Statement of Account T TAXPAYER ID. STATEMENT PERIOD PAGE UNDISCLOSED 01/01/06 TO 01/31/06 20 OF 20 *** TYPE ALL AMOUNTS IN US DOLLAR LONG OR SHORT(S) *** PORTFOLIO DESCRIPTION PRICE MARKET VALUE 01 1,600,000 HCC INS HLDGS INC NT CVT 145.50000 2,328,000.00 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.37500 1,815,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 119.50000 3,585,000.00 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 57.50000 2,202,250.00 01.3890 05/13/2033 01 4,000,000 SUPERVALU INC SR CVT BOND 33.18750 1,327,500.00 11/02/2031 01 3,000,000 TJX COS INC CONY 84.81250 2,544,375.00 02/13/2021 01 500,000 UNISOURCE ENERGY CORP CVT 144A 99.87500 499,375.00 04.5000 03/01/2035 01 789,000 VALASSIS COMMUNICATIONS INC SR 62.37500 492,138.75 NT CV1. 01.0843 05/22/2033 01 2,000,000 VORNADO RLTY L P SR 108.37500 2,167,500.00 DEB EXC 03.8750 04/15/2025 01 2,000,000 wyETH NOTE SR CVT FR 103.87500 2,077,500.00 04.2387 01/15/2024 TOTAL PRICED PORTFOLIO * Please see the last page for securities ratings disclosure letter. 14,975,683.51 CREDIT SUISSE CREDIT SUISSE SECURITIES(USA) LLC ELEVEN MADISON AVENUE NEW YORK, NY 10010-3629 ESTIMATED ANNUAL INCOME CURRENT YIELD 8. 32,000.00 1.375 78,750.00 2.197 53,198.70 2.416 22,500.00 4.506 8,552.76 1.738 77,500.00 3.576 84,780.00 4.081 354,383.84 2.366 TEL: 212-325-2000 FAX: 212-538-5540 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00062150 EFTA01582602