Annual Financial Report

RNS Number : 8602K

Highbridge Tactical Credit Fund Ltd

27 April 2020

Highbridge Tactical Credit Fund Limited

(the "Company")

ANNUAL REPORT AND FINANCIAL STATEMENTS

The Company is pleased to announce the release of its annual report and financial statements for the year ended 31 December 2019 (the "Annual Report").

In accordance with DTR 6.3.5(1) please see below the full text of the Annual Report.

A copy of the Annual Report will be submitted to the National Storage Mechanism and will shortly be available for inspection at www.morningstar.co.uk/uk/NSM The Annual Report will also be posted to shareholders and will be available to view on the Company's website at: https://www.highbridgemsfltd.co.uk

For further information please contact:

Praxis Fund Services Limited

Company Secretary

Tel: +44 (0) 1481 737 600

LEI: 213800397SYHLYFH5961

J.P. Morgan Asset Management (UK), Investor Relations

Tel: 0207 742 3408

Financial Highlights

Company Key Figures¹

	31 December 2019	31 December 2018
Sterling Share price decrease	(10.79%)	(5.39%)
NAV per share decrease	(1.32%)	(2.01%)
NAV per share decrease (since investment into Highbridge Tactical Credit Master Fund L.P. ²)	(2.13%)	n.a
Annualised Sterling NAV return (since inception³)	6.17%	6.84%

Underlying Fund Key Figures⁴

Sharpe Ratio	1.44	0.9
Beta to FTSE 100⁵	0.09	0.11
of the volatility of the FTSE 100⁵	1/3	1/4
Beta to Barclays Aggregate⁶	(0.26)	0.04
Beta to S&P 500⁶	0.09	0.14

Inception to date performance statistics for the Company are: 38.36% cumulative net return, 5.41% annualised net return, 4.32% annualised volatility, (9.44%) maximum drawdown and 1.03 Sharpe Ratio.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. There can be no assurance that Highbridge Tactical Credit Fund Limited's ("the Company") objectives will be realised or that the Company will not experience losses.

A glossary which explains the calculation of these statistics is provided at the end of this report.

1. Information is for the Company as at 31 December 2019.

2. NAV per share prior to investment into Highbridge Tactical Credit Master Fund L.P £2.1694.

3. This alternative performance measure ("APM") is provided for shareholders information in addition to the Financial Statements. Shareholders should base their assessment of the financial performance of the Company on the information contained in the Financial Statements. Data used (NAV at inception £1.00. Periods since inception 13.6 years)

4. Information is for the Highbridge Tactical Credit Master Fund, L.P. (formerly: 1992 Tactical Credit Master Fund, L.P.) (the "Underlying Fund") managed by Highbridge Capital Management, LLC for the period between 1 March 2016 and 31 December 2019. The performance depicted is not solely the performance of a standalone Highbridge Fund. The performance incorporates numbers based on the trading P&L of the Convertible Credit & Capital Structure Arbitrage Allocation within the Highbridge Multi-Strategy Fund (the "Highbridge Multi-Strategy Fund Allocation") from January 1, 2012 to October 31, 2013. To generate the estimated returns, Highbridge has made assumptions on the amount of capital that would be required to support the strategy in a single strategy fund based on its view of the strategy's risk profile. Pro forma returns are shown net of a 2% management and 20% incentive compensation and 40 bps of estimated expenses. The Underlying Fund is managed by the same team of professionals that managed the Highbridge Multi-Strategy Fund Allocation, which followed a substantially similar investment strategy. The Underlying Fund was launched in November 2013. Actual Underlying Fund returns are shown beginning on November 1, 2013. Underlying Fund returns are presented net of a pro forma 2% management fee, 20% incentive compensation and 40bps of fund expenses. Certain recent performance estimated and unaudited. Note: The Underlying Fund was launched in November 2013. Underlying Fund returns are net of 2% management fee, 20% incentive compensation, and actual fund expenses.

5. Index Source: FTSE International Limited ("FTSE") © FTSE 2017. "FTSE ®" is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited under license. All rights in the FTSE indices vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices or underlying data. No further distribution of FTSE data is permitted without FTSE's express written consent.

6. Index Source : Bloomberg

Note: All index performance information has been obtained from third parties and should not be relied upon as being complete or accurate. Indices are shown for comparison purpose only. While an investor may invest in vehicles designed to track certain indices, an investor cannot invest directly in an index. Indices are unmanaged, do not charge fees or expenses, and do not employ special investment techniques such as leverage or short selling.

Chairman's Statement

It has been an extremely eventful year for the Company illustrated by my statement in the Interim Report when there was uncertainty as to the Company's continuing existence, since the results of the second EGM were not known at the time the Interim Report was finalised. It transpired there was sufficient support for the Company to continue, hence I am pleased to have the opportunity to address you once again.

Review of the year

The year began on a strong note as financial markets recovered from fears of a global recession which led to a more favourable trading environment for hedge funds. The Company's Net Asset Value ("NAV") enjoyed a strong rebound in the first quarter (+2.5%) before posting a small loss (-0.4%) in the second quarter as weak earnings data and concerns over the Italian budget deficit triggered a flight to quality rally in fixed income and expectations of additional fiscal stimulus. This performance was not reflected in the Company's share price with (+2.2%) and (-0.7%) returns leading to a widening of the discount in the first and second quarters respectively. The Company resumed a share repurchase program in the first quarter which used up the modest cash balance so a redemption of £10m of the Highbridge Multi-Strategy Fund Corporation (" MSF Corp") was instructed to fund additional share repurchases in the second quarter. Shortly after the redemption settled, the Board was made aware of Highbridge Capital Management, LLC's (the "Investment Manager" or "Highbridge") intention to restructure their business to focus on Credit and Convertible bond based investment strategies. The Board therefore suspended share repurchase activity whilst shareholders were consulted on their preferences for the Company's future.

An extensive shareholder consultation programme during the summer revealed limited appetite for a completely new manager (other than Highbridge ) to be appointed, so the Board decided to offer shareholders the opportunity to either receive cash distributions from MSF Corp as it unwound or to re-invest into Highbridge Tactical Credit Master Fund, L.P. (the "Underlying Fund") via Highbridge Tactical Credit Fund, Ltd ("TCF Feeder") .

Before approaching shareholders with the two options the Board undertook a detailed due diligence review on the impact of the change in investment strategy arising from the Company investing in the Underlying Fund .

Our performance in the third quarter was dominated by the process of unwinding the Multi-Strategy portfolio and our NAV fell by 1.3% whereas our share price dropped by 3.7% as the Board were unable to re-purchase shares whilst the future of the Company was being determined.

The final quarter of the year saw the asset value of the Company shrink from over £200m to approximately £50m as a significant number of shareholders elected to exit. To avoid shareholders being trapped in an illiquid sub-scale Company, the Board has committed to hold a discontinuation vote to wind up the Company if the Company's NAV is not above £80m by the end of 2020. The Company was 72% invested in the Underlying Fund and 24% invested in Highbridge Multi-Strategy Master Fund, L.P. ( the "HMS Master Fund") at the start of the quarter as the most liquid assets in the HMS Master Fund portfolio had been unwound. The quarter saw the realisation of many of the less liquid positions in the HMS Master Fund portfolio along with a large volume of year end selling by activist investors of one of the Underlying Fund's largest holdings which resulted in an overall loss for the quarter of 2%.

Discount Management

Despite offering two cash exit opportunities it was disappointing to note that the Company's share price was subject to selling pressure in the final quarter leading to a year end discount to NAV of approximately 13%. It was also surprising that exiting shareholders had voted against allowing the Company issuing further shares. Preventing the Company from issuing further shares reduces liquidity, prejudices the interests of continuing shareholders who want the Company to grow and also increases the likelihood of the Company winding up which would be to the detriment of both continuing and exiting shareholders.

The Board do not intend to carry out any buying back of the Company's shares before the results of the discontinuation vote at the end of 2020 are known, or the Company has reached a NAV of £80m, if earlier.

Future Prospects

Despite the turmoil of the last year, the future prospects for the Company are encouraging. The Board implemented an aggressive cost reduction programme to mitigate the impact of the reduced asset base on the Company's total expense ratio. The cost reductions involved reducing the size of the board and I am very grateful to Sarita Keen both for volunteering to step down and for her valuable contributions to the Company, not least during its recent travails. The remaining Directors have also all waived a proportion of their fees, our new Administrator (the "Administrator", "Secretary" or "PraxisIFM") has also reduced its fee from that it originally quoted, and various other cost reduction initiatives have been implemented with the help of the team at J.P. Morgan Asset Management and at PraxisIFM.

We have appointed a new broker, finnCap Limited, who specialise in promoting smaller companies, and have tasked them with managing a project to attempt to rebuild the Company to its target size of £80m by the end of 2020. The Board were disappointed to note that a significant number of portfolio valuation metrics in the Underlying Fund were at or near all-time lows when they visited the Investment Manager in December.

COVID-19

Since the reporting date, the emergence and subsequent escalation of the outbreak of the COVID-19 strain of coronavirus has had a significant negative impact on global markets, and consequently on some of the companies held within the Underlying Fund's portfolio. As of the date of approval of these financial statements, the assessment of this situation continues to evolve and it may be some time before there is clarity around the full economic impact.

However, it is noteworthy that the Company's NAV performance is broadly flat for the 3 months to 31 March 2020, and therefore your Board has been surprised and disappointed at the current relatively high level of share price discount being of the order of 15%.

It is our intention for the Investment Manager to commence an aggressive marketing campaign as soon as the current COVID-19 restrictions are lifted sufficiently to enable them to do so. The Investment Manager strongly believes that the Company now has an extremely compelling investment portfolio which will deliver strong performance over the rest of the year.

Further Extraordinary General Meeting (EGM)

The Board and its advisors believe that the future prospects for the Company are positive, and so another EGM to allow the Board to disapply pre-emption rights in certain circumstances was held in February 2020. The shareholders approved both proposals to disapply pre-emption rights on the issue of ordinary shares which should allow the Company to grow as intended.

BlueCrest residual investments

During the year, a small amount of cash was received from the liquidators of the AllBlue and AllBlue Leveraged funds into which the Company was invested prior to February 2016. This has been retained by the Company as to distribute it to creditors would not be economical. The Board has no visibility as to when further cash may be forthcoming from this source.

I would like to thank our shareholders for their ongoing support and the Board hope you will see this support rewarded in 2020.

Vic Holmes

24 April 2020

Investment Manager's Report

The commentary is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Company should seek their own independent financial advice and may not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of information for shareholders of the Company but is not attributable to the Company.

In June 2019, Highbridge announced its decision to refocus its business around its credit strategies, including the Underlying Fund and certain other credit-focused funds. As part of this refocus, Highbridge commenced winding down certain of its funds, including MSF Corp in which the Company was invested. Investors in MSF Corp were given the option to either transfer their investment, in whole or in part, in MSF Corp to TCF Feeder or receive a return of capital, over time. The Company, at the election of its Shareholders, chose to transfer a portion of its investment in MSF Corp to TCF Feeder over time. Because the Company will have an investment in MSF Corp until it has been fully liquidated, this commentary discusses both MSF Corp and TCF Feeder.

MSF Corp

In connection with the restructuring of Highbridge discussed above, HMS Master Fund is being managed towards liquidation. We have made meaningful progress managing down exposure in the HMS Master Fund and returning investor capital. The vast majority of HMS Master Fund's exposure across its global equity oriented books was unwound very early in this process resulting in nominal performance attribution from those strategies. During the fourth quarter of 2019, we were able to sell a number of HMS Master Fund's holdings as well as some of its credit positions at reasonable price levels, in Highbridge's view, despite a more challenging market environment for these types of securities. The majority of credit positions still held by the HMS Master Fund consist of a small group of Level 3 investments, most of which have expected liquidity events over the coming months.

During the second half of 2019, HMS Master Fund's remaining portfolio/positions negatively impacted performance (-3%). In particular, the convertible credit & capital structure arbitrage and distressed portfolios were impacted by the underperformance of both less liquid, high-yield credits, and reorganized public equity positions. The special purpose acquisition company portfolio within equity capital markets retraced some of its gains as the underlying equites sold-off during the period. Moderate losses were also sustained in one of HMS Master Fund's delta-hedge warrant positions.

TCF Feeder

Throughout the restructuring process, our primary goal has been to protect the Underlying Fund's capital and guard its liquidity profile. With the exception of a few Level 3 exposures, over the second half of 2019 we effectively eliminated the overlapping positions between the Underlying Fund and HMS Master Fund's pari passu credit allocation. In addition, during this process, we focused on managing the Underlying Fund's leverage profile and the underlying liquidity of each of its investments. With the firm's restructuring primarily behind us, we believe we are coming out as a stronger and more nimble firm that is well positioned moving forward. As an example, in Q3 2019, we re-entered the traditional volatility universe to seek to enhance the Underlying Fund's portfolio. We view this as an ongoing source of investment opportunities and more diversified exposures. These exposures contributed to performance in 2019. We are seeking to expand the trading team to capitalize further on volatility opportunities. In addition, given the changed market environment for reorganized equity securities versus our historical experience, we recently enhanced our risk framework around these types of positions.

Turning to 2019 performance, this was a challenging year for the Underlying Fund, as well as for certain of our hedge fund peers. These challenges were driven by several credit and multi-strategy hedge fund closures that presented technical pressure on the prices of certain positions held by the Underlying Fund, as well as by the current market disdain for the less liquid credit risk that we target. Other hurdles were specific to Highbridge such as pressure on one of the Underlying Fund's largest positions as of 31 December 2019 and the technical pressure associated with the liquidation of HMS Master Fund pari passu (to the Underlying Fund's) credit allocation. The Underlying Fund delivered a negative return in 2019 - a first since the Underlying Fund's inception - with the Company experiencing a negative return of -0.42% since its investment in the Underlying Fund as of 1 October 2019. While disappointed to have delivered a negative return for the year, we are pleased to have provided some degree of capital protection over the course of the full year in the face of these challenges.

Despite disappointing performance in 2019, we have had a strong start to 2020 and our conviction in the go-forward opportunity set is high. Looking forward, we are excited by the following:

· Portfolio Implied Credit Spread : Today, the Underlying Fund's portfolio is at its widest implied credit spread since inception (excluding the new volatility strategy). Importantly, in our view, this is not a function of negative credit developments but rather broader market distaste for off-the-run risk and redemption-driven technical pressure among peers.

· Relative Value and Corporate Action Opportunities: Highbridge-initiated corporate actions have always been a key part of the Underlying Fund's investment strategy. In many of these instances, we negotiate debt-for-debt or debt-for-equity exchanges or other mutually beneficial ways for the Underlying Fund and an issuer to unlock intrinsic value. We were very active in pursuing corporate actions in Q4 2019 and, in fact, in 2020 we have already executed one debt-for-equity exchange.

· Catalysts: We believe that our portfolio is catalyst rich today and that these events present alpha opportunities for the Underlying Fund. In 2020, the Underlying Fund has already been well-positioned for five company-specific catalysts. Such catalysts include M&A, asset sales and capital market activities.

· Reduced Competition : As mentioned above, a number of funds - including several direct competitors - closed in 2019. We believe that the reduced investment competition will inure to the Underlying Fund's benefit, presenting more deployment opportunities that offer a better risk-reward profile than historically.

· Distressed Credit & Reorganized Equities : Investor fatigue for many cyclical businesses has caused these businesses to trade at lower and lower valuations. Capital formation around these companies has clearly changed. The Underlying Fund seeks to capitalize on this type of dislocation and has deployed capital to select opportunities.

· Volatility Strategies: We have re-entered the traditional convertible arbitrage market. As of 1 February 2020, these exposures represent eighteen percent of the Underlying Fund's long market value. We believe this universe of securities will improve the Underlying Fund's sector diversification and liquidity profile while reducing the Underlying Fund's hedging expense.

We would like to thank you for your continued support.

Highbridge Capital Management, LLC

March 2020

Company and Investment Overview

The Company is a Guernsey domiciled closed-ended investment company listed on the Premium Segment of the Official List of the Financial Conduct Authority and traded on the Main Market of the London Stock Exchange with net assets of approximately £49 million.

2019 Changes to Corporate Structure

Following the notification received from Highbridge Capital Management, LLC that the HMS Master Fund would be wound down, t he Board of the Company held an Extraordinary General Meeting on the 16 August 2019 ("First EGM") to approve, subject to meeting certain continuation conditions, a change to the Company's investment policy. The resolution was passed but one condition was not met, so the investment policy was not initially amended. A cash exit was offered alongside the First EGM ("Initial Cash Exit Offer"), and elections for the Initial Cash Exit Offer were received such that the continuation condition in respect of the Company having a minimum Net Asset Value of £100 million following implementation of the Initial Cash Exit Offer had not been met.

The Board resolved that the Shares of those shareholders who elected for the Initial Cash Exit Offer set out in the July Circular would nevertheless be redeemed and these Shares cancelled on 19 August 2019 (the "Initial Cash Exit Redemption Date").

The Board noted that the Net Asset Value attributable to those Shares which were not elected for the Initial Cash Exit Offer (the "Remaining Shareholders") amounted to approximately £73.5 million. In light of this significant number, the Board decided to attempt to facilitate the wishes of those shareholders who had not elected to exit the Company by offering them the opportunity to continue in the Company with a revised continuation condition of a minimum Net Asset Value of the Company of £50 million.

Accordingly, subsequent to the Initial Cash Exit Redemption Date, the Board posted a further circular to the Remaining Shareholders to convene a further Extraordinary General Meeting held on the 17 September 2019 (the "Second EGM") to seek approval to adopt, inter alia, the new Investment Policy and name as set out in the July Circular to allow those Remaining Shareholders, who wished to do so, the opportunity to remain invested in the Company (the "Revised Proposals"). At the same time as seeking approval from the Remaining Shareholders for the Revised Proposals, the Company offered all Remaining Shareholders a further cash exit opportunity (the "Subsequent Cash Exit Offer").

The resolutions put to shareholders at the Second EGM passed and the revised continuation conditions were met, so the investment objective of the Company was changed to seek to provide consistent returns with low volatility through an investment policy of investing substantially all of its assets in the Underlying Fund.

During October 2019, the Company received its first dividend-in-kind distribution of £35.7m of new shares in TCF Feeder. This distribution represented approximately 75% of the assets of the continuing Company.

During October 2019, the Company paid approximately £133.4m in aggregate, equating to £1.62 per Share in respect of the 2019 Cash Exit Offers. Exit Creditors are reminded that they will receive the redemption proceeds as a number of cash payments following receipt by the Company of the redemption proceeds from Highbridge Multi-Strategy Fund Corporation, and further announcements will be made.

During July 2019, the Company received £1,096,760 of redemption proceeds from AllBlue (£1,049,234 from the Sterling Share Class and $47,526 from the US Dollar Share Class). Given the relatively low value of the AllBlue proceeds compared to the number of creditors, the Board of the Company has determined not to make any payments of the AllBlue proceeds until such time that further distributions are received in respect of the AllBlue Funds in order to avoid an undue administrative burden and excessive costs, including bank charges payable by each recipient of such payments.

Structure diagram

Prior to the Second EGM the Company's investment policy reflected its investment in Highbridge Multi-Strategy Fund Corporation ("MSF Corp"). Consequently, on the 17 September 2019, the Board received Shareholder approval for the new investment policy set out below.

The Company's new investment policy (the "Investment Policy") is as follows:

Investment Objective and Policy

The Company's investment objective is to seek to provide positive returns with low volatility through an investment policy of investing predominantly in the Underlying Fund through the TCF Feeder or any successor vehicle of TCF Feeder. Accordingly, the Company's published investment policy is consistent with that of the Underlying Fund. In the event that the Underlying Fund or TCF Feeder changes its investment policy, the Directors will take appropriate action to amend the Company's investment policy or will consider removing the Company's assets from TCF Feeder so that the Company is not in breach of any applicable regulation.

The Company shall continue to have investment exposure to MSF Corp until such time as such investment has been fully realised and redeployed within the Underlying Fund.

The Company

The Company has one class of shares in issue, the Sterling class. The Company seeks to provide shareholders with the following key benefits:

• Attractive returns which are not beholden to the direction of asset markets, created by focusing on relative value and idiosyncratic opportunities, which has allowed TCF Feeder to produce uncorrelated returns with low volatility historically.

• Strong capital preservation characteristics reflecting robust risk management and expert blending of various assets across discretionary and systematic strategies.

• Good liquidity occasioned by active trading in the Company's shares on the Main Market of the London Stock Exchange.

About the Underlying Fund

The Underlying Fund is a private, multi-strategy credit investment fund managed by Highbridge Capital Management, LLC. The principal investment objective of the Underlying Fund is to achieve a positive return on capital. The investment team seeks to achieve this objective by applying fundamental credit research combined with intra-capital structure hedging strategies to select credit-sensitive investment opportunities. The Underlying Fund invests in convertible securities, non-convertible bonds and loans, preferred and common equity securities, and warrants, options, and other derivatives as well as other instruments. The Underlying Fund invests in global markets with a focus on North America and Europe. Typically, The Underlying Fund purchases convertible bonds, non-convertible bonds or loans, or other securities along with one or more other instruments, including any of the following, as a hedge: stocks, options, bonds, credit derivatives, interest rate swaps, treasuries and interest rate futures.

It currently invests across six sub-strategies which include: (i) Volatility strategies; (ii) US & European Mid-Cap convertible credit; (iii) capital structure arbitrage; (iv) event credit; (v) income investments and (vi) distressed credit and reorganised equities. The Underlying Fund will invest in at least three sub-strategies at any given time.

In particular, the Underlying Fund seeks to generate positive absolute returns from idiosyncratic, company-specific opportunities while systematically hedging interest rate exposure, with a target duration of zero, and limiting the impact of broad, directional moves in credit and equity markets and aiming to maintain low volatility.

Key Features of the Underlying Fund

Strong Track Record	· Strong absolute returns with low volatility and low beta to broad markets · Demonstrated ability to preserve capital
Multi-Strategy Approach - Dynamically Invest Across Multiple Opportunity Sets	· Allocate across six distinct sub-strategies, including relative value, income, distressed, and event investments · Combine relative value investing with an appreciation for fundamental credit underwriting and transaction and process experience · Relative value investments are frequently hedged intra-capital structure, driven by the investment team's fundamental view · Positioned to navigate a company's life-cycle and market cycles · Diversified industry sectors, investing primarily, across North America and Europe.
Focus On Underserved & Inefficient Public Company Credit Markets	· Target a less competitive investment universe, leveraging nimble size · Differentiated healthcare exposure, focused on credit underwriting and not 'science risk'
Corporate Actions Focus	· Target securities that are, in Highbridge's view, ripe for corporate actions, with the goal of driving alpha · Examples include: debt buy-backs, exchanges, rights offerings, mergers and acquisitions, restructurings, etc · Corporate actions are a key driver of returns historically
Disciplined Risk Management	· Seeks to hedge unwanted credit, equity, rates and commodity exposures · Dedicated analytical support

About Highbridge

Highbridge was founded in 1992 as one of the industry's first multi-strategy hedge fund managers. Highbridge has approximately US$1.2 billion in assets under management and staff of over 40 employees, including approximately 12 investment professionals, with an office in New York and a research presence in London. Highbridge established a strategic partnership with J.P. Morgan Asset Management Limited ("JPMAM") in 2004. Highbridge is a subsidiary of JPMAM, which is itself a subsidiary of JPMorgan Chase & Co. (together with its affiliates, "JPM"). JPMAM is a leading investment and wealth management firm, operating across the Americas, EMEA (Europe, Middle East and Africa), and Asia in more than 30 countries, with assets under management of $2.2 trillion.

Highbridge is solely responsible for all investment, capital allocation and risk management decisions for the Underlying Fund which are independent of JPMAM. Highbridge is registered as an investment adviser under the U.S. Investment Advisers Act of 1940, as amended.

In addition to managing the Underlying Fund, Highbridge has also been appointed as the investment manager of the Company. As part of these investment management arrangements, JPMAM provides certain support services to the Company as a delegate of Highbridge, including the provision of shareholder relations, public relations and Board support. Neither Highbridge nor JPMAM receives a fee directly from the Company in relation to these services.

AllBlue

The Company was informed on 1 December 2015 that, effective 4 January 2016, AllBlue and AllBlue Leveraged were being redeemed from the seven underlying funds and were compulsorily redeeming the holdings of all investors, including the Company. The Company retains a creditor interest equivalent to the value of its outstanding holding in AllBlue and AllBlue Leveraged. This is measured by reference to the valuation statements received from the administrator and more recently the Liquidators of AllBlue and AllBlue Leveraged, although it should be noted that the latest financial figures available are the audited financial statements as at 31 July 2018. The Board received an updated Liquidators' report for AllBlue and AllBlue Leveraged dated 10 October 2019. The report cites that there are no distributions planned for the foreseeable future. Future distributions are dependent upon the successful realisation of the remaining assets held by AllBlue and AllBlue Leveraged. Due to the uncertainties surrounding the assets, there is no estimate of the timing or amount of potential future distributions, or the expected timing of the conclusion of the liquidations. Further information about the proceeds returned to the Company is available in Note 8 to the Financial Statements.

Board of Directors

At 31 December 2019 the Company had three directors (the "Directors"), all of whom were non-executive. All directors held office throughout the reporting year and held office at the date of this report except as indicated. All directors were members of the Audit, Risk, Nomination and Management and Remuneration Committees.

Due to the Company reducing in size during 2019, the Board has assumed the responsibilities previously delegated to the Management and Remuneration Committee, Risk Committee and Nomination Committee, and these Committees were disbanded with effect from 4 November 2019. All matters are still considered and discussed but this now takes place at Board level. The remaining Committee is the Audit Committee which will continue to be chaired by Steve Le Page.

Vic Holmes, Chairman of the Board and the former Chairman of the Nomination Committee, is an independent director of a diverse range of companies involved in various aspects of the Finance Sector. He was chief executive of Northern Trust's Channel Islands businesses until he retired from full time employment in November 2011. He held chief executive and chairman roles for a period of 21 years, initially for a Baring Asset Management subsidiary in Ireland from 1990 to 2003, followed by a 2 year stint as chairman of all Baring Asset Management fund administration companies in 5 jurisdictions. He then worked as country head for Northern Trust in Ireland from 2005 to 2007 and then moved back to Guernsey in 2008 with Northern Trust. He has extensive Board room experience which has been gained first hand as a director of multiple finance-related companies over a 30 year period. He is a fellow of the Association of Chartered Certified Accountants and a resident of Guernsey.

Steve Le Page , Chairman of Audit Committee and former Chairman of the Management and Remuneration Committee, retired from partnership with PwC in the Channel Islands in September 2013 and joined the Board in June 2014. His career at PwC spanned 33 years, during which time he was partner in charge of their Assurance and Advisory businesses for ten years and Senior Partner for five years. In these executive positions he led considerable change and growth in that firm and also helped fund Boards deal with regulatory and reporting issues. His experience spans initial listings, ongoing governance and reporting, continuation and going concern and even winding up of listed and unlisted entities. He is a Chartered Accountant and a Chartered Tax Advisor and he has a number of non-executive roles. He is resident in Guernsey.

Paul Le Page , Senior Independent Director and former Chairman of the Risk Committee. He was formerly employed as an executive director of Man Group PLC's Guernsey Investment and Fund Management subsidiaries where he was responsible for management of hedge fund portfolios which span the full universe of hedge fund strategies. This enables him to review and assess the performance and risk of the Company in an independent objective manner. He has spent the last 16 years acting as an independent non executive director of a variety of LSE listed investment companies operating in the alternative investment sector. He is resident in Guernsey.

Sarita Keen (resigned 31 October 2019) has significant experience of fund administration of Guernsey companies. She was employed by Kleinwort Benson (Channel Islands) Fund Services (formerly Close Fund Services Limited), for over 25 years and prior to that she worked for Hambros in Guernsey. She is an Approved Person with the Guernsey Financial Services Commission and a Member of the Institute of Directors. Sarita holds a number of non-executive positions for various companies and, as part of this, chairs or is a member of those companies' Audit, Risk and Nominations Committees. Sarita Keen was appointed as a director on 3 June 2015 and is resident in Guernsey. Sarita resigned from the Board on 31 October 2019.

Directors' Report

The Directors present their Annual Report and Audited Financial Statements for the year ended 31 December 2019 (the "Financial Year").

A description of important events which have occurred during the Financial Year, their impact on the performance of the Company as shown in the Financial Statements and a description of the principal risks and uncertainties facing the Company, together with an indication of important events that have occurred since the end of the Financial Year and the Company's likely future development is given in this Report, the Chairman's Statement and the notes to the Financial Statements and are incorporated here by reference.

Management of the Company

Investment Manager

On 29 February 2016, Highbridge was appointed as Investment Manager to the Company. The principal responsibilities of the Investment Manager under the Investment Management Agreement are:

· to provide portfolio and risk management services in respect of the investments of the Company within the parameters of the Company's investment policy; and

· to effect or arrange and provide advice to the Company in relation to investments.

There is no compensation payable on termination of the Investment Management Agreement, which is terminable on six months' notice by either the Company or by the Investment Manager.

Pursuant to Listing Rule 15.6.2 (2), the Board of the Company has concluded that the continuing appointment of the Investment Manager on the terms agreed is in the best interest of the Company's shareholders. The Board considers that the Investment Manager has extensive investment management resources and wide experience in managing investments.

Highbridge does not receive any direct management or performance fees at the Company level for its appointment as investment manager to the Company. Instead, Highbridge receives management fees and incentive fees for its role as investment manager of the Underlying Fund. Further information on these fees is disclosed in the circular published by the Company on 28 August 2019.

The Board has agreed matters under which the Investment Manager has discretion, and these are evidenced in the Investment Management Agreement and a schedule of matters reserved by the Board and delegated to service providers and committees. There are no soft commissions paid and there is no requirement for voting guidance due to the structure of the Company.

Secretary and Administrator

Praxis Fund Services Limited (the "Administrator", the "Secretary" or "PraxisIFM") was appointed as administrator on 3 June 2019. The Administrator is a Guernsey incorporated company and provides administration and secretarial services to the Company pursuant to an Administration and Secretarial Agreement. In such capacity, the Administrator is responsible for the general secretarial functions required by the Law and provides advice and support to the Board to assist the Company with compliance with its continuing obligations as well as advising on the corporate governance requirements and recommendations applicable to a company listed on the premium segment of the Official List and admitted to trading on the Main Market of the London Stock Exchange.

The Administrator is also responsible for the Company's general administrative functions such as the calculation of the NAV of Shares and the maintenance of accounting and statutory records.

The previous administrator and secretary JTC Fund Solutions (Guernsey) Limited resigned on 3 June 2019.

The Company

Information on the Company including its Investment Objective and Policies can be found within the Company and Investment Overview section.

The Alternative Investment Fund Managers Directive ("AIFMD")

Highbridge is the Company's alternative investment fund manager ("AIFM"). For the purposes of AIFMD the Company is an alternative investment fund ("AIF").

Directors

The Directors, all of whom are non-executive. No Director has a contract of service with the Company, nor are any such contracts proposed.

The following table details the interests of the Directors in the Shares of the Company, both as at 31 December 2019 and as at 9 April 2020.

Director	Number of Shares (9 April 2020)	Number of Shares (31 December 2019)
Vic Holmes	79,000 Sterling Shares	79,000 Sterling Shares
Steve Le Page	None	None
Paul Le Page	10,000 Sterling Shares	10,000 Sterling Shares

Director Indemnification and Insurance

An insurance policy is maintained by the Company which indemnifies the Directors of the Company against certain liabilities arising in the conduct of their duties. There is no cover against fraudulent or dishonest actions.

Disclosure of Information to Auditor

The Directors who held office at the date of approval of this Directors' Report confirm that, so far as they are each aware, there is no relevant audit information of which the Company's auditor is unaware; and each Director has taken all the steps that he ought to have taken as a Director to make himself aware of any relevant audit information and to establish that the Company's auditor is aware of that information.

Independent Auditor

PricewaterhouseCoopers CI LLP has indicated its willingness to continue in office as auditor and a resolution proposing its reappointment, and to authorise the Directors to determine its remuneration for the ensuing year, will be put to shareholders at the Annual General Meeting ("AGM").

Net Asset Value ("NAV")

The NAV per Sterling Share for accounting purposes, including all distributable reserves, as at 31 December 2019 was £2.1233 (31 December 2018: £2.1518).

Results and Dividends

The results for the year are set out in the Statement of Comprehensive Income. In accordance with the Investment Objective the Directors did not declare any dividends during the year under review and the Directors do not recommend the payment of a dividend as at the date of this report.

Related Party Transactions

Other than the above-mentioned interests, none of the Directors, nor any persons connected with them, had a material interest in any of the Company's transactions.

There were no material related party transactions which took place in the Financial Year, other than those disclosed in the Directors' Report and at Note 7 to the Financial Statements.

Notifiable Interests in the Company's Voting Rights

At the year-end, the following had declared a notifiable interest in the Company's voting rights:

Name	Number of Voting Rights	% of Voting Rights (as at 31 December 2019)
Premier Miton Investors	4,944,463	21.41%
Tilney Group	2,189,983	9.48%
JPMorgan Asset Management	2,107,169	9.12%
Blankstone Sington	1,244,325	5.39%

At 31 March 2020, being the latest practicable date prior to publication, the following had declared a notifiable interest in the Company's voting rights:

Name	Number of Voting Rights	% of Voting Rights (as at 31 March 2020)
Premier Miton Investors	4,920,469	21.21%
Mirabella Financial Services	3,888,789	16.84%
Tilney Group	1,842,725	7.98%
JPMorgan Asset Management	1,500,040	6.50%

No further changes to these holdings had been notified as at the date of this report.

Listing Rule 9.8.4 R

Listing Rule 9.8.4 R requires that the Company include certain information in a single identifiable section of the Annual Report or a cross reference table indicating where the information is set out. The Directors confirm that there are no disclosures to be made in this regard.

Corporate Governance Statement

Statement of Compliance with the AIC Code of Corporate Governance

In accordance with Listing Rule 9.8.7 the Company is required to comply with the requirements of the UK Corporate Governance Code. A copy of the UK Corporate Governance Code, 2018 is available for download from the Financial Reporting Council's website ( www.frc.org.uk ).

The Board of the Company has considered the principles and recommendations of the AIC Code of Corporate Governance, setting out additional principles and recommendations on issues that are of specific relevance to the Company.

The Board considers that reporting against the principles and recommendations of the AIC Code, will provide better information to shareholders.

The Company is also required to comply with the GFSC Code. As the Company reports under the AIC Code it is deemed to meet the requirements of the GFSC Code. The Board has undertaken to evaluate its corporate governance compliance on an on-going basis.

The UK Corporate Governance Code includes provisions relating to:

· the role of the chief executive;

· executive directors' remuneration;

· the need for an internal audit function.

For the reasons set out in the AIC Code, and as explained in the UK Corporate Governance Code, the Board considers that these provisions are not relevant to the position of the Company. The Company has therefore not reported further in respect of these provisions. The Company has complied with all principles of the AIC Code and conforms with all detailed recommendations subject to the following explanations.

Board Composition

The Board comprises three non-executive Directors, all of whom are considered to be independent (with the Chairman being independent on appointment) for the purposes of the AIC Code and Listing Rule 15.2.12A. As part of their examination of the independence of the Board, the Board have concluded that Steve Le Page, Vic Holmes and Paul Le Page remain independent under the principles of the AIC Code.

Biographies of the Directors appear on under the Board of Directors section, demonstrating the wide range of skills and experience they bring to the Board and highlights of their specific key skills and experience. In accordance with the AIC Code, below is a list of all other public company directorships and employments held by each Director. There are no shared directorships of any commercial company held by two or more Directors at the date of this report.

Vic Holmes

Next Energy Solar Fund Limited

Steve Le Page

Volta Finance Limited

Princess Private Equity Holding Limited

Channel Islands Property Fund Limited

Tufton Oceanic Assets Limited

Paul Le Page

Bluefield Solar Income Fund Limited

UK Mortgages Limited

RTW Venture Fund Limited

Board Meetings

The Board meets at least four times a year to consider the business and affairs of the Company. Between these meetings the Board keeps in contact by email and telephone as well as meeting to consider specific matters of a transactional nature. Directors have direct access to the Secretary and the Secretary is responsible for ensuring that Board procedures are followed and that there are good information flows both within the Board and between Committees and the Board. The Directors are kept fully informed of investment and financial controls and other matters that are relevant to the business of the Company and should be brought to the attention of the Directors. The Directors also have access, where necessary in the furtherance of their duties, to professional advice at the expense of the Company.

During the year under review twenty-six Board meetings took place. Of those meetings, four were quarterly Board meetings and the remainder were ad hoc meetings held at short notice to deal with specific matters including investment into TCF Feeder, the continuation of the Company, Company's buy-back programme, possible tender offers, potential distributions to Cash Exit and Tender Creditors, and developments relating to the underlying investments. At quarterly Board meetings there is a focus on the investment performance of the Company. Strategy and the Company's investment objective are considered on a regular basis. Director attendance is summarised below:-

Director	Quarterly Board Meetings	Ad-Hoc Board Meetings	Audit Committee Meetings	Management and Remuneration Committee Meetings	Nomination Committee Meetings	Risk Committee Meetings
Vic Holmes	4 of 4	16 of 16	2 of 2	1 of 1	1 of 1	2 of 2
Steve Le Page	4 of 4	15 of 16	2 of 2	1 of 1	1 of 1	2 of 2
Paul Le Page	4 of 4	15 of 16	2 of 2	1 of 1	1 of 1	2 of 2
Sarita Keen*	4 of 4	4 of 5	2 of 2	1 of 1	1 of 1	2 of 2

* Sarita Keen resigned effective 31 October 2019.

Letters of appointment for non-executive Directors do not set out a fixed time commitment for Board duties as the Board considers that the time required by Directors may fluctuate depending on the demands of the Company and other events. Therefore, it is required that each Director will allocate sufficient time to the Company to perform their duties effectively and it is also expected that each Director will attend all quarterly Board meetings and meetings of Committees of which they are a member. The Chairman has confirmed that he considers the performance of each director to be satisfactory and that each director demonstrates continued commitment to their role.

Key Skills and Experience

A review of the skills and experience of the Board members, is outlined below:

Director	Key Skills and Experience
Vic Holmes (appointed to Board 3 June 2016) Chairman	Wide knowledge of investment management as well as broad experience of non-executive directorships, chairmanships and executive directorship in quoted and unquoted companies.
Steve Le Page (appointed to Board 3 June 2014) Chairman of the Audit Committee and, from 1 January 2019 to 4 November 2019, Chairman of the Management and Remuneration Committee *	Wide-ranging knowledge of audit, financial reporting, corporate governance and internal controls in the context of listed investment companies. Significant financial services, regulatory and non-executive director experience.
Paul Le Page (appointed to Board 1 May 2018) Chairman of the Risk Committee from 1 January 2019 to 4 November 2019*	An experienced hedge fund portfolio manager with detailed knowledge of asset allocation, fund selection and financial risk management. Significant financial services, governance and investment company sector experience.
Sarita Keen (appointed to Board 3 June 2015) Resigned on 31 October 2019	Extensive experience of Guernsey investment company administration and regulation.

* Due to the Company reducing in size during 2019, the Board has assumed the responsibilities previously delegated to the Management and Remuneration Committee, Risk Committee and Nomination Committee, and these Committees were disbanded with effect from 4 November 2019.

Tenure

All Directors seeking to continue on the Board after the AGM will put themselves forward for re-election at each AGM. The Board approves the nomination for re-election of such directors on an annual basis. The above table summarises the rationale for that approval. On 2 August 2019, the date of the most recent AGM, shareholders re-elected Vic Holmes, Sarita Keen, Steve Le Page and Paul Le Page.

The Board believes that changes to its composition, including succession planning for directors, can be managed without undue disruption to the Company's operations. Directors are able and encouraged to provide statements to the Board of their concerns and ensure that any items of concern are recorded in the Board minutes and the Chairman encourages all Directors to present their views on matters in an open forum. The Board is also scheduled to consider the tenure of Directors once any Director has been appointed to the Board for a continuous period of nine years.

Board Committees

The Board delegated certain responsibilities and functions to Committees. Details of the membership of these Committees are shown with the Directors' biographies. Details of the activities of each of the Committees are set out below.

Due to the Company reducing in size during 2019, the Board has assumed the responsibilities previously delegated to the Management and Remuneration Committee, Risk Committee and Nomination Committee, and these Committees were disbanded with effect from 4 November 2019. All matters will still be considered and discussed but this will take place at Board level. The remaining Committee is the Audit Committee which will continue to be chaired by Steve Le Page.

Audit Committee

In accordance with the AIC Code, an Audit Committee has been established and its terms of reference are available on the Company's website . All Board members are members of the Audit Committee. In the opinion of the Board, the constitution, terms of reference and activities of the Audit Committee fulfil all the relevant requirements of the AIC Code. The Company does not maintain an internal audit function, and the Chair of the Board is a member of the Committee.

The Board sought to ensure that all areas of risk and control were addressed by either the Risk Committee or the Audit Committee. Consequently, the terms of reference of each Committee made the division of responsibilities between them clear. The Audit Committee is responsible for monitoring the effectiveness of the controls and systems in place to address, inter alia, the risks of loss or misappropriation of assets, misstatement of liabilities or failure of financial reporting systems or processes, including valuation reporting and processes.

The Audit Committee monitors the performance of the auditor, and also examines the remuneration and engagement of the auditor, as well as its independence and any non-audit services provided by it. The current auditor was appointed after a tender process in 2016 and so their tenure is not currently an area of consideration for the Audit Committee. As a result, the Company does not intend to tender the audit service in the near future. The Audit Committee will continue to monitor the performance of the auditor with the aim of ensuring a high quality and effective audit.

Each year the Board examines the Audit Committee's performance and effectiveness, and ensures that its tasks and processes remain appropriate. The chairmanship of the Audit Committee is reviewed by the Chairman on an annual basis. Key areas covered include the clarity of the Audit Committee's role and responsibilities, the balance of skills among its members and the effectiveness of reporting of its work to the Board. The Board is satisfied that all members of the Audit Committee have relevant financial experience and knowledge and ensure that such knowledge remains up to date. Overall the Board considered the Audit Committee had the right composition in terms of expertise and has effectively undertaken its activities and reported them to the Board during the year.

Management and Remuneration Committee

In accordance with the AIC Code, a Management and Remuneration Committee was established . All Board members were members of the Management and Remuneration Committee and it was chaired by Steve Le Page during 2019 until it was disbanded on 4 November 2019. The function of the Management and Remuneration Committee was:

· to ensure that the Company's contracts of engagement with the Administrator, the Investment Manager and other service providers are operating satisfactorily so as to ensure the safe and accurate management and administration of the Company's affairs and business, and are competitive and reasonable for the shareholders and to make appropriate recommendations to the Board;

· to monitor and assess the appropriate levels of remuneration for all Directors; and

· to ensure that the Company complies to the best of its ability with applicable laws and regulations relating to engagement with service providers and director remuneration and adheres to the tenet of generally accepted codes of conduct.

During the year under review the Management and Remuneration Committee met once.

Each Director's performance is assessed annually by the Chairman and the performance of the Chairman is assessed by the Senior Independent Director together with the remaining Directors.

The remuneration of the Directors is reviewed on an annual basis and compared with the level of remuneration for directorships of other similar investment companies. All Directors receive an annual fee and there are no share options or other performance related benefits available to them.

The Board is committed to an evaluation of its performance being carried out every year. In accordance with the AIC Code the Board has carried out a rigorous review of its own effectiveness during February 2020 and has concluded that it maintains a good balance of skills, experience, independence, diversity and knowledge of the Company and therefore remains effective.

In light of the reduced size of the Company, the Board has taken measures to reduce the ongoing costs of running the Company. The Board has decided that a meaningful cost saving would be achieved by the number of directors being reduced from four to three. As a result of that decision Sarita Keen volunteered to step down as a director with effect from 31 October 2019. The three continuing Directors have also volunteered to reduce their fees with effect from 1 October 2019. The Directors' fees are disclosed below.

	Amount per annum With effect from 1 October 2019	Amount per annum 31 December 2018
Vic Holmes	£50,000	£60,000
Steve Le Page	£42,000	£50,000
Paul Le Page	£40,000	£48,000
Sarita Keen, resigned on 31 October 2019	-	£42,000

With effect from 4 November 2019, the Board does not have a separate Management and Remuneration Committee. The Board as a whole fulfils the function of a Management and Remuneration Committee.

Nomination Committee

In accordance with the AIC Code, a Nomination Committee had been established . All Board members were members of the Nomination Committee. Vic Holmes had been appointed as Chairman of this Committee, except when the Committee considered any matter in connection with the Chairmanship in which case the Committee would have elected another Chairman. Given that the Board consists solely of non-executive directors, each of whom is a member of the Committee, the Board does not consider the Chairman being a member of the Committee to be inappropriate.

The function of the Nomination Committee was to ensure that the Company went through a formal process of reviewing the balance, independence and effectiveness of the Board, identifying the experience and skills which may have been needed and those individuals who might have been best to provide them and to ensure that the individual had sufficient available time to undertake the tasks required. When considering the composition of the Board, Directors will be mindful of diversity, inclusiveness and meritocracy. The outside directorships and broader commitments of Directors were also monitored by the Nomination Committee.

In February 2019 the Nomination Committee undertook the aforementioned formal review of the balance, independence and effectiveness of the Board for the year under review and concluded it did not have any objection to the current commitments of its members and that no changes to the composition of the Board were required.

The Company supports the AIC Code provision that Boards should consider the benefits of diversity, including gender, when making appointments and is committed to ensuring it receives information from the widest range of perspectives and backgrounds. The Company's aim as regards the composition of the Board is that it should have a balance of experience, skills and knowledge to enable each Director and the Board as a whole to discharge their duties effectively. Whilst the Board of the Company agrees that it is entirely appropriate that it should seek diversity, it does not consider that this can be best achieved by establishing specific quotas and targets and appointments will continue to be made based wholly on merit. Accordingly when changes to the Board are required, the Board has regard to the Board's diversity policy and to a comparative analysis of candidates' qualifications and experience. A pre-established, clear, neutrally formulated and unambiguous set of criteria are utilised to determine the most suitable candidate for the specific position sought. Once appointed, the successful candidate receives a formal and tailored induction.

With effect from 4 November 2019 the Board does not have a separate Nomination Committee. The Board as a whole fulfils the function of a Nomination Committee. Any proposal for a new Director will be discussed and approved by the Board.

Risk Committee

The Risk Committee was established in 2014 .

The Committee's primary focus was around investment risk in its broadest sense, including elements such as counterparty risk and credit risk. The Committee's work was focused on two levels:

· the direct exposures of the Company itself, for instance to the Underlying Fund, HMS Master Fund, AllBlue, AllBlue Leveraged and cash counterparties; and

· the exposures embedded within the Underlying Fund and HMS Master Fund, its investment characteristics and the risks associated with investing in the Underlying Fund and HMS Master Fund.

Over the course of the year under review, the Risk Committee spent time considering the scope and mandate of its operations, reviewing key documentation, regularly reviewing key reporting and interacting with Highbridge and the Administrator to examine and understand the risks that the Company is exposed to at both levels, agreeing a reporting framework with Highbridge in order to monitor the risk metrics of the Company's investments.

With effect from 4 November 2019 the Board does not have a separate Risk Committee. The Board as a whole fulfils the function of a Risk Committee.

Further information relating to the work of the Risk Committee is explained in the Risk Committee report.

Diversity

Following the significant reduction in the size of the Company, the Board has reviewed all associated Company costs, and accepted the resignation of Sarita Keen, being mindful of the Board's focus on its experience and skill sets. In the best interests of shareholders, the remaining Board members also agreed to waive part of their fees. Assuming that the campaign to grow the Company is successful, the Board expects to be able to increase the number of its members in line with its diversity policy.

Terms of Reference

The Terms of Reference for all constituted committees are available for inspection on request at the Company's registered office and are also available on the Company's website.

Going Concern

The Company now invests the majority of its assets into the Underlying Fund. The Directors have a reasonable expectation that positive returns will be made in the future and that therefore shareholders will wish to continue their investment in the Company. In addition, at the date of publication of this report, the Company holds a cash balance which exceeds normal operating expenditure anticipated during the next 12 months. The Directors believe that it is appropriate to adopt the going concern basis in preparing the Financial Statements.

In considering the financial position of the Company, the Directors have noted that if the net assets of the Company are not at least £80 million by the end of 2020, they must put a discontinuation vote to shareholders. Elimination of the discount to NAV at which the shares trade is a prerequisite to share issuance by the Company and thus to growth. However, the recent market fall caused by the COVID-19 pandemic has resulted in the Company's shares trading at a considerable discount to NAV, As a result, there is considerable uncertainty around the Company's future - the size of the Company at the end of 2020 cannot be predicted, and neither can the outcome of any shareholder discontinuation vote which may be required.

At the EGM held on 20 February 2020, the shareholders approved both proposals to disapply pre-emption rights on the issue of ordinary shares which would allow the Company to grow as intended. In addition, the Company's NAV in 2020 to date has remained fairly constant, despite widespread market falls, and so it is logical to expect that shareholders would vote for continuation.

In the event that a vote is required and that shareholders vote to discontinue the Company, rendering the going concern basis inappropriate, the Directors do not believe that any resulting adjustments to these Financial Statements would be material.

The Company's financial risk management objectives and policies, details of its financial instruments and its exposures to market price risk, credit risk, liquidity risk and interest rate risk are set out at note 14 to the Financial Statements. After making enquiries, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the next 12 months. Accordingly, they continue to adopt the going concern basis in the preparation of this annual financial report.

Shareholder Communication

All holders of Shares in the Company have the right to receive notice of, and attend, all general meetings of the Company, during which the Directors are available to discuss issues affecting the Company, and the Directors also meet periodically with major shareholders. The Directors are always available to enter into dialogue with shareholders and make themselves available for such purpose whenever required. The Chairman and the Senior Independent Director can also be contacted by shareholders via the Secretary if they have any concerns.

Both Highbridge and JPMAM meet regularly with the Company's major shareholders and reports are provided at least quarterly to the Board on those shareholders' views about the Company and any issues or concerns they have raised. The Board regularly reviews the Company's share register at its formal meetings to monitor the shareholder profile and the Board has implemented measures to ensure that information is presented to its shareholders in a fair, balanced and understandable manner.

The Company announces the confirmed NAV of its shares on a monthly basis. During the year under review a commentary on the investment performance of the Company's investments in the Underlying Fund and HMS Master Fund was provided in the Company's monthly factsheet. The estimated net asset value of the Company's shares is, and will continue to be, announced weekly via a Regulatory Information Service. The daily market closing prices of Shares are available on Reuters, Bloomberg, in the Financial Times and the Daily Telegraph.

All Shares may be dealt in directly through a stockbroker or professional adviser acting on shareholder's behalf. The buying and selling of Shares may be settled through CREST.

The Company's register of shareholders is maintained by Anson Registrars Limited in Guernsey and they can be contacted on +44 (0)1481 702400.

Stakeholders and Section 172

Whilst directly applicable to U.K. incorporated companies, the intention of the AIC Code is that the matters set out in section 172 of the Companies Act, 2006 are reported on. The Board considers the view of the Company's other key stakeholders as part of its discussions and decision making process. As an investment company the Company does not have any employees and conducts its core activities through third-party service providers. Each provider has an established track record and, through regulatory oversight and control, are required to have in place suitable policies to ensure they maintain high standards of business conduct, treat customers fairly, and employ corporate governance best practice.

The Board's commitment to maintaining the high-standards of corporate governance recommended in the AIC Code, combined with the Directors' duties enshrined in Company law, the constitutional documents, the Disclosure and Transparency Rules and the Market Abuse Regulation, ensures that shareholders are provided with frequent and comprehensive information concerning the Company and its activities. Whilst the primary duty of the Directors is owed to the Company as a whole, the Board considers as part of its decision making process the interests of all stakeholders. Particular consideration being given to the continued alignment between the activities of the Company and those that contribute to delivering the Board's strategy, which include the Investment Manager and the Administrator. The Board respects and welcomes the views of all stakeholders. Any queries or areas of concern regarding the Company's operations can be raised with the Board via the Secretary.

The Company is an externally managed investment company, has no employees, and as such is operationally quite simple. The Board does not believe that the Company has any material stakeholders other than those set out in the following table.

	Stakeholder
	Investors	Service providers	Community and environment
Issues that matter to them	Performance of the shares Growth of the Company Liquidity of the shares	Reputation of the Company Compliance with Law and Regulation Remuneration	Compliance with Law and Regulation Impact of the Company and its activities on third parties
Engagement process	Annual General Meeting Frequent meetings with investors by brokers and the Investment Manager and subsequent reports to the Board Monthly factsheets	The main two service providers - Highbridge and Praxis IFM - engage with the Board in face to face meetings quarterly, giving them direct input to Board discussions. All service providers are asked to complete a questionnaire annually which includes feedback on their interaction with the Company, and the Board undertakes an annual visit to Highbridge either in London or New York.	The Company itself has only a very small footprint in the local community and only a very small impact on the environment. However, the Board acknowledges that it is imperative that everyone contributes to local and global sustainability.
Rationale and example outcomes	Clearly investors are the most important stakeholder for the Company. Most of our engagement with investors is about "business as usual" matters, but has also included discussions about the change of investment policy and the discount of the share price to the NAV. The major decisions arising from this have been for the Board to seek to continue the Company to allow shareholders to access the underlying fund and to seek the dis-application of pre-emption rights on shares issued at or above NAV to allow the Company to grow.	The Company relies on service providers entirely as it has no systems or employees of its own. The major decisions made by the Board which effected service providers in the year were to change the administrator and to change the investment policy. These were only made after due consultation of those impacted, although the change of investment policy was driven by shareholders. The Board always seeks to act fairly and transparently with all service providers, and this includes such aspects as prompt payment of invoices.	The nature of the Company's investment is such that it does not provide a direct route to influence investees in ESG matters in many areas, but the Board and the Investment Manager work together to ensure that such factors are carefully considered and reflected in investment decisions, as outlined elsewhere in the document. Board members do travel on Company business, including for the annual due diligence visit to Highbridge. The Board considers this essential in overseeing service providers and safeguarding stakeholder interests. Otherwise, the Board seeks to minimise travel by the use of conference calls whenever good governance permits.

Engagement processes are kept under regular review. Shareholders and other interested parties are encouraged to contact the Company via +44 (0)1481 727600 on these or any other matters.

Anti-Bribery

The Directors have undertaken to operate the business of the Company in an honest and ethical manner and accordingly take a zero-tolerance approach to bribery and corruption. The key components of this approach are implemented as follows:

· The Board is committed to acting professionally, fairly and with integrity in all its business dealings and relationships;

· The Company will implement and enforce effective procedures to counter bribery; and

· The Company requires all its service providers and advisors to adopt equivalent or similar principles.

UK Criminal Finance Act 2017

Following the entry into force of the UK Criminal Finance Act 2017, the Board has reaffirmed its zero tolerance policy towards the facilitation of corporate tax evasion.

Data Protection

The Company has implemented measures designed to ensure its compliance with the EU General Data Protection Regulation (EU) 2016/679 and associated legislation in Guernsey and in other jurisdictions. The Company has also issued a privacy notice which sets out how personal data is collected, processed and disclosed. This notice is available for review and download at the Company's website.

Risk Management and Internal Control

The Board is responsible for the Company's system of internal control and for reviewing its effectiveness. The Board confirms that there is an on-going process for identifying, evaluating and monitoring the significant risks faced by the Company.

The Audit Committee, on behalf of the Board, carries out an annual review of the internal financial controls of the Company. In addition, ISAE 3402 (or equivalent) reports have been obtained from the relevant service providers where available to verify these reviews. The Management and Remuneration Committee also conducted regular reviews of the Company's service providers. The internal controls are designed to meet the Company's particular needs and the foreseeable risks to which it is exposed. Accordingly, the internal control systems are designed to manage rather than eliminate the risk of failure to achieve business objectives and by their nature can only provide reasonable and not absolute assurance against misstatement and loss.

The Company has put in place arrangements with Highbridge for the Company to receive monthly NAVs in relation to HMS Master Fund and the Underlying Fund and estimated weekly NAVs in relation to the Underlying Fund electronically as soon as they are released, together with certain factsheets produced on each fund and other administrative information and reports. The purpose of these arrangements is to ensure that the Directors have sufficient information to enable them to monitor the Company's investments. The liquidators of AllBlue and AllBlue Leveraged have been unable to supply any monthly NAV information since that provided as at 31 July 2018, but given that these holdings represents 0.4% of the Company's NAV the Directors are content that this does not constitute a serious failure of process. The Board received an updated Liquidators' report for AllBlue and AllBlue Leveraged dated 10 October 2019. The report cites that there are no distributions planned for the foreseeable future. Future distributions are dependent upon the successful realisation of the remaining assets held by AllBlue and AllBlue Leveraged. Due to the uncertainties surrounding the assets, there is no estimate of the timing or amount of potential future distributions, or the expected timing of the conclusion of the liquidations. More details are provided in Note 2.

The Board has assumed the responsibilities of the Risk Committee and meets to review risk reporting information and consider the Company's investment risk management systems, including consideration of a risk matrix which covers various areas of risk including corporate strategy, accuracy of published information, compliance with laws and regulations, relationships with service providers and investment and business activities. The Board considers that the Company has adequate and effective systems in place to identify, mitigate and manage the primary risks to which the Company is exposed. Highbridge is the investment manager of TCF Feeder and MSF Corp and acts as investment manager of the Company. BlueCrest is the investment manager of AllBlue and AllBlue Leveraged. Administration and Secretarial duties for the Company are performed by Praxis Fund Services Limited. The Board considers that the systems and procedures employed by the Administrator and other service providers provide sufficient assurance that a sound system of internal controls is in place.

The Directors of the Company clearly define the duties and responsibilities of their agents and advisors. The appointment of agents and advisors is conducted by the Board after consideration of the quality of the parties involved and the Board monitored their on-going performance and contractual arrangements. The Board has also specified which matters are reserved for a decision by the Board and which matters may be delegated to its agents and advisers.

Specific matters reserved exclusively for the decision of the Board include the approval and variation of terms on which any overdraft or credit facility is used to finance operating costs and the invocation of any premium or discount control mechanisms.

Principal Risks and Uncertainties

The principal risks associated with the Company are:

Operational risk. The Board is ultimately responsible for all operational facets of performance including cash management, asset management, regulatory and listing obligations. The Company has no employees and so enters into legal agreements with a series of service providers to ensure both operational performance and regulatory obligations are met. The Company uses well established, reputable and experienced service providers and their continued appointment is assessed at least annually.

Investment risk. The Board is responsible for the investment policy but, given that the investment objective of the Company is to invest substantially all of its assets in TCF Feeder, the Board has little discretion in such management. The success of the Company depends on the diligence and skill of the Investment Manager of the Company's primary investment, the Underlying Fund. There is a risk that any underperformance of funds in which the Company's capital is invested would lead to a reduction of the net asset value or of the share price rating. The Board formally monitors the investment performance each quarter, and meets with the Investment Manager on a regular basis.

Share price discount risk. The share price is continually monitored and, if appropriate, the Board have the discretion to make a quarterly tender offer to shareholders. Furthermore, the Board also consider whether any additional control measures need to be implemented, including the implementation of a buyback programme.

Concentration risk: The Company's principal exposure is to the Underlying Fund, with additional exposure to HMS Master Fund, AllBlue and AllBlue Leveraged through its creditor interests in these funds and, therefore, the Company is exposed to concentration risk. The Board considers that the Company is effectively highly diversified in its exposures, given the range of individual positions and exposures of the Underlying Fund. The Board believes that this mitigates the concentration risk. The Board actively monitors the exposures to the Underlying Fund, HMS Master Fund, AllBlue and AllBlue Leveraged.

Regulatory risk: The Company is required to comply with the Listing Rules and the Disclosure Guidance and Transparency Rules of the UK Listing Authority and the requirements imposed by the Guernsey Financial Services Commission. Any failure to comply could lead to criminal or civil proceedings. Although responsibility ultimately lies with the Board, the Secretary and finnCap Limited (the "Corporate Brokers") also monitor compliance with regulatory requirements.

Shareholders' attention is also drawn to the Company's risk disclosure document (which can be found on the Company's website) which sets out information on certain risks and other aspects of the Company's investment in the Underlying Fund.

Emerging Risks

The Board ongoingly monitor emerging risk areas relevant to the performance of the Company including those that would threaten its business model, future performance, solvency and liquidity on a ongoing basis.

COVID-19: The Board has reviewed the positioning of the Company's portfolio and the Investment Manager's business continuity arrangements which include the ability for all key employees to work from home and a comprehensive review of their underlying service providers' business continuity arrangements.

The Board has also discussed the potential impact of the pandemic and their response to it with its service providers.

As a result, whilst there has been a considerable fall in the Company's share price in line with other listed investment companies, the Board has concluded that there should be little impact upon to day-to-day operations and valuation processes of both the Company and the Underlying Fund.

Viability Statement

The investment objective of the Company is currently to seek to provide consistent returns with low volatility through an investment policy of investing substantially all of its assets in the Underlying Fund. Prior to the First EGM, it was to seek to provide consistent long-term capital growth through an investment policy of investing substantially all of its assets in MSF Corp or any successor vehicle of MSF Corp. However, in considering the Company's viability, the Directors have only given consideration to the current objective.

Since October 2019 the Company's investment performance has largely depended upon the performance of its underlying investment into the TCF Feeder which is also managed by Highbridge, the Company's investment manager. The Directors, in assessing the viability of the Company have paid particular attention to the principal risks faced by the Company in seeking to achieve its stated objective. The Board has established a risk management framework which is intended to identify, measure, monitor, report and where appropriate, mitigate the risks to the Company's investment objective.

The Directors confirm that their assessment of the principal risks facing the Company was robust and that in doing so they have considered models projecting future cash flows during the three years to 31 December 2022. These models assume that the Company will be able to meet any requirements for cash from redemption proceeds from its investment in TCF Feeder. The Board considers these assumptions to be reasonable, having regard to the information received by the Company to date. These models also assume that future performance will reflect the actual performance of TCF Feeder during the last few years. These models have then been flexed to reflect the impact of some plausible but severe scenarios similar to those experienced by investment markets in the past. The viability assessment covers a period of three years because the Directors are of the opinion that given the Company's recent change of investment policy it would be imprudent for them to attempt to assess any longer period. The Directors also consider this period to be sufficient given the inherent uncertainty of the investment world.

The continuation of the Company in its present form is dependent on the Investment Management Agreement with Highbridge remaining in place. The Directors note that the Investment Management Agreement with the Investment Manager is terminable on six months' written notice by either party. The Directors have no current reason to assume that either the Company or Highbridge would serve notice of termination of the Investment Management Agreement during the three year period covered by this viability statement.

In considering the viability of the Company, the Directors have noted that if the net assets of the Company are not at least £80 million by the end of 2020, they must put a discontinuation vote to shareholders. As a result, there is considerable uncertainty around the Company's future - the size of the Company at the end of 2020 cannot be predicted, and neither can the outcome of any shareholder discontinuation vote. However, the Company has performed in line with its objective during the market volatility in 2020 to date, and so the Board and its advisors believe that the Company will be able to grow sufficiently to render a vote unnecessary. Consequently, for the purposes of assessing the Company's viability over the next three years, the Directors have assumed that the Company has grown to at least £80 million by the end of 2020. In the event that this assumption proves incorrect, the Directors believe that the Company's shares will not be materially impacted.

At the EGM held on 20 February 2020, the shareholders approved both proposals to disapply pre-emption rights on the issue of ordinary shares which should allow the Company to grow as intended.

The Directors, having duly considered the principal risks facing the Company, their mitigation and the cash flow modelling, have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the three year period of their assessment.

By order of the Board

Vic Holmes , Director

24 April 2020

Risk Committee Report

At the start of 2019 the main concern of the Risk Committee and the Board was ensuring that the Company had sufficient working capital to resume an active programme of share buy-backs following a very poor year for financial markets and hedge fund performance, whilst trying to keep the Company as fully invested as possible in the HMS Master Fund. The search for a competitively priced, external credit facility was accelerated with the help of external brokers and JPM and the Company was in the process of negotiating final terms on a facility when our Investment Manager advised us that they were going to re-focus their business to invest in Credit.

The change in investment strategy required the Committee to undertake a due diligence exercise which involved analysing the track records of the component strategies in the HMS Master Fund and Underlying Fund, reviewing the investor reports and financial statements since the inception of the Underlying Fund and interviewing key members of the Investment and Risk teams at Highbridge. This was followed up by a site visit to London at the end of the year, where the Board met the Chief Operations Officer in person and members of the Investment, Risk, IT and Compliance teams via a video conference link.

The Risk Committee reviewed the Investment Manager's policy on position sizing following losses in an activist position during the final quarter and took comfort from the fact that positions in names that are widely held by the hedge fund community will be subject to more rigorous sizing limits.

The Risk Committee concluded that Highbridge's decision to focus exclusively on Credit and Convertible bonds was a sensible strategy, given the track record of the team and that the firm had retained key staff in the operations, compliance and IT teams.

The Risk Committee was discontinued in the final quarter of 2019 as the Board decided to merge the meetings of the Committee into the main board meetings of the Company as part of a cost reduction programme following a reduction in the Company's asset base. As all the Board members were also members of the Committee the Company will enjoy the same level of oversight but without the expense of holding separate committee meetings and with a reduced fixed cost due to a smaller Board whose members have all agreed to waive part of their annual fees until the Company achieves its target size.

Paul Le Page

Director

24 April 2020

Audit Committee Report

In accordance with the AIC Code, an Audit Committee has been established and its membership and terms of reference are available on the Company's website. In the opinion of the Board, the constitution, terms of reference and activities of the Audit Committee meet all the requirements of the AIC Code, save that the Company does not maintain an internal audit function, and that the Chairman of the Company was a member of the Committee as the Board considers that he was independent on appointment and remains so. He is a qualified accountant, has considerable experience gained in other roles of financial reporting and control for investment funds, and is consequently a valuable member of the Committee.

The Board sought to ensure that all areas of risk and control were addressed by either that Committee or the Audit Committee. Consequently, the terms of reference of each Committee made the division of responsibilities between them clear. The Audit Committee is responsible for monitoring the effectiveness of the controls and systems in place to address, inter alia, the risks of loss or misappropriation of assets, misstatement of liabilities or failure of financial reporting systems or processes, including valuation reporting and processes.

The Audit Committee also examines the remuneration and engagement of the auditor, PricewaterhouseCoopers CI LLP ("PwC"), as well as assessing their independence and any non-audit services provided by them. The external audit contract was last tendered in 2016 (being ten years from the initial appointment of the previous auditor), at which time PwC were first appointed. As a result, the Company does not intend to tender the audit service in the near future. The Audit Committee will continue to monitor the performance of the auditor with the aim of ensuring a high quality and effective audit.

Each year the Board examines the Audit Committee's performance and effectiveness, and also ensures that its tasks and processes remain appropriate. Key areas covered include the clarity of the Audit Committee's role and responsibilities, the balance of skills among its members and the effectiveness of the reporting of its work to the Board. The Board is satisfied that all members of the Audit Committee have relevant financial experience and knowledge and that such knowledge remains up to date. Overall the Board considered the Audit Committee had the right composition in terms of expertise and has effectively undertaken its activities and reported them to the Board during the year.

Membership

The current Chairman of the Audit Committee is Steve Le Page, who became Chairman on his appointment to the Board on 3 June 2014. As a result of the 2018 FRC code of Corporate Governance, Vic Holmes resigned from the Audit Committee during 2018, but re-joined it when the AIC persuaded the FRC that chairmen of investment companies could continue to be members of Audit Committees. Paul Le Page joined the Committee on 1 May 2018. Sarita Keen resigned from the Board on 31 October 2019. The Committee remains of the view that its reduced membership remains adequate in both number and skills to fulfil its responsibilities.

Key Activities of the Audit Committee

In the period since the last Audit Committee report, the key activities of the Committee have been -

· Monitoring and assessing the financial systems and controls operated by the Company's key service providers;

· Overseeing the preparation and publication of, and giving appropriate advice to the Board in respect of, the interim report for the six months ended 30 June 2019 and the current annual report for the year ended 31 December 2019; and

· Monitoring and assessing the external auditor.

Each of these key activities is covered in more detail in the following sections.

Financial Systems and Controls Operated by Service Providers

In common with most investment funds, the Company is reliant on the systems, processes and controls operated by its service providers. Throughout the year, the Committee is alert to any indication that service providers may not be performing as expected, such as inaccurate or delayed information, shareholder feedback and the level and standard of interaction between service providers. In so doing the Committee uses its collective knowledge of how other entities are serviced as well as their own experience from previous roles and with other service providers.

In addition, the Committee has reviewed the third party controls reports (ISAE 3402 or equivalent) provided by both the current and previous administrator of the Company and the administrator of HMS Master Fund and the Underlying Fund. At the time of selection and change of administrator the Committee Chair was closely involved in assessing the systems and controls of the selected administrator.

In December 2019, the Board visited Highbridge in London, to discuss, inter alia, their investment processes and activities and their possible impact on the Company, as well as the processes and controls around the Underlying Fund and the winding up of MSF Corp. The Chief Operating Officer of Highbridge was in London from New York at the time, and other senior Highbridge personnel from New York were interviewed by the Board via videoconference. Of particular relevance to the activities of this Committee were the discussions concerning the monitoring, by the boards of HMS Master Fund and the Underlying Fund, of the performance and effectiveness of their auditor and of the valuation systems operated by their administrator.

On the basis of the ongoing monitoring of the Company's service providers described above, the Committee is satisfied that the Company's reliance on service providers during 2019 was not misplaced and that the systems of internal control operated on the Company's behalf, both during the calendar year 2019 and currently, should reasonably prevent material error or misstatement of financial information.

Preparation of Interim and Annual Reports

Prior to each reporting period end, the Committee met with the Secretary and Administrator, and also with the auditor prior to the annual reporting date. As Chairman, I also met with each of these parties separately. The primary purpose of all of these meetings was to consider the timetable for production of the reports, to review the proposed scope of the external audit of the annual report, and the arrangements for cooperation between the Company's service providers. The Company's key risks, principal accounting policies and significant areas of judgment or estimation (all as disclosed elsewhere in this annual report) were also considered for appropriateness and completeness. As a result of these meetings the Committee was able to conclude that the annual report production process had been properly prepared for and planned.

The Committee reviewed the draft interim and annual reports, in detail, for compliance with International Financial Reporting Standards (as adopted by the European Union) and applicable laws, regulations, and corporate governance requirements, and also reconsidered the key risks, principal accounting policies and significant areas of judgment or estimation to ensure the disclosure of these items and their application in the reports remained appropriate. This review and reconsideration included further meetings with the auditor and the Secretary and Administrator. It also included certain activities connected with the review of service providers, as detailed above.

The significant issues which the Committee considered in relation to these Financial Statements, in addition to those set out elsewhere in this section, were the existence and valuation of the Company's investment holdings. Existence was verified by obtaining direct confirmation of the holdings. The price at which each investment is valued was also confirmed directly in this way. As explained elsewhere (see Note 2), at the time of approving the Financial Statements the most recently available NAV for AllBlue and AllBlue Leveraged was as at 31 July 2018, which, in the absence of any other information, the Directors have chosen to use the 31 July 2018 NAV less any distributions received as their best estimate of the fair value of those interests (refer to note 8 for further information on distributions). The Board received an updated Liquidators' report for AllBlue and AllBlue Leveraged dated 10 October 2019. The report cites that there are no distributions planned for the foreseeable future. Future distributions are dependent upon the successful realisation of the remaining assets held by AllBlue and AllBlue Leveraged . Due to the uncertainties surrounding the assets, there is no estimate of the timing or amount of potential future distributions, or the expected timing of the conclusion of the liquidations.

In addition, the Committee considered the results of the service provider monitoring referred to above and also reviewed the cash and valuation movements post year end. In the case of the investment into TCF Feeder and MSF Corp, this includes coterminous audited financial statements. The Committee concluded that the investments existed and were properly valued in accordance with the accounting policy of the Company.

Having carried out the activities set out above the Committee concluded that the Financial Statements were fairly stated. The Committee then read the entire annual report for consistency both internally and with their detailed knowledge of the Company throughout the year, and also considered whether it was as clear and as concise as possible. We then considered the information needs of the likely users of the annual report and whether they were met. Our conclusion was that, taken as a whole, the annual report is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy.

Finally, in respect of the annual report, the Committee considered the regular monitoring of the Company's cash position carried out by the Board, together with a cash forecast for the period until 30 April 2021. The principal uncertainty involved in the forecasting of the Company's cash requirements is the level at which cash will be utilised in support of any on market buyback of Shares or any quarterly tender offer to shareholders, which may be proposed by the Directors in their sole discretion. The Committee considers that the uncertainty created by the requirement to hold a discontinuation vote if the Company does not have at least £80 million in net assets by 31 December 2020 would not have a material impact on the Company's financial position if it were to crystallise. The Committee is satisfied that with the level of cash held, the regular monitoring by the Board and the liquidity of the Company's investments, it is appropriate to prepare the Financial Statements on a going concern basis.

External Auditor

As noted above members of the Committee have met with the auditor on several occasions and this has given us the opportunity to assess the quality of the people involved in our audit and of the content and relevance of their presentations. During our meetings with them we considered their risk assessment, planned responses and general approach as well as their actual delivery against plan, and we separately discussed with our Administrator the degree of challenge they experienced from the auditor. The Committee notes that the majority of the Company's investments are also audited by a separate PwC network firm and in the Committee's opinion this enhances the effectiveness of the audit. We concluded that the external audit process was appropriate to the Company's circumstances and likely to prove effective.

The auditor does not provide any regular non-audit services to the Company, and it is the Committee's expectation that this situation will continue. The Committee has a formal policy concerning non-audit services, detailed on the Company's website, should the need arise.

The Committee has also considered all the other aspects of auditor independence set out in the AIC Code and in the Ethical Standards applicable to our auditor, at both the planning and final delivery stages of the audit. We note that PwC is also the auditor to TCF Feeder and MSF Corp and to certain other structures managed or advised by Highbridge and/or JPMAM. We have carefully considered whether these other audit relationships might impinge upon the independence of our auditor and have concluded that any perceived risk in this respect is adequately safeguarded against.

The Committee having concluded that the external audit is effective and that the auditor is independent and competent has recommended to the Board that a resolution to reappoint PricewaterhouseCoopers CI LLP be put to the forthcoming AGM of the Company.

Steve Le Page

Chairman of the Audit Committee

24 April 2020

Statement of Directors' Responsibilities

The Directors are required to prepare Financial Statements for each Financial Year which give a true and fair view of the state of affairs of the Company as at the end of the Financial Year and of the profit or loss for that year. In preparing those Financial Statements, the Directors are required to:

· Ensure that the Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for a shareholder to assess the Company's performance, business model and strategy;

· Select suitable accounting policies and apply them consistently;

· Make judgements and estimates that are reasonable and prudent;

· State whether applicable accounting standards have been followed subject to any material departures discussed and explained in the Annual Report and Audited Financial Statements; and

· Prepare the Financial Statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the Financial Statements have been properly prepared in accordance with the Law. They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The Directors are responsible for ensuring that the Annual Report and Audited Financial Statements include the information required by the Listing Rules and the Disclosure Guidance and Transparency Rules of the Financial Conduct Authority (together "the Rules"). They are also responsible for ensuring that the Company complies with the provisions of the Rules which, with regard to corporate governance, require the Company to disclose how it has applied the principles, and complied with the provisions, of the corporate governance code applicable to the Company.

Responsibility Statement

The Board of Directors, jointly and severally confirm that, to the best of their knowledge:

· This report includes a fair review of the development and performance of the business and the position of the Company together with a description of the principal risks and uncertainties that the Company faces;

· The Financial Statements, prepared in accordance with International Financial Reporting Standards as adopted by the EU, give a true and fair view of the financial position and profits of the Company;

· The Annual Report and Audited Financial Statements taken as a whole are fair, balanced and understandable and provide the information necessary for shareholders to assess the Company's performance, business model and strategy; and

· The Annual Report and Audited Financial Statements include the information required by the UK Listing Authority for ensuring that the Company complies with the provisions of the Listing Rules and the Disclosure Guidance and Transparency Rules of the UK Listing Authority, with regard to corporate governance, require the Company to disclose how it has applied the principles, and complied with the provisions, of the corporate governance code applicable to the Company.

By order of the Board

Vic Holmes

Director

24 April 2020

Independent Auditor's Report

Independent Auditor's Report to the Members of Highbridge Tactical Credit Fund Limited (Formerly known as Highbridge Multi-Strategy Fund Limited)

Report on the audit of the financial statements

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Our opinion

In our opinion, the financial statements give a true and fair view of the financial position of Highbridge Tactical Credit Fund Limited (the "Company") as at 31 December 2019, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and have been properly prepared in accordance with the requirements of The Companies (Guernsey) Law, 2008.

What we have audited

The Company's financial statements comprise:

● the statement of financial position as at 31 December 2019;

● the statement of comprehensive income for the year then ended;

● the statement of changes in shareholders' equity for the year then ended;

● the statement of cash flows for the year then ended; and

● the notes to the financial statements, which include a description of the significant accounting policies.

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Basis for opinion

We conducted our audit in accordance with International Standards on Auditing ("ISAs"). Our responsibilities under those standards are further described in the Auditor's responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We are independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements of the Company, as required by the Crown Dependencies' Audit Rules and Guidance , and we have fulfilled our other ethical responsibilities in accordance with these requirements. We are also independent in accordance with SEC Independence Rules.

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Material uncertainty related to going concern

We draw attention to the going concern disclosures in the Corporate Governance Statement and to the basis of preparation disclosures in note 1 to the financial statements. These disclosures confirm that if the Company's published unaudited net asset value as at 31 December 2020 is less than £80 million, the directors are required to put a discontinuance resolution to shareholders proposing that the Company ceases to continue in its current form. If the discontinuance resolution is passed, the directors are required to commence proceedings to enter the Company into a managed wind down in accordance with the terms set out in its Articles. Therefore, a material uncertainty exists that may cast significant doubt on the Company's ability to continue as a going concern. Our opinion is not modified in respect of this matter.

Our audit approach

Overview

Materiality

● Overall Company materiality was £0.5 million (2018: £2.3 million) which represents 1% of net assets.

Audit scope

● The Company is a standalone investment fund based in Guernsey which engages Highbridge Capital Management LLC (the "Investment Manager") to manage its assets.

● We conducted our audit of the financial statements from information provided by Praxis Fund Services Limited (the "Administrator") to whom the board of directors has delegated the provision of certain administrative functions.

● We conducted our audit work in Guernsey.

Key audit matters

● Valuation of investments

● Material uncertainty related to going concern

● Directors' consideration of the potential impact of COVID-19

Audit scope

As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial statements. In particular, we considered where the directors made subjective judgements; for example, in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. As in all of our audits, we also addressed the risk of management override of internal controls, including among other matters, consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.

We tailored the scope of our audit in order to perform sufficient work to enable us to provide an opinion on the financial statements as a whole, taking into account the structure of the Company, the accounting processes and controls, and the industry in which the Company operates.

Materiality

The scope of our audit was influenced by our application of materiality. An audit is designed to obtain reasonable assurance whether the financial statements are free from material misstatement. Misstatements may arise due to fraud or error. They are considered material if individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

Based on our professional judgement, we determined certain quantitative thresholds for materiality, including the overall Company materiality for the financial statements as a whole as set out in the table below. These, together with qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to evaluate the effect of misstatements, both individually and in aggregate on the financial statements as a whole.

Overall Company materiality	£0.5 million (2018: £2.3 million)
How we determined it	1% of net assets (2018: 1% of net assets)
Rationale for the materiality benchmark	We believe that net assets is the most appropriate benchmark because this is the key metric of interest to investors. It is also a generally accepted measure used for companies in this industry.

We agreed with the Audit Committee that we would report to them misstatements identified during our audit above £24,500 (2018: £113,000), as well as misstatements below that amount that, in our view, warranted reporting for qualitative reasons.

Key audit matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

In addition to the matters described in the material uncertainty related to going concern section, we have determined the matters described below to be the key audit matters to be communicated in our report.

Key audit matter

How our audit addressed the Key audit matter

Valuation of investments

The investment portfolio at the year end was valued at £65.3 million (2018: £228.6 million) and principally comprised the investments in Highbridge Tactical Credit Fund, Ltd. of £35.6 million (2018: £nil) and the remaining investment in Highbridge Multi-Strategy Fund Corporation of £26.3 million (2018: £224.1 million) together with the legacy investment in the AllBlue Funds of £3.4 million (2018: £4.5 million). Please see note 8 to the financial statements.

We focussed on the valuation of the investment portfolio because investments represent the principal element of the net asset value as disclosed on the statement of financial position.

The AllBlue Funds are categorised as level 3 investments under the IFRS 13 fair value hierarchy and as such we identified an increased level of inherent uncertainty associated with their valuation.

As disclosed in the Audit Committee Report and in notes 2 and 8 to the financial statements, co-terminus capital statement information has not been made available by Deloitte, as liquidators, pertaining to the Company's investment in the AllBlue Funds as at 31 December 2019. The directors have therefore elected to present the year end valuation of the AllBlue Funds on the basis of an internally generated directors' valuation, utilising the latest reported audited financial statement information for the AllBlue Funds as at 31 July 2018 less proceeds received during the year.

· The internal control environment at the Administrator over the valuation of the investment portfolio and the production of the net asset value for the Company was understood and evaluated through the examination of a controls report opined upon by an independent audit firm.

· We assessed the accounting policy for investment valuation for compliance with accounting standards, performed testing to check that the investment valuation had been accounted for in accordance with the stated accounting policy and determined that the accounting policy complied with accounting standards and had been consistently applied.

· We audited management's reconciliation of the Company's valuation of the investment in Highbridge Tactical Credit Fund, Ltd. to the audited financial statements of Highbridge Tactical Credit Fund, Ltd. as at 31 December 2019.

· We audited management's reconciliation of the Company's valuation of the investment in Highbridge Multi-Strategy Fund Corporation to the audited financial statements of Highbridge Multi-Strategy Fund Corporation as at 31 December 2019.

· No co-terminus financial information was available as at 31 December 2019 for the positions held in the AllBlue Funds, therefore our audit work focused on the judgements exercised by the directors to value these positions as at the year end. We considered the £0.2 million net exposure of the Company to the AllBlue Funds in the context of our overall materiality of £0.5 million and examined the most recently available information in respect of the AllBlue Funds issued on 10 October 2019 for the period to 10 July 2019 which we independently received from Deloitte as the Liquidators.

No misstatements were identified which required reporting to those charged with governance.

Key audit matter	How our audit addressed the Key audit matter
Directors' consideration of the potential impact of COVID-19 The directors have considered the potential impact of the non-adjusting post balance sheet events that have been caused by the pandemic, COVID-19, on the current and future operations of the Company. In doing so, the directors have made estimates and judgements that are critical to the outcomes of these considerations with a focus on the Company's ability to continue as a going concern for a period of at least 12 months from the date of approval of these financial statements. As a result of the impact of COVID-19 on the wider financial markets and the Company's share price, we have determined the directors' consideration of the potential impact of COVID-19 (including their associated estimates and judgements) to be a key audit matter.	In assessing the directors' consideration of the potential impact of COVID-19, we have undertaken the following audit procedures: · We obtained from the directors their latest documentation that supports their assessments and conclusions with respect to the statements of going concern and viability respectively. · We discussed with the directors their critical estimates and judgements applied in their latest documentation so we could understand and challenge the rationale for the factors incorporated and the sensitivities applied as a result of COVID-19. · We inspected the latest documentation provided to evaluate the consistency with our understanding of the operations of the Company, the investment portfolio and with any market commentary already made by the Investment Manager. · We performed stress testing to confirm the directors had considered adverse circumstances in their documentation of the potential impact of COVID-19 on the Company. · In discussing, challenging and evaluating the estimates and judgements made by the directors in their impact assessments, we noted the following factors that were considered to be fundamental in their consideration of the potential impact of COVID-19 on the current and future operations of the Company and which support the statements of going concern and viability respectively: o The Company is not leveraged, and there are currently no plans to enter into any borrowing facilities; o The directors have analysed and are satisfied with the business continuity plans of all key service providers as part of their COVID-19 operational resilience review;
Key audit matter	How our audit addressed the Key audit matter
Directors' consideration of the potential impact of COVID-19	o The Company operates as a feeder fund and whilst some industry sectors invested into via Highbridge Tactical Credit Fund, Ltd and its subsequent investment as a feeder fund into Highbridge Tactical Credit Master Fund. L.P. will have a higher degree of impact relative to other industry sectors, the investment portfolio held by Highbridge Tactical Credit Master Fund, L.P. is considered to be diverse; and o Subsequent to the year end and since the outbreak of COVID-19, the Company has received further distributions from Highbridge Multi-Strategy Fund Corporation of £5.2 million, which reduces the level of legacy investment exposure which is subject to current market volatility as this investment position is progressively reduced. · We considered the appropriateness of the disclosures by the directors in respect of the potential impact of COVID-19, a non-adjusting post balance sheet event. Based on our procedures and the information available at the time of the approval of the financial statements, we have not identified any matters to report with respect to the directors' consideration of the impact of COVID-19 on the current and future operations of the Company.

Other information

The directors are responsible for the other information. The other information comprises all the information included in the Annual Report and Financial Statements (the "Annual Report") but does not include the financial statements and our auditor's report thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

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Responsibilities of the directors for the financial statements

The directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union, the requirements of Guernsey law and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the directors are responsible for assessing the Company's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

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Auditor's responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with ISAs, we exercise professional judgement and maintain professional scepticism throughout the audit. We also:

● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

● Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's internal control.

● Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the directors.

● Conclude on the appropriateness of the directors' use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Company's ability to continue as a going concern over a period of at least twelve months from the date of approval of the financial statements. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events or conditions may cause the Company to cease to continue as a going concern.

● Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditor's report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.

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Use of this report

This independent auditor's report, including the opinions, has been prepared for and only for the members as a body in accordance with Section 262 of The Companies (Guernsey) Law, 2008 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

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Report on other legal and regulatory requirements

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Company Law exception reporting

Under The Companies (Guernsey) Law, 2008 we are required to report to you if, in our opinion:

● we have not received all the information and explanations we require for our audit;

● proper accounting records have not been kept; or

● the financial statements are not in agreement with the accounting records.

We have no exceptions to report arising from this responsibility.

Listing Rules of the Financial Conduct Authority (FCA)

The Company has reported compliance against the 2019 AIC Code of Corporate Governance (the "Code") which has been endorsed by the UK Financial Reporting Council as being consistent with the UK Corporate Governance Code for the purposes of meeting the Company's obligations, as an investment company, under the Listing Rules of the FCA.

Aside from the impact of the matters disclosed in the material uncertainty related to going concern section, we have nothing material to add or draw attention to in respect of the following matters which we have reviewed based on the requirements of the Listing Rules of the FCA:

● The directors' confirmation that they have carried out a robust assessment of the principal and emerging risks facing the Company.

● The disclosures that describe those risks and explain how they are being managed or mitigated.

● The directors' explanation as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their statement as to whether they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period of their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

We have nothing to report having performed a review of the directors' statement that they have carried out a robust assessment of the principal and emerging risks facing the Company and the directors' statement in relation to the longer-term viability of the Company. Our review was substantially less in scope than an audit and only consisted of making inquiries and considering the directors' process supporting their statements; checking that the statements are in alignment with the relevant provisions of the Code; and considering whether the statements are consistent with the knowledge and understanding of the Company and its environment obtained in the course of the audit.

Additionally, we have nothing to report in respect of our responsibility to report when:

● The directors' statement relating to Going Concern in accordance with Listing Rule 9.8.6R(3) is materially inconsistent with our knowledge obtained in the audit.

● The statement given by the directors that they consider the Annual Report taken as a whole to be fair, balanced and understandable, and provides the information necessary for the members to assess the Company's position and performance, business model and strategy is materially inconsistent with our knowledge of the Company obtained in the course of performing our audit.

● The section of the Annual Report describing the work of the Audit Committee does not appropriately address matters communicated by us to the Audit Committee.

● The directors' statement relating to the Company's compliance with the Code does not properly disclose a departure from a relevant provision of the Code specified, under the Listing Rules, for review by the auditors.

John Roche

For and on behalf of PricewaterhouseCoopers CI LLP

Chartered Accountants and Recognised Auditor

Guernsey, Channel Islands

24 April 2020

a. The maintenance and integrity of the Highbridge Tactical Credit Fund Limited website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.

b. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Statement of Comprehensive Income

FOR THE YEAR ENDED 31 DECEMBER 2019

		31 December 2019	31 December 2018
	Notes	£	£

Net losses on non-current financial assets at fair value through profit or loss	8	(150,626)	(4,784,583)
Net (losses)/gains on current financial assets at fair value through profit or loss	8	(1,806,608)	884,640
Net gains/(losses) on current financial liabilities at fair value through profit or loss	9	3,085,373	(698,916)
Interest income received		6,782	70,710
(Losses)/gains on foreign exchange		(92,374)	13,849
Operating expenses	4	(595,326)	(643,988)
Profit/(loss) and total comprehensive income/(loss) for the year		447,221	(5,158,288)
		Pence (£)	Pence (£)
Earning/(loss) per share - basic and diluted	6	0.59	(5.05)

In arriving at the results for the Financial Year, all amounts above relate to continuing operations.

There is no other comprehensive income for the year other than as disclosed above.

The notes form an integral part of these Financial Statements.

Statement of Financial Position

AS AT 31 DECEMBER 2019		31 December 2019	31 December 2018
Non-current assets	Notes	£	£
Unquoted financial assets designated as at fair value through profit or loss	8	35,581,874	224,077,752
Current assets
Unquoted financial assets designated as at fair value through profit or loss	8	29,758,245	4,510,312
Investment distribution receivable	10	26,354,386	-
Cash and cash equivalents		2,425,359	1,783,224
Prepayments and receivables		240,037	29,802
		58,778,027	6,323,338
Current liabilities
Unquoted financial liabilities designated as at fair value through profit or loss	9	44,431,149	3,315,422
Due to redeemed shareholders		803,781	-
Sundry accruals and payables		90,534	304,740
		45,325,464	3,620,162

Net assets		49,034,437	226,780,928
Equity
Share Capital	11	-	-
Reserves	12&13	49,034,437	226,780,928
Shareholders' equity	13	49,034,437	226,780,928

Shares in issue	11	23,093,530	105,391,869
NAV per share	15	£2.1233	£2.1518

The Financial Statements and accompanying notes were approved and authorised for issue by the Board of Directors on 24 April 2020 and are signed on its behalf by:

Vic Holmes	Steve Le Page
Chairman	Chairman of the Audit Committee

The notes form an integral part of these Financial Statements.

Statement of Changes in Shareholders' Equity

FOR THE YEAR ENDED 31 DECEMBER 2019

		Share Capital	Reserves	Total
	Note	£	£	£

Opening balance		-	226,780,928	226,780,928
Sales of Shares from Treasury	12	-	3,250,000	3,250,000
On-market purchase of ordinary shares	12	-	(3,060,668)	(3,060,668)
Share redemptions		-	(178,383,044)	(178,383,044)
Profit and total comprehensive income for the year		-	447,221	447,221
Balance at 31 December 2019		-	49,034,437	49,034,437

FOR THE YEAR ENDED 31 DECEMBER 2018

		Share Capital	Reserves	Total
	Note	£	£	£

Opening balance		-	214,156,099	214,156,099
Sales of Shares from Treasury	12	-	18,814,352	18,814,352
On-market purchase of ordinary shares	12	-	(1,031,235)	(1,031,235)
Loss and total comprehensive income for the year		-	(5,158,288)	(5,158,288)
Balance at 31 December 2018		-	226,780,928	226,780,928

The notes form an integral part of these Financial Statements.

Statement of Cash flows

FOR THE YEAR ENDED 31 DECEMBER 2019		31 December 2019	31 December 2018
	Note	£	£

Cash flows from operating activities
Profit/(loss) and total comprehensive income for the year		447,221	(5,158,288)
Unrealised losses on financial assets at fair value through profit or loss	8	2,915,738	5,565,696
Unrealised gains on financial liabilities at fair value through profit or loss	9	(3,085,373)	(96,956)
Realised losses on sales of financial liabilities at fair value through profit or loss	9	-	795,872
Realised gains on sales of financial assets at fair value through profit or loss	8	(958,504)	(1,665,753)
Purchase of financial assets		-	(25,300,000)
Proceeds from sale of financial assets		138,186,326	3,786,982
Interest income		(6,782)	(70,710)
(Decrease)/increase in sundry accruals and payables		(124,008)	230,445
Increase in prepayments and receivables		(210,235)	(3,837)
AllBlue cost reallocation		(33,198)	-
Net cash flow generated from/(used in) operating activities		137,131,185	(21,916,549)

Cash flows from investing activities
Interest received		6,782	70,710
Net cashflow generated from investing activities		6,782	70,710

Cash flows from financing activities
Sales of Shares from Treasury		-	18,814,352
On-market purchase of shares	12	(3,060,668)	(1,031,235)
Payments to redeemed shareholders		(133,435,164)	(17,793,656)
Net cashflow used in financing activities		(136,495,832)	(10,539)

Cash and cash equivalents at beginning of year		1,783,224	23,639,602
Increase/(decrease) in cash and cash equivalents		642,135	(21,856,378)
Cash and cash equivalents at end of year		2,425,359	1,783,224

The notes form an integral part of these Financial Statements.

Notes to the Financial Statements

1. Accounting policies

(a) Basis of preparation

The Financial Statements have been prepared in conformity with International Financial Reporting Standards as adopted by the European Union ("IFRS") and applicable Guernsey law. The Financial Statements have been prepared on historical cost basis except for the measurement at fair value of financial assets and financial liabilities designated at fair value through profit or loss.

For a detailed discussion about the Company's performance and financial position please refer to the Chairman's Report and Investment Manager's Report.

Items included in the Financial Statements are measured using the currency of the primary economic environment in which the Company operates (the "Functional Currency"). The functional currency is Sterling, The Company has also adopted Sterling as its presentation currency.

The principle accounting policies applied in the preparation of these Financial Statements are set out below. These policies have been consistently applied to all years presented, unless otherwise stated.

Assets and liabilities are classified as current if they are expected to be realised within 12 months of the Statement of Financial Position date. Those not expected to be realised within 12 months of the Statement of Financial Position date will be classified as non-current.

(b) Going concern

The Board has assessed the Company's financial position as at 31 December 2019 and the factors that may impact its performance and is of the opinion that it is appropriate to prepare these Financial Statements on a going concern basis as the Company has adequate financial resources to meet its liabilities as they fall due over a period of 12 months from the approval of these Financial Statements.

(c) Taxation

The Company has been granted exemption under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual fee of £1,200.

(d) Expenses

All expenses are accounted for on an accruals basis.

(e) Interest income

Interest income is accounted for on an accruals basis.

(f) Cash and cash equivalents

Cash and cash equivalents are defined as call deposits, money market funds, short dated bonds, short term deposits and investments have a maximum three month maturity period and subject to insignificant risk of changes in value, together with bank overdrafts. For the purposes of the Statement of Cash Flows, cash and cash equivalents consists of cash, deposits and investments held in JPMorgan Liquidity funds.

(g) Foreign currency translation

The Financial Statements are presented in Sterling, which is the Company's functional and presentation currency. Operating expenses in foreign currencies are initially recorded at the functional currency rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies are translated at the functional currency rate of exchange ruling at the reporting date. All differences on these foreign currency translations are taken to the Statement of Comprehensive Income.

(h) Segment information

For management purposes, the Company is organised into one business unit, and hence no separate segment information has been presented.

(i) Shares

The Shares are initially recognised on the date of issue at the net of issue proceeds and share issue costs. The Shares are classified and accounted for as equity, with all payments for share buybacks, or receipts from share issues, being taken to Reserves.

(j) Financial Assets

The classification depends on the purpose for which the investments were acquired. The Company's financial assets consist of unquoted financial assets held at fair value through profit or loss and receivables. Unquoted financial assets include the investments from which the Company is in the process of redeeming. Please refer to Note 1 (k) for further detail.

Classification of financial assets

The Company classified financial assets into the following categories.

Financial assets at amortised cost:

Cash and cash equivalents

Prepayments and receivables

Investment distributions receivable

Financial assets at fair value through profit or loss:

Unquoted financial assets.

IFRS 9 Financial Instruments requires the Company to measure and recognise impairment on financial assets at amortised cost based on Expected Credit Losses ("ECL").

The ECL impairment model requires the Company to account for expected credit losses at initial recognition and changes to expected credit losses at each reporting date to reflect changes in credit risk since initial recognition.

At 31 December 2019, the Company had recognised no expected credit impairment provisions (31 December 2018: none).

The Investment distribution receivable on the Statement of Financial Position as at 31 December 2019 was held at the initial transaction price. The Investment distribution receivable was received in full on 8 January 2020.

Purchases and sales of financial assets are recognised on the trade-date, the date on which the Company commits to purchase or sell the asset. Financial assets are derecognised when the rights to receive cash flows from the financial assets have expired or have been transferred and the Company has transferred substantially all the risks and rewards of ownership. Financial assets (quoted and unquoted) at fair value through profit or loss are initially recognised at fair value. Subsequent to initial recognition, financial assets at fair value through profit or loss are measured at fair value. Gains and losses arising from changes in the fair value of the 'financial assets at fair value through profit or loss' category are presented in the Statement of Comprehensive Income within net changes in fair value of financial assets at fair value through profit or loss in the period in which they arise.

(k) Financial Liabilities (Redemption Liability)

Classification - The classification of financial liabilities at initial recognition depends on the purpose for which the financial liability was issued and its characteristics. The Company's financial liabilities consist of either financial liabilities measured at amortised cost (trade payables and other short-term monetary liabilities) or financial liabilities measured at fair value through profit or loss (the liabilities payable to previous shareholders who have elected to exit the Company ("Redemption Liability")). These latter liabilities are due to:

- Shareholders who elected to exit from the Company at the original cash exit opportunity offered when Highbridge were appointed Investment Manager in 2016;

- Persons who tendered their shares back to the Company at the time of the Tender offer in October 2016;

- Persons who elected to exit from the Company at the First EGM on 16 August 2019;

- Persons who elected to exit from the Company at the Second EGM on 17 September 2019.

Please refer to Note 9 for further information. These liabilities meet the following classification criteria of IFRS 9 for Fair Value Through Profit or Loss (FVTPL):

- Where designation as at FVTPL eliminates or significantly reduces a measurement or recognition inconsistency ("accounting mismatch") that would otherwise arise from measuring assets or liabilities or recognising the gains and losses on them on different bases.

These liabilities are not a static amount, but change as the fair value (NAV) of the creditor interests in MSF Corp, AllBlue Limited and AllBlue Leveraged funds change. Thus there would be a mismatch if the liability is recorded at amortised cost whilst the "matching" investment is at fair value.

Recognition and measurement - financial liabilities at fair value through profit or loss are initially recognised at fair value. Subsequent to initial recognition, financial liabilities at fair value through profit or loss are measured at fair value. Gains and losses arising from changes in the fair value of the 'financial liabilities at fair value through profit or loss' category are presented in the Statement of Comprehensive Income within net changes in fair value of financial liabilities at fair value through profit or loss in the period in which they arise.

2. Critical Accounting Judgements and Key Sources of Estimation Uncertainty

In the application of the Company's accounting policies, the Directors are required to make judgements, estimates and assumptions about the carrying amounts of assets and liabilities that are not readily apparent from other sources. The estimates and associated assumptions are based on historical experience and other factors that are considered to be relevant. Actual results may differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period or in the period of the revision and future periods if the revision affects both current and future periods. The following are the critical judgements that the Directors have made in the process of applying the Company's accounting policies and that have the most significant effect on the amounts recognised in the Financial Statements.

Fair value hierarchy classification

In determining the level within the fair value of financial assets and financial liabilities hierarchy, set out in IFRS 13, the Directors consider whether inputs to a fair value measurement are observable, and significant to its measurement. This requires judgement based on the facts and circumstances around the published NAV of the underlying funds. The Directors consider the availability of the NAV, at the reporting date, and whether holdings would be redeemable at such a NAV with evidence of redemptions at reporting date. They also consider whether unobservable adjustments, such as liquidity discounts, have been made by the Company. In the event there is any change in the above factors, a transfer between fair value hierarchy levels will be deemed to have occurred at the end of the period and would be disclosed in Note 8.

The following are the critical estimates that the Directors have made in the process of applying the Company's accounting policies and that have the most significant effect on the amounts recognised in the Financial Statements.

Valuation of investments

In order to assess the fair value of the unquoted non-current and current investments, the NAV of the underlying investments in the Underlying Fund, HMS Master Fund, AllBlue and AllBlue Leveraged is taken into consideration. The Directors have considered the circumstances surrounding the compulsory redemption of the Company's investments in HMS Master Fund, AllBlue and AllBlue Leveraged. The administrator of HMS Master Fund provides monthly NAV updates. As explained elsewhere (see Note 8), as at the time of preparation of these Financial Statements the most recently available NAV for AllBlue and AllBlue Leveraged was as at 31 July 2018. The Directors have chosen to use the 31 July 2018 NAV less any distributions received as their best estimate of the fair value of those interests. The AllBlue and AllBlue Leveraged interests attributable to the shareholders of the Company comprise a net exposure of 0.45% of the Company's NAV, and the Company has received back 99.55% of the published net asset value of its holding in AllBlue and AllBlue Leveraged as at the 31 July 2018.

The Company's holdings in the Underlying Fund are realisable at their NAV on quarterly dealing days. The Company has some practical experience of realising such holdings, and the Directors have considered carefully the circumstances of the Underlying Fund and its history of meeting requests for realisations from other investors and have judged that the NAV provided by the independent administrator of the Underlying Fund is a fair estimation of the fair value of the Company's holdings.

The Company's NAV is based on valuations of unquoted investments. As described above, in calculating the NAV and the NAV per Share of the Company, the Administrator relies on the NAVs supplied by the administrators of the Underlying Fund, HMS Master Fund and the liquidators of AllBlue and AllBlue Leveraged investments. Those NAVs are themselves based on the NAV of the various investments held by the Underlying Fund, HMS Master Fund, AllBlue and AllBlue Leveraged.

Impairment of financial assets

IFRS 9 Financial Instruments requires the Company to measure and recognise impairment on financial assets at amortised cost based on Expected Credit Losses, replacing IAS 39's incurred loss model. See note 14 on the assessment of impairment of financial assets.

3. Segmental Reporting

The Board has considered the requirements of IFRS 8 - "Operating Segments". The Company has entered into an Investment Management Agreement with the Investment Manager under which the Investment Manager is responsible for the management of the Company's investment portfolio, subject to the overall supervision of the Board of Directors. The Board retains full responsibility to ensure that the Investment Manager adheres to its mandate. Moreover, the Board is fully responsible for the appointment and/or removal of the Investment Manager. Accordingly, the Board is deemed to be the "Chief Operating Decision Maker" of the Company. In the Board of Directors' opinion, the Company is engaged in a single segment of business, being investment in a portfolio of funds, funds of funds and other similar assets.Segment information is measured on the same basis as that used in the preparation of the Company's Financial Statements.

The Company receives no revenues from external customers, nor holds any non-current assets, in any geographical area other than Guernsey or Cayman Islands.

4. Operating Expenses

	31 December 2019	31 December 2018
	£	£
Administration fees	130,942	112,967
Directors' remuneration (note 5)	186,881	228,000
Directors insurance	27,271	26,150
Registration fees	28,804	32,057
Audit fees	50,196	35,131
Legal and Professional fees	17,608	26,609
Other operating expenses	153,624	183,074

Total expenses for the year	595,326	643,988

5. Directors' Remuneration

	31 December 2019	31 December 2018
	£	£
Vic Holmes, Chairman	57,500	60,000
Steve Le Page	48,000	50,000
Paul Le Page (appointed 1 May 2018)	46,000	28,000
Sarita Keen (resigned 31 October 2019)	35,381	42,000
Paul Meader (resigned 31 December 2018)	-	48,000

	186,881	228,000

6. Earning/(loss) per Share

	31 December 2019	31 December 2018

Profit/(loss) and total comprehensive income for the year	447,221	(5,158,288)
The weighted average number of shares in issue during the year	75,572,708	102,101,247

	Pence (£)	Pence (£)
Earning/(loss) per share	0.59	(5.05)

7. Related Party Transactions

Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.

Transactions with related parties are made on terms equivalent to those that prevail in an arm's length transaction.

In September 2019, JPMorgan Asset Management International Limited ("JPMAM") an affiliate of Highbridge Capital Management, LLC, subscribed for Shares totalling £3,250,000. The Company issued out of treasury 1,500,046 new ordinary Sterling shares of no par value in the Company at a price of 216.66 pence per Share to JPMAM. This represents a total investment of £3,250,000, in consideration for shares in MSF Corp, which later converted into Class F Sterling shares of the TCF Feeder.

During the year, the Investment Manager reimbursed the Company £241,563 in relation to costs for the First EGM and the Second EGM.

Directors' remuneration is disclosed in Note 5.

8. Investments Designated at Fair Value through Profit or Loss


	31 December 2019	31 December 2018
	£	£

Unquoted Financial Assets
Portfolio cost carried forward	52,650,677	212,969,637
Unrealised gains on financial assets at fair value through profit or loss	12,689,442	15,618,427
Valuation carried forward	65,340,119	228,588,064

Realised gains on sales and conversions on current assets	958,504	1,665,753
Unrealised losses on non-current assets	(150,626)	(4,784,583)
Unrealised losses on current assets	(2,765,112)	(781,113)

Net losses on financial assets at fair value through profit or loss	(1,957,234)	(3,899,943)

IFRS 13 requires fair value to be disclosed by the source of inputs, using a three-level hierarchy:

- Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

- Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2); and

- Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).

The fair values of the unquoted investments held by the Company are based on the published NAV of the TCF Feeder, and the most recently available NAV of MSF Corp, AllBlue and AllBlue Leveraged. On the basis that the significant inputs to the fair value of the TCF Feeder and MSF Corp are observable and no significant unobservable adjustments are made to the valuations, the Company categorises the TCF Feeder and HMS Master Fund as Level 2. As the fair value determination for AllBlue and AllBlue Leveraged as at 31 December 2019 is unobservable, these have been categorised as Level 3.

Details of the value of the classifications are listed in the table below. Values are based on the fair value of the investments as at the reporting date:

	31 December 2019 £	31 December 2018 £
Financial assets at fair value through profit or loss
Level 1	-	-
Level 2	61,931,489	224,077,752
Level 3	3,408,630	4,510,312
	65,340,119	228,588,064

	31 December 2019 £	31 December 2018 £
Financial liabilities at fair value through profit or loss
Level 1	-	-
Level 2	(41,243,224)	-
Level 3	(3,187,925)	(3,315,422)
	(44,431,149)	(3,315,422)

Movements in the Company's Level 3 financial instruments during the year were as follows:

Financial Assets Level 3 reconciliation	31 December 2019	31 December 2018
	£	£

Balance at beginning of the year	4,510,312	7,365,264
Disposals	(1,096,761)	(3,786,982)
Net realised gains on valuation for the year	-	1,665,753
Movement in unrealised losses on valuation	(4,921)	(733,723)

Balance at end of year	3,408,630	4,510,312

Financial Liabilities Level 3 reconciliation	31 December 2019	31 December 2018
	£	£

Balance at beginning of the year	(3,315,422)	(20,410,162)
Repayments	134,394	17,793,656
Net realised losses on valuation for the year	-	(795,872)
Movement in unrealised (losses)/gains on valuation	(6,897)	96,956

Balance at end of year	(3,187,925)	( 3,315,422 )

Return of Capital from MSF Corp

During the year, Highbridge Capital Management LLC, the Investment Manager to the HMS Master Fund announced that the HMS Master Fund would be wound down.

From the start of the program to 31 December 2019, the Company has received redemption proceeds from the MSF Corp totalling £137,089,564.

During January 2020, the Company received a further £20,570,509 of redemption proceeds from MSF Corp.

Return of Capital from AllBlue and AllBlue Leveraged

On 1 December 2015, BlueCrest, the Investment Manager to the BlueCrest suite of funds, and the Board of Directors of each of the relevant BlueCrest funds (or General Partner, where appropriate) announced that the BlueCrest funds would embark upon a programme to return the capital managed in these funds to investors.

From the start of the program, the Company has received redemption proceeds from the AllBlue funds totalling £712,213,318 from the Sterling Share Class and $42,684,695 from the US Dollar Share Class. £1,096,760 of redemption proceeds were received during the year (£1,049,234 from the Sterling Share Class and $47,526 from the US Dollar Share Class).

The Company was notified in August 2018 that the BlueCrest funds had appointed liquidators on 11 July 2018. The appointment of BlueCrest as investment manager to the BlueCrest Funds terminated on 11 July 2018, although BlueCrest will continue to assist the liquidators during the liquidation process as required. The liquidators advised that the completion of the liquidation and future distributions to investors would be dependent upon the successful realisation of the assets held by the BlueCrest funds. No further distributions are planned at this time, and the possibility of interim distributions resulting from the future sale of the investments held by the BlueCrest funds will be considered by the liquidators as investments are realised by the BlueCrest funds.

9. Financial Liabilities Designated at Fair Value Through Profit or Loss

	31 December 2019 £	31 December 2018
Designated at fair value through profit or loss at inception:
Balance at beginning of the year	(3,315,422)	(20,410,162)
Repayments	134,181,944	17,793,656
Realised losses on repayments	-	(795,872)
MSF Corp cash exit	(178,383,044)	-
Change in unrealised gains	3,085,373	96,956
	(44,431,149)	(3,315,422)
Other net changes in fair value on financial liabilities at fair value through profit or loss:
Realised losses	-	(795,872)
Change in unrealised gains	3,085,373	96,956
Total gains/(losses)	3,085,373	(698,916)

These liabilities represent the Redemption Liability, as defined in Note 1 (k), and are designated as at fair value through profit or loss for the reason explained in that note.

Please refer to Note 8 for the IFRS 13 Level 3 reconciliation.

10. Investment Distribution Receivable

As at 31 December 2019, redemption proceeds from MSF Corp of £26,354,386 were due to the Company. During January 2020, the Company received £20,570,509 in cash and during February 2020, the Company received £5,783,876 of shares in TCF Feeder.

11. Share Capital

Authorised Share Capital

An unlimited number of Ordinary shares of no par value each.

Issued	Total
	Number

Number of shares in issue (excluding Treasury Shares) at 1 January 2018	97,500,119
Purchase of own shares	(497,000)
Sales of Shares from Treasury	8,388,750

Number of shares in issue (excluding Treasury Shares) at 31 December 2018	105,391,869

Purchase of own shares	(1,431,000)
Sales of Shares from Treasury	1,500,046
Share redemptions	(82,367,385)

Number of shares in issue (excluding Treasury Shares) at 31 December 2019	23,093,530

Pursuant to Section 276 of the Law, a Share in the Company confers on the shareholder the right to vote on resolutions of the Company, the right to an equal share in dividends authorised by the Board of Directors, and the right to an equal share in the distribution of the surplus assets of the Company.

The total number of Shares in issue, as at 31 December 2019 was 49,260,348 (2018: 131,627,733), of which 26,166,818 (2018: 26,235,864) Shares were held in treasury, and the total number of shares in issue excluding treasury shares was 23,093,530 (2018: 105,391,869).

12. Treasury Shares

The Capital and Reserves disclosure below is intended to highlight the legal nature, under applicable Company Law, of the amounts attributable to shareholders and also the existence and effect of the Treasury shares held by the Company. This is a supplemental disclosure and not required under IFRS.

	Note	31 December 2019	31 December 2018
		£	£
Capital and Reserves
Share capital	11	-	-
Treasury shares		(52,533,286)	(52,722,618)
Reserves	13	101,567,723	279,503,546

Closing balance		49,034,437	226,780,928

	31 December 2019	31 December 2018
	£	£
Treasury shares
Opening balance	52,722,618	70,505,735
Acquired during the year	3,060,668	1,031,235
Cancelled during the year	(3,250,000)	(18,814,352)

Closing balance	52,533,286	52,722,618

During the year ended 31 December 2019, the Company issued 1,500,046 shares (31 December 2018: 8,388,750) and the Company bought back 1,431,000 sterling shares, at an average price of £2.1388 (31 December 2018:497,000 sterling shares at an average price of £2.0745).

13. Reserves

	31 December 2019	31 December 2018
	£	£

Opening balance	279,503,546	284,661,834
Comprehensive income/(loss) attributable to shareholders	447,221	(5,158,288)
On-market purchase of ordinary shares	(178,383,044)	-

Closing balance	101,567,723	279,503,546

14. Financial Risk Management Objectives and Policies

The main risks arising from the Company's financial instruments concern its holding in TCF Feeder as well as the investments in HMS Master Fund, AllBlue and AllBlue Leveraged. The main risks attaching to those investments are market risk, credit risk and liquidity risk.

So far as the Company is concerned, the only risk over which the Board can exert direct control is liquidity risk through its ability to issue shares or to exercise redemption rights in TCF Feeder for the purpose of meeting share buy backs and ongoing expenses of the Company. However, redemptions are restricted to 25% of the Company's holding in TCF Feeder on any quarterly redemption date and there are various circumstances under which TCF Feeder can further restrict redemptions. In addition, the Directors may only issue shares if they are trading at a premium to NAV and to satisfy market demand. Accordingly, since the change of investment policy and the appointment of Highbridge as Investment Manager, the Company has held a modest cash reserve to cover its running costs. Additionally, proceeds available from its money market investments, HMS Master Fund and the AllBlue and AllBlue Leveraged funds as well as the possibility of redeeming from TCF Feeder enable the Company to meet its liabilities as they fall due. Thereafter the Board recognises that the Company has, via its holding of shares in TCF Feeder an indirect exposure to the risks summarised below.

It must also be noted that there is little or nothing which the Board can do to manage each of the following risks within TCF Feeder or the investments in which TCF Feeder invests under the current investment objective of the Company. With regard to the recoverability of the investment in respect of the MSF Corp the Company will remain a shareholder until all of the assets of the HMS Master Fund have been liquidated. In respect to AllBlue and AllBlue Leveraged funds, the Company is now reliant on the liquidators of the BlueCrest funds to return the remaining capital to investors.

Details of the Company's investment objective and policy are given in Note 14 to the Financial Statements.

Market Risk

Price Risk

The success of the Company's activities will be affected by general economic and market conditions, such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, trade barriers, currency exchange controls and national and international political circumstances. These factors may affect the level and volatility of securities' prices and the liquidity of the TCF Feeder's investments. Volatility or illiquidity could impair the TCF Feeder's profitability or result in losses.

Price sensitivity

The Company invests substantially all its assets in TCF Feeder and does not undertake any structural borrowing or hedging activity at the Company level. Its performance, therefore, is principally directly linked to the NAV of TCF Feeder, which invests solely in the Underlying Fund. The Company also has a residual exposure of approximately £6.0m to MSF Corp which is in the process of winding up and a de-minimus exposure of approximately £0.2m to AllBlue entities.

At 31 December 2019, if the NAV of the underlying investments had been 10% higher/lower with all the other variables held constant, the shareholders' equity as at 31 December 2019 would have increased/decreased by £4.1m (31 December 2018: increase/decrease of £22.5m) This change arises due to the net increase/ decrease in the fair value of financial assets and financial liabilities at fair value through profit or loss.

Currency Risk

The Company is not exposed directly to material foreign exchange risk as the Company has a sterling functional currency and is directly invested in sterling shares of TCF Feeder.

Interest Rate Risk

The prices of securities tend to be sensitive to interest rate fluctuations. Unexpected fluctuations in interest rates could cause the corresponding prices of long positions and short positions adopted to move in directions which were not originally anticipated. Generally, an increase in interest rates will increase the carrying values of investments. However, the Company's investments and liabilities designated as at fair value through profit or loss are non interest bearing, and therefore are not directly exposed to interest rate risk.

The Company's own cash balances are not materially exposed to interest rate risk as cash and cash equivalents are held on floating interest rate terms and the Company does not rely on income from bank interest to meet day to day expenses.

Credit Risk

Credit risk is the risk that financial losses arise from the failure of a customer or counterparty to meet its obligations under a contract. Direct credit risk arises from cash and cash equivalents which consists of cash held at banks and money market accounts, money market funds, securities sold receivables (where applicable) and other receivables. The Company only deposits money with appropriately rated counterparties.

The nature of commercial arrangements made in the normal course of business between many prime brokers and custodians means that in the case of any one prime broker or custodian defaulting on its obligations to the Underlying Fund, the effects of such a default may have negative effects on other prime brokers with whom the Underlying Fund deals. TCF Feeder and the Company may, therefore, be exposed to systemic risk when the Underlying Fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of the TCF Feeder may be pledged as margin with prime brokers or other counterparties or held with prime brokers or banks. In the event of the default of any of these prime brokers, banks or counterparties, the Underlying Fund may not receive back all or any of the assets pledged or held with the defaulting party.

The Company measures credit risk and expected credit losses using probability of default, exposure at default and loss given default. The Board consider both historical analysis and forward looking information in determining any expected credit loss. At 31 December 2019 and 31 December 2018, all other receivables (excluding HMS Master Fund, AllBlue and AllBlue Leveraged), amounts due from brokers, cash and short-term deposits are held with counterparties with a credit rating of AA/Aa or higher and are due to be settled within 1 week.

During January 2020, the Company received its second dividend-in-kind distribution of £5.78m of new shares in TCF Feeder and a further £20,570,509 of redemption proceeds from MSF Corp.

The Board consider the probability of default to be close to zero as the counterparties have a strong capacity to meet their contractual obligations in the near term. As a result, no loss allowance has been recognised based on 12-month expected credit losses as any such impairment would be wholly insignificant to the Company.

The maximum exposure to credit risk, excluding any credit exposures in the HMS Master Fund, AllBlue and AllBlue Leveraged before any credit enhancements at 31 December 2019 is the carrying amount of the financial assets as set out below:

	31 December 2019	31 December 2018
	£	£
Cash at bank	2,309,078	219,977
Cash held in money market fund	116,281	1,563,247
Investment distribution receivable	26,354,386	-

	28,779,745	1,783,224

Liquidity Risk

In order to realise its investment in TCF Feeder, the Company generally may, as of any calendar quarter-end, upon at least 65 days' prior written notice to the administrator of TCF Feeder, redeem up to, but not exceeding, 25% of the number of TCF Feeder shares issued to the Company upon each subscription. Redemption proceeds may be paid in cash or, at the discretion of TCF Feeder, in kind.

There can be no assurance that the liquidity of the Underlying Fund's investments will always be sufficient to meet redemption requests as, and when, made. Any such lack of liquidity may affect the ability of the Company to realise its shares in its investments and the value of Shares in the Company. Redemption requests may be deferred in exceptional circumstances including if a lack of liquidity may result in difficulties in determining the Underlying Fund's NAV or NAV per share. This in turn would limit the ability of the Directors to realise the Company's investments should they consider it appropriate to do so and may result in difficulties in determining the NAV of a Share in the Company. The market prices, if any, for such illiquid investments tend to be volatile and may not be readily ascertainable and the Underlying Fund may not be able to sell them when it desires to do so or to realise what it perceives to be their fair value in the event of a sale. The size of the Underlying Fund's positions may magnify the effect of a decrease in market liquidity for such instruments. Changes in overall market leverage, deleveraging as a consequence of a decision by the counterparties with which the Underlying Fund enters into repurchase/reverse repurchase agreements or derivative transactions, to reduce the level of leveraging, or the liquidation by other market participants of the same or similar positions, may also adversely affect the Underlying Fund's portfolio.

In some circumstances, investments held by the Underlying Fund may be relatively illiquid making it difficult to acquire or dispose of them at the prices quoted for them on the various exchanges. Accordingly, the ability of the manager of the Underlying Fund to respond to market movements may be impaired and, consequently, they may experience adverse price movements upon liquidation of their investments which may in turn affect the value of the Company's investment. Settlement of transactions may be subject to delay and administrative formalities.

The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets.

TCF Feeder may not be able to readily dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified period of time. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale.

The Company will continue to be a shareholder of the MSF Corp until all of the assets of the HMS Master Fund have been liquidated. The Company has received approximately 75% of the assets of the HMS Master Fund to date.

The residual investments in AllBlue and AllBlue Leveraged funds are known to be mostly concentrated in a single illiquid bond position which BlueCrest was attempting to sell. In 2019, the bond position remained unsold and a liquidator is managing the wind down of both funds. Valuations of the BlueCrest funds are provided at the discretion of the liquidator. The valuation movements may be substantial but the impact on the NAV of the Company's shares will be mitigated by the fact that the Company has only 0.45% of its net asset value exposed to the BlueCrest funds.

The investment in TCF Feeder is treated as realisable within 12 months because the Company has the right to redeem its holding, although it has no intention to do so. MSF Corp is treated as realisable within 12 months as the Company is expecting to receive the sale proceeds within the next 12 months. The creditor interests in the AllBlue funds are treated as not realisable in 12 months as the liquidators have indicated that repayment of these amounts in unlikely in that time period.

The table below details the residual maturities of financial assets and liabilities:

	1-3 Months £	3-12 Months £	More than 1 year £	Total £
As at 31 December 2019

Assets
Unquoted Financial assets designated at fair value through profit or loss	-	61,931,488	3,408,631	65,340,119
Cash and cash equivalents	2,425,359	-	-	2,425,359
Investment distribution receivable	26,354,386	-	-	26,354,386
Other receivables (excluding prepayments)	221,470	-	-	221,470

Liabilities
Unquoted Financial liabilities designated at fair value through profit or loss	-	(41,243,224)	(3,187,925)	(44,431,149)
Due to redeeming shareholders	(803,781)	-	-	(803,781)
Accrued expenses	(90,534)	-	-	(90,534)

	1-3 Months £	3-12 Months £	More than 1 year £	Total £
As at 31 December 2018

Assets
Unquoted Financial assets designated at fair value through profit or loss	-	224,077,752	4,510,312	228,588,064
Cash and cash equivalents	1,783,224	-	-	1,783,224

Liabilities
Unquoted Financial liabilities designated at fair value through profit or loss	-	(3,315,422)	-	(3,315,422)
Security purchased payable	(239,824)	-	-	(239,824)
Accrued expenses	(64,916)	-	-	(64,916)

Leverage by Underlying Fund

The Underlying Fund may also invest with leverage, may borrow and engage in margin transactions. Such leverage may take a variety of forms, including margin loans by Underlying Fund's prime brokers for the purchase or sale of securities, from total return and credit default swaps and, implicitly, as a result of the low margin requirements with respect to futures contracts and other derivative investments.

Assets and Liabilities not carried at fair value but for which fair value is disclosed

The following table analyses the Company's assets and liabilities (by class) not measured at fair value at 31 December 2019 and 2018 but for which fair value is disclosed.

	31 December 2019	31 December 2018
Assets	£	£

Prepayments and Receivables	240,037	29,802
Cash and Cash Equivalents	2,425,359	1,783,224
Investment distribution receivable	26,354,386	-
	29,019,782	1,813,026
Liabilities
Sundry accruals and payables	90,534	304,740
Due to redeeming shareholders	803,781	-
	894,315	304,740

The assets and liabilities included in the above table are carried at amortised cost; their carrying values are a reasonable approximation of fair value.

Capital Management

As the Company's Ordinary Shares are of no par value, distributions are not paid and the Law does not require the maintenance of a Share premium account, the Directors regard the otherwise distributable reserves of the Company to be its capital for the purposes of this disclosure. Capital for the reporting year under review is summarised in Note 11 to these Financial Statements.

At the last AGM held pursuant to section 199 of the Law, the Directors were granted authority to buy back up to 14.99% of the Ordinary Shares in issue. The Company's authority to make purchases of its own issued Ordinary Shares will expire at the conclusion of the next AGM of the Company to be held pursuant to section 199 of the Law and renewal of such authority will be sought at the next AGM. The timing of any purchases will be decided by the Board.

The Directors intend that purchases will only be made pursuant to this authority through the market, for cash, at prices below the prevailing NAV per Share where the Directors reasonably believe such purchases will be of material benefit to the Company.

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made, subject to waiver of pre-emption rights. Subject to prevailing market conditions, the Board may decide to make one or more further such issues or reissues of Ordinary Shares for cash from time to time. Any further issues of new Ordinary Shares or reissues of Ordinary Shares held in treasury will rank pari passu with Ordinary Shares in issue.

There are no provisions of the Law which confer rights of pre-emption in respect of the allotment of Shares but there are pre-emption rights contained in the Articles. The Directors have, however, been granted the power to issue up to 10.076 million further Shares on a non pre-emptive basis for a period concluding on 31 December 2019, by a special resolution of shareholders passed on 2 August 2018, unless such power is previously revoked by the Company's shareholders in a general meeting pursuant to section 199 of the Law. The Directors intend to request that the authority to allot Shares on a non-pre-emptive basis is renewed at each AGM of the Company.

Unless authorised by shareholders, the Company will not issue further Ordinary Shares or reissue Ordinary Shares out of treasury for cash at a price below the prevailing NAV per Share unless they are first offered pro rata to existing shareholders.

15. Net Asset Value per Share

The NAV per share per the Financial Statements is equal to the published NAV per share in the current year. The published NAV per share for sterling share class was £2.1233 at 31 December 2019 (31 December 2018: £2.1518) which represents the NAV per share attributable to shareholders in accordance with the Prospectus.

16. Events After the Year End

During January 2020, the Company received a further dividend-in-kind distribution of £5.78m of new shares in TCF Feeder and a distribution of £20,570,509 from MSF Corp was received by the Company, this represents the entire investment distribution receivable on the Statement of Financial Position as at 31 December 2019. Accordingly, on 17 January 2020, approximately £20,570,509, was paid to shareholders who elected to redeem their shares following the First EGM and Second EGM, equating to £0.25 per Share in respect of the 2019 Cash Exit Offers.

At the EGM held on 20 February 2020, the shareholders approved both proposals to disapply pre-emption rights on the issue of ordinary shares which should allow the Company to grow as intended.

On 8 April 2020, the Company received £5,164,177 from MSF Corp . Accordingly, on 21 April 2020, approximately £5,189,145, was paid to shareholders who elected to redeem their shares following the First EGM and Second EGM , equating to £0.063 per Share in respect of the 2019 Cash Exit Offers.

There have been no other significant events since the year end which would require revision of the figures or disclosures in these Financial Statements

Schedule of Investments

Unaudited Schedule of Investments as at 31 December 2019

Investment assets	Nominal holdings	Valuation source currency	Valuation £	Total net assets %

Highbridge Tactical Credit Fund, Ltd	35,733	£35,581,873	35,581,874	72.57%

*Highbridge Multi-Strategy Fund Corporation - Class F -Series N - RF/Mar 16	175,346	£2,314,109	2,314,109	4.72%
* Highbridge Multi-Strategy Fund Corporation - Class F - Series N - RF/Apr 18	12,890	£12,035,644	12,035,644	24.55%
* Highbridge Multi-Strategy Fund Corporation - Class F- Series N - RF/Jun 18	990	£911,743	911,743	1.86%
* Highbridge Multi-Strategy Fund Corporation - Class F - Series N - RF/Jul 18	5,370	£4,979,172	4,979,171	10.15%
* Highbridge Multi-Strategy Fund Corporation - Class F -Series N - RF/Aug 18	2,400	£2,233,855	2,233,855	4.56%
* Highbridge Multi-Strategy Fund Corporation - Class F - RF/Dec 18	3,650	£3,483,813	3,483,813	7.10%
* Highbridge Multi-Strategy Fund Corporation - Class F - RF/Sept 19	3,250	£391,279	391,279	0.80%
			26,349,614	53.74%

**AllBlue Limited Sterling Share	11,144	£2,662,226	2,662,226	5.43%
**AllBlue Limited US Dollar Shares	809	$195,068	147,144	0.30%
**AllBlue Leveraged Feeder Limited Sterling Shares	2,040	£599,261	599,261	1.22%
			3,408,631	6.95%

			65,340,119	133.26%

*Highbridge decided to aggregate the different investment series into the main (original) series that was bought into originally (Highbridge Multi Strategy Fund Class F Series N -RF/Mar 16) on the 1 January 2017. Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation).

**The above AllBlue valuations are based on gross assets only. If offset against the liability the exposure of the Company's net assets in AllBlue is 0.45%.

Notice of Annual General Meeting

HIGHBRIDGE TACTICAL CREDIT FUND LIMITED

(the "Company")

(a closed-ended company incorporated in Guernsey with registration number 44704)

NOTICE

NOTICE IS HEREBY GIVEN THAT an Annual General Meeting of Shareholders of Highbridge Tactical Credit Fund Limited will be held at Sarnia House, Le Truchot, St Peter Port, Guernsey GY1 1GR on Wednesday 5 August 2020 at 1000hrs for the purpose of considering and, if thought fit, passing the following Resolutions:

ORDINARY BUSINESS

To consider and if thought fit, pass resolutions 1-8 as ordinary resolutions:

1. THAT the Annual Report and Audited Financial Statements for the year ended 31 December 2019 be received and adopted.

2. THAT the Directors' Remuneration Report for the year ended 31 December 2019 be received and approved.

3. THAT the Directors' Remuneration Policy be received and approved.

4. THAT Pricewaterhousecoopers CI LLP be re-appointed as auditors of the Company until the conclusion of the next Annual General Meeting of the Company.

5. THAT the Directors be and are hereby authorised to fix the remuneration of the Company's auditor for their next period of office.

6. THAT Mr Vic Holmes be re-elected as a Director of the Company.

7. THAT Mr Steve Le Page be re-elected as a Director of the Company.

8. THAT Mr Paul Le Page be re-elected as a Director of the Company.

By order of the Board

Praxis Fund Services Limited

Company Secretary

Date: 27 April 2020

Registered office: Sarnia House, Le Truchot, St Peter Port, Guernsey, GY1 1GR Channel Islands.

Notes:

1. A member entitled to attend and vote at the AGM is entitled to appoint one or more proxies to speak and vote instead of them. A proxy need not be a member of the Company. Completion and return of the Form of Proxy will not preclude member from attending or voting at the AGM if they wish so.

2. More than one proxy may be appointed provided each proxy is appointed to exercise the rights to attached to different shares.

3. It should be noted that a vote withheld is not a vote in law and will not be counted in the calculation of the proportion of the votes for and against each resolution.

4. A form of Proxy is enclosed for use at the AGM. To be valid, the Form of Proxy, together with the power of attorney or other authority, if any, under which it is signed, or a notarially certified copy of such power or authority, must reach the Company's registrar, Anson Registrars Limited, PO Box 156, Ground Floor, Dorey Court, Admiral Park, St Peter Port, Guernsey, GY1 4EU not less than 48 hours before the time for holding the AGM.

5. All persons recorded on the register of shareholders as holding shares in the Company at 1000hrs on Monday 3 August 2020 or if the AGM is adjourned as at 48 hours before the time of any adjourned AGM (excluding any day which is not a business day), shall be entitled to attend and vote (either in person or by proxy) at the AGM and, on a poll, shall be entitled to one vote per share held.

6. The quorum of the AGM shall be two or more Shareholders present in person or represented by proxy representing not less than 1/20^th of the Shares in issue.

7. If the AGM falls to be adjourned because it is not quorate, it will be adjourned to 1000hrs on Wednesday 12 August 2020 whereupon those shareholders then present in person or by proxy shall form the quorum. In the event of any such adjournment, the Company will announce the adjournment via a regulatory information service, but no separate notification will be sent to shareholders.

8. Where there are joint registered holders of any shares, such persons shall elect one of their number to represent them and to vote whether in person or by proxy in their name. In default of such election, the person whose name stands senior on the register of shareholder shall alone be entitled to vote.

9. On a poll votes may be given either personally or by proxy and a shareholder entitled to more than one vote need not use all his votes or cast all the votes he uses in the same way.

10. Any corporation which is a shareholder may by resolution of its board of directors or other governing body authorise such person as it thinks fit to act as its representative at the AGM. Any person so authorised shall be entitled to exercise on behalf of the corporation which he represents the same powers (other than to appoint a proxy) as that corporation could exercise if it were an individual shareholder.

11. None of the directors has a contract service with the Company.

12. Holders of shares with the ISIN GBOOB13YVW48 have the right to attend, speak and vote at the AGM.

Glossary

Unless the context suggests otherwise, references within this report to:

'AIFM' means Alternative Investment Fund Manager.

'AllBlue Leveraged' means AllBlue Leveraged Feeder Limited.

'AllBlue' means AllBlue Limited.

Barclays Aggregate Bond Index ('Barclays Aggregate') represents securities that are U.S. domestic, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. The index is USD denominated. The Products are not sponsored, endorsed, sold or promoted by Barclays Capital, and Barclays Capital makes no warranty, express or implied, as to the results to be obtained by any person or entity from the use of any index, any opening, intra-day or closing value therefor, or any data included therein or relating thereto, in connection with any Fund or for any other purpose. Barclays Capital's only relationship to the Licensee with respect to the Products is the licensing of certain trademarks and trade names of Barclays Capital and the Barclays Capital indexes that are determined, composed and calculated by Barclays Capital without regard to Licensee or the Products.

'Beta' is a measure of how sensitive the price of an investment is to movements in a reference index. The Underlying Fund's Beta is determined by calculating the slope of a regression line of a scatter plot of the fund's return to the FTSE 100 index's return, based on monthly observations.

'BlueCrest' means BlueCrest Capital Management Limited.

'Board' means the Board of Directors of the Company.

'Company' means Highbridge Tactical Credit Fund Limited.

'Credit Fund' The Tactical Credit Fund is a multi-strategy credit fund that seeks to generate returns from relative value and idiosyncratic opportunities. The Tactical Credit Fund, which launched in November 2013, currently invests in six credit focused sub-strategies: (i) mid-cap convertible credit; (ii) European convertible credit; (iii) capital structure arbitrage; (iv) event credit; (v) income investments and (vi) distressed credit and reorganised equities.

'FTSE 100' is a capitalisation weighted performance index of the 100 companies listed on the London Stock Exchange with the highest market capitalisation. Ticker: UKX Index (Currency GBP). The index is GBP denominated.

'Funds underlying AllBlue' means the seven underlying funds of AllBlue comprising BlueCrest Capital International Limited, BlueTrend 2x Leveraged Fund Limited (with effect from 1 July 2015, BlueTrend Fund Limited prior to 1 July 2015), BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited, BlueCrest Equity Strategies Fund Limited and BlueCrest Quantitative Equity Fund Limited (together, including the master funds into which such funds invest).

'GFSC Code' means the Guernsey Financial Services Commission Financial Sector Code of Corporate Governance.

'Highbridge' means Highbridge Capital Management, LLC (the "Investment Manager").

'HMS Master Fund' means Highbridge Multi-Strategy Master Fund, L.P. (formerly: 1992 Multi-Strategy Master Fund, L.P.), the multi-strategy fund managed by Highbridge into which the Company invests substantially all of its assets, via its investment in Class F shares of Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation).

'MSF Corp' means Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation), an exempted company incorporated with limited liability in the Cayman Islands.

'IFRS' means the International Financial Reporting Standards as adopted by the European Union.

The 'Secretary' or the 'Administrator' means Praxis Fund Services Limited.

'Law' means the Companies (Guernsey) Law 2008 (as amended).

The S&P 500 Index ('S&P 500') consists of 500 stocks chosen for market size, liquidity and industry group representation. It is a market value weighted index (stock price times number of shares outstanding), with each stock's weight in the Index proportionate to its market value. Ticker: SPX Index (Currency USD). The index is USD denominated

'Multi-Strat Creditors' refers to shareholders who elected to redeem their shares following the First EGM and Second EGM.

'Shares' means the sterling Shares of the Company in issue.

'SPACs' - ('Special Purpose Acquisition Companies'). These are stock exchange listed companies that raise capital to acquire private companies which are not typically identified in advance. They are more commonly known as shell companies in the UK.

'Sharpe Ratio' means the average return earned in excess of the risk-free rate per unit of volatility or total risk. The Sharpe measure was developed by Nobel Laureate William Sharpe. Return (the numerator) is defined as the incremental average monthly return of an investment over the risk free rate. Risk (the denominator) is defined as the standard deviation of the monthly investment returns less the risk free rate. The values for the risk free rate for the calculations are those of the 90 Day U.S. Treasury Bill. Values are presented in annualized terms; annualized Sharpe Ratios are calculated by multiplying the monthly Sharpe Ratio by the square root of twelve.

'Underlying Fund' means Highbridge Tactical Credit Master Fund, L.P. (formerly: 1992 Tactical Credit Master Fund, L.P.), the tactical credit fund managed by Highbridge into which the Company invests substantially all of its assets, via its investment in Class F shares of Highbridge Tactical Credit Fund, Ltd (formerly: 1992 Tactical Credit Fund Corporation).

'Annualised Volatility' measures the dispersal or uncertainty in a random variable. It measures the degree of variation of monthly net returns around the average monthly net return. For this reason, volatility is often used as a measure of investment risk. Values are calculated by applying the traditional sample standard deviation formula to monthly return data, and then annualised by multiplying the result by the square root of twelve.

'Website' means the Company's website, https://www.highbridgemsfltd.co.uk

Directors and Service Providers

Directors

Vic Holmes

Steve Le Page

Paul Le Page (appointed 1 May 2018)

Sarita Keen (resigned 31 October 2019)

Paul Meader (resigned 31 December 2018)

Registered Office of the Company

Sarnia House

Le Truchot

St Peter Port

Guernsey GY1 1GR

Administrator and Secretary

(appointed 3 June 2019)

Praxis Fund Services Limited

Sarnia House

Le Truchot

St Peter Port

Guernsey GY1 1GR

Previous Administrator and Secretary

(resigned 3 June 2019)

JTC Fund Solutions (Guernsey) Limited

Ground Floor

Dorey Court

St Peter Port

Guernsey GY1 2HT

Registrar, Paying Agent and Transfer Agent

Anson Registrars Limited

Ground Floor

Dorey Court

St Peter Port

Guernsey GY1 4EU

UK Transfer Agent

Anson Registrars (UK) Limited

The Scalpel

18th Floor

Lime Street

London

England

EC3M 7AF

Auditor

PricewaterhouseCoopers CI LLP

Royal Bank Place

1 Glategny Esplanade

St Peter Port

Guernsey GY1 4ND

Investment Manager and AIFM

Highbridge Capital Management LLC

40 West 57th Street - 32nd Floor

New York

NY10019

Investor and Public Relations

J.P. Morgan Asset Management

60 Victoria Embankment

London

England EC4Y 0JP

Corporate Brokers

(appointed 15 November 2019)

finnCap Limited

60 New Broad Street

London

England EC2M 1JJ

Solicitors to the Company as to English Law

Herbert Smith Freehills LLP

Exchange House

Primrose Street

London

England EC2A 2EG

Advocates to the Company as to Guernsey Law

Mourant Ozannes

PO Box 186

Royal Chambers

St Julian's Avenue

St Peter Port

Guernsey GY1 4HP

Advocates to the Company as to Guernsey Law

Carey Olsen LLP

P.O. Box 98

Carey House, Les Banques

St Peter Port

Guernsey GY1 4BZ

This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact rns@lseg.com or visit www.rns.com.

END

FR SELFUMESSELL

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Highbridge Tactical Credit Fund Limited NVP GBP (HTCF)

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Serco extends Thursday’s gains as upbeat mood prevails and Raspberry Pi also advances off the back of stake building news, but Neometals under pressure as it plans cancellation of AIM listing to focus on ASX.

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Latest directors dealings

1 day ago The Renewables Infrastructure Group Limited
1 day ago The Renewables Infrastructure Group Limited
1 day ago Smurfit Westrock (DI)
1 day ago Menhaden Resource Efficiency
1 day ago BP

All directors dealings today