Statement of Account INV REP ACCOUNT TAXPAYER ID. STATEMENT PERIOD PAGE 20ST UNDISCLOSED 06/01/06 TO 06/30/06 20 OF 20 tee TYPE ALL AMOUNTS IN US DOLLAR *** PORTFOLIO LONG OR DESCRIPTION SHORT(S) PRICE MARKET VALUE 01 1,600,000 HCC INS HLDGS INC NT CVT 138.87500 2,222,000.00 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.87500 1,835,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 128.25000 3,847,500.00 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 53.75000 2,058,625.00 01.3890 05/13/2033 01 4,000,000 SUPERVALU INC SR CVT BOND 33.00000 1,320,000.00 11/02/2031 01 750,000 TJX COS INC CONY 79.25000 594,375.00 02/13/2021 01 500,000 UNISOURCE ENERGY CORP CVT 144A 97.37500 486,875.00 04.5000 03/01/2035 01 789,000 VALASSIS COMMUNICATIONS INC SR 61.12500 482,276.25 NT CV1. 01.0843 05/22/2033 01 2,000,000 VORNADO RLTY L P SR 112.75000 2,255,000.00 DEB EXC 03.8750 04/15/2025 TOTAL PRICED PORTFOLIO 11,684,813.31 Please see the last page for securities ratings disclosure letter. CREDIT SUISSE ESTIMATED ANNUAL INCOME CURRENT YIELD % 32,000.00 1.440 78,750.00 2.047 53,198.70 2.584 22,500.00 4.621 8,552.76 1.773 77,500.00 3.437 281,884.62 2.412 CREDIT SUISSE SECURITIES (USA) LLC TEL: ELEVEN MADISON AVENUE FAX: NEW YORK, NY 1C010-3629 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00062129 EFTA01582583