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