J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Other Assets Summary Asset Categories Beginning Ending Change Current Estimated Value Estimated Value In Value Allocation Swaps (4,569,518.13) (6,731,159.99) (2,181,841.86) Market Value/Cost Current Penod Value Estimated Value (6,731,159.99) Other Assets Detail Cost Estimated Adjusted Estimated Quaintly Price Value —Minna Gain/Loss Accruals Swaps CLP SWAP CLP NOTL 13000,000,000 MD 3/21112 TO 3/17/10, START D 3/21/11 PAY FLOAT CLP OIS ANN ACT/360 4.15% REC FIX, DEAL #253571031 WO Client SWPBDA-ZQ-8 1.000 1.00 (48.084.73) NIA Account Page 18 of 54 Page 22 of 70 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00012517 SDNY_GM_00281715 EFTA01490372