EFTA Document EFTA01540660

FINANCIAL TRUST COMPANY INC 6100 RED HOOK QUARTER STE B-3 ST THOMAS 00802 VIRGIN ISLANDS, U.S. PROT0 PROT1 For the Period 3/1/13 to 3/31/13 Account Summary Account Number Investment Account(s) Total Value W23560001, 242006862 Beginning Net Market Value 69,261,931.64 300,900.74 $69,562,832.38 Ending Net Market Value 5,846,753.51 300,126.67 $6,146,880.18 This account summary is provided for informational purposes and includes assets at different entities. (1) Assets held at JPMorgan Chase Bank, N.A., member Federal Deposit Insurance Corporation ("FDIC"), except for exchangelisted options, which are held at 3PMorgan Clearing Corporation ("JPMCC"). The Asset Account Statement reflects brokerage transactions executed through J.P. Morgan Securities LLC ("JPMS"), see "Portfolio Activity Detail". Equity securities, fixed income securities, and listed options transactions are generally cleared through JPMCC, a wholly owned subsidiary of JPMS. Please see "Additional Information About Your Accounts" at the end of the Asset Account Statement. (2) Assets held in Margin Account at JPMCC, member Financial Regulatory Authority ("FINRA") and Securities Insurance Protection Corporation ("SIPC"). The Margin Account Statement reflects brokerage transactions executed by JPMS, see "Portfolio Activity Detail". Such transactions are cleared and carried through JPMCC. Please see disclosures located at the end of this statement package for important information relating to each 3.P.Morgan account(s). Change In Value (63,415,178.13) (774.07) ($63,415,952.20 ) Start on Page 4 40 Client News J.P. Morgan Securities LLC's (JPMS LLC) and J.P. Morgan Clearing Corp.'s (JPMCC) Net Capital PROT2 and Net Capital Requirements At December 31, 2012, JPMS LLC's net capital of $13.5 billion exceeded the minimum regulatory net capital requirement of $1.5 billion by $12.0 billion. JPMCC's net capital of $6.6 billion was approximately 8.3% of aggregate debit items and exceeded the minimum regulatory net capital requirement of $1.6 billion by $5.0 billion. Complete copies of JPMS LLC's and JPMCC's individual audited Statement of Financial Condition may be obtained, at no cost, by accessing: http://investor.shareholder.com/jpmorganchase/financialcondition.cfm Additionally, you may call 1-866-576-1300 to request a hard copy of the statement. 0000015277.15.0.15.00002.FINAN48.20130402 Consolidated Statement Page 1 PROT3 THIS PAGE INTENTIONALLY LEFT BLANK PROT4 Consolidated Summary INVESTMENT ACCOUNTS Asset Allocation Equity Cash & Fixed Income Market Value Accruals Market Value with Accruals Beginning Market Value 29,054,115.22 39,856,755.19 $68,910,870.41 651,961.97 $69,562,832.38 Ending Market Value 964,248.20 5,170,493.73 $6,134,741.93 12,138.25 $6,146,880.18 Change In Value (28,089,867.02) (34,686,261.46) ($62,776,128.48 ) (639,823.72) ($63,415,952.20 ) Estimated Current Annual Income Allocation (1,245.05) ($1,245.05) 16% 84% 100% Equity Cash & Fixed Income Current Portfolio Activity Beginning Market Value Net Contributions/Withdrawals Income & Distributions Change in Investment Value Ending Market Value Accruals Market Value with Accruals PROT5 Period Value 68,910,870.41 (63,342,969.29) 468,988.69 97,852.12 $6,134,741.93 12,138.25 $6,146,880.18 Year-to-Date Value 67,614,874.37 (63,353,775.10) (755,962.96) 2,629,605.62 $6,134,741.93 12,138.25 $6,146,880.18 This Consolidated Summary shows all of your investments at J.P. Morgan other than investments we hold in trust for you. These investments may be held in custody or investment management account at JPMorgan Chase Bank, N.A. (the "Bank") or in a brokerage or margin account at J.P. Morgan Clearing Corp. ("JPMCC"). Brokerage and margin accounts are non-discretionary and all investment decisions are made by the client. J.P. Morgan Securities LLC ("JPMS") does not provide advice on asset allocation or investment management services, nor do its personnel take discretion over any client accounts. Such advice and services are provided exclusively by the Bank. Consolidated Statement Page 2 PROT6 Consolidated Summary INVESTMENT ACCOUNT(S) YEAR-TO-DATE Total Value Tax Summary Total Value Account Number W23560001 24200686 ($755,962.96) 'Unrealized Gain/Loss represents data from the time of account inception to the current statement period. Account Number W23560001 24200686 Beginning Market Value 67,311,341.62 303,532.75 $67,614,874.37 Taxable Income (755,962.96) Net Contributions/ Withdrawals (63,353,708.40) (66.70) ($63,353,775.10 ) Tax-Exempt Income Other Income & Receipts Income & Distributions (755,962.96) ($755,962.96) Short-term 449,514.29 (3,308.60) $446,205.69 $79,375.00 Change in Investment Value 2,632,945.00 PROT7 (3,339.38) $2,629,605.62 Realized Gain/Loss Long-term 79,375.00 Ending Market Value with Accruals 5,846,753.51 300,126.67 $6,146,880.18 Unrealized Gain/Loss, 1,437,667.72 9,775.83 $1,447,443.55 CONTINUED Consolidated Statement Page 3 PROT8 JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 FINANCIAL TRUST COMPANY INC ACCT. W23560001 Asset Account J.P. Morgan Team Justin Nelson Paul Barrett Janet Young Gina Magliocco 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). 203/629-3124 212/622-2770 800/634-1318 Table of Contents Holdings Equity Page 2 4 7 12 Account W23560001 Page 1 of 36 Consolidated Statement Page 4 PROT9 Equity Market Value Accruals Market Value with Accruals Beginning Market Value 29,074,153.00 39,535,816.67 $68,609,969.67 651,961.97 $69,261,931.64 Ending Market Value 985,040.09 4,849,575.17 $5,834,615.26 12,138.25 $5,846,753.51 Current Beginning Market Value Contributions Withdrawals & Fees Securities Transferred Out Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals (15,344,666.27) (47,998,283.06) ($63,342,949.33 ) 468,988.69 98,606.23 $5,834,615.26 12,138.25 $5,846,753.51 Period Value 68,609,969.67 Change In Value (28,089,112.91) (34,686,241.50) ($62,775,354.41 ) (639,823.72) PROT10 ($63,415,178.13 ) Year-to-Date Value 67,311,341.62 86,715.92 (15,369,326.54) (48,071,097.78) ($63,353,708.40 ) (755,962.96) 2,632,945.00 $5,834,615.26 12,138.25 $5,846,753.51 Estimated Current Annual Income Allocation 17% 83% $0.00 100% Equity Cash & Fixed Income Account W23560001 Page 2 of 36 Consolidated Statement Page 5 PROT11 Tax Summary Domestic Dividends/Distributions Foreign Dividends Currency Gain/Loss Interest Income Accrued Interest Current Year Taxable Income CONTINUED Current Period Value 42,156.25 54,375.00 250,579.65 121,877.79 $468,988.69 Year-to-Date Value 203,162.50 54,375.00 (1,312,629.51) 366,509.78 (67,380.73) ($755,962.96) Unrealized Gain/Loss ST Realized Gain/Loss LT Realized Gain/Loss Realized Gain/Loss Current Period Value 9,750.04 (40,625.00) ($30,874.96) Year-to-Date Value 449,514.29 79,375.00 $528,889.29 To-Date Value $1,437,667.72 Cost Summary Equity Total 3,500,000.00 Cost 1,000,000.00 $4,500,000.00 Account W23560001 Page 3 of 36 PROT12 Consolidated Statement Page 6 PROT13 Equity Summary Asset Categories US Large Cap Equity US Mid Cap Equity US Small/Mid Cap Equity Non-US Equity Preferred Stocks Concentrated & Other Equity Total Value Market Value/Cost Market Value Tax Cost Accrued Dividends Beginning Market Value 1,588,088.35 142,205.00 512,000.00 3,002,400.00 9,423,320.00 14,406,139.65 $29,074,153.00 Ending Market Value 0.00 [repeated 5 times] 985,040.09 $985,040.09 Current Period Value 985,040.09 1,000,000.00 43,750.00 8,170.00 Change In Value (1,588,088.35) (142,205.00) (512,000.00) (3,002,400.00) (9,423,320.00) (13,421,099.56) ($28,089,112.91 ) Current Allocation PROT14 17% 17% Account W23560001 Page 4 of 36 Consolidated Statement Page 7 PROT15 Note: Unrealized Gain/Loss is shown as "N/A" in cases where we do not have appropriate cost information for all tax lots comprising the position. Please contact your J.P. Morgan team for additional information. Equity Detail Price Preferred Stocks GENL GROWTH PROPERTIES PFD 6 3/8% 370023-20-2 GGP VORNADO REALTY TRUST PFD 5.4% 929042-84-4 VNO Total Preferred Stocks $0.00 [repeated 4 times] $8,170.00 Concentrated & Other Equity LONG TOTAL RETURN SWAP 2,017,023.30 USD NOTIONAL SPDR S&P 500 MAT FEB 05 2014 DEAL 50038481 N/O Client SWPBDR-SE-6 LONG TOTAL RETURN SWAP 1,999,999.368942 USD NOTIONAL KOSPTREQ INDEX MAT MAR 20 2014 DEAL 30140386 N/O Client SWPBDR-UH-6 888,972.000 1,598.82 N/A ** N/A 0.00% 0.00 6,682.50 0.00 1,487.50 Quantity Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss PROT16 Est. Annual Inc. Accrued Div. Yield 13.61 4,430.000 (60,308.73) N/A ** N/A Account W23560001 Page 5 of 36 Consolidated Statement Page 8 PROT17 Price Concentrated & Other Equity MS MARKET PLUS MRK 08/20/14 80% EKO BARRIER- 3.55%CPN ,UNCAPPED INITIAL LEVEL-02/14/13 MRK:41.19 61761J-DA-4 Total Concentrated & Other Equity $985,040.09 $1,000,000.00 $43,750.00 $0.00 0.00% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield 104.38 1,000,000.000 1,043,750.00 1,000,000.00 43,750.00 Account W23560001 Page 6 of 36 Consolidated Statement Page 9 PROT18 Cash & Fixed Income Summary Beginning Asset Categories Cash Non-USD Cash US Fixed Income Non-US Fixed Income Complementary Structured Strategies Foreign Exchange Contracts Total Value Market Value/Cost Market Value Tax Cost Accrued Interest SUMMARY BY MATURITY 1 0-6 months 6-12 months, 1-5 years, Total Value 1 Market Value 9,145,872.20 1,094,759.13 21,363,375.26 2,904,728.18 4,530,157.36 496,924.54 $39,535,816.67 Ending Market Value 0.00 [repeated 4 times] 4,893,917.72 (44,342.55) $4,849,575.17 Current Period Value 4,849,575.17 3,500,000.00 1,393,917.72 3,968.25 SUMMARY BY TYPE Market Value PROT19 1,226,637.72 2,091,680.00 1,575,600.00 $4,893,917.72 % of Bond Portfolio 24% 44% 32% 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. Account W23560001 Page 7 of 36 Consolidated Statement Page 10 Complementary Structure Market Value 4,893,917.72 % of Bond Portfolio 100% Change In Value (9,145,872.20) (1,094,759.13) (21,363,375.26) (2,904,728.18) 363,760.36 (541,267.09) ($34,686,241.50 ) Current Allocation 83% 83% PROT20 Cash & Fixed Income Summary NET FX CONTRACTS EXPOSURE SUMMARY Value in Currency CANADIAN DOLLAR SWISS FRANC EURO CURRENCY JAPANESE YEN SOUTH KOREAN WON US DOLLAR (10,000,000.00) 6,190,500.00 (5,000,000.00) 925,220,000.00 (5,581,750,000.00 ) 4,821,222.66 Note: 1 This is the Annual Percentage Yield (APY) which is the rate earned if balances remain on deposit for a full year with compounding, there is no change in the interest rate and all interest is left in the account. Unrealized Gain/Loss is shown as "N/A" in cases where we do not have appropriate cost information for all tax lots comprising the position. Please contact your J.P. Morgan team for additional information. Cash & Fixed Income Detail Price Cash US DOLLAR 1.00 0.00 93.75 0.01% 1 Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Income Yield Account W23560001 Page 8 of 36 Consolidated Statement Page 11 PROT21 Price US Fixed Income WELLS FARGO MTGE SEC 2004-EE CL B1 VAR RT 12/25/2034 DTD 12/01/2004 949779-AD-4 CCC /NR Complementary Structured Strategies JPY CALL CAD PUT FX EUROPEAN STYLE OPTION OCT 08, 2013 @ 76.9 AT EXP KI @ 69.65 XJPYCA-SJ-Z CAD JPY PUT CAD CALL FX EUROPEAN STYLE OPTION OCT 08, 2013 @ 80.9 XJPYPB-AZ-Z CAD GS MXN STEP UP NOTE 11/22/13 LNKD TO MXN VS USD 85%BARRIER- 5% ATM CPN-22.9%MXRTRN 11/08/12 38141G-HY-3 HSBC REN CNH 01/24/14 LNKED TO CNH VS USD SXLEV- 500%MAXRTRN 01/09/13 INITIAL STRIKE:6.1995 40432X-7D-7 98.37 1,000,000.00 983,700.00 1,000,000.00 (16,300.00) 110.80 1,000,000.00 1,107,980.00 1,000,000.00 107,980.00 0.15 809,000,000.00 1,247,308.40 347,756.17 899,552.23 82.96 0.00 N/A ** N/A 7.81% Quantity Value Original Cost PROT22 Unrealized Gain/Loss Est. Annual Income Yield (769,000,000.00 ) (20,670.68) (347,756.17) 327,085.49 Account W23560001 Page 9 of 36 Consolidated Statement Page 12 PROT23 Price Complementary Structured Strategies JPM 3YR NC CLN TO MTOR 04/16/15 INITIAL RATE 6.20% CPN DD 04/16/12 4662A0-40-1 Total Complementary Structured Strategies $4,893,917.72 $3,500,000.00 $1,393,917.72 $0.00 $3,874.50 0.00% Quantity Value Original Cost Unrealized Gain/Loss Est. Annual Income Yield 105.04 1,500,000.00 1,575,600.00 1,500,000.00 75,600.00 3,874.50 Market Value Receivable Trade Date Foreign Exchange Contracts CANADIAN DOLLAR JAPANESE YEN SOUTH KOREAN WON JAPANESE YEN US DOLLAR US DOLLAR Mar. 28 13 Apr. 8 13 Mar. 6 13 Apr. 8 13 Mar. 28 13 May. 1 13 Mar. 28 13 PROT24 Apr. 8 13 Mar. 14 13 Jun. 18 13 CAD JPY CAD JPY CAD JPY JPY USD 10,000,000.00 (926,122,000.00 ) 909,300,000.00 925,220,000.00 16,822,000.00 (178,777.34) KRW (5,581,750,000.00 ) USD 5,000,000.00 1116.350000 1118.581996 92.612200 90.930000 92.522000 94.094700 92.523197 92.523197 92.463214 94.015102 9,841,312.21 9,850,779.07 9,671,850.37 9,841,312.21 9,842,672.62 9,836,418.89 178,928.70 178,777.34 5,000,000.00 4,990,023.10 (9,466.86) (169,461.84) 6,253.73 151.36 9,976.90 Currency Settlement Date Counter Currency Amount Counter Amount PROT25 Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Account W23560001 Page 10 of 36 Consolidated Statement Page 13 PROT26 Market Value Receivable Trade Date Foreign Exchange Contracts SWISS FRANC EURO CURRENCY Total Foreign Exchange Contracts Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Feb. 1 13 May. 6 13 CHF EUR 6,190,500.00 (5,000,000.00) 1.238100 1.215723 6,540,274.00 6,422,069.84 $41,075,037.90 $41,119,380.45 118,204.16 ($44,342.55) Account W23560001 Page 11 of 36 Consolidated Statement Page 14 PROT27 Portfolio Activity Summary - U S Dollar Beginning Cash Balance Current Transactions INFLOWS Income Contributions Foreign Exchange - Inflows Total Inflows OUTFLOWS ** Withdrawals Foreign Exchange - Outflows Total Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance * Year to date information is calculated on a calendar year basis. ** Your account's standing instructions use a FIRST IN, FIRST OUT method for relieving assets from your position 6,946,194.08 (2,494,497.50) $4,451,696.58 $0.00 16,629,199.15 (20,630,215.17) ($4,001,016.02) -250,579.65 $468,988.69 (14,209,298.51) ($14,209,298.51) Period Value 9,288,613.24 218,409.04 Year-To-Date Value* -565,345.37 86,715.92 2,478,941.18 $3,131,002.47 (14,233,958.78) (4,675,335.67) ($18,909,294.45) Current Securities Transferred In/Out PROT28 Period Value (46,954,461.22) Year-To-Date Value* (47,027,275.94) Account W23560001 Page 12 of 36 Consolidated Statement Page 15 PROT29 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method 3/1 3/12 3/20 3/25 [repeated 5 times] Corporate Interest Interest Income Div Domest FX Fwd Contract Corporate Interest Foreign Interest Corporate Interest Corporate Interest Description AMERICAN AXLE & MFG INC NON-TRADEABLE ASSET CORP ACTIONS CONTRA 7.875% 03/01/2017 DTD 02/27/2007 (ID: 02499A-BW-0) DEPOSIT SWEEP INTEREST FOR 02/01/13 - 02/28/13 @ .01% RATE ON AVG COLLECTED BALANCE OF $10,465,585.41 AS OF 03/01/13 GENERAL MOTORS CO CV PFD B @ 0.59375 PER SHARE (ID: 37045V-20-9) SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 94.065900000 TRADE 3/06/13 VALUE 3/12/13 (ID: OJPYPR-AA-9) SEQUOIA MORTGAGE TRUST 11 CL 81 VAR RT 12/20/2032 DTD 10/30/2002 (ID: 81744A-AB-4) COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% 08/25/2033 DTD 06/01/2003 (ID: 12669E-RR-9) CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 (ID: 161630-AK-4) GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 5.250% 11/25/2032 DTD 11/01/2004 (ID: 378961-AH-9) HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT 08/25/2029 DTD 07/30/2004 (ID: 43739E-AC-1) IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT PROT30 04/25/2035 DTD 03/03/2005 (ID: 45254N-NB-9) 998,523.674 1,622,079.740 0.001 0.001 916.73 1,068.21 685,056.360 0.004 2,997.12 1,055,526.607 1,477,102.387 2,172,877.940 0.001 0.004 0.002 1,457.68 6,588.08 5,411.35 71,000.000 (23,571,000.000 ) (245,556.83) 0.594 42,156.25 250,579.65 79.12 Quantity Cost 2,500,000.000 Per Unit Amount 0.039 Amount 98,437.50 Account W23560001 Page 13 of 36 Consolidated Statement Page 16 PROT31 Type 3/27 3/28 3/29 Interest Income Foreign Dividend Description ARMOUR RESIDENTIAL REIT PFD 7.875% @ 0.2461 PER SHARE (ID: 042315-40-8) ROYAL BANK SCOTLAND GROUP PLC ADR NON-CUMULATIVE @ 0.453125 PER SHARE (ID: 780097-71-3) Misc Disbursement INTERNAL TRANSFER OF FUNDS AS REQUESTED Total Inflows & Outflows SECURITIES TRANSFERRED IN/OUT Notes: Securities Transferred In 3/21 Receipt of Assets Description LONG TOTAL RETURN SWAP 1,999,999.368942 USD NOTIONAL KOSPTREQ INDEX MAT MAR 20 2014 DEAL 30140386 JPMORGAN CHASE BANK TRADE DATE 03/18/13 (ID: SWPBDR-UH-6) 3/29 Free Delivery (14,209,298.51) ($13,740,309.82) Quantity Cost Per Unit Amount 20,000.000 120,000.000 0.246 0.453 Amount 4,922.00 54,375.00 * Transaction Market Value is representative of the prior trading day's market value. This is for informational purposes only and is not to be used for any financial or tax purposes. The Transaction Market Value shown is in USD. Type Quantity PROT32 Cost 888,972.000 0.00 Transaction Market Value * COUNTRYWIDE HOME LOANS 2003-26 CL 61 5.33684% 08/25/2033 DTD 06/01/2003 TRADE DATE 03/29/13 (1,459,020.277 ) 1,123,445.62 FACE VALUE 3,325,000.00 CLIENT REF 104768082 (ID: 12669E-RR-9) (1,069,563.99) Account W23560001 Page 14 of 36 Consolidated Statement Page 17 PROT33 Notes: Type 3/29 Free Delivery Description CHASE MORTGAGE FINANCE CORPORATION REMIC 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 TRADE DATE 03/29/13 FACE VALUE 8,180,000.00 CLIENT REF 104768082 (ID: 161630-AK-4) 3/29 Free Delivery GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 5.250% 11/25/2032 DTD 11/01/2004 TRADE DATE 03/29/13 FACE VALUE 1,750,000.00 CLIENT REF 104768082 (ID: 378961-AH-9) 3/29 Free Delivery HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT 08/25/2029 DTD 07/30/2004 TRADE DATE 03/29/13 FACE VALUE 9,551,000.00 CLIENT REF 104768082 (ID: 43739E-AC-1) 3/29 Free Delivery IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT 04/25/2035 DTD 03/03/2005 TRADE DATE 03/29/13 FACE VALUE 10,000,000.00 CLIENT REF 104768082 (ID: 45254N-NB-9) 3/29 Free Delivery SEQUOIA MORTGAGE TRUST 11 CL B1 VAR RT 12/20/2032 DTD 10/30/2002 TRADE DATE 03/29/13 FACE VALUE 5,701,000.00 CLIENT REF 104768082 (ID: 81744A-AB-4) 3/29 3/29 Free Delivery Free Delivery REPUBLIC OF ARGENTINA NOTES DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN US040114GM64 SEDOL BOS5NQ3 (ID: 042993-9S-6) PETROLEOS DE VENEZUELA S 8 1/2% NOV 02 2017 DTD 10/29/2010 HELD BY EUROCLEAR ISIN USP7807HAK16 PROT34 SEDOL BSSCOL3 (ID: 716550-9A-8) Account W23560001 Page 15 of 36 Consolidated Statement Page 18 (1,500,000.000 ) 1,337,750.00 (1,456,875.00) (7,500,000.000 ) 1,038,750.00 (431,625.00) (1,050,851.847 ) 775,003.24 (792,289.75) (1,612,603.510 ) 1,128,822.44 (904,412.55) (996,651.384) 560,616.41 (795,866.00) (671,750.320) 540,759.00 (536,003.02) Quantity Cost (2,137,043.090 ) 1,891,283.14 Transaction Market Value * (1,656,785.40) PROT35 Notes: Type 3/29 Free Delivery 3/29 Free Delivery Description LLOYDS TSB BANK PLC MTN 9 7/8% DEC 16 2021 DTD 12/16/2011 HELD BY EUROCLEAR ISIN XS0717735822 SEDOL B7FQXT1 (ID: G47153-9D-3) ALLY FINANCIAL INC 8 1/2% PFD ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 02005N-30-8) ARIAD PHARMACEUTICALS INC ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 04033A-10-0) BANK OF AMERICA CORP 8 1/8% PFD STK DEC 29 2049 DTD 04/30/2008 ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 060505-DT-8) 3/29 [repeated 4 times] Free Delivery [repeated 4 times] BIOGEN IDEC INC ASSET TRANSFER TO A/C W91850-0 (ID: 09062X-10-3) CLIFFS NATURAL RESOURCES CV PFD 7% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 18683K-40-8) DEAN FOODS CO ASSET TRANSFER TO A/C W91850-0 (ID: 242370-10-4) DEUTSCHE BK AG LDN BRH DBL LONG ETN38 ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, PROT36 LLC CLIENT REF 104768082 (ID: 25154H-55-8) (2,095.000) 250,454.95 (6,000.000) 150,000.00 (25,000.000) 470,439.75 (50,000.000) 352,529.00 (403,534.71) (112,020.00) (453,250.00) (481,500.00) (126,600.000) 2,782,242.51 (16,535.000) 290,997.40 (2,000,000.000 ) 2,081,180.56 (3,390,348.00) (298,952.80) (2,269,540.00) Quantity Cost (1,500,000.000 ) 1,627,500.00 Transaction Market Value * (1,779,375.00) Account W23560001 Page 16 of 36 Consolidated Statement Page 19 PROT37 Notes: Type 3/29 Free Delivery Description EARTHLINK INC 8 7/8% MAY 15 2019 DTD 05/17/2011 ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 270321-AC-6) 3/29 Free Delivery FACEBOOK INC-A ASSET TRANSFER TO A/C W91850-0 (ID: 30303M-10-2) GMAC CAPITAL TRUST I PFD STK 8 1/8% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 361860-20-8) GENERAL ELEC CAP CORP 7.125% DEC 15 2049 DTD 06/12/2012 ASSET TRANSFER TO A/C W91850-0 (ID: 369622-SN-6) 3/29 3/29 Free Delivery Free Delivery GENERAL MOTORS CO CV PFD B ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 37045V-20-9) HEADWATERS INC 7.625 04/01/2019 DTD 03/11/2011 ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 42210P-AQ-5) 3/29 Free Delivery JPMORGAN CHASE & CO 7.9% PFD STK APR 30 2049 DTD 04/23/2008 ASSET TRANSFER TO A/C W91850-0 (ID: 46625H-HA-1) (5,000,000.000 ) PROT38 5,404,861.12 (5,796,500.00) (71,000.000) 3,585,969.22 (1,000,000.000 ) 1,035,000.00 (3,048,740.00) (1,070,000.00) (17,500.000) 665,000.00 (80,000.000) 1,882,773.60 (2,000,000.000 ) 2,122,916.67 (447,650.00) (2,176,000.00) (2,323,820.00) Quantity Cost (1,000,000.000 ) 1,033,500.00 Transaction Market Value * (1,011,080.00) Account W23560001 Page 17 of 36 Consolidated Statement Page 20 PROT39 Notes: Type 3/29 Free Delivery Description KINDRED HEALTHCARE INC 8 1/4% JUN 01 2019 DTD 06/01/2011 ASSET TRANSFER TO A/C W91850-0 (ID: 494580-AB-9) 3/29 Free Delivery NRG ENERGY INC 7 5/8% JAN 15 2018 DTD 07/15/2011 ASSET TRANSFER TO A/C W91850-0 (ID: 629377-BN-1) 3/29 Free Delivery NEXTERA ENERGY CAPITAL PFD 5% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 65339K-88-6) PUBLIC STORAGE PFD 5.2% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 74460W-10-7) ROYAL BANK SCOTLAND GROUP PLC ADR NON-CUMULATIVE ASSET TRANSFER TO A/C W91850-0 (ID: 780097-71-3) 3/29 3/29 Free Delivery Free Delivery SCE TRUST II PFD 5.1% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 78407R-20-4) SERVICEMASTER COMPANY 8% FEB 15 2020 DTD 02/13/2012 ASSET TRANSFER TO A/C W91850-0 (ID: 81760N-AN-9) (20,000.000) PROT40 500,000.00 (2,500,000.000 ) 2,665,625.00 (499,800.00) (2,675,000.00) (25,000.000) 625,000.00 (15,000.000) 375,000.00 (120,000.000) 2,924,400.00 (619,250.00) (373,800.00) (2,923,200.00) (1,000,000.000 ) 1,001,500.00 (1,137,500.00) Quantity Cost (2,000,000.000 ) 1,966,250.00 Transaction Market Value * (2,000,000.00) Account W23560001 Page 18 of 36 Consolidated Statement Page 21 PROT41 Notes: Type 3/29 Free Delivery Description SOUTHERN CAL EDISON 6 1/4% DEC 31 2049 DTD 01/17/2012 ASSET TRANSFER TO A/C W91850-0 (ID: 842400-FU-2) 3/29 Free Delivery Total Securities Transferred Out VORNADO REALTY TRUST PFD 5.4% ASSET TRANSFER TO A/C W91850-0 SOUTHERN FINANCIAL, LLC CLIENT REF 104768082 (ID: 929042-84-4) (27,000.000) 675,000.00 (667,170.00) ($46,954,461.22) Quantity Cost (3,000,000.000 ) 2,999,982.50 Transaction Market Value * (3,353,010.00) Account W23560001 Page 19 of 36 Consolidated Statement Page 22 PROT42 TRADE ACTIVITY Note: Trade Date Settle Date 3/1 3/1 L indicates Long Term Realized Gain/Loss S indicates Short Term Realized Gain/Loss * Settled transaction was initiated in prior statement period and settled in current statement period Type Selection Method Description Sale FIFO AMERICAN AXLE & MFG INC NON-TRADEABLE ASSET CORP ACTIONS CONTRA 7.875% 03/01/2017 DTD 02/27/2007 HOLDERS RECEIVE $1005.00 IN TENDER PROCEEDS, PLUS $25.00 EARLY PREMIUM PER $1,000 P.A. OF BONDS HELD OF CUSIP 02406PAF7. (ID: 02499A-BW-0) 2/28 3/5 2/28 3/5 3/1 3/6 3/5 3/8 3/6 3/11 3/6 3/11 Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO AMERICAN CAPITAL AGENCY CORP @ 31.63 474,450.00 BROKERAGE 600.00 TAX &/OR SEC 10.63 J.P. MORGAN SECURITIES LLC (ID: 02503X-10-5) MEDICAL PROPERTIES TRUST INC @ 14.35 17,937.50 PROT43 BROKERAGE 50.00 TAX &/OR SEC .41 J.P. MORGAN SECURITIES LLC (ID: 58463J-30-4) DCP MIDSTREAM PARTNERS LP @ 41.00 143,500.00 BROKERAGE 140.00 TAX &/OR SEC 3.22 J.P. MORGAN SECURITIES LLC (ID: 23311P-10-0) WILLIAMS PARTNERS LP @ 48.90 134,475.00 BROKERAGE 110.00 TAX &/OR SEC 3.02 J.P. MORGAN SECURITIES LLC (ID: 96950E-10-4) APOLLO COMMERCIAL REAL ESTATE FINANCE INC @ 17.10 68,400.00 BROKERAGE 160.00 TAX &/OR SEC 1.54 J.P. MORGAN SECURITIES LLC (ID: 03762U-10-5) M/I HOMES INC COM @ 24.46 12,230.00 BROKERAGE 20.00 TAX &/OR SEC .28 J.P. MORGAN SECURITIES LLC (ID: 55305B-10-1) (500.000) 24.419 12,209.72 (11,750.00) 459.72 S (4,000.000) 17.06 68,238.46 (68,200.00) 38.46 S (2,750.000) 48.859 134,361.98 (135,135.00) (773.02) S (3,500.000) 40.959 143,356.78 (142,205.00) 1,151.78 S (1,250.000) 14.31 17,887.09 (17,812.50) 74.59 S* (15,000.000) 31.589 473,839.37 (474,450.00) (610.63) S* Quantity (2,500,000.000 ) Per Unit Amount 103.00 Proceeds PROT44 2,575,000.00 Tax Cost (2,615,625.00) Realized Gain/Loss (40,625.00) L Account W23560001 Page 20 of 36 Consolidated Statement Page 23 PROT45 Trade Date Settle Date 3/6 3/7 3/12 3/7 3/12 3/8 3/13 3/8 3/13 3/12 3/15 3/13 3/18 3/13 3/18 3/14 3/19 Type Selection Method Description Sale 3/11 FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO Sale FIFO REALTY INCOME CORP @ 45.58 91,160.00 BROKERAGE 80.00 TAX &/OR SEC 2.05 J.P. MORGAN SECURITIES LLC (ID: 756109-10-4) DISCOVERY COMMUNICATIONS INC - C @ 67.00 100,500.00 BROKERAGE 60.00 TAX &/OR SEC 2.26 J.P. MORGAN SECURITIES LLC (ID: 25470E-30-2) KAR AUCTION SERVICES INC @ 19.53 29,295.00 BROKERAGE 60.00 TAX &/OR SEC .66 J.P. MORGAN PROT46 SECURITIES LLC (ID: 48238T-10-9) PHARMACYCLICS INC @ 94.17392 235,434.80 BROKERAGE 100.00 TAX &/OR SEC 5.28 J.P. MORGAN SECURITIES LLC (ID: 716933-10-6) BANKUNITED INC @ 25.55 12,775.00 BROKERAGE 20.00 TAX &/OR SEC .29 J.P. MORGAN SECURITIES LLC (ID: 06652K-10-3) LEXINGTON REALTY TRUST @ 11.70 23,400.00 BROKERAGE 60.00 TAX &/OR SEC .53 J.P. MORGAN SECURITIES LLC (ID: 529043-10-1) ANNIE'S INC @ 40.00 50,000.00 BROKERAGE 50.00 TAX &/OR SEC 1.12 J.P. MORGAN SECURITIES LLC (ID: 03600T-10-4) HEARTWARE INTERNATIONAL INC @ 86.80 52,080.00 BROKERAGE 24.00 TAX &/OR SEC 1.17 J.P. MORGAN SECURITIES LLC (ID: 422368-10-0) VIPSHOP HOLDINGS LTD - ADS ADR @ 24.65 24,650.00 BROKERAGE 40.00 TAX &/OR SEC .56 J.P. MORGAN SECURITIES LLC (ID: 92763W-10-3) (1,000.000) 24.609 24,609.44 (24,000.00) 609.44 S (600.000) 86.758 52,054.83 (51,870.00) 184.83 S (1,250.000) 39.959 49,948.88 (50,000.00) (51.12) S (2,000.000) 11.67 23,339.47 (23,400.00) (60.53) S (500.000) 25.509 12,754.71 (12,625.00) 129.71 S (2,500.000) 94.132 235,329.52 (235,500.00) (170.48) S (1,500.000) 19.49 PROT47 29,234.34 (28,875.00) 359.34 S (1,500.000) 66.958 100,437.74 (97,125.00) 3,312.74 S Quantity (2,000.000) Per Unit Amount 45.539 Proceeds 91,077.95 Tax Cost (91,800.00) Realized Gain/Loss (722.05) S Account W23560001 Page 21 of 36 Consolidated Statement Page 24 PROT48 Trade Date Settle Date Type Selection Method Description 3/20 3/20 3/15 3/20 3/15 3/20 3/15 3/21 3/25 [repeated 8 times] Sale FIFO Sale FIFO Sale FIFO Principal Payment SEQUOIA MORTGAGE TRUST 11 CL B1 VAR RT Pro Rata Quantity (4,674.760) 12/20/2032 DTD 10/30/2002 PAYMENT A/C PRINCIPAL (ID: 81744A-AB-4) TRULIA INC @ 31.05 31,050.00 BROKERAGE 40.00 TAX &/OR SEC .70 J.P. MORGAN SECURITIES LLC (ID: 897888-10-3) JPMORGAN CHASE & CO PFD 5.450% @ 24.90 1,175,578.80 BROKERAGE 1,888.48 TAX &/OR SEC 26.34 J.P. MORGAN SECURITIES LLC (ID: 46637G-12-4) INTERSTATE POWER & LIGHT PFD 5.1% @ 25.02 625,500.00 BROKERAGE 1,000.00 TAX &/OR SEC 14.02 J.P. MORGAN SECURITIES LLC (ID: 461070-85-6) Principal Payment COUNTRYWIDE HOME LOANS 2003-26 CL B1 5.33684% Pro Rata 08/25/2033 DTD 06/01/2003 PAYMENT A/C PRINCIPAL (ID: 12669E-RR-9) Principal Payment CHASE MORTGAGE FINANCE CORPORATION REMIC PROT49 Pro Rata 2007-A1 CL 2A4 2.99199% 02/25/2037 DTD 02/01/2007 PAYMENT A/C PRINCIPAL (ID: 161630-AK-4) Principal Payment GLOBAL MORTGAGE SECURITIZATION LTD 2004-A CL B3 Pro Rata 5.250% 11/25/2032 DTD 11/01/2004 PAYMENT A/C PRINCIPAL (ID: 378961-AH-9) Principal Payment HOMEBANC MORTGAGE TRUST 2004-1 CL 1M1 VAR RT Pro Rata 08/25/2029 DTD 07/30/2004 PAYMENT A/C PRINCIPAL (ID: 43739E-AC-1) (1,872.290) 100.00 1,872.29 (1,053.16) 819.13 S (13,306.040) 100.00 13,306.04 (10,711.36) 2,594.68 S (35,834.850) 100.00 35,834.85 (31,713.84) 4,121.01 S (18,082.110) 100.00 18,082.11 (13,923.22) 4,158.89 S (25,000.000) 24.979 624,485.98 (625,000.00) (514.02) S (47,212.000) 24.859 1,173,663.98 (1,180,300.00) (6,636.02) S (1,000.000) 31.009 31,009.30 (29,750.00) 1,259.30 S Per Unit Amount 100.00 Proceeds PROT50 4,674.76 Tax Cost (3,447.64) Realized Gain/Loss 1,227.12 S Account W23560001 Page 22 of 36 Consolidated Statement Page 25 PROT51 Trade Date Settle Date Type Selection Method Description 3/25 3/25 3/22 3/27 3/22 3/27 3/22 3/27 3/25 3/28 Sale FIFO Sale FIFO Sale FIFO Sale FIFO Principal Payment IMPAC CMB TRUST SER 2005-2 CL 1M1 VAR RT Pro Rata Quantity (9,476.230) 04/25/2035 DTD 03/03/2005 PAYMENT A/C PRINCIPAL (ID: 45254N-NB-9) ARMOUR RESIDENTIAL REIT PFD 7.875% @ 24.95926 213,900.86 BROKERAGE 342.80 TAX &/OR SEC 4.80 J.P. MORGAN SECURITIES LLC (ID: 042315-40-8) GENL GROWTH PROPERTIES PFD 6 3/8% @ 24.82 173,740.00 BROKERAGE 280.00 TAX &/OR SEC 3.90 J.P. MORGAN SECURITIES LLC (ID: 370023-20-2) JPMORGAN CHASE & CO PFD 5.450% @ 24.92612 318,755.22 BROKERAGE 511.52 TAX &/OR SEC 7.15 J.P. MORGAN SECURITIES LLC (ID: 46637G-12-4) ARMOUR RESIDENTIAL REIT PFD 7.875% @ 24.9629 285,325.95 BROKERAGE 457.20 TAX &/OR SEC 6.40 J.P. MORGAN SECURITIES LLC (ID: 042315-40-8) Total Settled Sales/Maturities/Redemptions $6,946,194.08 ($6,977,605.08) ($40,625.00) L $9,214.00 S (11,430.000) 24.922 284,862.35 PROT52 (285,750.00) (887.65) S (12,788.000) 24.886 318,236.55 (319,700.00) (1,463.45) S (7,000.000) 24.779 173,456.10 (175,000.00) (1,543.90) S (8,570.000) 24.919 213,553.26 (214,250.00) (696.74) S Per Unit Amount 100.00 Proceeds 9,476.23 Tax Cost (6,633.36) Realized Gain/Loss 2,842.87 S Trade Date Settle Date Type Description 2/28 Purchase 3/5 2/28 3/5 Purchase AMERICAN CAPITAL AGENCY CORP @ 31.63 J.P. MORGAN SECURITIES LLC (ID: 02503X-10-5) MEDICAL PROPERTIES TRUST INC @ 14.25 J.P. MORGAN SECURITIES LLC (ID: 58463)-30-4) Quantity 15,000.000 1,250.000 Per Unit Amount 31.63 14.25 Market Cost (474,450.00) PROT53 (17,812.50) Account W23560001 Page 23 of 36 Consolidated Statement Page 26 PROT54 Trade Date Settle Date Type 2/28 Purchase 3/6 3/5 3/8 3/6 3/11 3/6 3/11 3/5 3/11 3/7 3/12 3/7 3/12 3/4 3/13 3/7 3/13 3/8 3/13 3/12 3/15 3/13 3/18 3/13 3/18 Purchase [repeated 12 times] Description DCP MIDSTREAM PARTNERS LP @ 40.63 J.P. MORGAN SECURITIES LLC (ID: 23311P-10-0) WILLIAMS PARTNERS LP @ 49.14 J.P. MORGAN SECURITIES LLC (ID: 96950E-10-4) APOLLO COMMERCIAL REAL ESTATE FINANCE INC @ PROT55 17.05 J.P. MORGAN SECURITIES LLC (ID: 03762U-10-5) M/I HOMES INC COM @ 23.50 J.P. MORGAN SECURITIES LLC (ID: 553058-10-1) REALTY INCOME CORP @ 45.90 J.P. MORGAN SECURITIES LLC (ID: 756109-10-4) DISCOVERY COMMUNICATIONS INC - C @ 64.75 J.P. MORGAN SECURITIES LLC (ID: 25470E-30-2) KAR AUCTION SERVICES INC @ 19.25 J.P. MORGAN SECURITIES LLC (ID: 48238T-10-9) PUBLIC STORAGE PFD 5.2% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 74460W-10-7) BANKUNITED INC @ 25.25 J.P. MORGAN SECURITIES LLC (ID: 06652K-10-3) PHARMACYCLICS INC @ 94.20 J.P. MORGAN SECURITIES LLC (ID: 716933-10-6) LEXINGTON REALTY TRUST @ 11.70 J.P. MORGAN SECURITIES LLC (ID: 529043-10-1) ANNIE'S INC @ 40.00 J.P. MORGAN SECURITIES LLC (ID: 03600T-10-4) HEARTWARE INTERNATIONAL INC @ 86.45 J.P. MORGAN SECURITIES LLC (ID: 422368-10-0) 500.000 2,000.000 1,500.000 1,500.000 15,000.000 500.000 2,500.000 2,000.000 1,250.000 600.000 23.50 45.90 64.75 19.25 25.00 25.25 94.20 11.70 40.00 86.45 (11,750.00) (91,800.00) (97,125.00) (28,875.00) (375,000.00) (12,625.00) (235,500.00) (23,400.00) (50,000.00) PROT56 (51,870.00) Quantity 3,500.000 2,750.000 4,000.000 Per Unit Amount 40.63 49.14 17.05 Market Cost (142,205.00) * (135,135.00) (68,200.00) Account W23560001 Page 24 of 36 Consolidated Statement Page 27 PROT57 Trade Date Settle Date Type 3/14 Purchase 3/19 3/15 3/20 3/14 3/21 Total Settled Securities Purchased Purchase Purchase Description VIPSHOP HOLDINGS LTD - ADS ADR @ 24.00 J.P. MORGAN SECURITIES LLC (ID: 92763W-10-3) TRULIA INC @ 29.75 J.P. MORGAN SECURITIES LLC (ID: 897888-10-3) INTERSTATE POWER & LIGHT PFD 5.1% @ 25.00 J.P. MORGAN SECURITIES LLC (ID: 461070-85-6) Quantity 1,000.000 1,000.000 25,000.000 Per Unit Amount 24.00 29.75 25.00 Market Cost (24,000.00) (29,750.00) (625,000.00) ($2,494,497.50) Account W23560001 Page 25 of 36 Consolidated Statement Page 28 PROT58 Portfolio Activity Summary - Argentine Peso US Dollar Value Current Transactions OUTFLOWS ** Total Outflows $0.00 -Period Value -Year-To-Date Value* -(185,425.24) ($185,425.24) -Local Value Current Period Value 0.00 Year-To-Date Value* -0.00 0.00 (919,190.00) (919,190.00) -Current Securities Transferred In/Out Period Value (15,621.40) Year-To-Date Value* (15,621.40) Account W23560001 Page 26 of 36 Consolidated Statement Page 29 PROT59 Portfolio Activity Detail - Argentine Peso SECURITIES TRANSFERRED IN/OUT Notes: Type 3/29 Free Delivery Description REPUBLIC OF ARGENTINA - ARS FLOATING RATE NOTE DEC 15 2035 DTD 11/01/2005 HELD BY EUROCLEAR ISIN ARARGEO3E147 SEDOL B1MYWX3 (ID: EC0698-9B-7) Quantity Cost (10,000,000.000 ) 318,000.00 Transaction Market Value * (15,621.40) Account W23560001 Page 27 of 36 Consolidated Statement Page 30 PROT60 Portfolio Activity Summary - Canadian Dollar US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Withdrawals Total Outflows Period Value -9,752,767.35 $9,752,767.35 (0.01) (9,752,767.35) ($9,752,767.36) -Year-To-Date Value* -29,921,961.95 $29,921,961.95 (0.01) (29,921,961.95) ($29,921,961.96) -Local Value Current Period Value 0.01 10,000,000.00 10,000,000.00 (0.01) (10,000,000.01) 0.00 Year-To-Date Value* -30,000,000.00 30,000,000.00 (0.01) (30,000,000.00) (30,000,000.01) -Account PROT61 W23560001 Page 28 of 36 Consolidated Statement Page 31 PROT62 Portfolio Activity Detail - Canadian Dollar Per Unit Type 3/12 3/12 3/29 FX Fwd Contract FX Fwd Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL CAD CONTRACT RATE : 93.384900000 TRADE 2/07/13 VALUE 3/12/13 (ID: OCADPR-AA-6) SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL JPY CONTRACT RATE : 91.027800000 TRADE 3/06/13 VALUE 3/12/13 (ID: OCADPR-AA-6) Misc Disbursement CAD DELIVERED TO W91850003 CANADIAN DOLLAR (ID: OCADPR-AA-6) Total Inflows & Outflows (0.010) (0.01) ($0.01) $318,031.67 (910,278,000.000 ) 9,752,767.35 10,000,000.00 52,034.94 Quantity 933,849,000.000 Amount USD Local Value Amount USD Local Value (9,752,767.35) Currency Gain/Loss USD 265,996.73 Account W23560001 Page 29 of 36 Consolidated Statement Page 32 PROT63 Portfolio Activity Summary Euro Current Transactions INFLOWS Total Inflows $0.00 OUTFLOWS ** Withdrawals Total Outflows (1,135,367.75) ($1,135,367.75) -Period Value -US Dollar Value Local Value Year-To-Date Value* -13,616,999.75 $13,616,999.75 (1,135,367.75) (13,558,433.61) ($14,693,801.36) -Current Period Value 837,388.58 0.00 (837,388.58) (837,388.58) 0.00 Year-To-Date Value* -10,000,000.00 10,000,000.00 (837,388.58) (10,837,388.58) -Account W23560001 Page 30 of 36 Consolidated Statement Page 33 PROT64 PROT65 Portfolio Activity Detail - Euro Per Unit Type 3/29 Description Misc Disbursement EUR DELIVERED TO W91850003 EURO PRINCIPAL CURRENCY (ID: OEURPR-AA-9) Quantity (837,388.580) Amount USD Local Value Amount USD Local Value (1,135,367.75) (837,388.58) Currency Gain/Loss USD Account W23560001 Page 31 of 36 Consolidated Statement Page 34 PROT66 Portfolio Activity Summary - Japanese Yen US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -9,728,607.15 $9,728,607.15 Foreign Exchange - Outflows (9,728,607.15) ($9,728,607.15) -Year-To-Date Value* -30,035,143.61 $30,035,143.61 (29,897,801.75) ($29,897,801.75) -Local Value Current Period Value 0.00 933,849,000.00 933,849,000.00 (933,849,000.00) (933,849,000.00) 0.00 Year-To-Date Value* -2,760,561,000.00 2,760,561,000.00 (2,760,561,000.00 ) (2,760,561,000.00 ) -Account W23560001 Page 32 of 36 Consolidated Statement Page 35 PROT67 PROT68 Portfolio Activity Detail - Japanese Yen Per Unit Type 3/12 FX Fwd Contract Total Inflows & Outflows Description SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL CAD CONTRACT RATE : 93.384900000 TRADE 2/07/13 VALUE 3/12/13 (ID: OJPYPR-AA-9) SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL JPY CONTRACT RATE : 91.027800000 TRADE 3/06/13 VALUE 3/12/13 (ID: OJPYPR-AA-9) SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 94.065900000 TRADE 3/06/13 VALUE 3/12/13 (ID: OJPYPR-AA-9) $0.00 ($67,452.02) 250,579.650 (245,556.83) (23,571,000.00) 5,022.82 10,000,000.000 (9,483,050.32) (910,278,000.00) 217,682.09 Quantity (10,000,000.000 ) Amount USD Local Value Amount USD Local Value 9,728,607.15 933,849,000.00 Currency Gain/Loss USD (290,156.93) Account W23560001 Page 33 of 36 Consolidated Statement Page 36 PROT69 Portfolio Activity Summary - Mexican New Peso US Dollar Value Current Transactions INFLOWS Income Total Inflows OUTFLOWS ** Total Outflows $0.00 TRADE ACTIVITY Total Trade Activity $0.00 -$0.00 Period Value -Year-To-Date Value* -(8,678.82) 3,040,880.40 $3,032,201.58 (2,035,816.25) ($2,035,816.25) (1,004,416.59) ($1,004,416.59) -0.00 Local Value Current Period Value 0.00 Year-To-Date Value* -(109,650.00) 38,599,650.00 38,490,000.00 0.00 (25,800,000.00) (25,800,000.00) 0.00 0.00 (12,690,000.00) (12,690,000.00) -Current PROT70 Securities Transferred In/Out Period Value (1,028,200.44) Year-To-Date Value* (1,028,200.44) Account W23560001 Page 34 of 36 Consolidated Statement Page 37 PROT71 Portfolio Activity Detail - Mexican New Peso SECURITIES TRANSFERRED IN/OUT Notes: Type 3/29 Free Delivery Description AMERICA MOVIL SAB DE CV - MXN 6.450% 12/05/2022 DTD 12/05/2012 HELD BY EUROCLEAR ISIN XS0860706935 SEDOL B9B7820 (ID: P0299A-9D-4) Quantity Cost (12,000,000.000 ) 1,004,416.59 Transaction Market Value * (1,028,200.44) Account W23560001 Page 35 of 36 Consolidated Statement Page 38 PROT72 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Speculative CANADIAN DOLLAR JAPANESE YEN CANADIAN DOLLAR JAPANESE YEN JAPANESE YEN U S DOLLAR Feb. 7 13 Mar. 12 13 Mar. 6 13 Mar. 12 13 Mar. 6 13 Mar. 12 13 CAD JPY CAD JPY USD 933,849,000.00 10,000,000.00 JPY (910,278,000.00) (23,571,000.00) 250,579.65 93.384900 91.027800 94.065900 93.153561 0.011298 95.990000 9,728,607.15 (9,483,050.32) 250,579.65 (9,752,767.35) 9,752,767.35 (245,556.83) (24,160.20) 269,717.03 5,022.82 Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD PROT73 Currency G/L Account W23560001 Page 36 of 36 Consolidated Statement Page 39 PROT74 J.P. Morgan Securities LLC 383 Madison Avenue, New York, NY 10179 ACCT. 24200686 Margin Account J.P. Morgan Team Justin Nelson Paul Barrett Janet Young Gina Magliocco Jason Grosse Online access Banker Investment Specialist Client Service Team www.jpmorganonline.com Transactions cleared and carried through J.P. Morgan Clearing Corp. Three Chase Metrotech Center, Brooklyn, NY 11245-0001, (347) 643-2578 Please see disclosures located at the end of this statement package for important information relating to each J.P.Morgan account(s). 203/629-3124 212/622-2770 800/634-1318 Table of Contents Holdings Equity Page 2 4 5 7 Account 24200686 Page 1 of 8 Consolidated Statement Page 40 PROT75 MARGIN Cash Equity Market Value Market Value 0.00 48,858.90 $48,858.90 Margin Market Value 0.00 249,051.61 $249,051.61 Current Beginning Market Value Contributions Withdrawals & Fees Net Contributions/Withdrawals Change In Investment Value Ending Market Value (19.96) ($19.96) (754.11) $300,126.67 Period Value 300,900.74 Short Market Value (20,791.89) 23,008.05 $2,216.16 Year-to-Date Value 303,532.75 52,167.50 (52,234.20) ($66.70) (3,339.38) $300,126.67 Total (20,791.89) 320,918.56 Estimated Current Market Value Annual Income Allocation (1,245.05) PROT76 $300,126.67 ($1,245.05) 100% 100% ACCT. 24200686 Account 24200686 Page 2 of 8 Consolidated Statement Page 41 PROT77 CONTINUED Current Tax Summary ST Realized Gain/Loss Realized Gain/Loss Period Value Year-to-Date Value (3,308.60) ($3,308.60) ACCT. 24200686 To-Date Value $9,775.83 Cost Summary Equity Total 320,918.56 Cost $290,350.84 (30,567.72) Investment Objectives Speculation Permitted Capital Appreciation Yes Yes Account 24200686 Page 3 of 8 Consolidated Statement Page 42 PROT78 Equity Summary Asset Categories Non-US Equity Beginning Market Value (20,037.78) Ending Market Value (20,791.89) Change In Value (754.11) Current Allocation ACCT. 24200686 Current Market Value/Cost Market Value Tax Cost Estimated Annual Income Equity Detail Price Non-US Equity TELEFONICA S A SPONS ADR 879382-20-8 TEF Quantity Account Value Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield Period Value (20,791.89) (30,567.72) 9,775.83 (1,245.05) 13.51 (1,539.000) Short (20,791.89) (30,567.72) 9,775.83 (1,245.05) PROT79 5.99% Account 24200686 Page 4 of 8 Consolidated Statement Page 43 PROT80 Cash & Fixed Income Summary Beginning Asset Categories Cash Market Value 320,938.52 ACCT. 24200686 Ending Market Value 320,918.56 Change In Value (19.96) Current Allocation 100% Current Market Value/Cost Market Value Tax Cost SUMMARY BY MATURITY 1 0-6 months 1 Period Value 320,918.56 320,918.56 SUMMARY BY TYPE Market Value 320,918.56 % of Bond Portfolio 100% The years indicate the number of years until the bond is scheduled to mature based on the statement end date. Some bonds may be called, or paid in full, before their stated maturity. Cash Market Value 320,918.56 % of Bond Portfolio 100% Account 24200686 Page 5 of 8 Consolidated Statement Page 44 PROT81 PROT82 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Cash & Fixed Income Detail Quantity Price Cash US DOLLAR Total Cash 1.00 48,858.90 Cash 249,051.61 Margin 23,008.05 Short 48,858.90 249,051.61 23,008.05 $320,918.56 48,858.90 249,051.61 23,008.05 $320,918.56 $0.00 $0.00 0.00% Account Value Original Cost Unrealized Gain/Loss Est. Annual Income Yield Account 24200686 Page 6 of 8 Consolidated Statement Page 45 PROT83 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Portfolio Activity Summary Transactions INFLOWS Total Inflows Contributions $0.00 OUTFLOWS ** Withdrawals Short Fees Charged Total Outflows TRADE ACTIVITY Total Trade Activity $0.00 $320,918.56 160,216.40 (163,525.00) ($3,308.60) -(19.96) ($19.96) Current Period Value 320,938.52 Year-To-Date Value* -52,167.50 $52,167.50 (52,167.50) (66.70) ($52,234.20) Account 24200686 Page 7 of 8 Consolidated Statement Page 46 PROT84 FINANCIAL TRUST COMPANY INC ACCT. 24200686 Portfolio Activity Detail Type 3/1 3/11 3/11 3/18 3/18 Misc Debit Description SHORT DEBIT FEE 02/01-02/28 SUB-ACCOUNT: MGN Mark to Market Adj MARK TO MARKET SHORT POS SUB-ACCOUNT: SHT Mark to Market Adj MARK TO MARKET SUB-ACCOUNT: MGN Mark to Market Adj MARK TO MARKET SHORT POS SUB-ACCOUNT: SHT Mark to Market Adj MARK TO MARKET SUB-ACCOUNT: MGN Total Inflows & Outflows Quantity Cost Per Unit Amount Amount (19.96) 2,523.96 (2,523.96) 692.55 (692.55) ($19.96) Account 24200686 Page 8 of 8 Consolidated Statement Page 47 PROT85 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 PROT86 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 3 PROT87 Deposits in Foreign Branches are not insured by the FDIC or any other Agency of the Federal Government; amounts in such foreign accounts do not have the benefit of any domestic preference applicable to U.S Banks; certain Foreign accounts are considered reportable to the Internal Revenue Service on a Report of Foreign Bank and Financial Accounts (TD F 90-22.1). Bank products and services are offered through JPMorgan Chase Bank, N.A. ("JPMCB") and its banking affiliates. Securities are offered by J.P.Morgan Securities LLC ("JPMS") and, to the extent noted below, cleared through J.P. Morgan Clearing Corp. ("JPMCC"). Neither JPMS, nor JPMCC is a bank and are each separate legal entities from its bank or thrift affiliates. Investment Products: Not FDIC Insured -No Bank Guarantee -May Lose Value Fund manager disclosure information available upon request If you have an investment account that is managed by an SEC-Registered Investment Advisor, J.P. Morgan will provide a copy of the advisor's Form ADV II or brochure upon written request. These statements are not official documents for income tax reporting purposes and should not be relied upon for such purposes, including determination of income, cost basis, amortization or accretion, or gain/loss. Such information, which may be inaccurate, incomplete or subject to updating, should be confirmed with your records and your tax advisor. Please take the steps indicated below if you think statement(s) are incorrect or contact your J.P.Morgan team if you require additional information about a transaction on your statement(s). IMPORTANT ADDITIONAL INFORMATION APPLICABLE ONLY TO YOUR ASSET ACCOUNT(S) (LINKED TO JPMS) Your Asset Account consists of a bank account that custodies assets linked to a brokerage account through which securities transactions are executed. As a result, the Asset Account statement(s) reflect brokerage transactions executed through JPMS but (except for exchange listed options) held in custody at JPMCB. Securities purchased or sold through JPMS in U.S. markets (other then mutual funds) are cleared through an affiliate of JPMS, in non-U.S. markets securities are cleared through JPMS. Positions in exchange-listed options are held by JPMCC. For your convenience, however, positions in exchange-listed options are presented in Asset Account statement(s) together with other assets held in such account(s). All pertinent information about your settled and pending purchases and sales effected through your JPMS account during the period covered by these statement(s), is summarized in the "Trade Activity" portion of the statement(s). In Case of Other Errors or Questions About Your Asset Account Statement(s) Please review your statement(s) and promptly report any inaccuracy or discrepancy including possible unauthorized trading activity, unrecorded dividend payments, unaccounted cash positions, PROT88 improper payments or transfers in writing to both the introducing broker, JPMS and the clearing firm, JPMCC at the addresses shown on your statement(s). Any oral communication should be re-confirmed in writing to further protect your rights, including your rights under the Securities Investor Protection Act (SIPA). If you have any questions please contact your J.P.Morgan team. In your written communication, please provide the following information: (1) your name and account number; (2) the dollar amount of the suspected error; and (3) a description of the error and explanation, if you can, why you believe there is an error. If you need more information, you must describe the item you are unsure about. We must receive your written communication no later than 30 days after the statement on which the error or problem appeared is sent or made available. If you do not so notify us, you agree that the statement activity and account balance(s) are correct. JPMCC and JPMS are members of the Securities Investor Protection Corp ("SIPC"), a not-for-profit membership corporation funded by broker-dealers registered with the Securities and Exchange Commission. Securities and cash held for a customer at JPMCC are protected by SIPC up to $500,000 per customer, which includes up to $250,000 of protection for cash. SIPC does not protect against losses from fluctuations in the value of the securities. Assets held in custody by JPMCB are not subject to SIPC. You may obtain information about SIPC, including the SIPC Brochure, on their website, at "www.sipc.org" or by contacting them at (202) 371-8300. In Case of Errors or Questions About Your Electronic Transfers. Disclosures Page 2 of 3 PROT89 Contact your J.P. Morgan Team at one of the telephone numbers on the front of your statements or write us at J.P. Morgan, 500 Stanton Christiana Road, 1/OPS3, Newark, DE 19713-2107 as soon as you can, if you think your statement is wrong or if you need more information about a transfer on the statement. We must hear from you no later than 60 days after we sent you the FIRST statement on which the error or problem appeared. (1) Tell us your name and account number. (2) Describe the error or the transfer you are unsure about, and explain as clearly as you can why you believe it is an error or why you need more information. (3) Tell us the dollar amount of the suspected error. We will investigate your complaint and will correct any error promptly. If we take more than 10 business days (or 20 business days for new accounts) to do this, we will credit your account for the amount you think is in error, so that you will have the use of the money during the time it takes us to complete our investigation. In Case of Errors or Questions About Non-Electronic Transfers (Checks or Deposits) Contact JPMorgan Chase Bank, N.A. ("JPMCB") Member FDIC immediately if a statement is incorrect or if you need more information about any nonelectronic transactions (checks or deposits) on this statement. If any such error appears, you must notify the bank in writing as soon as possible after your statement was made available to you. For more complete details, see the applicable account agreements and appendices that govern your account. Deposit products and services are offered by JPMCB Member FDIC. You must promptly advise your J.P.Morgan representative of material changes in your investment objectives or financial situation or if you wish to modify the management of your account. Unless you inform otherwise, your J.P.Morgan representative will consider the information currently in its files to be complete and accurate. With reference to JPMS and JPMCC: A financial statement of this organization is available to you for personal inspection at its offices, or a copy will be mailed to you upon written request. You should have received (or have made available to you) separate confirmations for each securities transaction. All transactions are subject to the terms and conditions stated on the reverse side of such confirmations and are subject to the constitution, by-laws, customs and interpretations of the marketplace where executed and governed by and construed in accordance with the laws of the State of New York and all applicable federal laws and regulations. Further information with respect to commissions and other charges related to the execution of transactions, including options transactions, has been included in confirmations that were previously furnished or have made available to you. Upon written request, JPMS will promptly supply you with the latest information. IMPORTANT ADDITIONAL INFORMATION APPLICABLE ONLY TO YOUR MARGIN ACCOUNT(S) All positions in your Margin Account Portfolio(s) are held in custody at J.P. Morgan Clearing Corp. ("JPMCC"), Three Chase Metrotech Center, Brooklyn, NY 11245-001, (347) 643-2578. PROT90 If you have a margin account as permitted by law we may use certain securities in such account for, among other things, settling short sales and lending the securities for short sales, and as a result may receive compensation in connection therewith. Please keep the following in mind when using a statement to track your brokerage activity in a margin account: The statement combines your general margin account with the special memorandum account required by Section 220.6 Regulation T. As required by Regulation T, a permanent record of your separate account is available upon your request. Free credit balances in your margin account(s) are not segregated and may be used in the operation of JPMCCs business, subject to the limitations of SEC Rule 15c3-3. Unless otherwise noted, JPMCC or its agents and depositories will hold your securities. Upon your demand, JPMCC will pay to you the amount of your free credit balance, and will deliver to you fully-paid securities held on your behalf. Interest will be charged on any debit balance; the method of calculating interest is described in a letter sent to all margin customers. Disclosures Page 3 of 3 PROT91 PROT92