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