Update re Return of Capital

RNS Number : 2405E

Highbridge Multi-Strategy Fd Ltd £

14 July 2016

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

On 13 July 2016, the Company received approximately £19.3 million and $1.3 million in proceeds from AllBlue Limited. In addition, on 12 July 2016, the Company received a notification from BlueCrest Capital Management Limited in connection with the return of capital by AllBlue Limited. This notification indicates that AllBlue Limited expects to distribute further proceeds during this month, and accordingly the Directors of the Company will consider distributing further amounts to shareholders who elected for the Cash Exit option once all anticipated distributions have been received, subject to sufficient proceeds being received to justify a further distribution.

The full text of the notification from BlueCrest Capital Management Limited is set out below:

"ALLBLUE LIMITED

PO Box 309

Ugland House

Grand Cayman KY1-1104

Cayman Islands

8 July 2016

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

Dear Investor,

Return of Capital to Investors

Further to the investor circular dated 14 March 2016, we are writing to provide an update on the return of capital to holders of interests in the Fund ("Investors").

Redemption / Withdrawal Distributions to Date

Approximately $5.19bn has been returned to eligible Investors since 1 January 2016, equating to

total capital distributions of approximately 84% 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 (2016)

Capital Distributed to Investors (nearest million)

W/c 4 January

$3,254m

W/c 25 January

$1,309m

W/c 22 February

$302m

W/c 21 March

$125m

W/c 25 April

$36m

W/c 23 May

$128m

W/c 27 June

$30m

Total

$5,185m

"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, subject to review at the end of the third quarter of 2016. The current estimated timetable for future distributions is as follows:

July 2016

Aug-Sept 2016

> Q3 2016

Estimated total distribution amount

$252m

$157m

$528m

The above estimated timings are based on the liquidation profile of the Fund's 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 Fund has liquidated its 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 master funds in which the Fund continues to hold investments are as follows:

BlueCrest Capital International Master Fund Limited - The market environment for fixed income trading in the second quarter of 2016 calmed relative to the volatility observed in the first quarter. This facilitated the unwind of the fund's remaining core fixed income positions (interest rate swaps, cross-currency swaps and swaptions) and enabled the fund to return capital to investors in line with previous estimations. The few remaining non-cash assets in the fund comprise fully paid securities, currently valued at less than $5m in aggregate, which continue to

be unwound as market liquidity allows.

BlueCrest Multi Strategy Credit Master Fund Limited - International credit markets have continued to be challenging during the second quarter of 2016. Poor levels of market liquidity have resulted in a slower than expected liquidation of assets and a low level negative return. During this period the fund has de-levered significantly, with a corresponding reduction in its cost of financing. Of the fund's remaining encumbered assets, approximately 75% are fully paid securities which are event driven positions and are expected to pay down over the next three to six months. The residual portfolio comprises principally CDS positions, which are expected to be managed down over the same timeline in order to seek to optimise returns. We continue to 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 CDS, which is currently estimated at up to $80m. Our 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 - Following the tender process conducted in the first quarter of 2016, approximately $190m has been realised from the sale of structured positions in the second quarter, and the fund continues to engage with select market participants to sell down assets. A further $150m has been realised from the maturity of structured positions during the second quarter, enabling a substantial aggregate distribution to be made during the month of July. The fund's remaining low level holdings in more liquid assets comprise hedging and other positions relating to the core structured holdings and these will continue to be unwound in line with the primary disposals. The completion date of the liquidation process remains difficult to estimate at this stage due to the diversified and structured nature of the fund's asset portfolio.

Investor Communications

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

Monthly estimated Net Value statements, typically during the first week of each month.

Monthly final 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.