J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Quantity Pf [CC Market Value Premium Unrealized Gain/Loss Other P 1 RECEIVER SWAPTION CALL 1 CO NIA 10.000,000 INTEREST RATE SWAP STRIKE 4.35% S 301360 VS. 3ML EXP DATE 06/30/2010 DEAL 5161946 OTCBDC-TB-B Total Other (4.000) (53,371,846.74) (53,119,000.00) (5262,846.74) Account Page 15 of 54 Page 19 of 70 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00012514 SDNY_GM_00281712 EFTA01490369