EFTA01581842.pdf

HIGHBRIDGE - FINANCIAL TRUST NAV Gross NAV Ending Gross P&L NAV 920/05 Cash Contnbution 10,000,000 10,000,000 5/31/05 Month-end close 10,000,000 257,091 10,257,091 6/30/05 Month-end close 10,257,091 81,753 10,338,844 7131/05 Month-end close 10,338,844 182,639 10,521.483 8/31/05 Month-end close 10,521.483 (99.367) 10,422,116 9/30/05 Month-end close 10,422,116 217,528 10,639,644 10/31/05 Month-end close 10,639,644 406,604 11,046,248 11/30/05 Month-end close 11,046,248 (126.963) 10,919,285 12/31/05 Month-end close 10,919,285 161.948 11.081,233 1/31/06 Month-end close 11,081,233 382,729 11,463,962 2/28/06 Month-end close 11,463,962 6,337 11,470,299 3/31)06 Month-end close 11,470,299 190,888 11,661,187 4130/06 Month-end close 11,661.187 24.125 11,685.312 5/31/06 Month-end close 11.685.312 179,836 11,665,148 6130/06 Month-end close 11,865,148 (3,651) 11,861,497 7131/06 Month-end close 11,861,497 85,693 11,947,190 8131106 Month-end close 11,947,190 185,121 12,132,311 9130/06 Month-end close 12,132.311 95.189 12,227,500 NET NAV Contributions Net Financing 10% NAV After Incentive YID Net (Withdrawals) Starting P&L Incentive Fee P 8L 5120/05 Cash Contnbution 10,000.000 10,000,000 5/31/05 Month-end close 10,000.000 10,000,000 257,091 (25.709) 10.231.382 231.382 6/30/05 Month-end close 10,231,382 10,231,382 81.753 (8.175) 10,304.960 304.960 7131)05 Month-end close 10,304,960 10,304,960 182,639 (18,264) 10,469,335 469,335 8131/05 Month-end close 10,469,335 10,469,335 (99,367) 9,937 10,379,904 379,904 9130105 Month-end close 10.379,904 10,379,904 217,528 (21.753) 10.575.680 575.680 10/31/05 Month-end close 10,575,680 10,575,680 406,604 (40,660) 10.941,623 941.623 11/30/05 Month-end close 10,941,623 10,941,623 (126.963) 12,696 10,827,357 827,356 12/31/05 Month-end close 10,827,357 10,827,357 161,948 (16,195) 10.973,110 973,110 1/31106 Month-end close 10,973,110 10,973,110 382,729 (38,273) 11,317,566 344,456 2/26/06 Month-end close 11.317,566 11,317,566 6.337 (634) 11.323.269 350.159 3/31/06 Month-end close 11,323,269 11,323.269 190,888 (19,089) 11,495.068 521,959 4/30/06 Month-end close 11,495,068 11,495,068 (14,138) 1,414 11,482,344 509,234 5/31/06 Month-end close 11,482,344 11,482,344 179,836 (17,984) 11,644,197 671,087 6/30/06 Month-end close 11.644,197 11,644,197 1.558 (156) 11.645.599 672,489 7/31/06 Month-end close 11,645,599 11,645,599 105,563 (10,556) 11,740,605 767,496 8/31/06 Month-end close 11,740,605 11,740,605 185,121 (18,512) 11,907,214 934,105 9/30/06 Month-end close 11,907,214 11,907,214 95,189 (9,519) 11,992,884 1,019,775 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00061291 EFTA01581842