EFTA02707944.pdf

Southern Trust Co. 2-Sep-13FENICS TRADE H. of LL ETF GLL NO. -HALES ISTED CONTRACT ••i Date GLL Put/Call US 4a H 991:010 19 18-Jan-14GLL PUT S 4 100 1 18-Jan-14IGLL PUT AUD-USD °Donal USD otlonal AUD Expiry Date USD Put/Call 2 9 400 000 (10 000 000) 24-Jan-14 USD PUT 14 (4,005,000) 4,500,000 24-Jan-14 USD CALL NZD-USD •tional USD r tional NZD Expiry Date USD Put/Call US 1 8,200,000 (10,000,000) 23-Jan-14 USD PUT S 5,8 (2,400,000 3,000,000 24-Oct-13USD CALL S 10 1 600 000 (2,000,000) 6-Feb-14 USD PUT GBP-USD otional USD otional GBP Expiry Date USD Put/Call US 13 7 850 000 (5,000 000) 6-Feb-14 USD Put Currency Pak-. USD - CAD °Donal USD .tonal CAD Expiry Date USD Put/Call US 15 4,500,000 (4,590,0001 24-Jan-13 USD Put S Currency Pair: i1SD - JPY .tional USD °bona' JPY Expiry Date USD Put/Call US 6 5,000,000 (485,500,000) 29-Jan-14USD Put S 11 (285 000 000) 3 000 000 69 . SD NOR -POT RATE FWD PTS FWD RATE CURR EFTA_R1_02107069 EFTA02707944 F5 $2,719,500 $ 0.778090 $ (0.001090) 0.7770000NZD F6 $1.788.000 $ 0.894370 $ (0.000370) 0.8940000AUD EFTA_R1_02107070 EFTA02707945  VALUES EN POSITIONS PRICED - BY JPM Ref. Option USD Current Rate S t T trike VALUE 90.00PUT 91.00 78.8200 89.90PUT 90.00 78.6200 Ref. Option RKI KO Current Spot Spot Type - bike Trigger Trigger 0.9193RKI/KO 0.94 0.9600 0.8800 0.8900 WINDOW RKI 0.89 0.8760HONLY UNTIL 0.8900 9-Sep-13 Ref. Option ,RKI KO Current Spot Spot Type - trike Trigger Trigger 0.8000RKI/KO 0.82 0.8450 0.7680 0.7730 0.8100$O 0.80 0.8400 0.7730 0.7880KO 0.80 0.7700 0.7730 Ref. Option RKI KO Current Spot Spot Type - trike Trigger Trigger HRKI/KO 1.57 1.585 1.53 1.5500 Ref. Option pKI KO ,Current Spot Spot Type - bike Trigger Trigger OE 1.02 1.0530 Ref. Option 12KI KO Current Spot Spot Type - bike Trigger Trigger 97.1000RKIIKO 95.00 94.00 101.00 98.3000 97.1000KO 95.00 99.35 98.3000 mtm mtrn CURR NOTL ETTLES spot hvd points EFTA_R1_02107071 EFTA02707946 3,500,000 23-Sep 0.7730 -0.0010 2,000,000 23-Sep 0.8900 EFTA_R1_02107072 EFTA02707947 MONTH END PRIES AS OF 8/31/13 _AC INFO Premium MARK USD NET ABS VALUE USD paidyrec $ VALUE P/L USD OPT N $10.50 $19,893.00 $17.00 $32,300 ($12,407) $10.00 $997.00 $16.00 $1,600 ($603) Price % Premium Marked to ,USD VALUE NET ABS VALUE USD (paidyrec % P/L USD OPT N 1.0250% $96,350.00 -0.220% ($20,680) $75,670 $9,400,000 1.0900% $43,654.50 -1.930% ($77,297) ($33,642) $4,005,000 Price % Premium Marked to USD NET ABS VALUE USD paidyrec Market VALUE P/L USD OPT N 1.0000% $82,000.00 -0.07% ($5,740) $76,260 $8,200,000 1.8050% $43,320.00 -4.240% ($101,760) ($58,440) $2,400,000 0.9550% $15,280.00 -0.180% (32.880) $12,400 $1,600,000 Price % Premium Marked to USD NET USD paid)/rec Market VALUE P/L 0.8350% $49,847.50 -0.650% 3(51,025.00) ($1,177.50) $7 850 000 i $0 $0 Price % Premium Marked to USD NET USD (paidyrec Market VALUE P/L 1.3000% $58,500.00 -0.64% ($28,800) $29,700 $4,500,000 $0 $0 Price % Premium Marked to USD 'NET USD (paidyrec Market VALUE P/L 1.4250% $71,250.00 -1.28% ($64,000) $7,250 $5 000 000 0.9400% $28,200.00 -0.61% ($18,300) $9,900 $3,000,000 $0 TOTAL CAPITAL $5 000 000 Total NET USD SI $45,955,000 $3,216,850 COLLATERA Total USD Forwar $4,507,500 2013 Realized Ga $58,589 $58,589 Marked to Market $130,411 $130,411 2013 Total Cash li $567,881.23 $539,681 2013 Net Closeou $5,189,000 2013 Performance $189,000 3.78% mtm mtm NET NET UNREALIZEIABS VALUE outright USD P/L P/L USD NOR EFTA_R1_02107073 EFTA02707948 $ 0.7720 $2,702,000 $17.500 $2,719,500 $ 0.8900 $1,780,000 $8.000 $1,788,000 TOTAL $25,500 $4,507,500 EFTA_R1_02107074 EFTA02707949 B/E 81 80 B/E 1 0.009635 B/E closeout breakeven 1 0.0082 SELL NZD 1 0.01444 0.83392 -0.03392 BUY NZD 1 0.00764 loseout breakeven 2 0.0099695 0 0 0 1 0.01326 0 0 0 0 94 1.35375 BUY USD JPY 94.107 0.893 0 L USED $493,490.00 EFTA_R1_02107075 EFTA02707950 EFTA_R1_02107076 EFTA02707951 EFTA_R1_02107077 EFTA02707952 EFTA_R1_02107078 EFTA02707953 TRADE Southern Trust Co. NO. Trade Date CCY Amount CCY Amount 1 24-Jul-13NZD 10,000,000USD 8,200,000 2 24-Jul-13AUD 10,000,000USD 9,400,000 3 24-Jul-13 CAD 10,200,000USD 10,000,000 4 24-Jul-13,GLL 9,000 clA 24-Jul-13 GLL 172,900 5 25-Jul-13NZD 5,000,000USD (4,000,000) 6 29-Jul-13JPY 475,000,000USD 5,000,000 7 31-Jul-13 NZD 5,000,000USD 3,900,000 8 1-Aug-13NZD 2,000,000USD 1,800,000 9 2-Aug_-13NZD 2,000,000USD (1,560,000) 10 6-Aug-13 NZD 2,000,000USD 1,600,000 11 6-Aug13JPY USD 3,000,000 12 7-Aug-13CAD 10,200,000USD (10,000,000) 13 7-Au -13 GI3P 5 000 000USD (7,850,000) 14 8-Aug-13 AUD 4,500,000USD (4,005,000) 15 9-Aug-13 CAD 4,411,765USD 4,500,000 16 23-Aug-13NZD 3,000,000USD (2,340,000) EFTA_R1_02107079 EFTA02707954  TRADE DATE CURR NOTL USD NOTIONAL F1 2-Aug-1AZD 500,000USD $(395,850.00) F5 22-Aug-13NZD 500,000USD $391,725.00 S1 20-Aug-13 JPY 381,342,000USD $3,900,000.00 S2 20-Aug-13JPY 381,342,000USD $3,917,628.93 F2 21-Aug-13 NZD 2,000,000USD $1,573,186.00 F5 22-Aug-13NZD 2,000,000USD $(1,566,900.00) F3 21-Aug-13 AUD 2,000,000USD $1,799,236.00 F6 22-Aug-13lAUD 2,000,000USD $(1,803,000.00) F4 21-Aug-13GBP 1,000,000USD $(1,563,633.00) F5 22-Aug-13 NZD 2,500,000USD $1,957,500.00 F6 22-Aug-13AUD 2,000,000USD $1,802,000.00 z7 22-Au -13 GI3P 1 000 000USD $1 559 213.00 F8 28-Aug-13NZD 2,000,000USD $(1,554,400.00) F9 28-Aug-13 AUD 1,000,000USD $(894,200.00) F10 28-Aug-13NZD 2,000,000USD $1,554,600.00 F10 28-Aug-13 NZD 1,000,000USD $777,300.00 F11 28-Aug-13AUD 1,000,000USD $894,300.00 29-Au -13 AUD 2 000 000USD $(1,788,740.00) 29-Aug-13AUD 2,000,000USD $1,788,000.00 29-Aug-13NZD 3,500,000USD $(2,723,315.00) 29-Aug-13NZD 3,500,000USD $2,719,500.00 EFTA_R1_02107080 EFTA02707955 29-Aug-13GBP 1,000,000 SD $(1,549,280.00) 29-Aug-133BP 1,000,000 SD $1,549,000.00 EFTA_R1_02107081 EFTA02707956 as of 2-Sep-13 Curr Expiry Date Strike Option Type Barrier P/C Prem % January 23, 2014 0.8200NZD CALL RKI/KO .8450/.7680 C 1.0000% January 24, 2014 0.9400 AUD CALL RKI/KO .96/88 C 1.0250% January 24, 2014 1.0200CAD CALL RKI/KO 1.005/1.055 C 0.9100% January 18, 2014 90.0000GLL PUT P $10.50 January 18, 2014 91.0000GLL PUT P $10.00 October 24, 2013 0.8000NZD PUT KO 0.8400p 1.8050% January 29, 2014 95.0000USD CALL RKI KO 94J101 C 1.4250% August 26, 2013 0.7800NZD Put P -0.7850% October 24, 2013 0.8000NZD PUT KO 0.8400P -3.4650% August 26 2013 0.7800NZD Put P 1.1000% February 6 2014 0.8000NZD Call 0.770dC 0.9550% February 6, 2014 95.0000 JPY CALL 99.3500 C 0.9400% January 24, 2013 1.0200 CAD CALL 1.0050/1.0550 C -0.4900% February 6, 2013 1.5700 GBP CALL 1.585/1.53 C 0.6350% January 24, 2013 0.8900AUD PUT Wb RKI .876 p 1.0900% January 24, 2013 1.0200 CAD CALL C 1.3000% January 24, 2013 0 7800NZD Put P 0.445% EFTA_R1_02107082 EFTA02707957  Net premium OUTRIGHT SETTLEMENT SPOT RATE FWD POINTS FWD August 26, 2013 1 0 1 August 26, 2013 0.78345 0.78345 August 22, 2013 97.78 August 23, 2013 97.34 August 26, 2013 0.78665 0 0.786593 August 26, 2013 0.78345 0.78345 August 26, 2013 0.8998 0 0.899818 August 26, 2013 0.9015 0.901500 September 23, 2013 1.564 0 1.563633 September 3, 2013 0.78345 $ (0.00045) 0.783000 September 3, 2013 0.9015 $ (0.00050) 0.901000 September 3, 2013 1.5593 -0.000087 $ 1.559213 August 30, 2013 0.7772 $ 0.777200 August 30, 2013 0.8942 $ 0.894200 August 30, 2013 0.7773 $ 0.777300 September 3, 2013 0.7773 $ 0.777300 August 30, 2013 0.8943 $ 0.894300 sept 3 0.89437 $ 0.894370 sept 9 0.89437 -0.00037 0.894000 sept 3 0.77809 0.778090 sept 23 0.77809 -0.00109 0.777000 EFTA_R1_02107083 EFTA02707958 sept 3 1.54928 1.549280 sept 23 1.54928 -0.00028 1.549000 0.000000 0.000000 0.000000 EFTA_R1_02107084 EFTA02707959  traded hided absolute value Premium USD Net Cash in/(out) spot ref vol ref usd notl $82,000.00 0.8001 10.6 $8,200,000 $96,350.00 0.9195 10 $9,400,000 $91,000.00 103 6.70% $10,000,000 $997.00 89 $0 $19,893.00 89 $0 $72,200.00 0.8105 11.82% $4,000,000 $71,250.00 98.08 12.60% $5,000,000 $(30,615.00) 0.7947 13.5 $3,900,000 $(55,440.00) 0.788 12.125 $1,600,000 $17,160.00 0.782 11.48 $1,560,000 $15,280.00 0.788 11.24 $1,600,000 $28,200.00 97.7 12 $3,000,000 $(49,000.00) 1.0423 6.78 $10,000,000 $49,847.50 1.5495 7.724 $7 850 000 $43,654.50 0.9108 11.37 $4,005,000 $58,500.00 1.029 6.8 $4,500,000 $10,413.00 0.77692 12 $2,340,000 EFTA_R1_02107085 EFTA02707960 $521,690.00 EFTA_R1_02107086 EFTA02707961 EFTA_R1_02107087 EFTA02707962 TRADE - •uthem Trust Co. losed pos italicized NO. rade Date CCY Amount CCY Amount X OTC • .tans 1 24-Jul-13NZD (10,000,000)USD 8,200,000 2 24-Jul-13AUD (10,000,000)USD 9,400,000 3 24-Jul-13 CAD 10 200 000 USD 10 000 000 12 7-Aug-13 CAD 10,200,000USD (10,000,000) 4 24-Jul-13GLL 9,000 4A 24-Jul-13GLL 172,900 5a 25-Jul-13NZD (2,000,000)USD 1,600,000 8 1-Aug-13NZD 2,000,000USD (1,600,000) 5b 25-Jul-13NZD (3,000,000)USD 2,400,000 6 29-Jul-13JPY (475,000,000)USD 5,000,000 7a 31-Jul-13NZD (2,000,000)JSD 1,560,000 9 2-Aug-13NZD 2,000,000 SD (1.560,000) 7b 31-Jul-13NZD (3,000,000)USD 2,340,000 16 23- -13NZD 3 000 000USD 2 340 000 10 6-Aug-13NZD 2,000,000USD 1.600,000 11 6-Aug-13JPY 285,000,000USD 3,000,000 16 2-Sep-13JPY 13 7-Aug-13 GBP 5,000,000USD 7,850,000 14 8-Aug-13AUD 4,500,000USD 4,005,000 15 9-A -13CAD 4,411,785USD 4500,000 EFTA_R1_02107088 EFTA02707963 F1 2- .-13NZD 500,000USD $395,850.00 F2 21- -13NZD 2 000 000USD $1 573 186.00 F5 22-Aug-13,NZD 2,500,000USD $(1,958,625.00) S1 20-Aug-13 JPY 381,342,000USD $(3,900 000.00) S2 20-Aug-13JPY 381,342,000USD $3,917,628.93 F3 21-Aug-13AUD 2,000,000USD $1,799,236.00 F8 22-Aug-13AUD 2,000,000USD $(1,803,000.00) F4 21-Aug-13 GBP 1,000,000USD $(1,563,913.00) • 9a GBP 1 000 000USD $1 549 000.00 22-Aug-13NZD $ (2,500,000)USD $1,957,500.00 • 9AUG-13 NZD $ 2 500 000 USD $ 1 945 225.00 22-Aug-13AUD $ (2,000,000)USD $1,802,000.00 29-Aug-13AUD $ 2,000,000 USD $(1,788,740.00) 23-Aug-13GBP 1,000,000USD $1,559,463.30 • 9Aug GBP 1,000,000USD $(1,549,280.00) SPOT 28-Aug-13/NZD 2,000,000)USD $(1,554,400.00) SPOT 28-Aug-13NZD 2,000,000USD $1,554,600.00 28-Aug-13NZD 1,000,000USD -$777,280.00 .. gaug NZD 1000000USD $778,090.00 28-Aug-13AUD 1,000,000USD $ (894,200.00) 28-Aug-13AUD 1,000,000USD 894,300 29-Aug-13AUD 2,000,000USD 1,788,000 EFTA_R1_02107089 EFTA02707964 29AUG-13 3,500,000USD 2,719,500 EFTA_R1_02107090 EFTA02707965 as of 2-Sep-13 Expiry Date Strike option Barrier p/C remlum 23-Jan-14 0.8200NZD CALL RKI/KO .8450/.7680 C 1.000% 24-Jan-14 0.9400 AUD CALL RKI/KO .96/88 C 1.025% 24-Jan-14 1.0200 CAD CALL RKI/KO 1.005/1.055 C 0.910% 25-Jan-14 1.0200 CAD CALL RKI/KO 1.005/1.055 C -0.490% 18-Jan-14 90.0000 GLL PUT P $10.50 18-Jan-14 91.0000GLL PUT P $10.00 24-Oct-13 0.8000 NZD PUT KO 0.8400 P 1.805% 24-Oct-13 0.8000 NZD PUT KO 0.8400P -3.465% 24-Oct-13 0.8000 NZD PUT KO 0.8400P 1.805% 29-Jan-14 95.0000USD CALL RKI KO 94./101 C 1.425% 28-Aug-13 0.7t300fraD Put P 26-Aug-13 0.7800NZD Put 26-Aug-13 0.7800 NZD Put P 26-Aug-13 0.7800 NZD Put P 0.445% 8-Feb-14 0.8000 NZD Call 0.7700C 0.955% 6-Feb-14 95.0000 JPY CALL 99.3500C 0.940% 6-Feb-14 1.5700 GBP CALL 1.5850/1.53 C 0.635% 24-Jan-13 0.8900 AUD PUT VVb RKI .876 P 1.0900% 24-Jan-13 1.0200 CAD CALL C 1.3000% EFTA_R1_02107091 EFTA02707966  28-Aug-13 0.793000 0 1 26-Aug 0.786650 0 0.786593 26-Aug-13 0.783450 0.783450 22-Aug-13 97.780000 22-Aug-13 97.340000 26-Aug 0.899800 0 0.899618 28-Aug-13 0.901500 0.901500 23-Sep 1.564000 0 1.583913 23-Sep 1.549000 0 1.549000 3-Sep 0.783450 0 0.7830000 3-Sep 0.778090 3-Sep 0.901500 0 0.9010000 3-Sep 0.894370 3-Sep 1.559500 0 1.5594633 3-Sep 1.549280 1.5492800 30-Aug 0.777200 30-Aug 0.777300 3-Sep_ 0.777300 -0.00002 0.777280 3/13 12:00 AM 0.778090 1 30-Aug 0.894200 30-Aug 0.894300 23-Sept 0.894370 -0.00037 1 EFTA_R1_02107092 EFTA02707967 23-Sept 0.778090 -0.00109 1 0 0 EFTA_R1_02107093 EFTA02707968 Premium REALIZED SPOT VOL abs val USD GAIN/(LOSS) traded traded $ notl $82,000.00 0.8001 10.60% $8,200,000 $96,350.00 0.9195 10% $9,400,000 $91,000.00 103 6.70% $10,000,000 $(49,000.00) $42,000.00 1.0423 6.69% $10,000,000 $997.00 89 $19,893.00 89 $28,880.00 0.8105 11.82% $1,600,000 $(55,440.00) ($26,560.00) 0.788 12.13% $43,320.00 $2,400,000 $71,250.00 98.08 12.60% $5,000,000 $(12,246.00) 0.7947 13.50% $1,580,000 $17,160.00 $4,914.00 0.77742 9% $(18,369.00) $2,340,000 $10,413.00 ($7,956.00) $15,280.00 0.788 12.40% $1,600,000 $28,200.00 97.7 12.14% $3,000,000 $0.00 $28,200.00 $49,847.50 1.5495 7.72% $7,850,000 $43,654.50 0.9108 11.372 $4,005,000 $58,500.00 $4,500,000 NET OPTION P/L $40,598.00 ET OPT CASH $521.690.00 EFTA_R1_02107094 EFTA02707969 NET FWD $46,191.23 NET CASH $567,881.23 $10,411.00 $17,628.93 $(3,764.00), $(14,913.00) $12,275.00 $13,260.00 $10,183.30 $200.00 $810.00 $100.00 EFTA_R1_02107095 EFTA02707970 NET FORWARD Pit $48,191.23 REALIZED NET $88,789.23 EFTA_R1_021 07096 EFTA02707971 EFTA_R1_02107097 EFTA02707972 EFTA_R1_02107098 EFTA02707973 EFTA_R1_02107099 EFTA02707974 !Text EFTA_R1_02107100 EFTA02707975