EFTA01582405

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