FINANCIAL TRUST COMPANY INC ACCT.
For the Period 12/1/11 to 12/31/11
Adjusted Tax Cost Unreakzed Est. Annual Income
Price Quantity Value Original Cost Gain/Loss Acaued Interest Yield
Complementary Structured Strategies
JPY CALL CAD PUT 0.06 (760.000,000.00) (463,922.22) (411,436.90) (52,485.32)
FX EUROPEAN STYLE OPTION
AUG 13. 2012 e 76.
KIQ 71
XJPYCA-RC-Z CAD
JPY PUT CAD CALL 0.01 632,500,000.00 96,926.53 411,436.90 (315,510.37)
FX EUROPEAN STYLE OPTION
AUG 13, 2012 63.25
XJPYPA-YX-Z CAD
HSBC MARKET PLUS PAM NOTE 1112/12 97.59 1,000,000.00 975,900.00 1,000,000.00 (24,100.00)
LNKED TO MXN VS USD 12/19111
25% BUFFER, 9.75%CPN, 100%MAXRTN
10/26/11
4042K1-RA-3
Total Complementary Structured Strategies $607,904.31 $1,000,000.00 ($392,096.69) $0.00 0.00%
Market Value
Receivable
Trade Date Currency Amount Contract Current Market Market Value Unrealized
Settlement Date Counter Currency Counter Amount Rate Forward Rate Payable GaInkoss
Foreign Exchange Contracts
CHINESE RENPAINB1 Jan. 13 11 CNY 64,200,000.00 6.420000 6.315889 10,164,840.24 164,840.24
US DOLLAR Jan. 18 12 USD (10,000,000.00) 10,000,000.00
JP Morgan Page 14 of 29
Confidential Treatment Requested by JPMorgan JPM-SDNY-00015413
Chase
CONFIDENTIAL SDNY_GM_00284611
EFTA01492607