EFTA Document EFTA01548030

SOUTHERN TRUST COMPANY, INC 6100 RED HOOK QUARTER, B3 ST. THOMAS 00802 VIRGIN ISLANDS (U.S.) PROT0 PROT1 JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 SOUTHERN TRUST COMPANY, INC ACCT. For the Period 9/1/13 to 9/30/13 Asset Account J.P. Morgan Team William Sheridan Justin Nelson Paul Barrett Janet Young Gina Magliocco Jason Grosse Online access Banker 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). 800/634-1318 Table of Contents Account Summary Holdings Equity Cash & Fixed Income Portfolio Activity Page 2 4 5 11 Client News J.P. Morgan Securities LLC's (JPMS LLC) and J.P. Morgan Clearing Corp.'s (JPMCC) Net Capital and Net Capital Requirements At June 30, 2013, JPMS LLC's net capital of $13.8 billion exceeded the minimum regulatory net capital requirement of $1.8 billion by $12.0 billion. JPMCC's net capital of $6.7 billion was approximately 7.9% of aggregate debit items and exceeded the minimum regulatory net capital requirement of $1.7 billion by $5.0 billion. Complete copies of the JPMS LLC's and JPMCC's individual unaudited Statement of Financial Condition may be obtained, at no cost, by accessing: PROT2 http://investor.shareholder.com/jpmorganchase/financialcondition.cfm Additionally, you may call 1-866-576-1300 to request a hard copy of the statement. 0000007990.15.0.15.00001.SOUTHAF.20131002 Page 1 of 37 PROT3 Account Summary Asset Allocation Equity Market Value Accruals Market Value with Accruals Beginning Market Value 0.00 5,139,757.02 $5,139,757.02 45.15 $5,139,802.17 Ending Market Value 1,350.00 6,065,033.93 $6,066,383.93 42,544.55 $6,108,928.48 Current Portfolio Activity Beginning Market Value Contributions Withdrawals & Fees Securities Transferred In Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals 1,820,000.00 $1,820,000.00 (304,978.68) (588,394.41) $6,066,383.93 42,544.55 $6,108,928.48 Period Value 5,139,757.02 Change In Value 1,350.00 925,276.91 $926,626.91 42,499.40 $969,126.31 PROT4 Year-to-Date Value 0.00 5,000,000.00 (77,400.00) 1,820,000.00 $6,742,600.00 (267,985.48) (408,230.59) $6,066,383.93 42,544.55 $6,108,928.48 Estimated Current Annual Income Allocation 1% 100,535.81 $100,535.81 99% 100% Equity Asset Allocation Cash & Fixed Income Page 2 of 37 PROT5 Account Summary Income Summary Currency Gain/Loss Interest Income Income CONTINUED Current Period Value (305,023.83) 45.15 ($304,978.68) Year-to-Date Value (268,049.90) 64.42 ($267,985.48) Unrealized Gain/Loss To-Date Value ($417,295.86) Cost Summary Equity Total 6,453,659.16 Cost 955.36 $6,454,614.52 Page 3 of 37 PROT6 Equity Summary Asset Categories Concentrated & Other Equity Beginning Market Value 0.00 Ending Market Value 1,350.00 Change In Value 1,350.00 Current Allocation 1% Current Market Value/Cost Market Value Cost Unrealized Gain/Loss Equity Detail Price Concentrated & Other Equity CHICAGO BOARD OPTIONS EXCHANGE INDEX CALL 10/16/13 @ 16 Underlying Asset Price = $16.60 12497K-9L-Z VIX 1.35 10.000 1,350.00 955.36 394.64 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Inc. Accrued Div. Yield Period Value 1,350.00 955.36 394.64 Page 4 of 37 PROT7 Cash & Fixed Income Summary Beginning Asset Categories Cash Non-US Fixed Income Complementary Structured Strategies Foreign Exchange Contracts Total Value Market Value/Cost Market Value Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield SUMMARY BY MATURITY 1 0-6 months 1-5 years, Total Value 1 Market Value 5,447,995.20 0.00 (378,777.13) 70,538.95 $5,139,757.02 Ending Market Value 5,358,180.65 1,755,000.00 (1,077,211.99) 29,065.27 $6,065,033.93 Current Period Value 6,065,033.93 6,453,659.16 (417,690.50) 100,535.81 42,544.55 3.42% SUMMARY BY TYPE Market Value 4,280,968.66 1,755,000.00 $6,035,968.66 PROT8 % of Bond Portfolio 76% 24% 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 International Bonds Complementary Structure Total Value Market Value 5,358,180.65 1,755,000.00 (1,077,211.99) $6,035,968.66 % of Bond Portfolio 76% 24% 100% Change In Value (89,814.55) 1,755,000.00 (698,434.86) (41,473.68) $925,276.91 Current Allocation 69% 29% 1% 99% Cash Non-US Fixed Income Foreign Exchange Contracts Asset Categories Cash & Fixed Income as a percentage of your portfolio 99 % Page 5 of 37 PROT9 Cash & Fixed Income Summary NET FX CONTRACTS EXPOSURE SUMMARY Value AUSTRALIA DOLLAR POUND STERLING N ZEALAND DOLLAR US DOLLAR in Currency 2,000,000.00 4,000,000.00 4,000,000.00 (11,646,735.60) 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. Cash & Fixed Income Detail Price Cash US DOLLAR 1.00 5,358,180.65 535.81 44.55 0.01% Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Income Yield Page 6 of 37 PROT10 Price Non-US Fixed Income PETROLEOS DE VENEZUELA S 5% OCT 28 2015 DTD 10/28/2009 HELD BY EUROCLEAR ISIN XS0460546525 SEDOL BSBQGP8 71668A-9B-9 Complementary Structured Strategies AUD CALL USD PUT FX EUROPEAN STYLE OPTION JAN 24, 2014 @ .94 KI @ 0.96 KO @ 0.88 XAUDCA-FK-Z AUD CALL USD PUT FEB 06,2014 @ .92 0.9230 WINDOW KI EXPIRING 13 SEP 13 OPTION KNOCKEDIN XAUDCA-FL-Z AUD CALL USD PUT FEB 06, 2014 @ .95 [email protected] [email protected] XAUDCA-FO-Z UD AUD PUT USD CALL JAN 24, 2014 @ .89 WINDOW RKI @ 0.8760 UNTIL 9SEP13 XAUDPA-JE-Z Page 7 of 37 (4,500,000.00 ) (43,654.50) 43,654.50 0.93 (5,000,000.00 ) (46,251.91) (59,783.68) 13,531.77 2.78 (3,000,000.00 ) (83,436.57) (11,040.00) (72,396.57) Quantity Value Adjusted Cost Original Cost Unrealized PROT11 Gain/Loss Est. Annual Income Yield 87.75 2,000,000.00 1,755,000.00 1,800,000.00 (45,000.00) 100,000.00 42,500.00 11.82% 1.47 (10,000,000.00 ) (147,468.24) (96,350.00) (51,118.24) PROT12 Price Complementary Structured Strategies AUD PUT USD CALL JAN 24, 2014 @ .89 KI @ 0.84 XAUDPA-JF-Z CAD CALL USD PUT FEB 11, 2014 @ 1.02 XCADCA-FG-Z GBP CALL USD PUT FEB 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION KNOCKED IN XGBPCA-OV-Z GBP CALL USD PUT FEB 06, 2014 @ 1.595 [email protected] [email protected] XGBPCA-OX-Z BP GBP PUT USD CALL FEB 06, 2014 @ 1.58 [email protected] [email protected] XGBPPA-MH-Z BP JPY CALL USD PUT JAN 29, 2014 @ 95. KI @ 94 KO @101 XJPYCA-UW-Z Page 8 of 37 0.01 (475,000,000.00 ) (52,600.74) (71,250.00) 18,649.26 0.54 (3,000,000.00 ) (16,188.63) (33,860.64) 17,672.01 3.28 (3,000,000.00 ) (98,269.30) (58,294.17) (39,975.13) 5.74 PROT13 (3,000,000.00 ) (172,314.12) (29,908.50) (142,405.62) 0.99 (4,590,000.00 ) (45,568.84) (58,500.00) 12,931.16 Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Income Yield 0.94 (5,000,000.00 ) (47,240.41) (51,100.00) 3,859.59 PROT14 Price Complementary Structured Strategies JPY PUT USD CALL FX EUROPEAN STYLE OP FEB 06, 2014 @ 102 KI @ 106 XJPYPB-GD-Z NZD CALL USD PUT JAN 23, 2014 @ .82 KI @ 0.845 KO @ 0.768 XNZDCA-DD-Z NZD CALL USD PUT FEB 06, 2014 @ .8 KO @ 0.77 XNZDCA-DE-Z Total Complementary Structured Strategies ($1,077,211.99) ($704,521.49) ($372,690.50) $0.00 0.00% 3.67 (2,000,000.00 ) (73,447.19) (15,280.00) (58,167.19) 2.45 (10,000,000.00 ) (244,928.03) (82,000.00) (162,928.03) Quantity Value Adjusted Cost Original Cost Unrealized Gain/Loss Est. Annual Income Yield 0.01 (510,000,000.00 ) (49,498.01) (93,500.00) 44,001.99 Page 9 of 37 PROT15 PROT16 Market Value Receivable Trade Date Foreign Exchange Contracts POUND STERLING POUND STERLING US DOLLAR [repeated 5 times] Total Foreign Exchange Contracts Sep. 27 13 Oct. 8 13 Sep. 30 13 Oct. 8 13 Sep. 30 13 Oct. 8 13 Sep. 30 13 Oct. 8 13 Sep. 30 13 Oct. 8 13 AUD USD NZD USD NZD USD GBP USD GBP USD 2,000,000.00 (1,863,750.00) 2,000,000.00 (1,664,150.00) 2,000,000.00 (1,650,150.00) 2,000,000.00 (3,229,642.80) 2,000,000.00 (3,239,042.80) 0.931875 0.832075 0.825075 1.614821 PROT17 1.619521 0.934509 0.832405 0.832405 1.619291 1.619291 1,869,017.19 1,863,750.00 1,664,810.56 1,664,150.00 1,664,810.56 1,650,150.00 3,238,581.28 3,229,642.80 3,238,581.28 3,239,042.80 $11,675,800.87 $11,646,735.60 5,267.19 660.56 14,660.56 8,938.48 (461.52) $29,065.27 Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Page 10 of 37 PROT18 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 (81,630.00) 240,188.64 $158,558.64 $5,358,180.65 * 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 (158,497.00) 817,855.64 $659,358.64 -(31,907,057.46) ($31,907,057.46) 31,658,639.12 $31,658,684.27 Period Value 5,447,995.20 45.15 Year-To-Date Value* -64.42 5,000,000.00 44,834,010.05 $49,834,074.47 (77,400.00) (45,057,852.46) ($45,135,252.46) Current Securities Transferred In/Out PROT19 Securities Transferred In Period Value 1,820,000.00 Year-To-Date Value* 1,820,000.00 Page 11 of 37 PROT20 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Type Settle Date Selection Method Income 9/3 Interest Income Description DEPOSIT SWEEP INTEREST FOR 08/01/13 - 08/31/13 @ .01% RATE ON AVG COLLECTED BALANCE OF $5,395,628.58 AS OF 09/01/13 Quantity Cost Per Unit Amount Amount 45.15 Type FX Fwd Contract 9/3 [repeated 4 times] 9/9 Description SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.901000000 TRADE 8/22/13 VALUE 9/03/13 (ID: OAUDPR-AA-8) GBP CONTRACT RATE : 1.559213000 TRADE 8/22/13 VALUE 9/03/13 (ID: OGBPPR-AA-9) NZD CONTRACT RATE : 0.783000000 TRADE 8/22/13 VALUE 9/03/13 (ID: ONZDPR-AA-5) NZD CONTRACT RATE : 0.777095000 TRADE 8/28/13 VALUE 9/03/13 (ID: ONZDPR-AA-5) AUD CONTRACT RATE : 0.894000000 TRADE 8/29/13 VALUE 9/09/13 (ID: OAUDPR-AA-8) (2,000,000.000 ) (1,834,280.00) 1,788,000.00 PROT21 (1,000,000.000 ) (778,090.00) 777,095.00 (2,500,000.000 ) (1,945,225.00) 1,957,500.00 (1,549,280.00) 1,559,213.00 Quantity Cost (1,788,740.00) Amount 1,802,000.00 Page 12 of 37 PROT22 Type 9/11 9/23 [repeated 8 times] Spot FX [repeated 6 times] Description AUD CONTRACT RATE : 0.917000000 TRADE 9/04/13 VALUE 9/11/13 (ID: OAUDPR-AA-8) GBP CONTRACT RATE : 1.549000000 TRADE 8/29/13 VALUE 9/23/13 (ID: OGBPPR-AA-9) NZD CONTRACT RATE : 0.777000000 TRADE 8/29/13 VALUE 9/23/13 (ID: ONZDPR-AA-5) SPOT CURRENCY TRANSACTION - SELL BUY USD SELL AUD EXCHANGE RATE .949200000 DEAL 09/19/13 VALUE 09/23/13 (ID: OAUDPR-AA-8) GBP EXCHANGE RATE 1.603000000 DEAL 09/19/13 VALUE 09/23/13 (ID: OGBPPR-AA-9) GBP EXCHANGE RATE 1.607100000 DEAL 09/19/13 NZD EXCHANGE RATE .839000000 DEAL 09/19/13 VALUE 09/23/13 (ID: ONZDPR-AA-5) NZD EXCHANGE RATE .839000000 DEAL 09/19/13 NZD EXCHANGE RATE .839500000 DEAL 09/19/13 PROT23 (833,842.30) 839,500.00 (833,842.31) 839,000.00 (833,842.31) 839,000.00 (3,206,499.99) 3,214,200.00 (3,206,499.99) 3,206,000.00 (941,300.00) 949,200.00 (3,500,000.000 ) (2,918,448.08) 2,719,500.00 (1,603,250.00) 1,549,000.00 Quantity Cost (1,862,050.00) Amount 1,834,000.00 Page 13 of 37 PROT24 Type Spot FX 9/25 9/27 9/27 9/30 Spot FX Spot FX Spot FX Total Foreign Exchange - Inflows Type Spot FX 9/3 Description SPOT CURRENCY TRANSACTION - BUY BUY AUD SELL USD EXCHANGE RATE .894370000 DEAL 08/29/13 VALUE 09/03/13 (ID: OAUDPR-AA-8) Page 14 of 37 Quantity Cost 2,000,000.000 1,788,740.00 Description AUD EXCHANGE RATE .941000000 DEAL 09/20/13 VALUE 09/25/13 (ID: OAUDPR-AA-8) GBP EXCHANGE RATE 1.600400000 DEAL 09/20/13 VALUE 09/25/13 (ID: OGBPPR-AA-9) NZD EXCHANGE RATE .836300000 DEAL 09/20/13 VALUE 09/25/13 (ID: ONZDPR-AA-5) AUD CONTRACT RATE : 0.930000000 TRADE 9/10/13 VALUE 9/27/13 (ID: OAUDPR-AA-8) AUD CONTRACT RATE : 0.943000000 TRADE 9/23/13 GBP EXCHANGE RATE 1.604120000 DEAL 09/26/13 VALUE 09/30/13 (ID: OGBPPR-AA-9) PROT25 $31,658,639.12 (2,700.000) (4,320.95) 4,331.12 (931,549.93) 943,000.00 (1,863,099.87) 1,860,000.00 (824,999.96) 836,300.00 (3,213,394.51) 3,200,800.00 Quantity Cost (943,215.24) Amount 941,000.00 Amount (1,788,740.00) PROT26 Type Spot FX 9/3 9/3 9/9 9/11 9/23 [repeated 5 times] Spot FX Spot FX Description SPOT CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.549280000 DEAL 08/29/13 VALUE 09/03/13 (ID: OGBPPR-AA-9) SPOT CURRENCY TRANSACTION - BUY BUY NZD SELL USD EXCHANGE RATE .778090000 DEAL 08/29/13 VALUE 09/03/13 (ID: ONZDPR-AA-5) USD EXCHANGE RATE .917140000 DEAL 09/04/13 VALUE 09/09/13 (ID: OAUDPR-AA-8) USD EXCHANGE RATE .931025000 DEAL 09/10/13 VALUE 09/11/13 (ID: OAUDPR-AA-8) SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.563633000 TRADE 8/21/13 VALUE 9/23/13 (ID: OGBPPR-AA-9) USD EXCHANGE RATE .830850000 DEAL 09/18/13 USD EXCHANGE RATE .837600000 DEAL 09/19/13 USD EXCHANGE RATE .837800000 DEAL 09/19/13 USD EXCHANGE RATE .941300000 DEAL 09/20/13 VALUE 09/23/13 (ID: OAUDPR-AA-8) PROT27 1,000,000.000 941,300.00 (941,300.00) 1,000,000.000 837,800.00 (837,800.00) 1,000,000.000 837,600.00 (837,600.00) 3,500,000.000 2,907,975.00 (2,907,975.00) 1,000,000.000 1,603,249.98 (1,563,633.00) 2,000,000.000 1,862,050.00 (1,862,050.00) 2,000,000.000 1,834,280.00 (1,834,280.00) 3,500,000.000 2,723,315.00 (2,723,315.00) Quantity Cost 1,000,000.000 1,549,280.00 Amount (1,549,280.00) Page 15 of 37 PROT28 Type Spot FX 9/23 9/25 [repeated 6 times] Spot FX Spot FX Spot FX Description USD EXCHANGE RATE 1.600600000 DEAL 09/20/13 USD EXCHANGE RATE .836600000 DEAL 09/20/13 USD EXCHANGE RATE 1.605900000 DEAL 09/23/13 SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.605140000 TRADE 9/18/13 VALUE 9/25/13 (ID: OGBPPR-AA-9) SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.830746000 TRADE 9/18/13 VALUE 9/25/13 (ID: ONZDPR-AA-5) SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.836796000 TRADE 9/18/13 VALUE 9/25/13 (ID: ONZDPR-AA-5) USD EXCHANGE RATE .944130000 DEAL 09/23/13 USD EXCHANGE RATE 1.604900000 DEAL 09/23/13 VALUE 09/25/13 (ID: OGBPPR-AA-9) USD EXCHANGE RATE .943130000 DEAL 09/23/13 PROT29 1,000,000.000 943,130.00 (943,130.00) 4,060.000 6,515.89 (6,515.89) 7,740.000 7,307.57 (7,307.57) 500,000.000 412,499.98 (418,398.00) 500,000.000 412,499.98 (415,373.00) 2,000,000.000 3,213,599.96 (3,210,280.00) 2,000,000.000 3,211,800.00 (3,211,800.00) 1,000,000.000 836,600.00 (836,600.00) Quantity Cost 2,000,000.000 3,201,200.00 Amount (3,201,200.00) Page 16 of 37 PROT30 Type 9/27 9/27 Description SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.921900000 TRADE 9/13/13 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.944290000 TRADE 9/18/13 Total Foreign Exchange - Outflows SECURITIES TRANSFERRED IN/OUT Notes: Securities Transferred In 9/25 Receipt of Assets Description PETROLEOS DE VENEZUELA S 5% OCT 28 2015 DTD 10/28/2009 HELD BY EUROCLEAR ISIN XS0460546525 SEDOL BSBQGP8 (ID: 71668A-9B-9) ($31,907,057.46) 2,000,000.000 1,863,099.87 (1,888,580.00) Quantity Cost 1,000,000.000 931,549.93 Amount (921,900.00) * 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 Cost 2,000,000.000 1,800,000.00 Transaction Market Value * 1,820,000.00 Page 17 of 37 PROT31 PROT32 TRADE ACTIVITY Note: Trade Date Settle Date C indicates Currency Gain/Loss Type Selection Method Description 9/9 9/11 9/19 9/23 Option Buyback NZD PUT USD CALL FX EUROPEAN STYLE OPTION OCT FIFO 24, 2013 @ .8 KO @ 0.84 REPURCHASE OF WRITTEN FX OPTION (ID: XNZDPA-EV-Z) Option Buyback NZD PUT USD CALL FX EUROPEAN STYLE OPTION JAN FIFO 23, 2014 @ .79 KI @ 0.75 REPURCHASE OF WRITTEN FX OPTION (ID: XNZDPA-FA-Z) Total Settled Sales/Maturities/Redemptions ($81,630.00) $121,464.00 $39,834.00 C 5,000,000.000 0.009 (45,030.00) 78,144.00 33,114.00 C Quantity 3,000,000.000 Per Unit Amount 0.012 Proceeds (36,600.00) Cost 43,320.00 Realized Gain/Loss 6,720.00 C Trade Date Settle Date 9/3 9/5 Type Description Write Option PROT33 AUD CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06,2014 @ .92 0.9230 WINDOW KI EXPIRING 13 SEP 13 WRITTEN FX OPTION CALL 5,000,000.00 AUD PUT 4,600,000.00 USD (ID: XAUDCA-FL-Z) 9/10 9/12 9/10 9/12 Write Option AUD PUT USD CALL FX EUROPEAN STYLE OPTION JAN 24, 2014 @ .89 KI @ 0.84 WRITTEN FX OPTION PUT 5,000,000.00 AUD CALL 4,450,000.00 USD (ID: XAUDPA-JF-Z) Write Option NZD PUT USD CALL FX EUROPEAN STYLE OPTION JAN 23, 2014 @ .79 KI @ 0.75 WRITTEN FX OPTION PUT 5,000,000.00 NZD CALL 3,950,000.00 USD (ID: XNZDPA-FA-Z) (5,000,000.000 ) 0.016 78,144.00 (5,000,000.000 ) 0.01 51,100.00 Quantity (5,000,000.000 ) Per Unit Amount 0.004 Market Cost 18,400.00 Page 18 of 37 PROT34 Trade Date Settle Date 9/11 9/13 9/27 9/30 Type Write Option Description JPY PUT USD CALL FX EUROPEAN STYLE OP FEB 06, 2014 @ 102 KI @ 106 WRITTEN FX OPTION PUT 510,000,000.00 JPY CALL 5,000,000.00 USD (ID: XJPYPB-GD-Z) Purchase Option CHICAGO BOARD OPTIONS EXCHANGE INDEX CALL 10/16/13 @ 16 (ID: 12497K-9L-Z) Total Settled Securities Purchased 10.000 95.536 (955.36) $240,188.64 Quantity (510,000,000.000 ) Per Unit Amount Market Cost 93,500.00 Page 19 of 37 PROT35 Portfolio Activity Summary - Australia Dollar US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -10,171,457.37 $10,171,457.37 Foreign Exchange - Outflows TRADE ACTIVITY Total Trade Activity (67,093.72) 59,783.68 ($7,310.04) -(67,093.72) 59,783.68 ($7,310.04) -(71,040.00) 63,300.00 (7,740.00) 0.00 Year to date information is calculated on a calendar year basis. assets (71,040.00) 63,300.00 (7,740.00) -(10,169,919.80) ($10,169,919.80) Year-To-Date Value* -12,868,657.37 $12,868,657.37 (12,863,455.80) ($12,863,455.80) Local Value Current PROT36 Period Value 0.00 11,007,740.00 11,007,740.00 (11,000,000.00) (11,000,000.00) Year-To-Date Value* -14,007,740.00 14,007,740.00 (14,000,000.00) (14,000,000.00) Page 20 of 37 PROT37 Portfolio Activity Detail - Australia Dollar INFLOWS & OUTFLOWS Type Spot FX 9/3 9/9 9/11 9/23 9/25 9/25 9/27 9/27 Spot FX [repeated 5 times] Total Foreign Exchange - Inflows Description USD EXCHANGE RATE .894370000 DEAL 08/29/13 VALUE 09/03/13 (ID: OAUDPR-AA-8) USD EXCHANGE RATE .917140000 DEAL 09/04/13 VALUE 09/09/13 (ID: OAUDPR-AA-8) USD EXCHANGE RATE .931025000 DEAL 09/10/13 VALUE 09/11/13 (ID: OAUDPR-AA-8) USD EXCHANGE RATE .941300000 DEAL 09/20/13 VALUE 09/23/13 (ID: OAUDPR-AA-8) USD EXCHANGE RATE .944130000 DEAL 09/23/13 USD EXCHANGE RATE .943130000 DEAL 09/23/13 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.921900000 TRADE 9/13/13 SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL USD CONTRACT RATE : 0.944290000 TRADE 9/18/13 $10,171,457.37 Page 21 of 37 PROT38 $0.00 (1,888,580.000 ) 1,863,099.87 2,000,000.00 (921,900.000) 931,549.93 1,000,000.00 (943,130.000) 943,130.00 1,000,000.00 (7,307.570) 7,307.57 7,740.00 (941,300.000) 941,300.00 1,000,000.00 (1,862,050.000 ) 1,862,050.00 2,000,000.00 (1,834,280.000 ) 1,834,280.00 2,000,000.00 Quantity (1,788,740.000 ) Amount USD Local Value 1,788,740.00 2,000,000.00 Currency Gain/Loss USD PROT39 Type 9/3 9/9 9/11 9/23 9/25 9/27 9/27 Spot FX Spot FX Description AUD CONTRACT RATE : 0.901000000 TRADE 8/22/13 VALUE 9/03/13 (ID: OAUDPR-AA-8) AUD CONTRACT RATE : 0.894000000 TRADE 8/29/13 VALUE 9/09/13 (ID: OAUDPR-AA-8) AUD CONTRACT RATE : 0.917000000 TRADE 9/04/13 VALUE 9/11/13 (ID: OAUDPR-AA-8) AUD EXCHANGE RATE .949200000 DEAL 09/19/13 VALUE 09/23/13 (ID: OAUDPR-AA-8) AUD EXCHANGE RATE .941000000 DEAL 09/20/13 AUD CONTRACT RATE : 0.930000000 TRADE 9/10/13 AUD CONTRACT RATE : 0.943000000 TRADE 9/23/13 Total Foreign Exchange - Outflows ($10,169,919.80) $39,714.47 943,000.000 (931,549.93) (1,000,000.00) 1,860,000.000 (1,863,099.87) (2,000,000.00) 941,000.000 PROT40 (941,000.00) (1,000,000.00) (2,215.24) 949,200.000 (949,200.00) (1,000,000.00) 7,900.00 1,834,000.000 (1,862,050.00) (2,000,000.00) 1,049.87 1,788,000.000 (1,834,280.00) (2,000,000.00) 9,519.93 Quantity 1,802,000.000 Amount USD Local Value (1,788,740.00) (2,000,000.00) Currency Gain/Loss USD 23,459.91 Page 22 of 37 PROT41 TRADE ACTIVITY - Australia Dollar C indicates Currency Gain/Loss Note: Per Unit Trade Date Settle Date Type Selection Method Description 9/23 9/25 FIFO Quantity Option Buyback AUD CALL USD PUT FX EUROPEAN STYLE OPTION FEB 2,000,000.000 06,2014 @ .92 0.9230 WINDOW KI EXPIRING 13 SEP 13 OPTION KNOCKEDIN REPURCHASE OF WRITTEN FX OPTION (ID: XAUDCA-FL-Z) Amount USD Local Value 0.034 Proceeds USD Local Value (67,093.72) (71,040.00) Cost USD Realized Local Value Gain/Loss USD 7,360.00 (59,733.72) C Per Unit Market Trade Date Settle Date 9/23 9/25 9/23 9/25 Type Sale Description AUD CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06,2014 @ .92 0.9230 WINDOW KI EXPIRING 13 SEP 13 OPTION KNOCKEDIN REPURCHASE OF WRITTEN FX OPTION (ID: OAUDPR-AA-8) Write Option AUD CALL USD PUT FX EUROPEAN STYLE OPTION FEB (5,000,000.000 ) 06, 2014 @ .95 [email protected] [email protected] WRITTEN FX OPTION CALL 5,000,000.00 AUD PUT 4,750,000.00 PROT42 USD (ID: XAUDCA-FO-Z) Total Settled Securities Purchased (USD) $59,783.68 $87.71 0.012 1.266 59,783.68 63,300.00 Quantity (71,040.000) Amount USD Local Value Cost USD Local Value Currency Gain/Loss USD 87.71 Page 23 of 37 PROT43 Portfolio Activity Summary - Japanese Yen US Dollar Value Current Transactions INFLOWS Total Inflows $0.00 OUTFLOWS ** Total Outflows $0.00 -Period Value -Year-To-Date Value* -3,900,000.00 $3,900,000.00 (3,917,628.93) ($3,917,628.93) -Local Value Current Period Value 0.00 Year-To-Date Value* -0.00 381,342,000.00 381,342,000.00 0.00 0.00 Year to date information is calculated on a calendar year basis. assets (381,342,000.00) (381,342,000.00) -Page 24 of 37 PROT44 Portfolio Activity Detail - Japanese Yen TRADE ACTIVITY - Japanese Yen Note: C indicates Currency Gain/Loss Per Unit Trade Date Settle Date 9/3 9/3 Type Selection Method Description Expired Option High Cost Quantity JPY CALL USD PUT FX EUROPEAN STYLE OPTION FEB 285,000,000.000 06, 2014 @ 95. KO @ 99.35 EXPIRATION OF WRITTEN FX OPTION OPTION KNOCKED OUT (ID: XJPYCA-VC-Z) Amount USD Local Value Proceeds USD Local Value Cost USD Realized Local Value Gain/Loss USD 28,200.00 28,200.00 C Page 25 of 37 PROT45 Portfolio Activity Summary - N Zealand Dollar US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -8,968,289.96 $8,968,289.96 Foreign Exchange - Outflows (8,995,563.08) ($8,995,563.08) -Year-To-Date Value* -15,521,884.96 $15,521,884.96 (15,555,644.08) ($15,555,644.08) -Local Value Current Period Value 0.00 11,000,000.00 11,000,000.00 (11,000,000.00) (11,000,000.00) 0.00 * Year to date information is calculated on a calendar year basis. assets Year-To-Date Value* -19,300,000.00 19,300,000.00 (19,300,000.00) (19,300,000.00) -Page 26 of 37 PROT46 Portfolio Activity Detail - N Zealand Dollar INFLOWS & OUTFLOWS Type Spot FX 9/3 9/23 9/25 9/25 Spot FX Total Foreign Exchange - Inflows Description USD EXCHANGE RATE .778090000 DEAL 08/29/13 VALUE 09/03/13 (ID: ONZDPR-AA-5) USD EXCHANGE RATE .830850000 DEAL 09/18/13 USD EXCHANGE RATE .837600000 DEAL 09/19/13 USD EXCHANGE RATE .837800000 DEAL 09/19/13 USD EXCHANGE RATE .836600000 DEAL 09/20/13 SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.830746000 TRADE 9/18/13 VALUE 9/25/13 (ID: ONZDPR-AA-5) SETTLE FORWARD CURRENCY CONTRACT BUY NZD SELL USD CONTRACT RATE : 0.836796000 TRADE 9/18/13 VALUE 9/25/13 (ID: ONZDPR-AA-5) $8,968,289.96 $0.00 (418,398.000) 412,499.98 500,000.00 (415,373.000) 412,499.98 PROT47 500,000.00 (836,600.000) 836,600.00 1,000,000.00 (837,800.000) 837,800.00 1,000,000.00 (837,600.000) 837,600.00 1,000,000.00 (2,907,975.000 ) 2,907,975.00 3,500,000.00 Quantity (2,723,315.000 ) Amount USD Local Value 2,723,315.00 3,500,000.00 Currency Gain/Loss USD Page 27 of 37 PROT48 Type 9/3 9/3 9/23 9/25 Spot FX Description NZD CONTRACT RATE : 0.783000000 TRADE 8/22/13 VALUE 9/03/13 (ID: ONZDPR-AA-5) NZD CONTRACT RATE : 0.777095000 TRADE 8/28/13 VALUE 9/03/13 (ID: ONZDPR-AA-5) NZD CONTRACT RATE : 0.777000000 TRADE 8/29/13 VALUE 9/23/13 (ID: ONZDPR-AA-5) NZD EXCHANGE RATE .839000000 DEAL 09/19/13 NZD EXCHANGE RATE .839000000 DEAL 09/19/13 NZD EXCHANGE RATE .839500000 DEAL 09/19/13 NZD EXCHANGE RATE .836300000 DEAL 09/20/13 VALUE 09/25/13 (ID: ONZDPR-AA-5) Total Foreign Exchange - Outflows ($8,995,563.08) $45,884.60 836,300.000 (836,300.00) (1,000,000.00) 11,300.04 839,500.000 (839,500.00) (1,000,000.00) PROT49 5,657.70 839,000.000 (839,000.00) (1,000,000.00) 5,157.69 839,000.000 (839,000.00) (1,000,000.00) 5,157.69 2,719,500.000 (2,918,448.08) (3,500,000.00) 11,401.76 777,095.000 (778,090.00) (1,000,000.00) 2,059.92 Quantity 1,957,500.000 Amount USD Local Value (1,945,225.00) (2,500,000.00) Currency Gain/Loss USD 5,149.80 Page 28 of 37 PROT50 Portfolio Activity Summary - Pound Sterling US Dollar Value Current Transactions INFLOWS Total Inflows OUTFLOWS ** Total Outflows Period Value -12,785,645.83 $12,785,645.83 Foreign Exchange - Outflows TRADE ACTIVITY Total Trade Activity 4,320.95 (6,509.19) ($2,188.24) -4,320.95 (6,509.19) ($2,188.24) -2,700.00 (4,060.00) (1,360.00) 0.00 Year to date information is calculated on a calendar year basis. assets 2,700.00 (4,060.00) (1,360.00) -(12,777,861.12) ($12,777,861.12) Year-To-Date Value* -12,785,645.83 $12,785,645.83 (12,777,861.12) ($12,777,861.12) Local Value Current PROT51 Period Value 0.00 8,004,060.00 8,004,060.00 (8,002,700.00) (8,002,700.00) Year-To-Date Value* -8,004,060.00 8,004,060.00 (8,002,700.00) (8,002,700.00) Page 29 of 37 PROT52 Portfolio Activity Detail - Pound Sterling INFLOWS & OUTFLOWS Type Spot FX 9/3 9/23 9/25 9/25 Spot FX Spot FX Spot FX Total Foreign Exchange - Inflows Description USD EXCHANGE RATE 1.549280000 DEAL 08/29/13 VALUE 09/03/13 (ID: OGBPPR-AA-9) SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.563633000 TRADE 8/21/13 VALUE 9/23/13 (ID: OGBPPR-AA-9) USD EXCHANGE RATE 1.600600000 DEAL 09/20/13 USD EXCHANGE RATE 1.605900000 DEAL 09/23/13 SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.605140000 TRADE 9/18/13 VALUE 9/25/13 (ID: OGBPPR-AA-9) USD EXCHANGE RATE 1.604900000 DEAL 09/23/13 VALUE 09/25/13 (ID: OGBPPR-AA-9) $12,785,645.83 $0.00 (6,515.890) 6,515.89 4,060.00 (3,210,280.000 ) 3,213,599.96 2,000,000.00 (3,211,800.000 ) 3,211,800.00 2,000,000.00 (3,201,200.000 ) PROT53 3,201,200.00 2,000,000.00 (1,563,633.000 ) 1,603,249.98 1,000,000.00 Quantity (1,549,280.000 ) Amount USD Local Value 1,549,280.00 1,000,000.00 Currency Gain/Loss USD Page 30 of 37 PROT54 Type 9/3 9/23 9/25 9/30 Spot FX Description GBP CONTRACT RATE : 1.559213000 TRADE 8/22/13 VALUE 9/03/13 (ID: OGBPPR-AA-9) GBP CONTRACT RATE : 1.549000000 TRADE 8/29/13 VALUE 9/23/13 (ID: OGBPPR-AA-9) GBP EXCHANGE RATE 1.603000000 DEAL 09/19/13 GBP EXCHANGE RATE 1.607100000 DEAL 09/19/13 GBP EXCHANGE RATE 1.600400000 DEAL 09/20/13 VALUE 09/25/13 (ID: OGBPPR-AA-9) GBP EXCHANGE RATE 1.604120000 DEAL 09/26/13 VALUE 09/30/13 (ID: OGBPPR-AA-9) Total Foreign Exchange - Outflows ($12,777,861.12) ($1,514.38) 4,331.120 (4,331.12) (2,700.00) 10.17 3,200,800.000 (3,200,800.00) (2,000,000.00) (12,594.51) 3,214,200.000 (3,214,200.00) (2,000,000.00) 7,700.01 PROT55 3,206,000.000 (3,206,000.00) (2,000,000.00) (499.99) 1,549,000.000 (1,603,250.00) (1,000,000.00) (0.02) Quantity 1,559,213.000 Amount USD Local Value (1,549,280.00) (1,000,000.00) Currency Gain/Loss USD 3,869.96 Page 31 of 37 PROT56 TRADE ACTIVITY - Pound Sterling C indicates Currency Gain/Loss Note: Per Unit Trade Date Settle Date Type Selection Method Description 9/23 9/25 9/23 9/26 FIFO Option Buyback ENTRY REVERSED ON 09/26/2013 GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION KNOCKED IN REPURCHASE OF WRITTEN FX OPTION (ID: XGBPCA-OV-Z) Option Buyback TO REVERSE ENTRY OF 09/25/2013 GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06, 2014 @ 1.57 KI High Cost @ 1.585 KO @ 1.53 OPTION KNOCKED IN REPURCHASE OF WRITTEN FX OPTION AS OF 09/25/13 (ID: XGBPCA-OV-Z) 9/26 9/30 9/26 9/30 Option Buyback GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 2,000,000.000 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION FIFO KNOCKED IN REPURCHASE OF WRITTEN FX OPTION (ID: XGBPCA-OV-Z) Sell Option FIFO GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB (2,000,000.000 ) 06, 2014 @ 1.57 RESALE OF PURCHASED FX OPTION (ID: XGBPCA-OY-Z) Total Settled Sales/Maturities/Redemptions (USD) 0.049 98,485.54 61,540.00 $4,320.95 (98,664.00) (61,540.00) ($78,725.00) (178.46) C ($74,404.05) C PROT57 0.047 (94,164.59) (58,840.00) 19,939.00 (74,225.59) C 0.049 98,664.00 61,540.00 (19,939.00) 78,725.00 C Quantity 2,000,000.000 Amount USD Local Value 0.049 Proceeds USD Local Value (98,664.00) (61,540.00) Cost USD Realized Local Value Gain/Loss USD 19,939.00 (78,725.00) C Page 32 of 37 PROT58 Per Unit Trade Date Settle Date 9/23 9/25 9/23 9/25 9/23 9/25 9/23 9/26 Type Write Option Description Quantity GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB (3,000,000.000 ) 06, 2014 @ 1.595 [email protected] [email protected] WRITTEN FX OPTION CALL 3,000,000.00 GBP PUT 4,785,000.00 USD (ID: XGBPCA-OX-Z) Write Option GBP PUT USD CALL FX EUROPEAN STYLE OPTION FEB (3,000,000.000 ) 06, 2014 @ 1.58 [email protected] [email protected] WRITTEN FX OPTION PUT 3,000,000.00 GBP CALL 4,740,000.00 USD (ID: XGBPPA-MH-Z) Sale ENTRY REVERSED ON 09/26/2013 GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION KNOCKED IN REPURCHASE OF WRITTEN FX OPTION (ID: OGBPPR-AA-9) Sale TO REVERSE ENTRY OF 09/25/2013 GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION KNOCKED IN REPURCHASE OF WRITTEN FX OPTION AS OF 09/25/13 (ID: OGBPPR-AA-9) 9/23 9/26 9/26 9/30 Purchase Option GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 2,000,000.000 06, 2014 @ 1.57 PURCHASED FX OPTION CALL 2,000,000.00 GBP PUT 3,140,000.00 USD AS OF 09/25/13 (ID: XGBPCA-OY-Z) Sale GBP CALL USD PUT FX EUROPEAN STYLE OPTION FEB 06, 2014 @ 1.57 KI @ 1.585 KO @ 1.53 OPTION KNOCKED IN REPURCHASE OF WRITTEN FX OPTION (ID: OGBPPR-AA-9) PROT59 Total Settled Securities Purchased (USD) ($6,509.19) ($212.15) (58,840.000) 0.049 3.077 (98,664.00) (61,540.00) (212.15) 61,540.000 212.15 (61,540.000) (212.15) 0.011 0.704 33,860.64 21,120.00 Amount USD Local Value 0.019 1.212 Market Cost USD Local Value 58,294.17 36,360.00 Currency Gain/Loss USD Page 33 of 37 PROT60 SOUTHERN TRUST COMPANY, INC ACCT. I Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Trade Related U S DOLLAR POUND STERLING U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR POUND STERLING U S DOLLAR Speculative U S DOLLAR Aug. 28 13 Sep. 3 13 NZD USD (1,000,000.00) 777,095.00 0.777095 0.778090 777,095.00 (778,090.00) Page 34 of 37 (995 00) Sep. 19 13 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 19 13 PROT61 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 25 13 Sep. 23 13 Sep. 25 13 Sep. 26 13 Sep. 30 13 AUD USD GBP USD GBP USD NZD USD NZD USD NZD USD GBP USD AUD USD GBP USD GBP USD (1,000,000 00) 949,200.00 (2,000,000.00) 3,206,000.00 (2,000,000.00) 3,214,200.00 (1,000,000.00) 839,000.00 (1,000,000.00) 839,000.00 (1,000,000.00) 839,500.00 2,000,000.00 (3,211,800.00) 7,740.00 (7,307.57) 4,060.00 (6,515.89) (2,700.00) 4,331.12 PROT62 0.949200 1.603000 1.607100 0.839000 0.839000 0.839500 1.605900 0.944130 1.604900 1.604120 0.941300 1.603250 1.603250 0.833842 1.605900 0.944130 1.604900 1.600352 949,200.00 3,206,000.00 3,214,200.00 839,000.00 839,000.00 839,500.00 (3,211,800.00) (7,307.57) (6,515.89) 4,331.12 (941,300.00) (3,206,499.99) (3,206,499.99) (833,842.31) (833,842.31) (833,842.30) 3,211,800.00 7,307.57 6,515.89 (4,320.95) 10.17 7,900.00 (499.99) 7,700.01 5,157.69 5,157.69 5,657.70 Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD PROT63 Revalued Amount USD Currency G/L PROT64 Trade Date Speculative U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR Sep. 10 13 Sep. 11 13 Aug. 21 13 Sep. 23 13 Sep. 18 13 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 19 13 Sep. 23 13 Sep. 20 13 Sep. 23 13 Sep. 20 13 Sep. 23 13 Sep. 20 13 Sep. 23 13 Sep. 18 13 Sep. 25 13 Sep. 18 13 Sep. 25 13 Sep. 18 13 PROT65 Sep. 25 13 Sep. 20 13 Sep. 25 13 Sep. 20 13 Sep. 25 13 AUD USD GBP USD NZD USD NZD USD NZD USD AUD USD GBP USD NZD USD GBP USD NZD USD NZD USD AUD USD GBP USD 2,000,000.00 (1,862,050.00) 1,000,000.00 (1,563,633.00) 3,500,000.00 (2,907,975.00) 1,000,000.00 (837,600.00) 1,000,000.00 (837,800.00) 1,000,000.00 (941,300.00) 2,000,000.00 (3,201,200.00) 1,000,000.00 (836,600.00) 2,000,000.00 (3,210,280.00) 500,000.00 (415,373.00) PROT66 500,000.00 (418,398.00) (1,000,000.00) 941,000.00 (2,000,000.00) 3,200,800.00 0.931025 1.563633 0.830850 0.837600 0.837800 0.941300 1.600600 0.836600 1.605140 0.830746 0.836796 0.941000 1.600400 0.931025 1.603250 0.830850 0.837600 0.837800 0.941300 1.600600 0.836600 1.606800 0.825000 0.825000 0.943215 1.606697 (1,862,050.00) (1,563,633.00) (2,907,975.00) (837,600.00) (837,800.00) (941,300.00) (3,201,200.00) (836,600.00) (3,210,280.00) (415,373.00) (418,398.00) 941,000.00 3,200,800.00 1,862,050.00 1,603,249.98 2,907,975.00 837,600.00 837,800.00 941,300.00 PROT67 3,201,200.00 836,600.00 3,213,599.96 412,499.98 412,499.98 (943,215.24) (3,213,394.51) 3,319.96 (2,873.02) (5,898.02) (2,215.24) (12,594.51) 39,616.98 Currency Settle Date Counter Currency Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L Page 35 of 37 PROT68 Trade Date Speculative U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR Hedge U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR Aug. 22 13 Sep. 3 13 Aug. 22 13 Sep. 3 13 Aug. 22 13 Sep. 3 13 Aug. 29 13 Sep. 3 13 Aug. 29 13 Sep. 3 13 Aug. 29 13 Sep. 3 13 Aug. 29 13 Sep. 9 13 Sep. 4 13 Sep. 9 13 AUD USD GBP USD NZD USD PROT69 AUD USD GBP USD NZD USD AUD USD AUD USD (2,000,000.00) 1,802,000.00 (1,000,000.00) 1,559,213.00 (2,500,000.00) 1,957,500.00 2,000,000.00 (1,788,740.00) 1,000,000.00 (1,549,280.00) 3,500,000.00 (2,723,315.00) (2,000,000.00) 1,788,000.00 2,000,000.00 (1,834,280.00) 0.901000 1.559213 0.783000 0.894370 1.549280 0.778090 0.894000 0.917140 0.894370 1.549280 0.778090 0.894370 1.549280 0.778090 0.917140 0.917140 1,802,000.00 1,559,213.00 1,957,500.00 (1,788,740.00) (1,549,280.00) (2,723,315.00) 1,788,000.00 (1,834,280.00) (1,788,740.00) PROT70 (1,549,280.00) (1,945,225.00) 1,788,740.00 1,549,280.00 2,723,315.00 (1,834,280.00) 1,834,280.00 Page 36 of 37 (46,280.00) 13,260.00 9,933.00 12,275.00 Sep. 20 13 Sep. 25 13 Sep. 10 13 Sep. 27 13 Sep. 13 13 Sep. 27 13 Sep. 18 13 Sep. 27 13 NZD USD AUD USD AUD USD AUD USD (1,000,000.00) 836,300.00 (2,000,000.00) 1,860,000.00 1,000,000.00 (921,900.00) 2,000,000.00 (1,888,580.00) 0.836300 0.930000 0.921900 0.944290 0.825000 0.931550 836,300.00 1,860,000.00 (921,900.00) (1,888,580.00) (824,999.96) (1,863,099.87) 931,549.93 PROT71 1,863,099.87 11,300.04 (3,099.87) 9,649.93 (25,480.13) Currency Settle Date Counter Currency Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L PROT72 Trade Date Hedge U S DOLLAR POUND STERLING U S DOLLAR U S DOLLAR U S DOLLAR U S DOLLAR Sep. 4 13 Sep. 11 13 Aug. 29 13 Sep. 23 13 Aug. 29 13 Sep. 23 13 Sep. 23 13 Sep. 25 13 Sep. 23 13 Sep. 27 13 AUD USD GBP USD NZD USD AUD USD AUD USD (2,000,000.00) 1,834,000.00 (1,000,000.00) 1,549,000.00 (3,500,000.00) 2,719,500.00 1,000,000.00 (943,130.00) (1,000,000.00) 943,000.00 0.917000 1.549000 0.777000 0.943130 0.943000 0.931025 1.603250 PROT73 0.833842 0.943130 0.931550 1,834,000.00 1,549,000.00 2,719,500.00 (943,130.00) 943,000.00 (1,862,050.00) (1,603,250.00) (2,918,448.08) 943,130.00 (931,549.93) 11,450.07 (28,050.00) (54,250.00) (198,948.08) Currency Settle Date Counter Currency Amount Counter Amount Contract Rate Revaluation Rate Contracted Base Amount USD Revalued Amount USD Currency G/L Page 37 of 37 PROT74 THIS PAGE INTENTIONALLY LEFT BLANK PROT75 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 PROT76 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 PROT77 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, PROT78 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 PROT79 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. PROT80 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 PROT81 PROT82