EFTA01120831.pdf

position summaryjable 1 Southern Tru.s. Dec 28, 25 FENICS TRADE no. of GLL ETF GLL NO. SHARES LISTED CONTRACTSI Expiry Date GLL Put/Call L/S 1-- I 4a 1,900 19 Jan 18, 14 GLL PUT S 4 100 1 Jan 18, 14 GLL PUT S AUD-USD Notional USD Notional AUD lExpiry Date USD Put/Call US 2 9,400,000 -10,000,000 Jan 24, 14 USD PUT S 14 -4,005,000 4,500,000 Jan 24, 14 USD CALL S NZD-USD Notional USD Notional NZD 1 Expiry Date USD Put/Cali L/S 1 8,200,000 -10,000,000 Jan 23, 14 USD PUT S 5,8 -2,400,000 3,000,000 Oct 24, 13 USD CALL S 10 1,600,000 -2,000,000 Feb 6, 14 USD PUT S GBP-USD Notional USD Notional GBP i Expiry Date USD Put/Call L/S 13 7,850,000 -5,000,000 Feb 6, 14 USD Put S Currency Pair:USD - CAD Notional USD Notional CAD I Expiry Date IUSD Put/Call US 15 4,500,000 -4,590,0001 Jan 24, 131USD Put S Currency Pair USD - JPY Notional USD Notional JPY Expiry Date USD Put/Call L/S 6 5,000,000 -485,500,000 Jan 29, 14 USD Put 11 -285,000,000 3,000,000 S 69 Page 1 EFTA01120831  position summary_Table 1 No. USD NOTL SPOT RATE FWD PTS FWD RATE CURR FS 27195000SD 0.77809 -0.00109 0.7770000 NZD F6 1788000USD 0.89437 -0.00037 0.8940000 AUD Page 2 EFTA01120832  position summary_Table 1 VALUES OPEN POSITIONS PRICED BY JPM I Ref. lOption i USD Current Rate Spot Type Strike I VALUE I 90.00 PUT 91.00 78.6200 89.90 PUT 90.00 78.6200 Ref. Option RKI KO Current Spot Spot Type Strike Trigger Trigger 0.9193 RKI/KO 0.94 0.9600 0.8800 0.8900 WINDOW RK 0.89 0.8760 ONLY UNTIL 0.8900 Sep 9, 13 Ref. Option RKI KO Current Spot Spot Type Strike Trigger Trigger 0.8000 RKI/KO 0.82 0.8450 0.7680 0.7730 0.8100 KO 0.80 0.8400 0.7730 0.7880 KO 0.80 0.7700 0.7730 Ref. Option RKI KO Current Spot Spot Type Strike Trigger Trigger RKI/KO 1.57 1.585 1.53 1.5500 Ref. Option RKI KO Current Spot Spot Type Strike Trigger Trigger OE 1.02 1.0530 Ref. Option RKI KO Current Spot Spot Type Strike Trigger Trigger 97.1000 RKI/KO 95.00 94.00 101.00 98.3000 97.1000 KO 95.00 99.35 98.3000 TOTAL CAPITAL INVESTED Total NET USD Short Option Notional Total USD Forward Notional 2013 Realized Gain / (Loss) Marked to Market Unrealized Gain / (Loss) 2013 Total Cash In / (Out) 2013 Net Closeout 2013 Performance Page 3 EFTA01120833  position summaryjable 1 mtm mtm CURR NOTL SETTLES spot fwd points -3500000 23-Sep 0.7730 -0.001 -2000000 23-Sep 0.8900 Page 4 EFTA01120834  position summary Table 1 MONTH END PRICES AS OF 8/31/13 Premium MARK USD NET USD (paid)/rec VALUE P/L 11USD 19893USD 17USD 323000SD -12407USD 1OUSD 997USD 16USD 16000SD -603USD Price % Premium Marked to USD VALUE NET USD (paid)/rec P/L 1.0250% 96350USD -0.220% -20680USD 75670USD 1.0900% 43655USD -1.930% -77297USD -33642USD Price % Premium Marked to USD NET USD (paid)/rec Market VALUE P/L 1.0000% 82O00USD -0.07% -5740USD 76260USD 1.8050% 4332OUSD -4.240% -101760USD -58440USD 0.9550% 1528OUSD -0.180% -2880USD 124000SD Price % Premium Marked to USD NET USD (paid)/rec Market VALUE P/L 0.6350% 49848USD -0.650% -51025USD -1178USD Price °/c. Premium Marked to USD NET USD (paid)/rec Market VALUE P/L 1.3000% 58500OSD -0.64% -288000SD 297000SD Price % Premium Marked to USD NET USD (paid)/rec Market VALUE P/L 1.4250% 71250USD -1.28% -64000USD 7250USD 0.9400% 282000SD -0.61% -183000SD 99000SD 5O000O0USD 45955000USD 3216850USD 45075000SD 58589USD 58589USD 130411USD 130411USD 567881USD 539681USD 5189000USD 1890O0USD 3.78% Page 5 EFTA01120835  position summary_Table 1 mtm mtm NET NET UNREALIZED outright USD P/L P/L 0.772 2702000USD 175000SD 0.89 1780000USD 8000USD TOTAL 255000SD Page 6 EFTA01120836  position summary_Table 1 LAC INFO ABS VALUE USD OPT NOT B/E 80.5 80 ABS VALUE USD OPT NOTL B/E 9400000USD 0.930365 0.009635 4005000USD ABS VALUE USD OPT NOTL B/E closeout breakeven 8200000USD 0.8118 0.0082 2400000USD 0.78556 0.01444 0.83392 -0.03392 1600000USD 0.80764 0.00764 closeout breakeven 7850000USD 1.5799695 0.0099695 USD 0 USD 0 0 4500000USD 1.00674 0.01326 USD 0 0 USD 0 0 5000000USD 93.64625 1.35375 3000000USD 94.107 0.893 USD 0 COLLATERAL USED 493490USD Page 7 EFTA01120837  position summaryjable 1 ABS VALUE USD NOTL 27195000SD 1788000USD 45075000SD Page 8 EFTA01120838  position summary_Table 1 SELL NZD BUY NZD BUY USD JPY Page 9 EFTA01120839  trade history 2013_Table 1 TRADE Southern Trust Co. NO. Trade Date CCY Amount CCY Amount 1 Jul 24, 13 NZD -10,000,000 USD 8,200,000 2 Jul 24, 13 AUD -10,000,000 USD 9,400,000 3 Jul 24, 13 CAD -10,200,000 USD 10,000,000 4 Jul 24, 13 GLL 9,000 4A Jul 24, 13 GLL 172,900 5 Jul 25, 13 NZD 5,000,000 USD -4,000,000 6 Jul 29, 13 JPY -475,000,000 USD 5,000,000 7 Jul 31, 13 NZD -5,000,000 USD 3,900,000 8 Aug 1, 13 NZD -2,000,000 USD 1,600,000 9 Aug 2, 13 NZD 2,000,000 USD -1,560,000 10 Aug 6, 13 NZD -2,000,000 USD 1,600,000 11 Aug 6, 13 JPY USD 3,000,000 12 Aug 7, 13 CAD -10,200,000 USD -10,000,000 13 Aug 7, 13 GBP -5,000,000 USD -7,850,000 14 Aug 8, 13 AUD 4,500,000 USD -4,005,000 15 Aug 9, 13 CAD -4,411,765 USD 4,500,000 i 16 Aug 23, 13 NZD 3,000,000 USD -2,340,000 Page 10 EFTA01120840  trade history 2013_Table 1 TRADE DATE CURR NOTL USD NOTIONAL F1 Aug 2, 13 NZD 500,000 USD -395850USD F5 Aug 22, 13 NZD -500,000 USD 391725USD S1 Aug 20, 13 JPY 381,342,000 USD 3900000USD S2 Aug 20, 13 JPY 381,342,000 USD 3917629USD F2 Aug 21, 13 NZD -2,000,000 USD 1573186USD F5 Aug 22, 13 NZD 2,000,000 USD -15669000SD F3 Aug 21, 13 AUD -2,000,000 USD 1799236USD F6 Aug 22, 13 AUD 2,000,000 USD -1803000USD F4 Aug 21, 13 GBP 1,000,000 USD -1563633USD F5 Aug 22, 13 NZD -2,500,000 USD 19575000SD F6 Aug 22, 13 AUD -2,000,000 USD 1802000USD F7 Aug 22, 13 GBP -1,000,000 USD 1559213USD F8 Aug 28, 13 NZD 2,000,000 USD -15544000SD F9 Aug 28, 13 AUD 1,000,000 USD -8942000SD F10 Aug 28, 13 NZD -2,000,000 USD 15546000SD F10 Aug 28, 13 NZD -1,000,000 USD 7773000SD Page 11 EFTA01120841  trade history 2013_Table 1 Fll Aug 28, 13 AUD -1,000,000 USD 894300USD Aug 29, 13 AUD 2,000,000 USD -1788740USD Aug 29, 13 AUD -2,000,000 USD 1788000USD Aug 29, 13 NZD 3,500,000 USD -2723315USD Aug 29, 13 NZD -3,500,000 USD 2719500USD Aug 29, 13 GBP 1,000,000 USD -1549280USD Aug 29, 13 GBP -1,000,000 USD 1549000USD i i i Page 12 EFTA01120842 trade history 2013_Table 1 Page 13 EFTA01120843  trade history 2013_Table 1 as of ### Curr Expiry Date Strike Option Type Barrier P/C Prem % I- January 23, 14 0.8200 NZD CALL RKI/KO .8450/.7680 C 1.0000% January 24, 14 0.9400 AUD CALL RKI/KO .96/88 C 1.0250% January 24, 14 1.0200 CAD CALL RKI/KO 1.005/1.055 C 0.9100% January 18, 14 90.0000 GLL PUT P 11USD January 18, 14 91.0000 GLL PUT P 10USD October 24, 13 0.8000 NZD PUT KO 0.8400 P 1.8050% January 29, 14 95.0000 USD CALL RKI KO 94./101 C 1.4250% August 26, 13 0.7800 NZD Put P ### October 24, 13 0.8000 NZD PUT KO 0.8400 P ### August 26, 13 0.7800 NZD Put P 1.1000% February 6, 14 0.8000 NZD Call 0.7700 C 0.9550% February 6, 14 95.0000 JPY CALL 99.3500 C 0.9400% January 24, 13 1.0200 CAD CALL 1.0050/1.0550 C ### February 6, 13 1.5700 GBP CALL 1.585/1.53 C 0.6350% January 24, 13 0.8900 AUD PUT Wb RKI .876 P 1.0900% January 24, 13 1.0200 CAD CALL C 1.3000% January 24, 13 0.7800 NZD Put P 0.445% Page 14 EFTA01120844  trade history 2013_Table 1 Net premium OUTRIfila SETTLEMENT SPOT RA1FWD POINTS FWD August 26, 13 1 0 1 August 26, 13 1 August 22, 13 98 August 23, 13 97 August 26, 13 1 0 1 August 26, 13 1 1 August 26, 13 1 0 0.899618 August 26, 13 1 0.901500 September 23, 13 2 0 1.563633 September 3, 13 1 0 0.783000 September 3, 13 1 0 0.901000 September 3, 13 2 0 2 August 30, 13 1 1 August 30, 13 1 1 August 30, 13 1 1 September 3, 13 1 1 Page 15 EFTA01120845  trade history 2013_Table 1 August 30, 13 1 1 sept 3 1 1 sept 9 1 0 0.894000 sept 3 1 0.778090 sept 23 1 0 0.777000 sept 3 2 1.549280 sept 23 2 0 1.549000 0.000000 0.000000 0.000000 Page 16 EFTA01120846 trade history 2013_Table 1 Page 17 EFTA01120847  trade history 2013_Table 1 traded traded absolute value Premium USD Net Cash in/(o spot ref vol ref usd notl 82000USD 1 11 8200000USD 96350USD 1 10 9400000USD 91000USD 103 6.70% ### 997USD 89 USD 19893USD 89 USD 72200USD 1 11.82% 4000000USD 71250USD 98 12.60% 5000000USD -30615USD 1 14 3900000USD -55440USD 1 12 1600000USD 17160USD 1 11 1560000USD 15280USD 1 11 1600000USD 28200USD 98 12 3000000USD -49000USD 1 7 ### 49848USD 2 8 7850000USD 43655USD 1 11 4005000USD 58500USD 1 7 4500000USD 10413USD 1 12 2340000USD Page 18 EFTA01120848  trade history 2013_Table 1 52169OUSD Page 19 EFTA01120849 trade history 2013_Table 1 Page 20 EFTA01120850 trade history 2013_Table 1 Page 21 EFTA01120851 trade history 2013_Table 1 Page 22 EFTA01120852  realized 2013_Table 1 'TRADE Southern Trust Co. closed pos italicized NO. Trade Date CCY Amount CCY Amount FX OTC Options 1 Jul 24, 13 NZD -10,000,000 USD 8,2OO,OOO 2 Jul 24, 13 AUD -10,000,000 USD 9,4OO,OOO 3 Jul 24, 13 CAD -10,200,000 USD 10,000,000 12 Aug 7, 13 CAD 10,200,000 USD -10,000,000 4 Jul 24, 13 GLL 9,000 4A Jul 24, 13 GLL 172,900 5a Jul 25, 13 NZD -2,000,000 USD 1,600,000 8 Aug 1, 13 NZD 2,000,000 USD -1,600,000 5b Jul 25, 13 NZD -3,000,000 USD 2,400,000 6 Jul 29, 13 JPY -475,000,000 USD 5,000,000 7a Jul 31, 13 NZD -2,000,000 USD 1,560,000 9 Aug 2, 13 NZD 2,000,000 USD -1,560,000 7b Jul 31, 13 NZD -3,000,000 USD 2,340,000 16 Aug 23, 13 NZD 3,000,000 USD -2,340,000 10 Aug 6, 13 NZD -2000000 USD 1,600,000 11 Aug 6, 13 JPY 2656O6OOO USD 3,000,0O0 52ffl XWp 22, X3 JPY 13 Aug 7, 13 GBP 5,000,000 USD 7,850,000 14 Aug 8, 13 AUD 4500000 USD 4,005,000 15 Aug 9, 13 CAD -4411764.7 USD 4,500,000 Page 23 EFTA01120853  realized 2013_Table 1 Fl Aug 2, 13 NZD -500000 USD 395850USD F2 Aug 21, 13 NZD -2000000 USD 1573186USD F5 Aug 22, 13 NZD 2500000 USD -1958625USD 51 Aug 20, 13 JPY 381342000 USD -3900000USD 52 Aug 20, 13 JPY -381342000 USD 3917629USD F3 Aug 21, 13 AUD -2000000 USD 1799236USD F6 Aug 22, 13 AUD 2000000 USD -1803000USD F4 Aug 21, 13 GBP 1000000 USD -1563913USD 29aug GBP -1000000 USD 1549000USD Aug 22, 13 NZD -2500000 USD 1957500USD 29AUG-13 NZD 2500000 USD -1945225USD Aug 22, 13 AUD -2000000 USD 1802000USD Aug 29, 13 AUD 2000000 USD -1788740USD Aug 23, 13 GBP -1000000 USD 1559463USD 29Aug GBP 1000000 USD -1549280USD SPOT Aug 28, 13 NZD 2000000 USD -15544000SD Page 24 EFTA01120854  realized 2013_Table 1 SPOT Aug 28, 13 NZD -2000000 USD 1554600OSD Aug 28, 13 NZD -1000000 USD -777280USD 29aug NZD 1000000 USD 778090USD Aug 28, 13 AUD 1000000 USD -894200 Aug 28, I3 AUD -1000000 USD 894300 Aug 29, 13 AUD -2000000 USD 1788000 29AUG-13 NZD -3500000 USD 2719500 Page 25 EFTA01120855  realized 2013_Table 1 as of ### Expiry Dat Strike option Barrier P/C premium type Jan 23, 14 0.8200 NZD CALL RKI/KO .8450/.7680 C 1.000% Jan 24, 14 0.9400 AUD CALL RKI/KO .96/88 C 1.025% Jan 24, 14 1.0200 CAD CALL RIO/KO 1.005/1.055 C 0.910% Jan 25, 14 1.0200 CAD CALL RIO/KO 1.005/1.055 C -0.490% Jan 18, 14 90.0000 GLL PUT P 11USD Jan 18, 14 91.0000 GLL PUT P 10USD Oct 24, 13 0.8000 NZD PUT KO 0.8400 P 1.805% Oct 24, 13 0.8000 NZD PUT KO 0.8400 P -3.465% Oct 24, 13 0.8000 NZD PUT KO 0.8400 P 1.805% Jan 29, 14 95.0000 USD CALL RKI KO 94./101 C 1.425% Aug 26, /3 0.7800 NZD Put P Aug 26, 13 0.7800 NZD Put P ex P Aug 26, 13 0.7800 NZD Put T t Aug 26, 13 0.7800 NZD Put P 0.445% Feb 6, 14 0.8000 NZD Call 0.7700 C 0.955% Feb 6, 14 95.0069,1' CALL 99.3500 0.940% Feb 6, 14 1.5700 GBP CALL 1.5850/1.53 C 0.635% Jan 24, 13 0.8900 AUD PUT Wb RKI .876 P 1.0900% Jan 24, 13 1.02001CAD CALL C ### Page 26 EFTA01120856  realized 2013_Table 1 Aug 26, 13 0.793000 -0.0013 0.7917 26-Aug 0.786650 -0.000057 0.786593 Aug 26, 13 0.783450 0.78345 Aug 22, 13 97.780000 Aug 22, 13 97.340000 26-Aug 0.899800 -0.000182 0.899618 Aug 26, 13 0.901500 0.901500 23-Sep 1.564000 -0.000087 1.563913 23-Sep 1.549000 1.549000 3-Sep 0.783450 -0.00045 0.7830000 3-Sep 0.778090 3-Sep 0.901500 -0.0005 0.9010000 3-Sep 0.894370 3-Sep 1.559500 -0.0000367 1.5594633 3-Sep 1.549280 1.5492800 30-Aug 0.777200 Page 27 EFTA01120857  realized 2013_Table 1 30-Aug 0.777300 3-Sep 0.777300 -0.00002 0.777280 ### 0.778090 0.77809 30-Aug 0.894200 30-Aug 0.894300 23-Sept 0.894370 -0.00037 0.894 23-Sept 0.778090 -0.00109 0.777 0 0 Page 28 EFTA01120858  realized 2013 Table 1 Premium REALIZED SPOT VOL abs val USD GAIN/(LOSS) traded traded $ notl 82O0OUSD 0.8001 10.60% 8200000USD 9635OUSD 0.9195 10% 9400000USD 91OO0USD 103 6.70% 10000000USD -49OO0USD 42000USD 1.0423 6.69% 10000000USD 997USD 89 19893USD 89 2888OUSD 0.8105 11.82% 1600000USD -5544OUSD -26560USD 0.788 12.13% 4332OUSD 2400000USD 7125OUSD 98.08 12.60% 5000000USD -12246USD 0.7947 13.50% 1560000USD 1716OUSD 4914USD 0.77742 9% -18369USD 2340000USD 1O413USD -7956USD 1528OUSD 0.788 12.40% 1600000USD 28200USD 97.7 12.14% 3000000USD 252CAOUSD 49848USD 1.5495 7.72% 7850000USD 43655USD 0.9108 11.372 4005000USD 585OOUSD 4500000USD Page 29 EFTA01120859  realized 2013_Table 1 NET OPTION P/L 40598USD NET OPT CASH 521690USD NET FWD P/L 46191USD NET CASH 567881USD 10411USD 17629USD -3764USD -14913USD 12275USD 13260USD 10183USD Page 30 EFTA01120860  realized 2013_Table 1 200OSD 810USD 100OSD NET FORWARD P/L 46191USD REALIZED NET 86789USD Page 31 EFTA01120861 realized 2013_Table 1 Page 32 EFTA01120862