Inv Obj & Perf Update

Close AllBlue Fund Limited
18 June 2007

FOR IMMEDIATE RELEASE

18 June 2007

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR MAY 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 estimated net asset values ('NAV')* of the Company's Shares as at the close
of business on 31 May 2007 were:-

                               Total Return     Last          Since
                    NAV        Last Month       Quarter       Launch**
Sterling Shares      £1.0833      2.02%         0.64%         10.51%
US Dollar Shares     $1.0862      2.00%         0.65%         10.81%
Euro Shares          €1.0655      1.87%         0.25%         8.70%


*The figures are based on the estimated NAV at the month end. This is a change
from previous months where the figures were based on the month end confirmed
NAV. The figures will be based on the estimated NAV going forward.

**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 MAY 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                                              Weighted
                Allocation%   Free Cash By Sector   %Return          Return%
Mixed Arb          23                38              0.04            0.01
Systematic         22                81              7.17            1.54
Equity             20                37             -3.25            -0.63
Low Beta            1                92              4.14            0.04
Emerging Markets   22                34              4.70            1.01
Credit Arb          8                49              1.27            0.10
WestHarbor          4                N/A             0.50            0.02
Total              100%                                              2.09%



Following a strong April, AllBlue returns were up 2.12% for May, with positive
returns coming from most underlying components. Continuing its excellent run
from April, Systematic, again, attributed the highest contribution to
performance.

Mixed Arbitrage was up 0.07%, with contributions mainly from Equity Derivatives,
Relative Value and FX. The other desks made small gains but most were eroded by
losses within Equities. Within RV, the bulk of the return came from dollar
relative value, with a number of long held positions working well. Small,
additional positive returns came from volatility positions that were largely
offset by some losses in sterling relative value. Within Equity Derivatives,
positive returns came from gains in dispersion strategy as the desk sold implied
correlation and realised correlation was pretty low in the month. The desk also
profited from a short protection on the credit side (which tightened), via
options on crossover.

Systematic was again the top performer of the month with returns at 7.21%,
pushing the YTD into double digits at 11.12%.

The main performance contributions came from Interest Rates and Equities with
moderate contributions also from Bonds and FX. The model finished the month
slightly longer in Equities compared to the beginning of the month, as it has
built back to the highs of the year. Energies, which have been range-bound since
late March, and Metals were slightly down. These strong returns were coupled
with an average margin to equity of 15, which has been at a consistent level
throughout most of 2007.

Emerging Markets was the second largest performance contributor this month, with
performance up 4.7%. They had a strong month on the equities side. Returns were
dominated by high concentration in Brazilian midcaps, in property development
and investment, utilities and mining stocks. Investments in Asian property and
mining stocks, especially in the Philippines, China and Indonesia, also
generated performance. From a local markets point of view, strong returns were
achieved in both Columbian and Brazilian FX. External debt markets again
produced gains in Russia and Brazil.

The Equity fund was down -3.25% for the month. Short performance suffered after
a series of short squeezes based on technical chart 'break-outs' and one of the
larger short positions received a takeover approach. During the month, a number
of these positions were covered. Performance on the long side of the portfolio
was constrained by profit taking on a number of names after a prolonged period
of good performance. The majority of these positions were retained as our team
has identified substantial future upside outweighing any short-term impact. The
team continues to focus efforts on the short side of the portfolio, which has
suppressed the strong performance of the long book for some time now, whilst
ensuring the fund remains broadly market neutral.

Credit Arbitrage posted a positive return of 1.97%, with performance mainly
being driven by Equities, Intra Credit and Inter Credit.

WestHarbor bounced back from its drawdown last month to post a positive return
of 0.55%.  The main drivers were from some long-standing positions. The German
book had a difficult time due to rises in short positions.

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:  Richard Killingbeck or 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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