ECEIVER SWAPTION CALL 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 Total Other ($544,860.99) ($486,000.00) ($58,860.99) (1.000) 1.00 (239,762.78) (125,000.00) (114,762.78) Price Market Value Premium Unr

5 (1.000) 1.00 (313,283.87) (138,000.00) (477,263.87) (1.000) 1.00 (573,639.18) (125,000.00) (448,839.18) Underlying Asset Price = $0.00 OTCBDC-TC-N Account W23560001 Page 14 of 58 Page 18 of 65 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00010877 SDNY_GM_002800

5 (1.000) 1.00 (613,283.87) (138,000.00) (477,263.87) (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18) Underlying Asset Price = $0.00 OTCBDC-TC-N Acccuu Page 14 of 58 Page 18 of 65 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPM-SDNY-00011485 SDNY_GM_00280683 EFTA01

ECEIVER SWAPTION CALL 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 (1.000) 1.00 (573,839.18) (125,000.00) (448,839.18) (1.000) 1.00 (613,263.87) (136,000.00) (477,263.87) (1.000) (545,000.00) 545,000.00