Net Asset Value of Shares

Close AllBlue Fund Limited
30 June 2006


CLOSE ALLBLUE FUND LIMITED (the 'Company')

NET ASSET VALUE OF SHARES

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 of AllBlue
Limited respectively.

AllBlue Limited provides access to a portfolio of seven diversified strategies
managed by BlueCrest Capital Management L.P. ('BlueCrest') 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).

In accordance with the terms of its Admission Document substantially all of the
monies raised from the issue of Shares have been invested in the corresponding
currency class of share in AllBlue Limited as at 1 June 2006.

The Net Asset Value of the undermentioned three classes of shares of no par
value in Close AllBlue Fund Limited (collectively the 'Shares') as at that date
were.

Sterling Shares - £0.9802 - ISIN: GB00B13YVW48

Euro Shares - €0.9802 - ISIN: GB00B13YXC81

US$ Shares - US$0.9802 - ISIN: GB00B13YXH37

The estimated Net Asset Value of the undermentioned three classes of shares of
no par value in Close AllBlue Fund Limited as at the close of business on Friday
23 June 2006 (the 'VP', being the valuation point) were.

Sterling Shares - £0.9672 - ISIN: GB00B13YVW48

Euro Shares - €0.9660 - ISIN: GB00B13YXC81

US$ Shares - US$0.9691 - ISIN: GB00B13YXH37

The estimated NAV of each class of shares has been calculated based on the net
asset value of its underlying shares in AllBlue Limited owned by the Company as
at the VP following information supplied to the Company by BlueCrest Capital
Management Limited of London, England acting on behalf of BlueCrest Capital
Management L.P., the appointed Investment Manager of AllBlue Limited.

Commencing from Thursday 6 July 2006, Close AllBlue Limited intends to issue the
following NAV announcements:-

(i) by 8:00 a.m. on each Thursday, the estimated NAV as at the close of business
the previous Friday;

(ii) on or around the fifth business day of each month, the estimated NAV as at
the last business day of the previous month; and

(iii)on or around the 20th business day of each month, the confirmed NAV as at 
the last business day of the previous month.

PERFORMANCE ANNOUNCEMENTS

As the Company is fully invested in shares in AllBlue Limited, commencing from 1
July 2006 the Company intends to make available to shareholders copies of
performance reports received by it from the manager of AllBlue Limited on a
monthly basis.

All these reports and announcements will become available for inspection on a
dedicated website the Company is having built and a further announcement in this
regard will be made as soon as it becomes operative.

Note: 1. The Company is a closed-ended investment company registered and
incorporated in Guernsey. The Shares of the Company are admitted to trading on
AIM and the Sterling Shares only are also admitted to listing on the Official
List of, and to trading on, the Channel Islands Stock Exchange.

2. AllBlue Limited is a fund of hedge funds exempted company incorporated with
limited liability in the Cayman Islands as an open-ended investment company.

30 June 2006

For further information about this announcement contact: Anson Fund Managers
Limited, Company Secretary. Tel: Guernsey 01481 722260

For further 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.






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