EFTA01489419.pdf

J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 5/1/10 to 5/31/10 Market Unrealized Quantity Price Value Premium Gain/Loss Other 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 30/360 VS 3ML EXP DATE 07128/2010 DEAL 5164984 Underlying Asset Price = S0.00 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 • $0.00 OTCBDC-GW-K 1 RECEIVER SWAPTION CALL (1.000) 1.00 (613,283.87) (138,000.00) (477,263.87) 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 OTCBDC-TB-B 1 RECEIVER SWAPTION CALL (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18) 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 OTCBDC-TC-N Acccuu Page 14 of 58 Page 18 of 65 Confidential Treatment Requested by JPMorgan JPM-SDNY-00011485 Chase CONFIDENTIAL SDNY_GM_00280683 EFTA01489419