EFTA01592294.pdf

Fund: Date: Highbridge Financial Trust Co. 9/30/2006 PORTFOLIO APPRAISAL Highbridge Capital Management As of 9/30/2006 Date: Page: User: 10/16/2006 1 of 2 asantos 4:41:16PM Quantity Symbol Symbol Description Highbridge - Financial Trust Co. Credit-suisse First Boston Long Bond 2,000 AFG 1.486 6/33 3,000 CBRL_0_4/32 625 CELG_1.75_6/08 700 CMS 3.375 7/23 2,250 CNP_3.75_5/23 1,000 CSX_0_10/21 1,052 EDO 4 11/25 1,600 HCC_-2_-9/21 125 LNG_2.25_8/12_144A 4,000 MAS 0 7/31 3,000 PPL_-2.-625_5/23 3,830 RPM 1.389 5/33 4,000 SVU:0_11/gl 500 UNS_4.5_3/35_144A 789 VCI_1.0843_5/33 Long Bond Total Long Future 28 FVZ6 Long Future Total Long Preferred Stock 75,000 GPM.N Long Preferred Stock Total Short Future -56 FVZ6 Short Future Total Short Stock -21,490 AFG.N -12,174 CBRL.O -51,000 CELG.O -59,867 CMS.N -169,249 CNP.N EFTA01592294 -32,038 CSX.N -18,345 EDO.N -29,450 GM.N -72,460 HCC.N -2,726 LNG.A -1,103 MAS.N -116,105 PPL.N -58,490 RPM.N -10,215 UNS.N Short Stock Total Entry Date: Effective Date: N/A N/A American Financial Group Inc Cracker Barrel Celgene Corp Cms Energy Corp Centerpoint Energy Csx Corp EDO CORPORATION General Motors Hcc Insurance Holdings Inc Cheniere Energy Inc Masco Corp Pp & L Resources Inc Rpm Inc/ohio Unisource Energy Corp Hld USD USD USD USD USD USD USD USD USD USD USD USD USD USD UST 5 YEAR T-NOTE FUT DE USD GM 6.25% 7/15/2033 USD UST 5 YEAR T-NOTE FUT DE USD American Financial 1.4861 % 6 Cracker Barrel 0 % 4/3/32 Celgene Corp 1.75% 6/1/2008 EFTA01592295 Cms Energy Corp 3.375% 7/15 Centerpoint Energy 3.75% 5/15 Csx Corp 0% 10/30/2021 EDO CORPORATION 4% 11/ Hcc Insurance 2% 9/01/2021 Cheniere Energy Inc 2.25% 8/1 Masco Corp 0% 7/20/2031 Pp&l Resources 2.625% 5/15/2 RPM International 1.389% 5/ Supervalu Inc 0% 11/02/2031 Unisource Energy Corp 4.5% 3/ Vaiassie Comm. 1.0843% 5/22/20 USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD 9.00 11/17/05 11.97 05/26/05 18.33 09/12/05 8.14 06/22/05 23.64 05/23/05 9.71 07/13/05 8.20 11/16/05 20.30 07/29/05 1.09 07/22/05 15.19 07/19/05 32.50 05/20/05 17.85 07/22/05 10.72 05/24/05 4.26 06/22/05 4.02 11/04/05 194.93 0.09 09/01/06 0.09 14.10 05/20/05 14.10 -0.19 05/31/06 -0.19 -8.26 11/17/05 -4.03 02/15/06 EFTA01592296 -18.06 09/12/05 -7.08 06/22/05 -19.84 05/23/05 -8.61 07/13/05 -3.44 11/16/05 -8.02 05/20/05 -19.51 07/29/05 -0.66 07/22/05 -0.25 09/15/06 -31.27 05/20/05 -9.09 07/26/05 -2.79 06/22/05 -140.91 105.1094 20.5960 105.1094 37.2049 41.7108 26.9749 14.8551 12.9527 26.8079 26.7333 32.9714 28.1037 32.2921 28.3548 28.9240 18.7060 30.0942 44.3340 48.6673 227.2140 149.9976 112.3623 89.0970 99.5955 131.4291 100.0000 47.1705 112.9454 55.3666 33.8480 99.5000 63.2531 886,680.00 1,460,020.00 1,420,087.50 1,049,983.40 2,528,150.75 890,970.00 EFTA01592297 1,047,744.50 2,102,866.20 125,000.00 1,886,820.00 3,388,362.00 2,120,539.70 1,353,920.00 497,500.00 499,066.63 21,257,710.68 2,943,062.50 2,943,062.50 1,544,700.00 1,544,700.00 -5,886,125.01 -5,886,125.01 -799,533.43 -507,787.39 -1,375,720.24 -889,333.07 -2,192,224.49 -858,870.99 -490,422.31 -971,008.32 -2,036,393.32 -88,028.20 -31,275.37 -3,358,225.96 -1,094,111.60 -307,412.54 -15,000,347.23 105.5156 22.9700 105.5156 46.9300 40.4250 43.2650 14.4400 14.3200 32.8300 22.8800 33.2600 32.8800 29.7100 27.4200 32.9000 18.9900 33.3300 54.9770 48.7490 358.1924 EFTA01592298 142.0546 128.3492 118.6459 95.1570 155.0000 106.1176 46.3712 132.3377 56.9396 32.7400 103.9479 62.2500 1,099,540.18 1,462,469.00 2,238,702.37 994,381.89 2,887,856.64 1,186,458.93 1,001,051.64 2,480,000.00 132,646.98 1,854,848.47 3,970,132.44 2,180,788.32 1,309,600.00 519,739.30 491,152.39 23,809,368.55 11,375.00 11,375.00 1,722,750.00 1,722,750.00 -22,750.00 -22,750.00 -1,008,525.70 -492,133.95 -2,206,515.00 -864,479.47 -2,423,645.67 -1,051,807.54 -419,733.60 -979,507.00 -2,382,484.80 -80,989.46 -30,244.26 -3,819,854.49 -1,110,725.09 -340,465.95 -17,211,111.98 212,860.18 2,449.00 EFTA01592299 818,614.87 -55,601.51 359,705.89 295,488.93 -46,692.86 377,133.80 7,646.98 -31,971.53 581,770.44 60,248.62 -44,320.00 22,239.30 -7,914.24 2,551,657.87 11,375.00 11,375.00 178,050.00 178,050.00 -22,750.00 -22,750.00 -208,992.27 15,653.44 -830,794.76 24,853.60 -231,421.18 -192,936.55 70,688.71 -8,498.68 -346,091.48 7,038.74 1,031.11 -461,628.53 -16,613.49 -33,053.41 -2,210,764.75 0.24 0.00 0.58 -0.05 0.14 0.33 -0.04 0.18 0.06 -0.02 0.17 0.03 -0.03 0.04 -0.02 0.11 EFTA01592300 0.00 1.00 0.12 0.10 0.00 1.00 -0.26 0.03 -0.60 0.03 -0.11 -0.22 0.14 -0.01 -0.17 0.08 0.03 -0.14 -0.02 -0.11 0.13 9,824.77 0.00 3,645.83 4,987.50 31,875.00 0.00 15,896.90 2,666.67 468.75 0.00 29,750.00 20,392.83 0.00 1,875.00 3,065.58 124,448.83 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EFTA01592301 -7,246.00 0.00 0.00 -31,928.88 0.00 -2,145.15 -41,320.03 Copyright (c) 2002-2003 Integrated Business Systems, Inc. Visual Portfolio Manager - Sql Server VPM0128 Deal Type Pct. CurrencyAssets Purchase Date Local Unit Cost Total Cost Local Market Price Market Value Unrealized Gain/Loss Pct. G/L Div/Int Accrual EFTA01592302 Fund: Date: Highbridge - Financial Trust Co. 9/30/2006 PORTFOLIO APPRAISAL Highbridge Capital Management As of 9/30/2006 Date: Page: User: 10/16/2006 2 of 2 asantos 4:41:16PM Quantity Symbol Symbol Description Credit-suisse First Boston Total Highbridge - Financial Trust Co. Total Total 68.03 68.03 Deal Type Pct. CurrencyAssets Purchase Date Local Unit Cost Total Cost 4,859,000.94 4,859,000.94 4,859,000.94 Local Market Price Market Value 8,309,631.57 8,309,631.57 8,309,631.57 Unrealized Gain/Loss 507,568.12 507,568.12 507,568.12 Pct. G/L EFTA01592303 0.06 0.06 0.06 Div/Int Accrual 83,128.80 83,128.80 83,128.80 Qty Account Trade Date Cash Summary Cost Total Cost 3,466,795.94 CSFB - HBFT - USD 268.53 CSFB - HBFT - CHF 91,222.09 CSFB - HBFT - GBP 117,931.46 CSFB - HBFT - EUR -30,567.90 CSFB - HBFT Futures - USD 8,407.83 CSFB - HBFT Futures - GBP 36,611.61 CSFB - HBFT Futures - EUR 0.56 CSFB SWAP - HBFT - USD -152.16 CSFB SWAP - HBFT - GBP 1.0000 0.8138 1.7433 1.2679 1.0000 1.8526 1.2098 1.0000 1.7960 3,466,795.94 218.54 159,024.61 149,530.60 -30,567.90 15,576.56 44,293.87 0.56 -273.28 3,804,599.50 Portfolio Summary Asset Long Inventory Value Trade Date Cash Inventory Value Accrued Fixed Income Interest Inventory V Accrued Margin Interest Accrued Margin Interest Unrealized FX Va Accrued Dividends Short Inventory Value Functional Value EFTA01592304 25,543,493.54 3,818,671.01 123,288.96 4,046.72 -1.78 -41,320.03 -17,233,861.98 12,214,316.44 Market Price 1.0000 0.7997 1.8718 1.2684 1.0000 1.8718 1.2685 1.0000 1.8718 Market Value 3,466,795.94 214.75 170,744.95 149,590.16 -30,567.90 15,737.36 46,440.00 0.56 -284.81 3,818,671.01 Unrealized Inv. 0.00 -3.79 11,720.34 59.56 0.00 160.80 2,146.13 0.00 -11.53 14,071.51 Entry Date: Effective Date: N/A N/A Copyright (c) 2002-2003 Integrated Business Systems, Inc. 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