EFTA01489496.pdf

J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Market Unrealized Quantity Mee Value Premium Gain/Loss Other 1 RECEIVER SWAPTION CALL 0.000 1.00 (974,551.64) (545.000 00) (429,551.64) 10.000.000 INTEREST RATE SWAP STRIKE 4.25% S 301360 VS 3ML EXP DATE 08/13/2010 DEAL 5166005 Underlying Asset Price = $0.00 OTCBDC-GWK 1 RECEIVER SWAPTION CALL (1000) 1.00 (1,188,058.13) (581,500.00) (608,558.13) 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 07/14/2010 DEAL 5166838 Underlying Asset Price • $0.00 OTCBDC-GXM P 1RECEIVER SWAPTION CALL (1.000) (1.103,500.00) 1,103,500.00 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 08/31/2010 DEAL 5167546 Underlying Asset Price • 50.00 OTCBDC-GZ-U P 1RECEIVER SWAPTION CALL I 00 NIA 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 Total Other (4.000) ($3,371,845.74) ($3,119,000.00) (S252,846.74) Page 14 of 52 Confidential Treatment Requested by JPMorgan JPN1-SDNY-000 11603 Chase CONFIDENTIAL SDNY_GM_00280801 EFTA01489496