EFTA Document EFTA01582502

Statement of Account " ALL AMOUNTS IN US DOLLAR ••* TYPE LONG OR SHORT(S) 01 2,000,000 01 3,000,000 01 700,000 01 1,000,000 01 625,000 01 2,250,000 01 125,000 01 125,000 01 1,052,000 01 1,600,000 01 4,000,000 01 3,000,000 01 3,830,000 01 500,000 0] 789,000 DESCRIPTION AMERICAN FINL GROUP NT CV1. 01. CBRL GROUP INC CMS ENERGY CORP SR 03. CSX CORP BOND CVT CELGENE CORP CVT 01. CENTERPOINT ENERGY 03. CHENIERE ENERGY INC 02. (SI CHENIERE ENERGY INC 02. EDO CORP CVT SR SUB 04. HCC INS HLDGS INC N 02. MASCO CORP CVT 07/20/2031 PPL ENERGY SUPPLY LLC CVT 02.6250 05/15/2023 RPM INTL INC SR NT CV 33 01.3890 05/13/2033 UNISOURCE ENERGY CORP CVT 144A 04.5000 03/01/2035 VALASSIS COMMUNICATIONS INC SR NT CV1. 01.0843 05/22/2033 INV REP 20ST PORTFOLIO INC OHIO SR 4861 06/02/2033 LYON ZERO 32 04/03/2032 NT-B CV 23 3750 07/15/2023 10/30/2021 7500 06/01/2008 INC CVT SER B 7500 05/15/2023 CVT 144A 2500 08/01/2012 CVT 2500 08/01/2012 NTS 0000 11/15/2025 T CVT 0000 09/01/2021 TOTAL PRICED PORTFOLIO ACCOUNT TAXPAYER ID. STATEMENT PERIOD PAGE UNDISCLOSED 10/01/06 TO 10/31/06 17 OF 17 PRICE MARKET VALUE ESTIMATED CURRENT ANNUAL INCOME YIELD % 56.00000 1,120,000.00 29,720.00 2.654 50.50000 1,515,000.00 146.37500 1,024,625.00 23,625.00 2.306 128.37500 1,283,750.00 441.12500 2,757,031.25 10,937.50 .397 136.75000 3,076,875.00 84,375.00 2.742 99.50000 124,375.00 2,812.50 2.261 99.50000 124,375.00- 2,8]2.50- 2.261 98.00000 1,030,960.00 42,080.00 4.082 158.25000 2,532,000.00 32,000.00 1.264 46.62500 1,865,000.00 138.75000 4,162,500.00 78,750.00 1.892 53.50000 2,049,050.00 53,198.70 2.596 107.50000 537,500.00 22,500.00 4.186 62.75000 495,097.50 8,552.76 1.727 5,767,638.10 36,119.78 .626 • Please see the last page for securities ratings disclosure letter. li!t CREDIT SUISSE CREDIT SUISSE SECURITIES( USA) LLC ELEVEN MADISON AVENUE NEW YORK, NY 10010-3629 TEL: 212-325-2000 FAX: 212-538-5540 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00062040 EFTA01582502