J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Quantity Price Market Value Premium Unrealized Gain/Loss Other 1 RECEIVER SWAPTION CALL 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 0TCBDC-TB-B (1.000) 1.00 (613,283.87) (136,000.00) (477,263.87) 1 RECEIVER SWAPTI0N CALL 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 0TCBDC-TC-N (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18) P 1 RECEIVER SWAPTI0N CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.25% S 301360 VS 3ML EXP DATE 05/28/2010 DEAL 5163369 Underlying Asset Price = $0.00 OTCBDC-TE-Y 1.00 l‘111/4 Total Other (5.004.000) ( $1.849.417.20) ($1.800.000.00) ($49.417.20) Page 14 of 56 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00010435 SDNY_GM_00279633 EFTA01488722