Statement of Account " ALL AMOUNTS IN US DOLLAR '•' TYPE LONG OR DESCRIPTION SHORT(S) INV REP T TAXPAYER ID. STATEMENT PERIOD PAGE 20ST UNDISCLOSED 02/01/07 TO 02/28/07 15 OF PORTFOLIO 03 184,199 (S) CENTERPOINT ENERGY INC *CSSU RATING :NEUTRAL INDEPENDENT RATING:2 STAR - Avoid PROVIDER:Standard 6 Poor's 03 73,060 (S) HCC INSURANCE HOLDINGS INC 03 81,697 (5) RPM INCORPORATED 0] 2,000,000 AMERICAN FINL GROUP INC OHIO SR NT CV1. 01.4861 06/02/2033 01 3,000,000 CBRL GROUP INC LYON ZERO 32 04/03/2032 01 700,000 CMS ENERGY CORP SR NT-B CV 23 03.3750 07/15/2023 01 625,000 CELGENE CORP CVT 01.7500 06/01/2008 01 2,130,000 CENTERPOINT ENERGY INC CVT SER B 03.7500 05/15/2023 01 1,600,000 HCC INS HLDGS INC NT CVT 02.0000 09/01/2021 01 3,830,000 RPM INTL INC SR NT CV 33 01.3890 05/13/2033 01 120,000 UNISOURCE ENERGY CORP CVT 144A 04.5000 03/01/2035 01 120,000 (SI UNISOURCE ENERGY CORP SR NT CV 4.5% 03/3 04.5000 03/01/2035 TOTAL PRICED PORTFOLIO PRICE MARKET VALUE ESTIMATED CURRENT ANNUAL INCOME YIELD % 15 17.84000 3,286,110.16- 125,255.32- 3.812 31.35000 2,290,431.00- 29,224.00- 1.276 23.40000 1,911,709.80- 57,187.90- 2.991 60.62500 1,212,500.00 29,720.00 2.451 51.75000 1,552,500.00 167.87500 1,175,125.00 23,625.00 2.010 440.25000 2,751,562.50 10,937.50 .398 157.62500 3,357,412.50 79,875.00 2.379 147.00000 2,352,000.00 32,000.00 1.361 64.09300 2,454,761.90 53,198.70 2.167 112.87500 135,450.00 5,400.00 3.987 112.87500 135,450.00- 5,400.00- 3.987 1,199,460.95 22,157.86- 1.847 ' Please see the last page for securities ratings disclosure letter. li!k CREDIT SUISSE CREDIT SUISSE SECURITIES ( USA) LLC TEL:= ELEVEN MADISON AVENUE FAX NEW YORK NY 10010-3629 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00061937 EFTA01582405