EPSTEIN
page 3 / 266 . OCR, unverified
For the Period 5/1/10 to 5/31/10
Tax Cost
Estimated
Market
Adjusted
Unrealized
Annual Income
Quantity
Price
Value
Original
Gain/Loss
Accrued Interest
Yield
Non-US Fixed Income
PETROLEOS DE VENEZUELA S
2,500,003.000
60.75
1.518750.00
1,754,250.00
(235,500.00)
122,500.00
18.22%
4.9% OCT 28 2014
11,227.50
DTD 10128/2009
HELD BY EUROCLEAR
ISIN:XS0460546442 SEDOL:B5862G7
71668A-9A-1
Page 10 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-00011205
SDNY_GM_00280403
EFTA01489294
--- SOURCE: IMAGES__0101__EFTA01489295.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489295.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Options Summary
Asset Categories
Beginning
Market Value
Ending
Market Value
Change
In Value
Current
Allocation
Asset Categories
Equity
(114,400.00)
090
114,400.00
ell ill
Options
Foreign Exchange
(265,100.78)
183,625.70
448,726.48
1%
'
f)
j.
Other
(544,860.99)
(1,849,417.20)
(1,304,556.21)
Total Value
($924,361.77)
($1,665,791.50)
($741,429.73)
1%
Market Value/Cost
Current
Period Value
Market Value
Premium
Unrealized Gain(Loss
(1,665,791.50)
(1,816,724.50)
150.93297
Note
P indicates position adjusted for Pending Trade Activity.
Options Detail
market
Quantity
Price
Value
Premium
Unrealized
Gaialoss
Foreign Exchange
EUR CALL USO PUT
FX EUROPEAN STYLE OPTION
JUL15, 2010 411.32
XEURCS-LN-Z EUR
(10,000,000.000)
0.32
i32 210 2,2.
(158,239 46)
126 028 63
Page 11 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-000 11206
SDNY_GM_00280404
EFTA01489295
--- SOURCE: IMAGES__0101__EFTA01489296.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489296.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT
For the Period 5/1/10 to 5/31/10
Quantity
Price
Market
Value
Premium
Unrealized
Gain/Loss
Foreign Exchange
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
IC Q 1.63
XEURCB-LT-Z
(6,932,409.000)
6.61
(458,137.66)
(495,000.00)
36.86234
EUR CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 13, 2011 0 1.245
KJ a 1.38
XEURCB-LU-Z
(8,032,128.510)
5.77
(463,522.04)
(495,000.00)
31.47796
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 01.28
XEURPB-HD-Z EUR
10,000,000.000
5.56
555,750.61
276,597.42
279,153.19
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
JUL 15, 2010 Q 1 24
XEURPB-HE-Z EUR
(10,000,000.000)
3.06
(306,413.20)
(135,082.46)
495,000.00
(171.330.74)
104412 39
EUR PUT USD CALL
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @1.245
XEURPB-HW-Z
8,032,128.510
7.46
599,412.40
GBP PUT USD CAU-
FX EUROPEAN STYLE OPTION
MAY 13, 2011 @ 1.4425
XGBPPA-LM-Z
6,932,409.000
8.04
557,445.77
495.000.00
62,445.77
JPY CALL USD PUT
FX EUROPEAN STYLE OPTION
MAY 11, 2011 093.5
XJPYCA-NE-Z
(935,000,000.000)
0.07
(638,286.62)
(470,000.00)
(168,286.17)
Page 12 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-000 11207
SDNY_GM_00280405
EFTA01489296
--- SOURCE: IMAGES__0101__EFTA01489297.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489297.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT. W23560001
For the Period 5/1110 to 5/31/10
Quantity
Pt [cc
Market
Value
Premium
Unrealized
Gain/Loss
Foreign Exchange
JPY PUT USD CALL
935,000,000.000
0.04
369 587 27
470,000 00
(100.413 20)
FX EUROPEAN STYLE OPTION
MAY 11, 2011 e 93.5
XJPYPA-SO-Z
Total Foreign Exchange
(10,000,000.000)
$183.625.70
($16.724.50)
$200.350.17
Other
XAU PUT OPTION
(5.000.000)
1.14
15,701 58)
ODD SD)
79,296 12
USD CALL OPTION STRIKE 1,115.00
EXPIRES 6/1712010
1,085
Underlying Asset Price = 51208.13
OTCBDP-EVV-G
RECEIVER SWAPTION CALL
(1.000)
1.00
(858,812.57)
(909,000.00)
252,387.43
10,000,000 INTEREST RATE SWAP
STRIKE 4.350% S 301360 VS 3ML
EXP DATE 07(26/2010 DEAL 5164984
Underlying Asset Price =
$0.00
OTCBDC•GV•H
P 1 RECEIVER SWAPTION CALL
(1.000)
(545.000.00)
545,000.00
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 30/360 VS 3ML
EXP DATE 08/13/2010 DEAL 5166005
Underlying Asset Price =
50.00
OTCBDC-GW-K
Page 13 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-000 11208
SDNY_GM_00280406
EFTA01489297
--- SOURCE: IMAGES__0101__EFTA01489298.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489298.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Quantity
Price
Market
Value
Premium
Unrealized
Gain/Loss
Other
RECEIVER SWAPTION CALL
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
0TCBDC-TB-B
(1.000)
1.00
(613,283.87)
(136,000.00)
(477,263.87)