EFTA01582447

Statement of Account " ALL AMOUNTS IN US DOLLAR -* INV REP 20ST PORTFOLIO TAXPAYER ID. STATEMENT PERIOD PAGE UNDISCLOSED 08/01/06 TO 08/31/06 17 OF TYPE LONG OR SHORT(S) DESCRIPTION PRICE MARKET VALUE 03 29,450 (S) GENERAL MOTORS 29.18000 859,351.00- *CSSU RATING :NEUTRAL INDEPENDENT RATING:3 STAR - Hold PROVIDER:Standard & Poor's 03 72,460 (S) HCC INSURANCE HOLDINGS INC 32.49000 2,354,225.40- 01 3,277 MASCO CORP 27.41000 89,822.57 •CSSU RATING :NEUTRAL INDEPENDENT RATING:4 STAR - Accumulate PROVIDER:Standard & Poor's 03 113,825 (S) PPL CORP 34.97000 3,980,460.25- 03 57,090 (S) RPM INCORPORATED 18.81000 1,073,862.90- 03 9,965 (S) UNISOURCE ENERGY CORP HLDG CO 34.51000 343,892.15- 01 2,000,000 AMERICAN FINL GROUP INC OHIO SR 55.00000 1,100,000.00 01 2,000,000 NT CV1. 01.4861 06/02/2033 AMGEN INC NT ZER CV 32 74.12500 1,482,500.00 01 3,000,000 03/01/2032 CBRL GROUP INC LYON ZERO 32 47.50000 1,425,000.00 01 700,000 04/03/2032 CMS ENERGY CORP SR NT-B CV 23 144.62500 1,012,375.00 01 1,000,000 03.3750 07/15/2023 CSX CORP BOND CVT 111.00000 1,110,000.00 01 625,000 10/30/2021 CELGENE CORP CVT 336.43300 2,102,706.25 01 2,250,000 01.7500 06/01/2008 CENTERPOINT ENERGY INC CVT SER B 128.87500 2,899,687.50 01 125,000 03.7500 05/15/2023 CHENIERE ENERGY INC CVT 144A 112.87500 141,093.75 01 1,052,000 02.2500 08/01/2012 EDO CORP CVT SR SUB NTS 97.12500 1,021,755.00 01 75,000 04.0000 11/15/2025 GENERAL MTRS CORP CV C 33 21.00000 1,575,000.00 01 1,600,000 06.2500 07/15/2033 HCC INS HLDGS INC NT CVT 152.75000 2,444,000.00 02.0000 09/01/2021 CREDIT SUISSE16t CREDIT SUISSE SECURITIES(USA) LLC ELEVEN MADISON AVENUE NEW YORK NY 10010-3629 ESTIMATED CURRENT ANNUAL INCOME YIELD % 29,450.00- 3.427 28,984.00- 1.231 2,883.76 3.211 125,207.50- 3.146 36,537.60- 3.402 8,370.60- 2.434 29,720.00 2.702 23,625.00 2.334 10,937.50 .520 84,375.00 2.910 2,812.50 1.993 42,080.00 4.118 117,150.00 7.438 32,000.00 1.309 18 TEL: FAX: Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00061983 EFTA01582447