J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 7/1/10 to 7/31/10
Market Unrealized
Quantity Price Value Premium Gain/Loss
other
WTI PUT OPTION (10.000) 18.460 24 (184,802.39) (400,000.00) 215,397.61
USD CALL OPTION
STRIKE 65.50
EXPIRES 12/15/2010
100,000 BARRELS
OTCBDP-EX-K
WTI PUT OPTION (10.000) 30,561.33 (305,613.34) (450,000.00) 144,386.66
USD CALL OPTION
STRIKE 63.00
EXPIRES 05/17/2011
100,000 BARRELS
OTCBDP-EX-L
1RECEIVER SWAPTION CALL (1.000) 1.00 (1,024,079.28) (545,000.00) (479,079.28)
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30)360 VS 3ML
EXP DATE 08/13/2010 DEAL 5186005
OTCBDC-GWK
1 RECEIVER SWAPTON CALL (1.000) 100 (1,196,234.06) (1,103,500.00) (92,734.06)
10,000,000 INTEREST RATE SWAP
STRIKE 4.35% S 30/360 VS 3ML
EXP DATE 08/31/2010 DEAL 5167546
OTCBDC•GZ•U
Total Other (2.000) (52.018,054.19) ($1,849,600.00) ($369,1564.18)
Page 13 of 43
Confidential Treatment Requested by JPMorgan JPM-SDNY-000 12946
Chase
CONFIDENTIAL SDNY_GM_00282144
EFTA01490790