Proposed Placing of New Ordin

RNS Number : 6913S

BlueCrest AllBlue Fund Ltd

15 September 2010

 



Proposed Placing of New Ordinary Shares

BlueCrest AllBlue Fund Limited

IMPORTANT INFORMATION FOR PLACEES ONLY

MEMBERS OF THE PUBLIC ARE NOT ELIGIBLE TO TAKE PART IN THE PLACING. THIS ANNOUNCEMENT IS FOR INFORMATION PURPOSES ONLY AND IS DIRECTED ONLY AT PERSONS SELECTED BY RBS HOARE GOVETT LIMITED AND DEXION CAPITAL PLC (THE "JOINT BOOKRUNNERS") WHO ARE: (A) PERSONS IN MEMBER STATES OF THE EUROPEAN ECONOMIC AREA WHO ARE QUALIFIED INVESTORS AS DEFINED IN ARTICLE (2)(1)(e) ("QUALIFIED INVESTORS") OF DIRECTIVE 2003/71/EC; (B) IN THE UNITED KINGDOM, QUALIFIED INVESTORS WHO ARE ALSO PERSONS (1) WHO HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS FALLING WITHIN ARTICLE 19(5) (INVESTMENT PROFESSIONALS) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (AS AMENDED) (THE "ORDER") OR (2) FALLING WITHIN ARTICLE 49(2)(a) TO (d) (HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.) OF THE ORDER; AND (C) OTHER PERSONS TO WHOM IT MAY OTHERWISE LAWFULLY BE COMMUNICATED (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS "RELEVANT PERSONS") WITHOUT BEING ACCOMPANIED BY ANY FURTHER STATEMENTS AND/OR WARNINGS REQUIRED BY THE ORDER AND NOT INCLUDED IN THIS ANNOUNCEMENT AND THE TERMS AND CONDITIONS SET OUT HEREIN MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS ANNOUNCEMENT AND THE TERMS AND CONDITIONS SET OUT HEREIN RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. NEITHER THIS ANNOUNCEMENT NOR THE APPENDIX CONSTITUTES AN OFFER OR AN INVITATION TO ACQUIRE OR DISPOSE OF ANY SECURITIES IN THE COMPANY.

THIS ANNOUNCEMENT AND THE INFORMATION CONTAINED HEREIN IS NOT FOR PUBLICATION, DISTRIBUTION OR RELEASE IN, OR INTO, DIRECTLY OR INDIRECTLY, THE UNITED STATES, CANADA, AUSTRALIA OR JAPAN OR TO U.S. PERSONS.  THIS ANNOUNCEMENT AND THE INFORMATION CONTAINED HEREIN DOES NOT CONSTITUTE AN OFFER TO SELL OR ISSUE OR THE SOLICITATION OF AN OFFER TO BUY OR ACQUIRE ORDINARY SHARES IN THE COMPANY IN THE UNITED STATES, AUSTRALIA, CANADA OR JAPAN.

The Placing Shares have not been and will not be registered under the United States Securities Act of 1933, as amended (the "Securities Act") or under the securities laws of any state or other jurisdiction of the United States and may not be offered, sold, resold or delivered, directly or indirectly, in or into the United States absent registration except pursuant to an exemption from or in a transaction not subject to the registration requirements of the Securities Act. No public offering of the Placing Shares is being made in the United States. The Placing (as defined below) is being made outside the United States in offshore transactions (as defined in Regulation S under the Securities Act ("Regulation S")) meeting the requirements of Regulation S under the Securities Act. Persons receiving this document (including custodians, nominees and trustees) must not forward, distribute, mail or otherwise transmit it in or into the United States or use the United States mails, directly or indirectly, in connection with the Placing.

The distribution of this document, the Placing and/or issue of the Placing Shares in certain jurisdictions may be restricted by law and/or regulation. No action has been taken by the Company or the Joint Bookrunners or any of their respective Affiliates (as defined below) that would permit an offer of the Placing Shares or possession or distribution of this document or any other publicity material relating to such Placing Shares in any jurisdiction where action for that purpose is required. Persons receiving this document are required to inform themselves about and to observe any such restrictions.

By participating in the Placing (as defined below), each person who is invited to and who chooses to participate in the Placing (a "Placee") by making an oral offer to take up Placing Shares is deemed to have read and understood this document in its entirety and to be providing the representations, warranties, undertakings, agreements and acknowledgements contained herein.

PROPOSED PLACING OF NEW ORDINARY SHARES

BlueCrest AllBlue Fund Limited (the "Company") today announces a proposed placing for cash of new ordinary shares representing in aggregate up to 9.99 per cent. of each class of the Company's issued ordinary share capital (the "Placing").

Following the Company's most recent issue of C shares, which raised £349 million in June 2010, the Company's shares have continued to perform strongly with the shares of each class trading at a significant premium to NAV, notwithstanding recent volatile market conditions.  The Board is aware of significant interest in the Company's shares from a range of investors and, accordingly, the Placing is being undertaken to address investor demand by way of an institutional book-building process.

Richard Crowder, Chairman of the Company, said:

"This proposed placing responds to the considerable demand we have witnessed from investors following the company's successful £349 million fund raising in June. BlueCrest AllBlue is performing well and is trading at a premium to Net Asset Value. BlueCrest remains confident that it represents an attractive opportunity in current market conditions."

Since inception, the Company has been able to demonstrate a good performance record through a variety of market conditions. The following tables show the NAV performance of the Company's Shares and of AllBlue's class A shares and the corresponding levels of volatility as compared with a widely used composite hedge funds index and traditional equity and government bond indices as at 31 July 2010:

	Company Sterling Shares NAV	AllBlue class A Sterling shares NAV4	CS/Tremont All Hedge Index1	MSCI World Index2	BarCap Global Bond Index3
Annualised returns
Last 12 months	15.13%	15.34%	13.08%	7.66%	6.22%
Since Company inception5	12.68%	13.31%	0.44%	-3.81%	6.65%
Since AllBlue inception6	-	13.17%	0.89%	-3.38%	6.79%
Annualised Volatility 7
Last 12 months	4.40%	4.41%	6.07%	17.29%	6.79%
Since  Company inception5	5.13%	4.95%	8.91%	19.93%	6.93%
Since AllBlue inception6	-	5.12%	8.74%	19.50%	6.80%
Sharpe Ratio 8
Since Company inception5	1.97	2.15	-0.13	-0.21	0.68
Since AllBlue inception 6	-	2.04	-0.09	-0.20	0.69
AllBlue Correlation
Since Company inception 5	-	-	0.27	0.09	0.12
Since AllBlue inception6	-	-	0.29	0.13	0.11

	Company Euro Shares NAV	AllBlue class A Euro shares NAV4	CS/Tremont All Hedge Index1	MSCI World Index2	BarCap Global Bond Index3
Annualised returns
Last 12 months	15.27%	15.20%	13.08%	7.66%	6.22%
Since Company inception5	11.73%	12.32%	0.44%	-3.81%	6.65%
Since AllBlue inception6		11.62%	1.88%	-1.22%	5.66%
Annualised Volatility 7
Last 12 months	4.39%	4.42%	6.07%	17.29%	6.79%
Since  Company inception5	5.09%	4.99%	8.91%	19.93%	6.93%
Since AllBlue inception6	-	5.41%	8.43%	18.73%	6.62%
Sharpe Ratio 8
Since Company inception5	1.81	1.95	-0.13	-0.21	0.68
Since AllBlue inception 6	-	1.64	-0.01	-0.11	0.52
AllBlue Correlation
Since Company inception 5	-	-	0.27	0.10	0.12
Since AllBlue inception6	-	-	0.31	0.16	0.15

	Company US$ Shares NAV	AllBlue class A US$ shares NAV4	CS/Tremont All Hedge Index1	MSCI World Index2	BarCap Global Bond Index3
Annualised returns
Last 12 months	14.82%	15.03%	13.08%	7.66%	6.22%
Since Company inception5	11.78%	12.39%	0.44%	-3.81%	6.65%
Since AllBlue inception6	-	12.01%	1.88%	-1.22%	5.66%
Annualised Volatility 7
Last 12 months	4.41%	4.41%	6.07%	17.29%	6.79%
Since  Company inception5	5.07%	4.95%	8.91%	19.93%	6.93%
Since AllBlue inception6	-	5.37%	8.43%	18.73%	6.62%
Sharpe Ratio 8
Since Company inception5	1.83	1.98	-0.13	-0.21	0.68
Since AllBlue inception 6	-	1.72	-0.01	-0.11	0.52
AllBlue Correlation
Since Company inception 5	-	-	0.30	0.12	0.13
Since AllBlue inception6	-	-	0.34	0.18	0.16

Sources:

1.      CS/Tremont All Hedge Index is a US Dollar based index of investable hedge funds (Bloomberg ticker SECTAH Index).

2.      MSCI World Index is a US Dollar based index (Bloomberg ticker MXWO Index).

3.      BarCap Global Bond Index is the BarCap Global Agg Index which is a USD based index (Bloomberg ticker LEGATRUU Index).

4.      BlueCrest Capital Management (UK) LLP.

5.      For the period from 25 May 2006 (for the period from 31 May 2006 in relation to the AllBlue shares).

6.      For the period from 1 September 2005 in relation to the AllBlue class A Euro and class A US$ shares and from 1 March 2006 in relation to the AllBlue class A Sterling shares.

7.      Assumptions for calculation methodology for annualised volatility: If Ri are the monthly returns then annualised volatility = stdev(Ri) * √12.

8.      Assumptions for calculation methodology for sharpe ratio: If Ri are the monthly returns, rfi are the monthly risk free rates (from US TBills, GB1M in Bloomberg divided by 12), di is the number of working days in the months, calculate: Sharpe Ratio = Num/Den. Where Den = stdev(Ri) * √12 and Num = average(Ni) with Ni = (Ri - rfi) * 260/di.

Pursuant to the Placing, the Company proposes to issue:

·     up to 46,363,168 new Sterling Shares (the "New Sterling Shares");

·     up to 977,928 new Euro Shares (the "New Euro Shares"); and

·     up to 5,251,553 new US$ Shares (the "New US$ Shares");

together, the "Placing Shares".

The Placing, which is subject to the fulfilment of certain conditions, is being conducted through an institutional book-building process to be carried out by RBS Hoare Govett Limited ("RBS Hoare Govett") and Dexion Capital plc ("Dexion") who are acting as joint bookrunners and placing agents in connection with the Placing (the "Joint Bookrunners"). RBS Hoare Govett is also acting as corporate broker to the Placing.

The precise number of Placing Shares to be issued and the placing price per share of each class of the Placing Shares (the "Placing Price") will be determined following the completion of the book-building, which is currently scheduled for 3.00 p.m. (London time) on 22 September 2010 and a further announcement will be made as soon as practicable once the results of the Placing are known. The Placing Price will be determined by reference to the prevailing net asset value and share price for each class of Placing Shares. In any event, the Placing Price will not be less than the aggregate of the prevailing estimated net asset value per share for the relevant class of the Company's shares (as contained in the latest weekly net asset value estimate released by the Company prior to the close of the Placing) and the expenses of the Placing. 

The net proceeds of the Placing will be all or substantially all invested in shares of AllBlue in accordance with the Company's investment objective and policy. The Company anticipates that substantially all of the aggregate net proceeds of the Placing will be invested by 1 October 2010.

Background

BlueCrest AllBlue Fund Limited is an authorised closed-ended investment company registered and incorporated in Guernsey with an unlimited life. The Company was launched in May 2006 as Close AllBlue Fund Limited when the Sterling Shares, Euro Shares and US Dollar Shares were admitted to trading on the AIM Market. On 13 June 2008, the Company changed its name to BlueCrest AllBlue Fund Limited. On 19 June 2008, the Company cancelled the trading of its Ordinary Shares on AIM and the Ordinary Shares were admitted to the Official List and to trading on the London Stock Exchange's main market for listed securities.

As at 14 September 2010, the Company's total issued share capital consisted of 526,452,940 Ordinary Shares, of which 464,095,773 were designated as Sterling Shares (of which 450,000 Sterling Shares were held in treasury), 9,789,071 as Euro Shares and 52,568,096 as US$ Shares. As at 3 September 2010 (the date of the last estimated weekly net asset value), the unaudited aggregate net assets of the Company (in Sterling terms) were approximately £818.4 million, equivalent to an unaudited NAV per Sterling Share of £1.6224, per Euro Share of €1.5657 and per US$ Share of US$1.5682.

The investment objective of the Company is to seek to provide consistent long-term capital growth through an investment policy of investing substantially all of its assets in AllBlue (or any successor vehicle of AllBlue).

AllBlue is a fund incorporated in the Cayman Islands with an investment objective to provide consistent long-term appreciation of its assets through investment in a diversified portfolio of Underlying Funds. Investors in the Company will be offered an opportunity to participate indirectly in the same investment portfolio as that of AllBlue. AllBlue seeks to achieve its investment objective through investment in the Underlying Funds, each of which on its own has a distinct investment objective and approach, and which collectively form a diversified basket of hedge fund investments.

As at 1 September 2010, the investment portfolio of AllBlue was allocated on the following basis amongst the Underlying Funds:

Underlying Fund	Allocation (%)†
BlueCrest Capital International Limited	33.7
BlueCrest Emerging Markets Fund Limited	17.5
BlueCrest Multi Strategy Credit Fund Limited	17.3
BlueTrend Fund Limited	13.2
BlueCrest Mercantile Fund Limited	12.5
BlueMatrix Fund Limited	3.8
BlueCube Limited	2.0
	100.00

The combined assets under management of the AllBlue programme (comprising AllBlue and several fund vehicles related to AllBlue) has grown to US$5.2 billion over the period from inception in September 2005 to 1 September 2010.

BlueCrest is the appointed investment manager of AllBlue and the AllBlue Sub-Investment Managers have been appointed as sub-investment managers. The AllBlue Sub-Investment Managers seek to construct a portfolio of investments for AllBlue, comprising the Underlying Funds, by utilising proprietary optimisation techniques as well as an in-depth understanding of underlying positions, correlations and risks. Both allocations and risks are closely monitored on a monthly basis by the BlueCrest group AllBlue committee, comprising a team of senior investment professionals of BlueCrest. BlueCrest Capital Management Guernsey LP, as one of the AllBlue Sub-Investment Managers, reviews the allocation of AllBlue's assets amongst the Underlying Funds on a monthly basis and makes such adjustments as it deems appropriate.

It is the policy of BlueCrest Capital Management Guernsey LP, as one of the AllBlue Sub-Investment Managers, that the assets of AllBlue will be predominantly fully invested. However, AllBlue may hold certain assets in cash or cash equivalents from time to time, should it consider that this is required for efficient portfolio management or otherwise in the best interests of AllBlue.

Further details regarding the Placing

The book-building will start with immediate effect. The timing of the closing of the book, pricing and allocations is at the discretion of the Company and the Joint Bookrunners, although the Placing is expected to close not later than 3.00 p.m. (London time) on 22 September 2010. However, the Joint Bookrunners reserve the right to accept further bids after initial allocations have been made. The number of Placing Shares and the Placing Price for each class of Placing Shares will be agreed between the Company and the Joint Bookrunners at the close of the book-building process. Details of the number of Placing Shares and the Placing Price for each class of Placing Shares will be announced as soon as practicable after the close of the book-building process.

Each class of Placing Shares will be issued credited as fully paid and will rank pari passu in all respects with the Company's existing ordinary shares of the same currency class. The Company will apply for admission of the Placing Shares to the Official List of the Financial Services Authority and to trading on the London Stock Exchange's market for listed securities (together, "Admission"). Settlement of the Placing Shares will be on a T+3 basis. It is expected that settlement and Admission will take place on 28 September 2010.

The Royal Bank of Scotland NV London Branch ("RBS") and Dexion Capital (Guernsey) Limited ("DCGL") are acting as execution and settlement agents in respect of the Placing. Applications for Placing Shares should be communicated to a participant's usual sales contact at either RBS Hoare Govett or Dexion, specifying the number and class of Placing Shares which are being offered to be acquired at the Placing Price which is ultimately established by the Company and the Joint Bookrunners. Successful applicants under the Placing will receive Placing Shares subject to the satisfaction or waiver of the conditions contained in the placing agreement between the Company, the Joint Bookrunners and BlueCrest dated 15 September 2010 (the "Placing Agreement") and that agreement not having been terminated.

Attention is drawn to the full details of the terms and conditions of the Placing which are set out in the Appendix to this announcement (and which forms part of this announcement). Persons participating in the Placing will be deemed to have read and understood the full terms and conditions relating to the Placing and to be participating on the basis that they accept such terms and conditions in full. Certain terms used in this announcement and the Appendix are defined in the schedule at the end of the announcement.

Enquiries:

Gary Gould / Alex Collins RBS Hoare Govett Limited	Tel: [phone]
Robin Bowie / Ana Haurie Dexion Capital plc	Tel: [phone]
Ed Orlebar/Caroline Villiers/Louise Hatch M:Communications	Tel: [phone]

Important notices

This announcement has been issued by, and is the sole responsibility of, the Company.

Attention is drawn to the detailed terms and conditions of the Placing described in the Appendix to this Announcement.

Members of the public are not eligible to take part in the Placing and no public offering of securities will be made.

This announcement is for information purposes only and is directed only at: (a) persons in member states of the European Economic Area who are qualified investors as defined in Article (2)(1)(e) ("qualified investors") of Directive 2003/71/EC; (b) in the United Kingdom, qualified investors who are also persons (1) who have professional experience in matters relating to investments falling within Article 19(5) (investment professionals) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended) (the "Order") or (2) falling within Article 49(2)(a) to (d) (high net worth companies, incorporated associations, etc.) of the Order; and (c) other persons to whom it may otherwise lawfully be communicated (all such persons together being referred to as "Relevant Persons") without being accompanied by any further statements and/or warnings required by the Order and not included in this Announcement.

This announcement must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment activity to which this announcement or the Placing relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. As regards all persons other than Relevant Persons, the details of the Placing and the book-building set out in this announcement are for information purposes only.

RBS Hoare Govett and Dexion, each of which are authorised and regulated by the FSA, are acting for the Company and no one else in relation to the Placing and are not advising any other person or treating any other person as their customer in relation to or in connection with the Placing and are not advising any other person or treating any other person as their customer in relation to the matters referred to in this announcement and will not be responsible to anyone other than the Company for providing the protections afforded to clients of RBS Hoare Govett and Dexion or for providing advice in relation to the Placing or any matter referred to in this announcement.

Certain statements in this announcement may be forward-looking statements, including, without limitation, statements containing the words "believes", "estimates", "anticipates", "expects", "intends", "may", "will", or "should" or, in each case, their negative or other variations or similar expressions. Such forward-looking statements involve unknown risk, uncertainties and other factors, which may cause the actual results of operations, performance or achievement of the Company, or industry results, to be materially different from any future results, performance or achievements expressed or implied by such forward-looking statements. Given these uncertainties, you are cautioned not to place any undue reliance on such forward-looking statements, which speak only as at the date of this announcement. Subject to its legal and regulatory obligations (including under the Listing Rules and the Disclosure and Transparency Rules), the Company undertakes no obligation to update or revise any forward-looking statement contained in this announcement to reflect any change in expectations with regard thereto or any change in events, conditions or circumstances on which any statement is based.

The net asset value figures included in this announcement are estimates, and are based on unaudited estimated valuations. Final month-end net asset values may be materially different from these estimated weekly values, which should only be taken as indicative values which have been provided for information only and no reliance should be placed on them. Estimated results, performance or achievements may differ materially from any actual results, performance or achievements. Except as required by applicable law and regulation, the Company expressly disclaims any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise.

It should be noted that past performance is not necessarily indicative of the future performance of the Placing Shares or the existing shares of the Company. Further, any indication in this announcement of the price at which securities of the Company have been bought or sold in the past cannot be relied upon as a guide to future performance of the securities of the Company. No statement in this announcement is intended to be a profit forecast or dividend forecast.

Before investing, prospective shareholders should consider carefully the risks attaching to an investment in Placing Shares and the Company, including the following risks:

·     The Company's ability to diversify its risk is materially dependent on the investments made by AllBlue and a concentrated number of Underlying Funds.

·     In the event of a material adverse event in relation to AllBlue or any of the Underlying Funds this may substantially affect the performance of the Company.

·     The investments made by the Company are relatively illiquid and this may limit the ability of the Company to realise its investments. In the event of a material adverse event in relation to AllBlue, an Underlying Fund or the markets generally, this could have the effect of increasing losses suffered by the Company.

·     AllBlue is entitled to require mandatory redemption of shareholders' AllBlue shares and the Underlying Funds are entitled to redeem AllBlue's investment in the Underlying Funds.

·     The use of leverage by the Underlying Funds may increase the volatility of returns.

·     The Company, AllBlue and the Underlying Funds may not be able to realise the value of the investments that they report from time to time.

·     The Underlying Funds' investments are subject to market risk. The Company is therefore at risk from the failure of an entire strategy followed by an Underlying Fund resulting from market factors.

·     The Company is at risk from certain activities which may be undertaken by BlueCrest, the AllBlue Sub-Investment Managers or other managers of Underlying Funds.

·     The Underlying Funds are subject to limited supervision.

·     The Company may be exposed to systemic risk.

·     Investments by Underlying Funds may not be regulated by the rules of any stock exchange or investment exchange.

·     Investments by Underlying Funds may be subject to the risk of the counterparty failing to perform its obligations.

·     Income and gains of the Underlying Funds may be subject to withholding tax which may not be recoverable.

·     Shareholders have no right to have their Shares redeemed by the Company.

·     The Shares in the Company may trade at a discount to Net Asset Value and Shareholders may be unable to realise their investments in the market at Net Asset Value.

Appendix

TERMS AND CONDITIONS

IMPORTANT INFORMATION REGARDING THE PLACING FOR PLACEES ONLY

Eligible Participants

MEMBERS OF THE PUBLIC ARE NOT ELIGIBLE TO TAKE PART IN THE PLACING. THIS ANNOUNCEMENT IS FOR INFORMATION PURPOSES ONLY AND IS DIRECTED ONLY AT: (A) PERSONS IN MEMBER STATES OF THE EUROPEAN ECONOMIC AREA WHO ARE QUALIFIED INVESTORS AS DEFINED IN ARTICLE (2)(1)(e) ("QUALIFIED INVESTORS") OF DIRECTIVE 2003/71/EC; (B) IN THE UNITED KINGDOM, QUALIFIED INVESTORS WHO ARE ALSO PERSONS (1) WHO HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS FALLING WITHIN ARTICLE 19(5) (INVESTMENT PROFESSIONALS) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (AS AMENDED) (THE "ORDER") OR (2) FALLING WITHIN ARTICLE 49(2)(a) TO (d) (HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.) OF THE ORDER; AND (C) OTHER PERSONS TO WHOM IT MAY OTHERWISE LAWFULLY BE COMMUNICATED (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS "RELEVANT PERSONS") WITHOUT BEING ACCOMPANIED BY ANY FURTHER STATEMENTS AND/OR WARNINGS REQUIRED BY THE ORDER AND NOT INCLUDED IN THIS ANNOUNCEMENT AND THE TERMS AND CONDITIONS SET OUT HEREIN MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS APPENDIX AND THE TERMS AND CONDITIONS SET OUT HEREIN RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. NEITHER THIS APPENDIX NOR THE ANNOUNCEMENT OF WHICH IT FORMS PART CONSTITUTES AN OFFER OR AN INVITATION TO ACQUIRE OR DISPOSE OF ANY SECURITIES IN THE COMPANY.

Persons choosing to participate in the Placing by making an oral or written offer to acquire Placing Shares will be deemed to have read and understood this Appendix and the announcement of which it forms part in their entirety and to be making such offer on the terms and conditions, and to be providing the representations, warranties and acknowledgements, contained in this Appendix. In particular each participant will represent, warrant and acknowledge that it is a Relevant Person. Further, each participant will represent and agree that it is outside the United States, is not a U.S Person, is subscribing for Placing Shares in an "offshore transaction" (within the meaning of Regulation S ("Regulation S") under the U.S. Securities Act of 1933, as amended (the "Securities Act")) and is purchasing the Placing Shares for its own account or is purchasing the Placing Shares for an account with respect to which it exercises sole investment discretion and that it (and any such account) is outside the United States or it is a dealer or other professional fiduciary in the United States acting on a discretionary basis for non-U.S. beneficial owners (other than an estate or trust), in reliance upon Regulation S. See "Representations and Warranties" elsewhere in this Appendix for further representations and warranties that participants will be deemed to make by participating in the book-building.

The securities described herein are being offered and sold outside the United States to persons who are not U.S. Persons in reliance on Regulation S.

This Appendix and the announcement of which it forms part do not constitute an offer to sell or the invitation or solicitation of an offer to buy or subscribe for ordinary shares in the capital of the Company in the United States, Canada, Australia, Japan or in any jurisdiction in which such offer or solicitation is unlawful (the "Restricted Jurisdictions") and the information contained herein is not for publication or distribution, directly or indirectly, to persons in any Restricted Jurisdiction or to U.S. Persons. In particular, this Appendix and the announcement of which it forms part are not an offer for sale of the securities in the United States, and the securities have not been and will not be registered under the Securities Act, and may not be sold in the United States absent registration or an exemption from registration under the Securities Act.

Accordingly, the Placing Shares may not (unless an exemption under the relevant securities laws is applicable) be offered, sold, resold or delivered, directly or indirectly, in or into the United States, Canada, Australia, or Japan or to U.S. Persons. Any persons who have a contractual or other legal obligation to forward a copy of this Appendix or the announcement of which it forms part to a jurisdiction outside the United Kingdom should seek appropriate advice before taking any action.

The distribution of this announcement and the placing of the Placing Shares in certain other jurisdictions may be restricted by law. No action has been taken by the Company, BlueCrest or the Joint Bookrunners that would permit an offer of such shares or possession or distribution of this announcement or any other offering or publicity material relating to such shares in any jurisdiction where action for that purpose is required. Persons into whose possession this announcement comes are required by the Company, BlueCrest and the Joint Bookrunners to inform themselves about and to observe any such restrictions.

The Placing and the Placing Shares

The Joint Bookrunners have been appointed bookrunners and placing agents to the Placing.

Pursuant to the Placing Agreement, each of the Joint Bookrunners has, on the terms and conditions set out therein, undertaken as agent for the Company to use its reasonable endeavours to procure subscribers for the Placing Shares.

The obligations of the Joint Bookrunners under the Placing Agreement are conditional upon, inter alia, (i) agreement between the Company and the  Joint Bookrunners of the Placing Price and the number of Placing Shares of each class to be issued pursuant to the Placing, (ii) each of the warranties given by the Company being true and accurate and not being or becoming misleading (in each case) by reference to the facts and circumstances subsisting at any time prior to Admission and no matter having arisen which might reasonably be expected to give rise to a claim for indemnity under the Placing Agreement, (iii) Admission occurring no later than 8.00 a.m. on 28 September 2010 or such other time or date as the Company and the Joint Bookrunners may agree in writing (not being later than 5 October 2010), and (iv) in the good faith opinion of the Joint Bookrunners, there shall not have been prior to Admission any material adverse change (whether or not foreseeable) in, or any development likely to involve a prospective material adverse change in or affecting, the condition, financial or otherwise, or the earnings or business affairs or business prospects of the Company, whether or not arising in the ordinary course of business.

Each Placing Share will be issued credited as fully paid and will rank pari passu with the Company's existing shares of the same currency class, including the right to receive all dividends and other distributions declared, made or paid on or in respect of such class of shares after the date of issue of the Placing Shares.

Applications

Commencing today, the Joint Bookrunners will be conducting a book-building process to determine demand for each class of Placing Shares. This Appendix gives details of the terms and conditions of, and the mechanics of participation in, the Placing.

The Company will make a further announcement following the close of the book-building detailing the number of each class of Placing Shares to be sold and the Placing Price per share for each class of Placing Shares (the "Pricing Announcement").

Allocations (if any) of Placing Shares will be confirmed orally following the close of the book-building and contract notes confirming the agreement to subscribe for Placing Shares will be dispatched as soon as possible thereafter. The Joint Bookrunners' oral confirmation will constitute acceptance of an offer to acquire Placing Shares and create a legally binding commitment to subscribe for the number of Placing Shares allocated on the terms and conditions set out in this Appendix and in accordance with the Company's memorandum and articles of association.

The Joint Bookrunners will be entitled to effect the Placing by such alternative method to the book-building process as it and the Company may agree. To the fullest extent permissible by law, neither the Joint Bookrunners nor any of its holding companies, subsidiaries, branches, affiliates or associated undertakings or any subsidiary, branch, affiliate or associated undertaking of any such holding company (each an "Affiliate") shall have any liability to persons allocated any Placing Shares in the Placing (each a "Placee") or to any other person whether acting on behalf of a Placee or otherwise. In particular, none of the Joint Bookrunners nor any of their Affiliates shall have any liability in respect of its conduct of the book-building process or of such alternative method of effecting the Placing as the Joint Bookrunners may determine.

Each of the Joint Bookrunners and their Affiliates is entitled to participate as principal in the book-building process.

Principal terms of the book-building

1.             The Joint Bookrunners are arranging the Placing as agent of the Company.

2.             A single Placing Price for each class of Placing Shares payable to the Joint Bookrunners by all Placees whose bids are accepted will be agreed between the Joint Bookrunners and the Company following completion of the book-building process. The Placing Price will be determined by reference to the prevailing net asset value and share price for each class of Placing Shares. In any event, the Placing Price will not be less than the aggregate of the prevailing estimated net asset value per share for the relevant class of the Company's shares (as contained in the latest weekly net asset value estimate released by the Company prior to the close of the Placing) and the expenses of the Placing. 

3.             The number of each class of Placing Shares to be issued will be determined by the Company and the Joint Bookrunners following completion of the book-building.

4.             Bids should be communicated by telephone to a participant's usual sales contact at either RBS or Dexion. Bids should state the number and class of Placing Shares which are being offered to be acquired at the Placing Price which is ultimately established by the Company and the Joint Bookrunners.

5.             The Joint Bookrunners reserve the right not to accept bids or to accept bids in part rather than in whole and may scale down any bids for this purpose on such basis as they may determine. The acceptance of bids and the allocation of Placing Shares (if any) shall be determined by the Joint Bookrunners and the Company in their absolute discretion.

6.             The book-building process is expected to close at 3.00 p.m. on 22 September 2010, but may be closed earlier or later, on that or any other day, as determined by the Joint Bookrunners and the Company in their sole discretion. The Joint Bookrunners may, at their sole discretion, accept bids that are received after the book-building has closed.

7.             Allocations will be confirmed orally by the Joint Bookrunners as soon as practicable following the close of the book building. The Joint Bookrunners' oral confirmation of an allocation will give rise to a legally binding commitment by the Placee concerned, in favour of the Joint Bookrunners and the Company, under which it agrees to acquire the number of Placing Shares allocated to it at the applicable Placing Price on the terms and subject to the conditions set out in this Appendix and the Company's memorandum and articles of association.

8.             All bids will be made on the terms and subject to the conditions in this Appendix and will be legally binding on the Placee on behalf of which it is made and except with the Joint Bookrunners' and the Company's consent will not be capable of variation or revocation after the time at which it submitted. Each Placee will have an immediate, separate, irrevocable and binding obligation, owed to the Joint Bookrunners, to pay to the Joint Bookrunners (or as they may direct) in cleared funds an amount equal to the product of the Placing Price and the amount of Placing Shares for each class or classes of Placing Shares that such Placee has agreed to acquire. Each Placee's obligations will be owed to the Company and to the Joint Bookrunners.

9.             Irrespective of the time at which a Placee's allocation(s) pursuant to the Placing is/are confirmed, settlement for all Placing Shares to be acquired pursuant to the Placing will be required to be made at the same time, on the basis explained below under "Settlement and Admission".

10.           All obligations under the book-building and the Placing will be subject to fulfilment of the conditions referred to below under "Conditions of the Placing" and to the Placing not being terminated on the basis referred to below under "Right to terminate under the Placing Agreement".

Settlement and Admission

RBS and DCGL are acting as execution and settlement agents in respect of the Placing. Placees will be sent a contract note or electronic confirmation which will confirm the number and class of Placing Shares allocated to them, the applicable Placing Price, the aggregate amount owed by them and settlement instructions. If Placing Shares are to be delivered to a custodian or settlement agent, Placees must ensure that, upon receipt, the contract note is copied and delivered immediately to the relevant person within that organisation.

Placees will only receive Placing Shares subscribed by them in uncertificated form by registration to their CREST accounts in consideration of the transfer by them to either the RBS account or DCGL account within CREST of all subscription monies due.

RBS and DCGL expect (as settlement agents) to input trades into the relevant settlement system with a trade date of 23 September 2010 for delivery on 28 September 2010 (T+3).

Placees procured by RBS Hoare Govett should match their instructions to RBS CREST participant ID 521 by no later than the close of business on 27 September 2010.

Placees procured by Dexion should match their instructions to Dexion Capital (Guernsey) Limited CREST participant ID 7RA79 by no later than the close of business on 27 September 2010.

The ISIN numbers for each class of the Company's ordinary share capital is as follows:

Share description	ISIN code
Sterling Shares of no par value	GB00B13YVW48
Euro Shares of no par value	GB00B13YXC81
US$ Shares of no par value	GB00B13YXH37

Each Placee will be deemed to agree that it will do all things necessary to ensure that delivery and payment is completed in accordance with the standing CREST or certificated settlement instructions which they have in place with the Joint Bookrunners. 

In the event of any difficulties or delays in the admission of the Placing Shares to CREST or the use of CREST in relation to the Placing, the Company and the Joint Bookrunners may agree that the Placing Shares should be issued in certificated form. the Joint Bookrunners reserve the right to require settlement for the Placing Shares, and to deliver the Placing Shares to Placees, by such other means as they deem necessary if delivery or settlement to Placees is not practicable within the CREST systems or would not be consistent with regulatory requirements in a Placee's jurisdiction. 

Settlement of transactions in the Placing Shares following Admission may take place within the CREST systems.

Interest is chargeable daily on payments not received on the due date in accordance with the arrangements set out above, in respect of CREST or certificated deliveries, at the rate of 5 percentage points above prevailing LIBOR.

If Placees do not comply with their obligations the Joint Bookrunners may sell their Placing Shares on their behalf and retain from the proceeds, for its own account and benefit, an amount equal to the Placing Price of each share sold plus any interest due. Placees will, however, remain liable for any shortfall below the Placing Price and for any stamp duty or stamp duty reserve tax (together with any interest or penalties) which may arise upon the sale of their Placing Shares on their behalf.

Placees will not be entitled to receive any fee or commission in connection with the Placing.

Time shall be of the essence as regards the obligations of Placees to settle payment for the Placing Shares and to comply with their other obligations under this Appendix.

The Company will apply for admission of the Placing Shares to the Official List of the Financial Services Authority and to listing on the London Stock Exchange's market for listed securities. It is expected that settlement and Admission will take place and that trading will commence in the Placing Shares on 28 September 2010.

Conditions of the Placing

The obligations of the Joint Bookrunners under the Placing Agreement are conditional upon, inter alia, (i) agreement between the Company and the Joint Bookrunners of the Placing Price and the number of Placing Shares of each class to be issued pursuant to the Placing, (ii) each of the warranties given by the Company and BlueCrest being true and accurate and not being or becoming misleading (in each case) by reference to the facts and circumstances subsisting at any time prior to Admission and no matter having arisen which might reasonably be expected to give rise to a claim for indemnity under the Placing Agreement, (iii) Admission occurring no later than 8.00 a.m. on 28 September 2010 or such other time or date as the Company and the Joint Bookrunners may agree in writing (not being later than 5 October 2010), and (iv) in the good faith opinion of the Joint Bookrunners, there shall not have been prior to Admission any material adverse change (whether or not foreseeable) in, or any development likely to involve a prospective material adverse change in or affecting, the condition, financial or otherwise, or the earnings or business affairs or business prospects of the Company, whether or not arising in the ordinary course of business.

If (a) the conditions in the Placing Agreement relating to the Placing are not satisfied or waived by the Joint Bookrunners (in their absolute discretion) within the stated time period (or such later time and/or date as the Joint Bookrunners may decide) or (b) the Placing Agreement is terminated in the circumstances specified below prior to Admission of the Placing Shares, the Placing will not take place and the rights and obligations of Placees hereunder in respect hereof shall cease and determine at such time and no claim can be made in respect thereof.

By participating in the book-building process, each participant agrees that its rights and obligations hereunder in relation to the Placing are conditional upon the Placing Agreement becoming unconditional in all respects and not being terminated and will terminate only in the circumstances described above (or otherwise in circumstances in which the Joint Bookrunners or the Company are entitled to terminate them and without any liability on the part of the Joint Bookrunners or the Company for any decision to terminate or not terminate) and will not be capable of rescission or termination by that participant.

The Joint Bookrunners reserve the right to waive or to extend the time and /or date for fulfilment of any of the conditions in the Placing Agreement. Neither the Joint Bookrunners nor the Company shall have any liability to any Placee (or to any other person whether acting on behalf of a Placee or otherwise) and no claim may be made against the Joint Bookrunners in respect of any decision it may make as to whether or not to invoke, waive or to extend the time and/or date for the satisfaction of any condition in the Placing Agreement, and by participating in the book-building each participant agrees that any such decision is within the absolute discretion of the Joint Bookrunners or the Company as the case may be.

Right to terminate under the Placing Agreement

The Joint Bookrunners may terminate the Placing Agreement at any time if before Admission it shall come to the notice of either Joint Bookrunner that (inter alia):

(a)           there has been a breach of any of the warranties or of any other term of the Placing Agreement by the Company and/or BlueCrest; or

(b)           trading in any securities of the Company has been suspended or limited by the London Stock Exchange, or if trading generally on the New York Stock Exchange, the NASDAQ National Market or the London Stock Exchange has been suspended or limited, or minimum or maximum prices for trading have been fixed, or maximum ranges for prices have been required, by any of such exchanges or by such system or by order of any governmental authority, or a material disruption has occurred in commercial banking or securities settlement or clearance services in the United States or in Europe; or

(c)           there has occurred any material adverse change in the financial markets in the United States, the United Kingdom, any member of the European Union or the international financial markets, any outbreak of hostilities or escalation of hostilities or other calamity or crisis or any change or development involving a prospective change in national or international political, financial or economic conditions, or currency exchange rates, in each case the effect of which is such as to make it, in the good faith judgement of the Joint Bookrunners, impracticable or inadvisable to proceed with the Placing in the manner contemplated by this Agreement or which in the judgement of the Joint Bookrunners may materially and adversely affect the success of the Placing or dealings in the Shares following Admission.

By participating in the Placing, each participant agrees that the exercise by the Joint Bookrunners or the Company of any right or termination or other discretion under the Placing Agreement shall be within the absolute discretion of the Joint Bookrunners or the Company (as the case may be) and that none of them need make any reference to any such participant and that none of them shall have any liability to any participant whatsoever (and no claim may be made by any participant) in connection with any such exercise).

No Prospectus

The Placing Shares are being offered to Relevant Persons only and will not be offered in such a way as to require a prospectus in Guernsey or the United Kingdom or elsewhere. No prospectus has been or will be submitted to be approved by the Guernsey Financial Services Commission nor the States of Guernsey Policy Council nor the FSA in relation to the Placing and each participant's commitment will be made solely on the basis of the information contained in this announcement and any Publicly Available Information (as such term is defined below). Each participant, by participating in the Placing agrees that the content of this announcement and the Pricing Announcement is exclusively the responsibility of the Company, and each participant confirms that it has neither received nor relied on any other information, representation, warranty or statement made by or on behalf of the Joint Bookrunners, DCGL, the Company or BlueCrest and none of such persons will be liable for any person's decision to accept this invitation to participate in the Placing based on any other information, representation, warranty or statement. Each participant acknowledges and agrees that it has relied on its own investigation of the business, financial or other position of the Company in deciding to participate in the Placing. Nothing in this paragraph shall exclude the liability of any person for fraudulent misrepresentation.

Representations and Warranties

By participating in the book-building, each participant (and any person acting on its behalf):

1.   represents and warrants that it has read and understood this document in its entirety and acknowledges that its participation in the Placing will be governed by the terms of this document;

2.   represents and warrants that it has the power and authority to subscribe for the Placing Shares to be issued to it under the Placing and to execute and deliver all documents necessary for such subscription and the person orally committing to subscribe for the Placing Shares on its behalf has been duly authorised to do so;

3.   agrees to indemnify on an after-tax basis and hold harmless each of the Company, RBS Hoare Govett, Dexion, BlueCrest, their respective Affiliates and any person acting on its behalf from any and all costs, claims, liabilities and expenses (including legal fees and expenses) arising out of or in connection with any breach of the representations, warranties, acknowledgements, agreements and undertakings in this document and further agrees that the provisions of this document shall survive after completion of the Placing;

4.   is able to obtain or access the Publicly Available Information without undue difficulty;

5.   acknowledges that none of the Joint Bookrunners or BlueCrest, nor any of their respective Affiliates nor any person acting on their behalf has provided, and will not provide it with any material or information regarding the Placing Shares or the Company; nor has it requested the Joint Bookrunners, any of their respective Affiliates nor any person acting on their behalf to provide it with any such material or information;

6.   represents, warrants and agrees that the only information on which it is entitled to rely and on which such Placee has relied in committing to subscribe for the Placing Shares is contained in this document and any Publicly Available Information, such information being all that it deems necessary to make an investment decision in respect of the Placing Shares, and that it has relied on its own investigation with respect to the Placing Shares and the Company in connection with its decision to subscribe for the Placing Shares and acknowledges that it is not relying on any investigation that the Joint Bookrunners, BlueCrest, any of their respective Affiliates or any person acting on their behalf may have conducted with respect to the Placing Shares or the Company and none of such persons has made any representations to it, express or implied, with respect thereto;

7.   acknowledges that it has not relied on any information relating to the Company contained in any research reports prepared by RBS Hoare Govett, Dexion, or any of their respective Affiliates or any person acting on their or any of their respective Affiliates' behalf and understands that (i) none of RBS Hoare Govett, Dexion, any of their respective Affiliates nor any person acting on their behalf has or shall have any liability for public information or any representation; (ii) none of RBS Hoare Govett, Dexion, any of their respective Affiliates nor any person acting on their behalf has or shall have any liability for any additional information that has otherwise been made available to such Placee, whether at the date of publication, the date of this document or otherwise; and that (iii) none of RBS Hoare Govett, Dexion, any of their respective Affiliates nor any person acting on their behalf makes any representation or warranty, express or implied, as to the truth, accuracy or completeness of such information, whether at the date of publication, the date of this document or otherwise;

8.   represents and warrants that (i) it is entitled to acquire the Placing Shares under the laws and regulations of all relevant jurisdictions which apply to it; (ii) it has fully observed such laws and regulations and obtained all such governmental and other guarantees, consents and authorities which may be required thereunder and complied with all necessary formalities; (iii) it has all necessary capacity to commit to participation in the Placing and to perform its obligations in relation thereto and will honour such obligations; (iv) it has paid any issue, transfer or other taxes due in connection with its participation in any territory; and (v) it has not taken any action which will or may result in the Company, the Joint Bookrunners, any of their respective Affiliates or any person acting on their behalf being in breach of the legal and/or regulatory requirements of any territory in connection with the Placing;

9.   represents and warrants that the issue to the Placee, or the person specified by the Placee for registration as holder, of Placing Shares will not give rise to a liability under any of sections 67, 70, 93 or 96 of the Finance Act 1986 (depositary receipts and clearance services) and that the Placing Shares are not being acquired in connection with arrangements to issue depositary receipts or to issue or transfer Placing Shares into a clearance system;

10.  represents and warrants that it understands that the Placing Shares have not been and will not be registered under the Securities Act or under the securities laws of any state or other jurisdiction of the United States (as defined below) and that the Company has not been registered as an "investment company" under the United States Investment Company Act of 1940, as amended;

11.  represents and warrants that it is, or at the time the Placing Shares are acquired, it will be, (a) the beneficial owner of such Placing Shares and is neither a person located in the United States of America, its territories or possessions, any state of the United States or the District of Columbia (the "United States") nor on behalf of a person in the United States, (b) acquiring the Placing Shares in an offshore transaction (as defined in Regulation S under the Securities Act) and (c) will not offer or sell, directly or indirectly, any of the Placing Shares in the United States except in accordance with Regulation S or pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act;

12.  represents and warrants that it has not offered or sold and will not offer or sell any Placing Shares to persons in the United Kingdom prior to Admission except to "Qualified Investors";

13.  represents and warrants that it has only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or inducement to engage in investment activity (within the meaning of section 21 of FSMA) relating to the Placing Shares in circumstances in which it is permitted to do so pursuant to section 21 of FSMA;

14.  represents and warrants that it has complied and will comply with all applicable provisions of FSMA with respect to anything done by it in relation to the Placing Shares in, from or otherwise involving the United Kingdom;

15.  represents and warrants that it has complied with its obligations in connection with money laundering and terrorist financing under the Criminal Justice Act 1993, the Proceeds of Crime Act 2002, the Terrorism Act 2000, the Anti-terrorism Crime and Security Act 2001 and the Money Laundering Regulations 2007 (the "Regulations") and, if it is making payment on behalf of a third party, that satisfactory evidence has been obtained and recorded by it to verify the identity of the third party as required by the Regulations;

16.  acknowledges that due to anti-money laundering requirements, the Joint Bookrunners, the Company and/or DCGL may require proof of identity and verification of the source of the payment before its application can be processed and that, in the event of delay or failure by the participant to produce any information required for verification purposes, the Joint Bookrunners, the Company and/or DCGL may refuse to accept the application and the subscription moneys relating thereto and agrees and undertakes to hold harmless and indemnify the Joint Bookrunners, the Company and/or DCGL against any liability, loss or cost ensuing due to the failure to process its application, if such information as has been required has not been provided by it;

17.  acknowledges that any person in Guernsey involved in the business of the Company (including DCGL) who has a suspicion or belief that any other person (including the Company or any person subscribing for Placing Shares) is involved in money laundering activities, is under an obligation to report such suspicion to the Financial Intelligence Service pursuant to The Criminal Justice (Proceeds of Crime) (Bailiwick of Guernsey) Law, 1999 (as amended);

18.  acknowledges that pursuant to The Data Protection (Bailiwick of Guernsey) Law, 2001, (the "DP Law") the Company, and/or its registrar, and/or DCGL, may hold personal data (as defined in the DP Law) relating to past and present shareholders and that such personal data held is used to maintain the Company's register of shareholders and mailing lists and this may include sharing data with third parties in one or more countries when (a) effecting the payment of dividends and redemption proceeds to shareholders and the payment of commissions to third parties and (b) filing returns of shareholders and their respective transactions in shares with statutory bodies and regulatory authorities and consents to the processing of its personal data for such purposes;

19.  represents and warrants that it is (a) a person falling within Article 19(5) of the Order or (b) a person falling within Article 49(2)(a) to (d) of the Order and undertakes that it will acquire, hold, manage or dispose of any Placing Shares that are allocated to it for the purposes of its business;

20.  represents and warrants that it is a Qualified Investor (as defined in section 86(7) of FSMA, being a person falling within Article 2.1(e)(i), (ii) or (iii) of the Prospectus Directive);

21.  undertakes that it (and any person acting on its behalf) will pay for the Placing Shares acquired by it in accordance with this document on the due time and date set out herein against delivery of such Placing Shares to it, failing which the relevant Placing Shares may be placed with other Placees or sold as the Joint Bookrunners may, in their absolute discretion, determine and it will remain liable for any shortfall below the net proceeds of such sale and the placing proceeds of such Placing Shares and may be required to bear any stamp duty or stamp duty reserve tax (together with any interest or penalties due pursuant to the terms set out or referred to in this document) which may arise upon the sale of such Placee's Placing Shares on its behalf;

22.  acknowledges that none of the Joint Bookrunners, any of their respective Affiliates, the Company, BlueCrest nor any person acting on their behalf is making any recommendations to it or advising it regarding the suitability or merits of any transaction it may enter into in connection with the Placing, and acknowledges that neither the Joint Bookrunners, any of their respective Affiliates, the Company, BlueCrest nor any person acting on their behalf has any duties or responsibilities to it for providing advice in relation to the Placing or in respect of any representations, warranties, undertakings or indemnities contained in the Placing Agreement or for the exercise or performance of any of the Joint Bookrunners' rights and obligations thereunder, including any right to waive or vary any condition or exercise any termination right contained therein;

23.  undertakes that (i) the person whom it specifies for registration as holder of the Placing Shares will be (a) the Placee; or (b) the Placee's nominee, as the case may be; (ii) neither the Joint Bookrunners or the Company will be responsible for any liability to stamp duty or stamp duty reserve tax resulting from a failure to observe this requirement; and (iii) the Placee and any person acting on its behalf agrees to acquire the Placing Shares on the basis that the Placing Shares will be allotted to the CREST stock account of RBS Hoare Govett or DCGL (as the case may be) which will hold them as settlement agent as nominee for the Placees until settlement in accordance with its standing settlement instructions with payment for the Placing Shares being made simultaneously upon receipt of the Placing Shares in the Placee's stock account on a delivery versus payment basis;

24.  acknowledges that any agreements entered into by it pursuant to these terms and conditions shall be governed by and construed in accordance with the laws of England and it submits (on behalf of itself and on behalf of any person on whose behalf it is acting) to the exclusive jurisdiction of the English courts as regards any claim, dispute or matter arising out of any such contract;

25.  acknowledges that it irrevocably appoints any director of the Joint Bookrunners as its agent for the purposes of executing and delivering to the Company and/or its registrars any documents on its behalf necessary to enable it to be registered as the holder of any of the Placing Shares agreed to be taken up by it under the Placing;

26.  represents and warrants that it is not a resident of the United States, Canada, Australia or Japan and acknowledges that the Placing Shares have not been and will not be registered nor will a prospectus be cleared or passported in respect of the Placing Shares under the securities legislation of the United States, Canada, Australia or Japan and, subject to certain exceptions, may not be offered, sold, taken up, renounced, delivered or transferred, directly or indirectly, within the United States, Canada, Australia or Japan;

27.  represents and warrants that any person who confirms to RBS Hoare Govett or Dexion (as the case may be) on behalf of a Placee an agreement to subscribe for Placing Shares and/or who authorises RBS Hoare Govett or Dexion (as the case may be) to notify the Placee's name to the Company's registrar, has authority to do so on behalf of the Placee;

28.  acknowledges that the agreement to settle each Placee's acquisition of Placing Shares (and/or the acquisition of a person for whom it is contracting as agent) free of stamp duty and stamp duty reserve tax depends on the settlement relating only to an acquisition by it and/or such person direct from the Company of the Placing Shares in question. Such agreement assumes that the Placing Shares are not being acquired in connection with arrangements to issue depositary receipts or to issue or transfer the Placing Shares into a clearance service. If there were any such arrangements, or the settlement related to other dealing in the Placing Shares, stamp duty or stamp duty reserve tax may be payable, for which neither the Company nor the Joint Bookrunners nor DCGL will be responsible. If this is the case, the Placee should take its own advice and notify RBS Hoare Govett or Dexion (as the case may be) accordingly;

29.  acknowledges that the Placing Shares will be issued and/or transferred subject to the terms and conditions set out in this document and in accordance with the Company's memorandum and articles of association;

30.  acknowledges that when a Placee or any person acting on behalf of the Placee is dealing with RBS Hoare Govett or Dexion or DCGL (as the case may be) any money held in an account with RBS Hoare Govett or Dexion or DCGL (as the case may be) on behalf of the Placee and/or any person acting on behalf of the Placee will not be treated as client money within the meaning of the relevant rules and regulations of the FSA and GFSC. The Placee acknowledges that the money will not be subject to the protections conferred by the client money rules; as a consequence, this money will not be segregated from RBS Hoare Govett or Dexion or DCGL (as the case may be) money in accordance with the client money rules and will be used by RBS Hoare Govett or Dexion or DCGL (as the case may be) in the course of its business; and the Placee will rank only as a general creditor of RBS Hoare Govett or Dexion or DCGL (as the case may be);

31.  acknowledges and understands that the Company, the Joint Bookrunners, DCGL, and others will rely upon the truth and accuracy of the foregoing representations, warranties, agreements, undertakings and acknowledgements;

32.  acknowledges that until 40 days after the later of the commencement of the Placing and the closing date, an offer or sale of Placing Shares within the United States by any dealer (whether or not participating in the Placing) may violate the registration requirements of the Securities Act if such offer or sale is made otherwise than in accordance with Rule 144A under the Securities Act or pursuant to another exemption from registration under the Securities Act to a person that is a "qualified purchaser" (as defined in Section 2(a)(51) of the United States Investment Company Act of 1940, as amended); and

33.  acknowledges that the basis of allocation will be determined by the Joint Bookrunners (after consulting with the Company) in their absolute discretion. The right is reserved to reject in whole or in part and/or scale back any participation in the Placing.

General

This Appendix and the announcement of which it forms part have been issued by the Company and are the sole responsibility of the Company.

The Joint Bookrunners are acting exclusively for the Company and no one else in connection with the Placing and the Joint Bookrunners will not be responsible to anyone (including Placees) other than the Company for providing the protections afforded to its respective clients or for providing advice in relation to the Placing or any other matters referred to in this Appendix and the announcement of which it forms part.

Each participant in the Placing and any person acting on behalf of such participant acknowledges that the Joint Bookrunners do not owe fiduciary or other duties to any person in respect of any representations, warranties, undertakings or indemnities in the Placing Agreement and that such representations, warranties, undertakings and indemnities are not given for the benefit of any Placee.

Each participant in the Placing and any person acting on behalf of such participant acknowledges and agrees that the Joint Bookrunners may (at their absolute discretion) satisfy their obligations to procure Placees by themselves agreeing to become Placee in respect of some or all of the Placing Shares or by nominating any connected or associated person to do so.

When a Placee or any person acting on behalf of the Placee is dealing with the Joint Bookrunners or DCGL, any money held in an account with the Joint Bookrunners or DCGL on behalf of the Placee and/or any person acting on behalf of the Placee will not be treated as client money within the meaning of the relevant rules and regulations of the Financial Services Authority and GFSC which therefore will not require the Joint Bookrunners or DCGL to segregate such money, as that money will be held by it under a banking relationship and not as trustee.

The net asset value figures included in this announcement are estimates, and are based on unaudited estimated valuations. Final month-end net asset values may be materially different from these estimated weekly values, which should only be taken as indicative values which have been provided for information only and no reliance should be placed on them. Estimated results, performance or achievements may differ materially from any actual results, performance or achievements. Except as required by applicable law and regulation, the Company expressly disclaims any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise.

It should be noted that past performance is not necessarily indicative of the future performance of the Placing Shares or the existing shares of the Company. Further, any indication in this announcement of the price at which securities of the Company have been bought or sold in the past cannot be relied upon as a guide to future performance of the securities of the Company. No statement in this announcement is intended to be a profit forecast or dividend forecast. Persons needing advice should consult an independent financial adviser.

All times and dates in this announcement may be subject to amendment. The Joint Bookrunners will notify Placees and any persons acting on behalf of Placees of any changes.

This announcement and the information contained herein is not for distribution directly or indirectly in or into the United States, Canada, Australia, Japan or to U.S. Persons. This announcement does not constitute an offer to sell or issue or the solicitation of an offer to buy or acquire ordinary shares in the capital of the Company in the United States, Canada, Australia, Japan or to U.S. Persons or in any jurisdiction in which such an offer or solicitation is unlawful. The Placing Shares have not been, nor will they be, registered under the U.S. Securities Act or with any securities regulatory authority of any State or other jurisdiction of the United States, and accordingly may not be offered, sold or transferred within the United States except pursuant to an exemption from, or in a transaction not subject to, registration under the Securities Act. No public offering of the Placing Shares will be made in the United States.

Definitions

In this announcement:

"Admission" means the admission of the Placing Shares to the Official List in accordance with the Listing Rules and to trading on the London Stock Exchange's main market for listed securities

"AllBlue" means AllBlue Limited

"AllBlue Sub-Investment Managers" means BlueCrest Capital Management (UK) LLP and BlueCrest

Capital Management Guernsey LP

"Company" means BlueCrest AllBlue Fund Limited

"BlueCrest" means BlueCrest Capital Management LLP

"DCGL" means Dexion Capital (Guernsey) Limited

"Dexion" or "Dexion Capital" means Dexion Capital plc

"Disclosure and Transparency Rules" means the disclosure rules and transparency rules made by the UKLA, as from time to time amended

"Euro Shares" means ordinary shares denominated in Euros of no par value in the capital of the Company

"FSA" means the Financial Services Authority

"FSMA" means the Financial Services and Markets Act 2000, as amended

"GFSC" means the Guernsey Financial Services Commission

"RBS Hoare Govett" means RBS Hoare Govett Limited

"Investment Company Act" means the United States Investment Company Act of 1940, as amended

"Listing Rules" means the listing rules made by the UKLA, as from time to time amended

"London Stock Exchange" means London Stock Exchange plc

"Net Asset Value" or "NAV" the total assets of the Company less its total liabilities (including accrued but unpaid fees) or, where relevant, the total assets attributable to a class of Shares less the total liabilities attributable to that class of Shares (including the relevant proportion of accrued but unpaid fees) in each case valued in accordance with the Company's accounting policies adopted by the Company from time to time and expressed in Sterling

"New Sterling Shares" means the new ordinary shares denominated in Sterling of no par value in the capital of the Company to be issued as Sterling Shares pursuant to the Placing

"New Euro Shares" means the new ordinary shares denominated in Euros of no par value in the capital of the Company to issued as Euro Shares pursuant to the Placing

"New US$ Shares" means the new ordinary shares denominated in US Dollars of no par value in the capital of the Company to issued as US$ Shares pursuant to the Placing

"Official List" means the official list of the UKLA

"Order" means the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended)

"Placees" means certain professional and institutional investors whose applications for Placing Shares are accepted by the Joint Bookrunners and "Placee" means any one of them

"Placing" means the placing of the Placing Shares

"Placing Agreement" means the agreement entered into by the Company, BlueCrest and the Joint Bookrunners on 15 September 2010 in relation to the Placing

"Placing Price" means the price per share for the issue of each class of Placing Shares as determined through the book-building process and announced in the Pricing Announcement

"Pricing Announcement" means the press announcement giving the results of the book-building and the price per share and total number of each class of Placing Shares to be issued

"Placing Shares" means the New Euro Shares, the New Sterling Shares and the New US$ Shares to be issued pursuant to the Placing, the number and price of which being specified in the Pricing Announcement

"Publicly Available Information" means this announcement, the Pricing Announcement, any other information publicly announced to a Regulatory Information Service by or on behalf of the Company prior to the date of this announcement

"Regulation S" means Regulation S under the Securities Act

"Regulatory Information Service" means any of the regulatory information services included within the list maintained on the London Stock Exchange's website

"Relevant Person" means: (a) persons in member states of the European Economic Area who are qualified investors as defined in Article (2)(i)(e) ("qualified investors") of Directive 2003/71/EC; (b) in the United Kingdom, qualified investors who also are persons (1) who have professional experience in matters relating to investments falling within Article 19(5) (investment professionals) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended) (the "Order") or (2) falling within Article 49(2)(a) to (d) (high net worth companies, incorporated associations, etc.) of the Order; and (c) other persons to whom this announcement may otherwise lawfully be communicated

"Restricted Jurisdictions" means any jurisdiction in which the offer or solicitation of an offer to buy or subscribe for shares in the capital of the Company is unlawful

"Securities Act" means the United States Securities Act of 1933, as amended

"Shares" means the Sterling Shares, the Euro Shares and the US$ Shares or, if the context specifically requires, the Sterling Shares, the Euro Shares and/or the US$ Shares

"Sterling Shares" means ordinary shares denominated in Sterling of no par value in the capital of the Company

"UKLA" means the FSA as the competent authority for listing in the United Kingdom or any successor body which may be designated for such purposes

"Underlying Fund" means each of BlueCrest Capital International Limited, BlueTrend Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited, BlueMatrix Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCube Limited and any other investment fund in which AllBlue may invest from time to time (together the "Underlying Funds")

"United States" or "U.S." means the United States of America, its territories and possessions, any State of the United States and the District of Columbia

"US$ Shares" means ordinary shares denominated in US Dollars of no par value in the capital of the Company

"U.S. Person" has the meaning given such term as defined in and in accordance with Regulation S

 

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