J.P. Morgan Asset Management - J.P. Morgan …...slightly (by 0.8%, £1.8 million), as retained...

Highbridge Multi-Strategy Fund LimitedInterim Report and Condensed Unaudited Financial Statements for the period ended 30 June 2019

C O N T E N T S

C O N T E N T S | 1

Half Year Performance 3 Financial Highlights

Chairman’s Statement 5 Chairman’s Statement

Investment Review 8 Investment Managers’ Report

11 Company & Investment Overview

Interim Management 14 Report

Condensed Unaudited InterimFinancial Statements

17 Condensed Unaudited Statement ofComprehensive Income

18 Condensed Unaudited Statement ofFinancial Position

19 Condensed Unaudited Statement ofChanges in Equity

20 Condensed Unaudited Statement ofCash Flows

21 Notes to the Financial Statements

Shareholder Information 29 Glossary

31 Directors and Service Providers

Half Year Performance

F I N A N C I A L H I G H L I G H T S

H A L F Y E A R P E R F O R M A N C E | 3

SUMMARY OF RESULTS

30 June 2019

Company Key Figures1

2019 Sterling Share price increase 1.45%

2019 NAV per share increase 2.17%

Sterling AllBlue gross proceeds received (since inception) 99.4%

Annualised Sterling NAV return (since inception2) 6.74%

Underlying Fund Key Figures3

Sharpe Ratio 0.88

Beta to FTSE 1004 0.12

of the volatility of the FTSE 1004 1/3

Beta to Barclays Aggregate5 (0.03)

Beta to S&P 5005 0.13

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. There can be no assurance that the Fund’s objectives will berealised or that the Fund will not experience losses. A glossary which explains the calculation of these statistics is provided at the end ofthis report on pages 29 and 30.

A glossary which explains the calculation of these statistics is provided at the end of this report on page 29.1. Information is for the Company as at 30 June 2019.2. This alternative performance measure (“APM”) is provided for shareholders information in addition to the financial statements starting on page 17. Shareholders should basetheir assessment of the financial performance of the Company on the information contained in the financial statements.

3. Information is for the Highbridge Multi-Strategy Master Fund, L.P. (formerly: 1992 Multi-Strategy Master Fund, L.P.) managed by Highbridge Capital Management, LLC (the“Underlying Fund”) for the period between 1 March 2016 and 30 June 2019.

4. Index Source: FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE ®” is a trade mark of the London Stock Exchange Group companies and is used by FTSE InternationalLimited 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 FTSEindices or underlying data. No further distribution of FTSE data is permitted without FTSE’s express written consent.

5. 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 comparisonpurpose 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 chargefees or expenses, and do not employ special investment techniques such as leverage or short selling.

Chairman’s Statement

C H A I R M A N ’ S S T A T E M E N T

C H A I R M A N ’ S S T A T E M E N T | 5

During the period to 30 June 2019, the Company’s Net Asset Value (‘NAV’) per share has increased from£2.1518 to £2.1984 (2.17%), recovering all that was lost in 2018 and a little more, and the total NAV increasedslightly (by 0.8%, £1.8 million), as retained income exceeded expenditure on buy backs in the period.

Of course, this performance was entirely over shadowed by the announcement on 17 June 2019by Highbridge Capital Management, LLC (‘Highbridge’ or ‘Investment Manager’), our investment manager,that they intended to close the Highbridge Multi-Strategy Fund Corporation (formerly known as the1992 Multi-strategy Fund), our underlying investment, and refocus their business exclusively aroundHighbridge’s credit strategies. Investors in the Highbridge Multi-Strategy Fund Corporation, including thisCompany, have been given the opportunity to roll over into the 1992 Tactical Credit Fund (the ‘Credit Fund’),also managed by Highbridge, or to receive cash as and when the underlying fund has realised its owninvestments.

The Board of Directors of the Company (the ‘Board’ or ‘Directors’) conducted a review of the options availableto the Company, which included extensive shareholder consultation and resulted in the Board convening anExtraordinary General Meeting on 16 August 2019 (‘First EGM’) to seek approval to change the Company’sinvestment policy to allow investment into the Credit Fund. The Credit Fund is a multi-strategy credit fundthat seeks to generate return from relative value and idiosyncratic opportunities that invest in six creditfocused sub-strategies – Mid-Cap Convertible Credit, European Convertible Credit, Capital StructureArbitrage, Event Credit, Income Investments and Distressed Credit & Reorganized Equities.

In connection with the First EGM, shareholders were given the opportunity to elect to receive a full or partialcash distribution. Elections were received such that shareholders representing approximately £73.5 millionof the Company’s NAV would remain. Although this amount was less than the £100 million level that theBoard had set as a minimum for continuation, the Board decided to offer those shareholders who wished toremain invested the opportunity to continue in a smaller company, by convening a second EGM, with aminimum continuation condition of £50 million (the ‘Second EGM’). Whilst the Board is very conscious of theliquidity and cost implications of a smaller company, it does not consider it appropriate to deny the holdersof a substantial number of shares the opportunity to continue and furthermore the Board believes that theCompany has the potential to grow its NAV above £100 million.

Further details of the results of the First EGM are given in Note 14 to these Financial Statements. Details ofthe Second EGM, to be held on the 17 September 2019, are set out in the circular and notice of extraordinarygeneral meeting sent to shareholders on 28 August 2019, a copy of which is available on the Company’swebsite.

AllBlue

A small distribution was received from the liquidators of the AllBlue funds in July 2019. The current estimatedvalue of the AllBlue investments stands at approximately 0.4% of the Company’s NAV. We look forward tohearing further from the Liquidators and finally having closure, but, unfortunately, we still have no idea whenthat will be as the largest remaining investment is subject to a number of legal disputes.

Discount Management

During the period the Company’s shares mostly traded at a small discount, and this discount has increasedsince the announcement from Highbridge mentioned above. The Board authorised the resumption of a sharebuyback program in December 2018 and that continued during most of the period, although was necessarilylimited by the cash available. Having been almost fully invested at year end, it was necessary to wait untilfunds were received from a partial redemption of our investment in the underlying fund in April, once ourlimited available cash reserves for buy backs at year end were used up. In June, the decision was taken tosuspend the program in light of the announcement by Highbridge. The total value of shares purchased underthe program amounts to approximately £3.1 million.

Vic HolmesChairman

C H A I R M A N ’ S S T A T E M E N T

6 | HIGHBRIDGE MULTI-STRATEGY FUND LIMITED. INTERIM REPORT AND CONDENSED UNAUDITED FINANCIAL STATEMENTS 2019

The Future

After the period end, the Company has of course reduced in size considerably, and may shrink further at thetime of the Second EGM, or may indeed not continue at all. If the Company does continue, albeit very muchsmaller, the Board believes that Highbridge will be able to source new investors, and that it will be able togrow once again. In the event that they do not do so, fee reductions are locked in to the Company’sagreement with Highbridge, so benefiting shareholders who remain invested. If the Company continues theBoard has been clear regarding growth expectations and if the Company’s NAV has not reached £80 millionby the end of 2020 a discontinuation vote will be put to shareholders.

If the Company does not continue, either as a result of the Second EGM or otherwise, the Board is committedto ensuring that shareholder value is maximised during the resulting orderly wind down.

The Board have discussed the potential impact on the Company of the UK leaving the European Union(‘Brexit’) with the Investment Manager. They note that the Company is a feeder vehicle ultimately invested ina multi strategy hedge fund which has relatively few of its investments in companies or securities which willbe impacted by Brexit, and that in any event these impacts may be either positive or negative. Accordingly,the Board considers that Brexit does not pose a significant risk to the performance of the Company and thatits impact is very unlikely to be material.

I hope that you do choose to continue the Company, and I hope I have the opportunity to write to you againin 2020.

Vic HolmesChairman 12 September 2019

Investment Review

8 | HIGHBRIDGE MULTI-STRATEGY FUND LIMITED. INTERIM REPORT AND CONDENSED UNAUDITED FINANCIAL STATEMENTS 2019

I N V E S T M E N T M A N A G E R S ’ R E P O R T

The commentary is not intended to constitute, and should not be construed as, investment advice. Potentialinvestors in the Company should seek their own independent financial advice and may not rely on thiscommunication in evaluating the merits of investing in the Company. The commentary is provided as a sourceof information for shareholders of the Company but is not attributable to the Company.

Overview of Markets and Performance

The first six months of 2019 saw global equity markets rebound following a difficult Q4 2018. While tradetensions dominated the headlines, we believe the dovish monetary policy shift from central banks, in particularfrom the U.S. Federal Reserve, provided a tailwind for investor sentiment. In the U.S., the S&P 500 hit a newhigh in April 2019 and then again in June 2019 to extend the current record bull run despite a sharp pullbackin May 2019 over renewed trade war concerns between the U.S. and China. International stock markets alsorallied during the period but underperformed the U.S., in dollar terms, as central banks signalled they wouldtake measures to combat slowing economic growth and address the ongoing risks associated with the ongoingtrade tension providing a risk-on environment lifting markets higher.

The global bond markets also had strong results for the first half of 2019. In the U.S., the Federal Reservekept short-term rates unchanged and expressed a dovish tone that led to a decline in yields. The Europeanbond market also benefitted from quantitative easing as yields declined and bond prices rose. As we go intoQ3, the market is anticipating more rate cuts amid concerns of both a slowdown in global growth and apotential upcoming recession given the ongoing trade conflict.

In the first half of 2019, Highbridge Multi-Strategy Fund Limited GBP delivered a +2.17% Net Asset Value(‘NAV’) return. The sub-strategies within the Underlying Fund that were the largest contributors toperformance were Asia Arbitrage, Equity Capital Markets, and Convertible & Volatility Arbitrage. The largestdetractors from Underlying Fund performance were Event-Focused European Long/Short Equity, ConvergenceLong/Short Equity, and Convertible Credit & Capital Structure Arbitrage.

Strategy Review by Strategy Group

Event-Driven Equity: Event-Driven strategies have had mixed performance so far this year. Merger Arbitrageand Equity Capital Markets have both performed well; US Event Long/Short Equity was relatively flat whileEvent-Focused European Long/Short Equity experienced a more volatile performance. Merger Arbitrage wasable to take advantage of volatility in deal spreads caused by activist investors. Several deals that requireChina’s approval continue to trade with wide spreads as US/China trade talks remain in limbo. Deals thataggressively push the antitrust boundaries continue to trade wide as even Republican regulators andpoliticians push for deal concessions and threaten to block certain transactions. The strategy delivered decentgains on a smaller and more concentrated portfolio given the relatively lower volume of announced deals inearly 2019. Despite earlier market volatility, our Equity Capital Markets strategy had a strong start to the yearas risk assets and sentiment improved. Both equity and SPAC issuance recovered from the sharp negativesentiment shift in Q4 2018. In particular, the SPACs portfolio delivered strong returns as positions that wereopportunistically initiated and increased at the end of Q4 2018 performed well, several new businesscombinations were well received and numerous warrant exchanges put a floor on post-deal warrant valuations.Event-Focused European Long/Short Equity strategy was the largest detractor in the first half of 2019. Asglobal risk assets traded positively, Europe was no exception as central banks reacted to disappointing macrodata pointing to a pending recession and global political uncertainty around Brexit and multiple Eurozoneelections. Despite having repositioned the book coming into 2019, the portfolio continued to be negativelyimpacted by overall short positioning and macro hedges. US Event Long/Short produced relatively flat

I N V E S T M E N T R E V I E W | 9


performance driven by a narrow opportunity set in 2019, dominated by a slowdown in mergers andacquisitions /corporate actions, as well as continued corporate concerns over economic slowdown and thepersistence of trade policy uncertainties. We decided to eliminate the strategy in June, given continued mutedperformance.

Fundamental Equities: While Convergence Long/Short Equity was a detractor in the first half of the year,performance has been mixed. Our semiconductor and software longs did well as cloud continued to gainmarket share in the IT stack. On the short side, we had success on a fair amount of our retail shorts while afew of our technology-focused short bets detracted on returns. Performance took a hit in May 2019 as theUS/China trade talks broke down and some our more cyclically-exposed longs detracted as a result.

Capital Structure Arbitrage and Fundamental Credit: Together, Convertible Credit & Capital StructureArbitrage and Distressed Credit, allocations run by the same investment team, detracted from performancein the first half of 2019. Performance in Q1 2019 was challenged primarily by a pronounced underperformancebetween liquid and less liquid instruments. Many of our long exposures, which are less liquid than theirassociated hedges, were the victims of technical selling pressure. While this dislocation continued into Q2 2019,a number of positive idiosyncratic company-specific events and corporate actions contributed positively toperformance, helping to recoup much of Q1’s 2019 loss. Asia Arbitrage was the top contributor in the firsthalf of 2019, providing strong portfolio performance across both quarters. At the beginning of the year, thestrategy was well-positioned to take advantage of the extended Q4 2018 sell-off in cyclicals and tech, whichforced valuations down to support levels not tested since the Global Financial Crisis. We leaned long into thisweakness and particularly into the aforementioned areas that we believe were undervalued. Q2 began withcontinued compression of risk premium as complacency set in regarding the normalization of relationsbetween the US and China but this was abruptly halted in May 2019 when trade tensions quickly re-escalated.The conditions of Q2 2019 seem very akin to the Q4 of 2018, though the magnitudes were smaller andpessimistic sentiment on resolution is now more ingrained. The majority of gains in Q2 were driven by ourderivatives positioning in Japan and continental Asia which carefully navigated the volatility of the continuedtrade war. The Cross Asset Relative Value strategy continued to deliver solid returns in the first half of theyear. In Q1 2019, the strategy generated strong returns with very limited beta exposure to the market. Thesharp sell-off at the end of last year created several interesting dislocations that we were able to takeadvantage of in the debt versus equity sub-strategy. Performance in Q2 2019 was muted as market conditionsfor the strategy became more challenging.

Convertible & Volatility Arbitrage: The Convertible & Volatility Arbitrage strategy posted positive returns inthe first half of 2019. Returns were driven by long volatility positioning which benefitted from Q1’s 2019rebound in risk assets following the unprecedented Q4 2018 sell-off. US convertible issuance was down 20%YTD in 2019 compared to 2018. Much of the portfolio’s long exposure has been reduced and the book containsseveral cheap long gamma positions that we believe are well positioned for both upside and downsidescenarios. Derivatives Relative Value produced modestly positive performance in the first half of 2019. Equityand FX implied volatility levels have generally been trending lower, although with periodic pockets of mildshocks. Several idiosyncratic drivers across different countries characterized the macro landscape, leadingto relative value opportunities which capitalize on dislocations in the volatility surface. And lastly, an activemergers and acquisitions environment has also provided opportunities to express distribution views withattractive risk-reward.

Macro: Fundamental Macro detracted the first half of the year. In Q1 2019, the strategy losses were largelydue to its long British Pound Sterling (GBP) positioning, which was negatively impacted by the lack of resolutionbetween the UK and EU before the 29 March 2019 Brexit deadline. The strategy also had losses in its short


1 0 | HIGHBRIDGE MULTI-STRATEGY FUND LIMITED. INTERIM REPORT AND CONDENSED UNAUDITED FINANCIAL STATEMENTS 2019

Euro Interbank Offered Rate (Euribor) positioning, which was negatively affected by weakened economic datafrom Europe. Due to underperformance and a perceived low macro opportunity set, we decided to scale backcapital dedicated to this strategy by two-thirds in Q1 2019 and eventually eliminated the strategy in May 2019.

As you are aware, Highbridge notified investors on 17 June 2019 of our decision to refocus our businessexclusively around Highbridge’s credit strategies, including the Credit Fund, the multi-strategy credit vehiclemanaged by Jon Segal and Jason Hempel since November 2013. Multi-Strategy Fund investors, including theCompany, have been given three options for their existing Multi-Strategy Fund investment: 1) transfer theentire Multi-Strategy Fund investment to the Credit Fund; 2) request a full return of the investment; or 3)transfer a portion of the Multi-Strategy Fund investment to the Credit Fund and request a return of the balanceof the investment.

Highbridge Capital Management, LLC 12 September 2019

C O M P A N Y & I N V E S T M E N T O V E R V I E W

I N V E S T M E N T R E V I E W | 1 1

The Company is a Guernsey domiciled closed-ended investment company listed on the Premium Segment ofthe Official List of the Financial Conduct Authority and traded on the Main Market of the London StockExchange with assets of approximately £228 million1.

Structure diagram

The Company

The Company has one class of shares in issue, the Sterling class. The Company seeks to provide Shareholderswith the following key benefits:

• Attractive returns which are not beholden to the direction of asset markets, created by skilled portfoliomanagement and a non-correlated, multi-strategy approach.

• Strong capital preservation characteristics reflecting robust risk management and expert blending of variousassets across strategies.

• Liquidity occasioned by active trading in the Company’s shares on the Main Market of the London StockExchange.

About the Underlying Highbridge Multi Strategy Fund

The Company invests into the Underlying Fund through sterling hedged Class F shares of MSF Corp, whichfeeds into the Underlying Fund.

The Underlying Fund is a US Dollar denominated global multi-strategy hedge fund focused on relative valuestrategies with idiosyncratic sources of return. The Underlying Fund allocates capital to a number of distinctstrategies pursuing equity, credit, convertible bond, volatility, capital structure arbitrage and macroopportunities across the globe, as further described below.

Since its inception on 1 January 1993, the Underlying Fund has achieved 9.70% annualised net returns, 6.54%annualised volatility and low beta relative to equity and credit indices1. Since the Company invested in MSFCorp on 1 March 2016, MSF Corp’s Class F (Sterling denominated) shares have delivered 3.12% annualisednet returns and 3.03% annualised volatility.

Highbridge’s intention is to wind down the Underlying Fund. Please see the Investment Manager’s Report onpage 10 and Note 14 for further details.

The Company(Highbridge Multi-Strategy Fund

Limited)

Class F (sterling)

Highbridge Multi-Strategy Fund Corporation (‘MSF Corp’)

(Formerly: 1992 Multi-Strategy Fund Corporation)

Highbridge Multi-Strategy Master Fund L.P. (the ‘Underlying Fund’)

(Formerly: 1992 Multi-Strategy Master Fund L.P.)

1 As of 30 June 2019 net of all applicable fees and expenses. Returns are estimated and unaudited for 2019. Shareholders should note thatpast performance is not necessarily indicative of future results and that there can be no assurance that the Company’s and/or the UnderlyingFund’s return objectives will be realised or that the Company and/or the Underlying Fund will not experience losses.

C O M P A N Y & I N V E S T M E N T O V E R V I E W


Key Features of the Underlying Fund

Consistent Returns: The Underlying Fund targets attractive risk-adjusted returns with low volatility and lowbeta to broad markets. It has a track record of delivering consistent risk-adjusted returns over market cyclesfor 25 years.

Diversified Global Exposure: Underlying investment strategies are diversified across asset classes, investmentstyles and geographies. Highbridge employs dedicated teams on the ground in London, New York and HongKong that seek to capture global investment opportunities.

Relative Value Focus: The Underlying Fund focuses on relative value strategies with idiosyncratic sources ofreturn.

Dynamic Capital Allocation: Within the Underlying Fund there is flexibility to allocate capital dynamicallyacross various asset classes and geographies.

Capital Preservation: The investment process is focussed on robust risk management and drawdownprotection.

Institutional Quality Infrastructure: Highbridge’s world-class trading and investment platforms are supportedby infrastructure capabilities across risk management, compliance, client service, operations, technology andfinance.

Investment Objective and Strategy of the Underlying Fund

The Underlying Fund seeks to achieve annualised net returns of 7% to 12%, with annualised volatility of 3%to 6%, and a beta to the S&P 500 below 25%2.

2 The Underlying Fund’s annual target net return and other fund objectives have been established by Highbridge based on its assumptionsand calculations using data available to it and in light of current market conditions and available investment opportunities and is subjectto various risks including, without limitations, those set out in the Company’s Risk Disclosure Document (which can be found on theCompany’s website at www.highbridgemsfltd.co.uk). These fund objectives are for illustrative purposes only and are subject to significantlimitations. An investor should not expect to achieve actual returns similar to the annual target return shown above. Because of the inherentlimitations of the target returns, investors should not rely on them when making any investment decision. These objectives cannot accountfor the impact that economic, market and other factors may have on the implementation of an actual investment program. Unlike actualperformance, the target return and other fund objectives do not reflect actual trading, liquidity constraints and other factors that couldimpact the future returns of the portfolio. The Underlying Fund’s ability to achieve the target net return and fund objectives is subject torisk factors over which Highbridge may have no or limited control. There can be no assurance that the Underlying Fund will achieve itsinvestment objective, the annual target net return or any other fund objectives. The actual returns achieved may be more or less than theannual target net return shown.

Interim Management Report


I N T E R I M M A N A G E M E N T R E P O R T

A description of the important events that have occurred during the first six months of the financial year and their impact on theperformance of the Company as shown in the Financial Statements is given in the Chairman’s Statement on pages 5 to 6, and the Notesto the Financial Statements on pages 21 to 26, and are incorporated here by reference.

Statement of Principal Risks and Uncertainties

The principal risks and uncertainties facing the Company for the period 1 January 2019 to 30 June 2019 are unchanged, from thosedisclosed in the Company’s most recent Annual Financial Report, which is available at www.highbridgemsfltd.co.uk. These principal risksand uncertainties are: operational, investment, share price discount, concentration, leverage, counterparty, credit and regulatory risk. Adetailed explanation of the risks, and how the Company seeks to mitigate them can be found within the Annual Financial Report for theyear ended 31 December 2018.

Depending on the outcome of the Second EGM to be held on 17 September 2019 (the “Second EGM”), whilst significant changes are notexpected, the Company’s exposure to the principal risks and uncertainties may vary in the future. If the Company invests into the CreditFund as outlined in the Shareholder Circular dated 28 August 2019 there will be a higher degree of liquidity risk as a result of the CreditFund’s underlying investments.

Liquidity Risk

Credit Fund is invested in a higher proportion of securities which lack an established secondary trading market or are otherwiseconsidered illiquid than the current Underlying Fund. In the Board’s opinion, the risk to the Company is its inability to realise assets at aprice which reflects the valuation of those assets, or indeed at all, due inter alia to illiquidity in the market for such assets and generaleconomic and financial conditions.

The Board monitors the Company’s risk management systems on an ongoing basis. There were no material related party transactionsduring the first six months of the financial year, other than those disclosed at Note 7 to the Financial Statements. This Interim Report hasnot been audited or reviewed by auditors pursuant to the Auditing Practices Board guidance on Review of Interim Financial Information.

Shareholders’ attention is also drawn to the Company’s risk disclosure document (which can be found on the Company’s website).

Going Concern

As referred to in the Chairman’s Statement, the Directors have called a Second EGM at which a special resolution shall be proposed toapprove to continue the Company at a minimum Net Asset Value of £50 million. Whilst the Directors cannot be certain what the resultsof the continuation vote will be at the forthcoming EGM, the Board believe that the Company has adequate financial resources and as aconsequence the Company is well placed to manage its business risks successfully. After making enquiries, the Directors have areasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the 12 monthperiod from the approval of the Financial Statements. The Directors also believe that there is no material difference between preparingthese Financial Statements on a going concern or non-going concern basis. Accordingly, the Directors have adopted the going concernbasis in preparing the Financial Statements.

I N T E R I M M A N A G E M E N T R E P O R T | 1 5

I N T E R I M M A N A G E M E N T R E P O R T

Responsibility Statement

We confirm that to the best of our knowledge:

• the Condensed Unaudited Interim Financial Statements have been prepared in accordance with International Accounting Standard34 ‘Interim Financial Reporting’; as required by Disclosure Guidance & Transparency Rule (“DTR”) 4.2.4R of the UK’s FinancialConduct Agency (“FCA”); and

• 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 thefirst six months of the financial year and their impact on the condensed set of Financial Statements; and a description of theprincipal 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 sixmonths of the current financial year and that have materially affected the financial position or performance of the entity duringthat period; and any changes in the related party transactions described in the last Annual Report that could do so.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company’swebsite, and for the preparation and dissemination of financial statements. Legislation in Guernsey governing the preparation anddissemination of financial statement may differ from legislation in other jurisdictions.

By order of the Board

Steve Le PageDirector 12 September 2019

Financial Statements

F I N A N C I A L S T A T E M E N T S | 1 7

C O N D E N S E D U N A U D I T E D S T A T E M E N T O F C O M P R E H E N S I V E I N C O M E

FOR THE SIX MONTH PERIOD ENDED 30 JUNE 2019

30 June 2019 30 June 2018(unaudited) (unaudited)

Notes £ £

RevenueNet gains on non-current assets at fair value throughprofit or loss 8 5,133,838 4,004,097

Net gains on current assets at fair value throughprofit or loss 8 912 613,944

Net losses on current liabilities at fair valuethrough profit or loss 9 (697) (500,698)

Interest income received 2,565 52,743Operating expenses 4 (306,697) (305,356)

Profit and total comprehensive income for the period 4,829,921 3,864,730

Pence (£) Pence (£)

Earnings per share for the period – basic and diluted 6 4.63 3.88

In arriving at the results for the period, all amounts above relate to continuing operations.

There is no Other Comprehensive Income for the period other than as disclosed above.

The Notes on pages 21 to 26 form an integral part of these Financial Statements.


C O N D E N S E D U N A U D I T E D S T A T E M E N T O F F I N A N C I A L P O S I T I O N

AS AT 30 JUNE 2019

30 June 2019 31 December 2018(unaudited) (audited)

Notes £ £

Non current assetsUnquoted financial assets designed at fair valuethrough profit or loss 8 219,211,590 224,077,752

Current assetsUnquoted financial assets designed at fair valuethrough profit or loss 8 4,511,224 4,510,312

Cash and cash equivalents 8,177,401 1,783,224Prepayments and receivables 38,801 29,802

12,727,426 6,323,338Current liabilitiesUnquoted financial assets designed at fair valuethrough profit or loss 9 3,316,119 3,315,422

Overdraft 5,574 —Other payables 67,140 304,740

3,388,833 3,620,162

Net assets 228,550,183 226,780,928

EquityShare Capital 10 — —Reserves 11 & 12 228,550,183 226,780,928

Shareholder’s Equity 228,550,183 226,780,928

Shares In Issue 10 103,960,869 105,391,869NAV per Share £2.1984 £2.1518

The Financial Statements on pages 17 to 20 and accompanying Notes were approved and authorised for issue by the Board of Directorson 12 September 2019 and are signed on its behalf by:

Vic Holmes Steve Le PageChairman Chairman of the Audit Committee

The notes on pages 21 to 26 form an integral part of these Financial Statements.


C O N D E N S E D U N A U D I T E D S T A T E M E N T O F C H A N G E S I N E Q U I T Y


Share Capital Reserves Total (unaudited) (unaudited) (unaudited) Note £ £ £

Opening balance — 226,780,928 226,780,928On-market purchase of ordinary shares 11 — (3,060,666) (3,060,666)Total comprehensive income for the period — 4,829,921 4,829,921

Balance at 30 June 2019 — 228,550,183 228,550,183


Share Capital Reserves Total (unaudited) (unaudited) (unaudited) Note £ £ £

Opening balance — 214,156,099 214,156,099Sale of Shares from Treasury — 13,233,835 13,233,835Total comprehensive income for the period — 3,864,730 3,864,730

Balance at 30 June 2018 — 231,254,664 231,254,664



C O N D E N S E D U N A U D I T E D S T A T E M E N T O F C A S H F L O W S


30 June 2019 30 June 2018(unaudited) (unaudited)

Note £ £

Cash flows from operating activitiesProfit and total comprehensive income for the period 4,829,921 3,864,730Unrealised gains on financial assets at fair value throughprofit or loss 8 (4,192,619) (2,952,288)

Unrealised losses/(gains) on financial liabilities at fairvalue through profit or loss 9 697 (295,175)

Realised losses on sales of financial liabilities at fair valuethrough profit or loss 9 — 796,420

Realised gains on sales of financial assets at fair valuethrough profit or loss 8 (942,131) (1,665,753)

Purchase of financial assets — (13,880,000)Proceeds from sale of financial assets 10,000,000 3,786,982Interest income (2,565) (52,743)Realised exchange gains — (546)Decrease in other payables (237,600) (399)Increase in prepayments and receivables (8,999) (687,236)

Net cash flow generated/(used in) from operating activities 9,446,704 (11,086,008)

Cash flows from investing activitiesInterest received 2,565 52,743

Net cashflow generated from investing activities 2,565 52,743

Cash flows from financing activitiesSales of Shares from Treasury — 13,233,835On-market purchase of shares 11 (3,060,666) —

Net (outflow)/cashflow used in financing activities (3,060,666) 13,233,835

Cash and cash equivalents at beginning of period 1,783,224 23,639,602Increase in cash and cash equivalents 6,388,603 2,200,570

Cash and cash equivalents at end of period 8,171,827 25,840,172



N O T E S T O T H E F I N A N C I A L S T A T E M E N T S

1. Accounting policies

Basis of preparation

These Unaudited Condensed Financial Statements (‘Financial Statements’) have been prepared in accordance with InternationalAccounting Standard (‘IAS’) 34 ‘Interim Financial Reporting’ as required by DTR 4.2.4R, the Listing Rules of the London StockExchange and applicable legal and regulatory requirements. They do not include all the information and disclosures required inAnnual Financial Statements and should be read in conjunction with the Company’s last Annual Report and Audited ConsolidatedFinancial Statements for the year ended 31 December 2018.

The same accounting policies and methods of computation are followed in the Interim Financial Report as compared with the mostrecent Annual Financial Statements (31 December 2018). This report should be read in conjunction with the latest Annual FinancialReport (31 December 2018).

2. Significant Judgements and Estimates

There have been no changes to the significant accounting judgements, estimates and assumptions from those applied in theCompany’s Audited Annual Financial Statements for the year ended 31 December 2018, with the exception of the going concernassumption as follows.

Going concern

As referred to in the Chairman’s Statement, the Directors have called a Second EGM to be held on 17 September 2019 at which aspecial resolution shall be proposed to approve to continue the Company at a minimum Net Asset Value of £50 million. Whilst theDirectors cannot be certain what the results of the continuation vote will be at the forthcoming EGM. The Board believe that theCompany has adequate financial resources and as a consequence the Company is well placed to manage its business riskssuccessfully. After making enquiries, the Directors have a reasonable expectation that the Company will be able to continue inoperation and meet its liabilities as they fall due over the 12 month period from the approval of the Financial Statements. TheDirectors also believe that there is no material difference between preparing these Financial Statements on a going concern ornon-going concern basis. Accordingly, the Directors have adopted the going concern basis in preparing the Financial Statements.

3. Segmental Reporting

The Board has considered the requirements of IFRS 8 – ‘Operating Segments’. In the Board of Directors’ opinion, the Company isengaged in a single segment of business, being investment in a portfolio of funds, funds of funds and other similar assets.

Segment information is measured on the same basis as that used in the preparation of the Company’s Financial Statements.

The Company receives no revenues from external customers, nor holds any non-current assets, in any geographical area otherthan Guernsey.

4. Operating expenses30 June 2019 30 June 2018(unaudited) (unaudited)

£ £

Administrators fee 63,854 55,888Directors’ remuneration (Note 5) 100,000 106,374Registration fees 13,585 16,631Audit fees 17,149 25,391Legal and professional fees 10,598 12,162Gain on exchange (8) (15,052)Other operating expenses 101,519 103,962

Total expenses for the period 306,697 305,356



5. Directors’ remuneration30 June 2019 30 June 2018(unaudited) (unaudited)

£ £

Vic Holmes, Chairman 30,000 30,000Steve Le Page, Audit Committee Chairman 25,000 25,000Paul Le Page (appointed 1 May 2018) 24,000 6,374Sarita Keen 21,000 21,000Paul Meader (resigned 31 December 2018) — 24,000

Total Director remuneration 100,000 106,374

6. Earnings per share30 June 2019 30 June 2018(unaudited) (unaudited)

Pence £ Pence £

Profit and total comprehensive income for the period 4,829,921 3,864,730The weighted average number of shares in issue during the period 104,209,040 99,515,941

Earnings per share 4.63 3.88

7. 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 5.

8. Investments designated at fair value through profit or loss

30 June 2019 31 December 2018 30 June 2018(unaudited) (audited) (unaudited)

£ £ £

Unquoted financial assetsPortfolio cost carried forward 203,925,014 212,969,637 201,549,637Unrealised gain on financial assets at fair value throughprofit or loss 19,797,800 15,618,427 24,136,410

Valuation carried forward 223,722,814 228,588,064 225,686,047

Realised gains on sales on non-current assets 942,131 — —Realised gains on sales on current assets — 1,665,753 1,665,753Unrealised gains/(losses) on non-current assets 4,191,707 (4,784,583) 4,004,097Unrealised gains/(losses) on current assets 912 (781,113) (1,051,809)

Net gains/(losses) on financial assets at fair value throughprofit or loss 5,134,750 (3,899,943) 4,618,041



8. Investments designated at fair value through profit or loss continued

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) orindirectly (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 themost recently available NAV of AllBlue and AllBlue Leveraged. On the basis that the significant input to the fair value of theUnderlying Fund is observable and no significant unobservable adjustments are made to the valuations, the Company categorisesthe Underlying Fund as Level 2. As the fair value determination for AllBlue and AllBlue Leveraged as at 30 June 2019 isunobservable, 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 atthe reporting date:


£ £

Financial assets at fair value through profit or loss

Level 1 — —Level 2 219,211,590 224,077,752Level 3 4,511,224 4,510,312

Total 223,722,814 228,588,064


£ £

Financial liabilities at fair value through profit or loss

Level 1 — —Level 2 (298,433) (298,379)Level 3 (3,017,686) (3,017,043)

Total 3,316,119 (3,315,422)

There have been no transfers between levels of the fair value hierarchy during the period. Transfers between levels of the fair valuehierarchy are recognised at the end of the reporting period during which the change has occurred.

Movements in the Company’s Level 3 financial instruments during the period/year were as follows:


£ £

Financial Assets Level 3 reconciliation

Balance at beginning of the period/year 4,510,312 7,365,264Disposals — (3,786,982)Net realised gain on valuation for the period/year — 1,665,753)Movement in unrealised gain/(loss) on valuation 912 (733,723)

Balance at end of period/year 4,511,224 4,510,312



8. Investments designated at fair value through profit or loss continued


£ £

Financial Liabilities Level 3 reconciliation

Balance at beginning of the period/year (3,017,043) (19,394,142)Repayments — 16,525,784Net realised losses on valuation for the period/year — (723,907)Movement in unrealised (losses)/gains on valuation (643) 575,222

Balance at end of period/year (3,017,686) (3,017,043)

Return of Capital from AllBlue and AllBlue Leveraged

On 1 December 2015, BlueCrest, the Investment Manager to the BlueCrest suite of funds, and the board of Directors of each of therelevant BlueCrest funds (or General Partner, where appropriate) announced that the BlueCrest funds would embark upon aprogramme 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 totalling £711,164,083 from theSterling Share Class and $42,637,169 from the US Dollar Share Class. No redemption proceeds were received during the period.

The Company was notified in August 2018 that the BlueCrest funds had appointed liquidators on 11 July 2018. The appointment ofBlueCrest as investment manager to the BlueCrest Funds terminated on 11 July 2018, although BlueCrest will continue to assist theLiquidators during the liquidation process as required. The liquidators advised that the completion of the liquidation and futuredistributions to investors would be dependent upon the successful realisation of the assets held by the BlueCrest funds. No furtherdistributions are planned at this time, and the possibility of interim distributions resulting from the future sale of the investmentsheld by the BlueCrest funds will be considered by the Liquidators as investments are realised by the BlueCrest funds.

9. Financial liabilities designated at fair value through profit or loss

30 June 2019 31 December 2018 30 June 2018(unaudited) (audited) (unaudited)

£ £ £

Designated at fair value through profit and loss at inception:

Balance at beginning of the period/year (3,315,422) (20,410,162) (20,410,162)Repayments — 17,793,656 —Realised loss on repayments — (795,872) (796,420)Change in unrealised (losses)/gains (697) 96,956 295,722

(3,316,119) (3,315,422) (20,910,860)

Other net changes in fair value on financial liabilities atfair value through profit or loss:

Realised loss — (795,872) (796,420)Change in unrealised (losses)/gains (697) 96,956 295,722

Total losses (697) (698,916) (500,698)

These liabilities represent the liability payable to cash exit creditors and tender offer creditors being shareholders of the Companythat opted to exit the Company and not remain as Shareholders following the appointment of Highbridge as Investment Managerand the Investment into MSF Corp (the ‘Redemption Liability’), together with the liability payable to those shareholders who electedto avail of the Tender Offer (the ‘Repurchase Portfolio’ respectively). The Redemption Liability and the Repurchase Portfolio valuemeet the following classification criteria of IAS 32 for FVTPL. Please refer to Note 8 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

Number of shares in issue (excluding Treasury Shares) at 1 January 2018 97,500,119

Purchase of own shares (497,000)Sales of Shares from Treasury 8,388,750

Number of shares in issue (excluding Treasury Shares) at 31 December 2018 105,391,869

Purchase of own shares (1,431,000)

Number of shares in issue (excluding Treasury Shares) at 30 June 2019 103,960,869

Pursuant to Section 276 of the Law, a share in the Company confers on the shareholder the right to vote on resolutions of theCompany, the right to an equal share in dividends authorised by the Board of Directors, and the right to an equal share in thedistribution of the surplus assets of the Company.

The total number of Shares in issue, as at 30 June 2019 was 131,627,733, of which 27,666,864 Shares were held in treasury, andthe total number of shares in issue excluding treasury shares was 103,960,869.

11. Treasury Shares

The Capital and Reserves disclosure below is intended to highlight the legal nature, under applicable Company Law, of the amountsattributable to shareholders and also the existence and effect of the Treasury shares held by the Company. This is a supplementaldisclosure and not required under IFRS.

During the six month period ended 30 June 2019, the Company sold no treasury shares (31 December 2018: 8,388,750) and theCompany bought back 1,431,000 Sterling shares, at an average price of £2.1388 during the period (31 December 2018: 497,000Shares at an average price of £2.0745).

The Treasury Shares hold no voting rights or rights to dividends.


Note £ £

Capital and reserves

Share capital 10 — —Treasury shares (55,783,284) (52,722,618)Reserves 12 284,333,467 279,503,546

Closing balance 228,550,183 226,780,928


£ £

Treasury shares

Opening balance 52,722,618 70,505,735Acquired during period/year 3,060,666 1,031,235Cancelled during period/year — (18,814,352)

Closing balance 55,783,284 52,722,618



12. Reserves


£ £

Opening balance 279,503,546 284,661,834Comprehensive income/(loss) attributable to Shareholders 4,829,921 (5,158,288)

Closing balance 284,333,467 279,503,546

13. Financial risk management objectives and policies

The Company’s financial risk management objectives and policies are consistent with those disclosed in the Company’s AuditedAnnual Financial Statements for the year ended 31 December 2018.

14. Events after the Reporting Period

The Company received distributions from its residual holdings in AllBlue and AllBlue Leveraged in July 2019. The Company retainedthis cash with a view to making a distribution to creditors following the receipt of the first tranche of redemption proceeds fromthe Highbridge Multi-Strategy Fund Corporation which is expected to occur in Q4 2019.

The Board of the Company held an Extraordinary General Meeting (‘First EGM’) on the 16 August 2019 to approve, subject tomeeting the certain continuation conditions, a change to the Company's investment policy. The resolution was passed but onecondition was not met, so the investment policy was not amended. A cash exit offer was offered alongside the First EGM (‘InitialCash Exit Offer’), and elections for the Initial Cash Exit Offer were received such that the Continuation Condition in respect of theCompany having a minimum Net Asset Value of £100 million following implementation of the Initial Cash Exit Offer had not beenmet.

The Board resolved that the Shares of those Shareholders who elected for the Initial Cash Exit Offer set out in the July Circularwould nevertheless be redeemed and these Shares cancelled on 19 August 2019 (the ‘Initial Cash Exit Redemption Date’).

The Board noted that the Net Asset Value attributable to those Shares which were not elected for the Initial Cash Exit Offer (the‘Remaining Shareholder’) amounted to approximately £73.5 million. In light of this significant number, the Board decided toattempt to facilitate the wishes of those Shareholders who have not elected to exit the Company by affording them the opportunityto continue in the Company with a revised continuation condition of a minimum Net Asset Value of the Company of £50 million.

Accordingly, subsequent to the Initial Cash Exit Redemption Date, the Board has posted a further circular to the RemainingShareholders to convene a further extraordinary general meeting (the ‘Second EGM’) to seek approval to adopt, inter alia, the NewInvestment Policy and Name as set out in the July Circular to allow those Remaining Shareholders, who wish to do so, theopportunity to remain invested in the Company (the ‘Revised Proposals’). At the same time as seeking approval from the RemainingShareholders for the Revised Proposals, the Company will offer all Remaining Shareholders a further cash exit opportunity (the‘Subsequent Cash Exit Offer’).

Under the Subsequent Cash Exit Offer, any Remaining Shareholder who no longer wishes to remain invested in the Company willreceive the same quantum of redemption proceeds per Share over exactly the same time frame as would have been the case hadthey elected to participate in the Initial Cash Exit Offer.

If the Revised Proposals are not approved and/or the Revised Continuation Conditions are not satisfied, then the Board willcommence the Managed Wind-down of the Company in the manner described in the July Circular.

The Investment Manager has agreed to reimburse the Company for its costs in connection with the First EGM and the Second EGM.Highbridge’s contribution, which is a smaller related party transaction under the Listing Rules, is capped at £300,000.

There have been no other significant events since the period end which would require revision of the figures or disclosures in theseFinancial Statements.


S C H E D U L E O F I N V E S T M E N T S

Unaudited Schedule of Investments as at 30 June 2019

Valuation Nominal source Valuation Total netInvestment assets holdings currency £ assets %

*Highbridge Multi-Strategy Fund Corporation – Class F– Series N – RF/Mar 16 175,346 194,224,713 194,224,713 84.98%

* Highbridge Multi-Strategy Fund Corporation – Class F– Series N – RF/Apr 18 12,890 12,722,415 12,722,415 5.57%

* Highbridge Multi-Strategy Fund Corporation – Class F– Series N – RF/Jun 18 990 963,768 963,768 0.42%

* Highbridge Multi-Strategy Fund Corporation – Class F– Series N – RF/Jul 18 5,370 5,263,290 5,263,290 2.30%

* Highbridge Multi-Strategy Fund Corporation – Class F– Series N – RF/Aug 18 2,400 2,361,321 2,361,321 1.03%

* Highbridge Multi-Strategy Fund Corporation – Class F– RF/Dec 18 3,650 3,676,083 3,676,083 1.61%

219,211,590 95.91%

AllBlue Limited Sterling Share 11.144 3,501,805 3,501,805 1.53%AllBlue Limited US Dollar Shares 809 $254,556 200,501 0.09%AllBlue Leveraged Feeder Limited Sterling Shares 2,040 808,918 808,918 0.35%

4,511,224 1.97%

223,722,814 97.88%

* Highbridge decided to aggregate the different investment series into the main (original) series that was bought into originally (Highbridge Multi StrategyFund Class F Series N –RF/Mar 16) on the 1 January 2017. Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation).

Shareholder Information

G L O S S A R Y

S H A R E H O L D E R I N F O R M A T I O N | 2 9

Unless the context suggests otherwise, references within this report to:

‘AIFM’ means Alternative Investment Fund Manager.

‘AllBlue Leveraged’ means AllBlue Leveraged Feeder Limited.

‘AllBlue’ means AllBlue Limited.

Barclays Aggregate Bond Index (‘Barclays Aggregate’) represents securities that are U.S. domestic, taxable and dollar denominated. Theindex 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 arecalculated and reported on a regular basis. The index is USD denominated. The Products are not sponsored, endorsed, sold or promotedby Barclays Capital, and Barclays Capital makes no warranty, express or implied, as to the results to be obtained by any person or entityfrom the use of any index, any opening, intra-day or closing value therefor, or any data included therein or relating thereto, in connectionwith any Fund or for any other purpose. Barclays Capital’s only relationship to the Licensee with respect to the Products is the licensingof certain trademarks and trade names of Barclays Capital and the Barclays Capital indexes that are determined, composed andcalculated 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 isdetermined 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 onmonthly observations.

‘BlueCrest’ means BlueCrest Capital Management Limited.

‘Board’ means the Board of Directors of the Company.

‘Company’ means Highbridge Multi-Strategy Fund Limited.

‘Credit Fund’ The Tactical Credit Fund is a multi-strategy credit fund that seeks to generate returns from relative value and idiosyncraticopportunities. The Tactical Credit Fund, which launched in November 2013, currently invests in six credit focused sub-strategies:(i) mid-cap convertible credit; (ii) European convertible credit; (iii) capital structure arbitrage; (iv) event credit; (v) income investments and(vi) distressed credit and reorganised equities.

‘FTSE 100’ is a capitalisation weighted performance index of the 100 companies listed on the London Stock Exchange with the highestmarket capitalisation. Ticker: UKX Index (Currency GBP). The index is GBP denominated.

‘Funds underlying AllBlue’ means the seven underlying funds of AllBlue comprising BlueCrest Capital International Limited, BlueTrend 2xLeveraged Fund Limited (with effect from 1 July 2015, BlueTrend Fund Limited prior to 1 July 2015), BlueCrest Multi Strategy Credit FundLimited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited, BlueCrest Equity Strategies Fund Limited andBlueCrest 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 Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation), an exempted companyincorporated with limited liability in the Cayman Islands.

‘IFRS’ means the International Financial Reporting Standards as adopted by the European Union.

The ‘Secretary’ or the ‘Administrator’ means Praxis Fund Services 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 marketvalue weighted index (stock price times number of shares outstanding), with each stock's weight in the Index proportionate to its marketvalue. 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 privatecompanies which are not typically identified in advance. They are more commonly known as shell companies in the UK.


G L O S S A R Y

‘Sharpe Ratio’ means the average return earned in excess of the risk-free rate per unit of volatility or total risk. The Sharpe measure wasdeveloped by Nobel Laureate William Sharpe. Return (the numerator) is defined as the incremental average monthly return of aninvestment over the risk free rate. Risk (the denominator) is defined as the standard deviation of the monthly investment returns less therisk 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 inannualized terms; annualized Sharpe Ratios are calculated by multiplying the monthly Sharpe Ratio by the square root of twelve.

‘Underlying Fund’ means Highbridge Multi-Strategy Master Fund, L.P. (formerly: 1992 Multi-Strategy Master Fund, L.P.), themulti-strategy fund managed by Highbridge into which the Company invests substantially all of its assets, via its investment in Class Fshares of Highbridge Multi-Strategy Fund Corporation (formerly: 1992 Multi-Strategy Fund Corporation).

‘Annualised Volatility’ measures the dispersal or uncertainty in a random variable. It measures the degree of variation of monthly netreturns around the average monthly net return. For this reason, volatility is often used as a measure of investment risk. Values arecalculated by applying the traditional sample standard deviation formula to monthly return data, and then annualised by multiplying theresult by the square root of twelve.

‘Website’ means the Company’s website, https://www.highbridgemsfltd.co.uk

S H A R E H O L D E R I N F O R M A T I O N | 3 1

D I R E C T O R S A N D S E R V I C E P R O V I D E R S

Directors Vic HolmesSteve Le PageSarita KeenPaul Le Page (appointed 1 May 2018)Paul Meader (resigned 31 December 2018)

Registered Office of the Company Sarnia HouseLe TruchotSt Peter PortGuernsey GY1 1GR

Administrator and Secretary (appointed 3 June 2019)Praxis Fund Services LimitedSarnia HouseLe TruchotSt Peter PortGuernsey GY1 1GR

Previous Administrator and Secretary(resigned 3 June 2019)JTC Fund Solutions (Guernsey) LimitedGround FloorDorey CourtSt Peter PortGuernsey GY1 2HT

Registrar, Paying Agent and Transfer AgentAnson Registrars LimitedPO Box 426Anson HouseHavilland StreetSt Peter PortGuernsey GY1 3WX

UK Transfer AgentAnson Registrars (UK) Limited3500 ParkwayWhiteley, HampshireEngland PO15 7AL

AuditorPricewaterhouseCoopers CI LLPRoyal Bank Place1 Glategny EsplanadeSt Peter PortGuernsey GY1 4ND

Investment Manager and AIFMHighbridge Capital Management LLC40 West 57th Street – 32nd FloorNew YorkNY10019

Investor and Public RelationsJ.P. Morgan Asset Management60 Victoria EmbankmentLondonEngland EC4Y 0JP

Corporate BrokersPeel Hunt LLPMoor House120 London WallLondonEngland EC2Y 5ET

Solicitors to the Company as to English LawHerbert Smith Freehills LLPExchange HousePrimrose StreetLondonEngland EC2A 2EG

Advocates to the Company as to Guernsey LawMourant OzannesPO Box 186Royal ChambersSt Julian’s AvenueSt Peter PortGuernsey GY1 4HP

Advocates to the Company as to Guernsey LawCarey Olsen LLPP.O. Box 98Carey House, Les BanquesSt Peter PortGuernsey GY1 4BZ

Telephone calls may be recorded and monitored for security and training purposes.

J.P. Morgan Helpline

Freephone 0800 20 40 20 or +44 (0) 1268 444470.Telephone lines are open Monday to Friday, 9am to 5.30pm.

www.highbridgemsfltd.co.uk

GB I 09/19

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