Strategic Partnership: Gvea Investimentos & Highbridge Capital Management

Presenters: Marcos Pinto, Partner, Gvea Investimentos Sebastian Echavarria, Managing Director, Highbridge Capital Management

Agenda

Overview of Relationship

Strategic Rationale
Initial Gains Challenges Evolution of Hedge Fund Industry

Overview of Relationship

Highbridge: Evolution of a Global Alternative Investment Management Organization

Quantitative Global Macro

Mezzanine Debt

Japanese Convertible Arbitrage Event Driven (Focus on Merger Arbitrage) 1994 1995 1996 European Convertible Arbitrage & European Event 1997 1998 1999 2000

Event broadened to include Relative Value

Long/Short Equities

Quantitative Commodities

Leveraged Loans & High Yield

Liquid Loan

US Convertible Arbitrage

Statistical Arbitrage

Asian Equities

Louis Dreyfus / Highbridge Energy 2006 2007

Growth Private Equity

Credit Opportunities

1992

1993

2001

2002

2003

2004

2005

2008

2009

2010

2011

Inception of Highbridge Capital Management Inception of Dubin & Swieca Asset Management

London office established

Hong Kong office established

Tokyo office established Principal Strategies Group established $27 Billion AUM(1) 473 Employees Strategic partnership with Gvea established

$1 Billion AUM 47 Employees

$2 Billion AUM 51 Employees

$5 Billion AUM 142 Employees

Strategic partnership with J.P. Morgan formalized

Asset Management business established

J.P. Morgan completes purchase of Highbridge

Highbridge today
Hedge Fund Business
AUM ($bn) Highbridge Multi-Strategy Long / Short Equity Statistical Arbitrage Quantitative Commodities Global Macro $6.5 1.8 1.1 0.4 0.2 Mezzanine Liquid Loan Opportunities2 Senior Loan II Constellation Growth Equity

Principal Strategies Business1

AUM ($bn) $2.1 0.9 1.1 0.3 0.5 0.7 $5.7

Total

$10.0

Global Alternative Asset Manager $28bn AUM

Leveraged Loan Partners Credit Opportunities Total

Asset Management Business

AUM ($bn) Market Neutral Funds Mutual Fund UCITS Long-Only Equities Quantitative Commodities Total $2.6 1.3 1.3 1.3 2.7 $6.5

Gvea3
AUM ($bn)

Hedge Fund Strategies

Longer Dated Funds Total

$2.9
4.3 $7.2

While HCM has certain governance and information rights regarding the operations of Gvea, and HCM provides back office services for Gvea, HCM does not have investment discretion over the assets managed by Gvea. Note: All figures as of May 23, 2011 unless noted. (1) Includes Multi-Strategy allocation of ~$890mm to HPS funds (2) Includes comingled funds. (3) As of May 1, 2011. Includes $1.4bn of closed commitments for GIF IV. Includes Multi-Strategy allocation of ~$200mm to Gvea Fund.

Overview of Gvea

Gvea was co-founded in August 2003 by Arminio Fraga and Luiz Fraga, who lead an experienced team of professionals across portfolio management, trading, macro and micro analyses, risk management and operations. Gvea has offices in Rio de Janeiro and So Paulo (Brazil), with a total staff of 104 as of December 2010. Gvea is currently one of the largest Brazilian alternative investment managers with approximately US$ 7.2 billion in assets under management, focused on two business lines: hedge funds and private equity.

Gvea maintains a dedicated private quity group (Gvea Investment Funds or GIF) comprised of 27 professionals led by Luiz Fraga and Christopher Meyn. Gvea has been one of the largest and most active participants in the private equity industry in Brazil and has a strong track record.

GIFs investment approach is focused on identifying best-of-class partners and attractive businesses, then working closely with them over the long-term to design and implement value-creating strategies. To date, the group has completed 34 transactions.

Overview of Relationship

55% ownership of Gvea through JPM Strategic partnership with HCM Long-term commitment by both sides increases chances of success Certain oversight functions such as compliance

Access to HCM infrastructure and fundraising capabilities

Gvea retains day-to-day independence, including all investment decisions

Highbridge Management Structure

Glenn Dubin Co-Founder Chairman & Chief Executive Officer Todd Builione Managing Partner President & Chief Operating Officer HCM Investment Committee Glenn Dubin Todd Builione Arminio Fraga Alec McAree Alain Sunier Mark Vanacore Subu Venkataraman Jeff Holman Scott Kapnick Managing Partner CEO, Highbridge Principal Strategies HPS Investment Committee Scott Kapnick Scot French Mike Patterson Purnima Puri Faith Rosenfeld

HCM Executive Committee Glenn Dubin Todd Builione Scott Kapnick Christopher Hayward Mary Erdoes Arminio Fraga Amaury Bier

Portfolio Management HCM

Alec McAree
Fundamental L/S Equity

Risk Management

Business Development & Investor Relations Mark DAndrea

Global Head of Institutional Business Development

Legal, Regulatory , Compliance & HR Noah Greenhill

General Counsel

Finance, Operations & Technology

Christopher Hayward
Management Co. CFO

Portfolio Management HPS Scot French

Mezzanine Debt

Subu Venkataraman
Chief Risk Officer

Mark Vanacore
Convertible & Volatility Arbitrage

Jan Faller
Deputy Chief Risk Officer

John Oliva
Chief Compliance Officer

Jim Glynn
Chief Financial Officer

Mike Patterson
Senior Loan

Catherine Vaughn Deutsch

Global Head of Asset Management & Investor Relations

Amy Yates
Head of Human Resources

Faith Rosenfeld
Chief Administrative Officer, HPS

Purnima Puri
Credit Opportunities

Evan Dick
Statistical Arbitrage

Alain Sunier
Statistical Arbitrage

Sebastian Echavarria
Global Head of Family Offices & Bank Platforms

Serge Adam
Credit Opportunities

James Jordan
Director of Finance & Treasury

Cliff Friedman
Growth Equity

Sassan Alizadeh
Global Macro

Jeff Holman
Global Head of Product Strategy

Marc Creatore
Head of Operations

David Frey
Liquid Loan

Gvea Management Structure

Arminio Fraga* Co-Founder, Chairman and Chief Investment Officer Luiz Fraga* Co-Founder, Co-CIO, Longer-Dated Investments Hedge Funds Investment Committee Arminio Fraga Gabriel Srour Edward Amadeo Bernardo Meres Paola Bonoldi Andr Monteiro Longer-Dated Funds Investment Committee Arminio Fraga Luiz Fraga Christopher Meyn Piero Minardi Carlos de Barros Helio Frana Eduardo Soares

Gabriel Srour* Co-CIO, Hedge Funds

Edward Amadeo* Chief Economist

Amaury Bier* Chief Executive Officer

Andr Monteiro* Chief Risk Officer

Christopher Meyn* Head Portfolio Manager, Longer-Dated Investments

Bernardo Meres*
FX and FI Trading, Global

Paola Bonoldi*
Head of Equities Research

Eduardo Rudge*
Chief Financial Officer, Chief Operating Officer

Daniel Tonholo
Risk Manager

Piero Minardi*
Portfolio Manager

Bruno Carvalho
FX and FI Trading, Brazil

Felipe Diogenes*
Global Macro Research

Franklin Lima
P&L Manager

Carlos de Barros*
Portfolio Manager

Mauricio Magalhes*
Head of Operations

Marcos Stein
Equities Trading, Global

Carlos van Hombeeck

Global Macro Research

Helio Frana*
Portfolio Manager

Rodrigo Musse
Administration / Finance

Andrei Spacov*
Brazil Research

Marcos Pinto
Portfolio Manager

Flavio Ferreira
General Counsel

Eduardo Soares*
Head of Investment and Fund Structuring

Rodrigo Fies*
Head of Business Development and Investor Relations

Strategic Rationale

Strategic Rationale

Partnership deepens J.P. Morgans presence in Emerging Markets, and in particular Brazil

Gveas investment strategies and expertise complement those of HCM and add world-class macro and private equity insight in emerging markets to our investment process

Continued institutionalization of Gvea Benefit from the global resources of Highbridge and J.P. Morgan

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Partnering Locally with a Long-term Commitment

Acquiring a local partner is the most effective way to enter a new market, especially emerging markets It is impossible to create this team, expertise and relationship from scratch Blackstone and others are entering in similar manners

Requirements for Key Partners to Remain with Firm Long-term

Significant Capital Invested by All Partners

Expanded Knowledge Base Provided by Local Expertise and Market Know-How Increased Fundraising Capacity Improvement of Overall Client Service

Arminio Fraga Neto Founding Partner, CIO, Chairman Gvea Investimentos

Glenn Dubin Co-Founder, CEO, Chairman Highbridge Capital Management

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Initial Gains

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Initial Gains

Helped raise $500 million for Gvea Macro Hedge Funds

Increased Hedge Fund AUM by 30%

Helped raise $1,6 billion for Gvea Investment Fund IV (GIF IV) largest Brazil-Focused Private Equity Fund

Successfully diversified geographical investor base Diversified overall investor profile Capital for GIF IV was raised in less than 9 months

New deal flow stemming from relationship with HCM and JPM Significant improvements in infrastructure and other key areas

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Initial Challenges of the Relationship

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What were the challenges?

Issue: Providing comfort to existing clients regarding the transaction

Solution:

Constant communication with clients about the nature of the transaction Educating clients that the transaction does not affect day-to-day investment decisions Informing clients of the benefits of the new platform

Issue: Reassurance of management's commitment to the business

Solution:

Seamless communication with partners and employees Significant cross investments Implementation of long term agreements and incentive plans for partners

Issue: Integration of teams, infrastructure, and new relationships

Solution: Strategic relationship with Highbridge was key as they underwent the same process when JPMorgan acquired them in 2004

What would you do differently?

Too Early to say.

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Disclaimer
This material is for information purposes only, is confidential and may not be reproduced or distributed except as otherwise provided herein. All information provided herein is as of the date set forth on the cover page (unless otherwise specified) and is subject to modification, change or supplement in the sole discretion of Highbridge Capital Management, LLC (HCM) or Highbridge Principal Strategies, LLC (HPS, and together with HCM, Highbridge) without notice to you. This material does not constitute an offering of any security, product, service or fund. The performance results of certain economic indices and certain information concerning economic trends contained herein are based on or derived from information provided by independent third party sources. Highbridge believes that such information is accurate and that the sources from which it has been obtained are reliable. Highbridge cannot guarantee the accuracy of such information, however, and has not independently verified the assumptions on which such information is based. References to specific securities and asset classes are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to buy or sell. The strategy described may not be suitable for all investors. The information is not intended to provide and should not be relied on for accounting or tax advice. Past Performance is not necessarily indicative of future results. While this summary highlights certain examples, it does not purport to capture all trades or all dimensions of risk. The methodology used to aggregate and analyze data may be adjusted periodically. The results of previous analyses may differ as a result of those adjustments. Highbridge has made assumptions that it deems reasonable and used the best information available in producing calculations above. Certain information contained in this material constitutes forward-looking statements, which can be identified by the use of forward-looking terminology such as may, will, should, expect, anticipate, project, estimate, intend, continue or believe, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events or results may differ materially from those reflected or contemplated in such forward-looking statements.

IRS Circular 230 Disclosure Unless expressly stated otherwise, (1) nothing contained in this communication was intended or written to be used, can be used by any taxpayer, or may be relied upon or used by any taxpayer for the purposes of avoiding penalties that may be imposed on the taxpayer under the Internal Revenue Code of 1986, as amended; (2) any written statement contained on this communication relating to any federal tax transaction or matter may not be used by any person to support the promotion or marketing or to recommend any federal tax transaction or matter; and (3) any taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor with respect to any federal tax transaction or matter contained in this communication.

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Evolution of the Hedge Fund Industry

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Evolution of hedge fund investors

The client base has become increasingly institutional

1998
14% Institutional
Institutional 14% Corporate Balance Sheets 9% Corporate & Public Pensions 15%

2004
33% Institutional
E&Fs 6% SWFs 3%

2010
61% Institutional
E&Fs 6% Corporate Balance Sheets 9% SWFs 6%

High Net Worth 67% High Net Worth 86%

Corporate & Public Pensions 40%

High Net Worth 39%

$370 billion

$1 trillion

$2 trillion

Source: Prequin, The Bank of New York Mellon and Casey Quirk, SEC.

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Emerging paradigm
The way investors think about hedge fund strategies is evolving

Old Allocation Framework

60 / 40 Old School Paradigm

New Allocation Framework

Equity (L/S, Long Only)

Equity

Real Estate & Commodities Beta (ETFs & Passive Indices) Global Macro & Market Neutral (Liquid Alpha) Private Equity & Distressed (Illiquid) Credit (L/S, High Yield, Core+)

Alternatives

Fixed Income

Source: Casey Quirk, The Bank of New York Mellon.

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