J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Quantity Pt [cc Market Value Premium Unrealized Gain/Loss Foreign Exchange JPY PUT USD CALL 935,000,000.000 0.04 369 587 27 470,000 00 (100.413 20) FX EUROPEAN STYLE OPTION MAY 11, 2011 e 93.5 XJPYPA-SO-Z Total Foreign Exchange (10,000,000.000) $183.625.70 ($16.724.50) $200.350.17 Other XAU PUT OPTION (5.000.000) 1.14 15,701 58) 85 ODD SD) 79,296 12 USD CALL OPTION STRIKE 1,115.00 EXPIRES 6/1712010 10 1,085 Underlying Asset Price = 51208.13 OTCBDP-EVV-G 1 RECEIVER SWAPTION CALL (1.000) 1.00 (858,812.57) (909,000.00) 252,387.43 10,000,000 INTEREST RATE SWAP STRIKE 4.350% S 301360 VS 3ML EXP DATE 07(26/2010 DEAL 5164984 Underlying Asset Price = $0.00 OTCBDC•GV•H P 1 RECEIVER SWAPTION CALL (1.000) (545.000.00) 545,000.00 10,000,000 INTEREST RATE SWAP STRIKE 4.25% S 30/360 VS 3ML EXP DATE 08/13/2010 DEAL 5166005 Underlying Asset Price = 50.00 OTCBDC-GW-K Page 13 of 56 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00010490 SDNY_GM_00279688 EFTA01488768