106.00 9,540.00 (9,495.00) 45.00 L (20,000.000) (10,000.000) 104.75 104.25 20,950.00 10,425.00 (17,385.00) (10,850.00) 2,683.57 L 881.43 0 (425.00) L PROT35 (6,000.000) 118.813 7,128.78 (6,922.50) 206.28 S Quantity (2,000.000) Per Unit Amount 108.00 Proceeds 2,160.00 Tax Cost (2,237.50) Realized Gain/Loss (77.50) S Page 15 of 26 PROT36 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 DELPHI CORP 6.125% MAY 15 2021 DTD 05/07/2012 @ 108.52 DEUTSCHE BANK ALEX BROWN (ID: 24713E-AF-4) JARDEN CORP 6 1/8% NOV 15 2022 DTD 11/09/2010 @ 104.75 DEUTSCHE BANK ALEX BROWN (ID: 471109-AE-8) SALLY HOLDINGS/SALLY CAP 5.75% JUN 01 2022 DTD 05/18/2012 @ 100.00 DEUTSCHE BANK ALEX BROWN PROT37 (ID: 79546V-AJ-5) BE AEROSPACE INC SR NOTES 6 7/8% OCT 01 2020 DTD 09/16/2010 @ 107.55 MORGAN STANLEY & CO. LLC (ID: 055381-AR-8) US STEEL CORP SR NOTES 7 3/8% APR 01 2020 DTD 03/19/2010 @ 98.05 MORGAN STANLEY & CO. LLC (ID: 912909-AF-5) WEYERHAEUSER CO 7 3/8% OCT 01 2019 DTD 10/01/2009 @ 117.296 MORGAN STANLEY & CO. LLC (ID: 962166-BV-5) ENDO PHARMACEUT HLDGS IN 7% JUL 15 2019 DTD 06/08/2011 @ 100.75 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 29264F-AG-1) MGM RESORTS INTL 11.375% MAR 01 2018 DTD 09/22/2009 @ 124.50 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 55303Q-AA-8) SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 @ 110.00 FIRST UNION CAPITAL MARKETS (ID: 832248-AQ-1) (10,000.000) 110.00 11,000.00 (10,475.00) 525.00 L (5,000.000) 124.50 6,225.00 (6,575.00) (350.00) S (5,000.000) 100.75 5,037.50 (5,337.50) (300.00) S (10,000.000) 117.296 11,729.60 (11,509.70) 219.90 L (2,000.000) 98.05 1,961.00 (2,087.50) (126.50) L (15,000.000) 107.55 16,132.50 (16,012.50) 120.00 L (5,000.000) 100.00 PROT38 5,000.00 (5,295.00) (295.00) S (1,000.000) 104.75 1,047.50 (1,072.50) (25.00) S Quantity (5,000.000) Per Unit Amount 108.52 Proceeds 5,426.00 Tax Cost (5,545.00) Realized Gain/Loss (119.00) S Page 16 of 26 PROT39 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 Sale High Cost GMAC 8% NOV 01 2031 DTD 12/31/2008 @ 119.00 BARCLAYS CAPITAL INC FIXED INCOME (ID: 36186C-BY-8) HOLOGIC INC 6.250% 08/01/2020 DTD 03/22/2013 PROT40 103.51 BARCLAYS CAPITAL INC FIXED INCOME (ID: 436440-AF-8) LEAR CORP 8 1/8% MAR 15 2020 DTD 03/26/2010 @ 108.00 BARCLAYS CAPITAL INC FIXED INCOME (ID: 521865-AS-4) TENET HEALTHCARE CORP 6.25% NOV 01 2018 DTD 11/21/2011 @ 105.00 DEUTSCHE BANK ALEX BROWN (ID: 88033G-BP-4) DAVITA INC 6 3/8% NOV 01 2018 DTD 10/20/2010 @ 104.00 MLPFS INC/FIXED INCOME (ID: 23918K-AL-2) DINEEQUITY INC 9 1/2% OCT 30 2018 DTD 04/30/2011 @ 111.25 FIRST UNION CAPITAL MARKETS (ID: 254423-AB-2) CSC HOLDINGS LLC 8 5/8% FEB 15 2019 DTD 02/12/2009 @ 116.55 MORGAN STANLEY & CO. LLC (ID: 126307-AC-1) NOKIA CORP 5 3/8% MAY 15 2019 DTD 05/07/2009 @ 96.30 MORGAN STANLEY & CO. LLC (ID: 654902-AB-1) PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 @ 121.66 MORGAN STANLEY & CO. LLC (ID: 723787-AJ-6) CDW LLC/CDW FINANCE 8% DEC 15 2018 DTD 06/15/2011 STEP CPN @ 108.40 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 12513G-AW-9) Page 17 of 26 (3,000.000) 108.40 3,252.00 (3,356.25) (104.25) S (5,000.000) (20,000.000) 96.30 121.66 4,815.00 24,332.00 (4,912.50) (22,800.00) (97.50) S 1,532.00 L (10,000.000) 116.55 11,655.00 (11,425.00) 230.00 L (10,000.000) (2,000.000) 104.00 111.25 10,400.00 2,225.00 PROT41 (10,200.00) (2,200.00) 200.00 L 25.00 S (5,000.000) 105.00 5,250.00 (5,400.00) (150.00) S (8,000.000) 108.00 8,640.00 (8,756.00) (116.00) L (5,000.000) 103.51 5,175.50 (5,470.00) (294.50) S Quantity (20,000.000) Per Unit Amount 119.00 Proceeds 23,800.00 Tax Cost (21,912.50) Realized Gain/Loss 1,887.50 L PROT42 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 Sale High Cost HANESBRANDS INC 8% DEC 15 2016 DTD 12/10/2009 @ 106.125 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 410345-AF-9) CELANESE US HOLDINGS LLC 4.625% 11/15/2022 DTD PROT43 11/13/2012 @ 96.27 CREDIT SUISSE FIRST BOSTON LLC (ID: 15089Q-AD-6) ALLBRITTON COMMUNICATION 8% MAY 15 2018 DTD 04/30/2010 @ 106.50 MLPFS INC/FIXED INCOME (ID: 016745-AL-5) D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 @ 108.815 PERSHING & COMPANY (ID: 23331A-AZ-2) AIRCASTLE LTD 7.625% APR 15 2020 DTD 06/06/2012 @ 109.75 DEUTSCHE BANK ALEX BROWN (ID: 00928Q-AG-6) ROYAL BANK SCOTLAND GRP PLC 5.05% JAN 08 2015 DTD 12/08/2004 @ 100.375 GREENWICH CAPITAL MARKETS INC (ID: 780097-AP-6) AIRCASTLE LTD 6.75% APR 15 2017 DTD 06/06/2012 @ 104.00 SOUTHWEST SECURITIES INC (ID: 00928Q-AF-8) METROPCS WIRELESS INC SR NOTES 7 7/8% SEP 01 2018 DTD 09/21/2010 @ 107.25 DEUTSCHE BANK ALEX BROWN (ID: 591709-AK-6) WPX ENERGY INC 5.25% JAN 15 2017 DTD 06/25/2012 @ 103.065 FUJI SECURITIES (ID: 98212B-AC-7) RRI ENERGY INC 7 7/8% JUN 15 2017 DTD 06/13/2007 @ 106.50 MORGAN STANLEY & CO. LLC (ID: 74971X-AC-1) Page 18 of 26 (5,000.000) (15,000.000) 103.065 106.50 5,153.25 15,975.00 (5,362.50) (15,112.50) (209.25) S 862.50 L (15,000.000) 107.25 16,087.50 (16,012.50) 75.00 L (3,000.000) 104.00 3,120.00 (3,177.50) (57.50) S (10,000.000) 100.375 10,037.50 (10,336.25) (298.75) S PROT44 (2,000.000) 109.75 2,195.00 (2,185.00) 10.00 S (10,000.000) 108.815 10,881.50 (10,495.00) 386.50 L (10,000.000) 106.50 10,650.00 (10,300.00) 350.00 L (5,000.000) 96.27 4,813.50 (5,105.00) (291.50) S Quantity (5,000.000) Per Unit Amount 106.125 Proceeds 5,306.25 Tax Cost (5,412.50) Realized Gain/Loss (106.25) L PROT45 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 WINDSTREAM CORP 7 7/8% NOV 01 2017 DTD 10/08/2009 @ 109.25 CREDIT SUISSE FIRST BOSTON LLC (ID: 97381W-AJ-3) MGM RESORTS INTL 6.625% 12/15/2021 DTD 12/20/2012 @ 102.25 MLPFS INC/FIXED INCOME (ID: 552953-CA-7) BURGER KING CORP 9 7/8% OCT 15 2018 DTD 10/19/2010 @ 111.58 FIRST UNION CAPITAL MARKETS PROT46 (ID: 121207-AA-2) FELCOR LODGING LP 6 3/4% JUN 01 2019 DTD 05/10/2011 @ 104.05 FIRST UNION CAPITAL MARKETS (ID: 31430Q-BB-2) HCA INC 8 1/2% APR 15 2019 DTD 04/15/2010 @ 107.625 FIRST UNION CAPITAL MARKETS (ID: 404119-BF-5) STARZ LLC/STARZ FIN CORP 5.000% 09/15/2019 DTD 02/13/2013 @ 99.00 FIRST UNION CAPITAL MARKETS (ID: 85571N-AB-5) VULCAN MATERIALS 6 1/2% DEC 01 2016 DTD 06/14/2011 @ 107.875 FIRST UNION CAPITAL MARKETS (ID: 929160-AQ-2) CONTINENTAL RESOURCES 5% SEP 15 2022 DTD 08/14/2012 @ 100.521 CSI US INSTITUTIONAL DESK (ID: 212015-AH-4) AVIS BUDEGET CAR RENTAL 8 1/4% JAN 15 2019 DTD 01/15/2011 @ 108.504 MILLENNIUM ADVISORS, LLC (ID: 053773-AN-7) (5,000.000) 108.504 5,425.20 (5,572.50) (147.30) S (5,000.000) 100.521 5,026.05 (5,073.75) (47.70) S (10,000.000) 107.875 10,787.50 (10,975.00) (187.50) S (10,000.000) 99.00 9,900.00 (10,305.00) (405.00) S (20,000.000) 107.625 21,525.00 (22,250.00) (725.00) L (5,000.000) 104.05 5,202.50 (5,057.50) 145.00 L (5,000.000) 111.58 PROT47 5,579.00 (5,762.50) (183.50) S (15,000.000) 102.25 15,337.50 (15,582.50) (245.00) S Quantity (20,000.000) Per Unit Amount 109.25 Proceeds 21,850.00 Tax Cost (21,450.00) Realized Gain/Loss 400.00 L Page 19 of 26 PROT48 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 PVH CORP 4.500% 12/15/2022 DTD 12/20/2012 @ 96.271 MILLENNIUM ADVISORS, LLC (ID: 693656-AA-8) SEAGATE TECHNOLOGY HDD H SR NOTES 6.80% OCT 1 2016 DTD 9/20/2006 @ 110.625 MILLENNIUM ADVISORS, LLC (ID: 81180R-AE-2) AMKOR TECHNOLOGIES INC 6 5/8% JUN 01 2021 DTD 05/20/2011 @ 99.00 MORGAN STANLEY & CO. LLC PROT49 (ID: 031652-BE-9) HEALTH MANAGEMENT ASSOCIATION 6 1/8% APR 15 2016 DTD 04/21/2006 @ 107.25 MLPFS INC/FIXED INCOME (ID: 421933-AH-5) BOISE PAPER HDG CO ISSR 8% APR 01 2020 DTD 03/19/2010 @ 106.25 FIRST UNION CAPITAL MARKETS (ID: 09747G-AB-9) JARDEN CORP SR SUB NOTES 7 1/2% MAY 1 2017 DTD 2/13/2007 @ 110.50 FIRST UNION CAPITAL MARKETS (ID: 471109-AB-4) GRAPHIC PACKAGING INTL 4.750% 04/15/2021 DTD 04/02/2013 @ 97.275 BARCLAYS CAPITAL INC FIXED INCOME (ID: 38869P-AK-0) AMERIGAS PART FIN CORP SR NOTES 6 1/2% MAY 20 2021 DTD 01/20/2011 @ 100.679 FIDELITY CAPITAL MARKETS (ID: 030981-AF-1) SESI LLC 7.125% DEC 15 2021 DTD 06/15/2012 @ 107.249 FIDELITY CAPITAL MARKETS (ID: 78412F-AP-9) (3,000.000) 107.249 3,217.47 (3,322.50) (105.03) S (7,000.000) 100.679 7,047.53 (7,157.50) (109.97) L (5,000.000) 97.275 4,863.75 (4,987.50) (123.75) S (19,000.000) 110.50 20,995.00 (20,572.50) 522.50 L (100.00) S (10,000.000) 106.25 10,625.00 (10,862.50) (237.50) L (10,000.000) 107.25 10,725.00 (10,400.00) 325.00 L (5,000.000) PROT50 99.00 4,950.00 (4,925.00) 25.00 S (2,000.000) 110.625 2,212.50 (2,120.00) 92.50 L Quantity (5,000.000) Per Unit Amount 96.271 Proceeds 4,813.55 Tax Cost (5,005.00) Realized Gain/Loss (191.45) S Page 20 of 26 PROT51 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 NIELSEN FINANCE LLC/CO 7 3/4% OCT 15 2018 DTD 04/15/2011 @ 107.75 FIRST UNION CAPITAL MARKETS (ID: 65409Q-AY-8) CONSTELLATION BRANDS INC 7 1/4% MAY 15 2017 DTD 11/15/2007 @ 112.50 BARCLAYS CAPITAL INC FIXED INCOME (ID: 21036P-AF-5) WYNN LAS VEGAS LLC CORP 7 3/4% AUG 15 2020 DTD 08/04/2010 @ 110.25 DEUTSCHE BANK ALEX BROWN PROT52 (ID: 983130-AR-6) MERRILL LYNCH & CO MEDIUM TERM NOTES 6 7/8% APR 25 2018 DTD 04/25/2008 @ 115.542 US BANCORP INVESTMENTS INC. (ID: 59018Y-N6-4) NEWFIELD EXPLORATION CO 6 7/8% FEB 01 2020 DTD 01/25/2010 @ 104.00 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 651290-AN-8) LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 @ 105.125 FIRST UNION CAPITAL MARKETS (ID: 526057-AS-3) CHESAPEAKE ENERGY CORP 6 1/2% AUG 15 2017 DTD 8/16/2005 @ 107.50 DEUTSCHE BANK ALEX BROWN (ID: 165167-BS-5) CABLEVISION SYSTEMS CORP SR NOTES 7 3/4% APR 15 2018 DTD 04/15/2010 @ 110.00 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 12686C-AZ-2) DISH DBS CORP 7 7/8% SEP 01 2019 DTD 08/17/2009 @ 111.00 MLPFS INC/FIXED INCOME (ID: 25470X-AB-1) (15,000.000) 111.00 16,650.00 (16,462.50) 187.50 L (10,000.000) 110.00 11,000.00 (10,775.00) 225.00 L (15,000.000) 107.50 16,125.00 (15,975.00) 150.00 L (10,000.000) 105.125 10,512.50 (9,905.00) 576.71 L 30.79 0 (20,000.000) 104.00 20,800.00 (21,450.00) (650.00) L (10,000.000) 115.542 11,554.20 (11,080.41) 473.79 L (10,000.000) PROT53 110.25 11,025.00 (10,950.00) 75.00 L (15,000.000) 112.50 16,875.00 (16,500.00) 375.00 L Quantity (10,000.000) Per Unit Amount 107.75 Proceeds 10,775.00 Tax Cost (11,040.00) Realized Gain/Loss (265.00) L Page 21 of 26 PROT54 Trade Date Settle Date 7/8 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 7/8 7/11 Type Sale 7/11 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 Sale High Cost SESI LLC 6 3/8% MAY 01 2019 DTD 11/01/2011 @ 103.09 FIDELITY CAPITAL MARKETS (ID: 78412F-AL-8) COVANTA HOLDING CORP 6 3/8% OCT 01 2022 DTD PROT55 03/19/2012 @ 100.75 RBC CAPITAL MARKETS CORPORATION (ID: 22282E-AE-2) FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 @ 109.00 RBC CAPITAL MARKETS CORPORATION (ID: 35906A-AB-4) ENERGY TRANSFER EQUITY 7 1/2% OCT 15 2020 DTD 09/20/2010 @ 108.75 CREDIT SUISSE FIRST BOSTON LLC (ID: 29273V-AC-4) MARKWEST ENERGY PART FIN 6 3/4% NOV 01 2020 DTD 11/02/2010 @ 104.77 KEYBANC CAPITAL MARKETS (ID: 570506-AM-7) AMC NETWORKS INC 7.75% JUL 15 2021 DTD 07/09/2012 @ 108.75 FIRST UNION CAPITAL MARKETS (ID: 00164V-AB-9) OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 @ 108.75 FIRST UNION CAPITAL MARKETS (ID: 681904-AM-0) ARCELORMITTAL 6 1/4% FEB 25 2022 DTD 02/28/2012 @ 102.50 OPPENHEIMER & CO (ID: 03938L-AX-2) BALL CORP SR NOTES 6 3/4% SEP 15 2020 DTD 03/22/2010 @ 107.25 OPPENHEIMER & CO (ID: 058498-AP-1) COMMERCIAL METALS CO NOTE 7.35% AUG 15 2018 DTD 08/04/2008 @ 107.565 TIMBER HILL LLC/IB CORP. SETTLEMEN (ID: 201723-AJ-2) Page 22 of 26 (10,000.000) 107.565 10,756.50 (11,087.50) (331.00) S (9,000.000) (15,000.000) 102.50 107.25 9,225.00 16,087.50 (9,007.50) (16,050.00) 217.50 S 37.50 L (15,000.000) 108.75 16,312.50 (16,320.00) (7.50) L (10,000.000) 108.75 10,875.00 (11,490.00) (615.00) S PROT56 (5,000.000) 104.77 5,238.50 (5,600.00) (361.50) S (20,000.000) 108.75 21,750.00 (21,450.00) 300.00 L (11,000.000) 109.00 11,990.00 (12,072.50) (82.50) L (7,000.000) 100.75 7,052.50 (7,210.00) (157.50) L Quantity (2,000.000) Per Unit Amount 103.09 Proceeds 2,061.80 Tax Cost (2,135.00) Realized Gain/Loss (73.20) S PROT57 Trade Date Settle Date 7/8 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 Type Sale 7/12 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 LAMAR MEDIA CORP 5.875% FEB 01 2022 DTD 07/27/2012 @ 102.25 NATIONAL FINL SVCS CORP (ID: 513075-BB-6) CIT GROUP INC 5 1/4% MAR 15 2018 DTD 03/15/2012 @ 103.50 MORGAN STANLEY & CO. LLC (ID: 125581-GL-6) NRG ENERGY INC 8 1/4% SEP 01 2020 DTD 03/01/2011 @ 108.00 MORGAN STANLEY & CO. LLC PROT58 (ID: 629377-BJ-0) CITYCENTER HLDGS/FINANCE 7 5/8% JAN 15 2016 DTD 07/15/2011 @ 105.75 MLPFS INC/FIXED INCOME (ID: 178760-AB-0) UNITED RENTALS NORTH AM 9 1/4% DEC 15 2019 DTD 11/17/2009 @ 111.00 DEUTSCHE BANK ALEX BROWN (ID: 911365-AU-8) INTL LEASE FINANCE CORP 8 1/4% DEC 15 2020 DTD 12/07/2010 @ 113.00 UBS SECURITIES LLC (ID: 459745-GF-6) QEP RESOURCES INC 5 3/8% OCT 01 2022 DTD 03/01/2012 @ 99.25 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 74733V-AB-6) REGAL CINEMAS CORP 8 5/8% JUL 15 2019 DTD 07/15/2009 @ 107.25 FIRST UNION CAPITAL MARKETS (ID: 758753-AD-9) SERVICE CORP INTL 7% JUN 15 2017 DTD 06/15/2006 MULTI CPN @ 110.125 FIRST UNION CAPITAL MARKETS (ID: 817565-BF-0) (20,000.000) 110.125 22,025.00 (21,700.00) 325.00 L (5,000.000) 107.25 5,362.50 (5,640.00) (277.50) S (20,000.000) 99.25 19,850.00 (19,861.25) (11.25) L (15,000.000) 113.00 16,950.00 (16,540.00) 410.00 L (15,000.000) 111.00 16,650.00 (16,687.50) (37.50) L (5,000.000) 105.75 5,287.50 (5,275.00) 12.50 S (15,000.000) 108.00 PROT59 16,200.00 (15,637.50) 562.50 L (20,000.000) 103.50 20,700.00 (20,140.00) 560.00 L Quantity (10,000.000) Per Unit Amount 102.25 Proceeds 10,225.00 Tax Cost (11,072.50) Realized Gain/Loss (847.50) S Page 23 of 26 PROT60 Trade Date Settle Date 7/9 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 Type Sale 7/12 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 IRON MOUNTAIN INC 8 3/8% AUG 15 2021 DTD 08/10/2009 @ 106.625 CREDIT SUISSE FIRST BOSTON LLC (ID: 46284P-AM-6) KEY ENERGY SERVICES INC 6 3/4% MAR 01 2021 DTD 03/04/2011 @ 95.00 CREDIT SUISSE FIRST BOSTON LLC (ID: 492914-AS-5) RANGE RESOURCES CORP 6 3/4% AUG 01 2020 DTD 08/12/2010 @ 107.00 CREDIT SUISSE FIRST BOSTON PROT61 LLC (ID: 75281A-AL-3) CCO HLDGS LLC/CAP CORP 6 5/8% JAN 26 2012 DTD 01/31/2022 @ 102.00 DEUTSCHE BANK ALEX BROWN (ID: 1248EP-AX-1) COVANTA HOLDING CORP SR NOTES 7 1/4% DEC 01 2020 DTD 12/01/2010 @ 105.50 DEUTSCHE BANK ALEX BROWN (ID: 22282E-AD-4) CROWN AMER/CAP CORP III 6 1/4% FEB 01 2021 DTD 08/01/2011 @ 105.125 BNP PARIBAS SECURITIES BOND (ID: 22818V-AB-3) CONSOL ENERGY INC 8 1/4% APR 01 2020 DTD 10/01/2010 @ 105.25 MORGAN STANLEY & CO. LLC (ID: 20854P-AF-6) AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 @ 122.25 BARCLAYS CAPITAL INC FIXED INCOME (ID: 026874-BS-5) ROYAL BK SCOTLND GRP PLC 6.125% 12/15/2022 DTD 12/04/2012 @ 96.50 CITIGROUP GLOBAL MARKETS INC/SALOM (ID: 780099-CE-5) (5,000.000) 96.50 4,825.00 (5,340.10) (515.10) S (15,000.000) 122.25 18,337.50 (16,428.75) 1,908.75 L (15,000.000) 105.25 15,787.50 (16,556.25) (768.75) L (15,000.000) 105.125 15,768.75 (16,262.50) (493.75) L (3,000.000) 105.50 3,165.00 (3,255.00) (90.00) L (6,000.000) 102.00 6,120.00 (5,970.00) 150.00 L (9,000.000) 107.00 PROT62 9,630.00 (9,720.00) (90.00) L (5,000.000) 95.00 4,750.00 (5,127.50) (377.50) L Quantity (15,000.000) Per Unit Amount 106.625 Proceeds 15,993.75 Tax Cost (15,900.00) Realized Gain/Loss 93.75 L Page 24 of 26 PROT63 Trade Date Settle Date 7/9 7/9 7/12 7/9 7/12 7/9 7/12 7/9 7/12 7/15 7/15 7/10 7/15 Type Sale 7/12 High Cost Sale High Cost Sale High Cost Sale High Cost Sale High Cost Redemption Pro Rata Sale High Cost SEAGATE HDD CAYMAN 6 7/8% MAY 01 2020 DTD 05/01/2011 @ 107.00 JPMORGAN CLEARING CORP (ID: 81180W-AD-3) BANK OF AMERICA CORP 3 3/4% JUL 12 2016 DTD 07/12/2011 @ 105.31 BARCLAYS CAPITAL INC FIXED INCOME (ID: 06051G-EK-1) FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 @ 109.50 BARCLAYS CAPITAL INC FIXED INCOME (ID: 35906A-AB-4) CF INDUSTRIES INC 7 1/8% MAY 01 2020 DTD 04/23/2010 @ 120.079 KEYBANC CAPITAL MARKETS (ID: 12527G-AB-9) LIMITED BRANDS INC 8 1/2% JUN 15 2019 DTD 12/15/2009 @ 115.75 SUNTRUST CAPITAL MARKETS INC (ID: 532716-AR-8) CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD PROT64 07/12/2010 ENTIRE ISSUE CALLED @ 103.00 (ID: 12561E-AK-1) CB STEEL DYNAMICS INC 7.625% MAR 15 2020 DTD 03/17/2010 @ 107.75 BAIRD (ROBERT W.) & CO. INCORPORAT (ID: 858119-AR-1) Total Settled Sales/Maturities/Redemptions $1,013,776.33 ($1,007,649.46) $12,721.50 L ($7,649.75) S $1,055.12 0 (5,000.000) 107.75 5,387.50 (5,568.75) (181.25) S (7,000.000) 103.00 7,210.00 (7,735.00) (525.00) L (20,000.000) 115.75 23,150.00 (23,000.00) 150.00 L (10,000.000) 120.079 12,007.90 (11,675.00) 332.90 L (9,000.000) 109.50 9,855.00 (9,877.50) (22.50) L (5,000.000) 105.31 5,265.50 (4,581.50) 541.10 L 142.90 0 Quantity (5,000.000) Per Unit Amount 107.00 Proceeds 5,350.00 Tax Cost (5,450.00) PROT65 Realized Gain/Loss (100.00) S Page 25 of 26 PROT66 Trade Date Settle Date Type Settled Securities Purchased 6/24 Purchase 7/2 Description DINEEQUITY INC 9 1/2% OCT 30 2018 DTD 04/30/2011 @ 110.00 DEUTSCHE BANK ALEX BROWN (ID: 254423-AB-2) Quantity 2,000.000 Per Unit Amount 110.00 Market Cost (2,200.00) * Page 26 of 26 PROT67 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 PROT68 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 2 PROT69 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 INVESTMENT MANAGEMENT ACCOUNT(S) WHICH REFLECT ASSETS HELD AT JPMORGAN CHASE BANK, N.A. In case of other errors or questions about other account statement(s) Please review your account 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 JPMCB at the addresses shown on your statement(s). Any oral communication should be re-confirmed in writing to further protect your rights. 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. You must promptly advise your J.P.Morgan representative of material changes in your investment objectives or financial situation or if you wish to PROT70 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. Disclosures Page 2 of 2 PROT71