Highbridge Multi-Strategy Fd Ltd £ Investor Communication from AllBlue Limited (3752M)

TIDMHMSF

RNS Number : 3752M

Highbridge Multi-Strategy Fd Ltd £

12 October 2016

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

Investor Communication from AllBlue Limited

The Board of the Company have received the below communication from the Board of AllBlue Limited. Investors should note that the Company has received a total of approximately GBP661 million and $40 million from AllBlue and AllBlue Leveraged (the "AllBlue Funds"), representing approximately 93% of the value of the Company's investment in the Sterling classes of the AllBlue Funds and approximately 94% of the value of its investment in the US$ classes of the AllBlue Funds.

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"AllBlue Limited

PO Box 309

Ugland House

Grand Cayman

KY1-1104

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

Dear Investor,

Return of Capital to Investors

Further to the investor circular dated 8 July 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 $5.77bn has been returned to eligible Investors since 1 January 2016, equating to total capital distributions of approximately 93% 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 
  (2016)                  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 
 Total                   $5,770m 
 

"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 2016. The current estimated timetable for future distributions is as follows:

 
                    Q4 2016   Q1 2017   Q2/Q3 2017 
-----------------  --------  --------  ----------- 
 Estimated total 
  distribution 
  amount            $120m     $52m      $183m 
-----------------  --------  --------  ----------- 
 

The above estimated timings are based on the liquidation profiles of the underlying master funds in which the Fund is ultimately invested ("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.

The Fund and each Master Fund also retain an appropriate cash reserve for actual and contingent liabilities (which may include tax liabilities) through to formal liquidation of the fund entity. The 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.

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 fund has approximately $17m of assets remaining, of which approximately $2.5m is held in securities which will reach maturity or be divested during the fourth quarter of 2016. The remainder is held in cash to support the remaining trading operations and as a reserve for costs and contingent liabilities. lt is estimated that a further $10m will be returned to investors during 2016 and that the fund will be placed into liquidation in the first quarter of 2017, with an accompanying cash distribution.

BlueCrest Multi Strategy Credit Master Fund Limited - International credit markets have continued to be challenging during the third quarter of 2016, which has translated to a slower than expected liquidation profile. The fund has nevertheless distributed approximately $200m to investors during the period, principally as a result of bond sales and the sale of substantially all of the fund's holdings in asset backed securities. Of the fund's remaining encumbered assets, approximately 60% are fully funded securities for which sale opportunities are event dependent, and the remainder comprises predominantly index and single name CDS positions. 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, it is likely that the liquidation process will continue into 2017 in order to seek to optimise returns and protect investor value.

Meanwhile, 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 to be 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 - The fund has achieved significant divestments of structured assets during the third quarter, enabling cash distributions of approximately $550m for the period. The fund's remaining assets comprise two further structured positions, small holdings in related CDS hedge positions and a cash reserve for actual and contingent liabilities. lt is expected that the liquidation of assets will be substantially complete by the end of 2016, subject to the sale of a structured note, currently valued at approximately $4.8m, which may be held until maturity in June 2017 if good value cannot be realised in advance. Following liquidation of all assets, the fund will be formally wound up and a final cash distribution will be made to investors.

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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Investor Communication from AllBlue Leveraged Feeder Limited

The Company has also received a letter from AllBlue Leveraged Feeder Limited, additionally detailing the distributions made to date and the expected distributions to be made in the next year. This is extracted below for information. Investors should note that any caveats enclosed in the above communication from AllBlue Limited apply also to the below information:

The following table shows the distributions made to Investors since 1 January 2016 (excluding

amounts repaid to leverage providers):

 
 Date of Distribution    Capital Distributed to 
  (2016)                  Investors (nearest million) 
 W/c 4 January           $48m 
 W/c 25 January          $527m 
 W/c 22 February         $116m 
 W/c 21 March            $51m 
 W/c 25 April            $10m 
 W/c 23 May              $52m 
 W/c 27 June             $9m 
 W/c 11 July             $75m 
 W/c 25 July             $42m 
 W/c 22 August           $22m 
 W/c 26 September        $100m 
 Total                   $1,052m 
 

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 2016. The current estimated timetable for future distributions is as follows:

 
 AllBlue Leveraged    Q4 2016   Q1 2017   Q2/Q3 2017 
-------------------  --------  --------  ----------- 
 Estimated total 
  distribution 
  amount              $50m      $22m      $77m 
-------------------  --------  --------  ----------- 
 

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For further information about this announcement please contact:

JTC (Guernsey) Limited

Secretary

Tel: [phone]

END OF ANNOUNCEMENT

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October 12, 2016 07:55 ET (11:55 GMT)