Publication of Circular

RNS Number : 4242O

BlueCrest AllBlue Fund Ltd

08 February 2016

 

BlueCrest AllBlue Fund Limited (the "Company")

8 February 2016

Publication of Circular

The Company is today posting a Circular to Shareholders in connection with the proposals to change the Investment Policy, to offer Shareholders a cash exit opportunity and to amend the Articles of Incorporation.

Introduction and background

As announced by the Company on 1 December 2015, BlueCrest (as investment manager of the BlueCrest Funds in which the Company was investing substantially all of its assets indirectly through its investment in AllBlue and AllBlue Leveraged) and the board of directors of each of the relevant BlueCrest Funds (or general partner, where appropriate) have each determined that the BlueCrest Funds will embark upon a programme to return the capital managed in these funds to investors (including the Company) and will not accept any further investment subscriptions from third party investors. The implementation of such decision has resulted in the progressive realisation of the Company's shareholding in AllBlue and AllBlue Leveraged. 

Investment in Highbridge Multi-Strategy Fund and change to the Company's investment policy

Following consultation with a majority of Shareholders, the Board intends to offer Shareholders the option of continuing their investment in the Company and is pleased to propose, subject to approval by Shareholders of the necessary changes to the Company's investment policy, the re-investment of the relevant portion of the net proceeds received by the Company from the realisation of its investment in the BlueCrest Funds (save for any cash retained for working capital purposes) into a multi-strategy investment fund ("HMSF" or "Highbridge Multi-Strategy Fund") managed by Highbridge Capital Management, LLC ("Highbridge").

Since its inception on 1 January 1993, HMSF has achieved 10.67 per cent. annualised net returns, 6.89 per cent. annualised volatility and low beta relative to equity and credit indices^1,2.

The Board believes that the investment strategy of Highbridge Multi-Strategy Fund, which utilises a multi-strategy and diversified investment approach, has substantial similarities with the investment strategy of the BlueCrest Funds and accordingly believes that investment in Highbridge Multi-Strategy Fund offers an opportunity for the Company to continue to produce attractive returns for Shareholders.

Highbridge Multi-Strategy Fund is a global multi-strategy hedge fund focused on relative value strategies with idiosyncratic sources of return.  Highbridge Multi-Strategy Fund allocates to a number of distinct strategies pursuing equity, credit, convertible bond, volatility, capital structure arbitrage and macro opportunities across the globe.

Highbridge Multi-Strategy Fund seeks to achieve annualised net returns of 7 to 12 per cent., annualised volatility of 3 to 6 per cent., and beta to the S&P 500 below 25 per cent³.

Subject to obtaining the necessary approvals of Shareholders for the Proposals and satisfaction of the Continuation Conditions, it is also intended that Highbridge be appointed as the investment manager of the Company.  Under those arrangements J.P. Morgan Asset Management ("JPMAM"), as delegate of Highbridge, will provide certain support services to the Company including the provision of investor relations, public relations, and Board support.

Highbridge, either directly or through its subsidiaries or delegates, makes all of the trading decisions for Highbridge Multi-Strategy Fund.  Highbridge was founded in 1992 as one of the industry's first multi-strategy hedge fund managers.  Today, it is a global alternative investment manager with approximately US$29 billion in assets under management⁴.  Highbridge maintains a staff of over 390 employees, including approximately 150 investment professionals and has offices in London, New York and Hong Kong⁵. Highbridge established a strategic partnership with JPMAM in 2004.  Highbridge is a subsidiary of JPMAM, which is 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 $1.7 trillion^6,7.

All investment, capital allocation and risk management decisions for Highbridge Multi-Strategy Fund are independent of JPMAM. Highbridge is registered as an investment adviser under the U.S. Investment Advisers Act of 1940, as amended.

Cash Exit Opportunity

The Board has also resolved to offer all Shareholders a cash exit for all or part of their shareholding by way of a redemption offer (the "Cash Exit Offer").  Shareholders electing to redeem their Shares pursuant to the Cash Exit Offer will therefore receive an amount representing the net realisation proceeds of that portion of the Company's holding in AllBlue and AllBlue Leveraged (the underlying funds in which the Company is invested) which is attributable to their holding of Shares, less the costs and expenses of effecting such redemptions. Such net proceeds will be paid to the relevant Shareholders as soon as practicable following receipt of such realisation proceeds by the Company.

As at the date of the Circular the Company has received a total of approximately £500 million and US$31 million from AllBlue and AllBlue Leveraged, representing approximately 70 per cent. of the expected realisation proceeds of the Sterling class and 73 per cent. of the expected realisation proceeds of the US Dollar Class.  It is currently expected that the Company will receive approximately a further 16 per cent. of the expected realisation proceeds by the end of April 2016 and the remainder by early 2017.  Pending reinvestment into Highbridge Multi-Strategy Fund or distribution to Shareholders electing to redeem their Shares pursuant to the Cash Exit Offer or the Managed Wind-down (as further described below), such realisation proceeds will be invested primarily in UK Treasury Bills, a money market fund and cash deposits with a diversified range of higher rated banks.

Continuation Conditions

It should be noted that the proposed investment by the Company into Highbridge Multi-Strategy Fund is conditional on (a) the Net Asset Value of the Company immediately following the redemption of Shares pursuant to the Cash Exit Offer being at least £100 million or such higher amount as the Directors consider would be sufficient for the Company to continue to be viable (the "Minimum Size Requirement") and (b) the Company satisfying the "shares in public hands" requirement of the Listing Rules (each of which, individually, is a "Continuation Condition").

In the event that requests for the redemption of Shares pursuant to the Cash Exit Offer are received such that the Board (in its sole discretion) determines that following implementation of the Cash Exit Offer either Continuation Condition is not or is unlikely to be satisfied, neither the proposed investment by the Company into Highbridge Multi-Strategy Fund nor the Cash Exit Offer will proceed.  Rather, in such event, the Board proposes to commence the Managed Wind-down of the Company.

Discount Control Mechanism

The Existing Articles of the Company provide for a continuation vote mechanism whereby if, for a given Share Class, in any rolling 12 month period the average closing mid-market share price on the dates which are five Business Days after the date on which each estimated monthly NAV is announced is less than 95 per cent. of the average NAV per Share of that class (calculated by averaging the month end NAV) then a resolution must be proposed at an extraordinary general meeting of the Company that the Shares of the relevant class continue to be in issue (the "Discount Continuation Vote"). The requirement to hold a Discount Continuation Vote pursuant to this mechanism was triggered with respect to the Sterling Shares in November 2015.

However, in light of the proposed partial or full return of capital to Shareholders (either pursuant to the Cash Exit Offer or, if the Continuation Conditions are not satisfied, the Managed Wind-down of the Company), the Board is seeking a waiver of the requirement to hold such Discount Continuation Vote.

Furthermore, conditional on Shareholder approval and satisfaction of the Continuation Conditions, the Board also proposes: (a) the removal of this Discount Continuation Vote mechanism from the Existing Articles and its replacement by a requirement for the Board to propose a continuation vote at the annual general meeting of the Company to be held in 2021 and every 5 years thereafter; and (b) the introduction of a quarterly redemption facility (the "Redemption Facility") pursuant to which the Company may (at the Board's absolute discretion) offer to redeem up to 20 per cent. of the Company's share capital then in issue.

Compulsory Conversion of US$ Shares

In light of the above proposals and given the relatively small size and liquidity of the US$ Share Class as compared to the Sterling Share Class, which could be further reduced as a result of the Cash Exit Offer, the Board believes that it would be in the best interests of the Company and the Shareholders to convert the US$ Shares into Sterling Shares.

The Board is therefore seeking Shareholder approval to amend the Existing Articles to enable the compulsory conversion of the US$ Shares remaining following the implementation of the Cash Exit Offer into the larger, more liquid, Sterling Share Class, thus discontinuing the US$ Share Class.

Change to the Company's name

In connection with the proposed investment into Highbridge Multi-Strategy Fund, the Board is proposing that, subject to satisfaction of the Continuation Conditions, the name of the Company be changed from "BlueCrest AllBlue Fund Limited" to "Highbridge Multi-Strategy Fund Limited".

Changes to the Articles

In order to implement the Proposals, Shareholders are being asked to approve certain changes to the Articles.

Unless otherwise defined, all capitalised terms in this announcement have the same meaning as those contained in the Circular.

The indicative timetable of principal events is set out below:

US DOLLAR CLASS MEETING, STERLING CLASS MEETING AND EXTRAORDINARY GENERAL MEETING
	2016
Circular sent to Shareholders	8 February
Latest time and date of receipt of Form of Proxy for the US Dollar Class Meeting	2:00 p.m. on 22 February
Latest time and date of receipt of Form of Proxy for the Sterling Class Meeting	2:05 p.m. on 22 February
Latest time and date of receipt of Form of Proxy for the Extraordinary General Meeting	2:10 p.m. on 22 February
US Dollar Class Meeting	2:00 p.m. on 24 February
Sterling Class Meeting	2:05 p.m.* on 24 February
Extraordinary General Meeting	2:10 p.m.** on 24 February
Announcement of results of the Meetings	24 February
Conversion of US$ Shares into Sterling Shares***	29 February
* or if later, immediately after the close of the US Dollar Class Meeting ** or if later, immediately after the close of the Sterling Class Meeting *** assuming that the relevant Shareholder approval is obtained at the US Dollar Class Meeting and the Extraordinary General Meeting
CASH EXIT OFFER
Latest time and date for receipt of Redemption Notices and TTE Instructions (together with the relevant CREST Holder Forms) for the Cash Exit Offer	5 p.m. on 22 February
Record Date	22 February
Announcement of results of the Cash Exit Offer and the level of initial cash distribution made to Shareholders redeeming Shares in the Cash Exit Offer and advising Shareholders of the estimated date of any further payment or payments	24 February
Redemption and cancellation of Shares pursuant to the Cash Exit Offer	25 February
Initial cash payment of Cash Exit Proceeds****	Within 5 Business Days following 25 February
Subsequent and then final payment of Cash Exit Proceeds****	Within 5 Business Days following receipt by the Company of cash proceeds of realising assets comprised in the Redemption Portfolios*****
****Shareholders should note that there is no CREST payment method available and therefore Shareholders holding their Shares through CREST (i.e. in uncertificated form) must complete and return (together with the submission of a TTE Instruction) a CREST Holder Form to the Registrars including bank details. Shareholders who have not indicated bank details (either in the Redemption Notice or the CREST Holder Form) will be paid by cheque despatched at the latest known address as indicated on the Shareholders' register. *****Shareholders should note that the Company may hold back the payment of cash proceeds of realising assets comprised in the Redemption Portfolios until a material amount is available for distribution to redeeming Shareholders to avoid the cost and administrative burden of distributing small amounts

Note 1: As of 31 December 2015 net of all applicable fees and expenses.  Returns are estimated and unaudited for 2015. Shareholders should note that past performance is not necessarily indicative of future results and that there can be no assurance that the Company's and/or HMSF's return objectives will be realised or that the Company and/or HMSF will not experience losses.

Note 2: As of 1 January 2016.

Note 3: The annual target net return and other fund objectives have been established by Highbridge based on its assumptions and calculations using data available to it and in light of current market conditions and available investment opportunities and is subject to various risks including, without limitations, those set out in Appendix "Additional Information Relating to the Company's Investment in Highbridge Multi-Strategy Fund" to the Circular.  These fund objectives are for illustrative purposes only and are subject to significant limitations. An investor should not expect to achieve actual returns similar to the annual target return shown above. Because of the inherent limitations of the target returns, investors should not rely on them when making any investment decision. These objectives cannot account for the impact that economic, market and other factors may have on the implementation of an actual investment program. Unlike actual performance, the target return and other fund objectives do not reflect actual trading, liquidity constraints and other factors that could impact the future returns of the portfolio. HMSF's ability to achieve the target net return and fund objectives is subject to risk factors over which Highbridge may have no or limited control. There can be no assurance that HMSF will achieve its investment objective, the annual target net return or any other fund objectives. The actual returns achieved may be more or less than the annual target net return shown.

Note 4: All information concerning returns, volatility and beta to equity and credit has been provided by Highbridge Capital Management and J.P. Morgan Asset Management.

Note 5: As of 1 January 2016.

Note 6: As of 31 December 2015.

Note 7: All information on Highbridge Multi-Strategy Fund and Highbridge Capital Management has been provided by Highbridge Capital Management and J.P. Morgan Asset Management.

For further information contact:

JTC (Guernsey) Limited, Secretary

Tel:  [phone]

Jefferies International Limited

Gary Gould/ Alex Collins

Tel:  + 44 (0) 20 7029 8000

Dexion Capital Plc

Robin Bowie/ Katie Standley

Tel:  [phone]

 

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