EPSTEIN
page 4 / 266 . OCR, unverified
(477,263.87)
RECEIVER SWAPTI0N 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
0TCBDC-TC-N
(1.000)
1.00
(573,839.18)
(125,000.00)
(448,839.18)
P 1 RECEIVER SWAPTI0N CALL
10,000,000 INTEREST RATE SWAP
STRIKE 4.25% S 301360 VS 3ML
EXP DATE 05/28/2010 DEAL 5163369
Underlying Asset Price =
$0.00
OTCBDC-TE-Y
1.00
l‘111/4
Total Other
(5.004.000)
( $1.849.417.20)
($1.800.000.00)
($49.417.20)
Page 14 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPN1-SDNY-000 11209
SDNY_GM_00280407
EFTA01489298
--- SOURCE: IMAGES__0101__EFTA01489299.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489299.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Foreign Exchange Contracts Summary
NET CURRENCY EXPOSURE SUMMARY
Value
In Currency
AUSTRALIA DOLLAR
(0.01)
CANADIAN DOLLAR
0.01
US DOLLAR
(717,387.03)
Foreign Exchange Contracts Detail
Trade Date
Currency
Amount
Contract
Rate
Current Market
Forward Rate
Market Value
Receivable
Unrealized
Gan Loss
Market Value
Payable
Settlement Date Counter Currency
Counter Amount
Speculative
AUSTRALIA DOLLAR
May. 20 10
AUD
5.703,855 80
0.876600
1.129656
4,800,050.80
46.769 99
CANADIAN DOLLAR
Jul. 30 10
CAD
(5.000.000 00)
4,753,280.81
AUSTRALIA DOLLAR
Apr. 28 10
AUD
(5.426.524 85)
0.921400
1.129656
4,753,280.81
186 616.46
CANADIAN DOLLAR
Jul. 30 10
CA0
5,000.000.00
4,566,664.35
AUSTRALIA DOLLAR
May. 20 10
AUD
(277,330.96)
0.819400
0.841545
227,244.98
(6,141.47)
US DOLLAR
Jul. 30 10
USD
227,244.98
233,388.45
CANADIAN DOLLAR
Apr. 2810
CAD
5,000,000.00
92.870000
88.359007
4,753,054.24
(358,354.07)
JAPANESE YEN
Aug. 610
JPY
(464.360.000.00)
5,111,406.31
CANADIAN DOLLAR
May. 610
CAD
(5,246,892.65)
88.500000
86.359007
5,111,408.31
123,655.24
JAPANESE YEN
Aug. 610
JPY
484,350,000.00
4,987,753.07
Page 15 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-00011210
SDNY_GM_00280408
EFTA01489299
--- SOURCE: IMAGES__0101__EFTA01489300.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489300.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Market Value
Receivable
Trade Date
Currency
Amount
Contract
Current Market
Market Value
Unrealized
Settlement Date Counter Currency
Counter Amount
Rate
Forward Rate
Payable
Gain/Loss
Speculative
CANADIAN DOLLAR
May. 610
CAD
246,892.66
1.043270
1.051955
234,698.84
(1,953.85)
US DOLLAR
Aug. 610
USD
(236,652.69)
236,652.69
INDIAN RUPEE
Apr.16 10
INR
448,5(0000.00
44.650000
48.624051
9,535007.78
(464,302.22)
US DOLLAR
Oct 20 10
USD
(10,000,000.00)
10,000,000.00
INDIAN RUPEE
May. 610
INR
(446,500,000.00)
46.120000
46.824051
9,681,266.26
145,568.48
US DOLLAR
Oct. 20 10
USD
9,681,266.26
9,535,697.78
POUND STERLING
May. 610
GBP
13,739,615.90
9.242500
9.364226
19,866,384.77
258243.08
NORWEGIAN KRONE
.km. 30 10
NOK
(126,988,400.00)
19,608,141.89
POUND STERLING
Mar. 26 10
GBP
(7,000,000.00)
9.014200
9.364226
9,743,110.20
(378,329.47)
NORWEGIAN KRONE
Jun. 30 10
NOK
63,099,400.00
10,121,439.67
POUND STERLING
Apr. 610
GBP
(7,000,000.00)
9.127000
9.364226
9,865,031.48
(256,408.19)
NORWEGIAN KRONE
Jun. 30 10
NOK
63,889,000.00
10,121,439.67
POUND STERLING
May. 610
GBP
260,384.10
1.494890
1.445920
376,494.56
(12.751 02)
US DOLLAR
Jun. 30 10
USD
(389,245.58)
389,245.58
Total Speculative
$78,947,723.03
($717.387.04)
$79,666,110.07
Page 16 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-00011211
SDNY_GM_00280409
EFTA01489300
--- SOURCE: IMAGES__0101__EFTA01489301.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489301.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.
For the Period 5/1/10 to 5/31/10
Other Assets Summary
Asset Categories
Swaps
(328 464 35)
(4569,518.13)
(4,241,053.78)
Beginning
Ending
Change
Current
Estimated Value
Estimated Value
In Value
Allocation
Market Value/Cost
Current
Penod Value
Market Value
(4669,518.13)
Other Assets Detail
Cost
Estimated
Adjusted
Estimated
Quantity
Price
Value
—Minna
Gain/Loss
Accruals
Swaps
CLP SWAP • CLP NOTL
1.000
1.00
(18.063 74)
N/A
13,000,000,000 MD 3121/12
TO 3/17/10, START D 3121/11
PAY FLOAT CLP OIS ANN ACT/360
4.15% REC FIX, DEAL 6253571031
WO Client
SWPBDA-ZQ-8
Page 17 of 54
Confidential Treatment Requested by JPMorgan
Chase
CONFIDENTIAL
JPM-SDNY-00011212
SDNY_GM_00280410
EFTA01489301
--- SOURCE: IMAGES__0101__EFTA01489302.txt ---
METADATA_SOURCE: IMAGES0101
METADATA_FILENAME: EFTA01489302.pdf
----------------------------------------
J.P.Morgan
FINANCIAL TRUST COMPANY INC ACCT.