) Ln77 ,71 FINANCIAL TRUST COMPANY INC ACCT. W23580001 For the Period 8/1/12 to 8/31/12 Adjusted Tax Cost Unrealized Est. Annual Income Price Quantity Value Original Cost Gain/Loss Acaued Interest Yield Complementary Structured Strategies JP MORGAN CHASE BANK NA 6.200% 04/16/2015 OTD 04/16'2012 4662A0-40.1 95 70 8/24/12 1.500.000.00 1.436500.00 1,500,000.00 (64,500.00) 93,000.00 3,874.50 8.02% Total Complementary Structured Strategies $2.606.184.82 82,600,000.00 $6,184.82 $93,000.00 $3,874.50 4.80% Trade Date Currency Amount Contract Rate Current Market Forward Rate Market Value Receivable Unrealized GeWLose Market Value Payable Settlement Date Counter Currency Counter Amount Foreign Exchange Contracts MEXICAN NEW PESO Aug. 17 12 MXN 12,900,000.00 13.212400 13.283292 971,144.79 (5,210.75) US DOLLAR Sep. 21 12 USD (978,355.54) 978,355.54 SWISS FRANC Aug. 1 12 CHF 11,990,000.00 1.199000 1.200201 12,802,057.52 (12022.13) EURO CURRENCY Nov. 512 EUR (10,000,000.00) 1Z814,679 65 Total Foreign Exchange Contracts 813,573,202.31 (817)332.811) $13,681,035.19 JP Morgan Account 1A23560001 Page 18 of 36 Consolidated Statement Page 21 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-000 16171 SDNY_GM_00285369 EFTA01493324