Investor Communication from AllBlue Limited

RNS Number : 1052V

Highbridge Multi-Strategy Fd Ltd £

25 January 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 £687,463,034 million and $41,327,759 million from AllBlue Limited and AllBlue Leveraged Feeder Limited (the "AllBlue Funds"), representing approximately 97.09% of the value of the Company's investment in the Sterling classes of the AllBlue Funds and approximately 97.30% of the value of its investment in the US$ 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 10 October 2016, 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 $5.94bn has been returned to eligible Investors since 1 January 2016, equating to total capital distributions of approximately 96% 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
W/c 11 July	$181m
W/c 25 July	$107m
W/c 22 August	$54m
W/c 26 September	$244m
W/c 24 October	$33m
W/c 21 November	$29m
W/c 22 December	$104m
Total	$5,936m

"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 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 transfer to a liquidator 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:

	Q1 2017	Q2 2017	Q3 2017	Reserve
Estimated total distribution amount	$120m	$55m	$15m	$5m

The above estimated timings are based on the liquidation profiles 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 $12m, which is primarily held in cash. This includes the receipt of a settlement amount of approximately $5.7m relating to a U.S. litigation matter regarding the pricing transparency of credit default swaps (further described in our communication of 18 February 2016, the "CDS Class Action"), which is reflected in the fund's 2016 year end Net Value and related performance statements. The fund also holds currency hedge positions relating to the remaining cash balance and certain positions held at zero value, which we expect to remain with the fund when it is placed into formal liquidation.

BlueCrest Multi Strategy Credit Master Fund Limited - International credit markets continued to be challenging during the fourth quarter of 2016, in part due to the volatility surrounding the U.S. election. The fund nevertheless distributed approximately $150m to investors during the period, principally as a result of the divestment of a significant bond position and the continuing unwind of a series of index tranche positions.

The fund's estimated Net Value at 31 December 2016 was $222m. Of the remaining encumbered assets, approximately 38% relates to a fully funded bond position for which sale opportunities are event dependent, and approximately 15% relates to a mortgage bond position. The remaining encumbered assets are held predominantly in index and single name CDS positions.

We are also pleased to report that the fund has received a settlement amount of approximately $61m relating to the CDS Class Action, which is reflected in the fund's 2016 year end Net Value and performance statements.

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 liquidation process will 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 fund's liquidation of assets is complete. The remaining Net Value of approximately $7m is held in cash, of which approximately $5m will be returned to investors in the first quarter of 2017. The remaining $2m will be held as a cash reserve, with residual balances returned to investors as a final distribution prior to the fund being placed into formal liquidation.

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.

·      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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