J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 6/1/10 to 6/30/10
Market Unrealized
Quantity Pnce Value Premium Gain/Loss
other
WTI PUT OPTION (10.000) 40.589 91 (405.899.06) (450,000.00) 44,100 94
USD CALL OPTION
STRIKE 63.00
EXPIRES 05/17/2011
100,000 BARRELS
OTCBDP•EX4.
1 RECEIVER SWAPTION CALL (1000) 1.00 (1,157,608.49) (909,000.00) (248,608.49)
10,000,000 INTEREST RATE SWAP
STRIKE 4.350% S 30/360 VS 3ML
EXP DATE 07/26/2010 DEAL 5164984
OTCBDC•GV•H
1 RECEIVER SWAPTION CALL (1.000) 1.00 (974,551.64) (545,000.00) (429,551.64)
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 08/13/2010 DEAL 5186005
OTCBDC-GWK
1RECEIVER SWAPTION CALL (1.000) 1.00 (1,168.058.13) (561,500.00) (606,558.13)
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 07/14/2010 DEAL 5166638
OTCBDC-GX-M
P 1 RECEIVER SWAPTION CALL (1.000) (1,103,500.00) 1,103,500.00
10.000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 08/31/2010 DEAL 5167546
OTCBDC-GZ-U
Account Page 14 of 54
Page 18 of 70
Confidential Treatment Requested by JPMorgan JPM-SDNY-00012513
Chase
CONFIDENTIAL SDNY_GM_00281711
EFTA01490368