J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT. W23560001
For the Period 7/1/10 to 7/31/10
Market Unrealized
Quantity Price Value Premium Gain/Loss
Other
1 RECEIVER SWAPTION CALL (1.000) 1.00 (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 06/31/2010 DEAL 5167546
OTCBDC-GZ-U
Total Other (2.000) (52,018,054.19) (51.648,500.00) (S369,554.19)
Account W23560001 Page 14 of 44
Page 18 of 57
Confidential Treatment Requested by JPMorgan JPM-SDNY-00013305
Chase
CONFIDENTIAL SDNY_GM_00282503
EFTA01491131