📄 Extracted Text (9,470 words)
JPMorgan Chase Bank, N.A.
270 Park Avenue, New York, NY 10017-2014
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
0000000033.00.0.01.RRRRR.BELLE18.20100625
HARRY BELLER
C/O HBRK ASSOCIATES
301 E 66TH ST APT 1OF
NEW YORK NY 10065-6216
Asset Account
J.P. Morgan Team
Paul Morris
Jeffrey Matusow
Janet Young
William Doherty III
Banker
Investment Specialist
Client Service Team
Client Service Team
Table of Contents
Account Summary
Holdings
Equity
Cash and Short Term
Fixed Income
Options
Foreign Exchange Contracts
Other Assets
Portfolio Activity
Online access
www.MorganOnline com
Page
2
4
6
8
11
15
17
20
Page 1 of 56
EFTA01534879
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Account Summary
Asset Allocation
Equity
Cash & Short Term
Fixed Income
Options
Foreign Exchange Contracts
Other Assets
Market Value
Accruals
Market Value with Accruals
Beginning
Ending
Market Value
20,419,540.00
24,686,461.56
30,515,088.00
(924,361.77)
218,446.13
(328,464.35)
$74,586,709.57
298,064.65
$74,884,774.22
Market Value
19,248,577.50
35,288,211.90
19,041,704.00
(1,665,791.50)
(717,387.04)
(4,569,518.13)
$66,625,796.73
238,594.71
$66,864,391.44
Current
Portfolio Activity
Beginning Market Value
Contributions
Withdrawals & Fees
Securities Transferred Out
Net Contributions/Withdrawals
Income & Distributions
Change In Investment Value
Ending Market Value
Accruals
Market Value with Accruals
Period Value
74,586,709.57
505,215.67
(1,030,000.00)
EFTA01534880
(305,003.00)
($829,787.33)
(596,750.29)
(6,534,375.22)
$66,625,796.73
238,594.71
$66,864,391.44
Change
In Value
(1,170,962.50)
10,601,750.34
(11,473,384.00)
(741,429.73)
(935,833.17)
(4,241,053.78)
($7,960,912.84)
(59,469.94)
($8,020,382.78)
Equity
Year-to-Date
Value
0.00
76,033,215.67
(1,459,442.44)
(305,005.00)
$74,268,768.23
(744,998.21)
(6,897,973.29)
$66,625,796.73
238,594.71
$66,864,391.44
Estimated
1,389,305.00
377,757.02
1,111,851.50
Current
Annual Income Allocation
26%
47%
26%
1%
Cash &
Short Term
Options
Asset Allocation
$2,878,913.52
100%
Fixed
Income
Page 2 of 56
EFTA01534881
EFTA01534882
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Account Summary
Tax Summary
Currency Gain/Loss
Interest Income
Taxable Income
CONTINUED
Current
Period Value
(701,523.18)
104,772.89
($596,750.29)
Year-to-Date
Value
(701,840.25)
(43,157.96)
($744,998.21)
Unrealized Gain/Loss
To-Date Value
($2,333,439.03)
ST Realized Gain/Loss
Realized Gain/Loss
Current
Period Value
378,812.23
$378,812.23
Year-to-Date
Value
417,365.88
$417,365.88
Cost Summary
Equity
Cost
Cash & Short Term
Fixed Income
Options
Total
20,641,247.50
35,330,911.90
20,090,706.00
(1,816,724.50)
$74,246,140.90
Page 3 of 56
EFTA01534883
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Equity Summary
Asset Categories
US Large Cap
US Mid Cap/Small Cap
Preferred Stocks
Total Value
Market Value/Cost
Market Value
Tax Cost
Unrealized Gain/Loss
Estimated Annual Income
Accrued Dividends
Yield
Equity Detail
Estimated
Quantity
US Large Cap
MACERICH CO
554382-10-1 MAC
Price
Market
Value
Tax Cost
Adjusted
Original
Unrealized
Gain/Loss
Annual Income
Accrued
Dividends
Yield
Beginning
Market Value
983,620.00
35,920.00
19,400,000.00
$20,419,540.00
Ending
Market Value
234,557.50
406,020.00
18,608,000.00
$19,248,577.50
Current
Period Value
19,248,577.50
20,641,247.50
(1,392,670.00)
1,389,305.00
EFTA01534884
11,000.00
7.22%
Preferred Stocks
Change
In Value
(749,062.50)
370,100.00
(792,000.00)
($1,170,962.50 )
Current
Allocation
1%
1%
24%
26%
US Mid Cap/Small Cap
US Large Cap
Asset Categories
Equity
N/A
11,000.00
Page 4 of 56
EFTA01534885
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Estimated
Quantity
US Large Cap
NUSTAR ENERGY LP
Total US Large Cap
67058H-10-2 NS
4,250.000
US Mid Cap/Small Cap
METALS USA HOLDINGS CORP
SOLAR CAPITAL LTD
59132A-10-4 MUSA
13,000.000
83413U-10-0 SLRC
STRATEGIC HOTELS & RESORTS INC
Total US Mid Cap/Small Cap
86272T-10-6 BEE
35,000.000
Preferred Stocks
3PM CHASE CAPITAL XXIX
6.7% PFD
48125E-20-7 3PM PC
800,000.000
23.26
18,608,000.00
19,980,000.00
(1,372,000.00)
1,340,000.00
7.20%
$406,020.00
$420,910.00
($14,890.00)
$31,200.00
7.68%
20,000.000
4.90
98,000.00
92,000.00
6,000.00
21.34
277,420.00
286,910.00
(9,490.00)
31,200.00
11.25%
2,000.000
15.30
30,600.00
42,000.00
(11,400.00)
EFTA01534886
$234,557.50
$240,337.50
($5,780.00)
$18,105.00
$11,000.00
7.72%
4,250.000
55.19
234,557.50
240,337.50
(5,780.00)
18,105.00
7.72%
Price
Market
Value
Tax Cost
Adjusted
Original
Unrealized
Gain/Loss
Annual Income
Accrued
Dividends
Yield
Page 5 of 56
EFTA01534887
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Cash & Short Term Summary
Beginning
Asset Categories
Cash
Short Term
Total Value
Market Value/Cost
Market Value
Tax Cost
Unrealized Gain/Loss
Estimated Annual Income
Accrued Interest
Yield
SUMMARY BY MATURITY
Short Term
6-12 months
5,099,800.00
Market
Value
Market Value
24,686,461.56
0.00
$24,686,461.56
Ending
Market Value
30,188,411.90
5,099,800.00
$35,288,211.90
Current
Period Value
35,288,211.90
35,330,911.90
(42,700.00)
377,757.02
123,585.01
0.65%
SUMMARY BY TYPE
Short Term
Corporate Bonds
Market
Value
5,099,800.00
% of Bond
Portfolio
100%
Change
In Value
5,501,950.34
5,099,800.00
EFTA01534888
$10,601,750.34
Current
Allocation
40%
7%
47%
Short Term
Asset Categories
Cash &
Short Term
Cash
Page 6 of 56
EFTA01534889
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
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 & Short Term Detail
Quantity
Cash
PROCEEDS FROM PENDING SALES
US DOLLAR
Total Cash
Short Term
FORD MOTOR CREDIT CO
7 3/8% FEB 1 2011
DTD 1/30/2001
345397-TS-2 B- /BA3
5,000,000.00
102.00
5,099,800.00
5,142,500.00
(42,700.00)
368,750.00
122,915.00
4.29%
165,000.00
30,023,411 90
1.00
1.00
165,000.00
30,023,411.90
$30,188,411.90
165,000.00
30,023,411.90
$30,188,411.90
$0.00
9,007.02
670.01
$9,007.02
$670.01
0.03% 1
0.03%
Price
Market
Value
Tax Cost
Adjusted
Original
Estimated
EFTA01534890
Unrealized
Gain/Loss
Annual Income
Accrued Interest
Yield
Page 7 of 56
EFTA01534891
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Fixed Income Summary
Asset Categories
US Fixed Income - Taxable
Non-US Fixed Income
Total Value
Market Value/Cost
Market Value
Tax Cost
Unrealized Gain/Loss
Estimated Annual Income
Accrued Interest
Yield
SUMMARY BY MATURITY
Fixed Income
Less than 5 years,
5-10 years,
10+ years,
Total Value
1
Market
Value
6,741,704.00
9,050,000.00
3,250,000.00
$19,041,704.00
% of Bond
Portfolio
35%
48%
17%
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.
Beginning
Market Value
28,777,588.00
1,737,500.00
$30,515,088.00
Ending
Market Value
17,522,954.00
1,518,750.00
$19,041,704.00
Current
Period Value
19,041,704.00
20,090,706.00
(1,049,002.00)
EFTA01534892
1,111,851.50
104,009.70
7.10%
SUMMARY BY TYPE
Fixed Income
Corporate Bonds
International Bonds
Total Value
Market
Value
17,522,954.00
1,518,750.00
$19,041,704.00
% of Bond
Portfolio
92%
8%
100%
US Fixed Income
- Taxable
Change
In Value
(11,254,634.00)
(218,750.00)
($11,473,384.00 )
Current
Allocation
24%
2%
26%
Non-US
Fixed Income
Asset Categories
Fixed
Income
Page 8 of 56
EFTA01534893
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Fixed Income Detail
Quantity
US Fixed Income - Taxable
FORD MOTOR CREDIT CO LLC
FLOATING RATE NOTE JUN 15 2011
DTD 03/15/2007
345397-VF-7 B- /BA3
FORD MOTOR CREDIT CO LLC
SR NOTES 7% APR 15 2015
DTD 04/09/2010
345397-VN-0 B- /BA3
CIT GROUP INC
7% MAY 01 2016
DTD 11/04/2009
125581-FW-3 B+ /B3
CIT GROUP INC
7% MAY 01 2017
DTD 11/04/2009
125581-FX-1 B+ /B3
GENERAL MOTORS CORP
NOTES 8 3/8% JUL 15 2033
DTD 07/03/2003
IN DEFAULT
370442-BT-1 NR /WR
Total US Fixed Income - Taxable
25,200,000.000
$17,522,954.00
$18,336,456.00
($813,502.00)
$989,351.50
$92,782.20
6.14%
10,000,000.000
32.50
3,250,000.00
3,800,000.00
(550,000.00)
5,000,000.000
90.25
4,512,500.00
4,612,500.00
(100,000.00)
350,000.00
10,690.00
8.90%
5,000,000.000
90.75
4,537,500.00
4,725,000.00
EFTA01534894
(187,500.00)
350,000.00
20,415.00
9.03%
200,000.000
98.98
197,954.00
198,956.00
(1,002.00)
14,000.00
2,022.20
7.25%
Price
Market
Value
Tax Cost
Adjusted
Original
Estimated
Unrealized
Gain/Loss
Annual Income
Accrued Interest
Yield
5,000,000.000
100.50
5,025,000.00
5,000,000.00
25,000.00
275,351.50
59,655.00
4.98%
Page 9 of 56
EFTA01534895
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Quantity
Non-US Fixed Income
PETROLEOS DE VENEZUELA S
4.9% OCT 28 2014
DTD 10/28/2009
HELD BY EUROCLEAR
ISIN:XS0460546442 SEDOL:85882G7
71668A-9A-1
Price
Market
Value
Tax Cost
Adjusted
Original
Estimated
Unrealized
Gain/Loss
Annual Income
Accrued Interest
Yield
2,500,000.000
60.75
1,518,750.00
1,754,250.00
(235,500.00)
122,500.00
11,227.50
18.22%
Page 10 of 56
EFTA01534896
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Options Summary
Asset Categories
Equity
Foreign Exchange
Other
Total Value
Market Value/Cost
Market Value
Premium
Unrealized Gain/Loss
Note:
P indicates position adjusted for Pending Trade Activity.
Options Detail
Quantity
Foreign Exchange
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.32
XEURCB-LN-Z EUR
Price
Market
Value
Premium
Unrealized
Gain/Loss
Beginning
Market Value
(114,400.00)
(265,100.78)
(544,860.99)
($924,361.77)
Ending
Market Value
0.00
183,625.70
(1,849,417.20)
($1,665,791.50 )
Current
Period Value
(1,665,791.50)
(1,816,724.50)
150,932.97
Change
In Value
114,400.00
448,726.48
(1,304,556.21)
($741,429.73)
Current
EFTA01534897
Allocation
Options
1%
1%
Asset Categories
(10,000,000.000 )
0.32
(32,210.83)
(158,239.46)
126,028.63
Page 11 of 56
EFTA01534898
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Quantity
Foreign Exchange
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
KI @ 1.63
XEURCB-LT-Z
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.245
KI @ 1.38
XEURCB-LU-Z
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.28
XEURPB-HD-Z EUR
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.24
XEURPB-HE-Z EUR
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.245
XEURPB-HW-Z
GBP PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
XGBPPA-LM-Z
JPY CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.5
XJPYCA-NE-Z
Page 12 of 56
(935,000,000.000 )
0.07
(638,286.62)
(470,000.00)
(168,286.17)
6,932,409.000
8.04
557,445.77
495,000.00
62,445.77
8,032,128.510
7.46
599,412.40
495,000.00
104,412.39
(10,000,000.000 )
EFTA01534899
3.06
(306,413.20)
(135,082.46)
(171,330.74)
10,000,000.000
5.56
555,750.61
276,597.42
279,153.19
(8,032,128.510 )
5.77
(463,522.04)
(495,000.00)
31,477.96
Price
Market
Value
Premium
Unrealized
Gain/Loss
(6,932,409 000 )
6.61
(458,137.66)
(495,000.00)
36,862.34
EFTA01534900
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Quantity
Foreign Exchange
3PY PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.5
XJPYPA-SQ-Z
Total Foreign Exchange
Other
XAU PUT OPTION
USD CALL OPTION STRIKE 1,115.00
EXPIRES 6/17/2010
KI @ 1,085
Underlying Asset Price = $1,206.13
OTCBDP-EW-G
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.350% S 30/360 VS 3ML
EXP DATE 07/26/2010 DEAL 5164984
Underlying Asset Price = $0.00
OTCBDC-GV-H
P 1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 08/13/2010 DEAL 5166005
Underlying Asset Price = $0.00
OTCBDC-GW-K
(1.000)
(545,000.00)
545,000.00
(1.000)
1.00
(656,612.57)
(909,000.00)
252,387.43
(5,000.000)
1.14
(5,701.58)
(85,000.00)
79,298.42
(10,000,000.000 )
$183,625.70
($16,724.50)
$200,350.17
Price
Market
Value
Premium
Unrealized
Gain/Loss
EFTA01534901
935,000,000.000
0.04
369,587.27
470,000.00
(100,413.20)
Page 13 of 56
EFTA01534902
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Quantity
Other
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS. 3ML
EXP DATE 06/30/2010 DEAL 5161946
Underlying Asset Price = $0.00
OTCBDC-TB-B
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 06/14/2010 DEAL 5162475
Underlying Asset Price = $0.00
OTCBDC-TC-N
P 1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 05/28/2010 DEAL 5163369
Underlying Asset Price = $0.00
OTCBDC-TE-Y
Total Other
(5,004.000)
($1,849,417.20)
($1,800,000.00)
($49,417.20)
1.00
N/A
(1.000)
1.00
(573,839.18)
(125,000.00)
(448,839.18)
(1.000)
1.00
(613,263.87)
(136,000.00)
(477,263.87)
Price
Market
Value
Premium
Unrealized
Gain/Loss
Page 14 of 56
EFTA01534903
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Foreign Exchange Contracts Summary
NET CURRENCY EXPOSURE SUMMARY
Value
AUSTRALIA DOLLAR
CANADIAN DOLLAR
US DOLLAR
in Currency
(0.01)
0.01
(717,387.03)
Foreign Exchange Contracts Detail
Market Value
Receivable
Trade Date
Speculative
AUSTRALIA DOLLAR
AUSTRALIA DOLLAR
AUSTRALIA DOLLAR
CANADIAN DOLLAR
CANADIAN DOLLAR
CANADIAN DOLLAR
CANADIAN DOLLAR
US DOLLAR
JAPANESE YEN
JAPANESE YEN
May. 20 10
Jul. 30 10
Apr. 28 10
Jul. 30 10
May. 20 10
Jul. 30 10
Apr. 28 10
Aug. 6 10
May. 6 10
Aug. 6 10
AUD
CAD
AUD
CAD
AUD
USD
CAD
JPY
CAD
JPY
5,703,855.80
(5,000,000.00)
(5,426,524.85)
5,000,000.00
EFTA01534904
(277,330.96)
227,244.98
5,000,000.00
(464,350,000.00 )
(5,246,892.65)
464,350,000.00
0.876600
0.921400
0.819400
92.870000
88.500000
1.129656
1.129656
0.841545
86.359007
86.359007
4,800,050.80
4,753,280.81
4,753,280.81
4,566,664.35
227,244.98
233,386.45
4,753,054.24
5,111,408.31
5,111,408.31
4,987,753.07
46,769.99
186,616.46
(6,141.47)
(358,354.07)
123,655.24
Currency
Settlement Date Counter Currency
Amount
Counter Amount
Contract
Rate
Current Market
Forward Rate
Market Value
Payable
Unrealized
Gain/Loss
Page 15 of 56
EFTA01534905
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Market Value
Receivable
Trade Date
Speculative
CANADIAN DOLLAR
INDIAN RUPEE
INDIAN RUPEE
POUND STERLING
POUND STERLING
POUND STERLING
POUND STERLING
Total Speculative
US DOLLAR
US DOLLAR
US DOLLAR
NORWEGIAN KRONE
NORWEGIAN KRONE
NORWEGIAN KRONE
US DOLLAR
May. 6 10
Aug. 6 10
Apr. 16 10
Oct. 20 10
May. 6 10
Oct. 20 10
May. 6 10
Jun. 30 10
Mar. 26 10
Jun. 30 10
Apr. 6 10
Jun. 30 10
May. 6 10
Jun. 30 10
CAD
USD
INR
USD
INR
USD
GBP
NOK
GBP
NOK
GBP
NOK
GBP
USD
246,892.66
(236,652.69)
EFTA01534906
446,500,000.00
(10,000,000.00)
(446,500,000.00
9,681,266.26
13,739,615.90
(126,988,400.00
(7,000,000.00)
63,099,400.00
(7,000,000.00)
63,889,000.00
260,384.10
(389,245.58)
1.043270
44.650000
46.120000
9.242500
9.014200
9.127000
1.494890
1.051955
46.824051
46.824051
9.364226
9.364226
9.364226
1.445920
234,698.84
236,652.69
9,535,697.78
10,000,000.00
9,681,266.26
9,535,697.78
19,866,384.77
19,608,141.69
9,743,110.20
10,121,439.67
9,865,031.48
10,121,439.67
376,494.56
389,245.58
$78,947,723.03
$79,665,110.07
(1,953.85)
(464,302.22)
145,568.48
258,243.08
(378,329.47)
(256,408.19)
(12,751.02)
($717,387.04)
Currency
EFTA01534907
Settlement Date Counter Currency
Amount
Counter Amount
Contract
Rate
Current Market
Forward Rate
Market Value
Payable
Unrealized
Gain/Loss
Page 16 of 56
EFTA01534908
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Other Assets Summary
Asset Categories
Swaps
Beginning
Estimated Value
(328,464.35)
Ending
Estimated Value
(4,569,518.13)
Change
In Value
(4,241,053.78)
Current
Allocation
Market Value/Cost
Estimated Value
(4,569,518.13)
Current
Period Value
Other Assets Detail
Cost
Quantity
Swaps
CLP SWAP - CLP NOTL
13,000,000,000 MD 3/21/12
TD 3/17/10, START D 3/21/11
PAY FLOAT CLP OIS ANN ACT/360
4.15% REC FIX, DEAL #253571031
N/O Client
SWPBDA-ZQ-8
1.000
1.00
(18,063.74)
N/A
Price
Estimated
Value
Adjusted
Original
Estimated
Gain/Loss
Accruals
Page 17 of 56
EFTA01534909
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Cost
Quantity
Swaps
CLP SWAP - CLP NOTL
13,000,000,000 MD 3/29/12
TD 3/25/10, START D 3/29/11
PAY FLOAT CLP OIS ANN ACT/360
4.15% REC FIX, DEAL #254489072
N/O Client
SWPBDE-JB-1
LONG TOTAL RETURN SWAP
4,775,970.00 USD NOTIONAL
GOLDMAN SACHS GRP INC
MAT APR 29 2011 DEAL 5508960
N/O Client
SWPBDE-TJ-3
LONG TOTAL RETURN SWAP
3,208,420 USD NOTIONAL
GOLDMAN SACHS GRP INC
MAT APRIL 28 2011 DEAL 5499085
N/O Client
SWPBDE-WG-5
SX5E DIVIDEND SWAP
FIXED STRIKE EUR 112.10
NUMBER OF BASKET 89,206
MAT DEC 16 2011 DEAL 4444220
N/O Client
SWPBDE-PR-9 EUR
89,206.000
15.40
(1,373,941.37)
N/A
20,000.000
15.94
(318,729.47)
N/A
30,000.000
14.70
(440,875.77)
N/A
1.000
1.00
(24,818.46)
N/A
Price
Estimated
Value
Adjusted
Original
EFTA01534910
Estimated
Gain/Loss
Accruals
Page 18 of 56
EFTA01534911
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Cost
Quantity
Swaps
SXSE DIVIDEND SWAP
FIXED STRIKE EUR 113.30
NUMBER OF BASKET 88,261
MAT DEC 21 2012 DEAL 4444219
N/O Client
SWPBDE-PS-7 EUR
SXSE DIVIDEND SWAP
FIXED STRIKE EUR 100.00
NUMBER OF BASKET 50,000
MAT DEC 21 2012 DEAL 4458593
N/O Client
SWPBDE-WW-0 EUR
Total Swaps
($4,569,518.13)
$0.00
$0.00
50,000.000
7.19
(359,397.09)
N/A
88,261.000
23.04
(2,033,692.23)
N/A
Price
Estimated
Value
Adjusted
Original
Estimated
Gain/Loss
Accruals
Page 19 of 56
EFTA01534912
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Summary - U S Dollar
Beginning Cash Balance
Current
Transactions
Income
INFLOWS
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
17,439,823.52
(11,026,947.50)
$6,412,876.02
$30,023,411.90
* Year to date information is calculated on a calendar year basis.
19,099,351.63
(63,285,439.25)
($44,186,087.62)
-104,772.89
505,215.67
379,034.82
$989,023.38
(1,030,000.00)
(863,298.52)
($1,893,298.52)
(43,157.96)
76,033,215.67
542,182.77
$76,532,240.48
(1,459,442.44)
(863,298.52)
($2,322,740.96)
Period
Value
24,514,811.02
Year-To-Date
Value*
-Page
20 of 56
EFTA01534913
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Detail - U S Dollar
INFLOWS & OUTFLOWS
Settlement
Date
Income
5/3
Type
Interest Income
Description
DEPOSIT SWEEP INTEREST FOR APR. @
.03% RATE ON NET AVG COLLECTED
BALANCE OF $31,396,909.44
AS OF 05/01/10
5/11
Corporate Interest
CIT GROUP INC
7% MAY 01 2016
DTD 11/04/2009
AS OF 05/10/10
5/17
5/20
5/26
Total Income
Accrued Interest Paid
Accrued Interest Received
Accrued Interest Paid
FORD MOTOR CREDIT CO
7 3/8% FEB 1 2011
DTD 1/30/2001
U S A NOTES
4 5/8% FEB 15 2040
DTD 02/16/2010
FORD MOTOR CREDIT CO LLC
FLOATING RATE NOTE JUN 15 2011
DTD 03/15/2007
$104,772.89
5,000,000.000
0.011
(55,070.00)
15,000,000.000
0.012
180,145.03
5,000,000.000
0.022
(108,576.39)
5,000,000.000
0.018
87,500.00
Quantity
EFTA01534914
Cost
Per Unit
Amount
Amount
774.25
Page 21 of 56
EFTA01534915
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Settlement
Date
Contributions
5/20
Type
Misc. Receipt
Description
INTEREST RATE SWAP
14,050,000 USD NOTIONAL 2/15/2040
REC: FLOATING RATE USD
3 MONTH LIBOR DEAL 254307367
4.45653% PAY FIXED, S 30/360
IR SWAP NET PAYMENT
FIXED -0.00 + 5,215.67 LIBOR
AS OF 05/17/10
5/27
Misc. Receipt
INTEREST RATE SWAP
125,000,000 USD NOTIONAL 04/30/2012
PAY: FLOATING RATE USD
3 MONTH LIBOR DEAL 257872357
1.7525% REC FIXED, S 30/360
SWAP UNWIND - REF #257872357
- TOTAL CASHFLOW IS PRINCIPAL
5/27
Misc. Receipt
INTEREST RATE SWAP
125,000,000 USD NOTIONAL 05/08/2012
PAY: FLOATING RATE USD
3 MONTH LIBOR DEAL 260160350
1.73% REC FIXED, S 30/360
SWAP UNWIND - REF # 260160350
- TOTAL CASHFLOW IS PRINCIPAL
Total Contributions
Foreign Exchange - Inflows
Spot FX
5/7
$505,215.67
227,000.00
273,000.00
Quantity
Cost
Amount
5,215.67
SPOT CURRENCY TRANSACTION - SELL
BUY USD SELL EUR
(13,000.000)
(16,724.50)
EXCHANGE RATE 1.282200000
EFTA01534916
DEAL 05/05/10 VALUE 05/07/10
16,668.60
Page 22 of 56
EFTA01534917
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Foreign Exchange - Inflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY USD SELL JPY
CONTRACT RATE : 93.494900000
TRADE 4/14/10 VALUE 5/20/10
5/20
Forward FX Contract
SETTLE FORWARD CURRENCY CONTRACT
BUY USD SELL JPY
CONTRACT RATE : 93.335900000
TRADE 4/14/10 VALUE 5/20/10
Total Foreign Exchange - Inflows
Miscellaneous Credits
5/4
$379,034.82
(17,850,000.000 )
(199,318.85)
191,244.62
Quantity
Cost
(15,998,998.500 )
(178,649.97)
Amount
171,121.60
Receipt of Assets
LONG TOTAL RETURN SWAP
4,775,970.00 USD NOTIONAL
GOLDMAN SACHS GRP INC
MAT APR 29 2011 DEAL 5508960
JPMORGAN CHASE BANK
TRADE DATE 04/29/10
5/5
Receipt of Assets
INTEREST RATE SWAP
125,000,000 USD NOTIONAL 05/08/2012
PAY: FLOATING RATE USD
3 MONTH LIBOR DEAL 260160350
1.73% REC FIXED, S 30/360
NEW SWAP DEAL #260160350
JPMORGAN CHASE BANK
TRADE DATE 04/30/10
1.000
30,000.000
EFTA01534918
Page 23 of 56
EFTA01534919
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Miscellaneous Credits
5/14
Receipt of Assets
Description
LONG TOTAL RETURN SWAP
3,208,420 USD NOTIONAL
GOLDMAN SACHS GRP INC
MAT APRIL 28 2011 DEAL 5499085
PARTIAL TERMINATION
JPMORGAN CHASE BANK
TRADE DATE 04/26/10
AS OF 04/26/10
5/18
Receipt of Assets
SX5E DIVIDEND SWAP
FIXED STRIKE EUR 100.00
NUMBER OF BASKET 50,000
MAT DEC 21 2012 DEAL 4458593
JPMORGAN CHASE BANK
TRADE DATE 05/13/10
Total Miscellaneous Credits
Settlement
Date
Withdrawals
5/20
Type
Misc. Disbursement
Description
INTEREST RATE SWAP
14,050,000 USD NOTIONAL 2/15/2040
REC: FLOATING RATE USD
3 MONTH LIBOR DEAL 254307367
4.45653% PAY FIXED, S 30/360
SWAP UNWIND -REF #254307367 -UNWIND
PRINCIPAL
Quantity
Cost
$0.00
50,000.000
Quantity
Cost
20,000.000
Amount
Amount
(938,158.14)
Page 24 of 56
EFTA01534920
EFTA01534921
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Settlement
Date
Withdrawals
5/20
Type
Misc. Disbursement
Description
INTEREST RATE SWAP
14,050,000 USD NOTIONAL 2/15/2040
REC: FLOATING RATE USD
3 MONTH LIBOR DEAL 254307367
4.45653% PAY FIXED, S 30/360
SWAP UNWIND -REF #254307367 -UNWIND
ACCRUED
Total Withdrawals
Settlement
Date
5/10
Type
Foreign Exchange - Outflows
Spot FX
Description
SPOT CURRENCY TRANSACTION - BUY
BUY EUR SELL USD
EXCHANGE RATE 1.269700000
DEAL 05/06/10 VALUE 05/10/10
5/10
Spot FX
SPOT CURRENCY TRANSACTION - BUY
BUY GBP SELL USD
EXCHANGE RATE 1.489500000
DEAL 05/06/10 VALUE 05/10/10
Total Foreign Exchange - Outflows
($863,298.52)
114,800.000
170,994.60
(170,994.60)
Quantity
Cost
545,250.000
692,303.92
($1,030,000.00)
Quantity
Cost
Amount
(91,841.86)
Amount
(692,303.92)
Page 25 of 56
EFTA01534922
EFTA01534923
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Miscellaneous Debits
5/14
Free Delivery
Description
LONG TOTAL RETURN SWAP
8,021,050 USD NOTIONAL
GOLDMAN SACHS GRP INC
MAT APRIL 28 2011 DEAL 5499085
PARTIAL TERMINATION
JPMORGAN CHASE BANK
TRADE DATE 04/26/10
AS OF 04/26/10
5/20
Free Delivery
INTEREST RATE SWAP
14,050,000 USD NOTIONAL 2/15/2040
REC: FLOATING RATE USD
3 MONTH LIBOR DEAL 254307367
4.45653% PAY FIXED, S 30/360
SWAP UNWIND -REF #254307367
JPMORGAN CHASE BANK
TRADE DATE 05/18/10
5/26
Option Assignment
MACERICH CO
CALL OPTION MAY 10 @ 40
COVERED CALL ASSIGNED
TRADE DATE 05/21/10
5/27
Free Delivery
INTEREST RATE SWAP
125,000,000 USD NOTIONAL 04/30/2012
PAY: FLOATING RATE USD
3 MONTH LIBOR DEAL 257872357
1.7525% REC FIXED, S 30/360
SWAP UNWIND - REF # 257872357
TRADE DATE 05/25/10
(1.000)
220.000
43,339.25
(1.000)
Quantity
Cost
(20,000.000)
Amount
Page 26 of 56
EFTA01534924
EFTA01534925
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Miscellaneous Debits
5/27
Free Delivery
Description
INTEREST RATE SWAP
125,000,000 USD NOTIONAL 05/08/2012
PAY: FLOATING RATE USD
3 MONTH LIBOR DEAL 260160350
1.73% REC FIXED, S 30/360
SWAP UNWIND - REF # 260160350
TRADE DATE 05/25/10
Total Miscellaneous Debits
TRADE ACTIVITY
Note:
Trade
Date
4/28
Settlement
Date
5/3
$0.00
Quantity
Cost
(1.000)
Amount
S indicates Short Term Realized Gain/Loss
C indicates Currency Gain/Loss
* Settled transaction was initiated in prior statement period and settled in
current statement period
Type
Settled Sales/Maturities/Redemptions
Sale
Description
APOLLO INVESTMENT CORP
@ 12.32005
BROKERAGE
TAX &/OR SEC
4/29
5/5
Sale
3.96
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/28/10
KANSAS CITY SOUTHERN INDUSTRIES INC
@ 40.056
80,112.00
EFTA01534926
BROKERAGE
TAX &/OR SEC
100.00
1.36
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/29/10
Page 27 of 56
(2,000.000)
40.005
80,010.64
(78,000.00)
2,010.64 S*
Quantity
(19,000.000)
234,080.95
950.00
Per Unit
Amount
12.27
Proceeds
233,126.99
Tax Cost
(235,600.00)
Realized
Gain/Loss
(2,473.01) S*
EFTA01534927
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Trade
Date
4/29
Settlement
Date
5/5
Type
Settled Sales/Maturities/Redemptions
Sale
Description
SYNOVUS FINANCIAL CORP
@ 3.06
306,000.00
BROKERAGE
TAX &/OR SEC
4/30
5/5
Sale
5,000.00
5.18
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/29/10
PAA NATURAL GAS STORAGE LP
@ 23.29842
81,544.47
BROKERAGE
TAX &/OR SEC
5/4
5/7
Sale
175.00
1.38
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/30/10
KINDER MORGAN ENERGY PARTNERSHIP L P
UNIT OF LIMITED PARTNERSHIP INT
@ 65.74
262,960.00
BROKERAGE
TAX &/OR SEC
5/6
5/10
Option Buyback
BRL PUT USD CALL
FX EUROPEAN STYLE OPTION
JUN 04, 2010 @ 1.8
KI @ 1.92
REPURCHASE OF WRITTEN FX OPTION
TRADE DATE 05/06/10
EFTA01534928
5/7
5/11
Option Buyback
XPD PUT OPTION
USD CALL OPTION STRIKE 525
EXPIRES 06/02/2010
BUY BACK OTC PUT
TRADE DATE 05/07/10
10,000.000
39.60
(396,000.00)
140,000.00
(256,000.00) S
200.00
4.45
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/04/10
18,000,000.000
0.021
(373,000.00)
102,000.00
(271,000.00) C
(4,000.000)
65.689
262,755.55
(265,000.00)
(2,244.45) S
(3,500.000)
23.248
81,368.09
(75,250.00)
6,118.09 S*
Quantity
(100,000.000)
Per Unit
Amount
3.01
Proceeds
300,994.82
Tax Cost
(275,000.00)
Realized
Gain/Loss
25,994.82 S*
Page 28 of 56
EFTA01534929
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Trade
Date
5/7
Settlement
Date
5/12
Type
Settled Sales/Maturities/Redemptions
Sale
Description
IMMUNOGEN INC
@ 8.01264
BROKERAGE
TAX &/OR SEC
5/13
5/18
Sale
Quantity
(12,500.000)
100,158.00
625.00
1.70
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/07/10
RAMCO-GERSHENSON PROPERTIES TRUST
@ 11.70
64,350.00
BROKERAGE
TAX &/OR SEC
5/13
5/18
Sale
TELENAV INC
@ 9.38728
BROKERAGE
TAX &/OR SEC
5/18
5/20
Sale
U S A NOTES
4 5/8% FEB 15 2040
DTD 02/16/2010
@ 106.25
JP MORGAN SECURITIES INC (BIDL)
TRADE DATE 05/18/10
5/24
5/24
Expired Option
INR CALL USD PUT
EFTA01534930
FX EUROPEAN STYLE OPTION
MAY 19, 2010 @ 44.5
EXPIRATION OF PURCHASED FX OPTION
(445,000,000.000 )
(93,000.00)
(93,000.00) C
275.00
1.09
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
(3,000.000)
28,161.84
150.00
.48
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
(15,000,000.000 )
106.30
15,937,500.00
(14,887,500.00)
1,050,000.00 S
9.337
28,011.36
(24,000.00)
4,011.36 S
(5,500.000)
11.65
64,073.91
(63,250.00)
823.91 S
Per Unit
Amount
7.963
Proceeds
99,531.30
Tax Cost
(100,000.00)
Realized
Gain/Loss
(468.70) S
Page 29 of 56
EFTA01534931
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Trade
Date
5/20
Settlement
Date
5/25
Type
Settled Sales/Maturities/Redemptions
Sale
Description
GETTY REALTY CORP
@ 21.12927
BROKERAGE
TAX &/OR SEC
5/20
5/25
Sale
REACHLOCAL INC
@ 14.09
BROKERAGE
TAX &/OR SEC
5/20
5/25
Sale
VITAMIN SHOPPE INC
@ 23.16137
BROKERAGE
TAX &/OR SEC
5/24
5/26
Option Buyback
Quantity
(10,000.000)
211,292.70
500.00
3.58
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/20/10
(1,500.000)
21,135.00
100.00
.36
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/20/10
(2,000.000)
46,322.74
100.00
.79
J.P. MORGAN SECURITIES INC.
EFTA01534932
TRADE DATE 05/20/10
ENTRY REVERSED ON 06/15/2010
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 05/24/2010 DEAL 5163005
BUY BACK OTC CALL
SWAP UNWIND - REF # 5163005
TRADE DATE 05/24/10
5/20
5/26
Sale
ACCRETIVE HEALTH INC
@ 13.46
BROKERAGE
TAX &/OR SEC
(1,500.000)
20,190.00
100.00
.35
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/20/10
Page 30 of 56
13.393
20,089.65
(18,000.00)
2,089.65 S
1.000
88,000.00
(88,000.00)
80,000.00
(8,000.00) S
23.111
46,221.95
(47,000.00)
(778.05) S
14.023
21,034.64
(19,500.00)
1,534.64 S
Per Unit
Amount
21.079
Proceeds
210,789.12
Tax Cost
(220,000.00)
Realized
Gain/Loss
(9,210.88) S
EFTA01534933
EFTA01534934
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
5/20
Settlement
Date
5/26
Type
Settled Sales/Maturities/Redemptions
Sale
Description
RESOURCE CAPITAL CORP
@ 5.15171
BROKERAGE
TAX &/OR SEC
5/21
5/26
Sale
MACERICH CO
@ 40.00
BROKERAGE
TAX &/OR SEC
5/28
5/28
Expired Option
Quantity
(6,400.000)
32,970.94
320.00
.56
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/20/10
(22,000.000)
880,000.00
1,320.00
14.88
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/21/10
1 PAYER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS. 3ML
EXP DATE 05/28/2010 DEAL 5163368
EXPIRATION OF PURCHASED OTC CALL
Total Settled Sales/Maturities/Redemptions
$17,439,823.52
($17,169,700.00)
$677,462.77 S
($364,000.00) C
Trade
Date
EFTA01534935
Settlement
Date
5/3
Type
Settled Securities Purchased
4/27
Purchase
Description
APOLLO INVESTMENT CORP
@ 12.40
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/27/10
Quantity
19,000.000
Per Unit
Amount
12.40
(1.000)
(155,000.00)
(155,000.00) S
39.939
878,665.12
(902,000.00)
20,004.37 S
Per Unit
Amount
5.102
Proceeds
32,650.38
Tax Cost
(33,600.00)
Realized
Gain/Loss
(949.62) S
Market Cost
(235,600.00) *
Page 31 of 56
EFTA01534936
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/4
Type
Settled Securities Purchased
4/28
Purchase
Description
KANSAS CITY SOUTHERN INDUSTRIES INC
@ 39.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/28/10
4/28
5/4
Purchase
SYNOVUS FINANCIAL CORP
@ 2.75
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/28/10
4/29
5/4
Write Option
XPD PUT OPTION
USD CALL OPTION STRIKE 525
EXPIRES 06/02/2010
WRITTEN OTC PUT
TRADE DATE 04/29/10
4/29
5/5
Purchase
PAA NATURAL GAS STORAGE LP
@ 21.50
J.P. MORGAN SECURITIES INC.
TRADE DATE 04/29/10
4/30
5/5
Purchase Option
1 PAYER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS. 3ML
EXP DATE 05/28/2010 DEAL 5163368
PURCHASE OTC CALL
NEW SWAPTION DEAL # 5163368
TRADE DATE 04/30/10
4/30
5/5
Write Option
EFTA01534937
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 05/28/2010 DEAL 5163369
WRITTEN OTC CALL
NEW SWAPTION DEAL # 5163369
TRADE DATE 04/30/10
Page 32 of 56
(1.000) 113,000.00
113,000.00
*
1.000
155,000.00
(155,000.00) *
3,500.000
21.50
(75,250.00) *
(10,000.000)
14.00
140,000.00
*
100,000.000
2.75
(275,000.00) *
Quantity
2,000.000
Per Unit
Amount
39.00
Market Cost
(78,000.00) *
EFTA01534938
FINANCIAL TRUST COMPANY INC ACCT. •
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/7
Type
Settled Securities Purchased
5/5
Write Option
Description
BRL PUT USD CALL
FX EUROPEAN STYLE OPTION
JUN 04, 2010 @ 1.8
KI @ 1.92
WRITTEN FX OPTION
PUT 18,000,000.00 BRL
CALL 10,000,000.00 USD
TRADE DATE 05/05/10
5/4
5/7
Purchase
KINDER MORGAN ENERGY PARTNERSHIP L P
UNIT OF LIMITED PARTNERSHIP INT
@ 66.25
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/04/10
5/6
5/12
Purchase
IMMUNOGEN INC
@ 8.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/06/10
5/11
5/13
Write Option
ENTRY REVERSED ON 05/27/2010
JPY CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.50
CTS KI @ 81.50
WRITTEN FX OPTION
CALL 95,000,000.00 JPY
PUT 10,000,000.00 USD
TRADE DATE 05/11/10
(95,000,000.000 )
0.005
470,000.00
12,500.000
EFTA01534939
8.00
(100,000.00)
4,000.000
66.25
(265,000.00)
Quantity
(18,000,000.000 )
Per Unit
Amount
0.006
Market Cost
102,000.00
Page 33 of 56
EFTA01534940
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/13
Type
Settled Securities Purchased
5/11
Purchase Option
Description
JPY PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.5
PURCHASED FX OPTION
PUT 935,000,000.00 JPY
CALL 10,000,000.00 USD
TRADE DATE 05/11/10
5/13
5/17
Purchase Option
GBP PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
PURCHASED FX OPTION
PUT 6,932,409.00 GBP
CALL 10,000,000.00 USD
TRADE DATE 05/13/10
5/13
5/17
Write Option
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
KI @ 1.63
WRITTEN FX OPTION
CALL 6,932,409.00 EUR
PUT 10,000,000.00 USD
TRADE DATE 05/13/10
5/13
5/17
Purchase Option
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.245
PURCHASED FX OPTION
PUT 8,032,128.51 EUR
CALL 10,000,000.00 USD
TRADE DATE 05/13/10
8,032,128.510
EFTA01534941
0.062
(495,000.00)
(6,932,409.000 )
0.071
495,000.00
6,932,409.000
0.071
(495,000.00)
Quantity
935,000,000.000
Per Unit
Amount
0.001
Market Cost
(470,000.00)
Page 34 of 56
EFTA01534942
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/17
Type
Settled Securities Purchased
5/13
Write Option
Description
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.245
KI @ 1.38
WRITTEN FX OPTION
CALL 8,032,128.51 EUR
PUT 10,000,000.00 USD
TRADE DATE 05/13/10
5/12
5/17
Purchase
FORD MOTOR CREDIT CO
7 3/8% FEB 1 2011
DTD 1/30/2001
@ 102.85
JP MORGAN SECURITIES INC (BIDL)
TRADE DATE 05/12/10
5/13
5/18
Purchase
RAMCO-GERSHENSON PROPERTIES TRUST
@ 11.50
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
5/13
5/18
Purchase
TELENAV INC
@ 8.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
5/13
5/19
Purchase
GETTY REALTY CORP
@ 22.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
5/14
EFTA01534943
5/19
Purchase
NUSTAR ENERGY LP
@ 56.55
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/14/10
4,250.000
56.55
(240,337.50)
10,000.000
22.00
(220,000.00)
3,000.000
8.00
(24,000.00)
5,500.000
11.50
(63,250.00)
5,000,000.000
102.90
(5,142,500.00)
Quantity
(8,032,128.510 )
Per Unit
Amount
0.062
Market Cost
495,000.00
Page 35 of 56
EFTA01534944
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/19
Type
Settled Securities Purchased
5/13
Purchase
Description
SOLAR CAPITAL LTD
@ 22.07
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
5/13
5/19
Purchase
STRATEGIC HOTELS & RESORTS INC
@ 4.60
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/13/10
4/22
5/24
Write Option
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 05/24/2010 DEAL 5163005
WRITTEN OTC CALL
TRADE DATE 04/22/10
AS OF 04/26/10
5/20
5/25
Purchase
ACCRETIVE HEALTH INC
@ 12.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/20/10
5/19
5/25
Purchase
REACHLOCAL INC
@ 13.00
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/19/10
5/19
5/25
Purchase
RESOURCE CAPITAL CORP
EFTA01534945
@ 5.25
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/19/10
5/19
5/25
Purchase
VITAMIN SHOPPE INC
@ 23.50
J.P. MORGAN SECURITIES INC.
TRADE DATE 05/19/10
Page 36 of 56
2,000.000
23.50
(47,000.00)
6,400.000
5.25
(33,600.00)
1,500.000
13.00
(19,500.00)
1,500.000
12.00
(18,000.00)
(1.000)
80,000.00
80,000.00
*
20,000.000
4.60
(92,000.00)
Quantity
13,000.000
Per Unit
Amount
22.07
Market Cost
(286,910.00)
EFTA01534946
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
Settlement
Date
5/26
Type
Settled Securities Purchased
5/24
Write Option
Description
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.350% S 30/360 VS 3ML
EXP DATE 07/26/2010 DEAL 5164984
WRITTEN OTC CALL
NEW SWAPTION DEAL # 5164984
TRADE DATE 05/24/10
5/21
5/26
Purchase
FORD MOTOR CREDIT CO LLC
FLOATING RATE NOTE JUN 15 2011
DTD 03/15/2007
@ 100.00
JP MORGAN SECURITIES INC (BIDL)
TRADE DATE 05/21/10
5/11
5/27
Write Option
TO REVERSE ENTRY OF 05/13/2010
JPY CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.50
CTS KI @ 81.50
WRITTEN FX OPTION
CALL 95,000,000.00 JPY
PUT 10,000,000.00 USD
TRADE DATE 05/11/10
AS OF 05/13/10
5/11
5/27
Write Option
JPY CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 11, 2011 @ 93.5
WRITTEN FX OPTION
CALL 935,000,000.00 JPY
PUT 10,000,000.00 USD
TRADE DATE 05/11/10
EFTA01534947
AS OF 05/13/10
Total Settled Securities Purchased
($11,026,947.50)
Page 37 of 56
(935,000,000.000 )
0.001
470,000.00
95,000,000.000
0.005
(470,000.00)
5,000,000.000
100.00
(5,000,000.00)
Quantity
Per Unit
Amount
(1.000) 909,000.00
Market Cost
909,000.00
EFTA01534948
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Trade
Date
5/28
Estimated
Settlement
Date
6/2
Type
Pending Sales, Maturities, Redemptions
Option Buyback
Description
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 05/28/2010 DEAL 5163369
Quantity
1.000
Per Unit
Amount
Proceeds
(380,000.00)
Tax Cost
113,000.00
Realized
Gain/Loss
(267,000.00) S
Trade
Date
Estimated
Settlement
Date
6/2
Type
Description
Pending Securities Purchased
5/28
Write Option
1 RECEIVER SWAPTION CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 08/13/2010 DEAL 5166005
Quantity
(1.000)
Per Unit
Amount
Market Cost
545,000.00
Page 38 of 56
EFTA01534949
EFTA01534950
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Summary - Canadian Dollar
Beginning Cash Balance
US Dollar Value
Current
Transactions
INFLOWS
Total Inflows
Foreign Exchange - Inflows
OUTFLOWS
Total Outflows
Period Value
-9,534,047.18
$9,534,047.18
Foreign
Exchange - Outflows
Ending Cash Balance
* Year to date information is calculated on a calendar year basis.
Portfolio Activity Detail - Canadian Dollar
INFLOWS & OUTFLOWS
Settlement
Date
Type
Foreign Exchange - Inflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY CAD SELL JPY
CONTRACT RATE : 91.600000000
TRADE 3/31/10 VALUE 5/20/10
Quantity
(934,320,000.000 )
Amount USD
Local Value
9,534,047.18
10,200,000.00
Currency
Gain/Loss USD
(519,671.51)
(9,534,047.18)
($9,534,047.18)
-Year-To-Date
Value*
-9,534,047.18
$9,534,047.18
(9,534,047.18)
($9,534,047.18)
-Local
Value
EFTA01534951
Current
Period Value
0.00
10,200,000.00
10,200,000.00
(10,200,000.00)
(10,200,000.00)
0.00
Year-To-Date
Value*
-10,200,000.00
10,200,000.00
(10,200,000.00)
(10,200,000.00)
-Page
39 of 56
EFTA01534952
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Foreign Exchange - Outflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY JPY SELL CAD
CONTRACT RATE : 93.350000000
TRADE 4/14/10 VALUE 5/20/10
Quantity
952,170,000.000
Amount USD
Local Value
(9,534,047.18)
(10,200,000.00)
Currency
Gain/Loss USD
658,855.36
Page 40 of 56
EFTA01534953
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Summary - Euro
Beginning Cash Balance
Current
Transactions
INFLOWS
Total Inflows
Foreign Exchange - Inflows
OUTFLOWS
Total Outflows
Period Value
-692,303.92
$692,303.92
Foreign
Exchange - Outflows
TRADE ACTIVITY
Settled Sales/Maturities/Redemptions
Settled Securities Purchased
Total Trade Activity
Ending Cash Balance
* Year to date information is calculated on a calendar year basis.
(692,985.49)
16,724.50
($676,260.99)
-(692,985.49)
16,724.50
($676,260.99)
-(545,250.00)
13,000.00
(532,250.00)
0.00
(545,250.00)
13,000.00
(532,250.00)
-(16,668.60)
($16,668.60)
US
Dollar Value
Local Value
Year-To-Date
Value*
-692,303.92
$692,303.92
(16,668.60)
($16,668.60)
Current
Period
Value
0.00
545,250.00
EFTA01534954
545,250.00
(13,000.00)
(13,000.00)
Year-To-Date
Value*
-545,250.00
545,250.00
(13,000.00)
(13,000.00)
Page
41 of 56
EFTA01534955
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Detail - Euro
INFLOWS & OUTFLOWS
Settlement
Date
5/10
Type
Foreign Exchange - Inflows
Spot FX
Description
SPOT CURRENCY TRANSACTION - BUY
BUY EUR SELL USD
EXCHANGE RATE 1.269700000
DEAL 05/06/10 VALUE 05/10/10
Quantity
(692,303.920)
Amount USD
Local Value
692,303.92
545,250.00
Currency
Gain/Loss USD
Settlement
Date
5/7
Type
Description
Foreign Exchange - Outflows
Spot FX
SPOT CURRENCY TRANSACTION - SELL
BUY USD SELL EUR
EXCHANGE RATE 1.282200000
DEAL 05/05/10 VALUE 05/07/10
Quantity
16,668.600
Amount USD
Local Value
(16,668.60)
(13,000.00)
Gain/Loss USD
(55.90)
Currency
Page 42 of 56
EFTA01534956
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
TRADE ACTIVITY - Euro
Note:
Trade
Date
5/6
Settlement
Date
5/10
C indicates Currency Gain/Loss
Per Unit
Type
Settled Sales/Maturities/Redemptions
Sell Option
Description
PLN CALL EUR PUT
FX EUROPEAN STYLE OPTION
APR 20, 2011 @ 3.9
RESALE OF PURCHASED FX OPTION
TRADE DATE 05/06/10
5/6
5/10
Option Buyback
PLN PUT EUR CALL
FX EUROPEAN STYLE OPTION
APR 20, 2011 @ 3.9
CTS KI @ 4.49
REPURCHASE OF WRITTEN FX OPTION
TRADE DATE 05/06/10
Total Settled Sales/Maturities/Redemptions (USD)
Per Unit
Trade
Date
Settlement
Date
5/7
Type
Settled Securities Purchased
5/5
Purchase Option
Description
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.28
PURCHASED FX OPTION
PUT 10,000,000.00 EUR
CALL 12,800,000.00 USD
TRADE DATE 05/05/10
Page 43 of 56
Quantity
EFTA01534957
10,000,000.000
Amount USD
Local Value
0.028
2.15
($692,985.49)
Market
Cost USD
Local Value
(276,597.42)
(215,000.00)
Currency
Gain/Loss USD
$0.00
($692,985.49) C
29,250,000.000
0.028
(816,903.11)
(642,750.00)
324,085.73
240,750.00
(492,817.38) C
Quantity
(29,250,000.000 )
Amount USD
Local Value
0.004
Proceeds USD
Local Value
123,917.62
97,500.00
Tax Cost USD
Realized
Local Value Gain/Loss USD
(324,085.73)
(240,750.00)
(200,168.11) C
EFTA01534958
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Per Unit
Trade
Date
Settlement
Date
5/7
Type
Settled Securities Purchased
5/5
Write Option
Description
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.24
WRITTEN FX OPTION
PUT 10,000,000.00 EUR
CALL 12,400,000.00 USD
TRADE DATE 05/05/10
5/5
5/7
Write Option
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
JUL 15, 2010 @ 1.32
WRITTEN FX OPTION
CALL 10,000,000.00 EUR
PUT 13,200,000.00 USD
TRADE DATE 05/05/10
5/6
5/10
Sale
PLN PUT EUR CALL
FX EUROPEAN STYLE OPTION
APR 20, 2011 @ 3.9
CTS KI @ 4.49
REPURCHASE OF WRITTEN FX OPTION
TRADE DATE 05/06/10
Total Settled Securities Purchased (USD)
$16,724.50
$681.57
(642,750.000)
681.57
(10,000,000.000 )
0.016
1.23
158,239.46
123,000.00
Quantity
(10,000,000.000 )
EFTA01534959
Amount USD
Local Value
0.014
1.05
Market
Cost USD
Local Value
135,082.46
105,000.00
Currency
Gain/Loss USD
Page 44 of 56
EFTA01534960
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Summary - Japanese Yen
Beginning Cash Balance
US Dollar Value
Current
Transactions
INFLOWS
Total Inflows
Foreign Exchange - Inflows
OUTFLOWS
Total Outflows
Period Value
-20,841,850.77
$20,841,850.77
Foreign
Exchange - Outflows
Ending Cash Balance
* Year to date information is calculated on a calendar year basis.
Portfolio Activity Detail - Japanese Yen
INFLOWS & OUTFLOWS
Settlement
Date
Type
Foreign Exchange - Inflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY JPY SELL CAD
CONTRACT RATE : 93.350000000
TRADE 4/14/10 VALUE 5/20/10
Quantity
(10,200,000.000 )
Amount USD
Local Value
10,632,237.13
952,170,000.00
Currency
Gain/Loss USD
439,334.59
(20,841,850.77)
($20,841,850.77)
-Year-To-Date
Value*
-20,841,850.77
$20,841,850.77
(20,841,850.77)
($20,841,850.77)
-Local
Value
EFTA01534961
Current
Period Value
0.00
1,868,168,998.48
1,868,168,998.48
(1,868,168,998.48 )
(1,868,168,998.48 )
0.00
Year-To-Date
Value*
-1,868,168,998.48
1,868,168,998.48
(1,868,168,998.48
)
(1,868,168,998.48 )
-Page
45 of 56
EFTA01534962
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Foreign Exchange - Inflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY JPY SELL KRW
CONTRACT RATE : 11.982000000
TRADE 4/14/10 VALUE 5/20/10
5/21
Forward FX Contract
SETTLE FORWARD CURRENCY CONTRACT
BUY JPY SELL KRW
CONTRACT RATE : 11.982000000
TRADE 4/14/10 VALUE 5/21/10
Total Foreign Exchange - Inflows
Settlement
Date
$20,841,850.77
Type
Foreign Exchange - Outflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY USD SELL JPY
CONTRACT RATE : 93.494900000
TRADE 4/14/10 VALUE 5/20/10
5/20
Forward FX Contract
SETTLE FORWARD CURRENCY CONTRACT
BUY USD SELL JPY
CONTRACT RATE : 93.335900000
TRADE 4/14/10 VALUE 5/20/10
5/20
Forward FX Contract
SETTLE FORWARD CURRENCY CONTRACT
BUY CAD SELL JPY
CONTRACT RATE : 91.600000000
TRADE 3/31/10 VALUE 5/20/10
10,200,000.000
(10,432,918.28)
(934,320,000.00)
(379,199.59)
191,244.620
(199,318.85)
(17,850,000.00)
EFTA01534963
(8,074.23)
Quantity
171,121.600
Amount USD
Local Value
(178,649.97)
(15,998,998.50)
$843,253.33
Currency
Gain/Loss USD
(7,528.37)
(5,487,750,000.000 )
5,095,443.61
457,999,499.24
192,596.16
Quantity
(5,487,750,000.000 )
Amount USD
Local Value
5,114,170.03
457,999,499.24
Currency
Gain/Loss USD
211,322.58
Page 46 of 56
EFTA01534964
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Settlement
Date
Type
Foreign Exchange - Outflows
5/20
Forward FX Contract
Description
SETTLE FORWARD CURRENCY CONTRACT
BUY KRW SELL JPY
CONTRACT RATE : 12.195000000
TRADE 3/31/10 VALUE 5/20/10
5/21
Forward FX Contract
SETTLE FORWARD CURRENCY CONTRACT
BUY KRW SELL JPY
CONTRACT RATE : 12.195000000
TRADE 3/31/10 VALUE 5/21/10
Total Foreign Exchange - Outflows
($20,841,850.77)
($725,380.98)
5,487,750,000.000
(5,006,118.62)
(449,999,999.98)
(155,926.18)
Quantity
5,487,750,000.000
Amount USD
Local Value
(5,024,845.05)
(450,000,000.00)
Currency
Gain/Loss USD
(174,652.61)
Page 47 of 56
EFTA01534965
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Portfolio Activity Summary - Pound Sterling
Beginning Cash Balance
US Dollar Value
Current
Transactions
INFLOWS
Total Inflows
Foreign Exchange - Inflows
OUTFLOWS
Total Outflows
Period Value
-170,994.60
$170,994.60
Foreign
Exchange - Outflows
$0.00
TRADE ACTIVITY
Settled Sales/Maturities/Redemptions
Settled Securities Purchased
Total Trade Activity
Ending Cash Balance
* Year to date information is calculated on a calendar year basis.
(171,872.89)
($171,872.89)
-(171,872.89)
163,465.02
($8,407.87)
-(114,800.00)
(114,800.00)
0.00
(114,800.00)
105,700.00
(9,100.00)
-Year-To-Date
Value*
-170,994.60
$170,994.60
(163,147.95)
($163,147.95)
Local
Value
Current
Period Value
0.00
114,800.00
114,800.00
Year-To-Date
Value*
-114,800.00
ℹ️ Document Details
SHA-256
2039d813f7117ac07d887cb36fa6a2aed61fccf1dc65136bf8fc98bb707a375a
Bates Number
EFTA01534879
Dataset
DataSet-10
Document Type
document
Pages
104
Comments 0