Statement of Account •" ALL AMOUNTS IN US DOLLAR INV REP ACCOUNT TAXPAYER ID. STATEMENT PERIOD PAGE 20ST 736FY UNDISCLOSED 05/01/06 TO 05/31/06 28 OF 28 PORTFOLIO TYPE LONG OR SHORT(S) DESCRIPTION PRICE MARKET VALUE ESTIMATED ANNUAL INCOME CURRENT YIELD % 01 1,000,000 CS% CORP BOND CVT 120.12500 1,201,250.00 10/30/2021 01 625,000 CELGENE CORP CVT 344.00000 2,150,000.00 10,937.50 .509 01.7500 06/01/2008 01 2,250,000 CENTERPOINT ENERGY INC CVT SER B 111.50000 2,508,750.00 84,375.00 3.363 03.7500 05/15/2023 01 125,000 CHENIERE ENERGY INC CVT 144A 123.62500 154,531.25 2,812.50 1.820 02.2500 08/01/2012 01 775,000 CONSECO INC CVT I44A 108.87500 843,781.25 27,125.00 3.215 03.5000 09/30/2035 01 775,000 IS) CONSECO INC CVT 108.87500 843,781.25- 27,125.00- 3.215 03.5000 09/30/2035 01 1,052,000 EDO CORP CUT SR SUB NTS 100.87500 1,061,205.00 42,080.00 3.965 04.0000 11/15/2025 01 150,000 GENERAL MTRS CORP CV C 33 19.98000 2,997,000.00 234,300.00 7.818 06.2500 07/15/2033 01 1,600,000 BCC INS HLDGS INC NT CVT 144.75000 2,316,000.00 32,000.00 1.382 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 46.00000 1,840,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 119.25000 3,577,500.00 78,750.00 2.201 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 55.25000 2,116,075.00 53,198.70 2.514 01.3890 05/13/2033 01 4,000,000 SUPERVALU INC SR CVT BOND 32.75000 1,310,000.00 11/02/2031 01 750,000 TJX COS INC CONV 81.12500 608,437.50 02/13/2021 01 500,000 UNISOURCE ENERGY CORP CVT 144A 97.25000 486,250.00 22,500.00 4.627 04.5000 03/01/2035 01 789,000 vALASSIS COMMUNICATIONS INC SR 63.25000 499,042.50 8,552.76 1.714 NT CV1. 01.0843 05/22/2033 01 2,000,000 VORNADO RLTY L P SR 108.50000 2,170,000.00 77,500.00 3.571 DEB EXC 03.8750 04/15/2025 TOTAL PRICED PORTFOLIO 11,516,071.76 275,800.62 2.395 • Please see the last page for se