J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT For the Period 7/1/10 to 7/31/10 Market Quantity Price Value Premium Unrealized Gain/Loss Other 1 RECEIVER SWAPTION CALL 10.000.000 INTEREST RATE SWAP STRIKE 4.35% S 30/380 VS 3ML EXP DATE 06/31/2010 DEAL 5187548 OTCBDC-GZ-U (1.000) 1.00 (1,196,234.06) (1.103,500.00) (92.734.06) Total Other (2.000) (52,018,054.19) (51.648,500.00) (5369,554.19) Account Page 18 of 57 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-000 12849 SDNY_GM_00282047 EFTA01490695