NAV & Portfolio Performance

Close AllBlue Fund Limited
03 October 2006

FOR IMMEDIATE RELEASE

3 October 2006

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR AUGUST 2006

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 Thursday 31 August 2006 were:-

                                  Total Return         Last          Since
                    NAV            Last Month           Quarter       Launch**
Sterling Shares      £0.9678           0.48%             N/A          -1.27%
US Dollar Shares     $0.9635           0.33%             N/A          -1.71%
Euro Shares          €0.9694           0.53%             N/A          -1.11%

**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.98025 per Sterling Share, $0.98025 per US Dollar Share and
€0.98025 per Euro Share.

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF AUGUST 2006

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

AUGUST 2006 REVIEW FOR ALLBLUE LIMITED
Investments in:     Capital          Free Cash By Sector     %       Weighted
                    Allocation%            %               Return    Return
Mixed Arb                18%               63%              -1.37%    -0.24%
Systematic               25%               82%               2.85%     0.70%
Equity                   30%               49%              -0.16%    -0.05%
Low Beta                  1%               86%              -0.19%     0.00%
Emerging                 15%               59%               1.22%     0.18%
Markets
Credit Arb                8%               39%               0.19%     0.01%
Event Driven              2%                0%               0.50%     0.01%
        Total           100%                                           0.61%

August was a month with continued diversification benefits, the net result being
positive performance.  Systematic and Emerging Market opportunities created
positive contributions whilst our mixed arbitrage and equity strategies showed a
moderate underperformance.

Mixed Arbitrage performed well during the first half of the month.
Unfortunately, the second half of August saw G3 interest rates experience a
short squeeze, leading to flattening curves in a falling rate environment.  This
went against our positions.  The result was negative contribution from the mixed
arbitrage component of AllBlue.  Despite the weakening of US fundamental data, a
surprise increase in July UK CPI caused the BOE to unexpectedly raise rates by
25bps to 4.75%.

Systematic trading showed reasonable gains as trends were re-established towards
the end of the month.  Positive contributions came from long positions in
equities combined with long positions in bonds.  In addition, the strength of
sterling on the back of the BOE rate increase helped our FX exposure.  Energies
were generally weak.

The Emerging Market 'late-June to July' rally extended into August, though by
mid-month investors were becoming more selective.  External debt spreads
finished the month unchanged and local rates and FX generally outperformed.
LatAm outperformed Europe, Asia and the Middle-East region, as South Africa and
Hungary were the worst performers, down 3.77% and 2.19% respectively.  Brazil
and Turkey were the best performers, up 3.97% and 3.95%.  August was a big month
for ratings revisions, with Moody's upgrading Brazil from Ba3 to Ba2, Fitch
upgrading both Peru and Argentina, while S&P downgraded Lebanon.

Equity markets moved moderately higher in August, but in a very choppy fashion.
 After 17 consecutive rate hikes in the US, the Fed funds rate was left
unchanged at 5.25%.  The cyclical outlook for the world economy deteriorated
with further signs of weakening in the US housing market.

Credit Arbitrage had a moderate negative month in a characteristically slow
August market.  Credit spreads tightened across the board in a benign
environment.  Our portfolio strategies traded within a narrow range with no
significant contributions from individual strategies.

Event Driven showed moderate positive contribution, as August saw a significant
reduction in both market volatility and corporate news flow.  Falling oil prices
and decreasing inflation fears moved European equity markets 2-3% higher.  In
contrast to the quiet environment, one of the largest deals of the year hit the
Italian banking sector, as Banca Intesa and San Paulo IMI announced their
intention to merge.  This deal came as a surprise to the market, which had been
expecting the two banks to pursue independent strategies by acquiring smaller
rivals in the domestic market.

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.  *Calls to
this number will be recorded.

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:  Marc Gordon or Richard Bolchover 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

E&OE - in transmission


END OF ANNOUNCEMENT



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