EFTA01592314

Fund: Date: Highbridge - Financial Trust Co. 1/1/2006 to 9/30/2006 REALIZED GAIN/LOSS REPORT Highbridge Capital Management CURRENCY: BROKER: EUROPEAN MONETARY UNIT CREDIT-SUISSE FIRST BOSTON Qty Trx. Num 12582066 Trade Date Trx. Type 08/25/05 BUY Opening Transaction Local Proceeds FX Rate SECURITY DPB_2.65_07/07 - DEUTSCHE POSTBANK 2.65% 7/2/07 -700 -700 SECURITY DPBGN.DE - Deutsche Postbank 13,373 12582070 2,000 12750902 285 12771484 1,200 12984199 640 13093543 -1,304 13837513 16,194 13810515 08/25/05 SEL 10/25/05 SHT 11/03/05 SHT 01/19/06 SHT 02/23/06 SHT 07/25/06 BUY -843,500.00 -843,500.00 584,400.10 91,293.80 13,673.05 64,617.33 36,768.84 -58,314.03 732,439.09 SECURITY DPBGN.DE_CNV - Deutsche Postbank conversion sha PROT0 -18,802 07/18/06 BUY -18,802 12291554 -400 12291554 -200 12291554 [repeated 5 times] -40 12291554 -160 12484959 -840 12484959 -2,840 12291569 7,000 12291569 15,064 12291569 05/25/05 SEL [repeated 3 times] 05/25/05 BUY [repeated 8 times] 07/22/05 BUY 07/22/05 BUY -840,813.15 -840,813.15 -414,500.00 -414,500.00 -207,250.00 -41,450.00 -173,200.00 -909,300.00 SECURITY DPW_0.5_02/10 - DEUTSCHE POST AG 0.5% 2/3/10 -400 0.7986 0.8152 Functional Proceeds Trx. Num -1,034,721.45 13810509 -1,034,721.45 0.8152 PROT1 0.8350 0.8294 0.8272 0.8400 0.7918 716,883.60 13837513 109,328.89 13837513 16,484.91 13837513 78,115.89 13837513 43,771.47 13837513 -73,647.70 13852251 890,937.06 -1,052,908.27 13837512 -1,052,908.27 0.7955 0.8205 0.8205 -2,989,200.00 SECURITY DPWGn.DE DEUTSCHE POST AG 7,000 132,230.00 132,230.00 284,558.96 Copyright (c) 2002-2003 Integrated Business Systems, Inc. 0.7955 -521,047.23 13289357 -521,047.23 13294290 -260,523.61 13549024 -260,523.61 13549027 -260,523.61 13554933 -260,523.61 13565208 -260,523.61 13582011 -52,104.72 13582014 -211,087.50 13582014 -1,108,209.38 13606143 -3,716,114.11 166,219.72 13074675 166,219.72 13153271 357,704.84 13289313 02/16/06 03/14/06 04/24/06 PROT2 CVS 07/25/06 SEL Trade Date 07/18/06 Trx. Type SEL Closing Transaction Local Proceeds 840,000.00 840,000.00 07/25/06 07/28/06 BUY SEL -598,031.82 -89,438.69 -12,745.01 -53,663.22 -28,620.38 73,305.08 -709,194.04 840,813.15 840,813.15 04/24/06 04/25/06 05/10/06 05/10/06 05/11/06 04/27/06 05/18/06 05/24/06 SEL [repeated 4 times] PROT3 SHT SEL 448,200.00 446,500.00 234,900.00 243,200.00 242,250.00 223,000.00 230,200.00 46,050.00 184,200.00 955,500.00 3,254,000.00 -154,130.76 -147,857.43 -316,193.36 0.8414 0.8377 0.8107 0.7918 FX Rate 0.7986 Realized P&L Functional Proceeds 1,051,890.00 1,051,890.00 0.7918 0.7867 -755,284.29 -112,956.60 -16,096.32 -67,773.96 -36,146.11 93,185.42 -895,071.86 1,061,904.97 1,061,904.97 0.8107 0.8067 0.7838 0.7838 0.7818 PROT4 0.8037 0.7859 0.7786 552,832.29 553,459.08 299,697.17 310,286.72 309,849.86 277,478.90 292,929.50 58,598.63 234,394.50 1,227,244.20 4,116,770.85 -183,176.70 -176,504.81 -390,008.70 Local -3,500.00 -3,500.00 -13,631.72 1,855.11 928.04 10,954.11 8,148.46 14,991.05 23,245.05 0.00 0.00 33,700.00 32,000.00 27,650.00 35,950.00 35,000.00 15,750.00 22,950.00 4,600.00 11,000.00 46,200.00 264,800.00 -21,900.76 -15,627.43 -31,634.40 Functional Trading -4,293.45 -4,293.45 -16,722.03 2,221.58 PROT5 1,118.89 13,242.43 9,700.33 18,932.95 28,494.15 0.00 0.00 42,362.59 40,225.60 34,757.43 45,190.95 43,996.75 19,798.54 28,849.30 5,782.43 13,406.25 56,306.25 330,676.09 -27,530.35 -19,644.46 -39,766.02 Functional FX 21,462.00 21,462.00 -21,678.65 -5,849.29 -730.29 -2,900.50 -2,074.98 604.77 -32,628.94 8,996.70 8,996.70 -10,577.52 -7,813.75 4,416.12 4,572.16 5,329.50 -2,843.25 3,556.59 711.47 9,900.75 62,728.57 69,980.64 10,573.37 9,359.38 7,462.16 Functional Total 17,168.55 PROT6 17,168.55 -38,400.68 -3,627.71 388.60 10,341.93 7,625.35 19,537.72 -4,134.79 8,996.70 8,996.70 31,785.07 32,411.85 39,173.55 49,763.11 49,326.25 16,955.29 32,405.89 6,493.90 23,307.00 119,034.82 400,656.73 -16,956.98 -10,285.08 -32,303.86 Visual Portfolio Manager - Sql Server VPM0128 Date: Page: User: 10/16/06 asantos 1 of 17 4:23:20PM PROT7 Fund: Date: CURRENCY: BROKER: EUROPEAN MONETARY UNIT Qty Trx. Num 8,666 12291569 5,984 12484960 7,535 12484960 8,255 12484960 7,949 12484960 6,913 12484960 1,342 12489183 4,558 12489183 942 12800128 7,058 12800128 782 12984196 7,741 12984196 1,200 12984196 15,277 12984196 11,000 13027737 5,000 13553638 129,266 12871134 12/08/05 SHT Trade Date Trx. Type 05/25/05 SEL 07/22/05 SHT 07/25/05 SHT 07/25/05 SHT 11/14/05 SHT 11/14/05 SHT 01/19/06 SHT 02/01/06 SEL PROT8 05/10/06 SHT Local 163,700.74 120,816.96 152,131.65 166,668.45 160,490.31 139,573.47 27,132.42 92,153.19 17,871.15 133,900.85 17,225.04 170,510.31 26,432.29 336,505.10 258,551.59 114,927.36 2,647,609.84 SECURITY FGBMH6 - Euro-bobl Mar 06 Future 11 11 13107715 02/28/06 SHT SECURITY FGBMM6 - Euro-bobl Jun 06 Future 11 11 12871136 12/08/05 SHT 1,244,320.00 1,244,320.00 1,222,870.00 1,222,870.00 SECURITY FGBSH6 - Euro-schatz Mar 06 Future 2 2 13107767 02/28/06 SHT SECURITY FGBSM6 - Euro-schatz Jun 06 Future 1 1 Total for HBFT-EUR-CSF Total for HBFT-EUR: 211,030.00 211,030.00 104,840.00 104,840.00 1,489,595.78 1,489,595.78 PROT9 0.8530 0.7955 0.8205 0.8284 0.8284 0.8543 0.8543 0.8272 0.8213 0.7838 Functional 205,780.02 13294131 147,245.67 13294131 185,410.45 13305158 203,127.17 13549016 195,597.57 13549021 170,105.17 13554930 32,752.90 13554930 111,242.72 13565226 20,918.18 13565226 156,730.94 13581997 20,823.36 13581997 206,129.91 13582000 31,954.00 13593059 406,801.02 13606140 314,825.34 13606140 146,630.07 13606140 3,246,218.77 1,458,778.55 13107706 1,458,778.55 0.8431 1,450,446.11 13606152 1,450,446.11 0.8530 247,401.02 13107761 247,401.02 0.8431 124,350.72 13637246 124,350.72 1,614,388.40 1,614,388.40 02/28/06 PROT10 CVS Trade Date 04/25/06 04/25/06 04/27/06 05/10/06 05/10/06 05/11/06 05/11/06 05/15/06 05/15/06 05/18/06 05/22/06 05/24/06 Trx. Type CVS BUY CVS BUY [repeated 7 times] CVS Local Proceeds -181,639.36 -125,424.64 -157,707.55 -193,167.00 -177,739.64 -156,164.67 -30,315.78 -98,052.61 -20,264.49 -148,853.22 -16,492.38 PROT11 -163,257.69 -24,323.22 -316,539.44 -227,920.00 -103,600.00 -2,759,643.24 -1,231,890.00 -1,231,890.00 05/24/06 CVS -1,212,860.00 -1,212,860.00 02/28/06 CVS -210,190.00 -210,190.00 06/01/06 CVS -104,485.00 -104,485.00 -1,293,449.13 -1,293,449.13 0.8431 FX Rate 0.8067 0.8067 0.8037 0.7838 0.7838 0.7818 0.7818 0.7757 0.7757 0.7859 0.7843 0.7786 Realized P&L Functional Proceeds -225,151.07 -155,470.11 -196,235.50 -246,452.12 -226,769.12 -199,742.42 -38,775.40 -126,404.52 PROT12 -26,123.97 -189,415.72 -20,986.55 -207,745.41 -31,012.11 -406,563.26 -292,740.45 -133,063.84 -3,472,341.78 -1,461,144.73 -1,461,144.73 0.7786 -1,557,797.38 -1,557,797.38 0.8431 -249,306.36 -249,306.36 0.7794 -134,059.48 -134,059.48 -1,539,155.77 -1,539,155.77 Local -17,938.62 -4,607.68 -5,575.90 -26,498.55 -17,249.33 -16,591.20 -3,183.36 -5,899.42 -2,393.34 -14,952.37 732.66 7,252.62 2,109.07 19,965.66 30,631.59 11,327.36 -112,033.40 12,430.00 12,430.00 10,010.00 10,010.00 840.00 840.00 355.00 355.00 196,146.65 196,146.65 Functional PROT13 Trading -22,549.74 -5,615.61 -6,795.63 -32,295.11 -21,022.62 -20,220.53 -3,842.79 -7,121.48 -2,801.40 -17,501.75 885.72 8,767.69 2,549.66 24,136.49 37,298.56 14,452.01 -138,617.36 14,743.22 14,743.22 12,856.84 12,856.84 996.32 996.32 455.48 455.48 245,311.29 245,311.29 Functional FX 3,178.69 -2,608.83 -4,029.43 -11,029.84 -10,148.93 -9,416.73 -2,179.70 -8,040.31 -2,404.38 -15,183.03 -1,048.92 -10,383.19 -1,607.76 -23,898.73 -15,213.66 -885.78 -87,505.62 0.00 PROT14 0.00 -19,695.22 -19,695.22 Functional Total -19,371.05 -8,224.44 -10,825.06 -43,324.95 -31,171.55 -29,637.26 -6,022.49 -15,161.79 -5,205.78 -32,684.78 -163.20 -1,615.50 941.90 237.76 22,084.90 13,566.23 -226,122.98 14,743.22 14,743.22 12,856.84 12,856.84 996.32 996.32 455.48 455.48 225,616.07 225,616.07 Date: Page: User: 2 of 17 4:23:20PM PROT15 Fund: Date: CURRENCY: BROKER: BRITISH POUND Qty Trx. Num 12967001 Trade Date SECURITY BAA.L - Baa Plc Cfd 195,500 60,000 13047317 0 13074771 10,100 13074771 10,245 13074771 10,400 13074771 10,430 13074771 35,800 13074771 13,845 13074771 104,680 13074771 164,680 13130539 3,600 13260742 0 13265513 17,700 13265513 34,666 13265513 21,007 13265513 17,678 13265513 14,220 13265513 38,209 13265513 762,760 12966996 0 13074773 -60 13074773 -210 13074773 -80 13074773 -970 13074773 -970 13130530 12/31/05 BUY 01/31/06 BUY PROT16 01/31/06 BUY 02/23/06 BUY Trx. Type 12/31/05 SHT 02/08/06 SHT 01/31/06 SHT 02/23/06 SHT 04/13/06 SHT 03/28/06 SHT Local 1,232,627.50 439,494.00 -1,241,425.00 64,135.00 65,055.75 66,040.00 66,230.50 227,330.00 87,915.75 664,718.00 1,343,788.80 30,105.72 -1,361,903.60 146,379.00 286,687.82 173,727.89 146,197.06 117,599.40 315,988.43 2,870,692.02 SECURITY BAA_2.625_08/09 - Baa 2.625% 8/19/09 PROT17 -1,500 -1,706,552.45 1,708,575.00 -68,343.00 -239,200.50 -91,124.00 -1,104,878.50 -1,390,507.20 0.5820 0.5658 0.5736 0.5820 0.5729 0.5658 0.5736 0.5718 0.5722 Functional 2,117,838.94 13074770 767,114.80 13130538 -2,194,218.69 113,358.61 13055923 114,986.04 13055924 116,725.70 13060588 117,062.41 13060590 401,805.78 13065053 PROT18 155,391.09 13078380 1,174,889.07 13130538 2,342,559.83 13265499 52,651.89 13275600 -2,379,994.64 255,804.62 13235337 501,001.30 13239443 303,598.17 13239447 255,486.67 13260747 205,510.83 13269789 552,205.58 13275600 4,973,778.00 -2,932,113.09 13074772 3,019,906.31 -120,796.25 13055925 -120,796.25 13055926 -120,796.25 13060589 -120,796.25 13060591 -422,786.88 13065054 -161,061.67 13078381 -1,952,872.75 13130528 -2,424,001.68 13265249 01/31/06 02/10/06 02/10/06 02/13/06 02/13/06 02/14/06 02/17/06 02/23/06 03/28/06 SEL [repeated 9 times] 04/06/06 04/07/06 04/07/06 04/13/06 04/18/06 04/19/06 CVS PROT19 CVS 02/10/06 02/10/06 02/13/06 02/13/06 02/14/06 02/17/06 02/23/06 03/28/06 04/19/06 CVS Trade Date 01/31/06 02/23/06 Trx. Type CVS CVS Local Proceeds -1,241,425.00 -489,600.00 0.00 -78,780.00 -79,911.00 -81,016.00 -81,354.00 -279,240.00 -114,221.25 -854,188.80 -1,361,903.60 -30,960.00 0.00 -146,733.00 -294,141.01 -177,509.15 -147,964.86 -122,292.00 -328,597.40 -5,909,837.07 1,708,575.00 PROT20 0.00 82,050.00 82,014.00 81,922.14 81,702.06 287,175.00 115,700.00 1,390,507.20 1,402,782.52 0.5658 0.5745 0.5745 0.5728 0.5728 0.5737 0.5762 0.5736 0.5722 FX Rate 0.5658 0.5736 0.5745 0.5745 0.5728 0.5728 0.5737 0.5762 0.5736 0.5722 0.5626 0.5706 0.5714 0.5714 0.5718 0.5644 0.5626 Realized P&L Functional Proceeds -2,194,218.69 -853,495.20 0.00 -137,128.41 -139,097.08 -141,449.89 -142,040.02 -486,757.21 -198,219.56 -1,489,064.63 -2,379,994.64 -55,028.30 PROT21 0.00 -257,149.58 -514,732.06 -310,632.14 -258,775.74 -216,683.08 -584,049.02 -10,358,515.25 3,019,906.31 0.00 142,820.33 142,757.67 143,031.96 142,647.71 500,589.10 200,785.78 2,424,001.68 2,451,432.59 Local -8,797.50 -50,106.00 0.00 -14,645.00 -14,855.25 -14,976.00 -15,123.50 -51,910.00 -26,305.50 -189,470.80 -18,114.80 -854.28 0.00 -354.00 -7,453.19 -3,781.26 -1,767.80 -4,692.60 -12,608.97 -435,816.45 2,022.55 0.00 13,707.00 13,671.00 13,579.14 13,359.06 47,974.50 24,576.00 285,628.70 12,275.32 Functional Trading PROT22 -15,549.58 -87,347.28 0.00 -25,491.82 -25,857.79 -26,147.35 -26,404.87 -90,486.92 -45,650.56 -330,294.97 -31,656.52 -1,518.40 0.00 -620.39 -13,042.71 -6,617.02 -3,091.71 -8,314.58 -22,411.18 -760,503.65 3,574.86 0.00 23,859.09 23,796.43 23,708.50 23,324.25 83,626.75 42,649.19 497,922.23 21,451.74 Functional FX 0.00 0.00 0.01 0.00 -0.01 0.00 [repeated 6 times] PROT23 0.00 0.00 0.01 0.00 Functional Total -15,549.58 -87,347.28 0.01 -25,491.82 -25,857.79 -26,147.35 -26,404.87 -90,486.92 -45,650.56 -330,294.97 -31,656.52 -1,518.40 -0.01 -620.39 -13,042.71 -6,617.02 -3,091.71 -8,314.58 -22,411.18 -760,503.65 3,574.86 0.01 23,859.09 23,796.43 23,708.50 23,324.25 83,626.75 42,649.19 497,922.23 21,451.74 Date: Page: User: 3 of 17 4:23:20PM PROT24 PROT25 Fund: Date: CURRENCY: BROKER: BRITISH POUND Qty Trx. Num -122 13265250 -102 13265250 -200 13265250 -121 13265250 -102 13265250 -82 13265250 -241 13265250 -4,940 12841443 2 12841497 4 13107756 11/29/05 SEL 05/26/05 SEL Trade Date Trx. Type 03/28/06 BUY Local -176,432.44 -147,509.09 -289,233.51 -174,986.27 -147,509.09 -118,585.74 -348,526.38 -4,499,842.17 SECURITY FLGH6 - LONG GILT FUTURE March 2006 2 227,020.00 PROT26 227,020.00 454,040.00 SECURITY FLGM6 - LONG GILT FUTURE JUNE 2006 2 2 13107920 4 12966998 02/28/06 SHT 05/26/05 SEL 226,700.00 226,700.00 453,400.00 SECURITY HG_3.375_10/10 Hilton Group_3.375%_10/10 -805 0 13074781 -170 13074781 -635 13074781 -635 13130534 -635 13265534 -2,880 SECURITY LAD.L - LADBROKES PLC 283,150 12967003 0 13074776 62,115 13074776 221,035 13074776 11,000 13079159 12,000 13121285 12/31/05 SHT 01/31/06 SHT 02/17/06 SHT 03/03/06 SHT 12/31/05 BUY 01/31/06 BUY 02/23/06 BUY 03/28/06 BUY -1,165,226.24 1,138,796.46 -240,491.18 -898,305.28 -929,101.44 -941,657.00 -3,035,984.68 1,025,003.00 -1,046,239.25 229,514.93 816,724.33 PROT27 41,932.00 43,989.60 0.5820 0.5658 0.5762 0.5705 0.5820 0.5658 0.5736 0.5722 0.5747 0.5747 0.5773 0.5773 0.5722 Functional -308,324.51 13207069 -257,779.51 13235339 -505,450.02 13239445 -305,797.26 13239449 -257,779.51 13260749 -207,234.51 13269791 -609,067.27 13275602 -7,807,547.35 393,278.10 13107753 393,278.10 13107919 786,556.20 394,446.67 13275598 394,446.67 13593061 788,893.34 -2,002,033.46 13074779 2,012,822.74 -425,068.16 13093563 -1,587,754.59 13130533 -1,619,656.09 13265533 -1,645,592.69 13215629 -5,267,282.25 1,761,108.90 13074775 PROT28 -1,849,227.87 405,667.63 13093562 1,443,560.24 13130540 72,768.79 13130540 77,102.77 13265535 01/31/06 02/23/06 03/28/06 CVS 01/31/06 02/23/06 02/23/06 03/28/06 03/31/06 SEL 04/19/06 05/22/06 CVS CVS 02/28/06 02/28/06 CVS BUY Trade Date 03/29/06 04/06/06 04/07/06 04/07/06 04/13/06 04/18/06 04/19/06 Trx. Type SEL PROT29 Local Proceeds 176,473.00 148,104.00 297,000.00 179,088.75 149,036.79 123,102.50 361,801.25 6,667,034.21 -227,280.00 -227,280.00 -454,560.00 -221,280.00 -220,340.00 -441,620.00 1,138,796.46 0.00 245,862.50 929,101.44 941,657.00 950,455.30 4,205,872.70 -1,046,239.25 0.00 -232,931.25 -832,196.78 -41,415.00 -46,140.00 0.5658 0.5736 0.5722 0.5658 0.5736 0.5736 0.5722 0.5732 0.5626 0.5332 0.5747 0.5747 FX Rate 0.5715 0.5706 0.5714 0.5714 0.5718 0.5644 PROT30 0.5626 Realized P&L Functional Proceeds 308,801.28 259,552.26 519,735.15 313,396.36 260,650.44 218,119.16 643,065.54 11,691,293.32 -395,455.84 -395,455.84 -790,911.68 -393,303.07 -413,258.69 -806,561.76 2,012,822.74 0.00 428,599.80 1,619,656.09 1,645,592.69 1,658,116.79 7,364,788.11 -1,849,227.87 0.00 -406,057.40 -1,450,727.04 -72,196.70 -80,631.96 Local 40.56 594.91 7,766.49 4,102.48 1,527.70 4,516.76 13,274.87 458,617.04 -260.00 -260.00 -520.00 5,420.00 6,360.00 11,780.00 -26,429.78 0.00 5,371.32 30,796.16 12,555.56 PROT31 8,798.30 31,091.56 -21,236.25 0.00 -3,416.33 -15,472.45 517.00 -2,150.40 Functional Trading 70.97 1,042.58 13,590.97 7,179.13 2,671.79 8,003.02 23,594.76 800,066.26 -452.39 -452.39 -904.78 9,633.51 11,928.50 21,562.01 -46,714.64 0.00 9,363.56 53,685.40 21,941.47 15,349.07 53,624.86 -37,535.07 0.00 -5,955.51 -26,972.36 901.26 -3,757.93 Functional FX 0.00 0.01 0.00 PROT32 0.00 -0.01 0.00 -0.01 0.00 -0.02 0.00 Functional Total 70.97 1,042.58 13,590.97 7,179.13 2,671.79 8,003.02 23,594.76 800,066.27 -452.39 -452.39 -904.78 9,633.51 11,928.50 21,562.01 -46,714.64 -0.01 9,363.56 53,685.40 21,941.47 15,349.07 53,624.85 -37,535.07 -0.02 -5,955.51 -26,972.36 901.26 -3,757.93 Date: Page: User: 4 of 17 PROT33 4:23:20PM PROT34 Fund: Date: CURRENCY: BROKER: BRITISH POUND Qty Trx. Num 232,035 13130541 244,035 13265536 1,065,370 Total for HBFT-GBP-CSF Total for HBFT-GBP: Trade Date Trx. Type 02/23/06 SHT 03/28/06 SHT Local 873,611.78 938,314.58 2,922,850.97 -834,843.86 -834,843.86 0.5736 0.5722 Functional 1,522,923.74 13265535 1,639,751.64 13215627 5,073,655.84 -1,451,946.22 -1,451,946.22 Trade Date 03/28/06 03/31/06 Trx. Type CVS CVS Local PROT35 Proceeds -892,174.58 -949,296.15 -4,040,393.01 26,496.83 26,496.83 FX Rate 0.5722 0.5732 Realized P&L Functional Proceeds -1,559,119.69 -1,656,094.60 -7,074,055.26 26,037.48 26,037.48 Local -18,562.80 -10,981.57 -71,302.80 -6,150.65 -6,150.65 Functional Trading -32,439.42 -19,157.90 -124,916.93 -11,072.23 -11,072.23 Functional FX 0.00 0.00 -0.02 Functional Total -32,439.42 -19,157.90 -124,916.95 -11,072.25 -11,072.25 Date: Page: User: 5 of 17 4:23:20PM PROT36 PROT37 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 12813195 Trade Date Trx. Type 400 12813195 920 12357457 11/17/05 SHT 11/17/05 SHT Local SECURITY AFG.N - American Financial Group Inc 520 18,693.22 14,379.40 33,072.62 SECURITY AGN.N Allergan Inc 2,746 2,768 12357457 2,581 12357457 190 12357457 340 12375932 1,052 12467131 2,352 12467131 2,649 12467131 476 12467131 1,589 12467131 2,096 12467131 540 12467131 3,796 12467131 1,466 12499294 1,324 12499294 290 12499436 860 12546334 1,279 12739020 4,715 12739020 PROT38 1,455 12763427 1,730 12768438 1,300 12824763 580 12863044 -6 13600381 38,168 12357455 06/14/05 BUY 06/14/05 SHT 06/20/05 SHT 07/18/05 SHT 07/27/05 SHT 08/09/05 SHT 10/20/05 SHT 10/20/05 SHT 11/01/05 SHT 11/02/05 SHT 11/22/05 SHT 12/06/05 SHT 05/23/06 BUY 227,304.37 229,125.46 213,646.24 15,727.54 29,057.42 91,467.57 204,497.85 230,320.92 41,386.47 138,157.77 182,239.58 46,951.04 330,048.39 129,251.81 116,732.20 26,183.00 78,820.95 111,971.77 412,780.98 PROT39 137,334.54 172,672.82 128,913.59 60,867.85 -379.89 3,355,080.24 SECURITY AGN_0_11/22 Allergan Inc 0% 11/6/2022 -1,000 -965,570.00 1.0000 [repeated 27 times] Functional 18,693.22 13587642 14,379.40 13694691 33,072.62 227,304.37 13538058 229,125.46 13543637 213,646.24 13549424 15,727.54 13570757 29,057.42 13570757 91,467.57 13560309 204,497.85 13560372 230,320.92 13565963 41,386.47 13565966 PROT40 138,157.77 13570757 182,239.58 13571079 46,951.04 13582458 330,048.39 13612374 129,251.81 13582458 116,732.20 13587548 26,183.00 13587548 78,820.95 13587548 111,971.77 13587548 412,780.98 13600381 137,334.54 13600381 172,672.82 13600381 128,913.59 13600381 60,867.85 13600381 -379.89 13612481 3,355,080.24 -965,570.00 13600365 05/23/06 SEL 05/08/06 05/09/06 05/10/06 05/11/06 05/11/06 05/12/06 05/12/06 05/15/06 05/15/06 05/11/06 05/16/06 05/18/06 05/17/06 05/18/06 05/19/06 05/23/06 05/25/06 CVS PROT41 CVS CVS BUY CVS BUY SHT Trade Date 05/19/06 06/14/06 Trx. Type CVS CVS Local Proceeds -22,018.62 -16,410.60 -38,429.22 -265,943.82 -266,435.26 -248,277.13 -18,132.20 -32,447.09 -100,840.97 -224,846.59 -251,403.35 -45,360.47 -151,642.43 -199,472.28 -52,008.08 -356,387.22 -141,192.32 -126,692.31 -27,749.83 -82,292.59 -122,386.30 -298,530.14 -92,123.30 -109,534.92 PROT42 -82,309.48 -36,722.69 566.83 -3,332,163.94 998,213.80 1.0000 [repeated 25 times] FX Rate 1.0000 1.0000 Realized P&L Functional Proceeds -22,018.62 -16,410.60 -38,429.22 -265,943.82 -266,435.26 -248,277.13 -18,132.20 -32,447.09 -100,840.97 -224,846.59 -251,403.35 -45,360.47 -151,642.43 -199,472.28 -52,008.08 PROT43 -356,387.22 -141,192.32 -126,692.31 -27,749.83 -82,292.59 -122,386.30 -298,530.14 -92,123.30 -109,534.92 -82,309.48 -36,722.69 566.83 -3,332,163.94 998,213.80 Local -3,325.40 -2,031.20 -5,356.60 -38,639.45 -37,309.80 -34,630.89 -2,404.66 -3,389.67 -9,373.40 -20,348.74 -21,082.43 -3,974.00 -13,484.66 -17,232.70 -5,057.05 -26,338.83 -11,940.50 -9,960.11 -1,566.83 -3,471.64 -10,414.53 114,250.84 45,211.24 63,137.90 46,604.11 24,145.16 186.94 22,916.30 32,643.80 Functional Trading -3,325.40 -2,031.20 -5,356.60 -38,639.45 -37,309.80 PROT44 -34,630.89 -2,404.66 -3,389.67 -9,373.40 -20,348.74 -21,082.43 -3,974.00 -13,484.66 -17,232.70 -5,057.05 -26,338.83 -11,940.50 -9,960.11 -1,566.83 -3,471.64 -10,414.53 114,250.84 45,211.24 63,137.90 46,604.11 24,145.16 186.94 22,916.30 32,643.80 Functional FX 0.00 PROT45 0.00 Functional Total -3,325.40 -2,031.20 -5,356.60 -38,639.45 -37,309.80 -34,630.89 -2,404.66 -3,389.67 -9,373.40 -20,348.74 -21,082.43 -3,974.00 -13,484.66 -17,232.70 -5,057.05 -26,338.83 -11,940.50 -9,960.11 -1,566.83 -3,471.64 -10,414.53 114,250.84 45,211.24 63,137.90 46,604.11 24,145.16 186.94 22,916.30 32,643.80 Date: Page: User: 6 of 17 4:23:20PM PROT46 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num -1,500 12467125 -290 12499290 -576 12732105 -3,366 SECURITY AMGN.O - Amgen 545 12663372 655 12663372 4,080 12663372 790 12732059 130 12772030 555 12772030 945 12792476 1,950 12792476 305 12792476 655 12975055 1,040 13024392 2,000 13024392 960 13024392 40 13084093 600 13084093 1,000 13084093 60 13084093 1,000 13088356 1,000 13153835 18,310 12663375 09/27/05 BUY 09/27/05 SHT 10/19/05 SHT 11/03/05 SHT 11/03/05 SHT 11/10/05 SHT 01/17/06 SHT PROT47 02/01/06 SEL 02/21/06 SHT 02/17/06 SHT 03/14/06 SHT SECURITY AMGN_0_3/32 - AMGEN 0% 3/32 -2,000 -2,000 SECURITY AMLN.O - Amylin Pharm. 10,200 12588883 10,200 12599532 08/29/05 SHT 09/01/05 SHT Trade Date Trx. Type 07/18/05 BUY 07/27/05 BUY 10/20/05 BUY Local -1,514,505.00 -295,336.00 -584,576.64 -3,359,987.64 44,061.41 52,954.54 329,854.21 61,174.41 10,035.35 42,843.25 77,229.40 159,362.25 24,925.89 51,193.59 82,359.39 158,383.44 76,024.05 3,020.92 45,313.76 75,522.93 4,531.38 74,031.45 74,666.26 1,447,487.88 PROT48 -1,584,660.00 -1,584,660.00 330,466.18 328,936.24 1.0000 [repeated 20 times] 1.0000 Functional -1,514,505.00 13600365 -295,336.00 13600365 -584,576.64 13600365 -3,359,987.64 44,061.41 12967168 52,954.54 12988927 329,854.21 13005802 61,174.41 13005802 10,035.35 13005802 42,843.25 13024380 77,229.40 13024380 159,362.25 13032735 24,925.89 13056210 51,193.59 13056210 82,359.39 13056210 158,383.44 13140823 76,024.05 13256656 3,020.92 13256656 45,313.76 13289459 75,522.93 13519418 PROT49 4,531.38 14104856 74,031.45 13256656 74,666.26 14104856 1,447,487.88 -1,584,660.00 14104796 -1,584,660.00 1.0000 1.0000 330,466.18 13112675 328,936.24 13112675 09/19/06 SEL 01/12/06 01/20/06 01/26/06 02/01/06 02/01/06 02/03/06 02/10/06 03/09/06 04/12/06 04/12/06 04/24/06 05/02/06 09/19/06 04/12/06 09/19/06 CVS BUY BUY CVS [repeated 12 times] Trade PROT50 Date 05/23/06 Trx. Type SEL Local Proceeds 1,497,320.70 289,482.00 574,971.15 3,359,987.65 -41,670.12 -49,813.09 -297,665.56 -57,636.22 -9,484.44 -42,494.04 -72,354.73 -144,943.95 -21,530.06 -46,236.68 -73,413.96 -147,300.00 -67,369.77 -2,807.07 -39,896.79 -65,818.44 -4,190.04 -70,176.85 -69,834.04 -1,324,635.85 1,488,750.00 1,488,750.00 03/01/06 03/01/06 CVS CVS -447,780.00 -447,780.00 1.0000 PROT51 1.0000 [repeated 13 times] FX Rate 1.0000 Realized P&L Functional Proceeds 1,497,320.70 289,482.00 574,971.15 3,359,987.65 -41,670.12 -49,813.09 -297,665.56 -57,636.22 -9,484.44 -42,494.04 -72,354.73 -144,943.95 -21,530.06 -46,236.68 -73,413.96 -147,300.00 -67,369.77 -2,807.07 -39,896.79 -65,818.44 -4,190.04 -70,176.85 -69,834.04 -1,324,635.85 1,488,750.00 1,488,750.00 1.0000 1.0000 -447,780.00 -447,780.00 Local PROT52 -17,184.30 -5,854.00 -9,605.49 0.01 2,391.29 3,141.45 32,188.65 3,538.19 550.91 349.20 4,874.67 14,418.30 3,395.84 4,956.91 8,945.43 11,083.44 8,654.28 213.84 5,416.97 9,704.49 341.33 3,854.60 4,832.22 122,852.01 -95,910.00 -95,910.00 -117,313.82 -118,843.76 Functional Trading -17,184.30 -5,854.00 -9,605.49 0.01 2,391.29 3,141.45 32,188.65 3,538.19 550.91 349.20 4,874.67 14,418.30 3,395.84 4,956.91 8,945.43 11,083.44 8,654.28 213.84 5,416.97 9,704.49 341.33 PROT53 3,854.60 4,832.22 122,852.01 -95,910.00 -95,910.00 -117,313.82 -118,843.76 Functional FX 0.00 [repeated 28 times] Functional Total -17,184.30 -5,854.00 -9,605.49 0.01 2,391.29 3,141.45 32,188.65 3,538.19 550.91 349.20 4,874.67 14,418.30 PROT54 3,395.84 4,956.91 8,945.43 11,083.44 8,654.28 213.84 5,416.97 9,704.49 341.33 3,854.60 4,832.22 122,852.01 -95,910.00 -95,910.00 -117,313.82 -118,843.76 Date: Page: User: 7 of 17 4:23:20PM PROT55 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 2,000 12750664 2,000 12964025 1,000 13088776 25,400 12588752 -500 12599520 -1,000 SECURITY B.N - BARNES GROUP INC 253 12498275 40 13019530 293 12499158 -8 12499171 -17 SECURITY CBRL.O - Cracker Barrel 2,571 12296045 3,300 12296045 970 12296045 782 12296045 768 12440601 1,000 12440601 1,000 12440601 900 12440601 1,232 12440601 768 13071003 13,291 SECURITY CMS.N Cms Energy Corp 1,300 12385698 06/22/05 SHT 05/26/05 SHT 07/08/05 SHT 07/08/05 SHT PROT56 07/08/05 SHT 02/15/06 SHT 07/27/05 BUY 07/27/05 BUY 07/26/05 SHT 01/31/06 SHT 08/29/05 BUY 09/01/05 BUY Trade Date Trx. Type 10/24/05 SHT 01/11/06 SHT 02/22/06 SHT Local 71,987.49 86,947.83 40,624.02 858,961.76 SECURITY AMLN_2.5_4/11 - Amylin Pharm 2.5% 4/15/2011 144a -500 -540,230.00 -544,770.00 -1,085,000.00 8,702.90 1,514.78 10,217.68 SECURITY B_3.75_8/25_144A - BARNES GROUP INC 3.75% 8/1/2 -9 -9,000.00 -8,246.67 -17,246.67 105,663.68 135,624.33 39,865.33 32,138.86 30,058.26 39,138.36 39,138.36 35,224.53 48,218.46 33,741.29 538,811.46 19,148.20 1.0000 PROT57 1.0000 [repeated 19 times] Functional 71,987.49 13112675 86,947.83 13112675 40,624.02 13112675 858,961.76 -540,230.00 13112671 -544,770.00 13112671 -1,085,000.00 8,702.90 13074757 1,514.78 13074757 10,217.68 -9,000.00 13074760 -8,246.67 13074760 -17,246.67 105,663.68 13190214 135,624.33 13524209 39,865.33 13555342 32,138.86 13577004 30,058.26 13577004 39,138.36 13617897 39,138.36 13687344 35,224.53 13739622 48,218.46 13767931 33,741.29 13767931 538,811.46 19,148.20 13220704 04/03/06 CVS 03/27/06 05/03/06 05/11/06 PROT58 05/17/06 05/17/06 05/26/06 06/13/06 06/27/06 07/05/06 07/05/06 CVS [repeated 10 times] 02/16/06 02/16/06 SEL SEL 02/16/06 02/16/06 CVS CVS 03/01/06 03/01/06 SEL SEL Trade Date 03/01/06 Trx. Type CVS Local Proceeds -87,800.00 -87,800.00 -43,900.00 -1,115,060.00 696,895.00 696,895.00 1,393,790.00 -9,811.34 -1,551.20 PROT59 -11,362.54 9,705.06 8,626.72 18,331.78 -114,914.18 -133,014.38 -36,886.28 -29,313.97 -28,789.16 -36,997.74 -36,978.99 -32,026.04 -41,794.15 -26,053.50 -516,768.39 -16,915.08 1.0000 [repeated 17 times] FX Rate 1.0000 Realized P&L Functional Proceeds -87,800.00 -87,800.00 -43,900.00 -1,115,060.00 696,895.00 696,895.00 1,393,790.00 -9,811.34 -1,551.20 -11,362.54 9,705.06 PROT60 8,626.72 18,331.78 -114,914.18 -133,014.38 -36,886.28 -29,313.97 -28,789.16 -36,997.74 -36,978.99 -32,026.04 -41,794.15 -26,053.50 -516,768.39 -16,915.08 Local -15,812.51 -852.17 -3,275.98 -256,098.24 156,665.00 152,125.00 308,790.00 -1,108.44 -36.42 -1,144.86 705.06 380.05 1,085.11 -9,250.50 2,609.95 2,979.05 2,824.89 1,269.10 2,140.62 2,159.37 3,198.49 6,424.31 7,687.79 22,043.07 2,233.12 Functional Trading -15,812.51 -852.17 -3,275.98 -256,098.24 156,665.00 152,125.00 308,790.00 -1,108.44 -36.42 PROT61 -1,144.86 705.06 380.05 1,085.11 -9,250.50 2,609.95 2,979.05 2,824.89 1,269.10 2,140.62 2,159.37 3,198.49 6,424.31 7,687.79 22,043.07 2,233.12 Functional FX 0.00 Functional Total -15,812.51 -852.17 -3,275.98 -256,098.24 156,665.00 152,125.00 PROT62 308,790.00 -1,108.44 -36.42 -1,144.86 705.06 380.05 1,085.11 -9,250.50 2,609.95 2,979.05 2,824.89 1,269.10 2,140.62 2,159.37 3,198.49 6,424.31 7,687.79 22,043.07 2,233.12 Date: Page: User: 8 of 17 4:23:20PM PROT63 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 800 12385698 2,100 SECURITY CNO.N CONSECO 2,000 12546228 1,000 12546330 6,000 12546330 2,392 12546330 3,608 12546330 12,200 12546332 3,000 13009953 1,400 13144212 1,400 13158556 670 13239750 33,670 12546248 -25 12546251 -200 12546251 -275 12546251 -500 12546323 -1,075 SECURITY CNP.N Centerpoint Energy 15,000 12282502 2,600 12282502 6,500 12282502 3,000 12282502 6,170 12282502 33,270 SECURITY CSX.N Csx Corp 485 12453698 1,100 12453698 07/13/05 SHT 07/13/05 SHT 05/23/05 SHT PROT64 05/23/05 SHT 05/23/05 SHT 08/09/05 BUY 08/10/05 BUY 08/09/05 SHT 08/10/05 SHT 01/27/06 SHT 03/10/06 SHT 03/15/06 SHT 04/07/06 SEL Trade Date Trx. Type 06/22/05 SHT Local 11,783.51 30,931.71 41,956.24 21,069.12 126,414.71 50,397.33 76,017.38 256,433.25 73,061.41 35,565.06 35,735.86 17,095.32 733,745.68 SECURITY CN0_3.5_9/35_144A Conseco Inc 3.5% 9/30/2035 -75 -74,250.00 -24,906.25 -199,250.00 -273,968.75 -501,450.00 -1,073,825.00 178,942.48 31,016.70 77,541.74 35,788.50 73,605.01 PROT65 396,894.43 21,295.46 48,298.98 1.0000 [repeated 13 times] Functional 11,783.51 13221061 30,931.71 1.0000 41,956.24 13225947 21,069.12 13225947 126,414.71 13235880 50,397.33 13528303 76,017.38 13576885 256,433.25 13576885 73,061.41 13576885 35,565.06 13576885 35,735.86 13576885 17,095.32 13576885 733,745.68 -74,250.00 13225939 -24,906.25 13225939 -199,250.00 13235876 -273,968.75 13903732 -501,450.00 13903732 -1,073,825.00 178,942.48 13065285 31,016.70 13179044 77,541.74 13179048 PROT66 35,788.50 13182676 73,605.01 13260989 396,894.43 21,295.46 13606486 48,298.98 13669329 05/24/06 06/08/06 CVS CVS 02/14/06 03/22/06 03/22/06 03/23/06 04/13/06 CVS CVS BUY CVS CVS 04/04/06 04/04/06 04/06/06 05/17/06 05/17/06 SEL Trade Date 04/03/06 Trx. Type BUY Local Proceeds -10,418.32 -27,333.40 04/04/06 04/04/06 04/06/06 05/04/06 05/17/06 CVS PROT67 CVS CVS BUY CVS -51,220.00 -25,610.00 -154,620.00 -54,439.29 -83,813.84 -283,406.00 -69,690.00 -32,522.00 -32,522.00 -15,564.10 -803,407.23 84,697.50 28,232.50 226,750.00 293,693.95 533,989.00 1,167,362.95 -188,613.00 -31,552.30 -78,748.80 -36,313.80 -71,848.41 -407,076.31 -31,879.24 -67,443.69 1.0000 [repeated 12 times] FX Rate 1.0000 Realized P&L Functional Proceeds PROT68 -10,418.32 -27,333.40 1.0000 -51,220.00 -25,610.00 -154,620.00 -54,439.29 -83,813.84 -283,406.00 -69,690.00 -32,522.00 -32,522.00 -15,564.10 -803,407.23 84,697.50 28,232.50 226,750.00 293,693.95 533,989.00 1,167,362.95 -188,613.00 -31,552.30 -78,748.80 -36,313.80 -71,848.41 -407,076.31 -31,879.24 -67,443.69 Local 1,365.19 3,598.31 -9,263.76 -4,540.88 -28,205.29 -4,041.96 -7,796.46 -26,972.75 3,371.41 3,043.06 3,213.86 1,531.22 -69,661.55 PROT69 10,447.50 3,326.25 27,500.00 19,725.20 32,539.00 93,537.95 -9,670.52 -535.60 -1,207.06 -525.30 1,756.60 -10,181.88 -10,583.78 -19,144.71 Functional Trading 1,365.19 3,598.31 -9,263.76 -4,540.88 -28,205.29 -4,041.96 -7,796.46 -26,972.75 3,371.41 3,043.06 3,213.86 1,531.22 -69,661.55 10,447.50 3,326.25 27,500.00 19,725.20 32,539.00 93,537.95 -9,670.52 -535.60 -1,207.06 -525.30 1,756.60 -10,181.88 -10,583.78 -19,144.71 Functional FX 0.00 PROT70 0.00 [repeated 21 times] Functional Total 1,365.19 3,598.31 -9,263.76 -4,540.88 -28,205.29 -4,041.96 -7,796.46 -26,972.75 3,371.41 3,043.06 3,213.86 1,531.22 -69,661.55 10,447.50 3,326.25 27,500.00 19,725.20 32,539.00 93,537.95 -9,670.52 -535.60 -1,207.06 -525.30 1,756.60 -10,181.88 -10,583.78 -19,144.71 PROT71 Date: Page: User: 9 of 17 4:23:20PM PROT72 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 500 12453698 450 12453698 700 12453698 280 12453698 3,515 SECURITY CVTX.O - Cv Therapeutics Inc 426 12411288 426 12411068 -10 12411072 -15 12357537 06/29/05 BUY 06/29/05 BUY 06/29/05 SHT Trade Date Trx. Type 07/13/05 SHT Local 21,954.08 19,758.67 30,735.71 12,294.29 154,337.19 9,358.50 9,358.50 -5,278.13 -10,550.00 1.0000 SECURITY CVTX_3.25_8/13 - Cv Therapeutics 3.25 8/16/2013 PROT73 -5 -15,828.13 SECURITY DIS.N Disney 17,820 930 12357537 18,750 12357536 06/14/05 BUY 06/14/05 SHT 06/14/05 SHT 491,989.59 25,676.22 517,665.81 SECURITY DIS_2.125_4/23 Disney 2.125% 4/15/2023 -1,000 -1,000 SECURITY DUK.N Duke Energy Corp. 800 12371236 58,780 12371236 5,200 12471485 681 12672316 780 12832481 1,740 12842433 750 12901833 90 12910228 3,270 12980201 1,450 12984563 06/17/05 SHT 06/17/05 SHT 07/19/05 SHT 09/29/05 SHT 11/25/05 SHT 11/23/05 SHT 12/14/05 SHT 12/21/05 SHT 01/18/06 SHT 01/19/06 SHT -1,073,040.00 -1,073,040.00 22,863.04 1,679,862.03 156,019.47 19,885.01 21,321.76 47,389.47 20,554.80 2,466.88 92,776.38 41,296.26 PROT74 1.0000 Functional 21,954.08 13801461 19,758.67 13822538 30,735.71 13842362 12,294.29 13904345 154,337.19 9,358.50 13015159 9,358.50 1.0000 1.0000 -5,278.13 13015153 -10,550.00 13015153 -15,828.13 491,989.59 13042151 25,676.22 13042169 517,665.81 -1,073,040.00 13042146 -1,073,040.00 1.0000 22,863.04 13252145 1,679,862.03 13725985 156,019.47 13725987 19,885.01 13725989 21,321.76 13725993 47,389.47 13725991 20,554.80 13725995 2,466.88 13725997 92,776.38 13725999 41,296.26 13726001 02/07/06 SEL 02/07/06 02/07/06 CVS PROT75 CVS 01/30/06 CVS Trade Date 07/14/06 07/20/06 07/26/06 08/11/06 Trx. Type CVS Local Proceeds -32,101.25 -28,604.03 -42,022.47 -16,508.59 -218,559.27 -11,139.90 -11,139.90 01/30/06 01/30/06 SEL SEL 5,949.00 11,898.00 17,847.00 -476,685.00 -24,717.63 -501,402.63 1,056,398.00 1,056,398.00 04/11/06 06/22/06 CVS PROT76 CVS -22,843.20 -1,671,786.28 -147,895.35 -19,368.60 -22,184.30 -49,488.06 -21,331.06 -2,559.73 -93,003.42 -41,240.05 1.0000 FX Rate 1.0000 Realized P&L Functional Proceeds -32,101.25 -28,604.03 -42,022.47 -16,508.59 -218,559.27 -11,139.90 -11,139.90 1.0000 1.0000 5,949.00 11,898.00 17,847.00 -476,685.00 -24,717.63 -501,402.63 1,056,398.00 1,056,398.00 1.0000 PROT77 1.0000 -22,843.20 -1,671,786.28 -147,895.35 -19,368.60 -22,184.30 -49,488.06 -21,331.06 -2,559.73 -93,003.42 -41,240.05 Local -10,147.17 -8,845.36 -11,286.76 -4,214.30 -64,222.08 -1,781.40 -1,781.40 670.88 1,348.00 2,018.88 15,304.59 958.59 16,263.18 -16,642.00 -16,642.00 19.84 8,075.75 8,124.12 516.41 -862.54 -2,098.59 -776.26 -92.85 -227.04 56.21 Functional Trading -10,147.17 -8,845.36 -11,286.76 -4,214.30 -64,222.08 -1,781.40 -1,781.40 670.88 1,348.00 PROT78 2,018.88 15,304.59 958.59 16,263.18 -16,642.00 -16,642.00 19.84 8,075.75 8,124.12 516.41 -862.54 -2,098.59 -776.26 -92.85 -227.04 56.21 Functional FX 0.00 Functional Total -10,147.17 -8,845.36 -11,286.76 -4,214.30 -64,222.08 -1,781.40 PROT79 -1,781.40 670.88 1,348.00 2,018.88 15,304.59 958.59 16,263.18 -16,642.00 -16,642.00 19.84 8,075.75 8,124.12 516.41 -862.54 -2,098.59 -776.26 -92.85 -227.04 56.21 Date: Page: User: 10 of 17 4:23:20PM PROT80 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 4,000 13088772 2,300 13158590 600 13162066 700 13207628 800 13221064 -4,346 13559704 77,595 12808767 Trade Date Trx. Type 02/22/06 SHT 03/15/06 SHT 03/16/06 SHT 03/29/06 SHT 04/03/06 SHT 06/17/05 BVB SECURITY EDO.N EDO CORPORATION 1,855 2,500 12808767 1,000 12808767 500 12808767 800 12808767 6,655 12896794 16 12896796 1 12896798 3 12896800 1 12896802 2 12896804 6 12896806 2 12896808 1 12896810 3 12896812 4 12896814 4 12896816 3 12896818 PROT81 4 12896820 -2 12896822 54 05/24/05 SEL 05/26/05 SEL 05/26/05 SEL 06/14/05 SEL 06/14/05 SEL 06/22/05 SEL 07/19/05 SEL 07/26/05 SEL 08/10/05 SEL 08/16/05 BUY 11/16/05 SHT Local 114,764.47 66,910.92 17,643.53 20,636.13 23,525.51 -123,606.38 2,224,309.28 49,420.51 66,604.46 26,641.79 13,320.89 21,313.43 177,301.08 SECURITY FVH6 - UST 5 YEAR T-NOTE FUT MARCH 06 6 636,984.37 1,698,624.99 106,164.06 318,492.19 106,164.06 212,328.12 636,984.37 212,328.12 106,164.06 318,492.19 424,656.25 PROT82 424,656.25 318,492.19 424,656.25 -212,328.12 5,732,859.35 1.0000 [repeated 20 times] 1.0000 Functional 114,764.47 13726003 66,910.92 13726005 17,643.53 13726007 20,636.13 13726009 23,525.51 13726011 -123,606.38 13587562 2,224,309.28 49,420.51 13047297 66,604.46 13305194 26,641.79 13801458 13,320.89 13805281 21,313.43 13892994 177,301.08 636,984.37 13116841 1,698,624.99 13116843 106,164.06 13116845 PROT83 318,492.19 13116847 106,164.06 13116849 212,328.12 13116851 636,984.37 13116853 212,328.12 13116855 106,164.06 13116857 318,492.19 13042158 424,656.25 13116859 424,656.25 13116861 318,492.19 13116863 424,656.25 13116865 -212,328.12 13047347 5,732,859.35 03/01/06 02/07/06 03/01/06 02/08/06 BUY [repeated 14 times] SEL 02/08/06 04/27/06 07/14/06 07/17/06 08/09/06 CVS PROT84 CVS CVS Trade Date 06/22/06 05/19/06 Trx. Type CVS SEL Local Proceeds -113,765.65 -65,415.25 -17,064.85 -19,908.99 -22,753.13 120,781.19 -2,209,826.73 -48,179.43 -66,864.00 -23,212.70 -11,373.70 -17,596.56 -167,226.39 -630,187.50 -1,680,500.00 -105,031.25 -315,093.75 -105,031.25 -210,062.50 -630,187.50 -210,062.50 -105,031.25 -316,265.63 -420,125.00 -420,125.00 -315,093.75 -420,125.00 210,937.50 -5,671,984.38 1.0000 PROT85 1.0000 [repeated 19 times] FX Rate 1.0000 Realized P&L Functional Proceeds -113,765.65 -65,415.25 -17,064.85 -19,908.99 -22,753.13 120,781.19 -2,209,826.73 -48,179.43 -66,864.00 -23,212.70 -11,373.70 -17,596.56 -167,226.39 -630,187.50 -1,680,500.00 -105,031.25 -315,093.75 -105,031.25 -210,062.50 -630,187.50 -210,062.50 -105,031.25 PROT86 -316,265.63 -420,125.00 -420,125.00 -315,093.75 -420,125.00 210,937.50 -5,671,984.38 Local 998.82 1,495.67 578.68 727.14 772.38 -2,825.19 14,482.55 1,241.08 -259.54 3,429.09 1,947.19 3,716.87 10,074.69 6,796.87 18,124.99 1,132.81 3,398.44 1,132.81 2,265.62 6,796.87 2,265.62 1,132.81 2,226.56 4,531.25 4,531.25 3,398.44 4,531.25 -1,390.62 60,874.97 Functional Trading 998.82 1,495.67 578.68 727.14 772.38 -2,825.19 14,482.55 1,241.08 -259.54 3,429.09 1,947.19 3,716.87 PROT87 10,074.69 6,796.87 18,124.99 1,132.81 3,398.44 1,132.81 2,265.62 6,796.87 2,265.62 1,132.81 2,226.56 4,531.25 4,531.25 3,398.44 4,531.25 -1,390.62 60,874.97 Functional FX 0.00 [repeated 29 times] Functional Total 998.82 PROT88 1,495.67 578.68 727.14 772.38 -2,825.19 14,482.55 1,241.08 -259.54 3,429.09 1,947.19 3,716.87 10,074.69 6,796.87 18,124.99 1,132.81 3,398.44 1,132.81 2,265.62 6,796.87 2,265.62 1,132.81 2,226.56 4,531.25 4,531.25 3,398.44 4,531.25 -1,390.62 60,874.97 Date: Page: User: 11 of 17 4:23:20PM PROT89 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 13116842 Trade Date Trx. Type 16 13116844 1 13116846 3 13116848 1 13116850 2 13116852 6 13116854 2 13116856 1 13116858 4 13116860 4 13116862 3 13116864 4 13116866 53 13636951 4 13636952 6 13636953 16 13636954 3 13636955 2 13636956 4 13636957 4 13636958 3 13636959 4 13636960 52 SECURITY GM.N - General Motors 39,350 12278517 29,500 12278517 68,850 05/20/05 SHT 05/20/05 SHT 05/31/06 SHT 05/31/06 SHT PROT90 05/31/06 SHT 05/24/05 SEL 05/26/05 SEL 05/26/05 SEL 06/14/05 SEL 06/22/05 SEL 07/19/05 SEL 07/26/05 SEL 08/10/05 SEL Local SECURITY FVM6 - UST 5 YEAR T-NOTE FUT JUNE 06 6 629,812.50 1,679,500.00 104,968.75 314,906.25 104,968.75 209,937.50 629,812.50 209,937.50 104,968.75 419,875.00 419,875.00 314,906.25 419,875.00 5,563,343.75 SECURITY FVU6 - UST 5 YEAR T-NOTE FUT SEP 06 6 622,968.75 415,312.50 622,968.75 1,661,250.00 311,484.38 207,656.25 415,312.50 415,312.50 311,484.38 PROT91 415,312.50 5,399,062.51 1,296,016.69 971,600.82 2,267,617.51 1.0000 Functional 629,812.50 13636941 1,679,500.00 13636942 104,968.75 13636940 314,906.25 13636940 104,968.75 13636945 209,937.50 13636945 629,812.50 13636937 209,937.50 13636946 104,968.75 13606481 419,875.00 13636947 419,875.00 13636948 314,906.25 13636949 419,875.00 13636950 5,563,343.75 622,968.75 14005573 415,312.50 13797069 622,968.75 14005575 1,661,250.00 13954347 PROT92 311,484.38 14005577 207,656.25 14005579 415,312.50 14005581 415,312.50 14005583 311,484.38 14005585 415,312.50 13721003 5,399,062.51 1,296,016.69 13235890 971,600.82 13924239 2,267,617.51 04/06/06 08/15/06 CVS CVS 09/04/06 07/13/06 09/04/06 08/17/06 09/04/06 06/21/06 CVS BUY CVS BUY CVS BUY Trade Date 05/31/06 05/24/06 05/31/06 Trx. Type PROT93 CVS BUY CVS Local Proceeds -623,437.50 -1,662,500.00 -103,906.25 -311,718.75 -103,906.25 -207,812.50 -623,437.50 -207,812.50 -104,250.00 -415,625.00 -415,625.00 -311,718.75 -415,625.00 -5,507,375.00 -630,187.50 -414,125.00 -630,187.50 -1,673,500.00 -315,093.75 -210,062.50 -420,125.00 -420,125.00 -315,093.75 -413,125.00 -5,441,625.00 -771,928.95 -901,520.00 -1,673,448.95 1.0000 PROT94 1.0000 FX Rate 1.0000 [repeated 13 times] Realized P&L Functional Proceeds -623,437.50 -1,662,500.00 -103,906.25 -311,718.75 -103,906.25 -207,812.50 -623,437.50 -207,812.50 -104,250.00 -415,625.00 -415,625.00 -311,718.75 -415,625.00 -5,507,375.00 -630,187.50 -414,125.00 -630,187.50 -1,673,500.00 -315,093.75 -210,062.50 -420,125.00 -420,125.00 -315,093.75 -413,125.00 -5,441,625.00 -771,928.95 -901,520.00 -1,673,448.95 Local PROT95 6,375.00 17,000.00 1,062.50 3,187.50 1,062.50 2,125.00 6,375.00 2,125.00 718.75 4,250.00 4,250.00 3,187.50 4,250.00 55,968.75 -7,218.75 1,187.50 -7,218.75 -12,250.00 -3,609.37 -2,406.25 -4,812.50 -4,812.50 -3,609.37 2,187.50 -42,562.49 524,087.74 70,080.82 594,168.56 Functional Trading 6,375.00 17,000.00 1,062.50 3,187.50 1,062.50 2,125.00 6,375.00 2,125.00 718.75 4,250.00 4,250.00 3,187.50 4,250.00 55,968.75 -7,218.75 1,187.50 -7,218.75 -12,250.00 -3,609.37 -2,406.25 -4,812.50 PROT96 -4,812.50 -3,609.37 2,187.50 -42,562.49 524,087.74 70,080.82 594,168.56 Functional FX 0.00 [repeated 28 times] Functional Total 6,375.00 17,000.00 1,062.50 3,187.50 1,062.50 2,125.00 6,375.00 2,125.00 718.75 4,250.00 4,250.00 3,187.50 PROT97 4,250.00 55,968.75 -7,218.75 1,187.50 -7,218.75 -12,250.00 -3,609.37 -2,406.25 -4,812.50 -4,812.50 -3,609.37 2,187.50 -42,562.49 524,087.74 70,080.82 594,168.56 Date: Page: User: 12 of 17 4:23:20PM PROT98 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 12278519 Trade Date Trx. Type -75,000 12278519 -175,000 12509378 05/20/05 BUY 05/20/05 BUY Local SECURITY GPM.N - GM 6.25% 7/15/2033 -100,000 -2,059,600.00 -1,544,700.00 -3,604,300.00 SECURITY HCC.N Hcc Insurance Holdings Inc 570 07/29/05 SHT 570 SECURITY IVGN.O - Invitrogen Corp -1 12593206 -1 SECURITY LNG.A - Cheniere Energy Inc 300 12485080 300 SECURITY MAS.N - Masco Corp 8,200 12480333 1,200 12480333 600 12480333 1,190 12480333 1,200 12480333 550 12480333 PROT99 4,000 12480333 1,453 12480333 3,047 12504336 1,000 12504336 153 12504336 380 12606837 1,100 12813175 867 13166533 333 13166533 1,200 13226275 342 13555332 07/19/05 SHT 07/28/05 SHT 09/06/05 SHT 11/17/05 SHT 03/17/06 SHT 03/17/06 SHT 04/04/06 SHT 05/11/06 SHT 07/22/05 SHT 08/30/05 CVS 15,805.44 15,805.44 -83.39 -83.39 9,614.60 9,614.60 270,752.66 39,622.34 19,811.17 39,292.16 39,622.34 18,160.24 132,074.47 47,976.05 105,174.08 34,517.25 5,281.14 11,896.79 32,509.63 27,938.48 10,730.69 PROT100 39,745.53 11,377.48 1.0000 Functional -2,059,600.00 13235886 -1,544,700.00 13934017 -3,604,300.00 15,805.44 13612490 15,805.44 1.0000 -83.39 13019532 -83.39 9,614.60 14159027 9,614.60 1.0000 [repeated 17 times] 270,752.66 13136603 39,622.34 13149802 19,811.17 13149862 39,292.16 13571095 39,622.34 13577000 18,160.24 13582455 132,074.47 13663555 47,976.05 13687352 105,174.08 13687352 34,517.25 13699101 5,281.14 13801463 11,896.79 13801463 32,509.63 13801463 27,938.48 13801463 10,730.69 13969365 PROT101 39,745.53 13969365 11,377.48 13969365 05/25/06 CVS Trade Date 04/06/06 08/15/06 Trx. Type SEL SEL Local Proceeds 1,681,108.20 1,591,601.02 3,272,709.22 -17,433.56 -17,433.56 01/31/06 SHT 68.62 68.62 09/29/06 CVS -8,932.65 -8,932.65 03/08/06 03/13/06 03/13/06 05/16/06 05/17/06 05/18/06 06/07/06 06/13/06 06/13/06 06/15/06 07/14/06 08/23/06 CVS BUY CVS PROT102 CVS [repeated 11 times] -249,803.49 -36,372.00 -17,974.68 -38,085.83 -37,194.12 -17,077.61 -116,495.20 -41,547.52 -87,126.83 -27,985.50 -4,152.14 -10,312.52 -29,852.02 -23,528.82 -8,895.23 -32,054.88 -9,135.64 1.0000 FX Rate 1.0000 1.0000 Realized P&L Functional Proceeds 1,681,108.20 1,591,601.02 3,272,709.22 -17,433.56 -17,433.56 1.0000 68.62 68.62 1.0000 -8,932.65 -8,932.65 1.0000 PROT103 1.0000 [repeated 12 times] -249,803.49 -36,372.00 -17,974.68 -38,085.83 -37,194.12 -17,077.61 -116,495.20 -41,547.52 -87,126.83 -27,985.50 -4,152.14 -10,312.52 -29,852.02 -23,528.82 -8,895.23 -32,054.88 -9,135.64 Local -378,491.80 46,901.02 -331,590.78 -1,628.12 -1,628.12 -14.77 -14.77 681.95 681.95 20,949.17 3,250.34 1,836.49 1,206.33 2,428.22 1,082.63 15,579.27 6,428.53 18,047.24 6,531.75 1,129.00 1,584.27 PROT104 2,657.61 4,409.66 1,835.47 7,690.65 2,241.84 Functional Trading -378,491.80 46,901.02 -331,590.78 -1,628.12 -1,628.12 -14.77 -14.77 681.95 681.95 20,949.17 3,250.34 1,836.49 1,206.33 2,428.22 1,082.63 15,579.27 6,428.53 18,047.24 6,531.75 1,129.00 1,584.27 2,657.61 4,409.66 1,835.47 7,690.65 2,241.84 Functional FX 0.00 [repeated 16 times] PROT105 0.00 Functional Total -378,491.80 46,901.02 -331,590.78 -1,628.12 -1,628.12 -14.77 -14.77 681.95 681.95 20,949.17 3,250.34 1,836.49 1,206.33 2,428.22 1,082.63 15,579.27 6,428.53 18,047.24 6,531.75 1,129.00 1,584.27 2,657.61 4,409.66 1,835.47 7,690.65 2,241.84 Date: Page: User: 13 of 17 4:23:20PM PROT106 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 848 13555332 397 14095025 28,060 SECURITY PPL.N - Pp & L Resources Inc 4,840 12581465 1,800 12581465 2,350 12581465 478 12581465 700 12581465 1,950 12581465 12,118 SECURITY RPM.N Rpm Inc/ohio 1,250 12485135 700 12485135 1,290 12485135 710 12493963 2,800 12493963 2,700 12493963 5,000 12493963 1,000 12493963 2,500 12493963 17,950 SECURITY SVU.N Supervalu Inc 7,400 12287209 4,000 12287209 3,540 12287209 950 12287209 370 12467468 380 12514484 2,260 12514484 1,490 12526216 05/24/05 SHT PROT107 07/18/05 SHT 08/01/05 SHT 08/01/05 SHT 08/03/05 SHT 07/22/05 SHT 07/26/05 SHT 05/20/05 SHT Trade Date Trx. Type 05/11/06 SHT 09/15/06 SHT Local 28,210.82 11,256.87 925,950.19 134,062.39 49,857.91 65,092.28 13,240.05 19,389.19 54,012.74 335,654.56 23,649.01 13,243.44 24,405.78 13,240.95 52,217.81 50,352.89 93,246.09 18,649.22 46,623.05 335,628.24 242,265.85 130,954.51 115,894.75 PROT108 31,101.70 12,425.93 13,479.94 80,170.14 53,284.94 1.0000 Functional 28,210.82 14104851 11,256.87 14104851 925,950.19 134,062.39 13244864 49,857.91 13256659 65,092.28 13305196 13,240.05 13560364 19,389.19 13565970 54,012.74 13577002 335,654.56 23,649.01 13098270 13,243.44 13121896 24,405.78 13125685 13,240.95 13125685 52,217.81 13576992 50,352.89 13593465 93,246.09 13687349 18,649.22 13805278 PROT109 46,623.05 13812018 335,628.24 242,265.85 13032770 130,954.51 13211896 115,894.75 13256662 31,101.70 13842343 12,425.93 13842343 13,479.94 13842343 80,170.14 13848064 53,284.94 13848064 02/03/06 03/30/06 04/12/06 07/26/06 07/27/06 07/27/06 CVS BUY 02/24/06 03/03/06 03/06/06 03/06/06 05/17/06 05/22/06 06/13/06 07/17/06 07/18/06 CVS 04/10/06 04/12/06 04/27/06 05/12/06 05/15/06 05/17/06 CVS PROT110 CVS Trade Date 09/19/06 09/19/06 Trx. Type CVS CVS Local Proceeds -23,193.57 -10,858.31 -821,645.91 -140,716.22 -51,480.36 -66,922.12 -14,030.50 -20,527.78 -56,427.34 -350,104.32 -22,314.50 -12,643.47 -23,209.55 -12,774.25 -51,935.24 -50,145.21 -90,552.50 -17,797.25 -44,003.75 -325,375.72 -228,300.36 -124,285.56 -104,161.31 -27,911.38 -10,870.75 -11,164.55 -62,678.92 -41,323.72 1.0000 PROT111 1.0000 FX Rate 1.0000 1.0000 Realized P&L Functional Proceeds -23,193.57 -10,858.31 -821,645.91 1.0000 -140,716.22 -51,480.36 -66,922.12 -14,030.50 -20,527.78 -56,427.34 -350,104.32 -22,314.50 -12,643.47 -23,209.55 -12,774.25 -51,935.24 -50,145.21 -90,552.50 -17,797.25 -44,003.75 -325,375.72 -228,300.36 -124,285.56 -104,161.31 -27,911.38 -10,870.75 -11,164.55 -62,678.92 -41,323.72 Local PROT112 5,017.25 398.56 104,304.28 -6,653.83 -1,622.45 -1,829.84 -790.45 -1,138.59 -2,414.60 -14,449.76 1,334.51 599.97 1,196.23 466.70 282.57 207.68 2,693.59 851.97 2,619.30 10,252.52 13,965.49 6,668.95 11,733.44 3,190.32 1,555.18 2,315.38 17,491.22 11,961.23 Functional Trading 5,017.25 398.56 104,304.28 -6,653.83 -1,622.45 -1,829.84 -790.45 -1,138.59 -2,414.60 -14,449.76 1,334.51 599.97 1,196.23 466.70 282.57 207.68 2,693.59 851.97 2,619.30 10,252.52 13,965.49 PROT113 6,668.95 11,733.44 3,190.32 1,555.18 2,315.38 17,491.22 11,961.23 Functional FX 0.00 [repeated 28 times] Functional Total 5,017.25 398.56 104,304.28 -6,653.83 -1,622.45 -1,829.84 -790.45 -1,138.59 -2,414.60 -14,449.76 1,334.51 599.97 PROT114 1,196.23 466.70 282.57 207.68 2,693.59 851.97 2,619.30 10,252.52 13,965.49 6,668.95 11,733.44 3,190.32 1,555.18 2,315.38 17,491.22 11,961.23 Date: Page: User: 14 of 17 4:23:20PM PROT115 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num 750 12526216 1,130 12993233 977 13816827 2,300 14094630 25,547 SECURITY TJX.N - Tjx Companies 6,200 12282513 24,504 12282513 12,250 12282513 5,000 12282513 5,636 12282513 6,980 12945633 3,684 12949804 2,000 12949804 596 12949804 6,980 13019538 4,900 13183208 2,900 13792635 81,630 SECURITY TJX_0_2/21 - Tjx_096_02/2021 -1,000 12282511 -500 12282511 -750 12282511 -750 12282511 -3,000 SECURITY TYH6 - TYH6 20 12841921 20 SECURITY TYM6 - TYM6 20 13105081 20 02/27/06 SEL 11/29/05 SEL 05/23/05 BUY PROT116 05/23/05 BUY 05/23/05 SHT 01/05/06 SHT 01/06/06 SHT 01/31/06 SHT 03/23/06 SHT 07/12/06 SHT Trade Date Trx. Type 08/03/05 SHT 01/23/06 SHT 07/19/06 SEL 09/11/06 SHT Local 26,821.28 37,399.97 29,992.48 68,541.57 842,333.06 145,445.91 574,839.76 287,372.96 117,295.09 132,215.02 170,018.15 89,725.67 48,711.01 14,515.88 178,018.41 127,186.16 70,634.87 1,955,978.89 -805,625.00 -402,812.50 -604,218.75 -604,218.75 -2,416,875.00 2,178,437.50 2,178,437.50 PROT117 2,153,125.00 2,153,125.00 1.0000 [repeated 21 times] Functional 26,821.28 13848078 37,399.97 13858569 29,992.48 13858569 68,541.57 14145109 842,333.06 145,445.91 13244862 574,839.76 13265638 287,372.96 13280208 117,295.09 13576993 132,215.02 13606467 170,018.15 13606467 89,725.67 13606467 48,711.01 13687328 14,515.88 13797066 178,018.41 13797066 127,186.16 13797066 70,634.87 13797066 1,955,978.89 -805,625.00 13265642 -402,812.50 13280201 -604,218.75 13606457 -604,218.75 13797059 -2,416,875.00 2,178,437.50 13105066 2,178,437.50 PROT118 1.0000 2,153,125.00 13236078 2,153,125.00 02/27/06 BUY 04/17/06 04/20/06 05/24/06 07/13/06 SEL 04/10/06 04/17/06 04/20/06 05/17/06 05/24/06 06/13/06 07/13/06 CVS BUY CVS Trade Date 07/27/06 07/31/06 07/31/06 09/27/06 Trx. Type BUY CVS Local PROT119 Proceeds -21,680.08 -30,724.02 -26,564.05 -67,935.56 -757,600.26 -151,377.34 -592,849.78 -301,958.83 -117,801.00 -132,615.08 -164,239.40 -86,684.52 -45,339.80 -14,298.04 -167,450.20 -117,551.00 -69,571.00 -1,961,735.99 823,272.00 415,937.50 606,757.50 612,584.25 2,458,551.25 -2,156,250.00 -2,156,250.00 04/06/06 BUY -2,124,687.50 -2,124,687.50 1.0000 [repeated 17 times] FX Rate 1.0000 PROT120 1.0000 Realized P&L Functional Proceeds -21,680.08 -30,724.02 -26,564.05 -67,935.56 -757,600.26 -151,377.34 -592,849.78 -301,958.83 -117,801.00 -132,615.08 -164,239.40 -86,684.52 -45,339.80 -14,298.04 -167,450.20 -117,551.00 -69,571.00 -1,961,735.99 823,272.00 415,937.50 606,757.50 612,584.25 2,458,551.25 -2,156,250.00 -2,156,250.00 1.0000 -2,124,687.50 -2,124,687.50 Local 5,141.20 6,675.95 3,428.43 606.01 84,732.80 -5,931.43 -18,010.02 -14,585.87 -505.91 -400.06 5,778.75 3,041.15 3,371.21 217.84 10,568.21 9,635.16 1,063.87 -5,757.10 PROT121 17,647.00 13,125.00 2,538.75 8,365.50 41,676.25 22,187.50 22,187.50 28,437.50 28,437.50 Functional Trading 5,141.20 6,675.95 3,428.43 606.01 84,732.80 -5,931.43 -18,010.02 -14,585.87 -505.91 -400.06 5,778.75 3,041.15 3,371.21 217.84 10,568.21 9,635.16 1,063.87 -5,757.10 17,647.00 13,125.00 2,538.75 8,365.50 41,676.25 22,187.50 22,187.50 28,437.50 28,437.50 Functional FX 0.00 [repeated 11 times] PROT122 0.00 [repeated 16 times] Functional Total 5,141.20 6,675.95 3,428.43 606.01 84,732.80 -5,931.43 -18,010.02 -14,585.87 -505.91 -400.06 5,778.75 3,041.15 3,371.21 217.84 10,568.21 9,635.16 1,063.87 -5,757.10 17,647.00 13,125.00 2,538.75 8,365.50 41,676.25 22,187.50 22,187.50 28,437.50 28,437.50 Date: Page: User: PROT123 15 of 17 4:23:20PM PROT124 Fund: Date: Highbridge - Financial Trust Co Highbridge - Financial Trust Co CURRENCY: BROKER: US DOLLAR Qty Trx. Num 12775635 Trade Date Trx. Type SECURITY VCI.N Valassie Comm. 940 1,500 12775635 510 12775635 700 12775635 150 12775635 602 12775635 850 12819993 5,252 SECURITY VNO.N - Vornado Realty Trust 650 12282686 9,250 12282686 1,333 12431369 1,000 12520714 300 12854339 800 13084099 900 13089103 1,500 13153841 700 13761135 16,433 12282672 05/23/05 BUY 05/23/05 SHT 05/23/05 SHT 07/06/05 SHT 08/02/05 SHT 12/02/05 SHT 02/21/06 SHT 02/22/06 SHT 03/14/06 SHT 07/03/06 SHT 11/04/05 SHT PROT125 11/04/05 SHT 11/21/05 SHT Local 29,232.77 46,648.04 15,860.34 21,769.09 4,664.80 18,721.42 25,481.93 162,378.39 52,680.30 749,681.13 108,623.75 87,826.62 25,894.96 70,620.47 80,199.50 140,664.18 69,125.39 1,385,316.30 SECURITY VNO_3.875_4/25 Vornado Rlty Trust 3.875% 4/15/2025 -2,000 -2,000 SECURITY WYE.N - WYETH CORP 13,240 12560475 13,240 12560477 08/16/05 BUY 08/16/05 SHT -2,055,000.00 -2,055,000.00 604,910.28 604,910.28 -2,000 Total for HBFT-USD-CSF -2,057,500.00 -2,057,500.00 1.0000 PROT126 1.0000 [repeated 11 times] Functional 29,232.77 13032759 46,648.04 13140736 15,860.34 13587556 21,769.09 13612534 4,664.80 13725744 18,721.42 13772584 25,481.93 13772584 162,378.39 52,680.30 13587565 749,681.13 13954324 108,623.75 13954324 87,826.62 13954324 25,894.96 13954324 70,620.47 13954324 80,199.50 13954324 140,664.18 13954324 69,125.39 13954324 1,385,316.30 -2,055,000.00 13954319 -2,055,000.00 1.0000 SECURITY WYE_FLT_1/24 - WYETH CORP FLT 1/15/2024 -2,000 22,012,845.06 604,910.28 13047284 604,910.28 1.0000 -2,057,500.00 13047334 -2,057,500.00 22,012,845.06 08/17/06 SEL 05/19/06 08/17/06 PROT127 08/17/06 CVS Trade Date 02/03/06 03/09/06 05/19/06 05/25/06 06/22/06 07/06/06 07/06/06 Trx. Type BUY CVS Local Proceeds -26,137.17 -42,806.47 -14,485.38 -19,872.51 -3,996.03 -11,905.81 -16,810.54 -136,013.91 -58,521.19 -946,830.00 -136,445.88 -102,360.00 -30,708.00 -81,888.00 -92,124.00 -153,540.00 -71,652.00 PROT128 -1,674,069.07 2,402,660.00 2,402,660.00 02/08/06 CVS -604,935.60 -604,935.60 02/08/06 SEL 2,090,000.00 2,090,000.00 -21,191,153.15 1.0000 FX Rate 1.0000 Realized P&L Functional Proceeds -26,137.17 -42,806.47 -14,485.38 -19,872.51 -3,996.03 -11,905.81 -16,810.54 -136,013.91 -58,521.19 -946,830.00 -136,445.88 -102,360.00 -30,708.00 -81,888.00 -92,124.00 -153,540.00 -71,652.00 -1,674,069.07 PROT129 2,402,660.00 2,402,660.00 1.0000 -604,935.60 -604,935.60 1.0000 2,090,000.00 2,090,000.00 -21,191,153.15 Local 3,095.60 3,841.57 1,374.96 1,896.58 668.77 6,815.60 8,671.39 26,364.47 -5,840.89 -197,148.87 -27,822.13 -14,533.38 -4,813.04 -11,267.53 -11,924.50 -12,875.82 -2,526.61 -288,752.77 347,660.00 347,660.00 -25.32 -25.32 32,500.00 32,500.00 821,691.89 Functional Trading 3,095.60 3,841.57 1,374.96 1,896.58 668.77 6,815.60 8,671.39 26,364.47 -5,840.89 -197,148.87 -27,822.13 -14,533.38 -4,813.04 -11,267.53 PROT130 -11,924.50 -12,875.82 -2,526.61 -288,752.77 347,660.00 347,660.00 -25.32 -25.32 32,500.00 32,500.00 821,691.89 Functional FX 0.00 Functional Total 3,095.60 3,841.57 1,374.96 1,896.58 668.77 6,815.60 8,671.39 26,364.47 -5,840.89 -197,148.87 -27,822.13 PROT131 -14,533.38 -4,813.04 -11,267.53 -11,924.50 -12,875.82 -2,526.61 -288,752.77 347,660.00 347,660.00 -25.32 -25.32 32,500.00 32,500.00 821,691.89 Date: Page: User: 16 of 17 4:23:20PM PROT132 Fund: Date: CURRENCY: BROKER: US DOLLAR Qty Trx. Num Trade Date Total for HBFT-USD: Total for HBFT: Trx. Type Local 22,012,845.06 Functional 22,012,845.06 22,175,287.24 Trade Date Trx. Type Local Proceeds -21,191,153.15 FX Rate Realized P&L Functional Proceeds -21,191,153.15 -22,704,271.44 Local 821,691.89 Functional Trading 821,691.89 1,055,930.95 Functional FX 0.00 -19,695.24 PROT133 Functional Total 821,691.89 1,036,235.71 Date: Page: User: 17 of 17 4:23:20PM PROT134