Lehman Update

RNS Number : 7976D

BlueCrest AllBlue Fund Ltd

18 September 2008

 



BLUECREST ALLBLUE FUND LIMITED (the 'Company') 

LEHMAN BROTHERS UPDATE

The following communiqué has been received from BlueCrest Capital Management Limited regarding AllBlue Limited, the underlying investment for the Company.

'Dear Investor,

In light of this week's volatility in the markets, and in particular the default of Lehman Brothers ('LEH'), we want to provide you with an estimate of month to date performance and of exposure to LEH.  Overall, LEH exposure across BlueCrest funds is estimated to be less than 0.50% after fees.  We set out below the estimated month to date returns for AllBlue Limited USD (as at 16 September 2008), broken down into trading performance and LEH exposure.  In estimating LEH exposure, we have assumed a zero recovery rate on balances due from LEH entities, which we believe is conservative.  We have shown the estimated performance for AllBlue Limited by disaggregating this figure into the weighted average trading performance and LEH exposure of the underlying funds.  

As a firm, our policy is to maintain high levels of unencumbered cash where appropriate across our funds and have managed this cash very conservatively in recent months. These balances are held in Government Bills and AAA liquidity funds at major money centre banks.  Consistent with our approach throughout the challenging markets of the past year, we also monitor counterparty risk extremely carefully, and have significantly reduced our trading exposure to the independent broker/dealer community and correspondingly favoured the large universal banks. 

Estimate as at COB 16th September	Trading Return	Est LEH Exp	Total MTD	Total YTD
AllBlue Ltd USD	1.29%	-0.40%	0.89%	6.56%

We expect to issue NAV estimates for all BlueCrest Funds as normal in the week commencing 22 September 2008.'

Note: AllBlue Limited is a fund of hedge funds exempted company incorporated with limited liability in the Cayman Islands as an open-ended investment company.  The Company is a closed-ended investment company registered and incorporated in Guernsey. The Shares of the Company are admitted to the Official List and to trading on the main market of the London Stock Exchange. 

18 September 2008

For further information about this announcement contact:

Anson Fund Managers Limited

Secretary

Tel: [phone]

BlueCrest Capital Management Limited

Investor Relations

Tel: [phone]

E&OE - in transmission

 

END

 

 

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