TIDMHMSF
RNS Number : 0704C
Highbridge Multi-Strategy Fd Ltd £
27 September 2018
HIGHBRIDGE MULTI-STRATEGY FUND LIMITED (the "Company")
HALF YEARLY FINANCIAL REPORT
The Board of the Company is pleased to announce its results for
the period from 1 January 2018 to 30 June 2018.
In accordance with DTR 6.3.5(1) please find below the full text
of the half yearly report. The report is also available on the
Company's website, https://www.highbridgemsfltd.co.uk and on the
National Storage Mechanism, which is situated at
www.morningstar.co.uk/uk/nsm.
For further information about this announcement contact:
JTC Fund Solutions (Guernsey) Limited, Secretary
Tel: 01481 702 400
J.P. Morgan Asset Management (UK), Investor Relations
Tel: 0207 742 3408
Highbridge Multi-Strategy Fund Limited
Financial Report for the period ended 30 June 2018
Copyright Highbridge Multi-Strategy Fund Limited 2018
Registered company number: 44704
Contents
Contents
Financial Results
Strategic Report
Chairman's Statement
INVESTMENT MANAGER's REPORT
Company & Investment Overview.. 9
Interim Management Report, Going Concern and Responsibility
Statements
Interim management report
going concern
responsibility statement
Financial Statements
statement of comprehensive income for the SIX MONTH PERIODED
30th JUNE 2018
statement of financial position As At 30TH June 2018
Statement of changes in equity for the SIX MONTH PERIOD ended
30Th June 2018
STATEMENT OF CHANGES IN EQUITY for the SIX MONTH PERIOD ended
30(th) June 2017
STATEMENT OF CASH FLOws for the SIX Month period ended 30th JUNE
2018
Notes to the Financial Statements. 21
Schedule of Investments
Schedule of Investments
Glossary
Directors and Service Providers
Financial Results
Company Key Figures(1)
3.09% 99.43% 7.53%
2018 Sterling Share Sterling AllBlue proceeds received Annualised Sterling
price increase NAV return
(since inception(2) )
Underlying Fund Key Figures(3)
2.1 0.05 1/4th
Sharpe Ratio Beta to FTSE 100(4) of the volatility
of the FTSE 100(4)
1.1% 0.10 0.07
Outperformance Beta to Barclays Beta to S&P 500(6)
vs HFRI Fund of Aggregate(6)
Funds Diversified
Index(5)
--------------------- --------------------
A glossary which explains the calculation of these statistics is
provided at the end of this report on page 42.
1. Information is for the Company as at 30 June 2018.
2. This alternative performance measure ("APM") is provided for
shareholders information in addition to the financial statements
starting on page 16. Shareholders should base their assessment of
the financial performance of the Company on the information
contained in the financial statements.
3. Information is for the 1992 Multi-Strategy Master Fund, L.P.
managed by Highbridge Capital Management, LLC (the "Underlying
Fund") for the period between March 2016 and June 2018.
4. Index Source: FTSE International Limited ("FTSE") (c) FTSE
2017. "FTSE (R)" is a trade mark of the London Stock Exchange Group
companies and is used by FTSE International Limited under license.
All rights in the FTSE indices vest in FTSE and/or its licensors.
Neither FTSE nor its licensors accept any liability for any errors
or omissions in the FTSE indices or underlying data. No further
distribution of FTSE data is permitted without FTSE's express
written consent.
5. Index Source: Hedge Fund Research Inc.
6. Index Source : Bloomberg
Note: All index performance information has been obtained from
third parties and should not be relied upon as being complete or
accurate. Indices are shown for comparison purpose only. While an
investor may invest in vehicles designed to track certain indices,
an investor cannot invest directly in an index. Indices are
unmanaged, do not charge fees or expenses, and do not employ
special investment techniques such as leverage or short
selling.
Strategic Report
Chairman's Statement
During the six months to 30(th) June 2018, the Company's Net
Asset Value ("NAV") per share has increased from GBP2.1966 to
GBP2.2361 (1.8%).
I am pleased once again to be able to report that the Company's
increase in NAV per share has been achieved with low levels of
volatility. Your board continues to believe that shareholders
understand the value of low volatility in the current market
environment and the narrowing of the Company's share price discount
reported in the 2017 Annual Report has continued through the first
half of 2018, with the Company's shares trading generally
marginally above par for the majority of the first half of 2018 and
that trend has continued since 30(th) June 2018. Thus the Company's
shares have witnessed the narrowest discount in the sector by some
margin and it is fair to comment that it is unique amongst its
peers as a result.
I commented in my previous Chairman's Statement about global
uncertainties and many of those uncertainties remain. In that
regard, a clarification of the outlook for global trade
relationships would come as a relief for many investors and my best
guess is that any such clarification may be a long time coming.
There are specific regions that are worthy of comment. For
instance, the Eurozone has witnessed domestic political
uncertainties in key nations, with an Italian Government now in
situ which most would describe as being Eurosceptic and the strains
within Europe are obvious, which are exacerbated by a continuing
unpredictable and messy Brexit negotiation process.
What does all that mean? Global growth is still projected by the
IMF to reach 3.9% in 2018 and 2019. However, tariff increases by
the United States and retaliatory measures by trading partners have
undoubtedly increased the likelihood of escalating and sustained
trade actions, which could derail the recovery and depress medium
term growth prospects.
Despite those ongoing uncertainties, your Company has continued
to deliver a steady risk-adjusted, uncorrelated return and remains
well positioned to do so for the rest of 2018. As a result, shares
in the Company continue to merit a place in a well-balanced
portfolio.
AllBlue
This longer than anticipated saga has continued during the
period and has not reached a clean conclusion. AllBlue Limited has
recently been placed in voluntary liquidation with two partners of
Deloitte & Touche being appointed as joint Liquidators. We have
been informed that there will be only progress reports provided by
the Liquidators going forward and no further indicative NAVs. The
Liquidators have advised that future interim distributions
resulting from future sales of investments are difficult to predict
and the pursuit of legal claims is likely to take an extended
period of time. Subsequent to a distribution being received in June
from AllBlue, the remaining estimated value of the AllBlue
investments represented just over 0.5% of the Company's NAV. Your
board wishes it had more definitive news to report in terms of when
such amounts will actually be received. Unfortunately, there is
little we can do to expedite matters.
Discount Management
The Company's shares have continued to be traded at a small
premium or at the narrowest discount range amongst the peer group
throughout 2018 and at the time of writing continue to trade very
close to parity to NAV.
During the period 5,886,250 shares were sold from Treasury
adding a total of GBP13.26 million to the Company's total NAV at an
average premium of 1%.
As a result of only relatively rare occurrences of the Company's
shares trading at a discount during the period, and feedback gained
earlier from a number of major shareholders, no further tender
offers were made.
So far the Board has not been able to identify a credit facility
option, which provides suitably attractive economics. The Board
will continue to keep all options under review and take action when
appropriate.
Future Growth
Your Board is committed to issuing shares going forward. As
previously mentioned there has been a steady trend of selling
shares from Treasury during the period, to meet market demand and
at a modest premium. We are very cognisant of the liquidity and
other benefits of issuing additional shares, so your Board will
continue to work with the Brokers and the Manager to help make that
happen.
Succession Planning
The process for finding a replacement for Paul Meader was
concluded and I am delighted to report that Paul Le Page was
appointed to the board on 1 May 2018. Paul Le Page has extensive
experience of risk management within the hedge fund sector. To
achieve a seamless handing over of the baton, Paul Meader has
agreed to retire from the board on 31 December 2018, which is when
Paul Le Page will assume the position of Chairman of the Risk
Committee.
Looking Forward
We remain optimistic that the Company will continue to deliver
the low volatility returns that more and more investors value. We
have good reasons to be confident that the Company will continue to
grow.
Vic Holmes
Chairman
26th September 2018
INVESTMENT MANAGER's REPORT
The commentary is not intended to constitute, and should not be
construed as, investment advice. Potential investors in the Company
should seek their own independent financial advice and may not rely
on this communication in evaluating the merits of investing in the
Company. The commentary is provided as a source of information for
shareholders of the Company but is not attributable to the
Company.
Overview of Markets and Performance
At the half-year point, the S&P 500 has returned +2.65% (and
the FTSE 100 (GBP) has returned +1.68%), albeit with both indices
having gone through a peak to trough drawdown of -10.1% and -10.5%
during this period and consequently with the CBOE Volatility Index
(the "VIX") averaging close to 16. We have therefore seen a
departure from the calm markets of 2017. In fact, Q1 marked the
first negative quarter for equity markets since 2015 and followed a
year where the S&P's largest peak-to-trough drawdown was only
-2.8%. According to a report by Goldman Sachs, from March 2016
through January 2018, the MSCI total return was positive in 21 of
23 months-an anomaly which, in our view, had to return at some
point to a more standard level of volatility trading associated
with a late cycle environment. After the VIX surge and market
meltdown of the first quarter, equity markets did stabilize
somewhat and volatility became more subdued. While the second
quarter saw the S&P and FTSE post approximately +3% and
approximately +9% returns, respectively, it was not without pockets
of volatility, specifically surrounding US trade tariff rhetoric
and renewed geopolitical tensions in the Middle East vis-à-vis
Syria and Iran. Additionally, fears of Italy leaving the European
Union caused implied and realized volatility to pick up in European
assets and global FX. Furthermore, it was a quarter where, in
April, US 10-Year Treasury Yields pierced 3% for the first time
since 2014-a threshold deemed important by the market for its
potential to trigger investor rotation out of equities. However,
with a combination of a hawkish Fed and subdued longer term growth
and inflation outlooks this key benchmark drifted lower and yield
curves flattened to decade lows, while short-end rates continued to
rally as quantitative tightening continued at pace.
We have been somewhat surprised at how well the broader market
has performed of late and the sense of complacency that seems to
have reappeared, particularly as the ongoing transition from
quantitative easing (QE) to quantitative tightening (QT) is now
contending with the reality of significant trade tariffs between
the U.S. and China coupled with the ongoing trade disputes with
Canada, Mexico and Europe. Even though we believe investors are
concerned by tariff-related issues, companies are not yet feeling
much in the way of impact. Moreover, the strength of the US economy
has afforded the Fed a confident and hawkish posture, although some
feel both the Fed and European Central Bank (ECB) are in the
process of executing "dovish tapers." The federal funds rate is now
the highest since September 2008 and the Fed has indicated that the
market should expect a total of four hikes this year and three in
2019. At the same time, the ECB suggests no rate hikes are likely
from the Eurozone until the end of summer 2019. What is striking
about the events of the second quarter is that, while we've seen
volatility pick up in individual assets at different times, we have
not yet seen an event in which moves in volatility across assets
are highly correlated. Ultimately, for a transition to a new higher
volatility regime to occur, we believe there must be a simultaneous
increase in multi-asset volatility including the return of interest
rate volatility, which we believe is yet to come. We also note that
liquidity across many asset classes has come down and, if this
continues, we anticipate more frequent shocks across different
asset classes.
In the first half of 2018, Highbridge Multi-Strategy Fund
Limited GBP delivered a +1.83% NAV return. The sub-strategies
within the Underlying Fund that were the largest contributors to
performance were Convertible Credit & Capital Structure
Arbitrage, Merger Arbitrage and Asia Arbitrage. The largest
detractor from Underlying Fund performance was the Sector-Focused
Long/Short Equity Strategies, led by the Consumer and TMT books,
and the Statistical Arbitrage strategy. We have subsequently
reduced the allocation to both strategies.
We continue to believe this backdrop is favorable to our
relative value strategies where we should benefit from our tactical
trading style and focus on idiosyncratic exposure. Entering the
third quarter, we made some active allocation changes and remain
disciplined in our approach, investing in opportunities across the
portfolio that we believe will continue to generate high quality
alpha and returns for our investors.
Strategy Review by Strategy Group
Fundamental Equities: Fundamental Equities has been a
challenging area for us during the first half of the year, as
nearly all the sector allocations detracted, with outsized losses
in the Consumer book in particular. In contrast, Healthcare
contributed positively, almost entirely led by gains in its small
cap Biotech positions. We have reduced capital and exposure to
these fundamental equity strategies until we see clear evidence of
improving performance across the board.
Event-Driven Equity: Event-Driven strategies have had mixed
performance so far this year. Merger Arbitrage and Equity Capital
Markets have performed well while Event-Focused European Long/Short
Equity and US Event Long/Short Equity experienced more volatile
performance. Merger Arbitrage was able to take advantage of
volatility surrounding many vertical deals as well as deals with
China exposure in light of the evolving trade tariff situation. The
strategy increased exposure earlier in the year as spreads widened
on the back of these situations and then subsequently reduced the
portfolio to harvest gains as deals closed. Despite the more
volatile market environment, equity and SPAC issuance remained
strong, benefitting our Equity Capital Markets strategy. After a
strong first quarter, Event-Focused European Long/Short Equity
detracted in Q2 on the back of negative idiosyncratic events
affecting specific investments in the portfolio. US Event
Long/Short Equity also saw mixed performance, but contributed
positively overall to performance in the first half of the
year.
Quantitative Equity: After a positive first quarter, Statistical
Arbitrage was one of the largest detractors in Q2 and the second
largest detractor for the first half of the year. We reduced the
strategy's allocation significantly on the back of continued
challenging performance, as the portfolio saw negative performance
across its forecasts.
Capital Structure Arbitrage and Fundamental Credit: Together,
Convertible Credit & Capital Structure Arbitrage and Distressed
Credit, allocations run by the same investment team, were the
largest contributor to performance in the first half of 2018.
Performance was driven by idiosyncratic situations and continued
corporate activity, particularly within the Distressed Credit
strategy and the Distressed & Reorganized Equity sub-strategy
within the Convertible Credit & Capital Structure Arbitrage
strategy. Asia Arbitrage was a top contributor in Q2 after a mixed
start to the year. After negative performance in our positioning in
Japanese derivatives in Q1, performance in the second quarter was
driven by gains on Japanese derivatives and equity long/short. The
Cross Asset Relative Value strategy continued to deliver good
quality returns, thanks to a backdrop that offers more relative
value trading opportunities. With a pick-up in overall equity
market volatility and credit spreads widening, we are seeing
opportunities to put capital to work.
Convertible & Volatility Arbitrage: The Convertible &
Volatility Arbitrage strategy posted positive YTD returns which
were driven by long volatility positioning and idiosyncratic
investments, while avoiding any material detractors. US convertible
issuance has also been strong and we expect M&A transactions -
many of which employ equity-linked financing - to continue even
with uncertainty in the regulatory and political environment.
Derivatives Relative Value, a strategy we added in the fourth
quarter of 2017, detracted slightly from performance in the first
half of the year.
Macro: Fundamental Macro detracted in the first half of the
year. In the first quarter, the strategy was caught offside in
short US versus long Europe and Japan equities positions that hurt
as US stocks made new highs in January and then underperformed
amidst the sharp broad-based February sell-off. In the second
quarter, losses were predominantly due to a position in European
short-end rates which was costly due to the ECB's unexpected dovish
forward rate guidance at its June meeting, despite announcing a
targeted end date of QE by December this year. Nonetheless, the
strategy still retains the bulk of its position on our view that
the credit risk implied in the EURIBOR fixing currently is still
too low. The strategy is trading core and tactically long VIX in
the anticipation that risky assets will struggle to perform with
too much uncertainty around trade, combined with the ongoing
tightening of monetary policy by an ostensibly hawkish Fed. We are
also actively seeking bearish China trades.
Highbridge Capital Management, LLC
31st August 2018
Company & Investment Overview
The Company is a Guernsey domiciled closed-ended investment
company listed on the Premium Segment of the Official List of the
United Kingdom Listing Authority and traded on the Main Market of
the London Stock Exchange with assets of approximately GBP233
million1.
Structure diagram
The Company
The Company has one class of shares in issue, the Sterling
class. The Company seeks to provide Shareholders with the following
key benefits:
-- Attractive returns which are not beholden to the direction of
asset markets, created by skilled portfolio management and a
non-correlated, multi-strategy approach.
-- Strong capital preservation characteristics reflecting robust
risk management and expert blending of various assets across
strategies.
-- Liquidity occasioned by active trading in the Company's
shares on the Main Market of the London Stock Exchange.
About the Underlying 1992 Multi Strategy Fund
The Company invests into the Underlying Fund through sterling
denominated and hedged Class F shares of 1992 Multi-Strategy Fund
Corporation, ("MSF Corp"), which feeds into the 1992 Multi-Strategy
Master Fund L.P. (the "Underlying Fund").
(1) as at 21(st) September 2018
The Underlying Fund is a US Dollar denominated global
multi-strategy hedge fund focused on relative value strategies with
idiosyncratic sources of return. The Underlying Fund allocates
capital to a number of distinct strategies pursuing equity, credit,
convertible bond, volatility, capital structure arbitrage and macro
opportunities across the globe, as further described below.
Since its inception on 1st January 1993, the Underlying Fund has
achieved 10.12% annualised net returns, 6.60% annualised volatility
and low beta relative to equity and credit indices(1) . Since the
Company invested in MSF Corp in March 2016, MSF Corp's Class F (GBP
denominated) shares have delivered 5.20% annualised net returns and
2.28% annualised volatility.
Key Features of the Underlying Fund
Consistent Returns: The Underlying Fund targets attractive
risk-adjusted returns with low volatility and low beta to broad
markets. It has a track record of delivering consistent
risk-adjusted returns over market cycles for 25 years.
Diversified Global Exposure: Underlying investment strategies
are diversified across asset classes, investment styles and
geographies. Highbridge employs dedicated teams on the ground in
London, New York and Hong Kong that seek to capture global
investment opportunities.
Relative Value Focus: The Underlying Fund focuses on relative
value strategies with idiosyncratic sources of return.
Dynamic Capital Allocation: Within the Underlying Fund there is
flexibility to allocate capital dynamically across various asset
classes and geographies.
Capital Preservation: The investment process is focussed on
robust risk management and drawdown protection.
Institutional Quality Infrastructure: Highbridge's world-class
trading and investment platforms are supported by infrastructure
capabilities across risk management, compliance, client service,
operations, technology and finance.
(1) As of 30 June 2018 net of all applicable fees and expenses.
Returns are estimated and unaudited for 2017. 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 the Underlying Fund's return objectives will be realised or
that the Company and/or the Underlying Fund will not experience
losses.
(2) The Underlying Fund's 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 the Company's Risk Disclosure
Document (which can be found on the Company's website at
www.highbridgemsfltd.co.uk). 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. The Underlying Fund'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 the Underlying Fund 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.
Investment Objective and Strategy of the Underlying Fund
The Underlying Fund seeks to achieve annualised net returns of 7
to 12 per cent., with annualised volatility of 3 to 6 per cent.,
and a beta to the S&P 500 below 25 per cent(2) .
The Underlying Fund utilises a diversified, multi-strategy
approach to investing across the following seven strategy groups
and unique sub-strategies within those groups(3) :
Allocation Description Geographic
Focus
---------------------- ------------------------------------------------- ----------------------
Fundamental Equity
Asia Long/Short Bottom-up long/short equity strategy Asia
Equity focused on relative value and thematic
opportunities
Sector-Focused Bottom-up, long/short equity strategies Global
Long/ focused on specific sectors (currently
Short Equity includes Consumer, Financials, Industrials,
Strategies and Real Estate sectors)
Event Driven Equity
Merger Arbitrage Strategy employing qualitative and quantitative North America/Europe
analysis to capture unique sources of
spread generated from entities involved
in M&A activity
Event-Focused Event-driven long/short equity strategy Europe
European Long/Short focused on opportunities resulting from
Equity industry changing events and corporate
catalysts such as M&A, restructurings
and management changes
US Event Long/Short Event-driven long/short equity strategy North America
Equity focused on opportunities resulting from North America/Europe
Equity Capital catalysts such as M&A, divestitures,
Markets spin-offs, split-offs and changes in
areas such as accounting policy, capital
allocation, management, and regulatory
or tax policies.
Strategy focused on opportunities driven
by IPOs, marketed equity follow-ons,
block trades, secondaries and other
capital raising and liquidity transactions
across all industry sectors.
---------------------- ------------------------------------------------- ----------------------
Quantitative Equity
Statistical Arbitrage Systematic strategy focused on managing Global
equities, futures and options investments
---------------------- ------------------------------------------------- ----------------------
Capital Structure Arbitrage and Fundamental Credit
Convertible Credit Fundamental, credit relative value strategy North America/Europe
& Capital Structure focused on underfollowed public middle North America/Europe
Arbitrage market issuers
Cross Asset Relative Trading strategy employing quantitative
Value techniques to uncover mean-reverting
dislocations and arbitrage opportunities
among corporate credits, equities, credit
derivatives and equity derivatives
Asia Capital Fundamental, relative value strategy Asia
Structure Arbitrage focused on exploiting capital structure
dislocations
---------------------- ------------------------------------------------- ----------------------
Convertible & Volatility Arbitrage
Convertible & Relative value strategy employing quantitative North America/Europe
Volatility Arbitrage techniques to capitalise on mispriced Global
Derivatives Relative optionality embedded in convertible
Value securities
Relative value strategy using fundamental
analysis and quantitative signals to
find opportunities in derivatives instruments
across asset classes
---------------------- ------------------------------------------------- ----------------------
Credit
Distressed Credit Fundamental, middle market distressed North America
strategy focused on generating idiosyncratic
returns through active engagement in
reorganisation process
---------------------- ------------------------------------------------- ----------------------
Macro
Fundamental Macro Fundamental analysis of monetary, fiscal Global
and political themes in search of opportunities
for potential changes in valuation and
relative prices across asset classes
and economies
------------------------------------------------- ----------------------
About Highbridge
Highbridge was founded in 1992 as one of the industry's first
multi-strategy hedge fund managers. Highbridge has approximately
US$4.5 billion in assets under management and a staff of over 165
employees, including approximately 55 investment professionals,
with offices in London, New York and Hong Kong(4) . Highbridge
established a strategic partnership with J.P. Morgan Asset
Management ("JPMAM") in 2004. Highbridge is a subsidiary of J.P.
Morgan Asset Management Holdings Inc., which is itself 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(5) .
(3) As of 31st August 2018.
(4) As at 1st July 2018.
5 As at 30th June, 2018.
All investment, capital allocation and risk management decisions
for the Underlying Fund are independent of JPMAM. Highbridge is
registered as an investment adviser under the U.S. Investment
Advisers Act of 1940, as amended.
In addition to managing the Underlying Fund, Highbridge has also
been appointed as the investment manager of the Company. As part of
the investment management arrangements, JPMAM provides certain
support services to the Company as delegate of Highbridge,
including the provision of investor relations, public relations and
Board support. Neither Highbridge nor JPMAM receives a fee directly
from the Company in relation to these services.
AllBlue
The Company retains a creditor interest in AllBlue and AllBlue
Leveraged arising from the compulsory redemption on 4 January 2016
of its holdings in those companies. Such creditor interest has been
measured by reference to the valuation statements received monthly
from the administrator of AllBlue and AllBlue Leveraged. However,
those companies were placed into liquidation in June 2018 and the
joint liquidators have since notified creditors that the valuation
statements will no longer be provided. Further information about
the proceeds returned to the Company is available in Notes 10 and
18 to the Financial Statements.
Interim Management Report, Going Concern and Responsibility
Statements
Interim management report
A description of the important events that have occurred during
the first six months of the financial year and their impact on the
performance of the Company as shown in the Financial Statements is
given in the Chairman's Statement on pages 4 to 5, and the Notes to
the Financial Statements on pages 16 to 41, and are incorporated
here by reference.
The principal risks and uncertainties facing the Company are
unchanged, and are not expected to change, from those disclosed in
the Company's most recent Annual Financial Report, which is
available at https://www.highbridgemsfltd.co.uk. These principal
risks and uncertainties are: operational, investment, share price
discount, concentration, leverage, counterparty, credit and
regulatory risk. A detailed explanation of the risks, and how the
Company seeks to mitigate them can be found on pages 46 to 52 of
the Annual Financial Report for the year ended 31st December 2017.
The Board monitors the Company's risk management systems on an
ongoing basis.
There were no material related party transactions during the
first six months of the financial year, other than those disclosed
at note 6 to the Financial Statements.
This Half-Yearly Financial Report has not been audited or
reviewed by auditors pursuant to the Auditing Practices Board
guidance on Review of Interim Financial Information
going concern
The performance of the investments held by the Company over the
reporting period are described in the Statement of Operations and
the outlook for the future is described in the Chairman's
Statement. The Company's financial position, its cash flows and
liquidity position are set out in the Financial Statements and the
Company's financial risk management objectives and policies,
details of its financial instruments and its exposures to price
risk, credit risk, liquidity risk, interest rate risk and the risk
of leverage by the Underlying Fund are set out at note 15 to the
Financial Statements.
After making due enquiries, the Directors have a reasonable
expectation that the Company has adequate resources to continue in
operational existence for at least twelve months from the date of
this report. Accordingly, they continue to adopt the going concern
basis in the preparation of this Interim Financial Report.
responsibility statement
We confirm that to the best of our knowledge:
-- the condensed Financial Statements have been prepared in
accordance with International Accounting Standard 34, Interim
Financial Reporting;
-- the Interim Management report includes a fair review of the
information required by:
a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an
indication of important events that have occurred during the first
six months of the financial year and their impact on the condensed
set of Financial Statements; and a description of the principal
risks and uncertainties for the remaining six months of the year;
and
b) DTR 4.2.8R of the Disclosure and Transparency Rules, being
related party transactions that have taken place in the first six
months of the current financial year and that have materially
affected the financial position or performance of the entity during
that period; and any changes in the related party transactions
described in the last Annual Report that could do so.
By order of the Board
Steve Le Page, Director
26(th) September 2018
Financial Statements
statement of comprehensive income for the SIX MONTH PERIODED
30th JUNE 2018
30 June 2018 31 December 2017 30 June 2017
GBP GBP GBP
Notes
Net gain on non current financial
assets at fair value through profit or
loss 7 4,004,097 7,749,988 2,342,596
Net gain/(Loss) on current financial
assets at fair value through profit or
loss 7 613,944 56,309 (441,599)
Net (loss)/gain on current financial
liabilities at fair value through
profit or loss 9 (500,698) (28,074) 315,160
Interest income received 52,743 31,114 651
Operating expenses 3 (305,356) (682,670) (343,390)
--------------------- ---------------- ----------------
3,864,730 7,126,667 1,873,418
Total comprehensive income for the
period 3,864,730 7,126,667 1,873,418
--------------------- ---------------- ----------------
Earnings per share for the period Pence (GBP) Pence (GBP) Pence (GBP)
Basic and Diluted 5 3.88 7.20 1.88
In arriving at the results for the financial period, all amounts
above relate to continuing operations.
There is no Other Comprehensive Income for the period other than
disclosed above.
The notes on pages 21 to 41 form an integral part of these
Financial Statements.
statement of financial position As At 30TH June 2018
As at 30(th) As at 31(st)
June December As at 30(th)
2018 2017 JUNE 2017
NON CURRENT ASSETS Notes GBP GBP GBP
Unquoted financial
assets designated
as at fair value
through profit or
loss 7 221,446,432 203,609,725 198,202,333
CURRENT ASSETS
Unquoted financial
assets designated
as at fair value
through profit or
loss 7 4,239,615 7,365,264 6,867,356
Cash and cash equivalents 25,840,172 23,639,602 26,799,032
Prepayments and receivables 8 713,201 25,965 29,278
--------------- ----------------- --------------------
30,792,988 31,030,831 33,695,666
CURRENT LIABILITIES
Unquoted financial
liabilities designated
as at fair value
through profit or
loss 9 20,910,860 20,410,162 20,066,383
Other sundry accruals
and payables 73,896 74,295 64,340
--------------- ----------------- --------------------
20,984,756 20,484,457 20,130,723
--------------- ----------------- --------------------
NET ASSETS 231,254,664 214,156,099 211,767,276
--------------- ----------------- --------------------
EQUITY
Share Capital 10 - - -
Reserves 12&13 231,254,664 214,156,099 211,767,276
--------------- ----------------- --------------------
SHAREHOLDER'S EQUITY 12 231,254,664 214,156,099 211,767,276
--------------- ----------------- --------------------
SHARES IN ISSUE 10 103,386,369 97,500,119 98,850,119
NAV PER SHARE 17 GBP2.2368 GBP2.1960 GBP2.1423
The Financial Statements on pages 16 to 20and accompanying notes
were approved and authorised for issue by the Board of Directors on
26th September 2018 and are signed on its behalf by:
Vic Holmes Steve Le Page
Chairman Chairman of the Audit Committee
The notes on pages 21 to 41 form an integral part of these
Financial Statements.
.
Statement of changes in equity for the SIX MONTH PERIOD ended
30Th June 2018
Notes Share Capital Reserves Total GBP
Opening Balance - 214,156,099 214,156,099
Sales of Shares from
Treasury 12 - 13,233,835 13,233,835
Total comprehensive
income for the year - 3,864,730 3,864,730
Balance at 30(th)
June 2018 - 231,254,664 231,254,664
============= =========== ===========
STATEMENT OF CHANGES IN SHAREHOLDERS EQUITY for the year ended 31st
december 2017
Notes Share Capital Reserves Total GBP
Opening Balance - 219,334,702 219,334,702
Off-market purchase
of ordinary shares 12 - (12,305,270) (12,305,270)
Total comprehensive
income for the year - 7,126,667 7,126,667
Balance at 31st December
2017 - 214,156,099 214,156,099
------------- ------------ ------------
The notes on pages 21 to 41 form an integral part of these
Financial Statements.
STATEMENT OF CHANGES IN EQUITY for the SIX MONTH PERIOD ended
30(th) June 2017
Share Capital Reserves Total GBP
Opening Balance - 219,334,702 219,334,702
Off-market purchase
of ordinary shares - (9,440,844) (9,440,844)
Total comprehensive
income for the period - 1,873,418 1,873,418
Balance at 30(th)
June 2017 - 211,767,276 211,767,276
============= =========== ===========
The notes on pages 21 to 41 form an integral part of these
Financial Statements.
STATEMENT OF CASH FLOws for the SIX Month period ended 30th JUNE
2018
30(th) June 31(st) December t 30(th) JUNE
2018 2017 2017
GBP GBP GBP
Operating activities
Total comprehensive income
for the period 3,864,730 7,126,667 1,873,418
(Increase)/decrease in unrealised
gains on financial assets
at fair value through profit
or loss (2,952,288) 514,446 6,419,746
Increase in unrealised gains
on financial liabilities at
fair value through profit
or loss (295,175) (3,511,685) (3,184,449)
Realised losses on sales of
financial liabilities 796,420 3,539,759 2,869,289
Realised gains on sales of
financial assets (1,665,753) (8,320,743) (8,320,743)
Interest income (52,743) (31,113) (651)
Realised exchange (gains)/losses (546) 2,619 2,619
(Decrease)/increase in payables (399) 8,045 (1,910)
(Increase)/decrease in receivables (687,236) 60,503,344 60,500,031
Net cashflow (used in)/from
operating activities (992,990) 59,831,339 60,157,350
----------------- ----------------------- -------------
Investing activities
Interest received 52,743 31,113 651
Purchase of financial assets (13,880,000) - -
Proceeds from sale of financial
assets 3,786,982 20,954,381 20,954,381
Net cashflow (used in)/from
investing activities (10,040,275) 20,985,494 20,955,032
----------------- ----------------------- -------------
Financing activities
Sales of Shares from Treasury 13,233,835 - -
Off-market purchase of shares - (12,305,270) (9,440,844)
Payments to Cash Exit Creditors - (71,426,467) (71,427,012)
---------- -----------------
Net cashflow from/(used in)
financing activities 13,233,835 (83,731,737) (80,867,856)
---------- ----------------- ------------
Cash and cash equivalents
at beginning of period 23,639,602 26,554,506 26,554,506
Increase/(decrease) in cash
and cash equivalents 2,200,570 (2,914,904) 244,526
Cash and cash equivalents
at end of period 25,840,172 23,639,602 26,799,032
---------- ----------------- ------------
The notes on pages 21 to 41 form an integral part of these
Financial Statements.
Notes to the Financial Statements
1. Accounting policies
(a) Basis of preparation
The Financial Statements have been prepared in conformity with
International Financial Reporting Standards as adopted by the
European Union ("IFRS") and applicable Guernsey law. The Financial
Statements have been prepared on an historical cost basis except
for the measurement at fair value of financial assets and financial
liabilities designated at fair value through profit or loss.
The same accounting policies and methods of computation are
followed in the Interim Financial Report as compared with the most
recent Annual Financial Statements (31st December 2017), except for
the adoption of IFRS 9: Financial Instruments in the current period
(refer to note 16). This report should be read in conjunction with
the latest Annual Financial Report (31st December 2017).
For a detailed discussion about the Company's performance and
financial position please refer to the Chairman's Report on pages 4
to 5 and Investment Manager's Report on pages 6 to 8.
Items included in the financial statements are measured using
the currency of the primary economic environment in which the
Company operates ('the functional currency'). The functional
currency is Sterling, The Company has also adopted Sterling as its
presentation currency.
(b) Going concern
The Directors believe that the Company has adequate financial
resources and as a consequence the Company is well placed to manage
its business risks successfully. After making enquiries, the
Directors have a reasonable expectation that the Company will be
able to continue in operation and meet its liabilities as they fall
due over the 12 month period from the approval of the financial
statements. Accordingly, the Directors have adopted the going
concern basis in preparing the financial statements.
(c) Taxation
The Company has been granted exemption under the Income Tax
(Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income
Tax, and is charged an annual fee of GBP1,200.
(d) Expenses
All expenses are accounted for on an accruals basis.
(e) Interest income
Interest income is accounted for on an accruals basis.
(f) Cash and cash equivalents
Cash and cash equivalents are defined as call deposits, money
market funds, short dated bonds and short term deposits readily
convertible to known amounts of cash and subject to insignificant
risk of changes in value, together with bank overdrafts. For the
purposes of the Statement of Cash Flows, cash and cash equivalents
consists of cash, deposits and investments held in JP Morgan
Liquidity funds.
(g) Foreign currency translation
The Financial Statements are presented in Sterling, which is the
Company's functional and presentation currency. Operating expenses
in foreign currencies are initially recorded at the functional
currency rate ruling at the date of the transaction. Monetary
assets and liabilities denominated in foreign currencies are
translated at the functional currency rate of exchange ruling at
the reporting date. All differences on these foreign currency
translations are taken to the Statement of Comprehensive
Income.
(h) Segment information
For management purposes, the Company is organised into one
business unit, and hence no separate segment information has been
presented.
(i) Shares
The Shares are initially recognised on the date of issue at the
net of issue proceeds and share issue costs.
The Shares are classified and accounted for as equity, with all
payments for share buybacks, or receipts from share issues, being
taken to Reserves.
(j) Financial Assets
The classification depends on the purpose for which the
investments were acquired. The Company's financial assets consist
of unquoted financial assets designated as at fair value through
profit and loss; quoted financial assets designated as at fair
value through profit and loss; and prepayments and receivables.
Unquoted financial assets include the investments from which the
company is in the process of redeeming. Please refer to note 1 (k)
for further detail.
IFRS 9 Financial Instruments requires the Company to measure and
recognise impairment on financial assets at amortised cost based on
Expected Credit Losses, replacing IAS 39's incurred loss model.
Please refer to note 16 for further detail.
Purchases and sales of financial assets are recognised on the
trade-date, the date on which the Company commits to purchase or
sell the asset. Financial assets are derecognised when the rights
to receive cash flows from the financial assets have expired or
have been transferred and the Company has transferred substantially
all the risks and rewards of ownership. Financial assets (quoted
and unquoted) at fair value through profit or loss are initially
recognised at fair value. Subsequent to initial recognition,
financial assets at fair value through profit or loss are measured
at fair value. Gains and losses arising from changes in the fair
value of the 'financial assets at fair value through profit or
loss' category are presented in the statement of comprehensive
income within net changes in fair value of financial assets at fair
value through profit or loss in the period in which they arise.
(k) Financial Liabilities (Redemption Liability and Repurchase
Portfolio)
Classification- The classification of financial liabilities at
initial recognition depends on the purpose for which the financial
liability was issued and its characteristics. The Company's
financial liabilities consist of financial liabilities measured at
amortised cost (trade payables and other short-term monetary
liabilities) and financial liabilities measured at fair value (the
redemption liability payable to cash exit creditors and tender
offer creditors being shareholders of the Company that opted to
exit the Company and not remain as Shareholders following the
appointment of Highbridge as investment manager and the investment
into MSF Corp (the "Redemption Liability") together with the
liability payable to those shareholders who elected to avail of the
Tender Offer (the "Repurchase Portfolio") respectively. Please
refer to note 9 for further information). The Redemption Liability
and the Repurchase Portfolio value meet the following
classification criteria of IAS 32 for Fair Value Through Profit and
Loss (FVTPL):
- Where designation as at FVTPL eliminates or significantly
reduces a measurement or recognition inconsistency ("accounting
mismatch") that would otherwise arise from measuring assets or
liabilities or recognising the gains and losses on them on
different bases.
These liabilities are not a static amount, but change as the
fair value (NAV) of the creditor interests in the AllBlue Limited
and AllBlue Leveraged funds change. Thus there would be a mismatch
if the liability is recorded at amortised cost whilst the
"matching" investment is at fair value.
Recognition and measurement - financial liabilities at fair
value through profit or loss are initially recognised at fair
value. Subsequent to initial recognition, financial liabilities at
fair value through profit or loss are measured at fair value. Gains
and losses arising from changes in the fair value of the 'financial
liabilities at fair value through profit or loss' category are
presented in the statement of comprehensive income within net
changes in fair value of financial liabilities at fair value
through profit or loss in the period in which they arise.
2. Critical Accounting Judgements and Key Sources of Estimation
Uncertainty
In the application of the Company's accounting policies, the
Directors are required to make judgements, estimates and
assumptions about the carrying amounts of assets and liabilities
that are not readily apparent from other sources. The estimates and
associated assumptions are based on historical experience and other
factors that are considered to be relevant. Actual results may
differ from these estimates.
The estimates and underlying assumptions are reviewed on an
ongoing basis. Revisions to accounting estimates are recognised in
the period in which the estimate is revised if the revision affects
only that period or in the period of the revision and future
periods if the revision affects both current and future
periods.
The following are the critical judgements and estimates that the
Directors have made in the process of applying the Company's
accounting policies and that have the most significant effect on
the amounts recognised in the Financial Statements.
Fair value hierarchy classification
In determining the level within the fair value of financial
assets and financial liabilities hierarchy, set out in IFRS 13, the
Directors consider whether inputs to a fair value measurement are
observable, and significant to its measurement. This requires
judgement based on the facts and circumstances around the published
NAV of the underlying funds. The Directors consider the
availability of the NAV, at the reporting date, and whether
holdings would be redeemable at such a NAV with evidence of
redemptions at reporting date. They also consider whether
unobservable adjustments, such as liquidity discounts, have been
made by the Company. In the event there is any change in the above
factors, a transfer between fair value hierarchy levels will be
deemed to have occurred at the end of the period and would be
disclosed in Note 7.
Valuation of investments
In order to assess the fair value of the unquoted non-current
and current investments, the NAV of the underlying investments in
the Underlying Fund, AllBlue, and AllBlue Leveraged is taken into
consideration. The Directors have considered the circumstances
surrounding the compulsory redemption of the Company's investments
in AllBlue and AllBlue Leveraged. As explained elsewhere (see note
7 on page 26), as at the time of preparation of these financial
statements the most recently available NAV for AllBlue and AllBlue
Leveraged was as at 30th June 2018. The AllBlue and AllBlue
Leveraged interests attributable to the shareholders of the Company
comprise less than 1% of the Company's net asset value, and the
Company has received back in excess of 99% of the published net
asset value of its holding in AllBlue and AllBlue Leveraged as at
the 4th January 2016, the date the Company was informed that the
manager of these investments was compulsorily redeeming all shares
held by the Company.
The Company's holdings in the Underlying Fund are realisable at
their NAV on quarterly dealing days. The Company has some practical
experience of realising such holdings, and the Directors have
considered carefully the circumstances of the Underlying Fund and
its history of meeting requests for realisations from other
investors and have judged that the NAV provided by the independent
administrator of the Underlying Fund is a fair estimation of the
fair value of the Company's holdings.
The Company's NAV is based on valuations of unquoted
investments. As described above, in calculating the NAV and the NAV
per share of the Company, the Administrator relies on the NAVs
supplied by the Administrator of the Underlying Fund, AllBlue and
AllBlue Leveraged investments. Those NAVs are themselves based on
the NAV of the various investments held by the Underlying Fund,
AllBlue, and AllBlue Leveraged.
3.Operating Expenses
1st Jan to 30th June 2018 1st Jan to 30th June 2017
GBP GBP
Administration Fees 55,888 59,987
Directors' remuneration 106,374 100,000
Registration fees 16,631 34,450
Audit fees 25,391 36,150
Legal and Professional fees 12,162 19,584
(Gain)/loss on exchange (15,052) 6,182
Other operating expenses 103,962 87,037
--------------------------------- ------------------------------
Total expenses for the period 305,356 343,390
--------------------------------- ------------------------------
4. Directors' Remuneration
30 June 2018 30 June 2017
GBP GBP
Steve Le Page, Chairman Audit Committee 25,000 25,000
Paul Meader, Senior Independent Director 24,000 24,000
Sarita Keen 21,000 21,000
Vic Holmes 30,000 30,000
Paul Le Page (appointed 1(st) May 2018) 6,374 -
106,374 100,000
---------------- -----------------
The agreed annual directors fees are shown on page 27 of the
Annual Financial Report for the year ended 31 December 2017, save
that the fee previously payable to the Senior Independent Director
(Paul Meader) is now payable to the Risk Committee chairman (Paul
Meader) . Where applicable pro rata fees have been paid on
resignation and from appointment date.
5. Earnings per Share
1(st) Jan to 30 June 2018
Total comprehensive income for the year GBP3,864,730
The weighted average number of shares in issue during the year 99,515,941
Pence (GBP)
Earnings per share 3.88
1(st) Jan to 30 June 2017
Total comprehensive income for the year GBP1,873,418
The weighted average number of shares in issue during the year 99,878,909
Pence (GBP)
Earnings per share 1.88
6. Related Party Transactions
Transactions with related parties are made on terms equivalent
to those that prevail in an arm's length transaction.
Directors' remuneration is disclosed in note 4.
7. Investments Designated at Fair Value through Profit or
Loss
As at and for the period ended 30th
June 2018
Total
GBP
UNQUOTED FINANCIAL ASSETS
Portfolio cost carried forward 201,549,637
Unrealised appreciation on valuation
carried forward 24,136,410
-----------
Valuation carried forward 225,686,047
-----------
Realised gains on sales 1,665,753
Increase in unrealised appreciation 2,952,288
Net gains on financial assets at fair
value through profit or loss 4,618,041
-----------
As at and for the year ended 31 December
2017
Total
GBP
UNQUOTED FINANCIAL ASSETS
Portfolio cost carried forward 189,790,867
Unrealised appreciation on valuation
carried forward 21,184,122
-----------
Valuation carried forward 210,974,989
-----------
Realised gains on sales and conversions 8,320,743
Decrease in unrealised appreciation (514,446)
Net gains on financial assets at fair
value through profit or loss 7,806,297
-----------
IFRS 13 requires fair value to be disclosed by the source of
inputs, using a three-level hierarchy:
-- Quoted prices (unadjusted) in active markets for identical
assets or liabilities (Level 1);
-- Inputs other than quoted prices included in Level 1 that are
observable for the asset or liability, either directly (as prices)
or indirectly (derived from prices) (Level 2); and
-- Inputs for the asset or liability that are not based on
observable market data (unobservable inputs) (Level 3).
The fair values of the unquoted investments held by the Company
are based on the published NAV of the Underlying Fund, and the most
recently available NAV of AllBlue and AllBlue Leveraged. On the
basis that the significant input to the fair value of the
Underlying Fund is observable and no significant unobservable
adjustments are made to the valuations, the Company categorises the
Underlying Fund as Level 2. As the fair value determination for
AllBlue and AllBlue Leveraged as at 30th June 2018 is unobservable,
these have been categorised as Level 3.
Details of the value of the classifications are listed in the
table below. Values are based on the fair value of the investments
as at the reporting date:
Fair Value Fair Value
as at 30 as at 31st
Financial assets at fair value June 2018 Dec 2017
through profit or loss GBP GBP
Level 1 - -
Level 2 221,446,432 203,609,725
Level 3 4,239,615 7,365,264
-------------------- ------------
225,686,047 210,974,989
Financial liabilities at fair
value through profit or loss
Level 1 - -
Level 2 (1,860,497) (1,016,020)
Level 3 (19,050,363) (19,394,142)
-------------------- ------------
(20,910,860) (20,410,162)
Level 3 reconciliation
The following table shows a reconciliation of all movements in
the fair value of investments categorised within Level 3 between
the beginning and the end of the reporting period:
30 June 30 June
2018 2018
GBP GBP
Financial Financial
Assets Liabilities
Balance at beginning of period/year 7,365,264 (19,394,142)
Acquisitions - -
Disposals (3,786,982) -
Net realised gain on valuation
for the period 1,665,753 (723,907)
Movement in unrealised losses
on valuation (1,004,420) 1,067,686
Balance at end of period/year 4,239,615 (19,050,363)
=========== ============
Return of Capital from AllBlue and AllBlue Leveraged
On 1st December 2015, BlueCrest, the Investment Manager to the
BlueCrest suite of funds, and the board of Directors of each of the
relevant BlueCrest funds (or General Partner, where appropriate)
announced that the BlueCrest funds would embark upon a programme to
return the capital managed in these funds to investors.
From the start of the program, the Company received redemption
proceeds from the AllBlue funds as detailed below.
Sterling Share Class
06/01/2016 GBP 332,678,288
12/01/2016 GBP 2,804,217
28/01/2016 GBP 165,354,783
24/02/2016 GBP 7,668,573
25/02/2016 GBP 31,646,298
29/03/2016 GBP 16,434,016
28/04/2016 GBP 7,367,438
27/05/2016 GBP 16,326,193
29/06/2016 GBP 3,077,889
30/06/2016 GBP 745,838
13/07/2016 GBP 19,303,481
14/07/2016 GBP 4,677,645
28/07/2016 GBP 14,068,207
26/08/2016 GBP 7,116,793
29/09/2016 GBP 32,107,484
02/11/2016 GBP 4,323,360
30/11/2016 GBP 3,960,034
20/12/2016 GBP 17,802,497
07/02/2017 GBP 5,391,962
28/02/2017 GBP 303,504
02/03/2017 GBP 3,920,619
24/03/2017 GBP 2,443,283
05/05/2017 GBP 197,068
08/05/2017 GBP 47,726
29/06/2017 GBP 7,770,209
04/06/2018 GBP 3,626,678
----------------------
TOTAL: GBP 711,164,083
======================
US Dollar Share Class
12/01/2016 $ 22,400,077
29/01/2016 $ 9,063,077
25/02/2016 $ 2,118,038
30/03/2016 $ 891,737
28/04/2016 $ 140,748
27/05/2016 $ 885,611
29/06/2016 $ 207,336
13/07/2016 $ 1,300,688
14/07/2016 $ 770,435
26/08/2016 $ 386,155
29/09/2016 $ 1,742,190
02/11/2016 $ 240,001
30/11/2016 $ 215,084
20/12/2016 $ 966,590
07/02/2017 $ 298,230
02/03/2017 $ 229,941
24/03/2017 $ 131,712
05/05/2017 $ 15,922
29/06/2017 $ 419,655
04/06/2018 $ 213,942
----------------------
TOTAL: $ 42,637,169
======================
The Company was notified in August 2018 that the BlueCrest funds
had appointed liquidators on 11th July 2018. The appointment of
BlueCrest as investment manager to the BlueCrest Funds terminated
on 11th July 2018, although BlueCrest will continue to assist the
Liquidators during the liquidation process as required. The
liquidators advised that the completion of the liquidation and
future distributions to investors would be dependent upon the
successful realisation of the assets held by the BlueCrest funds.
No further distributions are planned at this time, and the
possibility of interim distributions resulting from the future sale
of the investments held by the BlueCrest funds will be considered
by the Liquidators as investments are realised by the BlueCrest
funds.
The Company invested a total of GBP242,444,593 into the
Underlying Fund through the non restricted series sterling share
class of MSF Corp during 2016 and made further investments into the
Underlying Fund of GBP13,880,000 during the current six month
period ended 30th June 2018.
8. Prepayments and Receivables
30 June 2018 31 Dec 2017
GBP GBP
Prepayments 34,133 25,965
Securities Sold Receivable 679,068 -
--------------- ------------
713,201 25,965
9. Financial Liabilities Designated at Fair Value Through Profit
or Loss
Fair Value Fair Value
as at 31 as at 31
June 2018 Dec 2017
GBP GBP
Designated at Fair value
through profit and loss
at inception:
Balance at beginning of
the year (20,410,162) (91,808,556)
Repayments - 71,426,467
Realised loss on repayments (796,420) (3,539,759)
Change in Unrealised gain 295,722 3,511,685
------------ ------------
(20,910,860) (20,410,162)
Other net changes in fair
value on financial liabilities
at fair value through profit
or loss:
Realised loss (796,420) (3,539,759)
Change in Unrealised gain 295,722 3,511,685
------------ ------------
Total (losses) (500,698) (28,074)
These liabilities represent the Redemption Liability and
Repurchase Portfolio, as defined in note 1 (k) above, and are
designated as at fair value through profit and loss for the reason
explained in that note.
Please refer to note 7 for the IFRS 13 Level 3
reconciliation.
10. Share Capital
Authorised Share Capital
An unlimited number of Ordinary shares of no par value each.
Issued Total
Number of shares in issue
at 1 January 2017 103,571,119
Purchase of own shares (6,071,000)
Number of shares in issue
at 31st December 2017 97,500,119
-----------
Sales of Shares from Treasury 5,886,250
Number of shares in issue
at 30(th) June 2018 103,386,369
-----------
Pursuant to Section 276 of the Law, a share in the Company
confers on the shareholder the right to vote on resolutions of the
Company, the right to an equal share in dividends authorised by the
Board of Directors, and the right to an equal share in the
distribution of the surplus assets of the Company.
The total number of Shares in issue, as at 30th June, 2018 was
137,513,983, of which 34,127,614 Shares were held in treasury, and
the total number of shares in issue excluding treasury shares was
103,386,369.
11. Discount Management Provision
The Directors shall at the AGM of the Company to be held in 2021
propose an Ordinary Resolution that the Company continues its
business as a closed-ended collective investment scheme (a
"Continuation Resolution"). If a Continuation Resolution is passed
at such Annual General Meeting then the Directors shall be required
to propose a further Continuation Resolution at every fifth Annual
General Meeting thereafter.
If a Continuation Resolution is not passed, then the Directors
shall, within six months of such Continuation Resolution not being
passed, put proposals to Shareholders for the reconstruction,
reorganisation or winding up of the Company.
In addition, the current Articles enable the Directors, at their
absolute discretion, to make a quarterly tender offer to
Shareholders for up to 20% of the issued share capital of the
Company. In the event that the Directors choose to exercise this
discretion in any quarter, they may tender for any number of
shares, up to 20% of the issued capital.
The Company engaged in a buyback programme during 2017, during
which 6,071,000 shares were repurchased at an average discount of
7.70%. No further shares were bought back during the six month
period end 30th June 2018.
12. Treasury Shares
The Capital and Reserves disclosure below is intended to
highlight the legal nature, under applicable Company Law, of the
amounts attributable to shareholders and also the existence and
effect of the Treasury shares held by the Company. This is a
supplemental disclosure and not required under IFRS.
Ordinary Shares
As at 30 June 2018 Notes Sterling Share Class
GBP
Capital and Reserves
Share capital 10 -
Treasury shares (57,271,900)
Reserves 13 288,526,564
--------------------
231,254,664
--------------------
TREASURY SHARES RESERVE Total
GBP
Balance as at 1 January 2018 70,505,735
Acquired during year -
Cancelled during the period (13,233,835)
------------
Balance as at 30th June 2018 57,271,900
------------
Ordinary Shares
As at 31 December 2017 Notes Sterling Share Class
GBP
Capital and Reserves
Share capital 10 -
Treasury shares (70,505,735)
Reserves 13 284,661,834
--------------------
214,156,099
--------------------
TREASURY SHARES RESERVE Total
GBP
Balance as at 1 January 2017 58,200,465
Acquired during year 12,305,270
Balance as at 31st December 2017 70,505,735
----------
During the year the six month period ended 30 June 2018, the
Company issued 5,886,250 shares (31st December 2017: Nil) and no
share buy backs took place during the period (31st December 2017:
6,071,000 Shares at an average price of GBP2.0269).
13. Reserves
30 Jun 2018
Ordinary Shares
Sterling Share
Class
GBP
Balance as at 1st January 2018 284,661,834
Income attributable to shareholders after other
comprehensive income 3,864,730
Balance as at 30th June 2018 288,526,564
--------------
31 Dec 2017
Ordinary Shares
Sterling Share
Class
GBP
Balance as at 1st January 2018 277,535,167
Income attributable to shareholders after other
comprehensive income 7,126,667
Balance as at 31(st) December 2017 284,661,834
--------------
14. Financial Instruments
The Company's main financial instruments at the period end
comprised:
(a) Cash and cash equivalents (including money market
investments) that arise directly from the Company's operations;
and
(b) Shares held in the MSF Corp, AllBlue and AllBlue
Leveraged.
15. Financial Risk Management Objectives and Policies
The main risks arising from the Company's financial instruments
concern its holding in MSF Corp as well as the investments in
AllBlue and AllBlue Leveraged. The main risks attaching to those
investments are market price risk, credit risk and liquidity
risk.
So far as the Company is concerned, the only risk over which the
Board can exert direct control is liquidity risk through its
ability to issue shares or to exercise redemption rights in MSF
Corp for the purpose of meeting share buy backs and ongoing
expenses of the Company. However, redemptions are restricted to 25%
of the Company's holding in MSF Corp on any quarterly redemption
date and there are various circumstances under which MSF Corp can
further restrict redemptions. In addition, the Directors may only
issue shares if they are trading at a premium to NAV and to satisfy
market demand. Accordingly, since the change of investment policy
and the appointment of Highbridge as Investment Manager, the
Company has held a modest cash reserve to cover its running costs.
Additionally, proceeds available from its money market investments,
and the AllBlue and AllBlue Leveraged funds as well as the
possibility of redeeming from MSF Corp enable the Company to meet
its liabilities as they fall due. Thereafter the Board recognises
that the Company has, via its holding of shares in MSF an indirect
exposure to the risks summarised below.
It must also be noted that there is little or nothing which the
Board can do to manage each of the following risks within MSF Corp
or the investments in which MSF Corp invests under the current
investment objective of the Company. With regard to the
recoverability of the investment in respect of the AllBlue and
AllBlue Leveraged funds, the Company is reliant on the programme
initiated by BlueCrest and now managed by the Liquidators of the
BlueCrest funds to return the capital managed in these funds to
investors.
Details of the Company's investment objective and policy are
given in Note 15(f) to the Financial Statements and details of the
Underlying Fund's investment objective and policy are given on page
11.
(a) Market Risk
Price Risk
The success of the Company's activities will be affected by
general economic and market conditions, such as interest rates,
availability of credit, inflation rates, economic uncertainty,
changes in laws, trade barriers, currency exchange controls and
national and international political circumstances. These factors
may affect the level and volatility of securities' prices and the
liquidity of the MSF Corp's investments. Volatility or illiquidity
could impair the MSF Corp's profitability or result in losses.
Price sensitivity
The Company invests substantially all its assets in MSF Corp and
does not undertake any structural borrowing or hedging activity at
the Company level. Its performance, therefore, is principally
directly linked to the NAV of MSF Corp, which invests solely in the
Underlying Fund. The Underlying Fund holds a large number of
positions in listed and unlisted securities.
At 30th June 2018, if the NAV of the underlying investments had
been 10% higher/lower with all the other variables held constant,
the shareholders' equity as at 30th June 2018 would have
increased/decreased by GBP20,447,519 (31st December 2017:
increase/decrease of GBP19,051,744) This change arises due to the
net increase/ decrease in the fair value of financial assets and
financial liabilities at fair value through profit or loss.
Currency Risk
The Company is not exposed directly to material foreign exchange
risk as the sterling denominated Shares in the Company are directly
invested in sterling hedged shares of MSF Corp.
Interest Rate Risk
The prices of securities tend to be sensitive to interest rate
fluctuations. Unexpected fluctuations in interest rates could cause
the corresponding prices of long positions and short positions
adopted to move in directions which were not originally
anticipated. Generally, an increase in interest rates will increase
the carrying values of investments. However, the Company's
investments and liabilities designated as at fair value through
profit or loss are non interest bearing, and therefore are not
directly exposed to interest rate risk.
The Company's own cash balances are not materially exposed to
interest rate risk as cash and cash equivalents are held on
floating interest rate terms and the Company does not rely on
income from bank interest to meet day to day expenses.
(b) Credit Risk
Credit Risk is the risk that financial losses arise from the
failure of a customer or counterparty to meet its obligations under
a contract. Direct credit risk arises from cash and cash
equivalents which consists of cash held at banks and money market
accounts, money market funds, securities sold receivables (where
applicable) and other receivables. The Company only deposits money
with appropriately rated counterparties.
The nature of commercial arrangements made in the normal course
of business between many prime brokers and custodians means that in
the case of any one prime broker or custodian defaulting on its
obligations to the Underlying Fund, the effects of such a default
may have negative effects on other prime brokers with whom the
Underlying Fund deals. MSF Corp and the Company may, therefore, be
exposed to systemic risk when the Underlying Fund deals with prime
brokers and custodians whose creditworthiness may be
interlinked.
The assets of the Underlying Fund may be pledged as margin with
prime brokers or other counterparties or held with prime brokers or
banks. In the event of the default of any of these prime brokers,
banks or counterparties, the Underlying Fund may not receive back
all or any of the assets pledged or held with the defaulting
party.
The maximum exposure to credit risk, excluding any credit
exposures in MSF Corp, AllBlue and AllBlue Leveraged, before any
credit enhancements at 30(th) June 2018 is the carrying amount of
the financial assets as set out below:
30 june 2018 31 December
2017
GBP GBP
Prepayments and Receivables 713,201 25,965
Cash at bank 11,393,562 672,534
Cash held in money market fund 14,446,610 22,967,068
------------ -----------
26,553,373 23,665,567
(c) Liquidity Risk
In order to realise its investment in MSF, the Company generally
may, as of any calendar quarter-end, upon at least 65 days' prior
written notice to the administrator of MSF, redeem up to, but not
exceeding, 25% of the number of MSF Corp shares issued to the
Company upon each subscription. Redemption proceeds may be paid in
cash or, at the discretion of MSF Corp, in kind. In addition, MSF
Corp is not required to permit redemptions of more than 10% of the
aggregate net asset value of the participating shares of MSF Corp
as of any redemption date. If the redemption requests for a
particular redemption date exceed 10% of the aggregate net asset
value of the participating shares of MSF Corp, MSF Corp may limit
redemptions to 10% of the aggregate net asset value of the
participating shares and determine that all redeeming investors
will receive a prorated redemption.
There can be no assurance that the liquidity of the Company's
investments will always be sufficient to meet redemption requests
as, and when, made. Any such lack of liquidity may affect the
ability of the Company to realise its shares in its investments and
the value of Shares in the Company. For such reasons the treatment
by the managers of the Company's investments of redemption requests
may be deferred in exceptional circumstances including if a lack of
liquidity may result in difficulties in determining their NAV and
their NAV per share. This in turn would limit the ability of the
Directors to realise the Company's investments should they consider
it appropriate to do so and may result in difficulties in
determining the NAV of a Share in the Company. The market prices,
if any, for such illiquid investments tend to be volatile and may
not be readily ascertainable and MSF Corp may not be able to sell
them when it desires to do so or to realise what it perceives to be
their fair value in the event of a sale. The size of MSF Corp's
positions may magnify the effect of a decrease in market liquidity
for such instruments. Changes in overall market leverage,
deleveraging as a consequence of a decision by the counterparties
with which MSF Corp enters into repurchase/reverse repurchase
agreements or derivative transactions, to reduce the level of
leveraging, or the liquidation by other market participants of the
same or similar positions, may also adversely affect MSF Corp's
portfolio.
In some circumstances, investments held by the Underlying Fund
may be relatively illiquid making it difficult to acquire or
dispose of them at the prices quoted for them on the various
exchanges. Accordingly, the ability of the manager of the
Underlying Fund to respond to market movements may be impaired and,
consequently, they may experience adverse price movements upon
liquidation of their investments which may in turn affect the value
of the Company's investment. Settlement of transactions may be
subject to delay and administrative formalities.
The sale of restricted and illiquid securities often requires
more time and results in higher brokerage charges or dealer
discounts and other selling expenses than does the sale of
securities eligible for trading on national securities exchanges or
in the over-the-counter markets.
MSF Corp may not be able to readily dispose of such illiquid
investments and, in some cases, may be contractually prohibited
from disposing of such investments for a specified period of time.
Restricted securities may sell at a price lower than similar
securities that are not subject to restrictions on resale.
The residual investments in AllBlue and AllBlue Leveraged funds
were known to be mostly concentrated in a single illiquid bond
position which BlueCrest was attempting to sell at the end of the
period. Subsequent to the period end, the bond position remained
unsold and a liquidator was appointed to manage the wind down of
both funds. Future valuations of the BlueCrest funds will be
infrequent and at the discretion of the Liquidator. The valuation
movements may be substantial but the impact on the NAV of the
Company's shares will be mitigated by the fact that the Company has
less than 1% of its net asset value exposed to the BlueCrest
funds.
The table below details the residual maturities of financial
assets and liabilities:
1-3 Months 3-12 Months More than 1 year Total
GBP GBP GBP GBP
As at 30 June 2018
Assets
Unquoted Financial assets designated at fair value
through profit and loss - 221,446,432 4,239,615 225,686,047
Prepayments and Receivables 713,201 - - 713,201
Cash and cash equivalents 25,840,172 - - 25,840,172
Liabilities
Unquoted Financial liabilities designated at fair
value through profit and loss - (20,910,860) - (20,910,860)
Accrued expenses (73,896) - - (73,896)
1-3 Months 3-12 Months More than 1 year Total
GBP GBP GBP GBP
As at 31st December 2017
Assets
Unquoted Financial assets designated at fair value
through profit and loss - 7,365,264 203,609,725 210,974,989
Prepayments and Receivables 25,965 - - 25,965
Cash and cash equivalents 23,639,602 - - 23,639,602
Liabilities
Unquoted Financial liabilities designated at fair
value through profit and loss - (20,410,162) - (20,410,162)
Accrued expenses (74,295) - - (74,295)
(d) Leverage by MSF Corp and by funds underlying AllBlue
Certain funds underlying AllBlue in which the Company has an
economic interest, operated with a substantial degree of leverage,
may still contain leverage and are not limited in the extent to
which they either may borrow or engage in margin transactions. The
positions maintained by such underlying funds may in aggregate
value be in excess of the reported NAV of AllBlue and AllBlue
Leveraged. This leverage presents the potential for a higher rate
of total return but will also increase the volatility of AllBlue,
AllBlue Leveraged and, as a consequence, the Company, including the
risk of a total loss of the amount awaiting redemption.
Similarly, MSF Corp may also invest with leverage, may borrow
and engage in margin transactions. Such leverage may take a variety
of forms, including margin loans by MSF Corp's prime brokers for
the purchase or sale of securities and implicitly as a result of
low margin requirements, certain futures contracts and other
derivative investments. The positions maintained by MSF Corp are in
aggregate value likely to be in excess of its NAV. This leverage
represents the potential for a higher rate of total return but will
also increase the volatility of MSF Corp and present the risk of a
total loss of the amount invested in MSF Corp.
(e) Assets and Liabilities not carried at fair value but for
which fair value is disclosed
The following table analyses the Company's assets and
liabilities (by class) not measured at fair value at 30th June 2018
and 31st December 2017 but for which fair value is disclosed.
30 June 2018 31 Dec 2017
GBP GBP
Assets
Prepayments and Receivables 713,201 25,965
Cash and Cash Equivalents 25,840,172 23,639,602
26,553,373 23,665,567
30 June 2018 31 Dec 2017
GBP GBP
Liabilities
Accrued Expenses 73,896 74,295
------------ ------------
73,896 74,295
The assets and liabilities included in the above table are
carried at amortised cost; their carrying values are a reasonable
approximation of fair value.
(f) Capital Management
The Company's investment objective is to seek to provide
consistent returns with low volatility through an investment policy
of investing substantially all of its assets in the Underlying
Fund.
As the Company's Ordinary Shares are of no par value,
distributions are not paid and Guernsey Company law does not
require the maintenance of a Share premium account, the Directors
regard the otherwise distributable reserves of the Company to be
its capital for the purposes of this disclosure. Capital for the
reporting year under review is summarised in Note 10 to these
Financial Statements.
At the last Annual General Meeting held pursuant to section 199
of the 2008 Law, the Directors were granted authority to buy back
up to 14.99% of the Ordinary Shares in issue. The Company's
authority to make purchases of its own issued Ordinary Shares will
expire at the conclusion of the next annual general meeting of the
Company to be held pursuant to section 199 of the 2008 Law and
renewal of such authority will be sought at the next annual general
meeting. The timing of any purchases will be decided by the
Board.
The Directors intend that purchases will only be made pursuant
to this authority through the market, for cash, at prices below the
prevailing NAV per Share where the Directors reasonably believe
such purchases will be of material benefit to the Company.
The Company's authorised share capital is such that further
issues of new Ordinary Shares could be made, subject to waiver of
pre-emption rights. Subject to prevailing market conditions, the
Board may decide to make one or more further such issues or
reissues of Ordinary Shares for cash from time to time. Any further
issues of new Ordinary Shares or reissues of Ordinary Shares held
in treasury will rank pari passu with Ordinary Shares in issue.
There are no provisions of the Law which confer rights of
pre-emption in respect of the allotment of Shares but there are
pre-emption rights contained in the Articles. The Directors have,
however, been granted the power to issue up to 10.076 million
further Shares on a non pre-emptive basis for a period concluding
on 31st December 2019, by a special resolution of Shareholders
passed on 2nd August 2018, unless such power is previously revoked
by the Company's Shareholders in a general meeting pursuant to
section 199 of the Law. The Directors intend to request that the
authority to allot Shares on a non-pre-emptive basis is renewed at
each annual general meeting of the Company.
Unless authorised by Shareholders, the Company will not issue
further Ordinary Shares or reissue Ordinary Shares out of treasury
for cash at a price below the prevailing NAV per Share unless they
are first offered pro rata to existing shareholders.
16. Changes in Accounting Policies and Disclosures
The following Standard has been adopted in the current period.
This adoption has not had any impact on the amounts reported in
these Financial Statements.
The IFRS 9 'Financial Instruments' standard which is effective
for annual periods beginning on or after 1 January 2018 represents
a change from the previous requirements under IAS 39 'Financial
Instruments: Recognition and Measurement' in respect of financial
assets. The standard contains two primary measurement categories
for financial assets: amortised cost and fair value. A financial
asset is measured at amortised cost if it is held within a business
model whose objective is to hold assets in order to collect
contractual cash flows, and the asset's contractual terms give rise
on specified dates to cash flows that are solely payments of
principal and interest on the principal outstanding. All other
financial assets are measured at fair value. The standard
eliminates the existing IAS 39 categories of held-to-maturity,
available-for-sale and loans and receivables.
The Company's investments as well as its redemption and
repurchase liabilities continue to be classified and measured at
fair value through profit or loss, with changes in the fair value
recorded in the Statement of Comprehensive Income.
Under IFRS 9 Financial Instruments, trade and other receivables
and trade and other payables would be classified and measured at
amortised cost. This is in line with the existing accounting
policies already adopted for these financial instruments as IFRS 9
largely carries forward without substantive amendment the guidance
on classification and measurement from IAS 39.
Accordingly, no adjustments have been made with regards to the
measurement and classification of these financial instruments.
The Company's assessment in applying the new impairment approach
to financial assets at amortised cost as required under IFRS 9 for
expected credit losses has not resulted in any material changes
given the nature and size of the receivables at period end. The
Company has applied the standard's simplified approach and has
calculated expected credit losses based on lifetime expected credit
losses. No impairment allowance has been accounted for as a result
of the adoption of IFRS 9, and therefore there is no restatement in
the current period.
17. Net Asset Value per Share
The NAV per share per the Financial Statements is equal to the
published NAV per share in the current period. The published NAV
per share for the Shares was GBP2.2368 (31st December 2017:
GBP2.1960) which represents the NAV per share attributable to
shareholders in accordance with the Prospectus.
18. Events after the Reporting Period
Subsequent to the balance sheet date, the Company sold 960,000
Shares from treasury, at an average price of GBP2.26 per share. On
the 10(th) of July, the Company made payments of $0.05963 and
GBP0.06214 per redeemed share totalling $933,511.69 and
GBP15,808,345 to US Dollar and Sterling cash exit creditors
respectively. A payment of GBP0.0489 per redeemed Sterling Share
totalling GBP1,266,148.40 was also made on the same date to
creditors participating in the October 2016 tender offer.
Schedule of Investments
Unaudited Schedule of Investments as at 30 June 2018
NOMINAL VALUATION VALUATION TOTAL NET
Investment Assets HOLDINGS SOURCE GBP ASSETS %
CURRENCY
Securities Portfolio
*1992 Multi-Strategy
Fund Corporation
Class F Series N
- RF/Mar 16 184,339 GBP207,500,840 GBP207,500,840 89.73%
*1992 Multi-Strategy
Fund Corporation
Class F Series N
- RF/APR 18 12,890 GBP12,962,283 GBP12,962,283 5.61%
*1992 Multi-Strategy
Fund Corporation
Class F Series N
- RF/JUN 18 990 GBP983,308 GBP983,308 0.43%
AllBlue Limited Sterling
Share 11,145 GBP3,299,927 GBP3,299,927 1.43%
AllBlue Leveraged
Feeder Limited Sterling
Shares 2,040 GBP756,875 GBP756,875 0.32%
AllBlue Limited US
Dollar Shares 809 $241,441 GBP182,814 0.07%
GBP225,686,047 97.59%
--------------- -----------
*Highbridge decided to aggregate the different investment series
into the main (original) series that was bought into originally
(Highbridge Multi Strategy Fund Class F Series N - RF/Mar 16) on
the 1(st) of January 2017.
Schedule of Investments
Unaudited Schedule of Investments as at 31st December 2017
NOMINAL VALUATION VALUATION TOTAL NET
Investment Assets HOLDINGS SOURCE GBP ASSETS %
CURRENCY
Securities Portfolio
*1992 Multi-Strategy
Fund Corporation
Class F Series N
- RF/Mar 16 184,339 GBP203,609,725 GBP203,609,725 95.07%
AllBlue Limited Sterling
Share 21,088 GBP5,712,460 GBP5,712,460 2.67%
AllBlue Leveraged
Feeder Limited Sterling
Shares 3,965 GBP1,345,582 GBP1,345,582 0.63%
AllBlue Limited US
Dollar Shares 1,534 $415,149 GBP307,222 0.14%
GBP210,974,989 98.51%
--------------- -----------
*Highbridge decided to aggregate the different investment series
into the main (original) series that was bought into originally
(Highbridge Multi Strategy Fund Class F Series N - RF/Mar 16) on
the 1(st) of January 2017.
Glossary
Unless the context suggests otherwise, references within this
report to:
"AIFM" means Alternative Investment Fund Manager.
"AIFMD" means the Alternative Investment Fund Managers
Directive.
"AIC" means the Association of Investment Companies, of which
the Company is a member.
"AIC Code" means the AIC Code of Corporate Governance for
Guernsey domiciled investment companies.
"AllBlue Leveraged" means AllBlue Leveraged Feeder Limited.
"AllBlue" means AllBlue Limited.
"Articles" means the Articles of Incorporation of the
Company.
Barclays Aggregate Bond Index ("Barclays Aggregate") represents
securities that are U.S. domestic, taxable and dollar denominated.
The index covers the U.S. investment grade fixed rate bond market,
with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.
These major sectors are subdivided into more specific indices that
are calculated and reported on a regular basis. The index is USD
denominated. The Products are not sponsored, endorsed, sold or
promoted by Barclays Capital, and Barclays Capital makes no
warranty, express or implied, as to the results to be obtained by
any person or entity from the use of any index, any opening,
intra-day or closing value therefor, or any data included therein
or relating thereto, in connection with any Fund or for any other
purpose. Barclays Capital's only relationship to the Licensee with
respect to the Products is the licensing of certain trademarks and
trade names of Barclays Capital and the Barclays Capital indexes
that are determined, composed and calculated by Barclays Capital
without regard to Licensee or the Products.
"Beta" is a measure of how sensitive the price of an investment
is to movements in a reference index. The Underlying Fund's Beta is
determined by calculating the slope of a regression line of a
scatter plot of the fund's return to the FTSE 100 index's return,
based on monthly observations.
"BlueCrest" means BlueCrest Capital Management Limited.
"Board" means the Board of Directors of the Company.
"Business Day" means any day on which banks are open for
business in the Cayman Islands, United Kingdom and/or Guernsey
and/or such other place or places as the Directors may from time to
time determine.
"Company" means Highbridge Multi-Strategy Fund Limited.
"FTSE 100" is a capitalisation weighted performance index of the
100 companies listed on the London Stock Exchange with the highest
market capitalisation. Ticker: UKX Index (Currency GBP). The index
is GBP denominated
"HFRI Fund of Funds Diversified Index". This hedge fund of funds
index is produced by Hedge Fund Research Inc. It includes fund of
funds classified as 'Diversified' which exhibit one or more of the
following characteristics: invests in a variety of strategies among
multiple managers; historical annual return and/or a standard
deviation generally similar to the HFRI Fund of Fund Composite
index; demonstrates generally close performance and returns
distribution correlation to the HFRI Fund of Fund Composite Index.
A fund in the HFRI FOF Diversified Index tends to show minimal loss
in down markets while achieving superior returns in up markets. The
index is USD denominated.
"Funds underlying AllBlue" means the seven underlying funds of
AllBlue comprising BlueCrest Capital International Limited,
BlueTrend 2x Leveraged Fund Limited (with effect from 1 July 2015,
BlueTrend Fund Limited prior to 1 July 2015), BlueCrest Multi
Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund
Limited, BlueCrest Mercantile Fund Limited, BlueCrest Equity
Strategies Fund Limited and BlueCrest Quantitative Equity Fund
Limited (together, including the master funds into which such funds
invest).
"GFSC Code" means the Guernsey Financial Services Commission
Financial Sector Code of Corporate Governance.
"Highbridge" means Highbridge Capital Management, LLC.
"MSF Corp" means 1992 Multi-Strategy Fund Corporation, an
exempted company incorporated with limited liability in the Cayman
Islands.
"ICS" means the Institutional Cash Series plc ("ICS") (an
umbrella investment company with variable capital and having
segregated liability between its funds).
"IFRS" means the International Financial Reporting Standards as
adopted by the European Union.
"JTCFSL", the "Secretary" or the "Administrator" means JTC Fund
Solutions (Guernsey) Limited.
"Law" means the Companies (Guernsey) Law 2008 (as amended).
The S&P 500 Index ("S&P 500") consists of 500 stocks
chosen for market size, liquidity and industry group
representation. It is a market-value weighted index (stock price
times number of shares outstanding), with each stock's weight in
the Index proportionate to its market value. Ticker: SPX Index
(Currency USD). The index is USD denominated.
"Shares" means the sterling Shares of the Company in issue.
"SPACs" - ('Special Purpose Acquisition Companies'). These are
stock exchange listed companies that raise capital to acquire
private companies which are not typically identified in advance.
They are more commonly known as shell companies in the U.K.
"Sharpe Ratio" means the average return earned in excess of the
risk-free rate per unit of volatility or total risk. The Sharpe
measure was developed by Nobel Laureate William Sharpe. Return (the
numerator) is defined as the incremental average monthly return of
an investment over the risk free rate. Risk (the denominator) is
defined as the standard deviation of the monthly investment returns
less the risk free rate. The values for the risk free rate for the
calculations are those of the 90 Day U.S. Treasury Bill. Values are
presented in annualized terms; annualized Sharpe Ratios are
calculated by multiplying the monthly Sharpe Ratio by the square
root of twelve.
"Underlying Fund" means 1992 Multi-Strategy Master Fund, L.P.,
the multi-strategy fund managed by Highbridge into which the
Company invests substantially all of its assets, via its investment
in Class F shares of 1992 Multi-Strategy Fund Corporation. On 10
July, 2017, the name of Highbridge Capital Corporation was changed
to 1992 Multi-Strategy Fund Corporation. This name change was
required in order for the fund to meet a certain exemption under
the Volcker Rule, which required that the fund not share the name
with JP Morgan Chase & Co. or any of its affiliates, including
Highbridge Capital Management, LLC
"UKLA" means United Kingdom Listing Authority.
"VaR" means Value at Risk.
"Annualised Volatility" measures the dispersal or uncertainty in
a random variable. It measures the degree of variation of monthly
net returns around the average monthly net return. For this reason,
volatility is often used as a measure of investment risk. Values
are calculated by applying the traditional sample standard
deviation formula to monthly return data, and then annualised by
multiplying the result by the square root of twelve.
"VIX" is an index that is published by the Chicago Board Options
Exchange that provides a rolling estimate of the volatility of the
S&P500 index in 30 days' time.
"Website" means the Company's website,
https://www.highbridgemsfltd.co.uk
Directors and Service Providers
Directors Registered Office of the Company
Vic Holmes Ground Floor, Dorey Court
Steve Le Page Admiral Park
Paul Meader St Peter Port
Sarita Keen Guernsey GY1 2HT
Paul Le Page Telephone +44 (0)1481 702400
Administrator and Secretary Registrar, Paying Agent and Transfer
JTC Fund Solutions (Guernsey) Limited Agent
Ground Floor Anson Registrars Limited
Dorey Court PO Box 426
St Peter Port Anson House,
Guernsey GY1 2HT Havilland Street,
Telephone +44 (0)1481 702400 St Peter Port,
Guernsey GY1 3WX
UK Transfer Agent Auditor
Anson Registrars (UK) Limited Pricewaterhouse Coopers CI LLP
3500 Parkway Royal Bank Place
Whiteley, Hampshire 1 Glategny Esplanade
England PO15 7AL St Peter Port
Guernsey GY1 4ND
Investment Manager and AIFM Investor and Public Relations
Highbridge Capital Management LLC J.P. Morgan Asset Management
40 West 57(th) Street - 32(nd) 60 Victoria Embankment
Floor London
New York EC4Y 0JP
NY10019
Corporate Brokers Corporate Brokers
Peel Hunt Fidante Capital
Moor House 1 Tudor Street
120 London Wall London
London England EC4Y 0AH
EC2Y 5ET
Advocates to the Company as to Carey Olsen
Guernsey Law P.O. Box 98
Mourant Ozannes Carey House, Les Banques
PO Box 186 St Peter Port
Royal Chambers Guernsey GY1 4BZ
St Julian's Avenue
St Peter Port
Guernsey GY1 4HP
Solicitors to the Company as to Investor Liaison
English Law Capital Access Group
Herbert Smith Freehills LLP Sky Light City Tower
Exchange House 50 Basinghall Street
Primrose Street London
London England EC2V 5DE
England EC2A 2EG
E&OE - in transmission
This information is provided by RNS, the news service of the
London Stock Exchange. RNS is approved by the Financial Conduct
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of this information may apply. For further information, please
contact rns@lseg.com or visit www.rns.com.
END
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