highbridge-gavea

Presenters:

Marcos Pinto, Partner, Gávea Investimentos

Sebastian Echavarria, Managing Director, Highbridge Capital Management

Strategic Partnership: Gávea Investimentos & Highbridge Capital Management

11

Overview of Relationship

Strategic Rationale

Initial Gains

Challenges

Evolution of Hedge Fund Industry

Agenda

2


2

3

Highbridge: Evolution of a Global Alternative Investment Management

Organization

2008

Mezzanine DebtQuantitative

Global Macro

European

Convertible

Arbitrage &

European Event

1994 1995 1996 1997 1998 1999 2000 2003 2004 2005 2006

Japanese

Convertible

Arbitrage

US Convertible

Arbitrage

Event Driven

(Focus on

Merger

Arbitrage)

Statistical

Arbitrage

Event

broadened to

include Relative

Value

2001 2002

London office

established

Inception of

Dubin & Swieca

Asset

Management

Hong Kong office

established

Tokyo office

established

Louis Dreyfus /

Highbridge

Energy

2007

$1 Billion AUM

47 Employees

$5 Billion AUM

142 Employees

Strategic

partnership with

J.P. Morgan

formalized

Principal

Strategies Group

established

J.P. Morgan

completes

purchase of

Highbridge

Leveraged

Loans & High

Yield

Quantitative

Commodities

2010

Asset

Management

business

established

Growth Private

Equity

Liquid Loan

Inception of

Highbridge

Capital

Management

$2 Billion AUM

51 Employees

1992 1993 2009

Long/Short

Equities

Strategic

partnership with

Gávea established

2011

$27 Billion AUM(1)

473 Employees

Asian EquitiesCredit

Opportunities

4

Highbridge today

4

While HCM has certain governance and information rights regarding the operations of Gávea, and HCM provides back office services for Gávea, HCM does not have investment discretion over the assets managed by Gávea. 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 allocationof ~$200mm to Gávea Fund.

Global

Alternative

Asset Manager

$28bn AUM

Hedge Fund Business

AUM ($bn)

Highbridge Multi-Strategy $6.5

Long / Short Equity 1.8

Statistical Arbitrage

Quantitative Commodities

Global Macro

1.1

0.4

0.2

Total $10.0

Principal Strategies Business1

AUM ($bn)

Mezzanine $2.1

Liquid Loan Opportunities2 0.9

Senior Loan II 1.1

Constellation Growth Equity 0.3

Leveraged Loan Partners 0.5

Credit Opportunities 0.7

Total $5.7

Asset Management Business

AUM ($bn)

Market Neutral Funds $2.6

Mutual Fund 1.3

UCITS 1.3

Long-Only Equities

Quantitative Commodities

1.3

2.7

Total $6.5

Gávea3

AUM ($bn)

Hedge Fund Strategies $2.9

Longer Dated Funds 4.3

Total $7.2

5

Overview of Gávea

• Gávea 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. Gávea has offices in Rio de Janeiro and São

Paulo (Brazil), with a total staff of 104 as of December 2010.

• Gávea 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.

• Gávea maintains a dedicated private quity group (Gávea Investment Funds or “GIF”)

comprised of 27 professionals led by Luiz Fraga and Christopher Meyn. Gávea has been one

of the largest and most active participants in the private equity industry in Brazil and has a

strong track record.

• GIF’s 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.

6


55% ownership of Gávea 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

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

7

Highbridge Management Structure

Glenn Dubin

Co-Founder

Chairman & Chief Executive Officer

Subu Venkataraman

Chief Risk Officer

Jan Faller

Deputy Chief Risk Officer

Todd Builione

Managing Partner

President & Chief Operating Officer

Christopher Hayward

Management Co. CFO

Jim Glynn

Chief Financial Officer

Faith Rosenfeld

Chief Administrative Officer,

HPS

James Jordan

Director of Finance &

Treasury

Marc Creatore

Head of Operations

Noah Greenhill

General Counsel

John Oliva

Chief Compliance Officer

Amy Yates

Head of Human Resources

Scott Kapnick

Managing Partner

CEO, Highbridge Principal Strategies

Alec McAree

Fundamental L/S Equity

Mark Vanacore

Convertible & Volatility

Arbitrage

Evan Dick


Alain Sunier


Sassan Alizadeh

Global Macro

Finance, Operations & Technology

Business Development & Investor Relations

Portfolio Management

HCM Risk Management Legal, Regulatory ,

Compliance & HR

Mark D’Andrea

Global Head of Institutional

Business Development

Catherine Vaughn Deutsch

Global Head of Asset

Management & Investor

Relations

Sebastian Echavarria

Global Head of Family Offices

& Bank Platforms

Jeff Holman

Global Head of Product

Strategy

Portfolio Management

HPS

Scot French

Mezzanine Debt

Mike Patterson

Senior Loan

Purnima Puri

Credit Opportunities

Serge Adam

Credit Opportunities

Cliff Friedman

Growth Equity

David Frey

Liquid Loan

HCM Investment Committee

Glenn Dubin Todd Builione Arminio Fraga

Alec McAree Alain Sunier

Mark Vanacore Subu Venkataraman

Jeff Holman

HCM Executive Committee

Glenn Dubin Todd Builione Scott Kapnick

Christopher Hayward Mary Erdoes

Arminio Fraga Amaury Bier

HPS Investment Committee

Scott Kapnick Scot French

Mike Patterson Purnima Puri

Faith Rosenfeld

8

Gávea Management Structure

Arminio Fraga*

Co-Founder, Chairman and Chief Investment Officer

Luiz Fraga*

Co-Founder, Co-CIO, Longer-Dated Investments

Gabriel Srour*

Co-CIO, Hedge Funds

Edward Amadeo*

Chief EconomistAndré Monteiro*

Chief Risk Officer

Christopher Meyn*

Head Portfolio Manager,

Longer-Dated Investments

Amaury Bier*

Chief Executive Officer

Bernardo Meres*

FX and FI Trading, Global

Bruno Carvalho

FX and FI Trading, Brazil

Marcos Stein

Equities Trading, Global

Paola Bonoldi*

Head of Equities Research

Felipe Diogenes*

Global Macro Research

Carlos van Hombeeck

Global Macro Research

Andrei Spacov*

Brazil Research

Eduardo Rudge*

Chief Financial Officer,

Chief Operating Officer

Mauricio Magalhães*

Head of Operations

Rodrigo Musse

Administration / Finance

Flavio Ferreira

General Counsel

Rodrigo Fiães*

Head of Business Development

and Investor Relations

Piero Minardi*

Portfolio Manager

Carlos de Barros*

Portfolio Manager

Helio França*

Portfolio Manager

Marcos Pinto

Portfolio Manager

Eduardo Soares*

Head of Investment and Fund

Structuring

Hedge Funds Investment Committee

Arminio Fraga Gabriel Srour

Edward Amadeo Bernardo Meres

Paola Bonoldi André Monteiro

Longer-Dated Funds Investment Committee

Arminio Fraga Luiz Fraga Christopher Meyn

Piero Minardi Carlos de Barros Helio França

Eduardo Soares

Daniel Tonholo

Risk Manager

Franklin Lima

P&L Manager

9

Strategic Rationale

10

Strategic Rationale

Partnership deepens J.P. Morgan’s presence in

Emerging Markets, and in particular Brazil

Gávea’s 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 Gávea

Benefit from the global resources of Highbridge and

J.P. Morgan

11

Partnering Locally with a Long-term Commitment

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

Gávea Investimentos

Glenn Dubin

Co-Founder, CEO, Chairman

Highbridge Capital Management

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

12

Initial Gains

13

Initial Gains

Helped raise $500 million for Gávea Macro Hedge Funds

– Increased Hedge Fund AUM by 30%

Helped raise $1,6 billion for Gávea 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

14

Initial Challenges of the Relationship

15

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….

16

Disclaimer

16

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.

17

Evolution of the Hedge Fund Industry

18

Evolution of hedge fund investors

18

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

199814% Institutional



Institutional

14%

High Net

Worth

86%

E&Fs

6%

Corporate

& Public

Pensions

15%High Net

Worth

67%

Corporate

Balance

Sheets

9%

SWFs

3%

High Net

Worth

39%

Corporate

& Public

Pensions

40%

SWFs

6%

Corporate

Balance

Sheets

9%

E&Fs

6%

The client base has become increasingly institutional

$370 billion $1 trillion $2 trillion

19

Emerging paradigm

19

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

Old Allocation Framework

Fixed

Income

Equity

The way investors think about hedge fund strategies is evolving

New Allocation Framework

Global Macro &

Market Neutral

(Liquid Alpha)

Beta (ETFs &

Passive

Indices)

Private Equity

& Distressed

(Illiquid)

Real Estate &

Commodities

Equity (L/S,

Long Only)

Credit (L/S,

High Yield,

Core+)

Alternatives

60 / 40 Old School Paradigm

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