J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1110 Ult.. Other Assets Summary Asset Categories Beginning Ending Change Current Estimated Value Estimated Value In Value Allocation Swaps (328 464 35) (4569,518.13) (4,241,053.78) Market Value/Cost Current Penod Value Market Value (4569518.13) Other Assets Detail Cost Estimated Adjusted Estimated Quantity Price Value —Minna Gain/Loss Accruals Swaps CLP SWAP - CLP NOTL 1.000 1.00 (18.063 74) N/A 13,000,000,000 MD 3121112 TO 3/17/10, START D 3121/11 PAY FLOAT CLP OIS ANN ACT/360 4.15% REC FIX, DEAL #253571031 WO Client SWPBDA-ZQ-8 Page 17 of 54 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00010550 SDNY_GM_00279748 EFTA01488816