EFTA Document EFTA01573161

GHISLAINE MAXWELL PROT0 PROT1 JPMorgan Chase Bank, N.A. GHISLAINE MAXWELL-HY 270 Park Avenue, New York, NY 10017-2014 ACCT. For the Period 7/1/11 to 7/31/11 Investment Management Account J.P. Morgan Team Paul Morris Ian Hirschfield Janet Young Gina Swetra Online access Banker Investment Specialist Client Service Team Client Service Team www.MorganOnline.com For important information regarding your accounts refer to the rear of your statement Table of Contents Account Summary Page 2 Holdings Cash & Fixed Income Portfolio Activity 4 15 0000023482.15.0.15.00001.MAXEW00.20110802 Page 1 of 35 PROT2 GHISLAINE MAXWELL-HY ACCT. Account Summary Asset Allocation Market Value Accruals Market Value with Accruals Beginning Market Value 1,000,000.00 $1,000,000.00 2.47 $1,000,002.47 Ending Market Value 985,411.28 $985,411.28 18,052.73 $1,003,464.01 Current Portfolio Activity Beginning Market Value Contributions Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals $0.00 (14,372.52) (216.20) $985,411.28 18,052.73 $1,003,464.01 Period Value 1,000,000.00 Change In Value (14,588.72) ($14,588.72) 18,050.26 $3,461.54 Year-to-Date Value 0.00 1,000,000.00 $1,000,000.00 (14,372.52) (216.20) PROT3 $985,411.28 18,052.73 $1,003,464.01 Estimated 70,869.78 $70,869.78 Current Annual Income Allocation 100% 100% Page 2 of 35 PROT4 Account Summary Tax Summary Interest Income Accrued Interest Current Year Accrued Interest Subsequent Year Taxable Income CONTINUED Current Period Value 2,359.35 (16,587.03) (144.84) ($14,372.52) Year-to-Date Value 2,359.35 (16,587.03) (144.84) ($14,372.52) Unrealized Gain/Loss To-Date Value ($216.20) Cost Summary 985,627.48 Cost Total $985,627.48 Page 3 of 35 PROT5 Cash & Fixed Income Summary Beginning Asset Categories Cash US Fixed Income Total Value Market Value/Cost Market Value Tax Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield SUMMARY BY MATURITY 1 0-6 months 1-5 years, 5-10 years, 10+ years, Total Value 1 Market Value 1,000,000.00 0.00 $1,000,000.00 Ending Market Value 10,946.53 974,464.75 $985,411.28 Current Period Value 985,411.28 985,627.48 (216.20) 70,869.78 18,052.73 6.44% Cash & Fixed Income as a percentage of your portfolio 100% SUMMARY BY TYPE Market Value 27,296.53 167,168.30 711,098.25 79,848.20 $985,411.28 % of Bond PROT6 Portfolio 2% 16% 74% 8% 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 Corporate Bonds International Bonds Total Value Market Value 10,946.53 963,864.75 10,600.00 $985,411.28 % of Bond Portfolio 1% 98% 1% 100% Change In Value (989,053.47) 974,464.75 ($14,588.72) Current Allocation 1% 99% 100% Cash Asset Categories Page 4 of 35 PROT7 Note: 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 AMERICAN GENERAL FINANCE MEDIUM TERM NOTES 5.85% JUN 1 2013 DTD 6/12/2006 02635P-TD-5 B /B3 FORD MOTOR CREDIT CO NOTES 7% OCT 1 2013 DTD 9/23/2003 345397-TZ-6 BB- /BA2 VERSO PAPER HLDGS LLC IN 11 1/2% JUL 01 2014 DTD 01/01/2010 92532B-AB-5 BB- /BA2 LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 526057-AS-3 B+ /B3 99.00 10,000.00 9,900.00 9,905.00 (5.00) 560.00 93.33 5.89% 106.25 25,000.00 26,562.50 26,812.50 (250.00) 2,875.00 239.57 9.01% 107.53 10,000.00 10,753.30 10,775.00 (21.70) 700.00 PROT8 233.33 3.36% 99.20 20,000.00 19,840.00 20,000.00 (160.00) 1,170.00 195.00 6.31% 1.00 10,946.53 [repeated 3 times] 3.28 9.49 0.03% Quantity Value Adjusted Tax Cost Original Cost Unrealized Gain/Loss Est. Annual Income Yield Page 5 of 35 PROT9 Price COMMUNITY HEALTH SYSTEMS 8 7/8% JUL 15 2015 DTD 07/25/2007 12543D-AF-7 B /B3 D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 23331A-AZ-2 BB- /BA3 HEALTH MANAGEMENT ASSOCIATION 6 1/8% APR 15 2016 DTD 04/21/2006 421933-AH-5 BB- /NA STEEL DYNAMICS INC 7.75% APR 15 2016 DTD 04/03/2008 858119-AN-0 BB+ /BA2 SUPERVALU INC 8% MAY 01 2016 DTD 05/07/2009 868536-AT-0 B /B2 CRICKET COMMUNICATIONS INC 7 3/4% MAY 15 2016 DTD 11/15/2009 226566-AK-3 B+ /BA2 GOODYEAR TIRE & RUBBER C 10 1/2% MAY 15 2016 DTD 05/11/2009 382550-AZ-4 B+ /B1 112.63 10,000.00 11,262.50 11,275.00 (12.50) 1,050.00 221.66 7.32% 106.63 15,000.00 15,993.75 16,050.00 (56.25) 1,162.50 245.41 6.13% 105.75 15,000.00 15,862.50 PROT10 15,862.50 1,162.50 342.28 103.75 10,000.00 10,375.00 10,375.00 800.00 200.00 6.31% 103.50 10,000.00 10,350.00 10,400.00 (50.00) 612.50 180.34 5.27% 104.50 10,000.00 10,450.00 10,495.00 (45.00) 650.00 191.38 5.40% 103.38 15,000.00 15,506.25 15,525.00 (18.75) 1,331.25 59.16 7.86% Quantity Value Original Cost Unrealized Gain/Loss Yield 7.05% Page 6 of 35 PROT11 Price HOST HOTELS & RESORTS LP 6 3/4% JUN 01 2016 DTD 04/04/2006 44108E-BA-5 BB+ /BA1 SEAGATE TECHNOLOGY HDD H SR NOTES 6.80% OCT 1 2016 DTD 9/20/2006 81180R-AE-2 BB+ /BA1 HANESBRANDS INC 8% DEC 15 2016 DTD 12/10/2009 410345-AF-9 BB- /B1 RITE AID CORP 7 1/2% MAR 01 2017 DTD 02/21/2007 767754-BL-7 B- /CAA JARDEN CORP SR SUB NOTES 7 1/2% MAY 1 2017 DTD 2/13/2007 471109-AB-4 B /B2 CONSTELLATION BRANDS INC 7 1/4% MAY 15 2017 DTD 11/15/2007 21036P-AF-5 BB+ /BA2 INGLES MARKETS INC 8 7/8% MAY 15 2017 DTD 05/12/2009 457030-AG-9 BB- /B1 109.50 15,000.00 16,425.00 16,500.00 (75.00) 1,087.50 229.57 107.50 10,000.00 10,750.00 10,775.00 (25.00) 887.50 187.36 5.32% 104.63 10,000.00 10,462.50 10,487.50 PROT12 (25.00) 750.00 187.50 6.52% 102.00 20,000.00 20,400.00 20,150.00 250.00 1,500.00 625.00 7.06% 106.00 10,000.00 10,600.00 10,600.00 680.00 226.66 109.88 10,000.00 10,987.50 10,825.00 162.50 800.00 102.22 5.45% 103.13 10,000.00 10,312.50 10,375.00 (62.50) 675.00 112.50 5.99% Quantity Value Original Cost Unrealized Gain/Loss Yield 5.83% 7.26% Page 7 of 35 PROT13 Price RRI ENERGY INC 7 7/8% JUN 15 2017 DTD 06/13/2007 74971X-AC-1 B /B3 SERVICE CORP INTL 7% JUN 15 2017 DTD 06/15/2006 MULTI CPN 817565-BF-0 BB- /BA3 SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 832248-AQ-1 B+ /B3 PINNACLE ENTERTAINMENT 8 5/8% AUG 01 2017 DTD 02/01/2010 723456-AK-5 BB /B1 CHESAPEAKE ENERGY CORP 6 1/2% AUG 15 2017 DTD 8/16/2005 165167-BS-5 BB+ /BA3 CCO HLDGS LLC CAP CORP 7 1/4% OCT 30 2017 DTD 09/27/2010 1248EP-AQ-6 BB- /B1 WINDSTREAM CORP 7 7/8% NOV 01 2017 DTD 10/08/2009 97381W-AJ-3 B+ /BA3 106.88 20,000.00 21,375.00 21,450.00 (75.00) 1,575.00 393.74 6.52% 105.50 15,000.00 15,825.00 15,825.00 1,087.50 274.89 6.17% 108.75 15,000.00 16,312.50 PROT14 15,975.00 337.50 975.00 449.58 4.81% 108.75 10,000.00 10,875.00 10,850.00 25.00 862.50 433.64 6.82% 105.75 10,000.00 10,575.00 10,475.00 100.00 775.00 64.58 6.56% 108.50 20,000.00 21,700.00 21,700.00 1,400.00 178.88 5.30% Quantity Value Original Cost Unrealized Gain/Loss Yield 100.50 25,000.00 25,125.00 25,187.50 (62.50) 1,968.75 251.55 7.76% Page 8 of 35 PROT15 Price CASCADES INC 7 3/4% DEC 15 2017 DTD 12/03/2009 146900-AG-0 B+ /BA3 CLEAR CHANNEL WORLDWIDE 9 1/4% DEC 15 2017 DTD 06/15/2010 18451Q-AD-0 B /B2 CABLEVISION SYSTEMS CORP SR NOTES 7 3/4% APR 15 2018 DTD 04/15/2010 12686C-AZ-2 B+ /B1 ALLBRITTON COMMUNICATION 8% MAY 15 2018 DTD 04/30/2010 016745-AL-5 B /B2 CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD 07/12/2010 12561E-AK-1 B- /B2 METROPCS WIRELESS INC SR NOTES 7 7/8% SEP 01 2018 DTD 09/21/2010 591709-AK-6 B /B2 FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 35906A-AB-4 BB /BA2 109.75 20,000.00 21,950.00 21,950.00 1,625.00 541.66 6.40% 106.38 15,000.00 15,956.25 16,012.50 (56.25) 1,181.25 492.18 6.73% 110.25 10,000.00 11,025.00 11,050.00 PROT16 (25.00) 1,137.50 50.55 9.34% 102.75 10,000.00 10,275.00 10,300.00 (25.00) 800.00 168.88 7.47% 106.75 10,000.00 10,675.00 10,775.00 (100.00) 775.00 228.19 6.49% 109.25 10,000.00 10,925.00 11,000.00 (75.00) 925.00 118.19 7.40% Quantity Value Original Cost Unrealized Gain/Loss Yield 103.50 10,000.00 10,350.00 10,475.00 (125.00) 775.00 99.02 7.06% Page 9 of 35 PROT17 Price DAVITA INC 6 3/8% NOV 01 2018 DTD 10/20/2010 23918K-AL-2 B /B2 CSC HOLDINGS LLC 8 5/8% FEB 15 2019 DTD 02/12/2009 126307-AC-1 BB /BA3 HCA INC 8 1/2% APR 15 2019 DTD 04/15/2010 404119-BF-5 BB /BA3 SPRINT CAPITAL CORP 6.90% MAY 1 2019 DTD 5/6/99 852060-AG-7 BB- /B1 FOREST OIL CORPORATION 7 1/4% JUN 15 2019 DTD 12/15/2007 346091-AZ-4 BB- /B1 LIMITED BRANDS INC 8 1/2% JUN 15 2019 DTD 12/15/2009 532716-AR-8 BB+ /BA1 DISH DBS CORP 7 7/8% SEP 01 2019 DTD 08/17/2009 25470X-AB-1 BB- /BA3 115.00 20,000.00 23,000.00 23,000.00 1,700.00 217.22 109.88 15,000.00 16,481.25 16,462.50 18.75 1,181.25 492.18 6.07% 104.00 20,000.00 20,800.00 20,400.00 400.00 PROT18 1,450.00 185.26 6.59% 102.25 20,000.00 20,450.00 20,800.00 (350.00) 1,380.00 345.00 6.52% 110.25 20,000.00 22,050.00 22,250.00 (200.00) 1,700.00 500.54 6.77% 114.50 10,000.00 11,450.00 11,425.00 25.00 862.50 397.70 6.19% Quantity Value Original Cost Unrealized Gain/Loss Yield 102.13 10,000.00 10,212.50 10,200.00 12.50 637.50 159.37 6.01% 6.30% Page 10 of 35 PROT19 Price WEYERHAEUSER CO 7 3/8% OCT 01 2019 DTD 10/01/2009 962166-BV-5 BBB /BA1 UNITED RENTALS NORTH AM 9 1/4% DEC 15 2019 DTD 11/17/2009 911365-AU-8 B /B2 PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 723787-AJ-6 BB+ /BA1 NEWFIELD EXPLORATION CO 6 7/8% FEB 01 2020 DTD 01/25/2010 651290-AN-8 BB+ /BA2 LEAR CORP 8 1/8% MAR 15 2020 DTD 03/26/2010 521865-AS-4 BB /BA3 MGM RESORTS INTERNATIONAL 9% MAR 15 2020 DTD 03/15/2011 55303Q-AD-2 B /BA3 BOISE PAPER HDG CO ISSR 8% APR 01 2020 DTD 03/19/2010 09747G-AB-9 BB /B1 105.25 5,000.00 5,262.50 5,312.50 (50.00) 400.00 133.33 7.17% 111.25 15,000.00 16,687.50 16,612.50 75.00 1,350.00 510.00 7.22% 107.75 20,000.00 21,550.00 PROT20 21,450.00 100.00 1,375.00 691.30 109.50 10,000.00 10,950.00 10,945.00 5.00 812.50 306.94 5.71% 115.17 20,000.00 23,034.20 22,800.00 234.20 1,500.00 66.66 5.25% 111.88 15,000.00 16,781.25 16,687.50 93.75 1,387.50 177.28 7.32% Quantity Value Original Cost Unrealized Gain/Loss Yield 116.45 10,000.00 11,645.30 11,509.70 135.60 737.50 245.83 4.90% 6.66% Page 11 of 35 PROT21 Price CONSOL ENERGY INC 8 1/4% APR 01 2020 DTD 10/01/2010 20854P-AF-6 BB /B1 US STEEL CORP SR NOTES 7 3/8% APR 01 2020 DTD 03/19/2010 912909-AF-5 BB /BA2 CF INDUSTRIES INC 7 1/8% MAY 01 2020 DTD 04/23/2010 12527G-AB-9 BB+ /BA1 OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 681904-AM-0 BB /BA3 WYNN LAS VEGAS LLC CORP 7 3/4% AUG 15 2020 DTD 08/04/2010 983130-AR-6 BBB /BA3 NRG ENERGY INC 8 1/4% SEP 01 2020 DTD 03/01/2011 629377-BJ-0 BB- /B1 BALL CORP SR NOTES 6 3/4% SEP 15 2020 DTD 03/22/2010 058498-AP-1 BB+ /BA1 107.00 15,000.00 16,050.00 16,050.00 1,012.50 382.50 5.75% 110.50 10,000.00 11,050.00 10,950.00 100.00 775.00 357.36 103.00 15,000.00 15,450.00 15,637.50 (187.50) PROT22 1,237.50 515.62 6.21% 117.25 10,000.00 11,725.00 11,675.00 50.00 712.50 178.12 109.00 15,000.00 16,350.00 16,320.00 30.00 1,162.50 193.74 4.70% 103.88 15,000.00 15,581.25 15,656.25 (75.00) 1,106.25 368.74 6.77% Quantity Value Original Cost Unrealized Gain/Loss Yield 111.25 15,000.00 16,687.50 16,556.25 131.25 1,237.50 412.50 6.53% 6.40% 7.78% Page 12 of 35 PROT23 Price ARCH COAL INC 7 1/4% OCT 01 2020 DTD 08/09/2010 039380-AC-4 B+ /B1 BE AEROSPACE INC SR NOTES 6 7/8% OCT 01 2020 DTD 09/16/2010 055381-AR-8 BB /BA3 ENERGY TRANSFER EQUITY 7 1/2% OCT 15 2020 DTD 09/20/2010 29273V-AC-4 BB- /BA2 INTL LEASE FINANCE CORP 8 1/4% DEC 15 2020 DTD 12/07/2010 459745-GF-6 BBB /B1 AMERIGAS PART FIN CORP SR NOTES 6 1/2% MAY 20 2021 DTD 01/20/2011 030981-AF-1 NA /BA3 IRON MOUNTAIN INC 8 3/8% AUG 15 2021 DTD 08/10/2009 46284P-AM-6 B+ /B1 NAVISTAR INTL CORP SR NOTES 8 1/4% NOV 01 2021 DTD 10/28/2009 63934E-AM-0 BB- /B1 108.75 10,000.00 10,875.00 10,987.50 (112.50) 825.00 206.25 7.04% 107.00 15,000.00 16,050.00 15,900.00 150.00 1,256.25 579.27 7.38% 102.50 15,000.00 15,375.00 PROT24 15,337.50 37.50 975.00 192.28 6.15% 111.25 15,000.00 16,687.50 16,540.00 147.50 1,237.50 158.11 6.62% 107.00 20,000.00 21,400.00 21,450.00 (50.00) 1,500.00 441.66 6.48% 107.50 15,000.00 16,125.00 16,012.50 112.50 1,031.25 343.74 5.81% Quantity Value Original Cost Unrealized Gain/Loss Yield 104.63 15,000.00 15,693.75 15,450.00 243.75 1,087.50 362.49 6.57% Page 13 of 35 PROT25 Price FORD MOTOR COMPANY GLOBAL LANDMARK SECURITIES NOTES 7.45% JUL 16 2031 DTD 7/16/99 345370-CA-6 BB- /BA3 GMAC 8% NOV 01 2031 DTD 12/31/2008 36186C-BY-8 B+ /B1 CAPITAL ONE CAPITAL IV 6.745% FEB 17 2037 DTD 02/05/2007 140422-AA-4 BB /BAA AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 026874-BS-5 BBB /BAA Total US Fixed Income 109.00 15,000.00 16,350.00 16,428.75 (78.75) 1,226.25 258.87 $974,464.75 $974,680.95 ($216.20) $70,866.50 $18,043.24 7.48% 100.50 20,000.00 20,100.00 20,275.00 (175.00) 1,349.00 614.54 6.70% 107.13 20,000.00 21,425.00 21,912.50 (487.50) 1,600.00 400.00 7.32% PROT26 Quantity Value Original Cost Unrealized Gain/Loss Yield 113.98 10,000.00 11,398.20 11,475.00 (76.80) 745.00 31.04 6.22% 6.52% Page 14 of 35 PROT27 Portfolio Activity Summary Beginning Cash Balance Transactions Income INFLOWS (14,227.68) Contributions Total Inflows OUTFLOWS ** Total Outflows Interest Purchased TRADE ACTIVITY Total Trade Activity ($14,227.68) (144.84) ($144.84) Settled Securities Purchased Ending Cash Balance (974,680.95) ($974,680.95) $10,946.53 * 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 (14,227.68) 1,000,000.00 $985,772.32 (144.84) ($144.84) (974,680.95) ($974,680.95) -Current Period Value 1,000,000.00 Year-To-Date Value* -Page 15 of 35 PROT28 Portfolio Activity Detail INFLOWS & OUTFLOWS Type Settle Date Selection Method Income 7/1 7/8 Interest Income Accrued Int Paid Description DEPOSIT SWEEP INTEREST FOR JUNE @ .03% RATE ON NET AVG COLLECTED BALANCE OF $100,000.00 AS OF 07/01/11 FORD MOTOR COMPANY GLOBAL LANDMARK SECURITIES NOTES 7.45% JUL 16 2031 DTD 7/16/99 @ 114.75 BANC OF AMERICA SEC LLC TRADE DATE 07/05/11 FACE VALUE 10,000.00 (ID: 345370-CA-6) 7/8 CHESAPEAKE ENERGY CORP 6 1/2% AUG 15 2017 DTD 8/16/2005 @ 106.50 GREENWICH CAPITAL MARKETS INC TRADE DATE 07/05/11 FACE VALUE 15,000.00 (ID: 165167-BS-5) 7/8 HOST HOTELS & RESORTS LP 6 3/4% JUN 01 2016 DTD 04/04/2006 @ 103.75 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/05/11 FACE VALUE 10,000.00 (ID: 44108E-BA-5) 7/8 7/8 LEAR CORP 8 1/8% MAR 15 2020 DTD 03/26/2010 @ 109.45 BANC OF AMERICA SEC LLC TRADE DATE 07/05/11 FACE VALUE 10,000.00 (ID: 521865-AS-4) WYNN LAS VEGAS LLC CORP 7 3/4% AUG 15 2020 DTD 08/04/2010 @ 109.50 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/05/11 FACE VALUE 10,000.00 (ID: 983130-AR-6) 7/11 SEAGATE TECHNOLOGY HDD H SR NOTES 6.80% OCT 1 2016 DTD 9/20/2006 @ 106.00 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 81180R-AE-2) Page 16 of 35 10,000.000 0.019 PROT29 (188.89) 10,000.000 0.031 (307.85) 10,000.000 0.026 (255.03) 10,000.000 0.007 (69.37) 15,000.000 0.026 (387.29) 10,000.000 0.036 (355.94) Quantity Cost Per Unit Amount Amount 2.47 PROT30 Type Income 7/11 Description METROPCS WIRELESS INC SR NOTES 7 7/8% SEP 01 2018 DTD 09/21/2010 @ 106.75 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 591709-AK-6) 7/11 AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 @ 109.50 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/06/11 FACE VALUE 12,000.00 (ID: 026874-BS-5) 7/11 CF INDUSTRIES INC 7 1/8% MAY 01 2020 DTD 04/23/2010 @ 116.75 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 12527G-AB-9) 7/11 AMERICAN GENERAL FINANCE MEDIUM TERM NOTES 5.85% JUN 1 2013 DTD 6/12/2006 @ 100.00 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 20,000.00 (ID: 02635P-TD-5) 7/11 BE AEROSPACE INC SR NOTES 6 7/8% OCT 01 2020 DTD 09/16/2010 @ 106.75 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 055381-AR-8) 7/11 CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD 07/12/2010 @ 110.50 THE PRINCERIDGE GROUP LLC TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 12561E-AK-1) 7/11 CONSOL ENERGY INC 8 1/4% APR 01 2020 DTD 10/01/2010 @ 110.375 GOLDMAN SACHS & CO. TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 20854P-AF-6) 15,000.000 0.023 (343.75) PROT31 10,000.000 0.056 (556.11) 15,000.000 0.019 (286.46) 20,000.000 0.007 (130.00) 10,000.000 0.014 (138.54) 12,000.000 0.013 (152.60) Quantity Cost 15,000.000 Per Unit Amount 0.028 Amount (426.56) Page 17 of 35 PROT32 Type Income 7/11 Description FORD MOTOR CREDIT CO NOTES 7% OCT 1 2013 DTD 9/23/2003 @ 107.75 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 345397-TZ-6) 7/11 ENERGY TRANSFER EQUITY 7 1/2% OCT 15 2020 DTD 09/20/2010 @ 107.25 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/06/11 FACE VALUE 20,000.00 (ID: 29273V-AC-4) 7/11 INGLES MARKETS INC 8 7/8% MAY 15 2017 DTD 05/12/2009 @ 107.75 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 457030-AG-9) 7/11 7/11 SPRINT CAPITAL CORP 6.90% MAY 1 2019 DTD 5/6/99 @ 104.00 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 20,000.00 (ID: 852060-AG-7) CRICKET COMMUNICATIONS INC 7 3/4% MAY 15 2016 DTD 11/15/2009 @ 107.00 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 226566-AK-3) 7/11 IRON MOUNTAIN INC 8 3/8% AUG 15 2021 DTD 08/10/2009 @ 106.00 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 46284P-AM-6) 7/11 7/11 GMAC 8% NOV 01 2031 GOLDMAN SACHS & CO. VALUE 6,000.00 (ID: GMAC 8% NOV 01 2031 BANC OF AMERICA SEC FACE VALUE 9,000.00 DTD 12/31/2008 @ 109.25 TRADE DATE 07/06/11 FACE 36186C-BY-8) DTD 12/31/2008 @ 109.25 LLC TRADE DATE 07/06/11 (ID: 36186C-BY-8) PROT33 Page 18 of 35 9,000.000 0.016 (140.00) 6,000.000 0.016 (93.33) 15,000.000 0.034 (509.48) 15,000.000 0.012 (180.83) 20,000.000 0.013 (268.33) 10,000.000 0.014 (138.06) 20,000.000 0.018 (358.33) Quantity Cost 10,000.000 Per Unit Amount 0.019 Amount (194.44) PROT34 Type Income 7/11 Description AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 @ 109.625 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/06/11 FACE VALUE 3,000.00 (ID: 026874-BS-5) 7/11 MGM RESORTS INTERNATIONAL 9% MAR 15 2020 DTD 03/15/2011 @ 110.75 BANC OF AMERICA SEC LLC TRADE DATE 07/06/11 FACE VALUE 15,000.00 (ID: 55303Q-AD-2) 7/11 DAVITA INC 6 3/8% NOV 01 2018 DTD 10/20/2010 @ 102.00 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 23918K-AL-2) 7/12 7/12 INTL LEASE FINANCE CORP 8 1/4% DEC 15 2020 DTD 12/07/2010 @ 110.00 SALOMON BROTHERS TRADE DATE 07/06/11 FACE VALUE 4,000.00 (ID: 459745-GF-6) 12/07/2010 @ 110.25 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/07/11 FACE VALUE 4,000.00 (ID: 459745-GF-6) 7/12 FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 @ 109.75 BANC OF AMERICA SEC LLC TRADE DATE 07/07/11 FACE VALUE 20,000.00 (ID: 35906A-AB-4) 7/12 7/12 CSC HOLDINGS LLC 8 5/8% FEB 15 2019 DTD 02/12/2009 @ 114.25 SALOMON BROTHERS TRADE DATE 07/07/11 FACE VALUE 10,000.00 (ID: 126307-AC-1) WINDSTREAM CORP 7 7/8% NOV 01 2017 DTD 10/08/2009 @ 107.25 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/07/11 FACE VALUE 20,000.00 PROT35 (ID: 97381W-A3-3) Page 19 of 35 20,000.000 0.016 (310.62) 10,000.000 0.035 (352.19) 20,000.000 0.023 (455.90) 4,000.000 0.006 (24.75) 4,000.000 0.006 (23.83) 10,000.000 0.012 (123.96) 15,000.000 0.029 (435.00) Quantity Cost 3,000.000 Per Unit Amount 0.013 Amount (38.15) PROT36 Type Income 7/12 Description HANESBRANDS INC 8% DEC 15 2016 DTD 12/10/2009 @ 108.25 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/07/11 FACE VALUE 10,000.00 (ID: 410345-AF-9) 7/12 [repeated 3 times] [repeated 3 times] GMAC 8% NOV 01 2031 DTD 12/31/2008 @ 110.50 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/07/11 FACE VALUE 5,000.00 (ID: 36186C-BY-8) 12/07/2010 @ 110.50 SALOMON BROTHERS TRADE DATE 07/07/11 FACE VALUE 3,000.00 (ID: 459745-GF-6) CCO HLDGS LLC CAP CORP 7 1/4% OCT 30 2017 DTD 09/27/2010 @ 105.50 UBS SECURITIES LLC TRADE DATE 07/07/11 FACE VALUE 15,000.00 (ID: 1248EP-AQ-6) 7/12 NAVISTAR INTL CORP SR NOTES 8 1/4% NOV 01 2021 DTD 10/28/2009 @ 109.875 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/07/11 FACE VALUE 10,000.00 (ID: 63934E-AM-0) 7/12 AMERIGAS PART FIN CORP SR NOTES 6 1/2% MAY 20 2021 DTD 01/20/2011 @ 102.25 RBC CAPITAL MARKETS CORPORATION TRADE DATE 07/07/11 FACE VALUE 15,000.00 (ID: 030981-AF-1) 7/12 FOREST OIL CORPORATION 7 1/4% JUN 15 2019 DTD 12/15/2007 @ 102.00 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/07/11 FACE VALUE 20,000.00 (ID: 346091-AZ-4) 7/12 ARCH COAL INC 7 1/4% OCT 01 2020 DTD 08/09/2010 @ 103.00 BONY/GRIFFIN,KUBIK,STEVENS & THOMS TRADE DATE 07/07/11 FACE VALUE 15,000.00 PROT37 (ID: 039380-AC-4) Page 20 of 35 15,000.000 0.02 (305.10) 20,000.000 0.005 (108.75) 15,000.000 0.009 (140.83) 10,000.000 0.016 (162.71) 15,000.000 0.015 (217.50) 3,000.000 0.006 (18.56) 5,000.000 0.016 (78.89) Quantity Cost 10,000.000 Per Unit Amount 0.006 Amount (60.00) PROT38 Type Income 7/12 Description PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 @ 114.00 CSI US INSTITUTIONAL DESK TRADE DATE 07/07/11 FACE VALUE 20,000.00 (ID: 723787-AJ-6) 7/12 ALLBRITTON COMMUNICATION 8% MAY 15 2018 DTD 04/30/2010 @ 103.00 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/07/11 FACE VALUE 10,000.00 (ID: 016745-AL-5) 7/13 US STEEL CORP SR NOTES 7 3/8% APR 01 2020 DTD 03/19/2010 @ 104.375 BANC OF AMERICA SEC LLC TRADE DATE 07/07/11 FACE VALUE 15,000.00 (ID: 912909-AF-5) 7/13 PINNACLE ENTERTAINMENT 8 5/8% AUG 01 2017 DTD 02/01/2010 @ 108.50 BANC OF AMERICA SEC LLC TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 723456-AK-5) 7/13 CLEAR CHANNEL WORLDWIDE 9 1/4% DEC 15 2017 DTD 06/15/2010 @ 110.00 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 18451Q-AD-0) 7/13 DISH DBS CORP 7 7/8% SEP 01 2019 DTD 08/17/2009 @ 109.75 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/08/11 FACE VALUE 15,000.00 (ID: 25470X-AB-1) 7/13 CASCADES INC 7 3/4% DEC 15 2017 DTD 12/03/2009 @ 104.75 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 146900-AG-0) 10,000.000 0.006 (60.28) PROT39 15,000.000 0.029 (433.13) 10,000.000 0.007 (71.94) 10,000.000 0.039 (388.13) 15,000.000 0.021 (310.36) 10,000.000 0.013 (126.67) Quantity Cost 20,000.000 Per Unit Amount 0.037 Amount (737.50) Page 21 of 35 PROT40 Type Income 7/13 Description BALL CORP SR NOTES 6 3/4% SEP 15 2020 DTD 03/22/2010 @ 107.00 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/08/11 FACE VALUE 15,000.00 (ID: 058498-AP-1) 7/13 GOODYEAR TIRE & RUBBER C 10 1/2% MAY 15 2016 DTD 05/11/2009 @ 112.75 BANC OF AMERICA SEC LLC TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 382550-AZ-4) 7/13 BOISE PAPER HDG CO ISSR 8% APR 01 2020 DTD 03/19/2010 @ 106.25 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/08/11 FACE VALUE 5,000.00 (ID: 09747G-AB-9) 7/13 COMMUNITY HEALTH SYSTEMS 8 7/8% JUL 15 2015 DTD 07/25/2007 @ 103.50 BNP PARIBAS SECURITIES CORP. TRADE DATE 07/08/11 FACE VALUE 15,000.00 (ID: 12543D-AF-7) 7/13 7/13 HCA INC 8 1/2% APR 15 2019 DTD 04/15/2010 @ 111.25 BNP PARIBAS SECURITIES CORP. TRADE DATE 07/08/11 FACE VALUE 20,000.00 (ID: 404119-BF-5) CABLEVISION SYSTEMS CORP SR NOTES 7 3/4% APR 15 2018 DTD 04/15/2010 @ 107.75 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 12686C-AZ-2) 7/13 CAPITAL ONE CAPITAL IV 6.745% FEB 17 2037 DTD 02/05/2007 @ 101.375 BNP PARIBAS SECURITIES CORP. TRADE DATE 07/08/11 FACE VALUE 20,000.00 (ID: 140422-AA-4) 20,000.000 0.027 (547.09) 10,000.000 PROT41 0.019 (189.44) 20,000.000 0.021 (415.56) 15,000.000 0.044 (658.23) 5,000.000 0.023 (113.33) 10,000.000 0.017 (169.17) Quantity Cost 15,000.000 Per Unit Amount 0.022 Amount (331.88) Page 22 of 35 PROT42 Type Income 7/13 Description HEALTH MANAGEMENT ASSOCIATION 6 1/8% APR 15 2016 DTD 04/21/2006 @ 104.00 BNP PARIBAS SECURITIES CORP. TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 421933-AH-5) 7/13 JARDEN CORP SR SUB NOTES 7 1/2% MAY 1 2017 DTD 2/13/2007 @ 104.875 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 471109-AB-4) 7/13 WEYERHAEUSER CO 7 3/8% OCT 01 2019 DTD 10/01/2009 @ 115.097 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 962166-BV-5) 7/13 NEWFIELD EXPLORATION CO 6 7/8% FEB 01 2020 DTD 01/25/2010 @ 107.25 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/08/11 FACE VALUE 20,000.00 (ID: 651290-AN-8) 7/13 UNITED RENTALS NORTH AM 9 1/4% DEC 15 2019 DTD 11/17/2009 @ 111.25 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/08/11 FACE VALUE 15,000.00 (ID: 911365-AU-8) 7/13 LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 @ 99.50 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/08/11 FACE VALUE 7,000.00 (ID: 526057-AS-3) 7/13 SUPERVALU INC 8% MAY 01 2016 DTD 05/07/2009 @ 103.75 GOLDMAN SACHS & CO. TRADE DATE 07/08/11 FACE VALUE 10,000.00 (ID: 868536-AT-0) 10,000.000 0.016 (160.00) 7,000.000 PROT43 0.007 (45.73) 15,000.000 0.007 (107.92) 20,000.000 0.031 (618.75) 10,000.000 0.021 (208.96) 10,000.000 0.015 (150.00) Quantity Cost 10,000.000 Per Unit Amount 0.015 Amount (149.72) Page 23 of 35 PROT44 Type Income 7/13 Description LIMITED BRANDS INC 8 1/2% JUN 15 2019 DTD 12/15/2009 @ 115.00 CREDIT SUISSE FIRST BOSTON LLC TRADE DATE 07/08/11 FACE VALUE 20,000.00 (ID: 532716-AR-8) 7/14 12/07/2010 @ 110.375 BANC OF AMERICA SEC LLC TRADE DATE 07/11/11 FACE VALUE 4,000.00 (ID: 459745-GF-6) 7/14 7/14 RITE AID CORP 7 1/2% MAR 01 2017 DTD 02/21/2007 @ 100.75 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/11/11 FACE VALUE 20,000.00 (ID: 767754-BL-7) CONSTELLATION BRANDS INC 7 1/4% MAY 15 2017 DTD 11/15/2007 @ 110.00 MORGAN STANLEY & CO. INCORPORATED TRADE DATE 07/11/11 FACE VALUE 15,000.00 (ID: 21036P-AF-5) 7/14 STEEL DYNAMICS INC 7.75% APR 15 2016 DTD 04/03/2008 @ 105.75 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/11/11 FACE VALUE 15,000.00 (ID: 858119-AN-0) 7/14 LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 @ 98.00 BANC OF AMERICA SEC LLC TRADE DATE 07/11/11 FACE VALUE 3,000.00 (ID: 526057-AS-3) 7/14 D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 @ 104.50 FIRST UNION CAP MKTS/WHEAT FIRST TRADE DATE 07/11/11 FACE VALUE 1,000.00 (ID: 23331A-AZ-2) 1,000.000 0.016 (16.07) 3,000.000 PROT45 0.007 (20.07) 15,000.000 0.019 (287.40) 15,000.000 0.012 (178.23) 20,000.000 0.028 (554.17) 4,000.000 0.007 (26.58) Quantity Cost 20,000.000 Per Unit Amount 0.007 Amount (132.22) Page 24 of 35 PROT46 Type Income 7/14 Description RRI ENERGY INC 7 7/8% JUN 15 2017 DTD 06/13/2007 @ 100.75 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/11/11 FACE VALUE 25,000.00 (ID: 74971X-AC-1) 7/14 OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 @ 107.50 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/11/11 FACE VALUE 2,000.00 (ID: 681904-AM-0) 7/15 NRG ENERGY INC 8 1/4% SEP 01 2020 DTD 03/01/2011 @ 104.25 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/12/11 FACE VALUE 15,000.00 (ID: 629377-BJ-0) 7/15 SERVICE CORP INTL 7% JUN 15 2017 DTD 06/15/2006 MULTI CPN @ 108.50 BANC OF AMERICA SEC LLC TRADE DATE 07/12/11 FACE VALUE 20,000.00 (ID: 817565-BF-0) 7/15 D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 @ 105.00 CANTOR FITZGERALD / MORTGAGE BACKE TRADE DATE 07/12/11 FACE VALUE 9,000.00 (ID: 23331A-AZ-2) 7/15 [repeated 3 times] 7/18 Corporate Interest [repeated 4 times] CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD 07/12/2010 (ID: 12561E-AK-1) PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 (ID: 723787-AJ-6) COMMUNITY HEALTH SYSTEMS 8 7/8% JUL 15 2015 DTD 07/25/2007 (ID: 12543D-AF-7) FORD MOTOR COMPANY GLOBAL LANDMARK SECURITIES PROT47 NOTES 7.45% JUL 16 2031 DTD 7/16/99 (ID: 345370-CA-6) Page 25 of 35 10,000.000 20,000.000 15,000.000 10,000.000 0.057 0.038 0.044 0.037 568.75 750.00 665.63 372.50 9,000.000 0.016 (146.25) 20,000.000 0.006 (116.67) 15,000.000 0.031 (460.62) 2,000.000 0.009 (18.51) Quantity Cost 25,000.000 Per Unit Amount 0.006 Amount (158.59) PROT48 Type Income 7/21 Total Income Type Interest Purchased 7/11 Description SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 @ 104.75 DEUTSCHE BANK ALEX BROWN TRADE DATE 07/06/11 FACE VALUE 10,000.00 (ID: 832248-AQ-1) 7/15 VERSO PAPER HLDGS LLC IN 11 1/2% JUL 01 2014 DTD 01/01/2010 @ 107.25 BARCLAYS CAPITAL INC FIXED INCOME TRADE DATE 07/12/11 FACE VALUE 8,000.00 (ID: 92532B-AB-5) 7/15 FIXED INCOME TRADE DATE 07/12/11 FACE VALUE 5,000.00 (ID: 92532B-AB-5) 7/18 FIXED INCOME TRADE DATE 07/13/11 FACE VALUE 12,000.00 (ID: 92532B-AB-5) Total Interest Purchased ($144.84) (65.17) (22.36) (35.78) Quantity Cost Description OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 @ 109.00 GOLDMAN SACHS & CO. TRADE DATE 07/18/11 FACE VALUE 13,000.00 (ID: 681904-AM-0) ($14,227.68) Quantity Cost 13,000.000 PROT49 Per Unit Amount 0.011 Amount (139.93) Amount (21.53) Page 26 of 35 PROT50 TRADE ACTIVITY Trade Date Settle Date Type 7/5 Purchase 7/8 7/5 7/8 7/5 7/8 7/5 7/8 7/5 7/8 7/6 7/11 7/6 7/11 7/6 7/11 Purchase [repeated 7 times] Description FORD MOTOR COMPANY GLOBAL LANDMARK SECURITIES NOTES 7.45% JUL 16 2031 DTD 7/16/99 @ 114.75 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 345370-CA-6) CHESAPEAKE ENERGY CORP 6 1/2% AUG 15 2017 DTD 8/16/2005 @ 106.50 GREENWICH CAPITAL MARKETS INC FACE VALUE 15,000.00 (ID: 165167-BS-5) HOST HOTELS & RESORTS LP 6 3/4% JUN 01 2016 DTD 04/04/2006 @ 103.75 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 10,000.00 (ID: 44108E-BA-5) LEAR CORP 8 1/8% MAR 15 2020 DTD 03/26/2010 @ 109.45 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 521865-AS-4) WYNN LAS VEGAS LLC CORP 7 3/4% AUG 15 2020 DTD 08/04/2010 @ 109.50 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 10,000.00 (ID: 983130-AR-6) SEAGATE TECHNOLOGY HDD H SR NOTES 6.80% OCT 1 2016 DTD 9/20/2006 @ 106.00 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 10,000.00 PROT51 (ID: 81180R-AE-2) SMITHFIELD FOODS INC SR NOTES 7 3/4% JUL 1 2017 DTD 6/22/2007 @ 104.75 DEUTSCHE BANK ALEX BROWN FACE VALUE 10,000.00 (ID: 832248-AQ-1) METROPCS WIRELESS INC SR NOTES 7 7/8% SEP 01 2018 DTD 09/21/2010 @ 106.75 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 15,000.00 (ID: 591709-AK-6) 15,000.000 106.80 (16,012.50) 10,000.000 104.80 (10,475.00) 10,000.000 106.00 (10,600.00) 10,000.000 109.50 (10,950.00) 10,000.000 109.50 (10,945.00) 10,000.000 103.80 (10,375.00) 15,000.000 106.50 (15,975.00) Quantity 10,000.000 Per Unit Amount 114.80 Market Cost (11,475.00) Page 27 of 35 PROT52 Trade Date Settle Date Type 7/6 Purchase 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 Purchase [repeated 8 times] Description AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 @ 109.50 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 12,000.00 (ID: 026874-BS-5) CF INDUSTRIES INC 7 1/8% MAY 01 2020 DTD 04/23/2010 @ 116.75 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 10,000.00 (ID: 12527G-AB-9) AMERICAN GENERAL FINANCE MEDIUM TERM NOTES 5.85% JUN 1 2013 DTD 6/12/2006 @ 100.00 BANC OF AMERICA SEC LLC FACE VALUE 20,000.00 (ID: 02635P-TD-5) BE AEROSPACE INC SR NOTES 6 7/8% OCT 01 2020 DTD 09/16/2010 @ 106.75 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 15,000.00 (ID: 055381-AR-8) CKE RESTAURANTS INC 11 3/8% JUL 15 2018 DTD 07/12/2010 @ 110.50 THE PRINCERIDGE GROUP LLC FACE VALUE 10,000.00 (ID: 12561E-AK-1) PROT53 CONSOL ENERGY INC 8 1/4% APR 01 2020 DTD 10/01/2010 @ 110.375 GOLDMAN SACHS & CO. FACE VALUE 15,000.00 (ID: 20854P-AF-6) FORD MOTOR CREDIT CO NOTES 7% OCT 1 2013 DTD 9/23/2003 @ 107.75 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 345397-TZ-6) ENERGY TRANSFER EQUITY 7 1/2% OCT 15 2020 DTD 09/20/2010 @ 107.25 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 20,000.00 (ID: 29273V-AC-4) INGLES MARKETS INC 8 7/8% MAY 15 2017 DTD 05/12/2009 @ 107.75 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 457030-AG-9) Page 28 of 35 10,000.000 107.80 (10,775.00) 20,000.000 107.30 (21,450.00) 10,000.000 107.80 (10,775.00) 15,000.000 110.40 (16,556.25) 10,000.000 110.50 (11,050.00) 15,000.000 106.80 (16,012.50) 20,000.000 100.00 (20,000.00) 10,000.000 116.80 (11,675.00) Quantity 12,000.000 Per Unit Amount 109.50 Market Cost (13,140.00) PROT54 Trade Date Settle Date Type 7/6 Purchase 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/11 7/6 7/12 Purchase Description SPRINT CAPITAL CORP 6.90% MAY 1 2019 DTD 5/6/99 @ 104.00 BANC OF AMERICA SEC LLC FACE VALUE 20,000.00 (ID: 852060-AG-7) CRICKET COMMUNICATIONS INC 7 3/4% MAY 15 2016 DTD 11/15/2009 @ 107.00 BANC OF AMERICA SEC LLC FACE VALUE 15,000.00 (ID: 226566-AK-3) IRON MOUNTAIN INC 8 3/8% AUG 15 2021 DTD 08/10/2009 @ 106.00 DEUTSCHE BANK ALEX BROWN FACE VALUE 15,000.00 (ID: 46284P-AM-6) GMAC 8% NOV 01 2031 DTD 12/31/2008 @ 109.25 GOLDMAN SACHS & CO. FACE VALUE 6,000.00 (ID: 36186C-BY-8) GMAC 8% NOV 01 2031 DTD 12/31/2008 @ 109.25 BANC OF AMERICA SEC LLC FACE VALUE 9,000.00 (ID: 36186C-BY-8) AMERICAN INTL GROUP 8.175% MAY 15 2058 DTD 05/15/2009 @ 109.625 CREDIT SUISSE FIRST BOSTON PROT55 LLC FACE VALUE 3,000.00 (ID: 026874-BS-5) MGM RESORTS INTERNATIONAL 9% MAR 15 2020 DTD 03/15/2011 @ 110.75 BANC OF AMERICA SEC LLC FACE VALUE 15,000.00 (ID: 55303Q-AD-2) DAVITA INC 6 3/8% NOV 01 2018 DTD 10/20/2010 @ 102.00 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 10,000.00 (ID: 23918K-AL-2) 12/07/2010 @ 110.00 SALOMON BROTHERS FACE VALUE 4,000.00 (ID: 459745-GF-6) 4,000.000 110.00 (4,400.00) 10,000.000 102.00 (10,200.00) 15,000.000 110.80 (16,612.50) 3,000.000 109.60 (3,288.75) 9,000.000 109.30 (9,832.50) 6,000.000 109.30 (6,555.00) 15,000.000 106.00 (15,900.00) 15,000.000 107.00 (16,050.00) Quantity 20,000.000 Per Unit Amount 104.00 Market Cost (20,800.00) Page 29 of 35 PROT56 Trade Date Settle Date Type 7/7 Purchase 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 Purchase Description 12/07/2010 @ 110.25 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 4,000.00 (ID: 459745-GF-6) FRONTIER COMMUNICATIONS SR NOTES 8 1/8% OCT 01 2018 DTD 10/01/2009 @ 109.75 BANC OF AMERICA SEC LLC FACE VALUE 20,000.00 (ID: 35906A-AB-4) CSC HOLDINGS LLC 8 5/8% FEB 15 2019 DTD 02/12/2009 @ 114.25 SALOMON BROTHERS FACE VALUE 10,000.00 (ID: 126307-AC-1) WINDSTREAM CORP 7 7/8% NOV 01 2017 DTD 10/08/2009 @ 107.25 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 20,000.00 (ID: 97381W-AJ-3) HANESBRANDS INC 8% DEC 15 2016 DTD 12/10/2009 @ 108.25 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 10,000.00 (ID: 410345-AF-9) GMAC 8% NOV 01 2031 DTD 12/31/2008 @ 110.50 PROT57 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 5,000.00 (ID: 36186C-BY-8) 12/07/2010 @ 110.50 SALOMON BROTHERS FACE VALUE 3,000.00 (ID: 459745-GF-6) CCO HLDGS LLC CAP CORP 7 1/4% OCT 30 2017 DTD 09/27/2010 @ 105.50 UBS SECURITIES LLC FACE VALUE 15,000.00 (ID: 1248EP-AQ-6) NAVISTAR INTL CORP SR NOTES 8 1/4% NOV 01 2021 DTD 10/28/2009 @ 109.875 DEUTSCHE BANK ALEX BROWN FACE VALUE 10,000.00 (ID: 63934E-AM-0) 10,000.000 109.90 (10,987.50) 15,000.000 105.50 (15,825.00) 3,000.000 110.50 (3,315.00) 5,000.000 110.50 (5,525.00) 10,000.000 108.30 (10,825.00) 20,000.000 107.30 (21,450.00) 10,000.000 114.30 (11,425.00) 20,000.000 109.80 (21,950.00) Quantity 4,000.000 Per Unit Amount 110.30 Market Cost (4,410.00) Page 30 of 35 PROT58 Trade Date Settle Date Type 7/7 Purchase 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/12 7/7 7/13 7/8 7/13 7/8 7/13 7/8 7/13 Purchase Description AMERIGAS PART FIN CORP SR NOTES 6 1/2% MAY 20 2021 DTD 01/20/2011 @ 102.25 RBC CAPITAL MARKETS CORPORATION FACE VALUE 15,000.00 (ID: 030981-AF-1) FOREST OIL CORPORATION 7 1/4% JUN 15 2019 DTD 12/15/2007 @ 102.00 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 20,000.00 (ID: 346091-AZ-4) ARCH COAL INC 7 1/4% OCT 01 2020 DTD 08/09/2010 @ 103.00 BONY/GRIFFIN,KUBIK,STEVENS & THOMS FACE VALUE 15,000.00 (ID: 039380-AC-4) PIONEER NATURAL RESOURCE 7 1/2% JAN 15 2020 DTD 11/30/2009 @ 114.00 CSI US INSTITUTIONAL DESK FACE VALUE 20,000.00 (ID: 723787-AJ-6) ALLBRITTON COMMUNICATION 8% MAY 15 2018 DTD 04/30/2010 @ 103.00 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 10,000.00 (ID: 016745-AL-5) US STEEL CORP SR NOTES 7 3/8% APR 01 2020 DTD PROT59 03/19/2010 @ 104.375 BANC OF AMERICA SEC LLC FACE VALUE 15,000.00 (ID: 912909-AF-5) PINNACLE ENTERTAINMENT 8 5/8% AUG 01 2017 DTD 02/01/2010 @ 108.50 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 723456-AK-5) CLEAR CHANNEL WORLDWIDE 9 1/4% DEC 15 2017 DTD 06/15/2010 @ 110.00 DEUTSCHE BANK ALEX BROWN FACE VALUE 10,000.00 (ID: 18451Q-AD-0) DISH DBS CORP 7 7/8% SEP 01 2019 DTD 08/17/2009 @ 109.75 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 15,000.00 (ID: 25470X-AB-1) 15,000.000 109.80 (16,462.50) 10,000.000 110.00 (11,000.00) 10,000.000 108.50 (10,850.00) 15,000.000 104.40 (15,656.25) 10,000.000 103.00 (10,300.00) 20,000.000 114.00 (22,800.00) 15,000.000 103.00 (15,450.00) 20,000.000 102.00 (20,400.00) Quantity 15,000.000 Per Unit Amount 102.30 Market Cost (15,337.50) Page 31 of 35 PROT60 Trade Date Settle Date Type 7/8 Purchase 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 Purchase Description CASCADES INC 7 3/4% DEC 15 2017 DTD 12/03/2009 @ 104.75 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 10,000.00 (ID: 146900-AG-0) BALL CORP SR NOTES 6 3/4% SEP 15 2020 DTD 03/22/2010 @ 107.00 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 15,000.00 (ID: 058498-AP-1) GOODYEAR TIRE & RUBBER C 10 1/2% MAY 15 2016 DTD 05/11/2009 @ 112.75 BANC OF AMERICA SEC LLC FACE VALUE 10,000.00 (ID: 382550-AZ-4) BOISE PAPER HDG CO ISSR 8% APR 01 2020 DTD 03/19/2010 @ 106.25 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 5,000.00 (ID: 09747G-AB-9) COMMUNITY HEALTH SYSTEMS 8 7/8% JUL 15 2015 DTD 07/25/2007 @ 103.50 BNP PARIBAS SECURITIES CORP. FACE VALUE 15,000.00 (ID: 12543D-AF-7) HCA INC 8 1/2% APR 15 2019 DTD 04/15/2010 @ PROT61 111.25 BNP PARIBAS SECURITIES CORP. FACE VALUE 20,000.00 (ID: 404119-BF-5) CABLEVISION SYSTEMS CORP SR NOTES 7 3/4% APR 15 2018 DTD 04/15/2010 @ 107.75 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 10,000.00 (ID: 12686C-AZ-2) CAPITAL ONE CAPITAL IV 6.745% FEB 17 2037 DTD 02/05/2007 @ 101.375 BNP PARIBAS SECURITIES CORP. FACE VALUE 20,000.00 (ID: 140422-AA-4) HEALTH MANAGEMENT ASSOCIATION 6 1/8% APR 15 2016 DTD 04/21/2006 @ 104 00 BNP PARIBAS SECURITIES CORP. FACE VALUE 10,000.00 (ID: 421933-AH-5) Page 32 of 35 10,000.000 104.00 (10,400.00) 20,000.000 101.40 (20,275.00) 10,000.000 107.80 (10,775.00) 20,000.000 111.30 (22,250.00) 15,000.000 103.50 (15,525.00) 5,000.000 106.30 (5,312.50) 10,000.000 112.80 (11,275.00) 15,000.000 107.00 (16,050.00) Quantity 10,000.000 Per Unit Amount 104.80 Market Cost (10,475.00) PROT62 Trade Date Settle Date Type 7/8 Purchase 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/8 7/13 7/11 7/14 7/11 7/14 Purchase Description JARDEN CORP SR SUB NOTES 7 1/2% MAY 1 2017 DTD 2/13/2007 @ 104.875 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 10,000.00 (ID: 471109-AB-4) WEYERHAEUSER CO 7 3/8% OCT 01 2019 DTD 10/01/2009 @ 115.097 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 10,000.00 (ID: 962166-BV-5) NEWFIELD EXPLORATION CO 6 7/8% FEB 01 2020 DTD 01/25/2010 @ 107.25 DEUTSCHE BANK ALEX BROWN FACE VALUE 20,000.00 (ID: 651290-AN-8) UNITED RENTALS NORTH AM 9 1/4% DEC 15 2019 DTD 11/17/2009 @ 111.25 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 15,000.00 (ID: 911365-AU-8) LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 @ 99.50 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 7,000.00 (ID: 526057-AS-3) SUPERVALU INC 8% MAY 01 2016 DTD 05/07/2009 @ PROT63 103.75 GOLDMAN SACHS & CO. FACE VALUE 10,000.00 (ID: 868536-AT-0) LIMITED BRANDS INC 8 1/2% JUN 15 2019 DTD 12/15/2009 @ 115.00 CREDIT SUISSE FIRST BOSTON LLC FACE VALUE 20,000.00 (ID: 532716-AR-8) 12/07/2010 @ 110.375 BANC OF AMERICA SEC LLC FACE VALUE 4,000.00 (ID: 459745-GF-6) RITE AID CORP 7 1/2% MAR 01 2017 DTD 02/21/2007 @ 100.75 DEUTSCHE BANK ALEX BROWN FACE VALUE 20,000.00 (ID: 767754-BL-7) 20,000.000 100.80 (20,150.00) 4,000.000 110.40 (4,415.00) 20,000.000 115.00 (23,000.00) 10,000.000 103.80 (10,375.00) 7,000.000 99.50 (6,965.00) 15,000.000 111.30 (16,687.50) 20,000.000 107.30 (21,450.00) 10,000.000 115.10 (11,509.70) Quantity 10,000.000 Per Unit Amount 104.90 Market Cost (10,487.50) Page 33 of 35 PROT64 Trade Date Settle Date Type 7/11 Purchase 7/14 7/11 7/14 7/11 7/14 7/11 7/14 7/11 7/14 7/11 7/14 7/12 7/15 7/12 7/15 7/12 7/15 Purchase Description CONSTELLATION BRANDS INC 7 1/4% MAY 15 2017 DTD 11/15/2007 @ 110.00 MORGAN STANLEY & CO. INCORPORATED FACE VALUE 15,000.00 (ID: 21036P-AF-5) STEEL DYNAMICS INC 7.75% APR 15 2016 DTD 04/03/2008 @ 105.75 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 15,000.00 (ID: 858119-AN-0) LENNAR CORPORATION 5.6% MAY 31 2015 DTD 4/28/2005 @ 98.00 BANC OF AMERICA SEC LLC FACE VALUE 3,000.00 (ID: 526057-AS-3) D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 @ 104.50 FIRST UNION CAP MKTS/WHEAT FIRST FACE VALUE 1,000.00 (ID: 23331A-AZ-2) RRI ENERGY INC 7 7/8% JUN 15 2017 DTD 06/13/2007 @ 100.75 DEUTSCHE BANK ALEX BROWN FACE VALUE 25,000.00 (ID: 74971X-AC-1) OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 PROT65 @ 107.50 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 2,000.00 (ID: 681904-AM-0) NRG ENERGY INC 8 1/4% SEP 01 2020 DTD 03/01/2011 @ 104.25 BARCLAYS CAPITAL INC FIXED INCOME FACE VALUE 15,000.00 (ID: 629377-8J-0) SERVICE CORP INTL 7% JUN 15 2017 DTD 06/15/2006 MULTI CPN @ 108.50 BANC OF AMERICA SEC LLC FACE VALUE 20,000.00 (ID: 817565-BF-0) D R HORTON INC 6 1/2% APR 15 2016 DTD 04/17/2006 @ 105.00 CANTOR FITZGERALD / MORTGAGE BACKE FACE VALUE 9,000.00 (ID: 23331A-AZ-2) Page 34 of 35 9,000.000 105.00 (9,450.00) 20,000.000 108.50 (21,700.00) 15,000.000 104.30 (15,637.50) 2,000.000 107.50 (2,150.00) 25,000.000 100.80 (25,187.50) 1,000.000 104.50 (1,045.00) 3,000.000 98.00 (2,940.00) 15,000.000 105.80 (15,862.50) Quantity 15,000.000 Per Unit Amount 110.00 Market Cost (16,500.00) PROT66 Trade Date Settle Date Type 7/12 Purchase 7/15 7/12 7/15 7/13 7/18 7/18 7/21 Purchase Description FIXED INCOME FACE VALUE 8,000.00 (ID: 92532B-AB-5) FIXED INCOME FACE VALUE 5,000.00 (ID: 92532B-AB-5) Purchase FIXED INCOME FACE VALUE 12,000.00 (ID: 92532B-AB-5) Purchase Total Settled Securities Purchased OMNICARE INC 7 3/4% JUN 01 2020 DTD 05/18/2010 @ 109.00 GOLDMAN SACHS & CO. FACE VALUE 13,000.00 (ID: 681904-AM-0) ($974,680.95) 13,000.000 109.00 (14,170.00) 12,000.000 107.30 (12,870.00) 5,000.000 107.30 (5,362.50) Quantity 8,000.000 Per Unit Amount 107.30 Market Cost PROT67 (8,580.00) Page 35 of 35 PROT68 THIS PAGE INTENTIONALLY LEFT BLANK PROT69 IMPORTANT INFORMATION ABOUT YOUR STATEMENT(S) Please take the steps indicated below if you think statements are incorrect or contact your J.P.Morgan team if you require additional information about a transaction on your statement(s). In case of other errors or questions about your statement Please review your account statement and promptly report any inaccuracy or discrepancy including possible unauthorized trading activity, unrecorded dividend payments, unaccounted cash positions, improper payments or transfers in writing to JPMCB both the introducing broker at the addresses shown on your statement. Any oral communication should be re-confirmed in writing to further protect your rights. If you have any questions please contact your J.P. Morgan team. In your written communication, please provide the following information: (1) your name and account number; (2) the dollar amount of the suspected error; and (3) a description of the error and explanation, if you can, why you believe there is an error. If you need more information, you must describe the item you are unsure about. We must receive your written communication no later than 30 days after the statement on which the error or problem appeared is sent or made available. If you do not so notify us, you agree that the statement activity and account balance(s) are correct. Important Information about Pricing and Valuations 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 or other sources that J.P. Morgan believes to be reliable, is not guaranteed for accuracy and is furnished for the exclusive use of the client. J.P. Morgan makes no representation, warranty or guarantee, express or implied, that any quoted value represents the actual terms at which transactions or securities could be bought or sold or new transactions could be entered into, or the actual terms on which existing transactions or securities could be liquidated. Such values may only be indicative. The current price is the value of the financial asset share, unit or contract as priced at the close of the market on the last day of the statement period or the last available price. All values provided for structured yield deposits (for example, JPMorgan London Time Deposits) reflect the original deposit amount only. The value for Real Estate, Mineral Interests and Miscellaneous Assets may not reflect the most current value of the asset. Certain assets including but not limited to, pooled and private investments, non-publicly traded and infrequently traded securities, derivatives, partnership interests and tangible assets are generally illiquid, the value of such assets may have been provided to us by third parties who 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. Valuations of over-the-counter derivative transactions, including certain derivatives-related deposit products, have been prepared on a mid-market basis. These valuations are derived from proprietary PROT70 models based upon well-recognized financial principles and we have, when necessary to calculate the present value of future cash flows, made reasonable estimates about relevant future market conditions. Valuations based on other models or different assumptions may yield different results. 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. Important Information Regarding Auction Rate Securities (ARS). ARS are debt or preferred securities with an interest or dividend rate reset periodically in an auction. Although there may be daily, weekly and monthly resets, there is no guarantee that there will be liquidity. If there are not enough bids at an auction to redeem the securities available for sale, the result may be a failed auction. In the event of a failed auction, there is no assurance that a secondary market will develop or that the security will trade at par or any other price reflected on statements and online.Accordingly, investors should not rely on pricing information appearing in their statements or online with respect to ARS. Where J.P. Morgan was unable to obtain a price from an outside service for a particular ARS, the price column on your statement and online will indicate "$0.00" which however should not be relied on as the price at which ARS would trade. 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, or gain/Loss. Such information, which may be inaccurate, incomplete or subject to updating, should be confirmed with your records and your tax advisor. Offshore Deposits - London and Nassau Disclosures Page 1 of 2 PROT71 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). Fund manager disclosure information available upon request If you have an investment account that is managed by an SEC-Registered Investment Advisor, the Private Bank of J.P. Morgan will provide a copy of the advisor's Form ADV II or brochure upon written request. 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. Bank products and services are offered through JPMCB and its banking affiliates. Securities are offered by JPMS and, to the extent noted above, cleared through JPMCC. 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. JPMS is not a bank and is a separate legal entity from its bank or thrift affiliates, including JPMorgan Chase Bank, N.A. ("JPMCB"). Investment Products: Not FDIC Insured -No Bank Guarantee -May Lose Value Disclosures Page 2 of 2 PROT72