THE HAZE TRUST ACCT.
For the PerIod 7/I/13 to 7/31/13
Adjusted Tax Cost Unrealized Est Annual Income
Price Quantity Value Original Cost Gain/Loss Accrued Interest Yield
US Fixed Income
KINDRED HEALTHCARE INC 105.25 1,000,000.00 1,052,500.00 996,250.00 56,250.00 82,500.00 7.13%
8 1/4% JUN 01 2019 13.750.00
DTD 08/012011
494580 AB-9 NR /83
GSR MORTGAGE LOAN TRUST 81.98 1,237,408.42 1,014,478.92 1,205,699.84 (191,222.92) 71,272.25 8.65%
2O35-5FCL 81 5.7598% 06/2512035 5,938.32
DTD 05/01/2005
36242D-7X-5 B. /
CHASE MORTGAGE FINANCE CORPORATION 78.28 718,886.75 582,730.17 564,326.10 (1,595.93) 39,966.17 5.28%
SER 2007-A1 CL 12A35.5595% 3.329.88
MAR 25 2037 DTD 02/01/2007
161630-BZ-0 NR /CAA
Total US Fixed Income 59,034,116.60 59,296,282.84 ($282,166.24) 9696,672.20 6.33%
$76,871.05
Complementary Structured Strategies
JPM 3YR NC CLN TO MTOR 04116/15 106.23 1,500,000.00 .593 450 OD 1,500,000.00 93,450.00
INITIAL RATE 6.20% CPN 3.874.50
DD 04/16/12
4662A0-4O-1
J.P.Morgan Account Page 8 of 19 Consolidated Statement Page 11
Confidential Treatment Requested by JPMorgan JPM-SDNY-00026927
Chase
CONFIDENTIAL SDNY_GM_00296125
EFTA01502447