J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 6/1/10 to 6/30/10
Market Unrealized
Quantity Pf [CC Value Premium Gain/Loss
Other
P 1 RECEIVER SWAPTION CALL 1 CO NIA
10.000,000 INTEREST RATE SWAP
STRIKE 4.35% S 301360 VS. 3ML
EXP DATE 06/30/2010 DEAL 5161946
OTCBDC-TB-B
Total Other (4.000) (53,371,846.74) (53,119,000.00) (5262,846.74)
Account Page 15 of 54
Page 19 of 70
Confidential Treatment Requested by JPMorgan JPM-SDNY-00012514
Chase
CONFIDENTIAL SDNY_GM_00281712
EFTA01490369