EFTA01534662.pdf

JPMorgan Chase Bank, N.A. 270 Park Avenue, New York, NY 10017-2014 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 0000000465.00.0.23.RRRRR.BALER01.20100617 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 54 EFTA01534662 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 20,419,540.00 24,686,461.56 30,515,088.00 (924,361.77) 218,446.13 (328,464.35) $74,586,709.57 298,064.65 $74,884,774.22 Market Value 19,248,577.50 35,288,211.90 19,041,704.00 (1,665,791.50) (717,387.04) (4,569,518.13) $66,625,796.73 238,594.71 $66,864,391.44 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 Period Value 74,586,709.57 505,215.67 (1,030,000.00) EFTA01534663 (305,003.00) ($829,787.33) (596,750.29) (6,534,375.22) $66,625,796.73 238,594.71 $66,864,391.44 Change In Value (1,170,962.50) 10,601,750.34 (11,473,384.00) (741,429.73) (935,833.17) (4,241,053.78) ($7,960,912.84) (59,469.94) ($8,020,382.78) Equity Year-to-Date Value 0.00 76,033,215.67 (1,459,442.44) (305,005.00) $74,268,768.23 (744,998.21) (6,897,973.29) $66,625,796.73 238,594.71 $66,864,391.44 Estimated 1,389,305.00 377,757.02 1,111,851.50 Current Annual Income Allocation 26% 47% 26% 1% Cash & Short Term Options Asset Allocation $2,878,913.52 100% Fixed Income Page 2 of 54 EFTA01534664 EFTA01534665 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Account Summary Tax Summary Currency Gain/Loss Interest Income Taxable Income CONTINUED Current Period Value (701,523.18) 104,772.89 ($596,750.29) Year-to-Date Value (701,840.25) (43,157.96) ($744,998.21) Unrealized Gain/Loss To-Date Value ($2,333,439.03) ST Realized Gain/Loss Realized Gain/Loss Current Period Value 378,812.23 $378,812.23 Year-to-Date Value 417,365.88 $417,365.88 Cost Summary Equity Cost Cash & Short Term Fixed Income Options Total 20,641,247.50 35,330,911.90 20,090,706.00 (1,816,724.50) $74,246,140.90 Page 3 of 54 EFTA01534666 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Equity Summary Asset Categories US Large Cap 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 Large Cap MACERICH CO 554382-10-1 MAC Price Market Value Tax Cost Adjusted Original Unrealized Gain/Loss Annual Income Accrued Dividends Yield Beginning Market Value 983,620.00 35,920.00 19,400,000.00 $20,419,540.00 Ending Market Value 234,557.50 406,020.00 18,608,000.00 $19,248,577.50 Current Period Value 19,248,577.50 20,641,247.50 (1,392,670.00) 1,389,305.00 EFTA01534667 11,000.00 7.22% Preferred Stocks Change In Value (749,062.50) 370,100.00 (792,000.00) ($1,170,962.50 ) Current Allocation 1% 1% 24% 26% US Mid Cap/Small Cap US Large Cap Asset Categories Equity N/A 11,000.00 Page 4 of 54 EFTA01534668 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Estimated Quantity US Large Cap NUSTAR ENERGY LP Total US Large Cap 67058H-10-2 NS 4,250.000 US Mid Cap/Small Cap METALS USA HOLDINGS CORP SOLAR CAPITAL LTD 59132A-10-4 MUSA 13,000.000 83413U-10-0 SLRC STRATEGIC HOTELS & RESORTS INC Total US Mid Cap/Small Cap 86272T-10-6 BEE 35,000.000 Preferred Stocks 3PM CHASE CAPITAL XXIX 6.7% PFD 48125E-20-7 3PM PC 800,000.000 23.26 18,608,000.00 19,980,000.00 (1,372,000.00) 1,340,000.00 7.20% $406,020.00 $420,910.00 ($14,890.00) $31,200.00 7.68% 20,000.000 4.90 98,000.00 92,000.00 6,000.00 21.34 277,420.00 286,910.00 (9,490.00) 31,200.00 11.25% 2,000.000 15.30 30,600.00 42,000.00 (11,400.00) EFTA01534669 $234,557.50 $240,337.50 ($5,780.00) $18,105.00 $11,000.00 7.72% 4,250.000 55.19 234,557.50 240,337.50 (5,780.00) 18,105.00 7.72% Price Market Value Tax Cost Adjusted Original Unrealized Gain/Loss Annual Income Accrued Dividends Yield Page 5 of 54 EFTA01534670 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 5,099,800.00 Market Value Market Value 24,686,461.56 0.00 $24,686,461.56 Ending Market Value 30,188,411.90 5,099,800.00 $35,288,211.90 Current Period Value 35,288,211.90 35,330,911.90 (42,700.00) 377,757.02 123,585.01 0.65% SUMMARY BY TYPE Short Term Corporate Bonds Market Value 5,099,800.00 % of Bond Portfolio 100% Change In Value 5,501,950.34 5,099,800.00 EFTA01534671 $10,601,750.34 Current Allocation 40% 7% 47% Short Term Asset Categories Cash & Short Term Cash Page 6 of 54 EFTA01534672 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 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 5,000,000.00 102.00 5,099,800.00 5,142,500.00 (42,700.00) 368,750.00 122,915.00 4.29% (0.02) 165,000.00 30,023,411.90 0.01 1.00 1.00 N/A 165,000.00 30,023,411.90 $30,188,411.90 165,000.00 30,023,411.90 $30,188,411.90 $0.00 9,007.02 670.01 $9,007.02 $670.01 0.03% 1 0.03% Price Market Value EFTA01534673 Tax Cost Adjusted Original Estimated Unrealized Gain/Loss Annual Income Accrued Interest Yield Page 7 of 54 EFTA01534674 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 6,741,704.00 9,050,000.00 3,250,000.00 $19,041,704.00 % of Bond Portfolio 35% 48% 17% 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 28,777,588.00 1,737,500.00 $30,515,088.00 Ending Market Value 17,522,954.00 1,518,750.00 $19,041,704.00 Current Period Value 19,041,704.00 20,090,706.00 (1,049,002.00) EFTA01534675 1,111,851.50 104,009.70 7.10% SUMMARY BY TYPE Fixed Income Corporate Bonds International Bonds Total Value Market Value 17,522,954.00 1,518,750.00 $19,041,704.00 % of Bond Portfolio 92% 8% 100% US Fixed Income - Taxable Change In Value (11,254,634.00) (218,750.00) ($11,473,384.00 ) Current Allocation 24% 2% 26% Non-US Fixed Income Asset Categories Fixed Income Page 8 of 54 EFTA01534676 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Fixed Income Detail Quantity US Fixed Income - Taxable FORD MOTOR CREDIT CO LLC FLOATING RATE NOTE JUN 15 2011 DTD 03/15/2007 345397-VF-7 B- /BA3 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 25,200,000.000 $17,522,954.00 $18,336,456.00 ($813,502.00) $989,351.50 $92,782.20 6.14% 10,000,000.000 32.50 3,250,000.00 3,800,000.00 (550,000.00) 5,000,000.000 90.25 4,512,500.00 4,612,500.00 (100,000.00) 350,000.00 10,690.00 8.90% 5,000,000.000 90.75 4,537,500.00 4,725,000.00 EFTA01534677 (187,500.00) 350,000.00 20,415.00 9.03% 200,000.000 98.98 197,954.00 198,956.00 (1,002.00) 14,000.00 2,022.20 7.25% Price Market Value Tax Cost Adjusted Original Estimated Unrealized Gain/Loss Annual Income Accrued Interest Yield 5,000,000.000 100.50 5,025,000.00 5,000,000.00 25,000.00 275,351.50 59,655.00 4.98% Page 9 of 54 EFTA01534678 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 60.75 1,518,750.00 1,754,250.00 (235,500.00) 122,500.00 11,227.50 18.22% Page 10 of 54 EFTA01534679 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Options Summary Asset Categories Equity 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 EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.32 XEURCB-LN-Z EUR Price Market Value Premium Unrealized Gain/Loss Beginning Market Value (114,400.00) (265,100.78) (544,860.99) ($924,361.77) Ending Market Value 0.00 183,625.70 (1,849,417.20) ($1,665,791.50 ) Current Period Value (1,665,791.50) (1,816,724.50) 150,932.97 Change In Value 114,400.00 448,726.48 (1,304,556.21) ($741,429.73) Current EFTA01534680 Allocation Options 1% 1% Asset Categories (10,000,000.000 ) 0.32 (32,210.83) (158,239.46) 126,028.63 Page 11 of 54 EFTA01534681 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Quantity Foreign Exchange EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 KI @ 1.63 XEURCB-LT-Z EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 KI @ 1.38 XEURCB-LU-Z EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.28 XEURPB-HD-Z EUR EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.24 XEURPB-HE-Z EUR EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 XEURPB-HW-Z GBP PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 XGBPPA-LM-Z JPY CALL USD PUT FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 XJPYCA-NE-Z Page 12 of 54 (935,000,000.000 ) 0.07 (638,286.62) (470,000.00) (168,286.17) 6,932,409.000 8.04 557,445.77 495,000.00 62,445.77 8,032,128.510 7.46 599,412.40 495,000.00 104,412.39 (10,000,000.000 ) EFTA01534682 3.06 (306,413.20) (135,082.46) (171,330.74) 10,000,000.000 5.56 555,750.61 276,597.42 279,153.19 (8,032,128.510 ) 5.77 (463,522.04) (495,000.00) 31,477.96 Price Market Value Premium Unrealized Gain/Loss (6,932,409 000 ) 6.61 (458,137.66) (495,000.00) 36,862.34 EFTA01534683 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Quantity Foreign Exchange 3PY PUT USD CALL FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 XJPYPA-SQ-Z Total Foreign Exchange Other XAU PUT OPTION USD CALL OPTION STRIKE 1,115.00 EXPIRES 6/17/2010 KI @ 1,085 Underlying Asset Price = $1,206.13 OTCBDP-EW-G 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 P 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 (1.000) (545,000.00) 545,000.00 (1.000) 1.00 (656,612.57) (909,000.00) 252,387.43 (5,000.000) 1.14 (5,701.58) (85,000.00) 79,298.42 (10,000,000.000 ) $183,625.70 ($16,724.50) $200,350.17 Price Market Value Premium Unrealized Gain/Loss EFTA01534684 935,000,000.000 0.04 369,587.27 470,000.00 (100,413.20) Page 13 of 54 EFTA01534685 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Quantity Other 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 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 Underlying Asset Price = $0.00 OTCBDC-TC-N P 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 Underlying Asset Price = $0.00 OTCBDC-TE-Y Total Other (5,004.000) ($1,849,417.20) ($1,800,000.00) ($49,417.20) 1.00 N/A (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18) (1.000) 1.00 (613,263.87) (136,000.00) (477,263.87) Price Market Value Premium Unrealized Gain/Loss Page 14 of 54 EFTA01534686 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Foreign Exchange Contracts Summary NET CURRENCY EXPOSURE SUMMARY Value AUSTRALIA DOLLAR CANADIAN DOLLAR US DOLLAR in Currency (0.01) 0.01 (717,387.03) Foreign Exchange Contracts Detail Market Value Receivable Trade Date Speculative AUSTRALIA DOLLAR AUSTRALIA DOLLAR AUSTRALIA DOLLAR CANADIAN DOLLAR CANADIAN DOLLAR CANADIAN DOLLAR CANADIAN DOLLAR US DOLLAR JAPANESE YEN JAPANESE YEN May. 20 10 Jul. 30 10 Apr. 28 10 Jul. 30 10 May. 20 10 Jul. 30 10 Apr. 28 10 Aug. 6 10 May. 6 10 Aug. 6 10 AUD CAD AUD CAD AUD USD CAD JPY CAD JPY 5,703,855.80 (5,000,000.00) (5,426,524.85) 5,000,000.00 EFTA01534687 (277,330.96) 227,244.98 5,000,000.00 (464,350,000.00 ) (5,246,892.65) 464,350,000.00 0.876600 0.921400 0.819400 92.870000 88.500000 1.129656 1.129656 0.841545 86.359007 86.359007 4,800,050.80 4,753,280.81 4,753,280.81 4,566,664.35 227,244.98 233,386.45 4,753,054.24 5,111,408.31 5,111,408.31 4,987,753.07 46,769.99 186,616.46 (6,141.47) (358,354.07) 123,655.24 Currency Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Page 15 of 54 EFTA01534688 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Market Value Receivable Trade Date Speculative CANADIAN DOLLAR INDIAN RUPEE INDIAN RUPEE POUND STERLING POUND STERLING POUND STERLING POUND STERLING Total Speculative US DOLLAR US DOLLAR US DOLLAR NORWEGIAN KRONE NORWEGIAN KRONE NORWEGIAN KRONE US DOLLAR May. 6 10 Aug. 6 10 Apr. 16 10 Oct. 20 10 May. 6 10 Oct. 20 10 May. 6 10 Jun. 30 10 Mar. 26 10 Jun. 30 10 Apr. 6 10 Jun. 30 10 May. 6 10 Jun. 30 10 CAD USD INR USD INR USD GBP NOK GBP NOK GBP NOK GBP USD 246,892.66 (236,652.69) EFTA01534689 446,500,000.00 (10,000,000.00) (446,500,000.00 9,681,266.26 13,739,615.90 (126,988,400.00 (7,000,000.00) 63,099,400.00 (7,000,000.00) 63,889,000.00 260,384.10 (389,245.58) 1.043270 44.650000 46.120000 9.242500 9.014200 9.127000 1.494890 1.051955 46.824051 46.824051 9.364226 9.364226 9.364226 1.445920 234,698.84 236,652.69 9,535,697.78 10,000,000.00 9,681,266.26 9,535,697.78 19,866,384.77 19,608,141.69 9,743,110.20 10,121,439.67 9,865,031.48 10,121,439.67 376,494.56 389,245.58 $78,947,723.03 $79,665,110.07 (1,953.85) (464,302.22) 145,568.48 258,243.08 (378,329.47) (256,408.19) (12,751.02) ($717,387.04) Currency EFTA01534690 Settlement Date Counter Currency Amount Counter Amount Contract Rate Current Market Forward Rate Market Value Payable Unrealized Gain/Loss Page 16 of 54 EFTA01534691 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Other Assets Summary Asset Categories Swaps Beginning Estimated Value (328,464.35) Ending Estimated Value (4,569,518.13) Change In Value (4,241,053.78) Current Allocation Market Value/Cost Market Value (4,569,518.13) 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 (18,063.74) N/A Price Estimated Value Adjusted Original Estimated Gain/Loss Accruals Page 17 of 54 EFTA01534692 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 15.40 (1,373,941.37) N/A 20,000.000 15.94 (318,729.47) N/A 30,000.000 14.70 (440,875.77) N/A 1.000 1.00 (24,818.46) N/A Price Estimated Value Adjusted Original EFTA01534693 Estimated Gain/Loss Accruals Page 18 of 54 EFTA01534694 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 ($4,569,518.13) $0.00 $0.00 50,000.000 7.19 (359,397.09) N/A 88,261.000 23.04 (2,033,692.23) N/A Price Estimated Value Adjusted Original Estimated Gain/Loss Accruals Page 19 of 54 EFTA01534695 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 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 17,439,823.52 (11,026,947.50) $6,412,876.02 $30,023,411.90 * Year to date information is calculated on a calendar year basis. 19,099,351.63 (63,285,439.25) ($44,186,087.62) -104,772.89 505,215.67 379,034.82 $989,023.38 (1,030,000.00) (863,298.52) ($1,893,298.52) (43,157.96) 76,033,215.67 542,182.77 $76,532,240.48 (1,459,442.44) (863,298.52) ($2,322,740.96) Period Value 24,514,811.02 Year-To-Date Value* -Page 20 of 54 EFTA01534696 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Detail - U S Dollar INFLOWS & OUTFLOWS Settlement Date 5/3 Type Interest Income Description DEPOSIT SWEEP INTEREST FOR APR. @ .03% RATE ON NET AVG COLLECTED BALANCE OF $31,396,909.44 AS OF 05/01/10 5/4 Receipt of Assets LONG TOTAL RETURN SWAP 4,775,970.00 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APR 29 2011 DEAL 5508960 JPMORGAN CHASE BANK TRADE DATE 04/29/10 5/5 Receipt of Assets INTEREST RATE SWAP 125,000,000 USD NOTIONAL 05/08/2012 PAY: FLOATING RATE USD 3 MONTH LIBOR DEAL 260160350 1.73% REC FIXED, S 30/360 NEW SWAP DEAL #260160350 JPMORGAN CHASE BANK TRADE DATE 04/30/10 5/7 Spot FX SPOT CURRENCY TRANSACTION - SELL BUY USD SELL EUR EXCHANGE RATE 1.282200000 DEAL 05/05/10 VALUE 05/07/10 5/10 Spot FX SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD EXCHANGE RATE 1.269700000 DEAL 05/06/10 VALUE 05/10/10 545,250.000 692,303.92 (692,303.92) (13,000.000) (16,724.50) 16,668.60 1.000 EFTA01534697 30,000.000 Quantity Cost Per Unit Amount Amount 774.25 Page 21 of 54 EFTA01534698 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Settlement Date 5/10 Type Spot FX Description SPOT CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.489500000 DEAL 05/06/10 VALUE 05/10/10 5/11 Corporate Interest CIT GROUP INC 7% MAY 01 2016 DTD 11/04/2009 AS OF 05/10/10 5/14 Receipt of Assets LONG TOTAL RETURN SWAP 3,208,420 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APRIL 28 2011 DEAL 5499085 PARTIAL TERMINATION JPMORGAN CHASE BANK TRADE DATE 04/26/10 AS OF 04/26/10 5/14 Free Delivery LONG TOTAL RETURN SWAP 8,021,050 USD NOTIONAL GOLDMAN SACHS GRP INC MAT APRIL 28 2011 DEAL 5499085 PARTIAL TERMINATION JPMORGAN CHASE BANK TRADE DATE 04/26/10 AS OF 04/26/10 5/17 Accrued Interest Paid FORD MOTOR CREDIT CO 7 3/8% FEB 1 2011 DTD 1/30/2001 5,000,000.000 0.022 (108,576.39) (20,000.000) 20,000.000 5,000,000.000 0.018 EFTA01534699 87,500.00 Quantity Cost Per Unit Amount 114,800.000 170,994.60 Amount (170,994.60) Page 22 of 54 EFTA01534700 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Settlement Date 5/18 Type Receipt of Assets Description SX5E DIVIDEND SWAP FIXED STRIKE EUR 100.00 NUMBER OF BASKET 50,000 MAT DEC 21 2012 DEAL 4458593 JPMORGAN CHASE BANK TRADE DATE 05/13/10 5/20 Free Delivery INTEREST RATE SWAP 14,050,000 USD NOTIONAL 2/15/2040 REC: FLOATING RATE USD 3 MONTH LIBOR DEAL 254307367 4.45653% PAY FIXED, S 30/360 SWAP UNWIND -REF #254307367 JPMORGAN CHASE BANK TRADE DATE 05/18/10 5/20 Misc. Disbursement INTEREST RATE SWAP 14,050,000 USD NOTIONAL 2/15/2040 REC: FLOATING RATE USD 3 MONTH LIBOR DEAL 254307367 4.45653% PAY FIXED, S 30/360 SWAP UNWIND -REF #254307367 -UNWIND PRINCIPAL 5/20 Misc. Disbursement INTEREST RATE SWAP 14,050,000 USD NOTIONAL 2/15/2040 REC: FLOATING RATE USD 3 MONTH LIBOR DEAL 254307367 4.45653% PAY FIXED, S 30/360 SWAP UNWIND -REF #254307367 -UNWIND ACCRUED (91,841.86) (938,158.14) (1.000) Quantity Cost Per Unit Amount 50,000.000 EFTA01534701 Amount Page 23 of 54 EFTA01534702 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Settlement Date 5/20 Type Misc. Receipt Description INTEREST RATE SWAP 14,050,000 USD NOTIONAL 2/15/2040 REC: FLOATING RATE USD 3 MONTH LIBOR DEAL 254307367 4.45653% PAY FIXED, S 30/360 IR SWAP NET PAYMENT FIXED -0.00 + 5,215.67 LIBOR AS OF 05/17/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 93.494900000 TRADE 4/14/10 VALUE 5/20/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 93.335900000 TRADE 4/14/10 VALUE 5/20/10 5/20 5/26 Accrued Interest Received Option Assignment U S A NOTES 4 5/8% FEB 15 2040 DTD 02/16/2010 MACERICH CO CALL OPTION MAY 10 @ 40 COVERED CALL ASSIGNED TRADE DATE 05/21/10 5/26 Accrued Interest Paid FORD MOTOR CREDIT CO LLC FLOATING RATE NOTE JUN 15 2011 DTD 03/15/2007 5,000,000.000 0.011 (55,070.00) 220.000 43,339.25 40.00 EFTA01534703 15,000,000.000 0.012 180,145.03 (17,850,000.000 ) (199,318.85) 191,244.62 (15,998,998.500 ) (178,649.97) 171,121.60 Quantity Cost Per Unit Amount Amount 5,215.67 Page 24 of 54 EFTA01534704 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Settlement Date 5/27 Type Free Delivery Description INTEREST RATE SWAP 125,000,000 USD NOTIONAL 04/30/2012 PAY: FLOATING RATE USD 3 MONTH LIBOR DEAL 257872357 1.7525% REC FIXED, S 30/360 SWAP UNWIND - REF # 257872357 TRADE DATE 05/25/10 5/27 Free Delivery INTEREST RATE SWAP 125,000,000 USD NOTIONAL 05/08/2012 PAY: FLOATING RATE USD 3 MONTH LIBOR DEAL 260160350 1.73% REC FIXED, S 30/360 SWAP UNWIND - REF # 260160350 TRADE DATE 05/25/10 5/27 Misc. Receipt INTEREST RATE SWAP 125,000,000 USD NOTIONAL 04/30/2012 PAY: FLOATING RATE USD 3 MONTH LIBOR DEAL 257872357 1.7525% REC FIXED, S 30/360 SWAP UNWIND - REF #257872357 - TOTAL CASHFLOW IS PRINCIPAL 5/27 Misc. Receipt INTEREST RATE SWAP 125,000,000 USD NOTIONAL 05/08/2012 PAY: FLOATING RATE USD 3 MONTH LIBOR DEAL 260160350 1.73% REC FIXED, S 30/360 SWAP UNWIND - REF # 260160350 - TOTAL CASHFLOW IS PRINCIPAL Total Inflows & Outflows ($904,275.14) 227,000.00 273,000.00 (1.000) Quantity Cost Per Unit EFTA01534705 Amount (1.000) Amount Page 25 of 54 EFTA01534706 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 TRADE ACTIVITY Note: Trade Date 4/28 Settlement Date 5/3 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 Sale Description APOLLO INVESTMENT CORP @ 12.32005 BROKERAGE TAX &/OR SEC 4/29 5/5 Sale 3.96 J.P. MORGAN SECURITIES INC. TRADE DATE 04/28/10 KANSAS CITY SOUTHERN INDUSTRIES INC @ 40.056 80,112.00 BROKERAGE TAX &/OR SEC 4/29 5/5 Sale 100.00 1.36 J.P. MORGAN SECURITIES INC. TRADE DATE 04/29/10 SYNOVUS FINANCIAL CORP @ 3.06 306,000.00 BROKERAGE TAX &/OR SEC 4/30 5/5 Sale 5,000.00 5.18 J.P. MORGAN SECURITIES INC. EFTA01534707 TRADE DATE 04/29/10 PAA NATURAL GAS STORAGE LP @ 23.29842 81,544.47 BROKERAGE TAX &/OR SEC 175.00 1.38 J.P. MORGAN SECURITIES INC. TRADE DATE 04/30/10 (3,500.000) 23.248 81,368.09 (75,250.00) 6,118.09 S* (100,000.000) 3.01 300,994.82 (275,000.00) 25,994.82 S* (2,000.000) 40.005 80,010.64 (78,000.00) 2,010.64 S* Quantity (19,000.000) 234,080.95 950.00 Per Unit Amount 12.27 Proceeds 233,126.99 Tax Cost (235,600.00) Realized Gain/Loss (2,473.01) S* Page 26 of 54 EFTA01534708 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 Trade Date 5/4 Settlement Date 5/7 Type Settled Sales/Maturities/Redemptions Sale Description KINDER MORGAN ENERGY PARTNERSHIP L P UNIT OF LIMITED PARTNERSHIP INT @ 65.74 262,960.00 BROKERAGE TAX &/OR SEC 5/6 5/10 Option Buyback BRL PUT USD CALL FX EUROPEAN STYLE OPTION JUN 04, 2010 @ 1.8 KI @ 1.92 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 05/06/10 5/7 5/11 Option Buyback XPD PUT OPTION USD CALL OPTION STRIKE 525 EXPIRES 06/02/2010 BUY BACK OTC PUT TRADE DATE 05/07/10 5/7 5/12 Sale IMMUNOGEN INC @ 8.01264 BROKERAGE TAX &/OR SEC 5/13 5/18 Sale (12,500.000) 100,158.00 625.00 1.70 J.P. MORGAN SECURITIES INC. TRADE DATE 05/07/10 EFTA01534709 RAMCO-GERSHENSON PROPERTIES TRUST @ 11.70 64,350.00 BROKERAGE TAX &/OR SEC 275.00 1.09 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 (5,500.000) 11.65 64,073.91 (63,250.00) 823.91 S 7.963 99,531.30 (100,000.00) (468.70) S 10,000.000 39.60 (396,000.00) 140,000.00 (256,000.00) S 200.00 4.45 J.P. MORGAN SECURITIES INC. TRADE DATE 05/04/10 18,000,000.000 0.021 (373,000.00) 102,000.00 (271,000.00) C Quantity (4,000.000) Per Unit Amount 65.689 Proceeds 262,755.55 Tax Cost (265,000.00) Realized Gain/Loss (2,244.45) S Page 27 of 54 EFTA01534710 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 Trade Date 5/13 Settlement Date 5/18 Type Settled Sales/Maturities/Redemptions Sale Description TELENAV INC @ 9.38728 BROKERAGE TAX &/OR SEC 5/18 5/20 Sale U S A NOTES 4 5/8% FEB 15 2040 DTD 02/16/2010 @ 106.25 JP MORGAN SECURITIES INC (BIDL) TRADE DATE 05/18/10 5/24 5/24 Expired Option INR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 19, 2010 @ 44.5 5/20 5/25 Sale EXPIRATION OF PURCHASED FX OPTION GETTY REALTY CORP @ 21.12927 BROKERAGE TAX &/OR SEC 5/20 5/25 Sale REACHLOCAL INC @ 14.09 BROKERAGE TAX &/OR SEC 211,292.70 500.00 3.58 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 EFTA01534711 (1,500.000) 21,135.00 100.00 .36 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 14.023 21,034.64 (19,500.00) 1,534.64 S (10,000.000) 21.079 210,789.12 (220,000.00) (9,210.88) S (445,000,000.000 ) (93,000.00) (93,000.00) C Quantity (3,000.000) 28,161.84 150.00 .48 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 (15,000,000.000 ) 106.30 15,937,500.00 (14,887,500.00) 1,050,000.00 S Per Unit Amount 9.337 Proceeds 28,011.36 Tax Cost (24,000.00) Realized Gain/Loss 4,011.36 S Page 28 of 54 EFTA01534712 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 Trade Date 5/20 Settlement Date 5/25 Type Settled Sales/Maturities/Redemptions Sale Description VITAMIN SHOPPE INC @ 23.16137 BROKERAGE TAX &/OR SEC 5/24 5/26 Option Buyback Quantity (2,000.000) 46,322.74 100.00 .79 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 ENTRY REVERSED ON 06/15/2010 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 5/20 5/26 Sale ACCRETIVE HEALTH INC @ 13.46 BROKERAGE TAX &/OR SEC 5/20 5/26 Sale (1,500.000) 20,190.00 100.00 .35 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 RESOURCE CAPITAL CORP EFTA01534713 @ 5.15171 BROKERAGE TAX &/OR SEC 5/21 5/26 Sale MACERICH CO @ 40.00 BROKERAGE TAX &/OR SEC (6,400.000) 32,970.94 320.00 .56 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 (22,000.000) 880,000.00 1,320.00 14.88 J.P. MORGAN SECURITIES INC. TRADE DATE 05/21/10 Page 29 of 54 39.939 878,665.12 (902,000.00) 20,004.37 S 5.102 32,650.38 (33,600.00) (949.62) S 13.393 20,089.65 (18,000.00) 2,089.65 S 1.000 88,000.00 (88,000.00) 80,000.00 (8,000.00) S Per Unit Amount 23.111 Proceeds 46,221.95 Tax Cost (47,000.00) Realized Gain/Loss (778.05) S EFTA01534714 EFTA01534715 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date 5/28 Settlement Date 5/28 Type Settled Sales/Maturities/Redemptions Expired Option Description 1 PAYER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 05/28/2010 DEAL 5163368 EXPIRATION OF PURCHASED OTC CALL Total Settled Sales/Maturities/Redemptions $17,439,823.52 ($17,169,700.00) $677,462.77 S ($364,000.00) C Trade Date Settlement Date 5/3 Type Settled Securities Purchased 4/27 Purchase Description APOLLO INVESTMENT CORP @ 12.40 J.P. MORGAN SECURITIES INC. TRADE DATE 04/27/10 4/28 5/4 Purchase KANSAS CITY SOUTHERN INDUSTRIES INC @ 39.00 J.P. MORGAN SECURITIES INC. TRADE DATE 04/28/10 4/28 5/4 Purchase SYNOVUS FINANCIAL CORP @ 2.75 J.P. MORGAN SECURITIES INC. TRADE DATE 04/28/10 4/29 EFTA01534716 5/4 Write Option XPD PUT OPTION USD CALL OPTION STRIKE 525 EXPIRES 06/02/2010 WRITTEN OTC PUT TRADE DATE 04/29/10 Page 30 of 54 (10,000.000) 14.00 140,000.00 * 100,000.000 2.75 (275,000.00) * 2,000.000 39.00 (78,000.00) * Quantity 19,000.000 Per Unit Amount 12.40 Quantity (1.000) Per Unit Amount Proceeds Tax Cost (155,000.00) Realized Gain/Loss (155,000.00) S Market Cost (235,600.00) * EFTA01534717 FINANCIAL TRUST COMPANY INC ACCT. • For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/5 Type Settled Securities Purchased 4/29 Purchase Description PAA NATURAL GAS STORAGE LP @ 21.50 J.P. MORGAN SECURITIES INC. TRADE DATE 04/29/10 4/30 5/5 Purchase Option 1 PAYER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 05/28/2010 DEAL 5163368 PURCHASE OTC CALL NEW SWAPTION DEAL # 5163368 TRADE DATE 04/30/10 4/30 5/5 Write Option 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 WRITTEN OTC CALL NEW SWAPTION DEAL # 5163369 TRADE DATE 04/30/10 5/5 5/7 Write Option BRL PUT USD CALL FX EUROPEAN STYLE OPTION JUN 04, 2010 @ 1.8 KI @ 1.92 WRITTEN FX OPTION PUT 18,000,000.00 BRL CALL 10,000,000.00 USD TRADE DATE 05/05/10 5/4 5/7 Purchase KINDER MORGAN ENERGY PARTNERSHIP L P EFTA01534718 UNIT OF LIMITED PARTNERSHIP INT @ 66.25 J.P. MORGAN SECURITIES INC. TRADE DATE 05/04/10 Page 31 of 54 4,000.000 66.25 (265,000.00) (18,000,000.000 ) 0.006 102,000.00 (1.000) 113,000.00 113,000.00 * 1.000 155,000.00 (155,000.00) * Quantity 3,500.000 Per Unit Amount 21.50 Market Cost (75,250.00) * EFTA01534719 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/12 Type Settled Securities Purchased 5/6 Purchase Description IMMUNOGEN INC @ 8.00 J.P. MORGAN SECURITIES INC. TRADE DATE 05/06/10 5/11 5/13 Write Option ENTRY REVERSED ON 05/27/2010 JPY CALL USD PUT FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.50 CTS KI @ 81.50 WRITTEN FX OPTION CALL 95,000,000.00 JPY PUT 10,000,000.00 USD TRADE DATE 05/11/10 5/11 5/13 Purchase Option JPY PUT USD CALL FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 PURCHASED FX OPTION PUT 935,000,000.00 JPY CALL 10,000,000.00 USD TRADE DATE 05/11/10 5/13 5/17 Purchase Option GBP PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 PURCHASED FX OPTION PUT 6,932,409.00 GBP CALL 10,000,000.00 USD TRADE DATE 05/13/10 6,932,409.000 0.071 (495,000.00) EFTA01534720 935,000,000.000 0.001 (470,000.00) (95,000,000.000 ) 0.005 470,000.00 Quantity 12,500.000 Per Unit Amount 8.00 Market Cost (100,000.00) Page 32 of 54 EFTA01534721 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/17 Type Settled Securities Purchased 5/13 Write Option Description EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.4425 KI @ 1.63 WRITTEN FX OPTION CALL 6,932,409.00 EUR PUT 10,000,000.00 USD TRADE DATE 05/13/10 5/13 5/17 Purchase Option EUR PUT USD CALL FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 PURCHASED FX OPTION PUT 8,032,128.51 EUR CALL 10,000,000.00 USD TRADE DATE 05/13/10 5/13 5/17 Write Option EUR CALL USD PUT FX EUROPEAN STYLE OPTION MAY 13, 2011 @ 1.245 KI @ 1.38 WRITTEN FX OPTION CALL 8,032,128.51 EUR PUT 10,000,000.00 USD TRADE DATE 05/13/10 5/12 5/17 Purchase FORD MOTOR CREDIT CO 7 3/8% FEB 1 2011 DTD 1/30/2001 @ 102.85 JP MORGAN SECURITIES INC (BIDL) TRADE DATE 05/12/10 5,000,000.000 EFTA01534722 102.90 (5,142,500.00) (8,032,128.510 ) 0.062 495,000.00 8,032,128.510 0.062 (495,000.00) Quantity (6,932,409.000 ) Per Unit Amount 0.071 Market Cost 495,000.00 Page 33 of 54 EFTA01534723 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/18 Type Settled Securities Purchased 5/13 Purchase Description RAMCO-GERSHENSON PROPERTIES TRUST @ 11.50 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 5/13 5/18 Purchase TELENAV INC @ 8.00 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 5/13 5/19 Purchase GETTY REALTY CORP @ 22.00 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 5/14 5/19 Purchase NUSTAR ENERGY LP @ 56.55 J.P. MORGAN SECURITIES INC. TRADE DATE 05/14/10 5/13 5/19 Purchase SOLAR CAPITAL LTD @ 22.07 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 5/13 5/19 Purchase STRATEGIC HOTELS & RESORTS INC @ 4.60 J.P. MORGAN SECURITIES INC. TRADE DATE 05/13/10 EFTA01534724 4/22 5/24 Write Option 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 WRITTEN OTC CALL TRADE DATE 04/22/10 AS OF 04/26/10 Page 34 of 54 (1.000) 80,000.00 80,000.00 * 20,000.000 4.60 (92,000.00) 13,000.000 22.07 (286,910.00) 4,250.000 56.55 (240,337.50) 10,000.000 22.00 (220,000.00) 3,000.000 8.00 (24,000.00) Quantity 5,500.000 Per Unit Amount 11.50 Market Cost (63,250.00) EFTA01534725 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/25 Type Settled Securities Purchased 5/20 Purchase Description ACCRETIVE HEALTH INC @ 12.00 J.P. MORGAN SECURITIES INC. TRADE DATE 05/20/10 5/19 5/25 Purchase REACHLOCAL INC @ 13.00 J.P. MORGAN SECURITIES INC. TRADE DATE 05/19/10 5/19 5/25 Purchase RESOURCE CAPITAL CORP @ 5.25 J.P. MORGAN SECURITIES INC. TRADE DATE 05/19/10 5/19 5/25 Purchase VITAMIN SHOPPE INC @ 23.50 J.P. MORGAN SECURITIES INC. TRADE DATE 05/19/10 5/24 5/26 Write Option 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 WRITTEN OTC CALL NEW SWAPTION DEAL # 5164984 TRADE DATE 05/24/10 5/21 5/26 Purchase FORD MOTOR CREDIT CO LLC EFTA01534726 FLOATING RATE NOTE JUN 15 2011 DTD 03/15/2007 @ 100.00 JP MORGAN SECURITIES INC (BIDL) TRADE DATE 05/21/10 5,000,000.000 100.00 (5,000,000.00) (1.000) 909,000.00 909,000.00 2,000.000 23.50 (47,000.00) 6,400.000 5.25 (33,600.00) 1,500.000 13.00 (19,500.00) Quantity 1,500.000 Per Unit Amount 12.00 Market Cost (18,000.00) Page 35 of 54 EFTA01534727 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/27 Type Settled Securities Purchased 5/11 Write Option Description TO REVERSE ENTRY OF 05/13/2010 JPY CALL USD PUT FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.50 CTS KI @ 81.50 WRITTEN FX OPTION CALL 95,000,000.00 JPY PUT 10,000,000.00 USD TRADE DATE 05/11/10 AS OF 05/13/10 5/11 5/27 Write Option JPY CALL USD PUT FX EUROPEAN STYLE OPTION MAY 11, 2011 @ 93.5 WRITTEN FX OPTION CALL 935,000,000.00 JPY PUT 10,000,000.00 USD TRADE DATE 05/11/10 AS OF 05/13/10 Total Settled Securities Purchased Trade Date 5/28 Estimated Settlement Date 6/2 ($11,026,947.50) (935,000,000.000 ) 0.001 470,000.00 Quantity 95,000,000.000 Per Unit Amount 0.005 Market Cost EFTA01534728 (470,000.00) Type Description Pending Sales, Maturities, Redemptions Option Buyback 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 Quantity 1.000 Per Unit Amount Proceeds (380,000.00) Tax Cost 113,000.00 Realized Gain/Loss (267,000.00) S Page 36 of 54 EFTA01534729 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Trade Date Estimated Settlement Date 6/2 Type Pending Securities Purchased 5/28 Write Option Description 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 Quantity (1.000) Per Unit Amount Market Cost 545,000.00 Page 37 of 54 EFTA01534730 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Summary - Canadian Dollar Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -9,534,047.18 $9,534,047.18 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 5/20 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL JPY CONTRACT RATE : 91.600000000 TRADE 3/31/10 VALUE 5/20/10 Quantity (934,320,000.000 ) (9,534,047.18) ($9,534,047.18) -Year-To-Date Value* -9,534,047.18 $9,534,047.18 (9,534,047.18) ($9,534,047.18) -Local Value Current Period Value 0.00 10,200,000.00 10,200,000.00 (10,200,000.00) (10,200,000.00) 0.00 EFTA01534731 Year-To-Date Value* -10,200,000.00 10,200,000.00 (10,200,000.00) (10,200,000.00) -Per Unit Amount USD Local Value Amount USD Local Value 9,534,047.18 10,200,000.00 Currency Gain/Loss USD (519,671.51) Page 38 of 54 EFTA01534732 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Per Unit Settlement Date 5/20 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL CAD CONTRACT RATE : 93.350000000 TRADE 4/14/10 VALUE 5/20/10 Total Inflows & Outflows $0.00 $139,183.85 Quantity 952,170,000.000 Amount USD Local Value Amount USD Local Value (9,534,047.18) (10,200,000.00) Currency Gain/Loss USD 658,855.36 Page 39 of 54 EFTA01534733 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Summary - Euro Beginning Cash Balance Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -692,303.92 $692,303.92 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. (692,985.49) 16,724.50 ($676,260.99) -(692,985.49) 16,724.50 ($676,260.99) -(545,250.00) 13,000.00 (532,250.00) 0.00 (545,250.00) 13,000.00 (532,250.00) -(16,668.60) ($16,668.60) US Dollar Value Local Value Year-To-Date Value* -692,303.92 $692,303.92 (16,668.60) ($16,668.60) Current Period Value 0.00 545,250.00 EFTA01534734 545,250.00 (13,000.00) (13,000.00) Year-To-Date Value* -545,250.00 545,250.00 (13,000.00) (13,000.00) Page 40 of 54 EFTA01534735 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Detail - Euro INFLOWS & OUTFLOWS Settlement Date 5/7 Type Spot FX Description SPOT CURRENCY TRANSACTION - SELL BUY USD SELL EUR EXCHANGE RATE 1.282200000 DEAL 05/05/10 VALUE 05/07/10 5/10 Spot FX SPOT CURRENCY TRANSACTION - BUY BUY EUR SELL USD EXCHANGE RATE 1.269700000 DEAL 05/06/10 VALUE 05/10/10 Total Inflows & Outflows $675,635.32 ($55.90) (692,303.920) 692,303.92 545,250.00 Quantity 16,668.600 Per Unit Amount USD Local Value Amount USD Local Value (16,668.60) (13,000.00) Currency Gain/Loss USD (55.90) Page 41 of 54 EFTA01534736 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 TRADE ACTIVITY - Euro Note: Trade Date 5/6 Settlement Date 5/10 C indicates Currency Gain/Loss Per Unit Type Settled Sales/Maturities/Redemptions Sell Option Description PLN CALL EUR PUT FX EUROPEAN STYLE OPTION APR 20, 2011 @ 3.9 RESALE OF PURCHASED FX OPTION TRADE DATE 05/06/10 5/6 5/10 Option Buyback PLN PUT EUR CALL FX EUROPEAN STYLE OPTION APR 20, 2011 @ 3.9 CTS KI @ 4.49 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 05/06/10 Total Settled Sales/Maturities/Redemptions (USD) Per Unit Trade Date Settlement Date 5/7 Type Settled Securities Purchased 5/5 Purchase Option Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.28 PURCHASED FX OPTION PUT 10,000,000.00 EUR CALL 12,800,000.00 USD TRADE DATE 05/05/10 Page 42 of 54 Quantity EFTA01534737 10,000,000.000 Amount USD Local Value 0.028 2.15 ($692,985.49) Market Cost USD Local Value (276,597.42) (215,000.00) Currency Gain/Loss USD $0.00 ($692,985.49) C 29,250,000.000 0.028 (816,903.11) (642,750.00) 324,085.73 240,750.00 (492,817.38) C Quantity (29,250,000.000 ) Amount USD Local Value 0.004 Proceeds USD Local Value 123,917.62 97,500.00 Tax Cost USD Realized Local Value Gain/Loss USD (324,085.73) (240,750.00) (200,168.11) C EFTA01534738 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Per Unit Trade Date Settlement Date 5/7 Type Settled Securities Purchased 5/5 Write Option Description EUR PUT USD CALL FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.24 WRITTEN FX OPTION PUT 10,000,000.00 EUR CALL 12,400,000.00 USD TRADE DATE 05/05/10 5/5 5/7 Write Option EUR CALL USD PUT FX EUROPEAN STYLE OPTION JUL 15, 2010 @ 1.32 WRITTEN FX OPTION CALL 10,000,000.00 EUR PUT 13,200,000.00 USD TRADE DATE 05/05/10 5/6 5/10 Sale PLN PUT EUR CALL FX EUROPEAN STYLE OPTION APR 20, 2011 @ 3.9 CTS KI @ 4.49 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 05/06/10 Total Settled Securities Purchased (USD) $16,724.50 $681.57 (642,750.000) 681.57 (10,000,000.000 ) 0.016 1.23 158,239.46 123,000.00 Quantity (10,000,000.000 ) EFTA01534739 Amount USD Local Value 0.014 1.05 Market Cost USD Local Value 135,082.46 105,000.00 Currency Gain/Loss USD Page 43 of 54 EFTA01534740 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Summary - Japanese Yen Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -20,841,850.77 $20,841,850.77 Foreign Exchange - Outflows Ending Cash Balance * Year to date information is calculated on a calendar year basis. Portfolio Activity Detail - Japanese Yen INFLOWS & OUTFLOWS Settlement Date 5/20 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 93.494900000 TRADE 4/14/10 VALUE 5/20/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY USD SELL JPY CONTRACT RATE : 93.335900000 TRADE 4/14/10 VALUE 5/20/10 Page 44 of 54 191,244.620 (199,318.85) (17,850,000.00) (8,074.23) Quantity 171,121.600 (20,841,850.77) ($20,841,850.77) -Year-To-Date Value* -20,841,850.77 $20,841,850.77 (20,841,850.77) EFTA01534741 ($20,841,850.77) -Local Value Current Period Value 0.00 1,868,168,998.48 1,868,168,998.48 (1,868,168,998.48 ) (1,868,168,998.48 ) 0.00 Year-To-Date Value* -1,868,168,998.48 1,868,168,998.48 (1,868,168,998.48 ) (1,868,168,998.48 ) -Per Unit Amount USD Local Value Amount USD Local Value (178,649.97) (15,998,998.50) Currency Gain/Loss USD (7,528.37) EFTA01534742 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 INFLOWS & OUTFLOWS Per Unit Settlement Date 5/20 Type Forward FX Contract Description SETTLE FORWARD CURRENCY CONTRACT BUY CAD SELL JPY CONTRACT RATE : 91.600000000 TRADE 3/31/10 VALUE 5/20/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL CAD CONTRACT RATE : 93.350000000 TRADE 4/14/10 VALUE 5/20/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL KRW CONTRACT RATE : 11.982000000 TRADE 4/14/10 VALUE 5/20/10 5/20 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY KRW SELL JPY CONTRACT RATE : 12.195000000 TRADE 3/31/10 VALUE 5/20/10 5/21 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY KRW SELL JPY CONTRACT RATE : 12.195000000 TRADE 3/31/10 VALUE 5/21/10 5/21 Forward FX Contract SETTLE FORWARD CURRENCY CONTRACT BUY JPY SELL KRW CONTRACT RATE : 11.982000000 TRADE 4/14/10 VALUE 5/21/10 Total Inflows & Outflows $0.00 $117,872.35 (5,487,750,000.000 ) 5,095,443.61 457,999,499.24 192,596.16 EFTA01534743 5,487,750,000.000 (5,006,118.62) (449,999,999.98) (155,926.18) 5,487,750,000.000 (5,024,845.05) (450,000,000.00) (174,652.61) (5,487,750,000.000 ) 5,114,170.03 457,999,499.24 211,322.58 (10,200,000.000 ) 10,632,237.13 952,170,000.00 439,334.59 Quantity 10,200,000.000 Amount USD Local Value Amount USD Local Value (10,432,918.28) (934,320,000.00) Currency Gain/Loss USD (379,199.59) Page 45 of 54 EFTA01534744 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Summary - Pound Sterling Beginning Cash Balance US Dollar Value Current Transactions INFLOWS Total Inflows Foreign Exchange - Inflows OUTFLOWS Total Outflows Period Value -170,994.60 $170,994.60 Foreign Exchange - Outflows $0.00 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. (171,872.89) ($171,872.89) -(171,872.89) 163,465.02 ($8,407.87) -(114,800.00) (114,800.00) 0.00 (114,800.00) 105,700.00 (9,100.00) -Year-To-Date Value* -170,994.60 $170,994.60 (163,147.95) ($163,147.95) Local Value Current Period Value 0.00 114,800.00 114,800.00 Year-To-Date Value* -114,800.00 EFTA01534745 114,800.00 0.00 (105,700.00) (105,700.00) Page 46 of 54 EFTA01534746 FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Portfolio Activity Detail - Pound Sterling INFLOWS & OUTFLOWS Settlement Date 5/10 Type Spot FX Description SPOT CURRENCY TRANSACTION - BUY BUY GBP SELL USD EXCHANGE RATE 1.489500000 DEAL 05/06/10 VALUE 05/10/10 Quantity (170,994.600) Per Unit Amount USD Local Value Amount USD Local Value 170,994.60 114,800.00 Currency Gain/Loss USD TRADE ACTIVITY - Pound Sterling C indicates Currency Gain/Loss Note: Per Unit Trade Date 5/6 Settlement Date 5/10 Type Settled Sales/Maturities/Redemptions Option Buyback Description NOK CALL GBP PUT FX EUROPEAN STYLE OPTION JUL 26, 2010 @ 9.04 KNOCK-IN AT 8.775 REPURCHASE OF WRITTEN FX OPTION TRADE DATE 05/06/10 Quantity 63,280,000.000 Amount USD Local Value 0.003 Proceeds USD EFTA01534747 Local Value (171,872.89) (114,800.00) Tax Cost USD Realized Local Value Gain/Loss USD 163,465.02