J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Market Unrealized
Quantity Price Value Premium Gain/Loss
Other
1 RECEIVER SWAPTION CALL (1.000) 1.00 (613,283.87) (136,000.00) (477,263.87)
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
0TCBDC-TB-B
1 RECEIVER SWAPTI0N CALL (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18)
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
0TCBDC-TC-N
P 1RECEIVER SWAPTI0N CALL 1.00 l‘11/41
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 301360 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)
Page 14 of 56
Confidential Treatment Requested by JPMorgan JPM-SDNY-00010435
Chase
CONFIDENTIAL SDNY_GM_00279633
EFTA01488722