Investor Communication from AllBlue Limited

RNS Number : 8752D

Highbridge Multi-Strategy Fd Ltd £

02 May 2017

 

HIGHBRIDGE MULTI-STRATEGY FUND LIMITED (the "Company")

Investor Communication from AllBlue Limited

The Board of the Company has received the below communication from the Board of AllBlue Limited. Investors should note that the Company has received a total of £699,522,402 and $41,987,641 from AllBlue Limited and AllBlue Leveraged Feeder Limited (the "AllBlue Funds"), representing approximately 97.87% of the value of the Company's investment in the Sterling classes of the AllBlue Funds and approximately 98% of the value of its investment in the US$ classes of the AllBlue Funds.

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"To investors in: ALLBLUE LIMITED (the "Fund'')

Dear Investor,

Return of Capital to Investors

Further to the investor circular dated 20 January 2017, we are writing to provide an update on the return of capital to holders of interests in the Fund ("Investors").

Redemption Distributions to Date

Approximately $6.03bn has been returned to eligible Investors since 1 January 2016, equating to total capital distributions of approximately 97% of the Fund's Net Value at 31 December 2015. The following table shows the distributions made to Investors since 1 January 2016:

Date of Distribution	Capital Distributed to Investors (nearest million)
1 Jan -31 Dec 2016	$5,936m
W/c 23 January 2017	$40m
W/c 20 February 2017	$31m
W/c 27 March 2017	$18m
Total	$6,025m

"Net Value" represents the estimated value of the Fund's remaining assets, less liabilities, through to liquidation of the Fund, prepared in accordance with applicable accounting standards.

Future Distributions

The timing of distribution payments will continue to be governed by the availability of liquidation proceeds. Where sufficient proceeds are available, it is intended that distribution payments will be made on a monthly basis until further notice.

In addition, the Fund will retain an appropriate cash reserve for residual actual and contingent residual fees, costs and liabilities through to formal liquidation of the fund entity, at which time any remaining balance will be returned to investors as a final distribution. The exact timing of the Fund's liquidation will be determined by its directors following completion of the return of assets by each of the underlying master funds in which the Fund is ultimately invested (the "Master Funds"). The current estimated timetable for future distributions is as follows:

	Q2 - Q4  2017	Reserve
Approximate total distribution amount	$110m	$5m

The above estimated timings are based on the liquidation profiles and residual assets and liabilities of the Master Funds. The liquidation profiles are determined by a number of factors relevant to the asset classes held by each Master Fund, including liquidity and prevailing market conditions. Actual proceeds may therefore be more or less than the estimates set out above and it is possible that the liquidation of all assets may be completed earlier or later than the above timeframes.

Master Fund Updates

The Fund has liquidated its holdings in the following four Master Funds (subject to any amounts held back for liquidation or audit purposes): BlueCrest Emerging Markets Master Fund Limited, BlueCrest Equity Strategies Master Fund Limited, BlueCrest Quantitative Equity Master Fund Limited and BlueTrend 2x Leveraged Master Fund Limited. The three Master Funds in which the Fund continues to hold investments are as follows:

BlueCrest Capital International Master Fund Limited - The remaining Net Value of the fund is approximately $6m, of which an estimated $3.5m is expected to be distributed to investors in April/May 2017. The remaining reserve of approximately $2.5m is held primarily in cash and related currency hedging positions. In addition, the fund is awaiting information regarding the payment of a potential residual settlement amount relating to the U.S. credit default swap litigation matter described in our communication of 18 February 2016 (the "CDS Class Action"). Meanwhile, BlueCrest is continuing the process of terminating trading agreements and establishing final assets and liabilities in preparation for the fund's formal liquidation.

BlueCrest Multi Strategy Credit Master Fund Limited -Whilst credit markets have continued to prove challenging during the first quarter of 2017, we are pleased to report that the fund has distributed approximately $90m to investors during the period, leaving a Net Value of $124m at 31 March 2017. Of the remaining encumbered assets, approximately 45% relates to a fully funded bond position for which sale opportunities are event dependent, and approximately 18% relates to a bond position in which the fund is currently restricted from trading due to its involvement in restructuring negotiations. The remaining encumbered assets are held predominantly in index and single name CDS positions. In addition, the fund is awaiting information regarding the payment of a potential residual settlement amount relating to the CDS Class Action.

The trading desk remains focused on seeking opportunities to liquidate the remaining portfolio. In light of ongoing market conditions and the inherent nature and size of the fund's positions, the asset liquidation process is expected to continue during 2017 in order to seek to optimise returns and protect investor value.

BlueCrest Mercantile Master Fund Limited - We are pleased to report that the return of the fund's assets to investors is now complete, save for a cash reserve of approximately $2m of which approximately $1.7m is expected to be distributed to investors during the second quarter of 2017. The remaining $0.3m will be retained to meet the fund's final actual and contingent liabilities, with any residual balances returned to investors as a final distribution. In addition, the fund is awaiting information regarding the payment of a potential residual settlement amount relating to the CDS Class Action. Meanwhile, BlueCrest is continuing the process of terminating trading agreements and establishing final assets and liabilities in preparation for the fund's formal liquidation.

Investor Communications

Investors will continue to receive the following communications until further notice:

·      Monthly Net Value statements, typically during the last week of each month (relating to the previous month end).

·      Payment notification emails from BlueCrest on or before each redemption distribution, with corresponding contract notes made available by the Fund's administrator following finalisation of the previous month end Net Value.

·      Monthly account statements made available by the Fund's administrator following finalisation of the previous month end Net Value.

·      Quarterly investor circulars provided by the Fund's board of directors (in the form of this letter)."

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For further information about this announcement contact:

JTC Fund Solutions (Guernsey) Limited Secretary

Tel: [phone]

E&OE - in transmission

 

END

 

 

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