FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/II to 6/30/11 Adjusted Tax Cost Unrealized Est. Annual Income Pnce Quantity Value Original Cost Gain/Loss Acaued Interest Yield Complementat) Structured Strategies A JPM HARRAHS 14M CLN 09.20.11 INITIAL RATE 7.0% CPN WHERE MAX RATE IS 7.0% PER ANNUM DD 7/7/10 4882A0-2C-4 AA- /NR 100.34 10,000,000 00 10 034,000 00 9,793.061 66 240938.34 700.000 00 4 44% 10.009000.00 79.720.00 Trade Date Currency Amount Contract Rate Current Market Forward Rate Market Value Receivable Unittaltzed Gain/Loss Market Value Payable Settlement Date Counter Currency Counter Amount Foreign Exchange Contracts CHINESE RENMINBI US DOLLAR Jan. 13 11 Jan. 18 12 CNY USD 84,200,000.00 (10,000,000.00) 8.420000 8.424099 9,993,819.29 10,000,000.00 (8,380.71) CHINESE RENVIINI3I US DOLLAR Jun. 8 11 Jun. 11 12 CNY USD 31,818,000.00 (5,000,000.00) 8.383800 8182227 4,985,408.82 5,000,000.00 (14,593.18) INDIAN RUPEE US DOLLAR May.11 11 Aug. 18 11 INR USD 457,000,000.00 (10,079,400.09) 45.340000 44.909647 10,175,987.46 10,079,400.09 98,587.37 SINGAPORE DOLLAR US DOLLAR May. 11 11 Aug. 18 11 SGD USD 12,679,500.00 (10,290,707.73) 1.232131 1.227547 10,329,133.26 10,290,707.73 38,425.53 Total Foreign Exchange Contracts $36,484,146.87 $35,370,107.82 $114,039.01 JP Morgan Account Page 14 of 25 Page 17 of 33 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00014845 SDNY_GM_00284043 EFTA01492238