EFTA01535763.pdf

JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 0000000383.00.0.23.RRRRR.BALER01.20100712 Client News Mutual Fund Prospectuses are now available electronically Electronic delivery ("e-delivery") of prospectuses is now available to you. To begin enjoying the convenience of e-delivery, enroll today by contacting your J.P. Morgan Service team. Please note that e-mail delivery requires access to JPMorgan Online. Asset Account J.P. Morgan Team Paul Morris Jeffrey Matusow Janet Young William Doherty III Banker Investment Specialist Client Service Team Client Service Team Table of Contents Account Summary Holdings Equity Cash and Short Term Fixed Income Options Foreign Exchange Contracts Other Assets Portfolio Activity Online access www.MorganOnline.com Page 2 4 6 8 11 15 17 20 Page 1 of 52 EFTA01535763 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Account Summary Asset Allocation Equity Cash & Short Term Fixed Income Options Foreign Exchange Contracts Other Assets Market Value Accruals Market Value with Accruals Beginning Ending Market Value 0.00 0.00 0.00 0.00 0.00 0.00 $0.00 0.00 $0.00 Market Value 19,306,180.00 37,092,334.28 17,045,334.00 (4,322,724.03) (857,729.76) (6,731,159.99) $61,532,234.50 674,109.61 $62,206,344.11 Current Portfolio Activity Beginning Market Value Contributions Withdrawals & Fees Securities Transferred Out Net Contributions/Withdrawals Income & Distributions Change In Investment Value Ending Market Value Accruals Market Value with Accruals ($119,506.00) 495,838.25 61,155,902.25 $61,532,234.50 EFTA01535764 674,109.61 $62,206,344.11 Period Value 0.00 17,500.00 (137,006.00) Change In Value 19,306,180.00 37,092,334.28 17,045,334.00 (4,322,724.03) (857,729.76) (6,731,159.99) $61,532,234.50 674,109.61 $62,206,344.11 Equity Year-to-Date Value 0.00 76,050,715.67 (1,596,448.44) (305,005.00) $74,149,262.23 (249,159.96) (12,367,867.77) $61,532,234.50 674,109.61 $62,206,344.11 Estimated 1,371,200.00 666,510.72 1,136,500.00 Current Annual Income Allocation 26% 51% 23% Fixed Income $3,174,210.72 100% Cash & Short Term Asset Allocation Page 2 of 52 EFTA01535765 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Account Summary Tax Summary Domestic Dividends/Distributions Currency Gain/Loss Interest Income Taxable Income CONTINUED Current Period Value 11,000.00 375,748.98 109,089.27 $495,838.25 Year-to-Date Value 11,000.00 (326,091.27) 65,931.31 ($249,159.96) Unrealized Gain/Loss To-Date Value ($3,393,225.60) ST Realized Gain/Loss Realized Gain/Loss Current Period Value (1,314,122.88) ($1,314,122.88) Year-to-Date Value (1,690,757.00) ($1,690,757.00) Cost Summary Equity Cost Cash & Short Term Fixed Income Options Total 20,358,910.00 37,078,734.28 18,248,206.00 (3,171,500.01) $72,514,350.27 Page 3 of 52 EFTA01535766 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Equity Summary Asset Categories US Mid Cap/Small Cap Preferred Stocks Total Value Market Value/Cost Market Value Tax Cost Unrealized Gain/Loss Estimated Annual Income Accrued Dividends Yield Equity Detail Estimated Quantity US Mid Cap/Small Cap SOLAR CAPITAL LTD 83413U-10-0 SLRC Price Market Value Tax Cost Adjusted Original Unrealized Gain/Loss Annual Income Accrued Dividends Yield Beginning Market Value 0.00 0.00 $0.00 Ending Market Value 338,180.00 18,968,000.00 $19,306,180.00 Current Period Value 19,306,180.00 20,358,910.00 (1,052,730.00) 1,371,200.00 342,800.00 7.10% Preferred Stocks EFTA01535767 Change In Value 338,180.00 18,968,000.00 $19,306,180.00 Current Allocation 1% 25% 26% US Mid Cap/Small Cap Asset Categories Equity 13,000.000 19.26 250,380.00 286,910.00 (36,530.00) 31,200.00 7,800.00 12.46% Page 4 of 52 EFTA01535768 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Estimated Quantity US Mid Cap/Small Cap STRATEGIC HOTELS & RESORTS INC Total US Mid Cap/Small Cap 86272T-10-6 BEE 33,000.000 Preferred Stocks 3PM CHASE CAPITAL XXIX 6.7% PFD 48125E-20-7 3PM PC 800,000.000 23.71 18,968,000.00 19,980,000.00 (1,012,000.00) 1,340,000.00 335,000.00 7.06% $338,180.00 $378,910.00 ($40,730.00) $31,200.00 $7,800.00 9.23% 20,000.000 4.39 87,800.00 92,000.00 (4,200.00) Price Market Value Tax Cost Adjusted Original Unrealized Gain/Loss Annual Income Accrued Dividends Yield Page 5 of 52 EFTA01535769 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Cash & Short Term Summary Beginning Asset Categories Cash Short Term Total Value Market Value/Cost Market Value Tax Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield SUMMARY BY MATURITY Short Term 6-12 months 10,156,100.00 Market Value Market Value 0.00 0.00 $0.00 Ending Market Value 26,936,234.28 10,156,100.00 $37,092,334.28 Current Period Value 37,092,334.28 37,078,734.28 13,600.00 666,510.72 167,243.31 1.15% SUMMARY BY TYPE Short Term Corporate Bonds Market Value 10,156,100.00 % of Bond Portfolio 100% Cash Short Term Change In Value EFTA01535770 26,936,234.28 10,156,100.00 $37,092,334.28 Current Allocation 37% 14% 51% Asset Categories Cash & Short Term Page 6 of 52 EFTA01535771 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Note: This is the Annual Percentage Yield (APY) which is the rate earned if balances remain on deposit for a full year with compounding, there is no change in the interest rate and all interest is left in the account. Cash & Short Term Detail Quantity Cash AUSTRALIAN DOLLAR COST OF PENDING PURCHASES JAPANESE YEN PROCEEDS FROM PENDING SALES US DOLLAR Total Cash Short Term FORD MOTOR CREDIT CO 7 3/8% FEB 1 2011 DTD 1/30/2001 345397-TS-2 B- /BA3 FORD MOTOR CREDIT CO LLC FLOATING RATE NOTE JUN 15 2011 DTD 03/15/2007 345397-VF-7 B- /BA3 Total Short Term 10,000,000.00 $10,156,100.00 $10,142,500.00 $13,600.00 $658,103.00 $166,505.00 Page 7 of 52 4.25% 5,000,000.00 101.25 5,062,500.00 5,000,000.00 62,500.00 289,353.00 12,860.00 4.42% 5,000,000.00 101.87 5,093,600.00 5,142,500.00 (48,900.00) 368,750.00 153,645.00 4.09% EFTA01535772 (0.01) (1,052,500.00 ) (0.02) (37,000.00) 28,025,734.29 0.84 1.00 0.01 1.00 1.00 (0.01) (1,052,500.00) (37,000.00) 28,025,734.29 $26,936,234.28 (0.01) (1,052,500.00) N/A (37,000.00) 28,025,734.29 $26,936,234.28 $0.00 8,407.72 738.31 $8,407.72 $738.31 0.03% 0.03% Price Market Value Tax Cost Adjusted Original Estimated Unrealized Gain/Loss Annual Income Accrued Interest Yield EFTA01535773 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Fixed Income Summary Asset Categories US Fixed Income - Taxable Non-US Fixed Income Total Value Market Value/Cost Market Value Tax Cost Unrealized Gain/Loss Estimated Annual Income Accrued Interest Yield SUMMARY BY MATURITY Fixed Income Less than 5 years, 5-10 years, 10+ years, Total Value 1 Market Value 4,782,834.00 9,062,500.00 3,200,000.00 $17,045,334.00 % of Bond Portfolio 28% 53% 19% 100% The years indicate the number of years until the bond is scheduled to mature based on the statement end date. Some bonds may be called, or paid in full, before their stated maturity. Beginning Market Value 0.00 0.00 $0.00 Ending Market Value 15,595,334.00 1,450,000.00 $17,045,334.00 Current Period Value 17,045,334.00 18,248,206.00 (1,202,872.00) EFTA01535774 1,136,500.00 164,066.30 8.13% SUMMARY BY TYPE Fixed Income Corporate Bonds International Bonds Total Value Market Value 15,595,334.00 1,450,000.00 $17,045,334.00 % of Bond Portfolio 91% 9% 100% Change In Value 15,595,334.00 1,450,000.00 $17,045,334.00 Current Allocation 21% 2% 23% Non-US Fixed Income Asset Categories Fixed Income US Fixed Income - Taxable Page 8 of 52 EFTA01535775 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Note: P indicates position adjusted for Pending Trade Activity. Fixed Income Detail Quantity US Fixed Income - Taxable P FELCOR LODGING LP 10% OCT 01 2014 DTD 10/01/2009 31430Q-BA-4 B- /B2 FORD MOTOR CREDIT CO LLC SR NOTES 7% APR 15 2015 DTD 04/09/2010 345397-VN-0 B- /BA3 CIT GROUP INC 7% MAY 01 2016 DTD 11/04/2009 125581-FW-3 B+ /B3 CIT GROUP INC 7% MAY 01 2017 DTD 11/04/2009 125581-FX-1 B+ /B3 GENERAL MOTORS CORP NOTES 8 3/8% JUL 15 2033 DTD 07/03/2003 IN DEFAULT 370442-BT-1 NR /WR Total US Fixed Income - Taxable 23,200,000.000 $15,595,334.00 $16,493,956.00 ($898,622.00) $1,014,000.00 $142,628.80 7.04% 10,000,000.000 32.00 3,200,000.00 3,800,000.00 (600,000.00) 5,000,000.000 90.00 4,500,000.00 4,612,500.00 (112,500.00) 350,000.00 39,860.00 8.97% 5,000,000.000 91.25 EFTA01535776 4,562,500.00 4,725,000.00 (162,500.00) 350,000.00 49,580.00 8.94% 200,000.000 98.92 197,834.00 198,956.00 (1,122.00) 14,000.00 3,188.80 7.27% Price Market Value Tax Cost Adjusted Original Estimated Unrealized Gain/Loss Annual Income Accrued Interest Yield 3,000,000.000 104.50 3,135,000.00 3,157,500.00 (22,500.00) 300,000.00 50,000.00 8.70% Page 9 of 52 EFTA01535777 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Quantity Non-US Fixed Income PETROLEOS DE VENEZUELA S 4.9% OCT 28 2014 DTD 10/28/2009 HELD BY EUROCLEAR ISIN:XS0460546442 SEDOL:85882G7 71668A-9A-1 Price Market Value Tax Cost Adjusted Original Estimated Unrealized Gain/Loss Annual Income Accrued Interest Yield 2,500,000.000 58.00 1,450,000.00 1,754,250.00 (304,250.00) 122,500.00 21,437.50 19.78% Page 10 of 52 EFTA01535778 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Options Summary Asset Categories Foreign Exchange Other Total Value Market Value/Cost Market Value Premium Unrealized Gain/Loss Note: P indicates position adjusted for Pending Trade Activity. Options Detail Quantity Foreign Exchange AUD CALL USD PUT FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .8825 XAUDCA-DY-Z AUD Price Market Value Premium Unrealized Gain/Loss Beginning Market Value 0.00 0.00 $0.00 Ending Market Value (950,878.29) (3,371,845.74) ($4,322,724.03 ) Current Period Value (4,322,724.03) (3,171,500.01) (1,151,223.60) Change In Value (950,878.29) (3,371,845.74) ($4,322,724.03 ) Current Allocation 10,000,000.000 0.88 88,217.12 EFTA01535779 220,337.49 (132,120.37) Page 11 of 52 EFTA01535780 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Quantity Foreign Exchange AUD CALL USD PUT FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .94 XAUDCA-DZ-Z AUD AUD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .86 KI @ 0.83 XAUDPA-FV-Z AUD CAD PUT USD CALL FX EUROPEAN STYLE OPTION JUL 23, 2010 @ 1.05 XCADPA-DM-Z JPY CALL USD PUT FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 XJPYCA-NE-Z JPY PUT USD CALL FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 XJPYPA-SQ-Z Total Foreign Exchange (15,250,000.000 ) ($950,878.29) ($52,500.01) ($898,377.86) 935,000,000.000 0.03 247,531.39 470,000.00 (222,469.03) (935,000,000.000 ) 0.08 (776,807.26) (470,000.00) (306,806.42) (5,250,000.000 ) 1.94 (101,805.05) (52,500.00) (49,305.05) (10,000,000.000 ) 3.94 (393,530.57) (185,083.50) (208,447.07) Price EFTA01535781 Market Value Premium Unrealized Gain/Loss (10,000,000.000 ) 0.14 (14,483.92) (35,254.00) 20,770.08 Page 12 of 52 EFTA01535782 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Quantity Other WTI CALL OPTION USD PUT OPTION STRIKE 90.00 EXPIRES 12/15/2010 100,000 BARRELS OTCBDC-GW-X WTI CALL OPTION USD PUT OPTION STRIKE 100.00 EXPIRES 05/17/2011 100,000 BARRELS OTCBDC-GW-Y WTI PUT OPTION USD CALL OPTION STRIKE 65.50 EXPIRES 12/15/2010 100,000 BARRELS OTCBDP-EX-K WTI PUT OPTION USD CALL OPTION STRIKE 63.00 EXPIRES 05/17/2011 100,000 BARRELS OTCBDP-EX-L 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.350% S 30/360 VS 3ML EXP DATE 07/26/2010 DEAL 5164984 Underlying Asset Price = $0.00 OTCBDC-GV-H (1.000) 1.00 (1,157,608.49) (909,000.00) (248,608.49) (10.000) 40,589.91 (405,899.06) (450,000.00) 44,100.94 (10.000) 30,297.17 (302,971.66) (400,000.00) 97,028.34 10.000 34,096.78 EFTA01535783 340,967.79 450,000.00 (109,032.21) 10.000 29,627.55 296,275.45 400,000.00 (103,724.55) Price Market Value Premium Unrealized Gain/Loss Page 13 of 52 EFTA01535784 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Quantity Other 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.25% S 30/360 VS 3ML EXP DATE 08/13/2010 DEAL 5166005 Underlying Asset Price = $0.00 OTCBDC-GW-K 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 07/14/2010 DEAL 5166838 Underlying Asset Price = $0.00 OTCBDC-GX-M P 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 08/31/2010 DEAL 5167546 Underlying Asset Price = $0.00 OTCBDC-GZ-U P 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 06/30/2010 DEAL 5161946 Underlying Asset Price = $0.00 OTCBDC-TB-B Total Other (4.000) ($3,371,845.74) ($3,119,000.00) ($252,845.74) 1.00 N/A (1.000) (1,103,500.00) 1,103,500.00 (1.000) 1.00 (1,168,058.13) (561,500.00) (606,558.13) (1.000) 1.00 (974,551.64) (545,000.00) (429,551.64) Price Market Value EFTA01535785 Premium Unrealized Gain/Loss Page 14 of 52 EFTA01535786 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Foreign Exchange Contracts Summary NET CURRENCY EXPOSURE SUMMARY Value CANADIAN DOLLAR INDIAN RUPEE NORWEGIAN KRONE SWEDISH KRONA US DOLLAR in Currency 5,215,000.01 457,000,000.00 64,472,500.00 (38,272,000.00) (20,555,386.43) Foreign Exchange Contracts Detail Market Value Receivable Trade Date Speculative CANADIAN DOLLAR CANADIAN DOLLAR CANADIAN DOLLAR CANADIAN DOLLAR JAPANESE YEN JAPANESE YEN US DOLLAR US DOLLAR Apr. 28 10 Aug. 6 10 May. 6 10 Aug. 6 10 May. 6 10 Aug. 6 10 Jun. 23 10 Jul. 26 10 CAD JPY CAD JPY CAD USD CAD USD 5,000,000.00 (464,350,000.00 ) (5,246,892.65) 464,350,000.00 246,892.66 (236,652.69) EFTA01535787 5,215,000.00 (5,000,000.00) 92.870000 88.500000 1.043270 1.043000 83.203125 83.203125 1.062899 1.062823 4,704,115.84 5,250,658.98 5,250,658.98 4,936,398.16 232,282.33 236,652.69 4,906,742.24 5,000,000.00 (546,543.14) 314,260.82 (4,370.36) (93,257.76) Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Page 15 of 52 EFTA01535788 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Market Value Receivable Trade Date Speculative INDIAN RUPEE INDIAN RUPEE INDIAN RUPEE NORWEGIAN KRONE NORWEGIAN KRONE Total Speculative US DOLLAR US DOLLAR US DOLLAR SWEDISH KRONA US DOLLAR Apr. 16 10 Oct. 20 10 Jun. 21 10 Jul. 23 10 May. 6 10 Oct. 20 10 Jun. 25 10 Jul. 29 10 Jun. 25 10 Jul. 29 10 INR USD INR USD INR USD NOK SEK NOK USD 446,500,000.00 (10,000,000.00) 457,000,000.00 (10,000,000.00) (446,500,000.00 ) 9,681,266.26 32,000,000.00 (38,272,000.00) 32,472,500.00 (5,000,000.00) 44.650000 45.700000 46.120000 1.196000 EFTA01535789 6.494500 47.024912 46.584866 47.024912 1.194835 6.513189 9,494,967.16 10,000,000.00 9,810,052.94 10,000,000.00 9,681,266.26 9,494,967.16 4,913,108.16 4,917,899.95 4,985,653.27 5,000,000.00 $53,978,847.18 $54,836,576.94 (505,032.84) (189,947.06) 186,299.10 (4,791.79) (14,346.73) ($857,729.76) Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Page 16 of 52 EFTA01535790 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Other Assets Summary Asset Categories Swaps Beginning Estimated Value 0.00 Ending Estimated Value (6,731,159.99) Change In Value (6,731,159.99) Current Allocation Market Value/Cost Estimated Value (6,731,159.99) Current Period Value Other Assets Detail Cost Quantity Swaps CLP SWAP - CLP NOTL 13,000,000,000 MD 3/21/12 TD 3/17/10, START D 3/21/11 PAY FLOAT CLP OIS ANN ACT/360 4.15% REC FIX, DEAL #253571031 N/O Client SWPBDA-ZQ-8 1.000 1.00 (48,084.73) N/A Price Estimated Value Adjusted Original Estimated Gain/Loss Accruals Page 17 of 52 EFTA01535791 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Cost Quantity Swaps CLP SWAP - CLP NOTL 13,000,000,000 MD 3/29/12 TD 3/25/10, START D 3/29/11 PAY FLOAT CLP OIS ANN ACT/360 4.15% REC FIX, DEAL #254489072 N/O Client SWPBDE-JB-1 LONG TOTAL RETURN SWAP 4,775,970.00 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APR 29 2011 DEAL 5508960 N/O Client SWPBDE-TJ-3 LONG TOTAL RETURN SWAP 3,208,420 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APRIL 28 2011 DEAL 5499085 N/O Client SWPBDE-WG-5 SX5E DIVIDEND SWAP FIXED STRIKE EUR 112.10 NUMBER OF BASKET 89,206 MAT DEC 16 2011 DEAL 4444220 N/O Client SWPBDE-PR-9 EUR 89,206.000 19.34 (1,724,907.83) N/A 20,000.000 29.39 (587,792.03) N/A 30,000.000 28.15 (844,533.99) N/A 1.000 1.00 (54,941.54) N/A Price Estimated Value Adjusted Original EFTA01535792 Estimated Gain/Loss Accruals Page 18 of 52 EFTA01535793 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Cost Quantity Swaps SXSE DIVIDEND SWAP FIXED STRIKE EUR 113.30 NUMBER OF BASKET 88,261 MAT DEC 21 2012 DEAL 4444219 N/O Client SWPBDE-PS-7 EUR SXSE DIVIDEND SWAP FIXED STRIKE EUR 100.00 NUMBER OF BASKET 50,000 MAT DEC 21 2012 DEAL 4458593 N/O Client SWPBDE-WW-0 EUR Total Swaps ($6,731,159.99) $0.00 $0.00 50,000.000 15.03 (751,678.75) N/A 88,261.000 30.81 (2,719,221.12) N/A Price Estimated Value Adjusted Original Estimated Gain/Loss Accruals Page 19 of 52 EFTA01535794 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - U S Dollar Beginning Cash Balance Current Transactions Income INFLOWS Contributions Foreign Exchange - Inflows Total Inflows OUTFLOWS Withdrawals Foreign Exchange - Outflows Total Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance 161,764.62 (2,392,050.00) ($2,230,285.38) $28,025,734.29 * Year to date information is calculated on a calendar year basis. 19,261,116.25 (65,677,489.25) ($46,416,373.00) -120,089.27 17,500.00 10,608,898.42 $10,746,487.69 (137,006.00) (10,376,873.92) ($10,513,879.92) 76,931.31 76,050,715.67 11,151,081.19 $87,278,728.17 (1,596,448.44) (11,240,172.44) ($12,836,620.88) Period Value 30,023,411.90 Year-To-Date Value* -Page 20 of 52 EFTA01535795 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Settlement Date 6/1 Type Interest Income Description DEPOSIT SWEEP INTEREST FOR MAY @ .03% RATE ON NET AVG COLLECTED BALANCE OF $26,295,629.06 AS OF 06/01/10 6/7 Spot FX SPOT CURRENCY TRANSACTION - SELL BUY USD SELL EUR EXCHANGE RATE 1.224200000 DEAL 06/03/10 VALUE 06/07/10 6/8 6/10 6/15 6/25 Domestic Dividend/Distribution Corporate Interest Corporate Interest Forward FX Contract MACERICH CO CIT GROUP INC 22,000.000 REIT PAYMENT@ 0.50 PER SHARE 5,000,000.000 7% MAY 01 2017 DTD 11/04/2009 FORD MOTOR CREDIT CO LLC FLOATING RATE NOTE JUN 15 2011 DTD 03/15/2007 SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.819017000 TRADE 5/20/10 VALUE 6/25/10 6/25 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY CHF SELL USD CONTRACT RATE : 1.128396000 TRADE 6/15/10 VALUE 6/25/10 11,270,000.000 10,278,626.75 (9,987,628.34) EFTA01535796 (277,330.960) (239,724.84) 227,139.00 5,000,000.000 0.014 70,367.61 0.018 87,500.00 0.50 11,000.00 (197,000.000) (240,428.63) 241,167.40 Quantity Cost Per Unit Amount Amount 670.01 Page 21 of 52 EFTA01535797 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 INFLOWS & OUTFLOWS Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL CHF CONTRACT RATE : 1.111374900 TRADE 6/17/10 VALUE 6/25/10 6/25 Misc. Disbursement TRANSFERRED BY WIRE TO J.P. MORGAN CLEARING CORP. FAO FINANCIAL TRUST COMPANY AS REQUESTED 6/29 Misc. Receipt LONG TOTAL RETURN SWAP 3,208,420 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APRIL 28 2011 DEAL 5499085 EQUITY SWAP PAYMENT 6/29 Misc. Receipt LONG TOTAL RETURN SWAP 4,775,970.00 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APR 29 2011 DEAL 5508960 EQUITY SWAP PAYMENT 6/30 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.494890000 TRADE 5/06/10 VALUE 6/30/10 6/30 Accrued Interest Paid FELCOR LODGING LP 10% OCT 01 2014 DTD 10/01/2009 2,000,000.000 0.025 (49,444.44) 260,384.100 389,560.65 (389,245.58) 10,500.00 EFTA01535798 7,000.00 (137,006.00) Quantity Cost Per Unit Amount (11,270,000.000 ) (10,278,626.75) Amount 10,140,592.02 Page 22 of 52 EFTA01535799 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 INFLOWS & OUTFLOWS Settlement Date 6/30 Type Interest Income Description TO ADJUST INTEREST PREVIOUSLY PAID ON CASH BALANCES BASED ON THE FOLLOWING TRANSACTION ACTIVITY ORIGINAL ADJUSTED TRANSACTION TRAN DATE VALUE DATE AMOUNT 6/15/10 5/26/10 Total Inflows & Outflows TRADE ACTIVITY Note: Trade Date 5/28 Settlement Date 6/2 88,000.00 6/16/10 5/26/10 882,000.00D AS OF 06/01/10 $232,607.77 Quantity Cost Per Unit Amount Amount (3.91) S indicates Short Term Realized Gain/Loss C indicates Currency Gain/Loss * Settled transaction was initiated in prior statement period and settled in current statement period Type Settled Sales/Maturities/Redemptions Option Buyback Description 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.25% S 30/360 VS 3ML EXP DATE 05/28/2010 DEAL 5163369 BUY BACK OTC CALL SWAPTION UNWIND - REF #5163369 EFTA01535800 TRADE DATE 05/28/10 Quantity 1.000 Per Unit Amount 380,000.00 Proceeds (380,000.00) Tax Cost 113,000.00 Realized Gain/Loss (267,000.00) S* Page 23 of 52 EFTA01535801 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 6/1/10 to 6/30/10 Trade Date 6/3 Settlement Date 6/7 Type Settled Sales/Maturities/Redemptions Sell Option Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 RESALE OF PURCHASED FX OPTION TRADE DATE 06/03/10 6/3 6/7 Option Buyback EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 KI @ 1.38 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 6/3 6/7 Option Buyback EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 KI @ 1.63 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 6/3 6/7 Sell Option GBP PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 RESALE OF PURCHASED FX OPTION TRADE DATE 06/03/10 6/3 6/8 Sale MF GLOBAL HOLDINGS LTD @ 7.47275 BROKERAGE TAX &/OR SEC (12,000.000) EFTA01535802 89,673.00 600.00 1.52 J.P. MORGAN SECURITIES INC. TRADE DATE 06/03/10 7.423 89,071.48 (85,200.00) 3,871.48 S (6,932,409.000 ) 0.069 480,000.00 (495,000.00) (15,000.00) C 6,932,409.000 0.076 (529,250.00) 495,000.00 (34,250.00) C 8,032,128.510 0.055 (442,750.00) 495,000.00 52,250.00 C Quantity (8,032,128.510 ) Per Unit Amount 0.077 Proceeds 619,000.00 Tax Cost (495,000.00) Realized Gain/Loss 124,000.00 C Page 24 of 52 EFTA01535803 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 6/1/10 to 6/30/10 Trade Date 6/3 Settlement Date 6/8 Type Settled Sales/Maturities/Redemptions Sale Description NUSTAR ENERGY LP @ 56.45 BROKERAGE TAX &/OR SEC 6/4 6/9 Sale Quantity (3,850.000) 217,332.50 192.50 3.68 J.P. MORGAN SECURITIES INC. TRADE DATE 06/03/10 NU SKIN ENTERPRISES INC CL A @ 27.10 BROKERAGE TAX &/OR SEC 6/4 6/9 Sale NUSTAR ENERGY LP @ 56.10 BROKERAGE TAX &/OR SEC 5/24 6/15 Option Buyback 54,200.00 100.00 .92 J.P. MORGAN SECURITIES INC. TRADE DATE 06/04/10 (400.000) 22,440.00 20.00 .38 J.P. MORGAN SECURITIES INC. EFTA01535804 TRADE DATE 06/04/10 TO REVERSE ENTRY OF 05/26/2010 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 05/24/2010 DEAL 5163005 BUY BACK OTC CALL SWAP UNWIND - REF # 5163005 TRADE DATE 05/24/10 AS OF 05/26/10 (1.000) 88,000.00 88,000.00 (80,000.00) 8,000.00 S* 56.049 22,419.62 (22,620.00) (200.38) S (2,000.000) 27.05 54,099.08 (54,000.00) 99.08 S Per Unit Amount 56.399 Proceeds 217,136.32 Tax Cost (217,717.50) Realized Gain/Loss (581.18) S Page 25 of 52 EFTA01535805 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 6/1/10 to 6/30/10 Trade Date 6/10 Settlement Date 6/15 Type Settled Sales/Maturities/Redemptions Sale Description CENTERPOINT ENERGY INC @ 13.06777 BROKERAGE TAX &/OR SEC 6/14 6/16 Option Buyback Quantity (4,500.000) 58,804.97 225.00 1.00 J.P. MORGAN SECURITIES INC. TRADE DATE 06/10/10 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 06/14/2010 DEAL 5162475 BUY BACK OTC CALL SWAPTION UNWIND - REF #5162475 TRADE DATE 06/14/10 5/24 6/16 Option Buyback 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 05/24/2010 DEAL 5163005 BUY BACK OTC CALL SWAPTION UNWIND - REF #5163005 TRADE DATE 05/24/10 AS OF 05/26/10 6/15 6/18 Sale LINCOLN NATIONAL CORP @ 27.72657 BROKERAGE TAX &/OR SEC EFTA01535806 6/18 6/18 Expired Option XAU PUT OPTION USD CALL OPTION STRIKE 1,115.00 EXPIRES 6/17/2010 KI @ 1,085 EXPIRATION OF WRITTEN OTC PUT Page 26 of 52 (3,500.000) 97,043.00 175.00 1.65 J.P. MORGAN SECURITIES INC. TRADE DATE 06/15/10 5,000.000 85,000.00 85,000.00 S 27.676 96,866.35 (95,375.00) 1,491.35 S 1.000 882,000.00 (882,000.00) 80,000.00 (802,000.00) S* 1.000 521,500.00 (521,500.00) 125,000.00 (396,500.00) S Per Unit Amount 13.018 Proceeds 58,578.97 Tax Cost (58,050.00) Realized Gain/Loss 528.97 S EFTA01535807 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 6/1/10 to 6/30/10 Trade Date 6/17 Settlement Date 6/22 Type Settled Sales/Maturities/Redemptions Sale Description FELCOR LODGING TRUST INC @ 5.66 56,600.00 BROKERAGE TAX &/OR SEC 6/17 6/22 Sale 500.00 .96 J.P. MORGAN SECURITIES INC. TRADE DATE 06/17/10 POLO RALPH LAUREN CORP @ 80.9008 809,008.00 BROKERAGE TAX &/OR SEC 6/18 6/23 Sale 500.00 13.68 J.P. MORGAN SECURITIES INC. TRADE DATE 06/17/10 GENERAL MARITIME CORPORATION @ 6.96 31,320.00 BROKERAGE TAX &/OR SEC 6/18 6/23 Sale MOTRICITY INC @ 9.71 BROKERAGE TAX &/OR SEC 6/21 6/24 Sale EFTA01535808 225.00 .53 J.P. MORGAN SECURITIES INC. TRADE DATE 06/18/10 (2,000.000) 19,420.00 100.00 .33 J.P. MORGAN SECURITIES INC. TRADE DATE 06/18/10 CENTERPOINT ENERGY INC @ 13.93 62,685.00 BROKERAGE TAX &/OR SEC 225.00 1.06 J.P. MORGAN SECURITIES INC. TRADE DATE 06/21/10 (4,500.000) 13.88 62,458.94 (58,050.00) 4,408.94 S 9.66 19,319.67 (20,000.00) (680.33) S (4,500.000) 6.91 31,094.47 (30,375.00) 719.47 S (10,000.000) 80.849 808,494.32 (810,000.00) (1,505.68) S Quantity (10,000.000) Per Unit Amount 5.61 Proceeds 56,099.04 Tax Cost (55,000.00) Realized Gain/Loss 1,099.04 S Page 27 of 52 EFTA01535809 EFTA01535810 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date 6/21 Settlement Date 6/24 Type Settled Sales/Maturities/Redemptions Sale Description METALS USA HOLDINGS CORP @ 15.5425 31,085.00 BROKERAGE TAX &/OR SEC 6/23 6/28 Sale PPL CORP @ 24.536 BROKERAGE TAX &/OR SEC Total Settled Sales/Maturities/Redemptions 100.00 .53 J.P. MORGAN SECURITIES INC. TRADE DATE 06/21/10 (7,500.000) 184,020.00 375.00 3.11 J.P. MORGAN SECURITIES INC. TRADE DATE 06/23/10 $161,764.62 ($1,405,387.50) ($1,370,622.88) S $127,000.00 C Trade Date Settlement Date 6/2 Type Settled Securities Purchased 5/28 Write Option Description 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP EFTA01535811 STRIKE 4.25% S 30/360 VS 3ML EXP DATE 08/13/2010 DEAL 5166005 WRITTEN OTC CALL NEW SWAPTION DEAL #5166005 TRADE DATE 05/28/10 6/3 6/8 Purchase MF GLOBAL HOLDINGS LTD @ 7.10 J.P. MORGAN SECURITIES INC. TRADE DATE 06/03/10 Page 28 of 52 12,000.000 7.10 (85,200.00) Quantity Per Unit Amount (1.000) 545,000.00 24.486 183,641.89 (180,000.00) 3,641.89 S Quantity (2,000.000) Per Unit Amount 15.492 Proceeds 30,984.47 Tax Cost (42,000.00) Realized Gain/Loss (11,015.53) S Market Cost 545,000.00 * EFTA01535812 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date Settlement Date 6/9 Type Settled Securities Purchased 6/3 Purchase Description NU SKIN ENTERPRISES INC CL A @ 27.00 J.P. MORGAN SECURITIES INC. TRADE DATE 06/03/10 6/8 6/10 Purchase Option WTI CALL OPTION USD PUT OPTION STRIKE 90.00 EXPIRES 12/15/2010 100,000 BARRELS PURCHASE OTC CALL TRADE DATE 06/08/10 6/8 6/10 Write Option WTI PUT OPTION USD CALL OPTION STRIKE 65.50 EXPIRES 12/15/2010 100,000 BARRELS WRITTEN OTC PUT TRADE DATE 06/08/10 6/8 6/10 Purchase Option WTI CALL OPTION USD PUT OPTION STRIKE 100.00 EXPIRES 05/17/2011 100,000 BARRELS PURCHASE OTC CALL TRADE DATE 06/08/10 10.000 45,000.00 (450,000.00) (10.000) EFTA01535813 40,000.00 400,000.00 10.000 40,000.00 (400,000.00) Quantity 2,000.000 Per Unit Amount 27.00 Market Cost (54,000.00) Page 29 of 52 EFTA01535814 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date Settlement Date 6/10 Type Settled Securities Purchased 6/8 Write Option Description WTI PUT OPTION USD CALL OPTION STRIKE 63.00 EXPIRES 05/17/2011 100,000 BARRELS WRITTEN OTC PUT TRADE DATE 06/08/10 6/9 6/15 Purchase CENTERPOINT ENERGY INC @ 12.90 J.P. MORGAN SECURITIES INC. TRADE DATE 06/09/10 6/14 6/16 Write Option 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 07/14/2010 DEAL 5166838 WRITTEN OTC CALL NEW SWAPTION DEAL #5166838 TRADE DATE 06/14/10 6/14 6/18 Purchase LINCOLN NATIONAL CORP @ 27.25 J.P. MORGAN SECURITIES INC. TRADE DATE 06/14/10 6/15 6/21 Purchase POLO RALPH LAUREN CORP @ 81.00 J.P. MORGAN SECURITIES INC. TRADE DATE 06/15/10 6/16 EFTA01535815 6/22 Purchase FELCOR LODGING TRUST INC @ 5.50 J.P. MORGAN SECURITIES INC. TRADE DATE 06/16/10 10,000.000 5.50 (55,000.00) 10,000.000 81.00 (810,000.00) 3,500.000 27.25 (95,375.00) (1.000) 561,500.00 561,500.00 9,000.000 12.90 (116,100.00) Quantity (10.000) Per Unit Amount 45,000.00 Market Cost 450,000.00 Page 30 of 52 EFTA01535816 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date Settlement Date 6/23 Type Settled Securities Purchased 6/18 Purchase Description GENERAL MARITIME CORPORATION @ 6.75 J.P. MORGAN SECURITIES INC. TRADE DATE 06/18/10 6/17 6/23 Purchase MOTRICITY INC @ 10.00 J.P. MORGAN SECURITIES INC. TRADE DATE 06/17/10 6/23 6/24 Write Option CAD PUT USD CALL FX EUROPEAN STYLE OPTION JUL 23, 2010 @ 1.05 WRITTEN FX OPTION PUT 5,250,000.00 CAD CALL 5,000,000.00 USD TRADE DATE 06/23/10 6/22 6/28 Purchase PPL CORP @ 24.00 J.P. MORGAN SECURITIES INC. TRADE DATE 06/22/10 6/25 6/30 Purchase FELCOR LODGING LP 10% OCT 01 2014 DTD 10/01/2009 @ 105.25 JP MORGAN SECURITIES INC (BIDL) TRADE DATE 06/25/10 Total Settled Securities Purchased ($2,392,050.00) EFTA01535817 2,000,000.000 105.30 (2,105,000.00) 7,500.000 24.00 (180,000.00) (5,250,000.000 ) 0.01 52,500.00 2,000.000 10.00 (20,000.00) Quantity 4,500.000 Per Unit Amount 6.75 Market Cost (30,375.00) Page 31 of 52 EFTA01535818 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date 6/30 Estimated Settlement Date 7/2 Type Pending Sales, Maturities, Redemptions Option Buyback Description 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 06/30/2010 DEAL 5161946 Quantity 1.000 Per Unit Amount Proceeds (1,140,500 00) Tax Cost 136,000.00 Realized Gain/Loss (1,004,500.00) S Trade Date Estimated Settlement Date 7/1 7/2 Type Description Pending Securities Purchased 6/28 6/30 Purchase Write Option FELCOR LODGING LP 10% OCT 01 2014 DTD 10/01/2009 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 08/31/2010 DEAL 5167546 Total Pending Securities Purchased $51,000.00 EFTA01535819 (1.000) 1,103,500.00 Quantity 1,000,000.000 Per Unit Amount 105.25 Market Cost (1,052,500.00) Page 32 of 52 EFTA01535820 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Australia Dollar Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -4,930,412.05 $4,930,412.05 Foreign Exchange - Outflows TRADE ACTIVITY Total Trade Activity (4,930,412.06) ($4,930,412.06) Settled Securities Purchased Ending Cash Balance * Year to date information is calculated on a calendar year basis. 0.01 $0.01 -Year-To-Date Value* -4,930,412.05 $4,930,412.05 (4,930,412.06) ($4,930,412.06) 0.01 $0.01 -0.00 (0.01) 0.00 -Local Value Current Period Value 0.00 5,703,855.80 5,703,855.80 (5,703,855.81) (5,703,855.81) Year-To-Date Value* -5,703,855.80 5,703,855.80 (5,703,855.81) EFTA01535821 (5,703,855.81) Page 33 of 52 EFTA01535822 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Detail - Australia Dollar INFLOWS & OUTFLOWS Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL CAD CONTRACT RATE : 0.876600000 TRADE 5/20/10 VALUE 6/25/10 6/25 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL AUD CONTRACT RATE : 0.921400000 TRADE 4/28/10 VALUE 6/25/10 6/25 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL AUD CONTRACT RATE : 0.819017000 TRADE 5/20/10 VALUE 6/25/10 Total Inflows & Outflows ($0.01) $497,081.95 227,139.000 (239,724.84) (277,330.96) (12,585.84) 5,000,000.000 (4,690,687.22) (5,426,524.85) 252,710.63 Quantity (5,000,000.000 ) Per Unit Amount USD Local Value Amount USD Local Value 4,930,412.05 5,703,855.80 Currency Gain/Loss USD 256,957.16 Page 34 of 52 EFTA01535823 EFTA01535824 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 TRADE ACTIVITY - Australia Dollar Per Unit Trade Date Settlement Date 6/23 Type Settled Securities Purchased 6/21 Purchase Option Description AUD CALL USD PUT FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .8825 PURCHASED FX OPTION CALL 10,000,000.00 AUD PUT 8,825,000.00 USD TRADE DATE 06/21/10 6/21 6/23 Write Option AUD CALL USD PUT FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .94 WRITTEN FX OPTION CALL 10,000,000.00 AUD PUT 9,400,000.00 USD TRADE DATE 06/21/10 6/21 6/23 Write Option AUD PUT USD CALL FX EUROPEAN STYLE OPTION SEP 21, 2010 @ .86 KI @ 0.83 WRITTEN FX OPTION PUT 10,000,000.00 AUD CALL 8,600,000.00 USD TRADE DATE 06/21/10 Total Settled Securities Purchased (USD) $0.01 ($0.01) (10,000,000.000 ) 0.019 2.10 185,083.50 210,000.00 (10,000,000.000 ) EFTA01535825 0.004 0.40 35,254.00 40,000.00 Quantity 10,000,000 000 Amount USD Local Value 0.022 2.50 Market Cost USD Local Value (220,337.49) (250,000.00) Currency Gain/Loss USD (0.01) Page 35 of 52 EFTA01535826 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Canadian Dollar Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -4,803,073.96 $4,803,073.96 Foreign Exchange - Outflows Ending Cash Balance * Year to date information is calculated on a calendar year basis. Portfolio Activity Detail - Canadian Dollar INFLOWS & OUTFLOWS Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL AUD CONTRACT RATE : 0.921400000 TRADE 4/28/10 VALUE 6/25/10 Quantity (5,426,524.850 ) (4,803,073.96) ($4,803,073.96) -Year-To-Date Value* -14,337,121.14 $14,337,121.14 (14,337,121.14) ($14,337,121.14) -Local Value Current Period Value 0.00 5,000,000.00 5,000,000.00 (5,000,000.00) (5,000,000.00) 0.00 EFTA01535827 Year-To-Date Value* -15,200,000.00 15,200,000.00 (15,200,000.00) (15,200,000.00) -Per Unit Amount USD Local Value Amount USD Local Value 4,803,073.96 5,000,000.00 Currency Gain/Loss USD (140,323.89) Page 36 of 52 EFTA01535828 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 INFLOWS & OUTFLOWS Per Unit Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY AUD SELL CAD CONTRACT RATE : 0.876600000 TRADE 5/20/10 VALUE 6/25/10 Total Inflows & Outflows $0.00 ($269,942.96) Quantity 5,703,855.800 Amount USD Local Value Amount USD Local Value (4,803,073.96) (5,000,000.00) Currency Gain/Loss USD (129,619.07) Page 37 of 52 EFTA01535829 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Euro Beginning Cash Balance Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows $0.00 OUTFLOWS Total Outflows Foreign Exchange - Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance * Year to date information is calculated on a calendar year basis. 240,428.63 $240,428.63 -(452,556.86) 16,724.50 ($435,832.36) -197,000.00 197,000.00 0.00 (348,250.00) 13,000.00 (335,250.00) -(241,167.40) ($241,167.40) Period Value -US Dollar Value Local Value Year-To-Date Value* -692,303.92 $692,303.92 (257,836.00) ($257,836.00) Current Period Value 0.00 Year-To-Date Value* -0.00 (197,000.00) EFTA01535830 (197,000.00) 545,250.00 545,250.00 (210,000.00) (210,000.00) Page 38 of 52 EFTA01535831 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 6/1/10 to 6/30/10 Portfolio Activity Detail - Euro INFLOWS & OUTFLOWS Settlement Date 6/7 Type Spot FX Description SPOT CURRENCY TRANSACTION - SELL BUY USD SELL EUR EXCHANGE RATE 1.224200000 DEAL 06/03/10 VALUE 06/07/10 Quantity 241,167.400 Per Unit Amount USD Local Value Amount USD Local Value (241,167.40) (197,000.00) Currency Gain/Loss USD 738.77 TRADE ACTIVITY Euro Note: Trade Date 6/3 Settlement Date 6/7 C indicates Currency Gain/Loss Per Unit Type Settled Sales/Maturities/Redemptions Option Buyback Description EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.32 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 6/3 6/7 Sell Option EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.28 EFTA01535832 RESALE OF PURCHASED FX OPTION TRADE DATE 06/03/10 (10,000,000.000 ) 0.06 598,020.45 490,000.00 (276,597.42) (215,000.00) 321,423.03 C Quantity 10,000,000.000 Amount USD Local Value 0.002 Proceeds USD Local Value (24,409.00) (20,000.00) Tax Cost USD Realized Local Value Gain/Loss USD 158,239.46 123,000.00 133,830.46 C Page 39 of 52 EFTA01535833 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Per Unit Trade Date 6/3 Settlement Date 6/7 Type Settled Sales/Maturities/Redemptions Option Buyback Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.24 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 Total Settled Sales/Maturities/Redemptions (USD) Per Unit Trade Date 6/3 Settlement Date 6/7 Type Settled Securities Purchased Sale Description EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.32 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 6/3 6/7 Sale EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.24 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 06/03/10 Total Settled Securities Purchased (USD) $0.00 $0.00 (273,000.000) Quantity (20,000.000) Amount USD Local Value EFTA01535834 $240,428.63 Market Cost USD Local Value Currency Gain/Loss USD $16,724.50 $257,153.13 C Quantity 10,000,000.000 Amount USD Local Value 0.033 Proceeds USD Local Value (333,182.82) (273,000.00) Tax Cost USD Realized Local Value Gain/Loss USD 135,082.46 105,000.00 (198,100.36) C Page 40 of 52 EFTA01535835 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Japanese Yen Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows $0.00 OUTFLOWS Total Outflows Foreign Exchange - Outflows $0.00 Ending Cash Balance * Year to date information is calculated on a calendar year basis. Portfolio Activity Detail - Japanese Yen COST ADJUSTMENTS - Japanese Yen Settlement Date 6/7 6/11 6/17 Type Cost Basis Adjustment Cost Basis Adjustment Cost Basis Adjustment Description COST BASIS ADJUSTMENT COST BASIS ADJUSTMENT COST BASIS ADJUSTMENT JAPANESE YEN (0.020) JAPANESE YEN (0.020) JAPANESE YEN Quantity (0.020) -Period Value -Year-To-Date Value* -20,841,850.77 $20,841,850.77 (20,841,850.77) ($20,841,850.77) -Local Value Current Period Value EFTA01535836 0.00 Year-To-Date Value* -0.00 1,868,168,998.48 1,868,168,998.48 0.00 0.00 (1,868,168,998.48 (1,868,168,998.48 ) -Cost Basis Adjustments USD Local Value Page 41 of 52 EFTA01535837 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 COST ADJUSTMENTS - Japanese Yen Cost Basis Settlement Date 6/22 Type Cost Basis Adjustment Total Cost Adjustments (USD) Description COST BASIS ADJUSTMENT JAPANESE YEN Quantity (0.020) Adjustments USD Local Value $0.00 Page 42 of 52 EFTA01535838 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Norwegian Krone Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -19,527,213.78 $19,527,213.78 Foreign Exchange - Outflows Ending Cash Balance * Year to date information is calculated on a calendar year basis. Portfolio Activity Detail - Norwegian Krone INFLOWS & OUTFLOWS Settlement Date 6/30 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL GBP CONTRACT RATE : 9.014200000 TRADE 3/26/10 VALUE 6/30/10 6/30 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL GBP CONTRACT RATE : 9.127000000 TRADE 4/06/10 VALUE 6/30/10 Page 43 of 52 (7,000,000.000 ) 9,824,315.93 63,889,000.00 (854,819.86) Quantity (7,000,000.000 ) (19,527,213.78) ($19,527,213.78) -Year-To-Date Value* -19,527,213.78 $19,527,213.78 (19,527,213.78) EFTA01535839 ($19,527,213.78) -Local Value Current Period Value 0.00 126,988,400.00 126,988,400.00 (126,988,400.00) (126,988,400.00) 0.00 Year-To-Date Value* -126,988,400.00 126,988,400.00 (126,988,400.00) (126,988,400.00) -Per Unit Amount USD Local Value Amount USD Local Value 9,702,897.85 63,099,400.00 Currency Gain/Loss USD (744,887.16) EFTA01535840 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 INFLOWS & OUTFLOWS Per Unit Settlement Date 6/30 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL NOK CONTRACT RATE : 9.242500000 TRADE 5/06/10 VALUE 6/30/10 Total Inflows & Outflows $0.00 ($556,647.02) Quantity 13,739,615.900 Amount USD Local Value Amount USD Local Value (19,527,213.78) (126,988,400.00) Currency Gain/Loss USD 1,043,060.00 Page 44 of 52 EFTA01535841 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Pound Sterling Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -20,945,400.25 $20,945,400.25 Foreign Exchange - Outflows TRADE ACTIVITY Settled Sales/Maturities/Redemptions Settled Securities Purchased Total Trade Activity Ending Cash Balance * Year to date information is calculated on a calendar year basis. $0.00 -(171,872.89) 163,465.02 ($8,407.87) -0.00 0.00 (114,800.00) 105,700.00 (9,100.00) -(20,945,400.25) ($20,945,400.25) Year-To-Date Value* -21,116,394.85 $21,116,394.85 (21,108,548.20) ($21,108,548.20) Local Value Current Period Value 0.00 14,000,000.00 14,000,000.00 (14,000,000.00) (14,000,000.00) Year-To-Date Value* EFTA01535842 -14,114,800.00 14,114,800.00 (14,105,700.00) (14,105,700.00) Page 45 of 52 EFTA01535843 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Detail - Pound Sterling INFLOWS & OUTFLOWS Settlement Date 6/30 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL GBP CONTRACT RATE : 9.014200000 TRADE 3/26/10 VALUE 6/30/10 6/30 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY NOK SELL GBP CONTRACT RATE : 9.127000000 TRADE 4/06/10 VALUE 6/30/10 6/30 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL USD CONTRACT RATE : 1.494890000 TRADE 5/06/10 VALUE 6/30/10 6/30 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY GBP SELL NOK CONTRACT RATE : 9.242500000 TRADE 5/06/10 VALUE 6/30/10 Total Inflows & Outflows $0.00 $167,401.44 (126,988,400.000 ) 20,555,839.60 13,739,615.90 (14,434.18) (389,245.580) 389,560.65 260,384.10 315.07 63,889,000.000 (10,472,700.12) (7,000,000.00) 206,435.67 Quantity 63,099,400.000 Per Unit Amount USD EFTA01535844 Local Value Amount USD Local Value (10,472,700.13) (7,000,000.00) Currency Gain/Loss USD (24,915.12) Page 46 of 52 EFTA01535845 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Portfolio Activity Summary - Swiss Franc Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -10,278,626.75 $10,278,626.75 Foreign Exchange - Outflows Ending Cash Balance * Year to date information is calculated on a calendar year basis. Portfolio Activity Detail - Swiss Franc INFLOWS & OUTFLOWS Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY CHF SELL USD CONTRACT RATE : 1.128396000 TRADE 6/15/10 VALUE 6/25/10 Quantity (9,987,628.340 ) (10,278,626.75) ($10,278,626.75) -Year-To-Date Value* -10,278,626.75 $10,278,626.75 (10,278,626.75) ($10,278,626.75) -Local Value Current Period Value 0.00 11,270,000.00 11,270,000.00 (11,270,000.00) (11,270,000.00) 0.00 EFTA01535846 Year-To-Date Value* -11,270,000.00 11,270,000.00 (11,270,000.00) (11,270,000.00) -Per Unit Amount USD Local Value Amount USD Local Value 10,278,626.75 11,270,000.00 Currency Gain/Loss USD 290,998.41 Page 47 of 52 EFTA01535847 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 INFLOWS & OUTFLOWS Per Unit Settlement Date 6/25 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL CHF CONTRACT RATE : 1.111374900 TRADE 6/17/10 VALUE 6/25/10 Total Inflows & Outflows $0.00 $152,963.68 Quantity 10,140,592.020 Amount USD Local Value Amount USD Local Value (10,278,626.75) (11,270,000.00) Currency Gain/Loss USD (138,034.73) Page 48 of 52 EFTA01535848 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Settled Foreign Exchange Contracts Currency Trade Date Settle Date Counter Currency Trade Related EURO U S DOLLAR Speculative AUSTRALIA DOLLAR CANADIAN DOLLAR AUSTRALIA DOLLAR CANADIAN DOLLAR AUSTRALIA DOLLAR U S DOLLAR SWISS FRANC U S DOLLAR SWISS FRANC U S DOLLAR POUND STERLING NORWEGIAN KRONE POUND STERLING NORWEGIAN KRONE POUND STERLING U S DOLLAR POUND STERLING NORWEGIAN KRONE Apr. 28 10 Jun. 25 10 May. 20 10 Jun. 25 10 May. 20 10 Jun. 25 10 Jun. 15 10 Jun. 25 10 Jun. 17 10 Jun. 25 10 Mar. 26 10 Jun. 30 10 Apr. 6 10 Jun. 30 10 May. 6 10 Jun. 30 10 May. 6 10 Jun. 30 10 AUD CAD AUD CAD AUD EFTA01535849 USD CHF USD CHF USD GBP NOK GBP NOK GBP USD GBP (5,426,524.85) 5,000,000.00 5,703,855.80 (5,000,000.00) (277,330.96) 227,139.00 11,270,000.00 (9,987,628.34) (11,270,000.00) 10,140,592.02 (7,000,000.00) 63,099,400.00 (7,000,000.00)