J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to
Market Unrealized
Quantity Price Value Premium Gain/Loss
Other
1 RECEIVER SWAPTION CALL (1.000) 1.00 (858,812.57) (909,000.00) 252,387.43
10.000.000 INTEREST RATE SWAP
STRIKE 4.350% S 301360 VS 3ML
EXP DATE 07/26/2010 DEAL 5164984
Underlying Asset Price = S0.00
OTCBDC-GV-H
P 1 RECEIVER SWAPTI0N CALL (1.000) (545.000.00) 545,000.00
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
1RECEIVER SWAPTION CALL (1.000) 1.00 (313,283.87) (138,000.00) (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
OTCBDC-TB-B
1RECEIVER SWAPTION CALL (1.000) 1.00 (573,639.18) (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
OTCBDC-TC-N
Account W23560001 Page 14 of 58
Page 18 of 65
Confidential Treatment Requested by JPMorgan JPM-SDNY-00010877
Chase
CONFIDENTIAL SDNY_GM_00280075
EFTA01489054