Jpmrp Attribution All Pdf

Brigade Capital Manage ment LLC JPMorg an Retirement Plan - ITD FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ER FOR MA NC E ATTRIB UTION

P erformance by C redit R ating fo r ITD through 10/31/09

6.00% 4.00%

2.00% 0.00% -2.00% -4.00% -6.00% -8.00% -10.00% -12.00% Asset Allocation

A2

A3

AAA

B1

B2

B3

Ba1

Ba2

Ba3

Baa1 Baa2 Baa3

BB1

BB2

BB3 BBB3

C

Ca

Caa1 Caa2 CASH

CC

CCC1 CCC2 CCC3

D

NR

Totals

-0.22% -0.01% 0.00% 0.26% 0.16% 0.00% -0.26%-0.04% -0.80% -0.28% -0.29%-0.94% 0.27% 1.06% 0.47% 0.00% -0.20%-0.07% -0.44% -0.18% -6.58% -0.30% -0.47%-0.92%-0.50%-0.04% -0.14%-10.16%

SecuritySelection 0.00% 0.00% 0.00% 0.29% -0.08% 0.53% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.71% 0.76% -0.01% 0.00% -0.05% 0.00% 0.00% 0.00% -0.02% -1.00% -0.33% -0.11% -1.04%-0.06% 0.00% -0.42% InteractionEffect

0.17% 0.00% -0.02% 0.00% 0.12% -0.50% 0.19% 0.03% 0.44% 0.36% 0.26% 1.23% 0.74% -0.36% -0.01% 0.00% 0.08% -0.23% 0.52% 0.12% -0.13% 0.39% 0.63% 0.22% 0.92% 0.06% 0.10% 3.94%

ActiveEffect

-0.05% -0.01% -0.02% 0.56% 0.20% 0.03% -0.06% 0.00% -0.37% 0.07% -0.03% 0.30% 0.30% 1.47% 0.45% 0.00% -0.16%-0.30% 0.08% -0.06% -6.73% -0.91% -0.18% -0.81%-0.62%-0.04% -0.04% -6.63%

Fund Weight

1.00% 0.12% 0.09% 9.57% 3.91% 14.16% 1.16% 0.26% 3.88% 1.33% 1.44% 4.37% 3.11% 6.38% 8.00% 0.00% 0.60% 0.31% 2.29% 0.94% 23.74% 2.72% 4.41% 2.45% 3.23% 0.00% 0.53% 100.00%

Index Weight

0.00% 0.00% 0.00% 10.24% 8.45% 12.15% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 11.85% 17.02% 14.91% 0.00% 1.70% 0.00% 0.00% 0.00% 0.01% 3.17% 9.80% 6.26% 4.33% 0.11% 0.00% 100.00%

Fund Return

16.48% 2.30% -1.16%20.25% 21.65%30.84% 13.18%24.73% 10.32% 20.67% 19.90% 35.63% 17.51%23.05%20.42% 0.00%66.35% -50.78% 44.95% -13.51% -3.64% 14.42% 34.83% 51.10%22.34% 0.00% 7.03%

Index Return

0.00% 0.00% 0.00% 17.10%22.74%25.58% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 24.55% 17.39%20.58% 0.00%66.89% 0.00% 0.00% 0.00% 0.00% 60.23% 39.35% 54.77%60.36%78.37% 0.00% 26.07%

TOP C O NTR IB UTIONS B Y RATING AVERAGE C REDIT RATING WEIGHT BB2 6.38% B1 9.57% BB3 8.00% BB1 3.11% Baa3 4.37% B OTTOM C ONTRIB UTIO NS B Y R ATING AVERAGE C REDIT RATING WEIGHT CASH 23.74% CC 2.72% CCC2 2.45% CCC3 3.23% Ba3 3.88% RETURN B R EAKDOWN

ITD thro ugh 10/31/09 R ETURN 23.05% 20.25% 20.42% 17.51% 35.63%

C O NTRIB UTION 1.47% 0.56% 0.45% 0.30% 0.30%

ITD thro ugh 10/31/09 R ETURN -3.64% 14.42% 51.10% 22.34% 10.32%

C O NTRIB UTION -6.73% -0.91% -0.81% -0.62% -0.37%

J P MR P

ML HY C o nstrained

P rice Return Interest R eturn

13.80% 3.60%

21.79% 4.58%

Total Return

17.78%

27.18%

TOP C ONTRIB UTIONS B Y HOLD INGS A VER AGE SEC URITY NA M E WEIGHT AM D 6 05/01/15 0.88% ABD 7 5/8 08/15/15 0.33% INTNED 8.439 12/29/49 0.56% GNW 5.65 06/15/12 0.63% OP EN 9 3/4 02/01/15 0.20% B OTTOM C ONT RIB UTIONS B Y HOLDINGS A VER AGE SEC URITY NA M E WEIGHT HELLAS 0 01/15/15 0.20% UAUA 6.932 09/01/11 1.48% AIG 8.1750 05/15/2038 0.00% Texas Comp Holdc o TL B2 L+350 10/10/20141.33% UVN 9 3/4 03/15/15 0.00%

17.38%

ITD through 10/31/09 R ET URN 73.43% 104.48% 60.27% 65.39% 94.42%

C ONTRIB UTION 0.33% 0.20% 0.19% 0.15% 0.14%

ITD through 10/31/09 R ET URN -72.04% 7.19% 0.00% 12.85% 0.00%

C ONTRIB UTION -0.21% -0.19% -0.18% -0.15% -0.14%

Brigade Capital Manage m ent LLC JPMorg an Retirement Plan - Septem b er 2009 FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ERFOR M A NC E A TTR IB UTION

P erformance by C redit Rati ng for September 2009

1.50%

1.00%

0.50%

0.00%

-0.50%

-1.00%

-1.50%

-2.00%

A2

A3

B1

B2

B3

Ba1

Ba2

Ba3

Baa1

Baa2

Baa3

BB1

BB2

BB3

C

Ca

Caa1

Caa2

CASH

CC

CCC1 CCC2 CCC3

D

NR

Totals

Asset Allocation

-0.06% -0.01% -0.02% 0.02% -0.01% -0.10% -0.02% -0.22% -0.09% -0.07% -0.32% 0.12%

Security Selection

0.00% 0.00% 0.04% -0.16% -0.07% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.13% 0.02% -0.11% 0.02% 0.00% 0.00% 0.00% 0.00% -0.22% 0.01% -0.05% -0.06% 0.00% 0.00% -0.44% 0.11%

0.11% 0.08% -0.07% -0.02% -0.17% -0.08% -0.33% 0.05% -0.06% -0.08% -0.03% 0.00% -0.04% -1.40%

Interaction Effect

0.02% -0.02% 0.00% 0.07% -0.03% 0.08% 0.03% 0.18%

ActiveEffect

-0.05% -0.03% 0.03% -0.07% -0.11% -0.01% 0.01% -0.04% 0.03% 0.01% 0.07% 0.16% 0.12% 0.00% -0.06% -0.03% -0.04% 0.00% -0.29% -0.22% -0.06% -0.12% -0.09% 0.00% -0.02% -0.80% 0.17% 12.44% 4.89% 16.92% 1.66% 0.42% 3.89% 1.52%

0.08% 0.39% -0.09% -0.01% 0.03% -0.01% -0.02% 0.13% 0.08% 0.04% -0.05% 0.00% 0.01% 0.01% 0.00% 0.01%

FundWeight

1.10%

IndexWeight

0.00% 0.00% 11.35% 8.52% 12.09% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 12.92% 16.53% 14.65%

FundReturn

1.56% -2.69% 4.31% 3.39% 5.09% 5.17% 14.92% 4.69% 7.82% 6.59% 7.26% 5.54% 4.70% 3.38% 26.22% 12.72% 4.49% 6.46% 0.92% 7.02% 7.95% 7.56% 9.54% 0.00% 2.33%

5.13%

IndexReturn

0.00% 0.00% 3.92% 5.35% 5.72% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.48% 4.56%

5.98%

T O P C O N T R IB UT IO N S B Y R A T IN G C R E D IT R A T IN G BB1 BB2 B aa3 B aa1 B1

B3 CCC3 R E T UR N B R E A K D O WN

5.61% 4.53% 8.03% 10.36% 0.77% 0.25% 2.99% 1.27% 5.23% 3.24% 5.59% 3.24% 4.04% 0.00% 0.59% 100.00%

A s o f 9/ 30/ 09

A VE R A G E WE IG H T 4.53% 8.03%

R E T UR N 5.54% 4.70%

C O N T R IB UT IO N 0.16% 0.12%

5.61% 1.52% 12.44%

7.26% 7.82% 4.31%

0.07% 0.03% 0.03%

B O T T O M C O N T R IB UT IO N S B Y R A T IN G C R E D IT R A T IN G C A SH CC CCC2

1.25%

1.05%

A s o f 9/ 30/ 09

A VE R A G E WE IG H T 5.23% 3.24% 3.24%

R E T UR N 0.92% 7.02% 7.56%

C O N T R IB UT IO N -0.29% -0.22% -0.12%

16.92% 4.04%

5.09% 9.54%

-0.11% -0.09%

J PMRP

M L H Y C o ns trained

P rice R et urn

3.93%

5.25 %

Interes t R eturn

1.17%

0.75 %

T o tal R et urn

5.10%

6.00 %

1.15% 0.00% 0.00% 0.00% 0.00% 2.56% 9.38%

6.17% 4.67% 0.02% 0.00% 100.00%

4.14% 23.78% 0.00% 0.00% 0.00% 0.00% 16.18% 7.84% 8.45% 11.01% 9.05% 0.00%

T O P C O N T R IB U T IO N S B Y H O L D IN G S S E C UR IT Y N A M E O P C C N 8 1/4 12/15/ 14 N UVIN V 10 1/2 11/15/ 15 G N W 6.15 11/15/66 A M D 6 05/01/15 B B I 9 09/01/12

A s o f 9 / 30/ 09

A VE R A G E WE IG H T 0.57% 0.72%

R E T UR N 20 .39% 16 .58%

C O N T R IB UT IO N 0.06 % 0.06 %

0.35% 0.63% 0.35%

26 .59% 13 .68% 23 .89%

0.05 % 0.05 % 0.04 %

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S S E C UR IT Y N A M E A IG 8.1750 05/15/20 38 IN T E L 8 7/8 01/15/15 H E T 111/4 06/01/17

A VE R A G E WE IG H T 0.00% 1.43% 0.98%

Q UE B E C OR E XIT F A C ILIT Y L+600 7/10 / 1.06% C H T R 10 1/4 10/01/13 (N ew) 0.92%

A s o f 9 / 30/ 09 R E T UR N 0.00% 1.7 3% -0 .57%

C O N T R IB UT IO N -0.06 % -0.05 % -0.05 %

1.17% 0.60%

-0.05 % -0.05 %

Brigade Capital Manage m ent LLC JPMorg an Retirement Plan - August 2009 FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ERFOR M A NC E A TTR IB UTION

P erformance by C redit R ating for Augus t 2009

0.60%

0.40%

0.20%

0.00%

-0.20%

-0.40%

-0.60%

-0.80%

A2

B1

B2

B3

Ba1

Ba2

Ba3

Baa1

Baa2

Baa3

BB1

BB2

BB3

C

Ca

Caa1

Caa2

CASH

CC

CCC1

CCC2

CCC3

D

NR

Totals

Asset Allocation

-0.02% -0.01% 0.02% -0.05% -0.03% 0.00% -0.10% -0.04% -0.03% -0.11% -0.06% 0.05%

Security Selection

0.00% 0.10%

0.04% -0.03% 0.00% 0.00%

0.00%

0.00% 0.00% 0.00% -0.07% 0.00% -0.11%

Interaction Effect

0.01%

-0.01% -0.01% 0.01%

0.00%

0.09%

0.06% 0.01%

ActiveEffect

-0.01% 0.10%

0.05% -0.08% -0.02% 0.00%

0.00%

0.02% -0.02% 0.10% -0.07% 0.05% -0.06% 0.00% -0.10%

0.11% -0.02% -0.16% -0.11% 0.30%

0.02% -0.01% 0.00% 0.02%

4.81%

2.31%

0.51%

2.91% 0.90%

5.41%

3.16%

3.12% 4.25% 0.00%

0.66% 100.00%

0.01%

1.52%

0.00%

0.00% 0.00% 0.00%

0.46%

0.00% -0.01% -0.02% -0.16% -0.07% 0.00% 0.00% 0.04%

0.27% 0.10%

0.00% 11.36%

8.41% 12.20% 0.00% 0.00%

0.00% 0.00% 0.00% 0.00% 12.90% 16.38% 14.35%

0.00%

0.00% 0.00% 0.00%

2.59%

9.51% 6.52% 4.65% 0.03%

0.00% 100.00%

0.94%

1.81%

1.71% 0.52% 0.68% 6.94%

1.97% 2.35% 0.66% 3.75%

2.26%

1.46%

1.14% 18.88% -18.79%

6.12% -0.74% -0.12%

5.59%

5.88%

5.31% 3.89% 0.00%

5.87%

2.17%

IndexReturn

0.00%

0.91%

1.25% 0.75% 0.00% 0.00%

0.00% 0.00% 0.00% 0.00%

2.79%

1.44%

1.90% 10.41%

0.00% 0.00% 0.00% 10.67%

1.15% 3.27% 3.98% -9.56%

0.00%

2.06%

C O NTRIB UTION 0.30% 0.11% 0.10% 0.10% 0.05% A s of 8/31/09

RETURN -0.12% 5.59% -18.79% 0.52% 2.26%

C O NTRIB UTION -0.16% -0.11% -0.10% -0.08% -0.07%

J P MRP

M L HY C o nstrained

P rice Return Interest R eturn

1.49% 0.65%

1.31% 0.76%

Total Return

2.14%

2.07%

1.10%

0.00%

5.82%

0.13%

Fund Return

RETURN 5.88% 6.12% 1.81% 3.75% 1.46%

9.51% 0.64%

0.00% 0.00% -0.13% 0.43%

IndexWeight

A s of 8/31/09

7.77%

0.09% 0.00%

0.03% -0.04% -0.09% 0.17%

5.49% 15.86%

RETUR N B R EA KDOWN

4.04%

0.00%

1.13% 12.40%

B OTTOM C ONTRIB UTIO NS B Y RA TING AVER AGE C R EDIT R ATING WEIGHT CASH 5.41% CC 3.16% Ca 0.51% B3 15.86% BB1 4.04%

1.90% 5.76%

0.05%

Fund Weight

TOP C O NTRIB UTIONS B Y R ATING AVER AGE C R EDIT R ATING WEIGHT CCC1 5.82% Caa1 2.91% B1 12.40% Baa3 5.76% BB2 7.77%

0.13%

0.21%

0.01% -0.04% -0.01% -0.06% -0.02% -0.15% 0.04% 0.03% -0.04% -0.01% 0.00% -0.01% -0.63%

TOP C ONTRIB UTIONS B Y HOLD INGS AVER AGE SEC UR ITY NA M E WEIGHT OP EN 9 3/4 02/01/15 0.31% AM D 6 05/01/15 0.93% TXU 10 1/4 11/01/15 0.00% M FW 0 05/15/15 0.55% GNW 5.65 06/15/12 0.86% B OTTOM C ONT RIB UTIONS B Y HOLDINGS AVER AGE SEC UR ITY NA M E WEIGHT AIG 8.1750 05/15/2038 0.00% HELLAS 0 01/15/15 0.30% IP 9 3/8 05/15/19 1.14% TXU 10 7/8 11/01/17 0.46% Texas Comp Holdc o TL B2 L+350 10/10/20141.48%

As of 8/31/09 RET UR N 35.61% 11.65% 0.00% 13.39% 8.80%

C ONTRIB UTION 0.09% 0.09% 0.06% 0.06% 0.06% As of 8/31/09

RET UR N 0.00% -36.85% -3.27% -16.62% -1.01%

C ONTRIB UTION -0.13% -0.11% -0.06% -0.05% -0.05%

Brigade Capital Manage m ent LLC JPMorg an Retirement Plan - July 2009 FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ERFOR M ANC E A TTR IB UTION

P erf ormance by C redit Rating for J ul y 2009

1.50%

1.00%

0.50%

0.00%

-0.50%

-1.00%

-1.50%

-2.00%

-2.50%

A2

B1

B2

B3

Ba1

Ba2

Ba3

Baa1

Baa2

Baa3

BB1

BB2

BB3

BBB3

C

Ca

Caa1

Caa2

CASH

CC

CCC1 CCC2 CCC3

D

NR

Totals

Asset Allocation

-0.07% -0.02% 0.06% 0.02% -0.09% 0.00% -0.29% -0.10% -0.10% -0.30% 0.08% 0.07% 0.08% 0.00% 0.01% -0.02% -0.15% -0.04% -0.78% 0.01% -0.14% -0.09% -0.03% -0.02% -0.04% -1.94%

Security Selection

0.00% 0.11%

Interaction Effect

0.04% -0.03% -0.07% 0.01%

ActiveEffect

-0.03% 0.06% 0.13%

0.13%

0.05% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.03% 0.25% 0.05% 0.00% 0.13% 0.08% 0.00% 0.07% 0.13%

0.10%

1.17% 10.68% 4.32% 15.48% 1.49% 0.00%

IndexWeight

0.00% 10.80% 8.29% 12.36% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 13.37% 16.50% 14.45% 0.00%

Fund Return

3.81% 5.87% 5.86%

IndexReturn

0.00%

7.31% 5.39%

1.22%

4.91%

1.66%

A VERAGE WEIGHT 7.36% 4.32% 7.83% 15.48% 3.22%

A s of 7/31/09 R ETURN 6.74% 5.86% 5.09% 7.31% 5.00%

RETUR N B REAKDOWN

A VERAGE WEIGHT 15.98% 4.91% 3.24% 0.46% 2.57%

C O NTRIB UTION 0.18% 0.13% 0.10% 0.08% 0.07% A s of 7/31/09

R ETURN -0.35% 1.40% -1.00% -1.04% 4.85%

1.34% 0.00% 0.00% 0.00% 0.00% 2.72% 9.20% 6.42% 4.48% 0.07% 0.00% 100.00%

7.51% 5.00% 6.74% 5.09% 0.00% 16.09% -1.04% 4.85% 12.23% -0.35% -1.00% 13.11% 13.95% 11.43% 0.00% 11.46%

4.17% 6.89% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.27% 5.18% 4.75% 0.00%

B OTTOM C ONTRIB UTIO NS B Y RA TING C R EDIT RA TING CASH Ba3 CC Ca Caa1

1.70% 4.80% 3.22% 7.36% 7.83% 0.00% 0.50% 0.46% 2.57% 0.67% 15.98% 3.24% 4.89% 2.47% 3.93% 0.00% 0.64% 100.00%

1.40% 8.08% 5.89%

TOP C O NTRIB UTIONS B Y R ATING C R EDIT RA TING BB2 B2 BB3 B3 BB1

1.14%

0.08% -0.01% 0.00% -0.22% 0.03% 0.00% 0.06% 0.07% 0.18% 0.10% 0.00% 0.06% -0.08% -0.03% 0.04% -0.85% -0.17% 0.00% 0.04% -0.02% -0.02% 0.03% -0.53%

Fund Weight

4.81%

0.00% 0.00% 0.00% 0.00% -0.14% 0.28% 0.32% 0.01% -0.03% 0.00%

0.36% 0.02% -0.14% -0.02% 0.00% -0.08% -0.06% 0.13% 0.08% -0.08% -0.04% -0.14% -0.19% 0.00% 0.03% 0.07% 0.27%

C O NTRIB UTION -0.85% -0.22% -0.17% -0.08% -0.03%

J P MRP

M L HY C o nstrained

P rice Return

4.89%

5.30%

Interest R eturn Total Return

0.63% 5.52%

0.81% 6.11%

5.11% 0.00% 0.00% 0.00% 0.00% 4.32% 9.77%

8.51% 11.11% 39.29% 0.00%

TOP C ONTR IB UTIONS B Y HOLD INGS SEC URITY NAM E AM D 6 05/01/15 ABD 7 5/8 08/15/15 IP 9 3/8 05/15/19 F 7 10/01/13 OSI 10 06/15/15

AVERA GE WEIGHT 0.97% 0.46% 1.12% 1.59% 0.84%

As of 7/31/09 R ET URN 29.38% 35.85% 15.61% 12.01% 15.64%

B OTTOM C ONT R IB UTIONS B Y HOLDINGS SEC URITY NAM E UAUA 6.932 09/01/11 LCC 8.057 07/02/20 CIT 7 5/8 11/30/12 UAUA 7.81110/01/49 CIT 0 11/03/10

AVERA GE WEIGHT 1.93% 1.58% 0.41% 0.93% 0.22%

5.51% 6.09%

C ONTRIB UTION 0.20% 0.11% 0.10% 0.07% 0.07% As of 7/31/09

R ET URN -2.80% 0.17% -19.50% -1.44% -20.12%

C ONTRIB UTION -0.17% -0.09% -0.08% -0.07% -0.06%

Brigade Capital Manage m ent LLC JPMorg an Retirement Plan - June 2009 FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ERFOR M A NC E A TTR IB UTION

P erfo rmance by C redit Rating for J une 2009

1.00%

0.50%

0.00%

-0.50%

-1.00%

-1.50%

-2.00%

-2.50%

-3.00%

BB3

BBB3

Asset Allocation

-0.04% 0.03% -0.03% 0.00% -0.01% -0.09% -0.02% -0.03% -0.09% -0.03% 0.18%

A2

B1

B2

B3

Ba1

Ba3

0.16%

0.00%

0.01% -0.01% 0.01%

-0.01% -1.83% -0.07% -0.16% -0.30% 0.00% 0.01% -0.02% -2.36%

Security Selection

0.00% 0.04%

0.24%

0.00%

0.17%

0.00% 0.00% -0.05% -0.15% -0.04% -0.02% 0.01%

Interaction Effect

0.05% -0.04% -0.05% 0.00% 0.00% 0.14%

ActiveEffect

0.01%

0.06% -0.11% 0.00% 0.00%

Baa1

0.00%

Baa2

Baa3

BB1

BB2

0.00% 0.00% -0.48% 0.04%

-0.01% 0.04% 0.13%

Ca

0.00%

Caa1

0.00%

Caa2

CASH

CC

CCC1

CCC2

0.47% -0.04% -0.18% 0.00% -0.12% -0.02% -0.06% -0.03% -0.10% 0.05% 0.10%

0.02% -0.01% -0.11% -0.01% 0.05% -0.03% 0.00% 0.05% -0.05% 0.18%

0.21%

0.00%

D

NR

Totals

0.00% -0.31%

0.02% -0.01% -0.02% 0.35%

0.05% -0.03% -0.05% -0.04% -1.93% -0.08% -0.21% -0.31% 0.00% 0.01% -0.04% -2.32%

1.15%

6.03%

1.80% 11.19% 0.27% 4.26%

0.62%

IndexWeight

0.00% 10.16%

8.02% 11.85% 0.00% 0.00%

0.00% 0.00% 0.00% 13.28% 16.98% 14.45% 0.00%

Fund Return

4.08%

2.86%

4.41% 2.07% 0.04% 4.86% -2.37% 2.77% 5.26% -0.20%

2.11% 3.57% 0.00% 11.30% -6.06%

4.92% -1.77% -0.23% -2.53%

4.10% 8.90% 2.24% 0.00% -3.30%

0.88%

IndexReturn

0.00%

2.51%

3.63%

1.85%

0.00% 0.00% 0.00% -1.02%

5.76% 9.74% 2.78% -7.75%

3.26%

TOP C O NTRIB UTIONS B Y R ATING AVER AGE C R EDIT R ATING WEIGHT BB3 4.60% BB2 3.95% C 0.50% Ba3 4.26% Baa3 2.99% B OTTOM C ONTRIB UTIO NS B Y RA TING AVER AGE C R EDIT R ATING WEIGHT CASH 46.99% CCC2 1.65% CCC1 3.20% B3 11.19% CC 2.75% RETUR N B R EA KDOWN

1.47%

0.03%

CCC3

Fund Weight

3.01% 0.00% 0.00%

1.42% 2.99%

C

0.00% 0.00% 0.00% 3.58%

3.95% 4.60% 0.00% 0.50%

A s of 6/30/09 RETURN 3.57% 2.11% 11.30% 4.86% 5.26%

C O NTRIB UTION 0.21% 0.18% 0.05% 0.05% 0.05% A s of 6/30/09

RETURN -0.23% 8.90% 4.10% 2.07% -2.53%

C O NTRIB UTION -1.93% -0.31% -0.21% -0.11% -0.08%

J P MRP

M L HY C o nstrained

P rice Return Interest R eturn

0.52% 0.35%

2.51% 0.77%

Total Return

0.87%

3.28%

1.75%

1.89% 0.00% 2.28%

0.34%

1.33% 0.59% 46.99%

2.75%

3.20%

1.65% 2.25% 0.00%

0.66% 100.00%

0.00%

0.00% 0.00% 0.00%

3.06%

9.54% 6.26% 4.52% 0.09%

0.00% 100.00%

0.00%

TOP C ONTRIB UTIONS B Y HOLD INGS AVER AGE SEC UR ITY NA M E WEIGHT C 8.3000 12/21/2037 0.00% LCC 8.057 07/02/20 1.58% ABD 7 5/8 08/15/15 0.39% GNW 5.65 06/15/12 0.51% HOC 9 7/8 06/15/17 0.71% B OTTOM C ONT RIB UTIONS B Y HOLDINGS AVER AGE SEC UR ITY NA M E WEIGHT ETFC 12.5000 11/30/2017 0.00% CIT 5 02/13/14 0.52% UVN 9 3/4 03/15/15 0.00% HET 10 12/15/18 0.75% Iasis Healthcare TL P IK L+525 6/15/2014 1.02%

0.00%

As of 6/30/09 RET UR N 0.00% 4.65% 22.89% 16.19% 7.11%

C ONTRIB UTION 0.08% 0.07% 0.06% 0.06% 0.04% As of 6/30/09

RET UR N 0.00% -11.31% 0.00% -12.67% -5.52%

C ONTRIB UTION -0.13% -0.07% -0.07% -0.06% -0.06%

Brigade Capital Manage m ent LLC JPMorg an Retirement Plan - May 2009 FUND v s. INDEX

A bsolute Return fo r ITD through 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

M L HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P ERFOR M ANC E A TTR IB UTION

P erf ormance by C redit Rating for Ma y 2009

2.00%

1.00%

0.00%

-1.00%

-2.00%

-3.00%

-4.00%

-5.00%

A2

B1

B2

B3

Ba3

Baa2

Baa3

BB1

BB2

BB3

C

Ca

Caa1

Caa2

CASH

CC

CCC1

CCC2

CCC3

D

NR

Totals

Asset Allocation

-0.01%

0.29%

0.07%

0.06%

-0.03%

-0.03%

-0.03%

0.18%

0.60%

0.15%

-0.12%

-0.01%

-0.01%

0.00%

-3.62%

-0.33%

-0.11%

-0.37%

-0.42%

-0.03%

-0.02%

-3.81%

Security Selection

0.00%

0.01%

-0.15%

0.62%

0.00%

0.00%

0.00%

-0.33%

-0.11%

-0.10%

-0.43%

0.00%

0.00%

0.00%

0.00%

-0.45%

-0.79%

-0.39%

-0.82%

-0.04%

0.00%

-1.54%

Interaction Effect

0.00%

0.04%

0.17%

-0.51%

-0.04%

0.02%

0.06%

0.33%

0.10%

0.12%

0.34%

0.03%

0.02%

-0.07%

-0.06%

0.45%

0.78%

0.41%

0.84%

0.04%

0.02%

1.65%

ActiveEffect

-0.01%

0.34%

0.10%

0.16%

-0.07%

-0.01%

0.03%

0.18%

0.60%

0.17%

-0.21%

0.02%

0.01%

-0.07%

-3.68%

-0.34%

-0.12%

-0.36%

-0.40%

-0.03%

-0.01%

-3.71%

Fund Weight

0.14%

2.31%

0.47%

5.60%

0.42%

0.88%

0.79%

0.59%

1.71%

0.71%

0.39%

0.13%

0.26%

0.04% 82.60%

0.13%

1.27%

0.52%

0.62%

0.00%

0.42% 100.00%

Index Weight

0.00% 10.24%

8.45%

12.15%

0.00%

0.00%

0.00%

11.85%

17.02%

14.91%

1.70%

0.00%

0.00%

0.00%

0.01%

3.17%

9.80%

6.26%

4.33%

0.11%

0.00% 100.00%

Fund Return

0.05%

2.56%

3.29%

10.81%

-2.31%

1.84%

5.99%

1.40%

1.46%

4.09% -11.17%

12.06%

13.91% -28.40%

-0.05%

2.89%

-1.15%

5.52%

-6.08%

0.00%

0.51%

0.70%

Index Return

0.00%

2.42%

5.10%

5.56%

0.00%

0.00%

0.00%

4.29%

2.09%

4.85% 15.23%

0.00%

0.00%

18.06%

7.26%

12.53%

17.26% 34.88%

0.00%

4.51%

T O P C O N T R IB UT IO N S B Y R A T IN G C R E D IT R A T IN G BB2 B1 BB1 BB3 B3

A s o f 5/ 31/ 09

A VE R A G E WE IG H T 1.71% 2.31%

R E T UR N 1.46% 2.56%

C O N T R IB UT IO N 0.60% 0.34%

0.59% 0.71% 5.60%

1.40% 4.09% 10.81%

0.18% 0.17% 0.16%

B O T T O M C O N T R IB UT IO N S B Y R A T IN G C R E D IT R A T IN G C A SH CCC3 CCC2 CC C R E T UR N B R E A K D O WN

A s o f 5/ 31/ 09

A VE R A G E WE IG H T 82.60% 0.62% 0.52%

R E T UR N -0.05% -6.08% 5.52%

C O N T R IB UT IO N -3.68% -0.40% -0.36%

0.13% 0.39%

2.89% -11.17%

-0.34% -0.21%

J PMRP

M L H Y C o ns trained

P rice R et urn

1.02%

4.67 %

Interes t R eturn

0.08%

0.70 %

T o tal R et urn

1.10%

5.38 %

0.00%

0.00%

T O P C O N T R IB U T IO N S B Y H O L D IN G S S E C UR IT Y N A M E F IR E KP 13 7/8 05/0 1/15 S VM 10 3/4 07/15/15 A M D 6 05/01/15 B R Y 10 1/4 06/01/14 N R G 7 3/8 02/01/16

A s o f 5 / 31/ 09

A VE R A G E WE IG H T 0.41% 0.32%

R E T UR N 15 .56% 26 .36%

C O N T R IB UT IO N 0.07 % 0.05 %

0.82% 0.84% 0.00%

7.03% 5.04% 0.00%

0.04 % 0.03 % 0.03 %

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S S E C UR IT Y N A M E C 8.3000 12/21/2037 A IG 8.1750 05/15/20 38 LVS (S T R IP ) L+175 UA UA 6.932 09/01/11 E T F C 12.5000 11/30 /2017

A s o f 5 / 31/ 09

A VE R A G E WE IG H T 0.00% 0.00% 0.22%

R E T UR N 0.00% 0.00% -28 .47%

C O N T R IB UT IO N -0.13 % -0.08 % -0.07 %

0.98% 0.00%

-1.90% 0.00%

-0.05 % -0.05 %

Brigade Capital Manage ment LLC JPMorg an Retirem ent Plan - ITD F UND v s. INDE X

A bso lute R eturn fo r IT D thro ugh 10/31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

A ug

Sep

Oct

J P M RP

1.10%

0.87%

ML HY Constrained

7.11%

3.25%

YTD

5.52%

2.14%

5.10%

1.96%

17.78%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erfo rmance by Secto r fo r IT D thro ugh 10/31/09

2.00% 1.00% 0.00% -1.00% -2.00% -3.00% -4.00% -5.00% -6.00% -7.00% -8.00% Cash

Brokerage Banking Telecomm

Services Non-

Utility

Cyclical

Basic Industry

Capital Goods

Consumer Consumer NonCyclical Cyclical

Media

Services Cyclical

Energy

Technolog Finance & y& Investmen Insurance Electronic

t

Real Estate

TOTAL

Sector Effect

-6.59%

-0.19%

-0.56%

0.76%

0.23%

0.45%

-0.05%

0.01%

0.13%

-0.09%

0.05%

-0.31%

0.32%

-0.06%

-0.06%

0.89%

-0.24%

-5.40%

Stock Effect

0.00%

-0.29%

-1.76%

-0.61%

-0.29%

-0.04%

-0.73%

-0.37%

0.13%

-0.49%

-0.21%

0.12%

0.96%

-0.19%

0.03%

-0.43%

0.27%

-2.47%

Interaction Effect

-0.15%

0.29%

1.57%

0.36%

0.15%

-0.03%

0.33%

0.32%

0.07%

0.68%

0.16%

-0.08%

-0.79%

0.18%

-0.10%

-0.45%

-0.20%

0.83%

Active Effect

-6.75%

-0.19%

-0.76%

0.50%

0.09%

0.37%

-0.45%

-0.03%

0.33%

0.10%

-0.01%

-0.28%

0.48%

-0.07%

-0.13%

0.01%

-0.17%

-7.04%

Fund Weight

23.92%

0.00%

2.43%

4.50%

7.04%

3.30%

8. 35%

2.47%

4.60%

7.74%

5.14%

13.42%

6.68%

3. 57%

2.29%

4.17%

0.36%

100.00%

Index Weight

0.01%

0.35%

6.80%

10.15%

6.90%

7.52%

9. 03%

6.55%

5.53%

8.44%

6.66%

12.41%

11.42%

3. 94%

1.39%

1.43%

1.47%

100.00%

Fund R eturn

1.75%

0.00%

5.66%

7.17%

10.41%

14.73%

20. 58%

21.32%

22.27%

25.75%

26.35%

30.88%

31.82%

43. 78%

45.64%

49.08%

82.93%

17.38%

Index R eturn

0.00%

107.17%

37.07%

14.30%

15.31%

15.60%

30. 48%

28.33%

19.39%

33.47%

30.63%

29.91%

21.25%

50. 93%

45.23%

94.32%

55.35%

26.07%

T OP C O NT R IB UT IONS B Y SE C T OR SEC TOR Telecomm. Energy Utility C onsumer Non-Cyclical C onsumer Cyclical

A VE R A GE WE IGHT 4.50% 6.68% 3.30% 4.60% 7.74%

B OT T OM C ONTR IB UT IO NS B Y SEC TOR SEC TOR C ash B anking B asic Industry Services C yclical B rokerage R E T UR N B R EA KDOWN

A VE R A GE WE IGHT 23.92% 2.43% 8.35% 13.42% 0.00%

ITD thro ugh 10/31/09 R E T UR N 7.17% 31.82% 14.73% 22.27% 25.75%

C O NT R IB UTION 0.50% 0.48% 0.37% 0.33% 0.10%

ITD thro ugh 10/31/09 R E T UR N 1.75% 5.66% 20.58% 30.88% 0.00%

C O NT R IB UTION -6.75% -0.76% -0.45% -0.28% -0.19%

J PMRP

M L HY C o nstrained

P rice Return

13.80%

21.79%

Interest R eturn Total Return

3.60% 17.78%

4.58% 27.18%

T OP C ONT R IB UT IONS B Y HOLD INGS ISSUER NA M E A DVA NCED M ICR O DEVICES INC EL P A SO CORP GENWORTH FINA NCIAL INC CHESA P EA KE EN ERGY CORP RAINB OW NATL S R VCS LLC

A VE R A GE WEIGHT 72.15% 18.01% 51.60% 0.00% 12.98%

B OTT OM C ONT R IB UT IONS B Y HOLDINGS A VE R A GE ISSUER NA M E WEIGHT A M ERICA N INTER NATIONA L GROUP I 0.22% FIRST DATA COR P 0.00% HAR RA H'S ENTE RTAINM ENT INC 1.43% TEXAS COM P ELE C HOLD LLC 1.58% UA L CORP 2.28%

IT D thro ugh 10 /31/09 R ET UR N 72.15% 18.01% 51.60% 0.00% 12.98%

C ONT R IB UTION 0.32% 0.30% 0.24% 0.24% 0.24%

IT D thro ugh 10 /31/09 R ET UR N 26.85% 0.00% 26.49% 13.45% 9.87%

C ONT R IB UTION -0.56% -0.29% -0.25% -0.24% -0.23%

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - October 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

A ug

Sep

Oct

J P MRP

1.10%

0.87%

ML HY Constrained

7.11%

3.25%

YTD

5.52%

2.14%

5.10%

1.96%

17.78%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erfo rmance by S ecto r fo r Octo be r 2009

0.25%

0.20%

0.15%

0.10%

0.25%

0.05%

0.20%

0.00% 0.15%

-0.05% 0.10%

-0.1 0% 0.05% 0.00% -0.15%

-0.05%

-0.20% Co nsumer Cyclical

Consumer NonCyclical

Energy

F inance & Investment

Insurance

M edia

Real Estate

Services Cyclical

0.02%

0.01%

0.00%

0.00%

-0.01%

0.18%

0.00%

-0.01%

-0.02%

0.01%

-0.01%

0.03%

0.02%

0.15%

-0.05%

-0.09%

0.03%

-0.01%

0.00%

0.01%

0.16%

-0.03%

0.06%

-0.02%

-0.02%

-0.05%

-0.09%

-0.17%

-0.02%

0.00%

0.00%

0.00%

0.01%

0.00%

0.03%

0.01%

-0.01%

0.00%

0.01%

0.03%

0.18%

CASH

Banking

Basic Industry

Brokerage

Asset Allocation -0.15%

-0.02%

-0.08%

0.00%

0.00%

Security Selection

-0.01%

-0.05%

-0.01%

0.00%

0.01%

0.00%

0.03%

-0.10%

Interaction-0.20% Effect Active Effect

0.08%

0.02%

0.04% CASH

-0.1 0% Banki ng

Fund Weight

1.63%

2.61%

Asset Alloc ation

-0.02% 0.00%

Security Selection

-0.01%

Interaction Ef f ect

Index R eturn

Index Weight Fund R etur n

ActiveEf f ect

Basic 0.00% Brokerage 0.00% Industry

Capital Go ods

Services NonCyclical

Consumer Services Technology Capital er 0% Financ e-0.01 & Services 0.00% Consum -0.1 -0.01% % 0.19%Media 0.1Real 6% Estate-0.01 % 0.05% -0.02% Non-0.03% Energy Insurance Non- -0.02% & Telecomm. 0.00% Utility Goods Cyclical Investment Cyclical C yclical C yclical Electronics 2.69% 11.40% 4.72% 8.90% 3.46% 6.37% 7.84% 0.26% 15.39% 9.12% 3.81% 7.06%

10.70%

0.00%

-0.08% 6.59%

0.00% 10.31%

0.00% 0.27%

0.02% 6.96%

0.01% 8.38%

0.00% -0.02%12.79% 0.01% 5.22% 0.00% 10.83% -0.01% 1.88% 0.18% 2.00% 0.00% 6.96%-0.01% 1.56%

-0.05%

-0.01%

0.00%

-0.05%

-0.09%

0.03%

-0.01%

0.00%

0.01%

0.16%

0.08%

0.02%

0.01%

0.00%

0.03%

-0.02%

0.00%

0.00%

0.00%

0.01%

0.00%

0.04%

-0.10%

0.00%

0.00%

0.00%

-0.10%

0.03%

-0.01%

-0.01%

0.19%

0.16%

-0.41% 0.00%

2.73% 3.49%

2.19%

2.34%

0.00% 0.66%

0.63% 1.35%

1.26%

2.35%

T O P C O N T R IB UT IO N S B Y S E C T O R SEC TOR Ins urance M edia

A VE R A G E WE IG H T 6.37% 7.84%

Technolo g y& Telecomm. Electronics

1.81%

1.24%

1.87% 1.92%

A s o f 10/ 31/ 09 R E T UR N 6.19% 4.27%

C O N T R IB UT IO N 0.19% 0.16%

1.18% 1.12%

6. 19%

5.93%

-0.03%

0.06%

- 0.02%

6.41-0.01% % -0.02%

0.03% 4.12% -0.05%

0.02% 9.36% -0.09%

Utility

-0.03% Totals 4.04%

Totals

0.17% 100.00%

0.15% 100.00% 6.35% -0.17%

4.27%

-0.04%

1.25%

1.77%

3.18%

-0.29%

-0.73%

1.96%

1.98%

2.31%

0.74%

2.08%

3.65%

0.24%

0.69%

1.79%

0.03%

-0.01%

0.01% 0.05%

- 0.01% - 0.02%

0.00%

-0.02%

0.01% 0.00%

0.03%

-0.03%

T O P C O N T R IB U T IO N S B Y H O L D IN G S IS S UE R N A M E IN G B A N K N V S P R IN T N E XT E L C OR P

0.18% 0.17%

A s o f 10 / 31/ 09

A VE R A GE WE IG H T 0.67% 0.00%

R E T UR N 27 .93% 0.00%

C O N T R IB UT IO N 0.13 % 0.09 %

S ervices C yclical

15.39%

1.25%

0.05%

C H A R T E R C OM M UN IC A T ION S IN C

1.95%

6.93%

0.07 %

C A SH C o nsume r N o n-C yclical

1.63% 4.72%

-0.41% 1.81%

0.04% 0.03%

LIB E R T Y M E DIA L LC G E N WOR T H F IN A N C IA L IN C

1.16% 2.13%

8.51% 4.82%

0.07 % 0.06 %

B O T T O M C O N T R IB UT IO N S B Y S E C T O R

A s o f 10/ 31/ 09

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S

A VE R A G E WE IG H T 2.61% 11.40%

R E T UR N 2.73% 1.26%

C O N T R IB UT IO N -0.10% -0.10%

Utility

4.04%

-0.73%

-0.03%

G M A C LLC

T echno lo gy & E lectro nics S ervices N o n-C yclical

3.81% 9.12%

3.18% 1.77%

-0.02% -0.02%

OS I R E S T A UR A N T VE N T A S IN C

SEC TOR B anking C o nsume r C yclical

R E T UR N B R E A K D O WN

J PMRP

M L H Y C o ns trained

P rice R et urn

1.30%

1.09 %

Interes t R eturn

0.66%

0.71%

T o tal R et urn

1.96%

1.80 %

IS S UE R N A M E H E LLA S II B LOC K B US T E R IN C

A VE R A GE WE IG H T 0.13% 1.28%

A s o f 10 / 31/ 09 R E T UR N -48 .39% -4 .17%

C O N T R IB UT IO N -0.08 % -0.07 %

1.04%

1.2 7%

-0.05 %

1.07% 1.42%

-3 .05% -1.47%

-0.05 % -0.05 %

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - Septem b er 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

ML HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erf o rmance by Sect or for Septembe r 2009

0.40%

0.20%

0.00% 0.40%

-0.20% 0.20%

0.00% -0.40%

-0.20%

-0.60%

-0.40%

-0.80% -0.60%

-1.00% Brokerage

Capital Goods

Consumer Cyclical

Consumer NonCyclical

Energy

-0.01%

-0.01%

0.01%

-0.01%

0.02%

0.05%

-0.10%

-0.02%

-0.12%

0.14%

0.07%

0.14%

CASH

Banking

Basic Industry

Asset Allocation

-0.33%

-0.15%

-1.00% Security Selection

0.00%

-0.21%

Interaction Effect

0.04% CASH

-0.80%

Active Effect

-0.29%

Finance & Investment

Services Cyclical

Services No nCyclical

-0.08%

0.01%

-0.06%

0.00%

0.23%

-0.07%

-0.04%

-0.07%

Insurance

M edia

Real Estate

0.06%

0.25%

0.00%

-0.02%

-0.06%

-0.19%

Consumer Ser vices Technology Basic er Finance-0.02% & 0.13% -0.01%Br okerage 0.02% Capital 0.07%Consum 0.02% -0.03% % Estate-0.1Services 9% -0.02% 0.00% Banking Non--0.01%Energy Insurance-0.13% Media 0.01 Real Non- -0.02% & Telecomm. Industry Goods Cyclical Investment Cyclical Cyclical -0.1 Electronics -0.23% -0.11% -0.01% -0.04% 0.16% Cyclical 0.07% 0.16% 0.02% 0.06% -0.18% -0.04% -0.08% 2% -0.06%

Asset ation F undAlloc Weight

-0.33% 5.23%

-0.15% 2.56%

-0.01% 10.04%

-0.01% 0. 00%

0.01% 0.01% 15. 63% -0.06% 9.34% 0.00% 3.11% -0.01% 9. 85% 0.02% 4.45% 0.05% 8.56% 0.06% 3.31% 0.25%6.31%0.00% 6.69%-0.08% 0.32%

Security Selection

0.00% 0.00%

-0.21% 6.47%

-0.10% 9. 51%

-0.02% 0. 27%

-0.12% 7. 31%

0.14% -0.07% 12. 81-0.04% -0.07% 8. 46% 0.07% 5.32% 0.14% 10.94% -0.02% 1.92% -0.06%1.93%-0.19%6.90%0.23% 1.51% % 6.58%

Interaction Ef f ect

0.04%

0.13%

-0.01%

0.02%

0.07%

0.02%

- 0.01%

-0.03%

-0.02%

-0.13%

0.01%

ActiveEf f ect

-0.29%

-0.23%

-0.11%

-0.01%

-0.04%

0.16%

0.07%

0.16%

0.02%

0.06%

-0.18%

I ndex Weight F und Re tur n

I ndex R eturn

0.92% 0.00%

6.35% 9.78%

3.78% 4.87%

0. 00% 8. 54%

4. 02% 5. 73%

7. 36% 5. 58%

T OP C O NT R IB UT IONS B Y SEC T OR SEC TOR Energy C onsumer Cyclical C onsumer Non-Cyclical Insurance F inance & Investment

A VE R A GE WE IGHT 8.56% 9.85% 4.45% 6.31% 3.31%

SEC TOR C ASH B anking M edia Services N on-Cyclical B asic Industry R E T UR N B R EA KDOWN

A VE R A GE WE IGHT 5.23% 2.56% 6.69% 9.34% 10.04%

5.40% 4.08%

5.59% 4.21%

A s o f 9/30/ 09 R E T UR N 5.59% 7.36% 5.40% 9.00% 9.94%

B OT T OM C ONTR IB UT IO NS B Y SEC TOR

P rice Return Interest R eturn Total Return

Technolog y& Telecomm. Electronics

C O NT R IB UT ION 0.16% 0.16% 0.07% 0.06% 0.02% A s o f 9/30/ 09

R E T UR N 0.92% 6.35% 3.66% 3.11% 3.78%

C O NT R IB UT ION -0.29% -0.23% -0.18% -0.12% -0.11%

J PMRP

M L HY C o nstrained

3.93% 1.17% 5.10%

5.25% 0.75% 6.00%

9.94%

10.96%

9.00%

12.08%

-0.19%

-0.02%

-0.04%

-0.08%

3.66% 6.53%

29.91% 12.90%

-0.02%

5. 71%

-0.12%

6. 29%

0.00%

3.11%

-0.06%

3.80%

Utility

T otals

0.03%

0.01%

-0.21%

-0.23%

-0.01%

-0.55%

0.09% Utility

0.00% Totals

-0.05%

-0.11%

0.00%

0.01% 6.25%

-0.21% 4.08%

100. 00%

4.1-0.23% 8%

-0.01% 9.37%

-0.55% 6.53%

100. 00%

0.09%

6.27%

-0.11%

8.02%

0.00%

2.34%

0.00%

4.90%

T OP C ONTR IB UT IONS B Y HOLD INGS ISSUER NA M E OP TI CANADA IN C NUVEEN INVESTM ENTS INC GENWOR TH F INA NCIAL INC B EAZER HOM ES USA A DVA NC ED M ICR O DEVIC ES INC

A VE R A GE WE IGHT 0.84% 1.39% 2.59% 0.53% 0.42%

-0.05%

5.44%

-0.81%

5.60%

5. 13% 5. 98%

A s of 9/30/09 R ET UR N 20.47% 13.24% 9.08% 24.07% 13.68%

B OT T OM C ONT R IB UT IONS B Y HOLDINGS A VE R A GE ISSUER NA M E WE IGHT A M ERICA N INTER NA TIONAL GROUP I 0.52% HARRAH'S ENTE RTA INM ENT INC 1.64% C HA RTER COM M UNICA TIONS INC 1.63% TEXA S COM P ELE C HOLD LLC 2.15% LLOYDS TSB GRO UP P LC 0.00%

-0.81%

0.03% 4.25%

C ONT R IB UTION 0.09% 0.08% 0.07% 0.06% 0.05% A s of 9/30/09

R ET UR N 11.15% 4.17% 0.68% 4.19% 0.00%

C ONT R IB UTION -0.09% -0.09% -0.08% -0.07% -0.06%

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - August 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

A ug

Sep

Oct

J P MRP

1.10%

0.87%

ML HY Constrained

7.11%

3.25%

YTD

5.52%

2.14%

5.10%

1.96%

17.78%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erfo rmance by S ec tor fo r A ugus t 2009

0.80%

0.60%

0.40%

0.20% 0.80%

0.00% 0.60%

0.40%

-0.20% 0.20%

-0.40% 0.00%

-0.60% -0.20%

Fund Weight

-0.16% 5.41%

0.03%

-0.07%

0.01%

0.00%

0.00%

0.00%

0.01%

0.00%

-0.04%

-0.09%

-0.13%

-0.01%

-0.02%

0.04%

-0.01%

0.01%

0.01%

0.00% -0.01%

0.00%

0.15%

-0.04%

-0.15%

CASH

0.00%

Consumer Cyclical

Security Selection Active Effect

Finance & Investment

Capital Goods

Asset Allocation Interaction-0.60% Effect

Energy

Brokerage

Banking

-0.40%

Consumer N onCyclical

Basic Industry

CASH

Services Cyclical

Services NonCyclical

-0.05%

0.01%

-0.05%

0.00%

0.07%

0.14%

0.50%

0.02%

0.08%

0.07%

0.17%

-0.18%

-0.02%

-0.14%

-0.01%

0.02%

0.03%

0.00%

0.07%

0.01%

-0.26%

Insurance

M edia

Real Estate

0.02%

0.56%

0.00%

0.00%

-0.18%

0.07%

-0.01%

-0.41%

0.01%

Consumer Services Technology Basic er 5% Financ e & Services Telecomm -0.13% Brokerage 0.00% Capital -0.06%Consum0.1 -0.07%Energy0.04% 0.01% -0.03% 0.08% -0.05 % 0.11% 0.04%& 0.17% un -0.04% NonInsurance Media Real Estate NonUtility Industry Goods Cyclical Investment Cyclical ications Cyclical Electronics 4.13% 3.37% 10. 15% 0.00% 3.33% 8.64%C yclical 5.28% 8. 92% 2.64% 5.22% 6.66% 0.70% 16.21 % 9.35% 5. 90%

-0.09%

Banki ng

Asset Alloc ation Index Weight

-0.15% 0.00%

-0.04% 6.48%

0.01% 9.25%

0.00% -0.05% 1.41% 0.01% 12.95% - 0.05% 6.59% 0.00% 0.51% -0.04% 6.97% 0.00% 8.46% 0.00% 5.29% 0.03% 11. 27%0.02% 2.01%0.56% 1.53%0.00% 6.65%

Security Selection

0.00%

-0.09%

-0.13%

-0.01%

Interaction Ef f ect

-0.01%

0.04%

-0.01%

ActiveEf f ect

-0.16%

-0.09%

-0.13%

Fund R eturn

Index Return

-0.12% 0.00%

Techno lo g Telecommu y& nicatio ns Electronics

2.25% 3.67%

1.38%

2.80%

-0.02%

0.15%

0.01%

0.01%

0.00%

-0.06%

0.00% 1.14%

2.96% 3.32%

- 0.07%

0.01%

0.00%

-0.18%

0.07%

0.00%

0.00%

0.00%

-0.01%

-0.41%

0.01%

0.15%

- 0.07%

0.04%

0.01%

-0.03%

0.08%

4.07%

T O P C O N T R IB UT IO N S B Y S E C T O R SEC TOR T echno lo gy & E lectro nics C o nsume r C yclical Utility S ervices C yclical M edia

2.25%

0.22% 1.48%

0. 92% 0. 87%

A s o f 8/ 31/ 09

A VE R A G E WE IG H T

R E T UR N

C O N T R IB UT IO N

4.13% 8.64% 4.11% 16.21% 6.66%

7.58% 4.07% -3.39% 2.85% 4.34%

0.17% 0.15% 0.12% 0.11% 0.08%

B O T T O M C O N T R IB UT IO N S B Y S E C T O R

A s o f 8/ 31/ 09

6.67% 6.72%

6.72%

18.69%

0.02%

4.34%

-0.01%

3.27%

0.08%

10.47%

-0.05%

0.02%

9.28%

0.11%

0.07%

2.85%

0.03%

2.20%

0.04%

0.17%

1.02%

0.00%

0.01%

0.17%

IS S UE R N A M E OP E N S OLUT ION S IN C S P R IN T N E XT E L C OR P A DVA N C E D M IC R O DE VIC E S IN C G E N WOR T H F IN A N C IA L IN C C LA R K E A M E R IC A N C OR P

C o nsume r N o n-C yclical C apital G o o ds

5.28% 3.33%

0.22% 2.96%

-0.07% -0.06%

IN T E R N A T ION A L P A P E R C O R IT E A ID C OR P

1.31% 0.76 %

T o tal R et urn

2.14%

2.07 %

-0.26%

-3.08%

0.10%

2.17% 2.06%

A s o f 8 / 31/ 09

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S

H E LLA S II 0.30% C LE A R C H A N N E L C OM M UN IC A T ION S I0.00%

0.65%

100.00%

-0.14%

0.09 % 0.09 % 0.08 % 0.08 % 0.06 %

-0.13% -0.09%

Interes t R eturn

0.50% 6.95%

-3.39%

C O N T R IB UT IO N

1.38% 2.25%

M L H Y C o ns trained

0.12%

100.00%

35 .61% 0.00% 11.65% 5.58% 13 .39%

10.15% 3.37%

1.49%

0.01%

-0.06%

0.10%

4.11%

R E T UR N

B asic Indu stry B anking

J PMRP

-0.04%

-0.02%

0.1 2% Totals

0.31% 0.00% 0.93% 2.53% 0.55%

C O N T R IB UT IO N -0.16%

P rice R et urn

0.07%

3.19%

0.14% 9. 55%

-2.00%

Totals

A VE R A GE WE IG H T

R E T UR N -0.12%

R E T UR N B R E A K D O WN

-0.18%

T O P C O N T R IB U T IO N S B Y H O L D IN G S

A VE R A G E WE IG H T 5.41%

SEC TOR C A SH

0.07% 4.13%

7.58%

Utility

A VE R A GE IS S UE R N A M E WE IG H T A M E R IC A N IN T E R N A T ION A L G R OUP I 0.22%

1.14% 2.84%

A s o f 8 / 31/ 09 R E T UR N 8.67%

C O N T R IB UT IO N -0.29 %

-36 .85% 0.00%

-0.11% -0.09 %

-3 .27% -0 .24%

-0.06 % -0.05 %

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - July 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

ML HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erfo rmance by Secto r fo r J ul y 2009

0.60%

0.40%

0.20%

0.00%

0.60%

0.40% -0.2 0%

0.20%

-0.40% 0.00%

-0.60% -0.20%

-0.80% -0.40%

-1.00% CASH

Banki ng

Basic Industr y

Brokerage

Capital Goods

Consumer Cyclical

Consumer NonCyclical

Energy

-0.80% Asset Allocation

-0.78%

0.19%

-0.01%

0.07%

0.00%

-0.05%

0.00%

Secur itySelection

0.00%

0.12%

-0.02%

0.04%

0.06%

0.14%

0.13%

Interaction-1.00% Effect

-0.08%

-0.06%

0.00%

-0.04%

-0.03%

-0.03%

0.01%

Active Effect

-0.85% CASH

0.2ng 5% Banki

-0.60%

Fund Weight

15.98%

3.56%

Basic -0.02% Brokerage 0.07% Industry

9.11%

0.00%

Finance& Investment

Insur ance

0. 02%

0.00%

0. 05%

-0. 06%

-0.02%

-0. 03%

3.25%

6.60%

5.81%

7.46%

2.31%

3.34%

0.07%

0.00%

-0.05%

0.00%

0.02%

0.00%

-0.05%

Fund Return

-0.02%

0.04%

0.06%

0.14%

0.13%

0.05%

-0.06%

0.02%

Interaction Ef f ect

-0.08%

-0.06%

0.00%

-0.04%

-0.03%

-0.03%

0.01%

-0.02%

-0.03%

Index Ret urn

-0.85%

ActiveEf f ect

0.00%

-0.04%

0.25%

7.27% 7.45%

-0.02%

0.00%

-6.41%

0.07%

T OP C O NT R IB UT IONS B Y SEC T OR A VE R A GE SEC TOR WE IGHT B anking 3.56% C onsumer Non-Cyclical 5.81% B rokerage 0.00% C onsumer Cyclical 6.60% Telecomm. 5.97% B OT T OM C ONTR IB UT IO NS B Y SEC TOR A VE R A GE SEC TOR WE IGHT C ASH 15.98% Services C yclical 14.44% F inance & Investment 2.31% M edia 5.27% Services N on-Cyclical 8.63% R E T UR N B R EA KDOWN

Technology & Tel ecomm. Electronics

-0.03%

-0.04%

-0.01%

0.01%

Utility

Totals

0.00%

-0.02%

-0. 62%

0.07%

0.12%

0. 48%

-0.03%

-0.06%

-0. 42%

Consumer Technology Capital &. 09% Services -0.14Services 0.03% Consum 0er .07% Non-0.13% Energy 0. 05%Financ e-0 -0.03%Media -0.08% 0.05% %Non- -0.05% & -0.0 4% m. 0.05Utility % Insurance Real Estate Telecom Goods Cyclical Investment Cyclical C yclical Cyclical Electronics

-0.01%

1.56%

-0.04%

-0.01%

0.12%

- 0.35%

-0.01%

-0.03%

0.01%

0.19%

0.58%

-0.01%

-0.10%

-0.07%

0.00%

9.41%

0.00%

0.05%

0.00%

0.02%

-0.78%

7.09%

0.03%

-0.05%

Security Selection

0.00%

Services NonCyclical

Real Estate

Asset Alloc ation

Index Wei ght

Services Cyclical

Media

6.85% 6.97% 6.08%

0.03%

8.31%

11.05% 9.22%

0.07%

5.21%

7.65% 5.06%

0.13%

11.25%

M L HY C o nstrained 5.30% 0.81%

Total Return

5.52%

6.11%

0.00%

1.46%

-0.10%

-0.01%

12. 76%

-0.03%

-0.01%

6. 67%

-0.04%

0.00%

3. 92%

0.07%

5.97%

-0.02%

9.25%

0.12%

0.0Totals 5% 3.60% -0.62%

6.95%

0.48%

-0. 55% 100. 00% 100. 00%

6.75%

5. 49%

5. 22%

13.43%

6.79%

8.83%

5. 51%

5.48%

3.73%

3.00%

6.66%

2.78%

6. 34%

5.71%

14.44%

5.95%

6.94%

6. 09%

C O NT R IB UT ION -0.85% -0.14% -0.09% -0.08% -0.05%

4.89% 0.63%

0.05%

4. 06%

5.59%

C O NT R IB UT ION 0.25% 0.13% 0.07% 0.07% 0.05%

J PMRP

0.03%

6.62%

8. 63%

4.12%

0.05%

P rice Return Interest R eturn

-0.07%

14. 44%

0.72%

A s o f 7/31/ 09 R E T UR N -0.35% 5.49% 0.72% 5.59% 5.22%

0.00%

1.58%

0.63%

5.94%

A s o f 7/31/ 09 R E T UR N 1.56% 7.65% 0.00% 11.05% 6.79%

2.10%

5.27%

-0.09%

0.01%

-0.01%

-0.03%

-0.08%

-0.03% 0.05%

-0.04% -0.14%

-0.01% -0.05%

0.01%

-0.04%

T OP C ONTR IB UT IONS B Y HOLD INGS A VE R A GE ISSUER NA M E WE IGHT A DVA NC ED M ICR O DEVIC ES INC 0.97% A CCO BR ANDS C ORP 0.46% INTERNA TIONA L P A P ER CO 1.12% OSI R ESTAUR ANT 0.90% E*TRA DE FINANC IA L CORP 0.00%

-0.03% 0.05%

-0.06% 0.05%

-0.42% -0.55%

A s o f 7/31/09 R ET UR N 29.38% 35.85% 15.61% 13.98% 0.00%

B OT T OM C ONT R IB UT IONS B Y HOLDINGS A VE R A GE ISSUER NA M E WE IGHT R ET UR N UA L C OR P 2.85% -2.36% F IRST DA TA C OR P 0.00% 0.00% TEXA S COM P ELE C HOLD LLC 1.58% 11.27% US A IRWA YS GRO UP INC 1.58% 0.17% GENWOR TH F INA NCIAL INC 2.14% 3.06%

C ONT R IB UTION 0.19% 0.11% 0.10% 0.07% 0.07% A s o f 7/31/09 C ONT R IB UTION -0.23% -0.14% -0.11% -0.09% -0.07%

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - June 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

J PM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

ML HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erformance by Secto r fo r J une 2009

1.00%

0.50%

0.00%

1.00% -0.5 0%

0.50%

-1.00% 0.00%

-1.50% -0.50%

-2.00% -1.00%

-2.50% -1.50% CASH -2.00%

Banking

Basic Industry

Brokerage

Capital Goods

Consumer Cyclical

Consumer No nCyclical

Energy

Finance & Investment

Insurance

M edia

Real Estate

Services Cyclical

Services NonCyclical

Technolog y& Teleco mm. Electronics

Utility

Totals

Asset Allocation

-1.83%

0.23%

-0.02%

-0.20%

-0.04%

0.01%

0.02%

-0.02%

-0.06%

0.09%

-0.01%

-0.05%

0.01%

0.07%

-0.06%

0.22%

-0.06%

-1.71%

Security Selection

0.00%

-0.60%

-0.22%

-0.21%

0.16%

0.00%

-0.01%

0.06%

0.10%

-0.07%

-0.07%

0.16%

0.13%

-0.15%

-0.16%

-0.04%

0.08%

-0.86%

-0.10%

0.50%

0.08%

0.21%

-0.13%

0.01%

0.01%

-0.07%

-0.06%

-0.07%

0.03%

-0.15%

-0.02%

0.06%

0.05%

0.02%

-0.12%

0.24%

-1.93% CASH

0.1 2% Banki ng

Interaction-2.50% Effect Active Effect Fund Weight

Consumer Services Technology Basic Capital Consumer Financ e & Services -0.16% Brokerage -0.20% -0.01% 0.02% Non-0.02% Energy-0.04% -0.02% -0.05% % Estate-0.05% 0.12% -0.1 8% m. 0.21 % Media -0.05 Real Non- -0.02% & Telecom Utility Industry Goods Cyclical Investment Insurance Cyclical C yclical 3.40% Electronics 3.19% 1.63% 6.42% 0.00% 1.68% 5. 50%C yclical4. 84% 3.80% 1.38% 2.52% 2.72% 0.17% 12.06% 0.76%

46. 99%

Asset Alloc ation Index Weight

-1.83% -0.02%10.96% -0.06% 2.36% 0.09% 1.47% -0.01% 6.51-0.05% 0.01% 12.69% 0.07% 0. 00% 0.23% 7.19% -0.02% 9.54% -0.20% 0.37% -0.04% 6.81% 0.01% 8. 38% 0.02%6. 96% % 1.40%

Security Selection

0.00%

-0.60%

-0.22%

-0.21%

0.16%

0.00%

-0.01%

0.06%

Interaction Ef f ect

-0.10%

0.50%

0.08%

0.21%

-0.13%

0.01%

0.01%

-0.07%

ActiveEf f ect

-1.93%

0.12%

-0.16%

-0.20%

-0.01%

0.02%

0.02%

-0.04%

Fund Retur n

Index Return

-0. 23% 0. 00%

-9.41%

-0.90%

1.35%

3.72%

0.00%

59.78%

6.59% 4.18%

2. 85%

T O P C O N T R IB UT IO N S B Y S E C T O R

2. 83%

2. 24% 2. 48%

R E T UR N 0.36% -9.41%

S ervices C yclical

12.06%

3.29%

0.12%

C o nsume r N o n-C yclical C o nsume r C yclical

4.84% 5.50%

2.24% 2.85%

0.02% 0.02%

B O T T O M C O N T R IB UT IO N S B Y S E C T O R

-0.06%

3.55%

A s o f 6/ 30/ 09

A VE R A G E WE IG H T 0.76% 1.63%

SEC TOR T eleco mm . B anking

0.10%

4.06%

C O N T R IB UT IO N 0.21% 0.12%

A s o f 6/ 30/ 09

-0.02%

-0.07%

8.75%

-0.07%

4.63%

-0.05%

-0.07%

8.20%

0.03%

13.31%

-0.05%

0.16%

2.79%

0.13%

19.46%

-0.15%

3.84%

-0.05%

-0.02%

7.81%

0.12%

-0.15%

3.29%

0.06%

2.28%

-0.02%

-0.06% 6.75% -0.16%

-0.75%

0.05%

1.57%

-0.18%

0.22% 3.82% -0.04%

3.39%

0.02%

7.79%

0.21%

-0.06% 9.38% 0.08%

0.36%

-0.12%

0.70%

-0.11%

T O P C O N T R IB U T IO N S B Y H O L D IN G S

-0.11 % Totals 2.95%

-2.33% 100.00%

-1.71% 100.00% 6.96% -0.86%

5.08%

0.24%

4.01%

-2.33%

0.88% 3.26%

A s o f 6 / 30/ 09

A VE R A GE WE IG H T 0.18% 1.88%

R E T UR N 2.38% 8.74%

C O N T R IB UT IO N 0.13 % 0.08 %

C IT IG R OUP IN C

0.14%

0.40%

0.07 %

US A IR WA Y S GR O UP IN C A C C O B R A N D S C OR P

1.58% 0.39%

4.65% 22 .89%

0.07 % 0.06 %

IS S UE R N A M E G M A C LLC G E N WOR T H F IN A N C IA L IN C

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S

R E T UR N -0.23% 0.00%

C O N T R IB UT IO N -1.93% -0.20%

T echno lo gy & E lectro nics

3.19%

3.39%

-0.18%

T E XA S C OM P E LE C H OLD LLC

1.26%

6.88%

-0.10 %

B asic Indu stry Utility

6.42% 2.95%

1.35% 5.08%

-0.16% -0.11%

UN IVIS ION C OM M UN IC A T ION S H A R R A H 'S E N T E R T A IN M E N T IN C

0.00% 1.59%

0.00% -7 .13%

-0.07 % -0.07 %

SEC TOR C A SH B ro kerag e

R E T UR N B R E A K D O WN

J PMRP

M L H Y C o ns trained

P rice R et urn

0.52%

2.51%

Interes t R eturn

0.35%

0.77 %

T o tal R et urn

0.87%

3.28 %

A VE R A GE IS S UE R N A M E WE IG H T E *T R A D E F IN A N C IA L C OR P 0.00% A M E R IC A N IN T E R N A T ION A L G R OUP I 0.00%

A s o f 6 / 30/ 09

A VE R A G E WE IG H T 46.99% 0.00%

R E T UR N 0.00% 0.00%

C O N T R IB UT IO N -0.20 % -0.10 %

Brigade Capital Manage m ent LLC JPMorg an Retirem ent Plan - May 2009 F UND v s. INDE X

A bso lute R eturn fo r YT D thro ugh 10 /31/09

30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00%

M ay

J un

J ul

Aug

Sep

Oct

Y TD

JPM RP

1.10%

0.87%

5.52%

2.14%

5.10%

1.96%

17.78%

ML HY Constrained

7.11%

3.25%

6.12%

2.06%

5.99%

1.80%

26.33%

P E R F OR M A NC E A TT R IB UT ION

P erfo rmance by Secto r fo r M a y 2009

2.00%

1.00%

0.00%

2.00%

-1.00% 1.00%

-2.00% 0.00%

-3.00%

-1.00%

-4.00% -2.00% CASH

Banking

Basic Industry

Br okerage

Asset Allocation

-3.62%

-0.71%

-0.02%

Secur itySel ection

0.00%

-0.94%

-0.25%

Inter action-4.00% Effect

-0.06%

0.94%

0.25%

-3.00%

ActiveEffect Fund We ight Asset Alloc ation

Index Weight

-3.68%

CASH

-0.71%

Banki ng

82.60%

0.34%

Consumer NonCyclical

Energy

Finance & Investment

I nsurance

-0.07%

0.10%

0.24%

-0.07%

-0.83%

-0.02%

0.70%

0.01%

0.70%

0.07%

-0.66%

0.01%

Capital Goods

Consumer Cyclical

-0.06%

0.07%

-0.09%

-0.39%

0.09%

0.37%

Servi ces Cycli cal

-0.14%

0.06%

-0.07%

-0.31%

0.27%

0.01%

-0.14%

-0.12%

-0.16%

0.02%

-0.11%

-0.07%

0.13%

0.12%

0.16%

-0.04%

0.10%

0.12%

0.19%

0.11%

1.14%

0.34%

-3.70%

0.30%

100.00%

2.16%

0.00%

-0.94%

-0.25%

-0.09%

-0.39%

-0.83%

- 0.02%

0.70%

0.01%

-0.14%

-0.12%

-0.06%

0.94%

0.25%

0.09%

0.37%

0.70%

0.07%

-0.66%

0.01%

0.13%

0.12%

Index Return

-3.68%

-0.71%

-0.02%

-0.06%

0.05%

-0.19%

0.14%

0.28%

-0.05%

-0.15%

ActiveEf f ect

2.81%

17.50%

3.15% 6.13%

0.00%

25.38%

-1.27% 4.88%

-2.69%

T O P C O N T R IB UT IO N S B Y S E C T O R SEC TOR T eleco mm . Utility

Totals

0.39%

0.36%

-3.58%

-0.19%

-0.12%

-1.27%

Consumer Services Technology Capital er &.05% Services -0.34% 0.05% Consum -0 .19% 0.14% 0.28%Financ e-0 -0.15% 0.06% -0.07% 0.27% 0.06% 0.39% NonEnergy Insurance Media Real Estate Non& Telecomm. Utility Goods Cyclical Investment Cyclical C yclical C yclical Electronics 0.00% 0.20% 3.43% 1.80% 1.13% 0.13% 0.36% 0.57% 0.00% 4.60% 0.91% 1. 48% 0.00%

Interaction Ef f ect

0.00%

Uti lity

Basic -0.02% -0.06% Brokerage Industry

-3.62% -0.07% 1.47% -0.31% 12.41% 0.27% 0. 01% -0.71% 6.80% -0.02% 9.03% -0.06% 0.35% 0.07% 6.55% -0.07% 8.44% 0.10% 5.53% 0.24% 11.42%-0.07%1.39%-0.14%1.43%0.06% 6.66%

-0.05%

Technology & Telecomm. Electr onics

Real Estate

Security Selection

Fund Re turn

Servi ces NonCycli cal

Medi a

A VE R A G E WE IG H T 0.00% 0.30%

7.54%

3.29% 3.69%

10.16% 3.61%

A s o f 5/ 31/ 09 R E T UR N 0.00% -0.79%

C O N T R IB UT IO N 0.39% 0.34%

12.06% 11.76%

-0.16%

0.02%

- 0.11%

0.01% 6.90% -0.07%

0.39% 10.15% 0.36% 3.94% -0.19%

-0.12%

Totals

-3.58% 100.00% 7.52% -1.27%

7.12%

3.21%

0.00%

9.12%

-0.27%

3.93%

0.00%

- 0.79%

0.70%

18.16%

5.13%

11.08%

9.14%

1.35%

5.90%

1.94%

0.85%

4.51%

0.06%

0.16%

-0.07%

-0.04% -0.34%

0.10% 0.27%

0.12% 0.06%

0.19% 0.39%

0.11% 0.34%

T O P C O N T R IB U T IO N S B Y H O L D IN G S IS S UE R N A M E S P R IN T N E XT E L C OR P C H E S A P E A KE E N E R GY C OR P

1.14%

-3.70%

A s o f 5 / 31/ 09

A VE R A GE WE IG H T 0.00% 0.00%

R E T UR N 0.00% 0.00%

C O N T R IB UT IO N 0.12 % 0.10 %

E nergy

1.13%

10.16%

0.28%

H C A IN C

0.19%

-0 .21%

0.09 %

S ervices N o n-C yclical C o nsume r N o n-C yclical

0.91% 1.80%

-0.27% 3.29%

0.27% 0.14%

E L P A S O C OR P R A IN B OW N A T L S R VC S LLC

0.00% 0.00%

0.00% 0.00%

0.07 % 0.07 %

B O T T O M C O N T R IB UT IO N S B Y S E C T O R SEC TOR C A SH B anking

A VE R A G E WE IG H T 82.60% 0.34%

A s o f 5/ 31/ 09 R E T UR N -0.05% 2.81%

C O N T R IB UT IO N -3.68% -0.71%

B O T T O M C O N T R IB UT IO N S B Y H O L D IN G S IS S UE R N A M E H A R R A H 'S E N T E R T A IN M E N T IN C G M A C LLC

A s o f 5 / 31/ 09

A VE R A GE WE IG H T 0.24% 0.00%

R E T UR N 10 .72% 0.00%

C O N T R IB UT IO N -0.15 % -0.14 %

S ervices C yclical

4.60%

9.12%

-0.34%

C IT IG R OUP IN C

0.00%

0.00%

-0.14 %

C o nsume r C yclical Ins urance

3.43% 0.36%

-2.69% 7.12%

-0.19% -0.15%

A M E R IC A N IN T E R N A T ION A L G R OUP I 0.00% M G M M IR A G E IN C 0.80%

0.00% 3.60%

-0.12 % -0.11%

R E T UR N B R E A K D O WN

J PMRP

M L H Y C o ns trained

P rice R et urn

1.02%

4.67 %

Interes t R eturn

0.08%

0.70 %

T o tal R et urn

1.10%

5.38 %