Statement of Account *** ALL AMOUNTS IN US DOLLAR *I" INV REP ACCOUNT TAXPAYER ID. STATEMENT PERIOD PAGE 20ST UNDISCLOSED 01/01/07 TO 01/31/07 15 OF 16 PORTFOLIO TYPE LONG OR SHORT(S) DESCRIPTION EQUITIES PRICE MARKET VALUE ESTIMATED ANNUAL INCOME CURRENT YIELD % 03 33,810 (S) AMERICAN FINL GROUP INC 35.32000 1,194,169.20- 13,524.00- 1.133 *CSSU RATING :NEUTRAL INDEPENDENT RATING: PROVIDER:Standard & Poor's 03 18,824 (S) CBRL GROUP INC 46.88000 882,469.12- 10,541.44- 1.195 *CSSU RATING :NOT RATED INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard & Poor's 03 62,267 (S) CMS ENERGY CORP 16.69000 1,039,236.23- 12,453.40- 1.198 03 33,838 (S) CSX CORPORATION 36.79000 1,244,900.02- 13,535.20- 1.087 *CSSU RATING :OUTPERFORM INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard & Poor's 03 51,450 (S) CELGENE CORPORATION 53.68000 2,761,836.00- 03 180,999 (S) CENTERPOINT ENERGY INC 17.26000 3,124,042.74- 108,599.40- 3.476 *CSSU RATING :NEUTRAL INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard & Poor's 03 12,981 (S) EDO CORPORATION 23.22000 301,418.82- 1,557.72- .517 *CSSU RATING :NEUTRAL INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard & Poor's 03 72,960 (S) HCC INSURANCE HOLDINGS INC 31.23000 2,278,540.80- 29,184.00- 1.281 03 77,197 (S) RPM INCORPORATED 23.23000 1,793,286.31- 54,037.90- 3.013 01 2,000,000 AMERICAN FINL GROUP INC OHIO SR 62.00000 1,240,000.00 29,720.00 2.397 NT CV1. 01.4861 06/02/2033 01 3,000,000 CBRL GROUP INC LYON ZERO 32 52.12500 1,563,750.00 04/03/2032 01 700,000 CMS ENERGY CORP SR NT-B CV 23 161.12500 1,127,875.00 23,625.00 2.095 li!t CREDIT SUISSE 03.3750 07/15/2023 CREDIT SUISSE SECURITIES (USA) LLC ELEVEN MADISON AVENUE NEW YORK, NY 10010.3629 TEL: 212-325.2000 FAX: 212-538-5540 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00061895 EFTA01582366