Inv Obj & Perf Update

Close AllBlue Fund Limited
10 April 2007

FOR IMMEDIATE RELEASE

10 April 2007

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 2007

INVESTMENT OBJECTIVE

Close AllBlue Fund Limited (the 'Company') is a Guernsey incorporated,
closed-ended investment company. The investment objective of the Company is to
provide its Sterling, US Dollar and Euro shareholders with consistent long-term
capital growth through an investment policy of investing substantially all of
each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue
Limited respectively.

AllBlue Limited provides access to a portfolio of seven diversified strategies
managed by BlueCrest Capital Management L.P. and managers with close links to
BlueCrest. These include the BlueCrest flagship fund with a mixed arbitrage
strategy (BlueCrest Capital International Limited), an equity long/short fund
(BlueCrest Equity Fund Limited), an emerging markets macro strategy fund
(BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund
(BlueTrend Fund Limited).

The net asset values ('NAV') of the Company's Shares as at the close of business
on 28 February were:-

                                 Total Return      Last          Since
                     NAV         Last Month        Quarter       Launch**
Sterling Shares      £1.0216     -1.12%            0.62%         4.22%
US Dollar Shares     $1.0245     -1.13%            0.63%         2.92%
Euro Shares          €1.0088     -1.25%            0.36%         4.52%


**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.9802 per Sterling Share, $0.9802 per US Dollar Share and €0.9802
per Euro Share.

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF FEBRUARY 2007

The following portfolio performance report for AllBlue Limited has been provided
to the Company by BlueCrest Capital Management Limited. Whilst the Company
believes that the information has been received from a reliable source, the
Company is not able to verify the information and accepts no responsibility for
the accuracy of the comments made or figures given in the report, and neither
should any responsibility be implied.


REPORT BY BLUECREST ON ALLBLUE LIMITED
Investments in:  Capital         Free Cash By   % Return      Weighted Return
                 Allocation%     Sector%
Mixed Arb          21              50              -0.04           -0.01
Systematic         24              85              -4.80           -1.11
Equity             23              43               0.41            0.09
Low Beta           1               95              -3.59           -0.04
Emerging
Markets            22              52               0.07            0.01
Credit Arb         7               43               0.44            0.03
Event Driven       2               n/a              0.76            0.02
Total              100%                                             1.77%


Until the last 3 days of the month, AllBlue was in positive territory, with all
of the underlying funds, excluding BlueTrend, contributing positively. By the
end of the month, unfortunately, the positive contributions had shrunk and the
negative contribution had grown to the extent that AllBlue finished the month
slightly down.

BlueCrest Capital International was flat to down for the month. It was a quiet
month for most desks within Mixed Arbitrage and any gains were dissipated by
negative performance within quantitative strategies and interest rate
volatility. RV sterling bounced back in February after a poor performance in
January. The January MPC surprise hike caused some dislocation in sterling RV
which largely normalised during February. These gains were offset by other
positions, notably a rapid sell-off in fixed income vol, and the beginning of
the flight to quality bid towards the end of the month, affecting some positions
on dollar RV.

BlueTrend gave up its January gains in February, and closed the month down 80bps
for the year. This was a comparatively good performance relative to the
competition, but it was obviously disappointing. With strong flows out of Equity
markets, interest rate markets also reversed which left many positions caught.
Those rare markets that had already gone long, such as the US 2-year Bond, were
well rewarded. In other markets, Energies and Metals were relatively flat and FX
positions were hurt due to the Yen appreciation at the end of the month.

Equity Long/Short returned 41bps. The short book delivered 94bps and long
positions lost 53bps. The strongest sectors were Construction and Materials (up
55bps) following a takeover bid, and the defensive, low beta Healthcare sector
(up 30bps). The fund is 17% net long Healthcare, holding positions in
established stalwarts. Lagging performers were the retail sector (-40bps), which
although we were net short this sector, our long positions were hit particularly
hard. Technology, in which we have a small net long exposure, having reduced
exposure to the sector during December and January, was also down 35bps. Strong
contributions came from the Financial Sector (up 25bps). Further positive
performance was derived from two short positions in US mortgage providers, with
both stocks down in excess of 20% on the month.

Emerging Markets returned 7bps for the month. From a local markets point of
view, Asia outperformed EMEA and Latin America, with top performers being
Thailand (7.64%), Turkey (4.15%) and Brazil (3.53%). Local markets long exposure
was concentrated in Brazil (Rates), Mexico (FX), Turkey (FX), South Africa (FX)
and Hungary (Rates and FX), with short positions in India (Rates), Poland
(Rates) and the Czech Republic. On the external debt side, top performers were
Ecuador (up 10.54% as the Correa government paid the February bond coupon),
Brazil (2.42%), Panama and Russia (2.17%). Argentina was the worst performer
largely as a result of weakness in local inflation-linked bonds. Our external
debt was concentrated in Argentina, Turkey, Brazil, Russia and GazProm, and
short positions in Philippines, Ecuador, Iraq, Slovakia, and Hungary. Emerging
Market equities finished down, and sector performance was random with energies
down -4%, industrials up 4% and other equity sectors flat. The desk has taken
steps to reduce Equity exposure significantly, and has also reduced their
Corporate Credit exposure due to a preference to stay within the relative
liquidity of local rates, foreign exchange and sovereign credit.

Credit Arbitrage returned 44bps for the month. Strong performance primarily came
from Index Arbitrage, Correlation, Intra-Credit and Equity. Gains in Index
Arbitrage came from monetizing large positions in 10-year US IG and X-Over
trades. Correlation gains occurred due to the sell-off in late February and
profits from 5-year and shorter dated equity correlation; these were partially
offset by small losses in 7-year maturity. Within Intra-Credit, large gains came
from curve trades and smaller ones from capital structure trades. Equity
contributions came from strength in dividend positions and a long volatility
bias.

The Event Driven portfolio was mixed during the month yet returned 76bps.
Positive contributors included positions in construction and automobiles. The
portfolio returned to approximate market neutrality over the month and, as a
consequence, gross gearing declined slightly, the long positions being
relatively stable at 139% AUM.

Disclaimer:

This publication is issued by Close AllBlue Fund Limited (the 'Company') for
informational purposes exclusively to and for the benefit only of shareholders
in the Company and to no one else; and accordingly the Company accepts no
responsibility for the use any third party might make of the information herein
contained and neither is any responsibility implied.

Information on AllBlue Limited and its underlying funds have been provided to
the Company by BlueCrest Capital Management Limited and the Company is not
responsible for, nor does it warrant, the accuracy of such information. Although
BlueCrest Capital Management Limited believes that the information on AllBlue
Limited and its underlying funds is materially correct, no warranty is given as
to the accuracy of the information provided.

This publication may not be relied upon in evaluating the merits of investing in
any securities referred to herein. Neither is it intended as and is not to be
taken as an offer or solicitation with respect to the purchase or sale of any
security, nor does it constitute an offer or solicitation in any jurisdiction,
including those in which such an offer or solicitation is not authorised or to
any person to whom it is unlawful to make such a solicitation or offer.

Where in this document an estimate of the Net Asset Value of a share in the
Company is given, although the information is believed to be materially correct,
no warranty is given as to the accuracy of the information provided.

The Company's underlying investment programme is speculative in nature and
entails substantial risks. The underlying investments may be subject to sudden
and large falls in price or value and there could be a large loss upon
realisation which could equal the total amount originally invested.

Further information about Shares in Close AllBlue Fund Limited may be found on
the Company's website at www.closeallbluefund.com.

For further Company shareholder information about investing in the Company
contact: Roland Kitson of Close Fund Management (Investments) Limited, the
Shareholder Liaison Agent, Tel: London 020 7426 4000.

Neither this press release nor any part of it may be released, mailed,
transmitted, copied, distributed, taken or otherwise sent in or into the United
States of America, Canada, Australia or Japan. Any failure to comply with these
restrictions may constitute a violation of United States of America, Canada,
Australia or Japanese Securities laws.

Anson Fund Managers Limited
Company Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

E&OE - in transmission



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