Statement of Account INV REP ACCOUNT TAXPAYER ID. STATEMENT PERIOD PAGE 20ST UNDISCLOSED 06/01/06 TO 06/30/06 19 OF 20 *" TYPE ALL AMOUNTS IN US DOLLAR ", PORTFOLIO LONG OR DESCRIPTION SHORT(S) PRICE MARKET VALUE 03 8,665 (S) UNISOURCE ENERGY CORP HLDG CO 31.15000 269,914.75- 03 1,452 IS) VALASSIS COMMUNICATION INC 23.59000 34,252.68- 'CSSU RATING :NEUTRAL INDEPENDENT RATING:Hold PROVIDER:Roohdale Securities 03 15,083 IS) VORNADO REALTY TR 97.55000 1,471,346.65- 01 2,000,000 "CSSU RATING • INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard 6 Poor's AMERICAN FINL GROUP INC OHIO SR 50.87500 1,017,500.00 01 2,000,000 NT CV1. 01.4861 06/02/2033 AMGEN INC NT ZER CV 32 73.50000 1,470,000.00 01 3,000,000 03/01/2032 CBRL GROUP INC LYON ZERO 32 45.37500 1,361,250.00 01 700,000 04/03/2032 CMS ENERGY CORP SR NT-B CV 23 130.37500 912,625.00 01 1,000,000 03.3750 07/15/2023 CSX CORP BOND CVT 125.75000 1,257,500.00 01 625,000 10/30/2021 CELGENE CORP CVT 392.50000 2,453,125.00 01 2,250,000 01.7500 06/01/2008 CENTERPOINT ENERGY INC CVT SER B 113.87500 2,562,187.50 01 125,000 03.7500 05/15/2023 CHENIERE ENERGY INC CVT 144A 121.00000 151,250.00 01 775,000 02.2500 08/01/2012 CONSECO INC CUT 144A 106.25000 823,437.50 03.5000 09/30/2035 03 775,000 (S) CONSECO INC CUT 106.25000 823,437.50- 01 1,052,000 03.5000 09/30/2035 EDO CORP CVT SR SUB NTS 97.37500 1,024,385.00 01 150,000 04.0000 11/15/2025 GENERAL MTRS CORP CV C 33 20.16000 3,024,000.00 CREDIT SUISSE 06.2500 07/15/2033 CREDIT SUISSESECURffIES(USA)L1C ELEVEN MADISON AVENUE NEW YORK, NY 1C010-3629 ESTIMATED CURRENT ANNUAL INCOME YIELD 8. 7,278.60- 2.697 48,265.60- 3.280 29,720.00 2.921 23,625.00 2.589 10,937.50 .446 84,375.00 3.293 2,812.50 1.860 27,125.00 3.294 27,125.00- 3.294 42,080.00 4.108 234,300.00 7.748 TEL: FAX: Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-000