EFTA01493375.pdf

) Ln77 ,71 FINANCIAL TRUST COMPANY INC ACCT. W23560001 For the Period 8/1/12 to 8/31/12 Adjusted Tax Cost Unrealized Est. Annual Income Price Quantity Value Original Cost Gain/Loss Accrued Interest Yield Complementary Structured Strategies JP MORGAN CHASE BANK NA 95.70 1,500,030.00 1,435,500.00 1500,000.00 (64,500.00) 93,000.00 8.02% 6.200% 0411612015 OTD 04/162012 8124/12 3,874.50 4662A0-40-1 Total Complementary Structured Strategies 82506.184.82 82,600,000.00 36,184.62 $93,000.00 4.60% $3,874.50 Market Value Receivable Trade Date Currency Amount Contract Current Market Market Value Unrealized Settlement Date Counter Currency Counter Amount Rate Forward Rate Payable Galn/Lose Foreign Exchange Contracts MEXICAN NEW PESO Aug. 17 12 MXN 12,900,030.00 13.212400 13.283292 971,144.79 (5,210.75) US DOLLAR Sep. 21 12 USD (976,355.54) 976,355.54 SWISS FRANC Aug 1 12 CHF 11,990,000.00 1.199000 1.200201 12,602,057.52 (12622.13) EURO CURRENCY Nov 512 EUR (10,000,000.00) 12,814,679.65 Total Foreign Exchange Contracts 813,673,202.31 (317,83268) $13,681,035.19 JP Morgan Account 1N23560001 Page 18 of 36 Consolidated Statement Page 21 Confidential Treatment Requested by JPMorgan JPM-SDNY-000 16225 Chase CONFIDENTIAL SDNY_GM_00285423 EFTA01493375