Annual Financial Report

RNS Number : 3987C

BlueCrest AllBlue Fund Ltd

30 April 2012

 



BlueCrest AllBlue Fund Limited (the "Company")

BlueCrest AllBlue Fund Limited (LSE: BABS, BABU, BABE) is pleased to announce its annual results for the year ended 31 December 2011.

The Company is a self-managed closed-ended investment company incorporated in Guernsey with registered number 44704 on 21 April 2006 with an unlimited life. 

Investment Objective and Policy

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 Limited ("AllBlue") or any successor vehicle of AllBlue.  Accordingly, the Company's published investment policy is consistent with that of AllBlue. In the event that AllBlue changes its investment policy without Shareholder approval, the directors will consider removing the Company's assets from AllBlue or taking other appropriate action so that the Company is not in breach of any applicable regulation.

AllBlue Limited

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 are therefore offered an opportunity to participate indirectly in the same investment portfolio as that of AllBlue. 

AllBlue Leveraged Feeder Limited

As announced on the 26 March 2012 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements will be that the Company's aggregate investment exposure to AllBlue will remain broadly the same whilst providing access to more immediate liquidity. 

The initial Cash Reserve amounted to approximately 3 per cent. of the total assets of the Company as at 5 April 2012. 

CHAIRMAN'S STATEMENT

Dear Shareholder 

The 2011 financial year saw the Company deliver a positive return in its net asset value but experience a decline in its share price. This occurred against a challenging and volatile macro backdrop.  Concerns over the state of the European Sovereign Debt markets dominated investors' focus, and rapid swings in sentiment provided multiple opportunities for investors to be wrong-footed.  Whilst the absolute level of return was below AllBlue's annual target, downside distributions were effectively minimised as a result of the consistent and disciplined adherence to BlueCrest's long established risk management procedures. Unlike most peer companies, and contrary to movements in most equity markets, the Company saw a 2.22% increase in net asset value per share for the Sterling Class. However, while the Company's Sterling shares traded at a premium throughout most of the calendar year, the shares moved from a premium to a 0.7 % discount towards year-end resulting in a -1.71% fall in the share price for the year. Aggregate net assets of the Company across the three share classes (in Sterling terms) at year-end were approximately £935 million. The Company represents approximately 20% of AllBlue's net assets.

Investment Performance

During 2011, the published Sterling Share NAV rose from 164.69p to 168.34p, a return of 2.22% for the year.  AllBlue recorded eight months of positive performance over the year, with returns driven predominantly by two strategies with the other strategies exhibiting a more muted impact.  The table below illustrates that the Company's performance in 2011 once again compares favourably to the alternative asset management indices and, on the whole, to broader asset classes generally:

                                                                                    2011                2010                2009

SterlingShare NAV                                                  2.2%                8.2%                21.5%

Dollar Share NAV                                                      1.8%                7.9%                21.0%

HFRX Global Hedge Fund Index                                 -8.9%               5.2%                13.4%

MSCI World Index                                                       -7.6%               8.2%                28.5%

BarCap Global Aggregate Bond Index (Hedged)        5.4%                4.6%                5.1%

The Sterling Share NAV performance since launch in May 2006 to 29 February 2012 is 74.17% equivalent to approximately 12.85% on an annualised basis.

Risk Management and Liquidity

BlueCrest has advised the Board that its risk management practices and procedures remained in full and uninterrupted operation throughout the year.  It has further advised the Board that the underlying funds into which AllBlue invests continue to be highly liquid and that levels of leverage employed in the trading strategies remained consistent with prior years.  The weighted average unencumbered cash within the underlying funds, a measure of the implicit leverage within the margin-based strategies employed by the underlying funds, stood at approximately 45% as at 31 December 2011. An additional 25.3% was held in the BlueCrest managed Alignment Global Fund, a weekly liquidity UCITS vehicle targeting cash + 3%. BlueCrest monitors counterparty risk on a regular basis and has continued to reduce the counterparty exposure of the Underlying Funds where appropriate.

Company Liquidity Management

Following the year end, the Company redeemed 10% of its investment in each currency share class of AllBlue on 1 April 2012 in order to generate a cash reserve of approximately 3% of the total assets of the Company (the "Cash Reserve") to provide flexibility to the Company to repurchase Shares should the directors consider this to be desirable, as well as for meeting expenses of the Company. The directors will be seeking renewal of the authority to repurchase Shares at the general meeting to be held on 3 August 2012.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested approximately 7% of the total assets of the Company into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

Share Price Performance

During 2011 the market price of the Sterling Share decreased from 170.00p to 167.10p, a depreciation of -1.71%.  This depreciation saw the shares move from a trading premium of 3.2% to a discount of -0.7%. The Company has continued to trade well relative to its peer group, a large number of which have continued to trade at a persistent discount but the board is alert to the Company's more recent move to a discount.  The average premiums over the year for each of the Sterling, Euro and US Dollar Share classes were 1.6%, 1.6% and 1.7%, respectively.

As at 31 December 2011, each of the Sterling, Euro and US Dollar Share classes were trading at premiums / discounts of -0.7%, 0.3% and -1.3% respectively.

Corporate Broker

During 2011 the Board undertook a review of its corporate broker services concluding that the existing broker, RBS Hoare Govett, should continue to provide broker services to the Company and also that Dexion Capital plc should be appointed as a joint broker.  In early 2012 the Company's contract with RBS Hoare Govett was novated to Jeffries Hoare Govett.

Governance

The Board is committed to the highest standards of corporate governance and reviews its governance on a regular basis.  Within the year under review an externally facilitated evaluation of the Board took place.  Optimus Group Limited (the "Facilitator"), conducted the review through a discussion framework circulated to the directors, followed by interviews with the directors and a review of the Board's documents. The Facilitator provided a final report which concluded that the Board of the Company maintains a high standard of corporate governance.

Outlook

The Company has enjoyed a positive start to 2012, and has been advised by BlueCrest that, whilst the macro environment remains challenging, it believes the opportunity set for the underlying funds into which AllBlue invests is attractive.

I look forward to reporting to you again in the Half-Yearly Financial Report for the period ending 30 June 2012.

Richard Crowder

Chairman

30 April 2012

MANAGEMENT REPORT FOR THE YEAR ENDED 31 DECEMBER 2011

A description of important events which have occurred during the financial year, their impact on the performance of the Company as shown in the financial statements and a description of the principal risks and uncertainties facing the Company, together with an indication of important events that have occurred since the end of the financial year and the Company's likely future development is given in the Chairman's Statement and the notes to the financial statements is incorporated here by reference.

There were no material related party transactions which took place in the financial year, other than those disclosed in the report of the directors and at note 6 to the financial statements.

Going Concern

The performance of the investments held by the Company over the reporting year are described in the Statement of Comprehensive Income and the outlook for the future is described in the Chairman's Statement.  The Company's financial position, its cash flows and liquidity position are set out in the financial statements and the Company's financial risk management objectives and policies, details of its financial instruments and its exposures to market price risk, credit risk, liquidity risk, interest rate risk and the risk of leverage by underlying funds are set out at note 15 to the financial statements.  During the year under review in order to cover the on-going expenses of the Company, the Company entered into a £500,000 Overdraft Facility (the "Facility") with Barclays Private Clients International Limited ("Barclays").  Subsequent to 31 December 2011 the Company has redeemed a portion of its investment in each share class of AllBlue in order to generate a Cash Reserve for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.  On receipt of the Cash Reserve the Company's overdraft facility will be repaid and cancelled.

The Company's Articles incorporate a discount management provision (which applies to each class of Share individually) that requires a continuation vote to be proposed in respect of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution).

As at 29 February 2012, the Sterling Shares had traded at an average 0.74% premium to their net asset values, the Euro Shares at an average 1.2% premium and the US Dollar Shares at an average premium of 1.08%, all over the previous 12 month period. As at 25 April 2012, being the latest practicable date prior to the issue of this report, the Company's Shares were trading at a discount to their net asset value of 5.65% in the case of Sterling Shares, 4.06% for Euro Shares and 5.67% for US Dollar Shares.  

After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future.  Accordingly, they continue to adopt the going concern basis in the preparation of this annual financial report.

Responsibility Statement

The Board of directorsjointly and severally confirm that, to the best of their knowledge:

(a)        the financial statements, prepared in accordance with International Financial Reporting Standards as adopted by the European Union, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and

(b)        This Management Report includes or incorporates by reference a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.

Paul Meader                                        John Le Prevost

Director                                               Director

STATEMENT OF COMPREHENSIVE INCOME for the year ended 31 December 2011
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
	Notes		£		€		$		£		€		$		£
Net gain on financial assets
at fair value through profit or
loss	7		19,312,502		543,403		1,478,302		-		-		-		20,703,690
Operating expenses	3		(673,449)		(11,449)		(109,455)		-		-		-		(753,638)
Currency aggregation
adjustment			-		-		-		-		-		-		1,455,117
Increase in net assets
attributable to shareholders			18,639,053		531,957		1,368,847		-		-		-		21,405,169
Earnings per Share for the			Pence (£)		Cent (€)		Cents ($)		Pence (£)		Cent (€)		Cents ($)
year
- Basic and Diluted	5		3.71		5.27		1.88		-		-		-

In arriving at the results for the financial year, all amounts above relate to continuing operations.

There is no Other Comprehensive Income for the year.

Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the financial statements:

			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class
			Pence (£)		Cent (€)		Cents ($)		Pence (£)		Cent (€)		Cents ($)
Earnings per Share for
investment purposes			3.85		5.39		2.03		0.00		0.00		0.00
Adjustment for amortisation
of preliminary and other
expenses on a straight line
basis in accordance with
Prospectus			(0.14)		(0.12)		(0.15)		0.00		0.00		0.00
Earnings per Share per the
financial statements			3.71		5.27		1.88		0.00		0.00		0.00

The earnings per Share for investment purposes represent the earnings per Share attributable to shareholders in accordance with the Prospectus.

STATEMENT OF COMPREHENSIVE INCOME for the year ended 31 December 2010
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
	Notes		£		€		$		£		€		$		£
Net gain on financial assets
at fair value through profit or
loss	7		44,104,640		826,383		3,937,928		-		-		-		47,419,574
Operating expenses	3		(610,142)		(14,433)		(71,969)		-		-		-		(669,127)
Currency aggregation adjustment			-		-		-		-		-		-		359,801
Increase in net assets
attributable to shareholders			43,494,498		811,950		3,865,959		-		-		-		47,110,248
Earnings per Share for the			Pence (£)		Cent (€)		Cents ($)		Pence (£)		Cent (€)		Cents ($)
year
- Basic and Diluted	5		12.28		11.00		10.85		-		-		-

In arriving at the results for the financial year, all amounts above relate to continuing operations.

There is no Other Comprehensive Income

Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the financial statements:

			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class
			Pence (£)		Cent (€)		Cents ($)		Pence (£)		Cent (€)		Cents ($)
Earnings per Share for
investment purposes			12.45		11.20		11.05		0.00		0.00		0.00
Adjustment for amortisation
of preliminary and other
expenses on a straight line
basis in accordance with
Prospectus			(0.17)		(0.20)		(0.20)		0.00		0.00		0.00
Earnings per Share per the
financial statements			12.28		11.00		10.85		0.00		0.00		0.00

The earnings per Share for investment purposes represent the earnings per Share attributable to shareholders in accordance with the Prospectus.

STATEMENT OF FINANCIAL POSITION as at 31 December 2011
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
	Notes		£		€		$		£		€		$		£
NON CURRENT ASSETS
Unquoted financial assets
designated as at fair value
through profit or loss	7		835,310,741		14,749,334		136,100,695		-		-		-		935,355,182
CURRENT ASSETS
Receivables & prepayments	8		71,490		695		6,416		-		-		-		44,102
			71,490		695		6,416		-		-		-		44,102
CURRENT LIABILITIES
Bank overdraft			262,113		4,623		42,698		-		-		-		293,496
Payables and accrued
liabilities	9		81,435		18,414		41,093		-		-		-		91,184
			343,548		23,037		83,791		-		-		-		384,680
NET CURRENT
LIABILITIES			272,058		22,342		77,375		-		-		-		340,578
NET ASSETS
ATTRIBUTABLE TO
SHAREHOLDERS			835,038,683		14,726,992		136,023,320		-		-		-		935,014,604

			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
	Notes		£		€		$		£		€		$		£
Represented by:
CAPITAL AND RESERVES
Share capital	10		-		-		-		-		-		-		-
Share premium	11		-		-		-		-		-		-		-
Treasury Shares	12		(483,079)		-		-		-		-		-		(483,079)
Distributable reserves	13		835,521,762		14,726,992		136,023,320		-		-		-		935,497,683
			835,038,683		14,726,992		136,023,320		-		-		-		935,014,604
SHARES IN ISSUE			496,030,299		9,016,323		84,028,438		-		-		-
NAV PER SHARE			£1.6834		€1.6333		$1.6187

The NAV per Share per the financial statements is equal to the published NAV per Share. The published NAV per Share represents the NAV per Share attributable to shareholders in accordance with the Prospectus.

The financial statements were approved and authorised for issue by the Board of Directors on 30 April 2012 and are signed on its behalf by:

Paul Meader                                        John Le Prevost

Director                                               Director

STATEMENT OF FINANCIAL POSITION as at 31 December 2010
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
	Notes		£		€		$		£		€		$		£
NON CURRENT ASSETS
Unquoted financial assets
designated as at fair value
through profit or loss	7		832,469,888		21,248,213		98,328,083		-		-		-		913,749,048
CURRENT ASSETS
Receivables & prepayments	8		43,780		814		3,685		-		-		-		34,263
			43,780		814		3,685		-		-		-		34,263
CURRENT LIABILITIES
Bank overdraft			52,526		191		13,144		-		-		-		61,120
Payables & accrued
liabilities	9		102,726		4,973		28,654		-		-		-		112,756
			155,252		5,164		41,798		-		-		-		173,876
NET CURRENT
LIABILITIES			111,472		4,350		38,113		-		-		-		139,613
NET ASSETS
ATTRIBUTABLE TO
SHAREHOLDERS			832,358,416		21,243,863		98,289,970		-		-		-		913,609,435

			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
Represented by:	Notes		£		€		$		£		€		$		£
CAPITAL AND RESERVES
Share capital	10		-		-		-		-		-		-		-
Share premium	11		-		-		-		-		-		-		-
Treasury Shares	12		(483,079)		-		-		-		-		-		(483,079)
Distributable reserves	13		832,841,495		21,243,863		98,289,970		-		-		-		914,092,514
			832,358,416		21,243,863		98,289,970		-		-		-		913,609,435
SHARES IN ISSUE			505,390,176		13,360,975		61,803,190		-		-		-
NAV PER SHARE			£1.6469		€1.5900		$1.5903		-		-		-

The NAV per Share per the financial statements is equal to the published NAV per Share. The published NAV per Share represents the NAV per Share attributable to shareholders in accordance with the Prospectus.

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the year ended 31 December 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Opening balance		832,358,416		21,243,863		98,289,970		-		-		-		913,609,435
Adjustment to allocation of
reserves brought forward		804		(17,080)		14,758		-		-		-		-
Increase in net assets
attributable to shareholders		18,639,053		531,957		1,368,847		-		-		-		21,405,169
Share conversions		(15,959,590)		(7,031,748)		36,349,745		-		-		-		-
Closing balance		835,038,683		14,726,992		136,023,320		-		-		-		935,014,604

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the year ended 31 December 2010
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
			£		€		$		£		€		$		£
Opening balance			319,146,794		7,786,164		23,450,688		95,432,208		1,086,542		5,771,041		440,518,749
Adjustment to allocation of
reserves brought forward			(19,938)		11,013		11,069		-		-		-		-
Issue of Shares			76,591,953		1,558,817		8,386,730		309,536,109		8,123,800		47,810,975		430,471,111
Share issue costs			(939,596)		(19,122)		(102,884)		(3,087,172)		(82,955)		(483,998)		(4,490,673)
Increase in net assets
attributable to shareholders			43,494,498		811,950		3,865,950		-		-		-		47,110,248
			438,273,711		10,148,822		35,611,562		401,881,145		9,127,387		53,098,018		913,609,435
Transfer from C Shares			(21,566)		(260)		(1,284)		21,566		260		1,284		-
Share conversions			394,106,271		11,095,301		62,679,692		(401,902,711)		(9,127,647)		(53,099,302)		-
Closing balance			832,358,416		21,243,863		98,289,970		-		-		-		913,609,435

STATEMENT OF CASH FLOWS for the year ending 31 December 2011
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
			£		€		$		£		€		$		£
Operating activities
Increase in net assets attributable to
shareholders			18,639,053		531,957		1,368,847		-		-		-		21,405,169
Unrealised (appreciation) / depreciation
on financial assets at fair value through
profit or loss			(13,517,771)		397,485		27,895		-		-		-		(13,152,982)
Realised gains on conversions			(5,702,637)		(939,761)		(1,501,682)		-		-		-		(7,454,763)
Realised gains on sales of financial
assets			(92,094)		(1,127)		(4,514)		-		-		-		(95,945)
Interest income			-		-		-		-		-		-		-
Interest expense			5,737		102		932		-		-		-		6,424
Adjustment to allocation of reserves
brought forward			804		(17,080)		14,758		-		-		-		-
Currency aggregation adjustment			-		-		-		-		-		-		(1,455,117)
(Decrease) / increase in accrued
expenses and payables			(21,291)		13,441		12,439		-		-		-		(21,572)
(Increase) / decrease in prepayments and
accrued income			(27,710)		119		(2,732)		-		-		-		(9,839)
Net cashflow from operating activities			(715,909)		(14,864)		(84,057)		-		-		-		(778,625)

		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Investing activities
Interest received		-		-		-		-		-		-		-
Proceeds from sale of financial
assets		512,059		10,534		55,435		-		-		-		556,584
Net cashflow from investing
activities		512,059		10,534		55,435		-		-		-		556,584
Financing activities
Interest paid		(5,737)		(102)		(932)		-		-		-		(6,424)
Net cashflow from financing
activities		(5,737)		(102)		(932)		-		-		-		(6,424)
Cash and cash equivalents at
beginning of year		(52,526)		(191)		(13,144)		-		-		-		(61,120)
Currency aggregation adjustment		-		-		-		-		-		-		(3,911)
Decrease in cash and cash
equivalents		(209,587)		(4,432)		(29,554)		-		-		-		(228,465)
Cash and cash equivalents at
end of year		(262,113)		(4,623)		(42,698)		-		-		-		(293,496)

STATEMENT OF CASH FLOWS for the year ending 31 December 2010
			Ordinary Shares						C Shares
			Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
			£		€		$		£		€		$		£
Operating activities
Increase in net assets attributable to shareholders			43,494,498		811,950		3,865,959		-		-		-		47,110,248
Unrealised appreciation on financial assets at fair value through profit or loss			(41,777,843)		(256,757)		(3,435,516)		-		-		-		(44,282,127)
Realised gains on sales of financial assets			(2,326,797)		(569,626)		(502,412)		-		-		-		(3,137,447)
Interest income			-		(1,045)		-		-		-		-		(897)
Interest expense			5,933		151		694		-		-		-		6,512
Adjustment to allocation of reserves brought forward			(19,938)		11,013		11,069		-		-		-		-
Currency aggregation adjustment			-		-		-		-		-		-		(359,801)
Transfer from C Share			(21,566)		(260)		(1,284)		21,566		260		1,284		-
(Decrease) / increase in accrued expenses and payables			45,907		(41,190)		14,626		(21,912)		(264)		(1,303)		29,222
(Increase) / decrease in prepayments and accrued income			19,563		(256)		(2,660)		346		4		20		(15,369)
Net cashflow from operating activities			(580,243)		(46,020)		(49,524)		-		-		1		(649,659)

		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Investing activities
Interest received		-		1,045		-		-		-		-		897
Purchase of financial assets		(75,893,146)		(1,536,716)		(8,264,369)		(306,448,937)		(8,040,845)		(47,326,978)		(426,206,182)
Proceeds from sale of financial assets		-		-		-		-		-		-		-
Net cashflow from investing activities		(75,893,146)		(1,535,671)		(8,264,369)		(306,448,937)		(8,040,845)		(47,326,978)		(426,205,285)
Financing activities
Proceeds of issue of shares		76,591,953		1,558,817		8,386,730		309,536,109		8,123,800		47,810,975		430,471,111
Share issue costs		(939,596)		(19,122)		(102,884)		(3,087,172)		(82,955)		(483,998)		(4,490,673)
Interest paid		(5,933)		(151)		(694)		-		-		-		(6,512)
Net cashflow from financing activities		75,646,424		1,539,544		8,283,152		306,448,937		8,040,845		47,326,977		425,973,926
Cash and cash equivalents at beginning of year		774,439		41,956		17,597		-		-		-		822,532
Currency aggregation adjustment		-		-		-		-		-		-		(2,634)
Increase in cash and cash equivalents		(826,965)		(42,147)		(30,741)		-		-		-		(881,018)
Cash and cash equivalents at end of year		(52,526)		(191)		(13,144)		-		-		-		(61,120)

NOTES TO THE FINANCIAL STATEMENTS for the year ended 31 December 2011

1          ACCOUNTING POLICIES

(a)        Basis of preparation

The financial statements have been prepared in conformity with International Financial Reporting Standards ("IFRS") as adopted by the European Union and applicable Guernsey law.  The financial statements have been prepared on an historical cost basis except for the measurement at fair value of unquoted financial assets designated at fair value through profit or loss.

The financial statements are presented in Sterling because that is the currency of the primary economic environment in which the Company operates.

Changes in accounting policy and disclosures

The following Standards or Interpretations have been adopted in the current year.  Their adoption has not had any impact on the amounts reported in these financial statements and is not expected to have any impact on future financial periods:

IFRS 7 Financial Instruments: Disclosures - amendments resulting from annual improvements effective for annual periods beginning on or after 1 January 2011.

IAS 1 Presentation of Financial Statements - amendments resulting from annual improvements effective for annual periods beginning on or after 1 January 2011.

IAS 24 Related Party Disclosures - revised definition of related parties effective for annual periods beginning on or after 1 January 2011.

IAS 32 Financial Instruments: Presentation - amendments relating to classification of rights issues effective for annual periods beginning on or after 1 February 2010.

The following Standards or Interpretations have been issued by the IASB are not yet effective and have not yet been adopted by the Company:

IFRS 7 Financial Instruments: Disclosures - amendments enhancing disclosures about transfers of financial assets effective for annual periods beginning on or after 1 July 2011.

Financial Instruments: Disclosures - amendments enhancing disclosures about offsetting of financial assets and financial liabilities effective for annual periods beginning on or after 1 January 2013 and interim periods within those periods.

IFRS 7 Financial Instruments: Disclosures - amendments requiring disclosures about the initial application of IFRS 9 effective for annual periods beginning on or after 1 January 2015 (or otherwise when IFRS 9 is first applied).

IFRS9 Financial Instruments - classification and measurement of financial assets effective for annual periods beginning on or after 1 January 2015.

IFRS 9 Financial Instruments - accounting for financial liabilities and derecognition effective for annual periods beginning on or after 1 January 2015.

IFRS 13 Fair Value Measurement - effective for annual periods beginning on or after 1 January 2013.

IAS 1 Presentation of Financial Statements - amendments to revise the way other comprehensive income is presented effective for annual periods beginning on or after 1 July 2012.

IAS 32 Financial Instruments: Presentation - amendments to application guidance on the offsetting of financial assets and financial liabilities effective for financial periods beginning on or after 1 January 2014.

The directors have considered the above and are of the opinion that the above Standards and Interpretations are not expected to have a material impact on the Company's financial statement except for the presentation of additional disclosures and changes to the presentation components of the financial statements.  These items will be applied in the first financial period for which they are required.

(b)       Going concern

As described in Note 10, should the average 12 month discount at which the Shares of any class trade to their net asset value exceed 5% of net asset value per Share, the Company is obliged to offer a continuation vote to class shareholders.

The Company triggered its rolling 12 month discount floor provision for each of the Sterling, Euro and US Dollar Share classes, by reference to the final NAV as at 27 February 2009, 31 March 2009 and 30 April 2009, respectively. The Company did not trigger the discount provisions in 2010 or 2011.  In accordance with the articles of incorporation of the Company, continuation votes were proposed for all three classes of Shares by way of ordinary resolutions at separate class meetings held on 12 August 2009 and each continuation vote was passed.

The Company has adequate financial resources and as a consequence, the directors believe the Company is well placed to manage its business risks successfully.  After making enquiries, the directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future.  Accordingly, the directors have adopted the going concern basis in preparing the financial information.

(c)        Taxation

The Company has been granted exemption under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual fee of £600.

(d)       Expenses

All expenses are accounted for on an accruals basis. Expenses relating to the Company are allocated across the three share classes proportionally based on their individual Net Asset Values.

(e)       Interest income

Interest income is accounted for on an accruals basis.

(f)        Cash and Cash Equivalents

Cash and cash equivalents are defined as call deposits and short term deposits readily convertible to known amounts of cash and subject to insignificant risk of changes in value, together with bank overdrafts.  For the purposes of the Statement of Cash Flows, cash and cash equivalents consist of cash and deposits at bank, together with bank overdrafts.

(g)       Investments

All investments are designated upon initial recognition as financial assets at "fair value through profit or loss".  Investments are initially recognised on the date of purchase (on 'trade date' basis) at cost, being the fair value of the consideration given, excluding transaction costs associated with the investment, with unrealised gains and losses on investments arising from change in fair value from prior years recognised in the Statement of Comprehensive Income.

Realised gains or losses are determined on the disposal of investments. These are recognised in the Statement of Comprehensive Income.

In order to assess the fair value of unquoted investments the net asset value of the underlying investment in AllBlue Limited is taken into consideration.

Share conversions arise when the Company converts one class of AllBlue shares for another class of AllBlue shares. Upon conversion realised gains or losses are recognised in the Statement of Comprehensive Income as Net gains on financial assets through profit or loss.

The Company's net asset value is based on valuations of unquoted investments.  In calculating the net asset value and the net asset value per Share of the Company, the Administrator relies on the net asset values of the shares in AllBlue Limited supplied by the administrator of AllBlue Limited.  Those net asset values are based on the market value of the various investments held by AllBlue Limited.

(h)       Foreign currency translation

The financial statements are presented in Sterling, which is the Company's functional and presentation currency. Operating expenses in foreign currencies are initially recorded at the functional currency rate ruling at the date of the transaction.  Monetary assets and liabilities denominated in foreign currencies are translated at the functional currency rate of exchange ruling at the reporting date. Investments in US Dollar and Euro share classes are initially recorded in their respective currencies and translated into the Company's functional currency at the reporting date.  All differences on these foreign currency translations are taken to the Statement of Comprehensive Income.

(i)         Segment information

For management purposes, the Company is organised into one business unit, and hence no separate segment information has been presented.  The Company determines that this operating segment is the investment in three share classes of a fund of hedge funds incorporated in the Cayman Islands.

(j)         Shares

Sterling, Euro and US Dollar Ordinary Shares have been classified as liabilities in accordance with IAS 32 because of the provisions contained in the Company's Articles of Association as described in Note 10.  The directors have been advised that this treatment does not result in the Shares being treated as a liability for the purpose of applying the solvency test set out in Section 527 of The Companies (Guernsey) Law, 2008, as amended.

2          CRITICAL ACCOUNTING JUDGEMENTS AND KEY SOURCES OF ESTIMATION UNCERTAINTY

            In the application of the Company's accounting policies, which are described in Note 1, the directors are required to make judgements, estimates and assumptions about the carrying amounts of assets and liabilities that are not readily apparent from other sources. The estimates and associated assumptions are based on historical experience and other factors that are considered to be relevant. Actual results may differ from these estimates.

            The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the revision affects both current and future periods.

            Critical judgements in applying the Company's accounting policies

The following are the critical judgements and estimates that the directors have made in the process of applying the Company's accounting policies and that have the most significant effect on the amounts recognised in the financial statements.

Valuation of Investments

The directors consider that the confirmed NAV of AllBlue Limited as produced by AllBlue's administrator represents the fair value of the investments in the Company.

            Different assumptions regarding the valuation techniques of AllBlue Limited could lead to different valuations of the investments produced by different parties.

3          OPERATING EXPENSES

		1 Jan 2011 to 31 Dec 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Administration fees		161,417		2,873		26,234		-		-		-		180,745
Directors' remuneration		148,697		2,646		24,167		-		-		-		166,500
Registration fees		88,411		1,573		14,369		-		-		-		98,996
Directors & Officers insurance		28,666		510		4,659		-		-		-		32,098
Broker fees		85,424		1,520		13,883		-		-		-		95,651
Audit fees		17,235		307		2,801		-		-		-		19,299
Annual & Regulatory fees		55,114		981		8,957		-		-		-		61,713
Legal & Professional fees		58,737		1,045		9,546		-		-		-		65,769
Printing of reports		14,746		262		2,397		-		-		-		16,511
Bank interest on overdraft facility		5,737		102		932		-		-		-		6,424
Bank facility fee and charges		4,584		120		775		-		-		-		5,184
(Profit) / Loss on exchange		-		(576)		(26)		-		-		-		(493)
Other operating expenses		4,681		83		761		-		-		-		5,241
		673,449		11,446		109,455		-		-		-		753,638
Less: Bank interest earned		-		-		-		-		-		-		-
Total expenses for the year		673,449		11,446		109,455		-		-		-		753,638

		1 Jan 2010 to 31 Dec 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Administration fees		97,176		2,478		11,366		-		-		-		106,663
Directors' remuneration		169,158		4,314		19,785		-		-		-		185,671
Registration fees		89,519		2,283		10,470		-		-		-		98,257
Directors & Officers insurance		20,265		517		2,370		-		-		-		22,243
Broker fees		105,589		2,693		12,350		-		-		-		115,897
Audit fees		14,656		374		1,714		-		-		-		16,087
Annual & Regulatory fees		28,086		716		3,285		-		-		-		30,827
Legal & Professional fees		49,122		1,253		5,745		-		-		-		53,917
Printing of reports		13,075		334		1,530		-		-		-		14,352
Bank interest on overdraft facility		5,933		151		694		-		-		-		6,512
Bank facility fee and charges		4,776		120		583		-		-		-		5,256
(Profit) / Loss on exchange		1,591		(41)		767		-		-		-		2,052
Other operating expenses		11,196		286		1,310		-		-		-		12,290
		610,142		15,478		71,969		-		-		-		670,024
Less: Bank interest earned		-		(1,045)		-		-		-		-		(897)
Total expenses for the year		610,142		14,433		71,969		-		-		-		669,127

4          DIRECTORS' REMUNERATION

	Annual fee
	£
Richard Crowder, Chairman	50,000
Jonathan Hooley, Chairman Audit Committee	40,000
Paul Meader, Senior Independent Director	40,000
John Le Prevost	35,000
Andrew Dodd	Waived
	165,000

Each of the directors, with the exception of Andrew Dodd, earned additional ad-hoc fees of £1,000 each in the year.

The directors of the Company are considered key management personnel.

Paul Meader's remuneration was increased by £5,000 on 1 July 2011 as remuneration for being the senior independent director.

5          EARNINGS PER SHARE

The earnings per each class of Shares is based on the net gain for the year of £18,639,053 (2010: £43,494,498) and 501,771,770 (2010: 354,150,094) shares in the Sterling Ordinary share class, €531,957 (2010: €811,950) and 10,089,581 (2010: 7,380,991) shares in the Euro Ordinary share class and $1,368,847 (2010: $3,865,959) and 72,706,125 (2010: 35,626,003) shares in the US$ Ordinary share class, being the weighted average number of Shares in issue during the year.

6          RELATED PARTY TRANSACTIONS

Transactions with related parties are made on items equivalent to those that prevail in an arm's length transaction.

Anson Fund Managers Limited is the Company's administrator and secretary, Anson Registrars Limited is the Company's registrar, transfer agent and paying agent and Anson Administration (UK) Limited is the Company's UK Transfer agent.  John R Le Prevost is a director and controller of Anson Fund Managers Limited, Anson Registrars Limited and Anson Administration (UK) Limited.  £279,741 (2010: £204,920) of costs were incurred by the Company with these related parties in the year, of which £23,535 (2010: £26,318) was due to these related parties at 31 December 2011.

In accordance with IAS 28 the Company's investment transactions with AllBlue Limited represent a holding of 20% (Dec 2010: 21%), therefore they are effectively transactions with a related party.  The totals of such transactions are shown in Note 7.

In accordance with IAS 39 Financial Instruments: Recognition and Measurement, the Company has accounted for the holding in AllBlue Limited at fair value in accordance with IAS 39, with changes in fair value recognised in profit or loss, rather than accounting for the holding as an Investment in an Associate (IAS 28)

7          INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

		For the year ended 31 December 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward		692,265,074		19,267,279		89,150,355		-		-		-		765,959,811
Unrealised appreciation on valuation brought forward		140,204,814		1,980,934		9,177,728		-		-		-		147,789,237
Valuation brought forward		832,469,888		21,248,213		98,328,083		-		-		-		913,749,048
Movements in the year:
Gross Share conversions in the year		(15,959,590)		(7,031,748)		36,349,745		-		-		-		-
Adjustment for realised gain on share conversions		5,702,637		939,751		1,501,682		-		-		-		7,454,763
Purchases at fair value		-		-		-		-		-		-		-
Sales		(419,965)		(9,407)		(50,920)		-		-		-		(460,640)
Exchange gains on currency balances		-		-		-		-		-		-		1,459,030
Portfolio cost carried forward		681,588,156		13,165,885		126,950,862		-		-		-		774,412,964
Unrealised appreciation on valuation carried forward		153,722,585		1,583,449		9,149,833		-		-		-		160,942,219
Valuation carried forward		835,310,741		14,749,334		136,100,695		-		-		-		935,355,183

		For the year ended 31 December 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Realised gains on sales		5,794,731		940,888		1,506,197		-		-		-		7,550,708
Increase in unrealised appreciation /
(depreciation)		13,517,771		(397,485)		(27,895)		-		-		-		13,152,982
Net gains on financial assets at fair value through profit or loss		19,312,502		543,403		1,478,302		-		-		-		20,703,690

		For the year ended 31 December 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward		219,938,860		6,065,636		17,703,882		95,453,774		1,086,802		5,772,324		336,253,746
Unrealised appreciation on valuation brought forward		98,426,971		1,724,177		5,742,212		-		-		-		103,507,110
Valuation brought forward		318,365,831		7,789,813		23,446,094		95,453,774		1,086,802		5,772,324		439,760,856
Movements in the year
Gross share conversions in the year		394,106,271		11,095,301		62,679,692		(401,902,711)		(9,127,647)		(53,099,302)		-
Adjustment for realised gain on Share conversions		2,326,797		569,626		502,412		-		-		-		3,137,447
Purchase at fair value		75,893,146		1,536,716		8,264,369		306,448,937		8,040,845		47,326,978		426,206,182
Sales		-		-		-		-		-		-		-
Exchange losses on currency balances		-		-		-		-		-		-		362,436
Portfolio cost carried forward		692,265,074		19,267,279		89,150,355		-		-		-		765,959,811
Unrealised appreciation on valuation carried forward		140,204,814		1,980,934		9,177,728		-		-		-		147,789,237
Valuation carried forward		832,469,888		21,248,213		98,328,083		-		-		-		913,749,048

		For the year ended 31 December 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Realised gains on sales		2,326,797		569,626		502,412		-		-		-		3,137,447
Increase in unrealised appreciation		41,777,843		256,757		3,435,516		-		-		-		44,282,127
Net gains on financial assets at fair value through profit or loss		44,104,640		826,383		3,937,928		-		-		-		47,419,574

IFRS 7 requires fair value to be disclosed by the source of inputs, using a three-level hierarchy:

Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2); and

Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).

The investments held by the Company have been classified as Level 2.  This is in accordance with the fair value hierarchy.

Details of the value of the classification are listed in the table below.  Values are based on the market value of the investments as at the reporting date:

Financial assets at fair value through profit or loss	Fair value		Fair value
through profit or loss	as at 31 Dec 2011		as at 31 Dec 2010
	GBP		GBP
Level 2	935,355,182		913,749,048

8          RECEIVABLES

		31 Dec 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Elimination		Total
		£		€		$		£		€		$		£		£
Prepayments		30,834		544		5,023		-		-		-		-		34,526
Other receivables		8,552		151		1,393		-		-		-		-		9,576
Inter class loan accounts		32,104		-		-		-		-		-		(32,104)		-
		71,490		695		6,416		-		-		-		(32,104)		44,102

		31 Dec 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Elimination		Total
		£		€		$		£		€		$		£		£
Prepayments		6,079		155		718		-		-		-		-		6,672
Other receivables		25,123		659		2,967		-		-		-		-		27,591
Inter class loan accounts		12,578		-		-		-		-		-		(12,578)		-
		43,780		814		3,685		-		-		-		(12,578)		34,263

9          PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR)

		31 Dec 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Elimination		Total
		£		€		$		£		€		$		£		£
Accrued administration fees		13,874		245		2,260		-		-		-		-		15,535
Accrued broker fees		27,476		485		4,476		-		-		-		-		30,766
Accrued registration fees		7,145		126		1,164		-		-		-		-		8,000
Accrued audit fees		17,886		315		2,914		-		-		-		-		20,027
Accrued printing costs		9,756		172		1,589		-		-		-		-		10,924
Inter class loan accounts		-		16,978		27,827		-		-		-		(32,104)		-
Other sundry accruals		5,298		93		863		-		-		-		-		5,932
		81,435		18,414		41,093		-		-		-		(32,104)		91,184

		31 Dec 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Elimination		Total
		£		€		$		£		€		$		£		£
Accrued administration fees		17,477		446		2,064		-		-		-		-		19,183
Accrued broker fees		12,860		328		1,519		-		-		-		-		14,115
Accrued registration fees		6,500		166		768		-		-		-		-		7,135
Accrued audit fees		18,221		465		2,152		-		-		-		-		20,000
Accrued printing costs		13,364		341		1,578		-		-		-		-		14,669
Inter class loan accounts		-		2,351		16,522		-		-		-		(12,612)		-
Other sundry accruals		34,304		876		4,051		-		-		-		-		37,653
		102,726		4,973		28,654		-		-		-		(12,612)		112,756

10        SHARE CAPITAL

Authorised Share Capital

An unlimited number of Unclassified shares of no par value each.

Ordinary Shares

C Shares

Issued

Sterling Share Class

Euro Share Class

US$ Share Class

Sterling Share Class

Euro Share Class

US$ Share Class

Total

Number of Shares in issue at 31 December 2011

496,030,299

9,016,323

84,028,438

-

-

-

589,075,060

		Ordinary Shares						C Shares
The movement in Shares took place as follows:		Number of Sterling Share Class		Number of Euro Share Class		Number of US$ Share Class		Number of Sterling Share Class		Number of Euro Share Class		Number of US$ Share Class
Date of movement
Sub-total brought forward as at
1 January 2010		209,623,415		5,303,602		15,915,995		96,417,954		1,097,780		5,830,631
Conversion 1 January 2010		428,601		(1,239,975)		1,054,347		-		-		-
C Share conversion 12 February 2010		62,681,311		739,574		3,914,102		(96,417,954)		(1,097,780)		(5,830,631)
Conversion 1 April 2010		(57,623)		(88,462)		209,612		-		-		-
Issue 23 June 2010		-		-		-		309,536,109		8,123,800		47,810,975
Conversion 1 July 2010		(478,014)		(130,586)		898,922		-		-		-
C Share conversion 6 August 2010		191,448,083		5,204,918		30,575,118		(309,536,109)		(8,123,800)		(47,810,975)
Tap issue 24 September 2010		46,363,168		977,928		5,251,553		-		-		-
Conversion 1 October 2010		(1,838,746)		149,756		2,785,793		-		-		-
Conversion 1 November 2010		(2,138,289)		2,319,969		324,975		-		-		-
Conversion 1 December 2010		(641,730)		124,251		872,773		-		-		-
As at 31 December 2010		505,390,176		13,360,975		61,803,190		-		-		-

		Ordinary Shares						C Shares
The movement in Shares took place as follows:		Number of Sterling Share Class		Number of Euro Share Class		Number of US$ Share Class		Number of Sterling Share Class		Number of Euro Share Class		Number of US$ Share Class
Date of movement
Sub-total brought forward as at 1 January 2011		505,390,176		13,360,975		61,803,190		-		-		-
Conversion 1 January 2011		38,297		(97,594)		68,620		-		-		-
Conversion 1 February 2011		114,446		1,937		(192,646)		-		-		-
Conversion 1 March 2011		4,526,017		(1,886,726)		(5,023,434)		-		-		-
Conversion 1 April 2011		2,589,084		(1,850,000)		(1,681,366)		-		-		-
Conversion 1 May 2011		270,521		-		(468,590)		-		-		-
Conversion 1 June 2011		(16,270,850)		6,484		27,751,909		-		-		-
Conversion 1 July 2011		(299,650)		23,907		464,692		-		-		-
Conversion 1 August 2011		188,968		(223,400)		-		-		-		-
Conversion 1 September 2011		(269,152)		(90,059)		584,160		-		-		-
Conversion 1 October 2011		77,140		(337,200)		330,395		-		-		-
Conversion 1 November 2011		69,693		(233,790)		210,989		-		-		-
Conversion 1 December 2011		(394,391)		341,789		180,519		-		-		-
As at 31 December 2011		496,030,299		9,016,323		84,028,438		-		-		-

As explained in Note 1(j) above the share classes have been recognised as liabilities.

In the event of a return of capital on a winding-up or otherwise, shareholders are entitled to participate in the distribution of capital after paying all the debts and satisfying all the liabilities attributable to the relevant share class.

The holders of shares of the relevant share class shall be entitled to receive by way of capital any surplus assets of the share class in proportion to their holdings.  In the event that the share class has insufficient funds or assets to meet all the debt and liabilities attributable to that share class, any such shortfall shall be paid out of funds or assets attributable to the other share classes in proportion to the respective net assets of the relevant share classes as at the date of winding-up.

The Company's Articles incorporate a discount management provision (which applies to each class of Ordinary Shares individually) that will require a continuation vote to be proposed in respect of the particular class of Ordinary Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period commencing from 1 January 2008, the relevant class of Ordinary Shares has traded, on average (calculated by averaging the closing mid-market share price on the dates which are 5 business days after the date on which each estimated Published NAV announcement is made for each NAV Calculation date over the period) at a discount in excess of 5 per cent to the average Net Asset Value per Ordinary Share of that class (calculated by averaging the NAV per Ordinary Share of that class as at the NAV Calculation Date at the end of each month during the period).

In the event that a vote to continue is proposed and passed for any class of Ordinary Shares as a result of the operation of such mechanism, no further continuation vote will be capable of being proposed for that class for a further 12 months from the date on which the requirement for such a continuation vote was triggered.

If such continuation vote is not passed, the directors will be required to formulate redemption proposals to be put to the shareholders of that class offering to redeem their Ordinary Shares at the relevant published Net Asset Value on the NAV Calculation Date immediately preceding such redemption (less the costs of all such redemptions).  However, where one or more such resolutions in respect of the same period is/are not passed and the class(es) of Ordinary Shares involved represent 75 per cent, or more of the Company's net assets attributable to all Ordinary Shares at the last NAV Calculation Date on or immediately preceding the date of the latest continuation resolution being defeated, the directors may first (at their discretion) put forward alternative proposals to all shareholders to offer to repurchase their Shares or to reorganise, reconstruct or wind up the Company.  If, however, such alternative proposals are not passed by the necessary majority of shareholders of the relevant class, the directors must proceed to offer to redeem the relevant class(es) of Ordinary Shares on the terms described above.

Where following redemption of any class of Ordinary Shares under the discount management provision, the number of Ordinary Shares of that class remaining in issue represent less than 25 per cent, of the Ordinary Shares of that class in issue immediately before such redemption or the listing for such class of Ordinary Shares on the Official List is withdrawn or threatened to be withdrawn or the directors determine that the conditions for the continued listing of that class are not (or they believe will not be) met, then the Company may redeem the remaining issued Ordinary Shares of that class within 3 months of such determination at a redemption price equal to the Net Asset Value of Ordinary Shares of that class on the NAV Calculation Date selected by the directors for such purpose (less the costs of such redemption).

11        SHARE PREMIUM

In April 2006 the shareholders of the Company passed a resolution to cancel the amount standing to the credit of the Company's share premium account (less any formation expenses set off against the share premium account) and the directors obtained from the Court in Guernsey an order confirming such cancellation of the share premium account in accordance with The Companies (Guernsey) Law, 1994 (as amended) (the "1994 Law").  The reserve created was thereafter available as distributable profits to be used for all purposes permitted by the 1994 Law, including the buy back of Shares and the payment of dividends.

On 1 July 2008 the 1994 Law was replaced by The Companies (Guernsey) Law, 2008 (as amended) (the "2008 Law").  The 2008 Law does not require share premium to be held in a separate account and any premium at which Shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the 2008 Law.  Accordingly, upon the issue of C Shares in August 2008, December 2009 and June 2010 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

12        TREASURY SHARES

		31 Dec 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Balance as at 31 December 2011
and 31 December 2010		483,079		-		-		-		-		-		483,079

The treasury shares reserve represents 450,000 Sterling Shares purchased in the market at various prices per share ranging from £1.03 to £1.11 and held by the Company in treasury.  No cancellations of Shares took place in the year (no cancellation in 2010).

13        DISTRIBUTABLE RESERVES

		31 Dec 2011
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Balance as at 1 January 2011		832,841,495		21,243,863		98,289,970		-		-		-		914,092,514
TAP issue		-		-		-		-		-		-		-
C Share issue		-		-		-		-		-		-		-
Increase in net assets attributable to shareholders after other comprehensive income		18,639,053		531,957		1,368,857		-		-		-		21,405,169
Adjustment to allocation of reserves brought forward		804		(17,080)		14,758		-		-		-		-
Share conversions		(15,959,590)		(7,031,748)		36,349,745		-		-		-		-
Balance as at 31 December 2011		835,521,762		14,726,992		136,023,320		-		-		-		935,497,683

		31 Dec 2010
		Ordinary Shares						C Shares
		Sterling Share Class		Euro Share Class		US$ Share Class		Sterling Share Class		Euro Share Class		US$ Share Class		Total
		£		€		$		£		€		$		£
Balance as at 1 January 2010		319,629,873		7,786,164		23,450,688		95,432,208		1,086,542		5,771,041		441,001,828
TAP issue		75,652,357		1,539,695		8,283,846		-		-		-		82,285,165
C Share issue		(21,566)		(260)		(1,284)		306,470,503		8,041,105		47,328,261		343,695,273
Increase in net assets attributable to shareholders after other comprehensive income		43,494,498		811,950		3,865,959		-		-		-		47,110,248
Adjustment to allocation of reserves brought forward		(19,938)		11,013		11,069								-
Share conversions		394,106,271		11,095,301		62,679,692		(401,902,711)		(9,127,647)		(53,099,302)		-
Balance as at 31 December 2010		832,841,495		21,243,863		98,289,970		-		-		-		914,092,514

14        FINANCIAL INSTRUMENTS

The Company's main financial instruments comprise:

(a)        Cash and cash equivalents that arise directly from the Company's operations; and

(b)       Shares held in AllBlue Limited.

15        FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES

The main risks arising from the Company's financial instruments concerns its holding of shares in AllBlue Limited ("AllBlue") and the risks attaching to those shares which are market price risk, credit risk, liquidity risk and interest rate risk and increased volatility due to leverage employed by the underlying funds as explained below.

The Company is not exposed directly to material foreign exchange risk as each class of Shares in the Company is directly invested in shares of AllBlue denominated in the same corresponding currency.

So far as the Company is concerned, the only risk the Board can monitor and control is the liquidity risk attaching to its ability to realise shares in AllBlue for the purpose of meeting ongoing expenses of the Company.  Thereafter the Board recognises that the Company has via its holding of shares in AllBlue Limited an indirect exposure to the risks summarised below though it must be noted that there is little or nothing which the Board can do to manage each of these risks within AllBlue or the underlying funds in which AllBlue invests (the "underlying fund(s)") under the current investment objective of the Company.

(a)        Price Risk

The success of AllBlue's and the underlying funds' and, therefore, the Company's activities will be affected by general economic and market conditions, such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, trade barriers, currency exchange controls and national and international political circumstances.  These factors may affect the level and volatility of securities' prices and the liquidity of the underlying funds' investments.  Volatility or illiquidity could impair the underlying funds' profitability or result in losses.

Price sensitivity

The Company invests substantially all its assets in AllBlue and does not undertake any significant structural borrowing or hedging activity at the Company level.  Its performance is therefore directly linked to the net asset value of AllBlue, which itself is driven by the net asset values of the underlying funds, each of which hold a large number of positions in listed and unlisted securities.

At 31 December 2011 (31 December 2010 for comparative), if the net asset value of AllBlue had been 10% higher / lower with all other variables held constant, the net assets attributable to shareholders for the year would have increased / decreased as stated below, arising due to the increase / decrease in the fair value of financial assets at fair value through profit or loss.

	Increase in net assets attributable to shareholders			Decrease in net assets attributable to shareholders
	31 Dec 2011	31 Dec 2010		31 Dec 2011	31 Dec 2010
	GBP	GBP		GBP	GBP
Sterling shareholders	83,531,074	83,246,989		(83,531,074)	(83,246,989)
Euro shareholders	1,230,547	1,822,004		(1,230,547)	(1,822,004)
Dollar shareholders	8,773,897	6,305,912		(8,773,897)	(6,305,912)
Total	93,535,518	91,374,905		(93,535,518)	(91,374,905)

The sensitivity is higher in 2011 than in 2010 because of an increase in the net financial assets and liabilities at fair value through profit or loss at the reporting date.

(b)       Credit Risk

The nature of commercial arrangements made in the normal course of business between many prime brokers and custodians means that in the case of any one prime broker or custodian defaulting on its obligations to AllBlue or any of the underlying funds, the effects of such a default may have negative effects on other prime brokers with whom AllBlue or such underlying fund deals.  The underlying funds and, by extension, AllBlue and the Company may, therefore, be exposed to systemic risk when AllBlue or an underlying fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of underlying funds may be pledged as margin with prime brokers or other counterparties or held with prime brokers or banks, whereas the assets of AllBlue, to the extent not invested in the underlying funds are held with banks.  In the event of the default of any of these prime brokers, banks or counterparties, AllBlue or the underlying funds may not receive back all or any of the assets pledged or held with the defaulting party.

The maximum credit risk to which the Company was exposed at the year end was £935,364,758 (2010: £913,776,639).

The main concentration of risk for the Company relates to the investments in AllBlue, as these are the only investments the Company has.

(c)        Liquidity Risk

In some circumstances, investments held by underlying funds of AllBlue may be relatively illiquid making it difficult to acquire or dispose of them at the prices quoted on the various exchanges.  Accordingly, an underlying fund's ability to respond to market movements may be impaired and, consequently, the underlying fund may experience adverse price movements upon liquidation of its investments which may in turn affect the value of AllBlue and hence the Company's investment in AllBlue.  Settlement of transactions may be subject to delay and administrative formalities.

There can be no assurance that the liquidity of the investments of AllBlue and the underlying funds will always be sufficient to meet redemption requests as, and when, made.  Any such lack of liquidity may affect the ability of the Company to realise its shares in AllBlue and the value of Shares in the Company.  For such reasons AllBlue's treatment of redemption requests may be deferred in exceptional circumstances including if a lack of liquidity may result in difficulties in determining the net asset value and the net asset value per share in AllBlue.  This in turn would limit the ability of the directors to realise the Company's investments in AllBlue should they consider it appropriate to do so and may result in difficulties in determining the net asset value of a Share in the Company. There was no gating or suspension of AllBlue during the year under review or in the previous year.

The market prices, if any, for such illiquid investments tend to be volatile and may not be readily ascertainable and the relevant underlying fund may not be able to sell them when it desires to do so or to realise what it perceives to be their fair value in the event of a sale.  The size of the underlying funds' positions may magnify the effect of a decrease in market liquidity for such instruments.  Changes in overall market leverage, deleveraging as a consequence of a decision by the counterparties with which the underlying funds enter into repurchase/reverse repurchase agreements or derivative transactions, to reduce the level of leveraging, or the liquidation by other market participants of the same or similar positions, may also adversely affect the underlying funds' portfolios.

The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets.

The underlying funds may not be able readily to dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified period of time.  Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale.

The Company's shares in issue are traded on the London Stock Exchange's Main Market for Listed Securities (the "LSE").  However, in certain circumstances there may be a limited market for the Shares and it may not be possible for investors to achieve a liquidation of their holding within a short time period or for the investor to realise the full anticipated value of the Shares.

The table below details the residual contractual maturities of financial liabilities:

As at 31 December 2011		1-3 months		Over 1 year		Total
		£		£		£
Bank overdraft		293,496		-		293,496
Accrued expenses		91,184		-		91,184
Total		384,680		-		384,680
As at 31 December 2010		1-3 months		Over 1 year		Total
		£		£		£
Bank overdraft		61,120		-		61,120
Accrued expenses		112,756		-		112,756
Total		173,876		-		173,876

(d)       Interest Rate Risk

The prices of securities tend to be sensitive to interest rate fluctuations.  Unexpected fluctuations in interest rates could cause the corresponding prices of long positions and short positions adopted to move in directions which were not originally anticipated.  In addition, interest rate increases generally increase the interest or carrying costs of investments.  However, the Company's investments designated as at fair value through profit or loss are non interest bearing, and therefore are not exposed to interest rate risk.

The Company's own cash balances are not materially exposed to interest rate risk as cash and cash equivalents are held on floating interest rate deposits with banks and the Company does not rely on income from bank interest to meet day to day expenses.

(e)       Leverage by Underlying Funds

Certain underlying funds in which the Company may have an economic interest operate with a substantial degree of leverage and are not limited in the extent to which they either may borrow or engage in margin transactions.  The positions maintained by such underlying funds may in aggregate value be in excess of the net asset value of AllBlue.  This leverage presents the potential for a higher rate of total return but will also increase the volatility of AllBlue and, as a consequence, the Company, including the risk of a total loss of the amount invested.

(f)        Capital management

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

As the Company's Ordinary Shares are traded on the LSE, the Ordinary Shares may trade at a discount to their Net Asset Value per Share.  However, in structuring the Company, the directors have given detailed consideration to the discount risk and how this may be managed.

At the last general meeting held pursuant to section 199 of the 2008 Law, the directors were granted authority to buy back up to 14.99 per cent of the Ordinary Shares in issue.  The Company's authority to make purchases of its own issued Ordinary Shares will expire at the conclusion of the next general meeting of the Company to be held pursuant to section 199 of the 2008 Law and renewal of such authority will be sought at that next general meeting.  The timing of any purchases will be decided by the Board.

The directors intend that purchases will only be made pursuant to this authority through the market, for cash, at prices below the prevailing net asset value per Share where the directors reasonably believe such purchases will be of material benefit to the Company.

Following approval of the Court in Guernsey, the Company resolved to cancel the amount standing to the credit of its share premium account following Admission.  The amount released on cancellation has been credited as a distributable reserve in the books of account and may be used by the Company for the purpose of funding purchases of its Ordinary Shares as described above and the payment of dividends.

On 1 July 2008 the 1994 Law was replaced by the 2008 Law.  The 2008 Law does not require share premium to be held in a separate account and any premium at which shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the 2008 Law.

Accordingly, upon the issue of C Shares in August 2008, December 2009 and June 2010 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made.  Subject to prevailing market conditions, the Board may decide to make one or more further such issues or reissues of Ordinary Shares for cash from time to time.  Any further issues of new Ordinary Shares or reissues of Ordinary Shares held in treasury will rank pari passu with Ordinary Shares in issue.

There are no provisions of the Companies Laws 1998 which confer rights of pre-emption in respect of the allotment of Shares.  There are, however, pre-emption rights contained in the Articles, but the directors have been granted the power to issue further Shares on a non-pre-emptive basis for a period concluding on 31 December 2012, unless such power is previously revoked by the Company's shareholders in general meeting pursuant to section 199 of the 2008 Law by a special resolution of shareholders passed on 14 July 2011.  The directors intend to request that the authority to allot Shares on a non-pre-emptive basis is renewed at each subsequent general meeting of the Company.

Unless authorised by shareholders, the Company will not issue further Ordinary Shares or re-issue Ordinary Shares out of treasury for cash at a price below the prevailing Net Asset Value per Share unless they are first offered pro-rata to existing shareholders.

The Company monitors capital on the basis of the carrying amount of reserves as presented on the face of the Statement of Financial Position.  Capital for the reporting year under review is summarised as follows:

		2011		2010
		GBP		GBP
Purchase of own shares		(483,079)		(483,079)
Distributable reserves		935,497,683		914,092,514
Total		935,014,604		913,609,435

16        SUBSEQUENT EVENTS

As announced on the 26 March 2012 the Company placed an order to redeem a portion of its investment in each currency share class of AllBlue (on a pro rata basis) in order to generate a Cash Reserve of approximately £32,000,000 for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares. The total amount redeemed over all three classes was £100,000,000.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged. AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

SCHEDULE OF INVESTMENTS as at 31 December 2011
SECURITIES PORTFOLIO		NOMINAL HOLDINGS		VALUATION SOURCE CURRENCY		VALUATION GBP		TOTAL NET ASSETS %
AllBlue Limited Class A Sterling Shares		4,624,588		£835,310,741		£835,310,741		89.34%
AllBlue Limited Class A Euro Shares		81,714		€14,749,334		£12,305,468		1.32%
AllBlue Limited Class A US Dollar Shares		749,011		$136,100,695		£87,738,973		9.38%
						£935,355,182		100.04%

SCHEDULE OF INVESTMENTS

as at 31 December 2010

SECURITIES PORTFOLIO		NOMINAL HOLDINGS		VALUATION SOURCE CURRENCY		VALUATION GBP		TOTAL NET ASSETS %
AllBlue Limited Class A Sterling Shares		4,714,729		£832,469,888		£832,469,888		91.12%
AllBlue Limited Class A Euro Shares		121,018		€21,248,213		£18,220,042		1.99%
AllBlue Limited Class A US Dollar Shares		551,297		$98,328,083		£63,059,118		6.90%
						£913,749,048		100.01%

For further information contact:

Anson Fund Managers Limited

Secretary

Tel: Guernsey 01481 722260

30 April 2012

 

END

 

 

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