Update re Receipt of Redemption Proceeds

RNS Number : 2073S

Highbridge Multi-Strategy Fd Ltd £

15 March 2016

 

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

15 March 2016

On 14 March 2016, the Company received a notification from BlueCrest Capital Management Limited in connection with the return of capital by AllBlue Limited. The Company will be releasing its own announcement shortly. The full text of the notification is set out below:  

"To investors in:          ALLBLUE LIMITED

ALLBLUE L.P. (together, the "Funds")

Dear Investor,

Return of Capital to Investors

Further to our investor communications in December 2015, we are writing to provide an update

on the return of capital to holders of interests in the Funds ("Investors").

Redemption / Withdrawal Distributions to Date

Approximately 79% of the Fund's Net Values as at 31 December 2015 has been returned to

eligible Investors during January and February 2016, as follows:

Date of Distribution	Capital Returned as % of Net Value* as at 31 Dec 2015
W/c 4 January 2016	53%
W/c 25 January 2016	21%
W/c 22 February 2016	5%
Total	79%

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

The above percentage distributions equate to a total of approximately $4.9bn returned to

investors in the Funds since 1 January 2016.

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, subject to review at the end of the second quarter of 2016. The

current estimated timetable for future distributions is as follows:

	March 2016	April 2016	> April 2016
Estimated total distribution amount (USD millions)	127m	91m	1,079m

The above estimated timings are based on the liquidation profile of the Funds' remaining assets.

The liquidation profile is determined by a number of factors relevant to each asset type, including current / predicted liquidity and prevailing market conditions. Actual proceeds may therefore be more or less than the estimates set out above.

Master Fund Updates

The Funds have liquidated their holdings in the following four underlying 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 remaining master funds in which the Funds continue to hold investments are as follows:

BlueCrest Capital International Master Fund Limited - The market environment for certain of

the fund's assets has been challenging due to volatility associated with global growth concerns in the early part of the year. This has translated to slightly lower levels of distributions in January

and February than had been anticipated. Volatile markets have also contributed to low level

negative returns, which have been magnified on a relative basis due to the smaller AUM size

resulting from redemption distributions to date. Of the assets yet to be liquidated, over 90% are

held in interest rates swaps and swaptions, which will continue to be unwound as efficiently as

markets will allow - we anticipate that liquidation of these positions will be largely complete by the end of June 2016.

BlueCrest Multi Strategy Credit Master Fund Limited - International credit markets have been

particularly challenging in the first part of the year, which has contributed to a slower than

expected liquidation of assets and a low level negative return. Recent performance figures have

been further magnified on a relative basis due to the smaller AUM resulting from redemption

distributions to date. Of the assets which are yet to be liquidated, approximately 85% comprises

credit default swap interests or holdings in reference entities which are illiquid and will require

further management to achieve market value. We anticipate that these positions will be liquidated during the second and third quarters of 2016. As previously communicated, we also expect the fund to be the beneficiary of an award relating to the settlement of a U.S. litigation matter regarding the pricing transparency of credit default swaps, which could be as high as

approximately $90 million. Our current expectation is that the fund would receive the award

proceeds in early 2017, however it is possible that payment could be received earlier or later.

BlueCrest Mercantile Master Fund Limited - The fund's assets comprise a diversified portfolio

of trade finance and other assets, including a number of securitisations and other structured

investments. Given the bespoke mix of assets, it is proposed that a sale of the structured

investment portfolio as a whole, or in a small number of tranches, may realise a higher value than the sum of its parts. Select market participants have therefore been invited to bid on the

structured portfolio and it is expected that any preferred bidders will have been identified by the

end of March 2016. The completion date of any such sale is difficult to estimate at this stage.

Meanwhile, the fund has sought to liquidate its low level holdings in more liquid assets where

market opportunity has allowed."

For further information about this announcement contact:

JTC (Guernsey) Limited

Secretary

Tel:  [phone]

Email: [e-mail]

END OF ANNOUNCEMENT

E&OE - in transmission.

 

END

 

 

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