Annual Financial Report

RNS Number : 6687F

BlueCrest AllBlue Fund Ltd

28 April 2014

BlueCrest AllBlue Fund Limited

BlueCrest AllBlue Fund Limited (LSE: BABS, BABU, BABE) is pleased to announce its annual results for the year ended 31 December 2013.

Glossary

Unless the context suggests otherwise, references within this report to:

"AIC Code" mean the AIC Code of Corporate Governance.

"AIC" mean the Association of Investment Companies, of which the Company is a member.

"AllBlue Leveraged" mean AllBlue Leveraged Feeder Limited.

"AllBlue" mean AllBlue Limited.

"Articles" mean the Articles of Association of the Company.

The "Company" mean BlueCrest AllBlue Fund Limited.

"BlueCrest" mean BlueCrest Capital Management LLP.

"Board" mean the Board of Directors of the Company.

"Business Day" mean any day on which banks are open for business in the Cayman Islands, United Kingdom and/or Guernsey and/or such other place or places as the Directors may from time to time determine.

"Financial Year" mean the period from 1 January 2013 to 31 December 2013.

"GFSC Code" mean the Guernsey Financial Services Commission Financial Sector Code of Corporate Governance.

"IFRS" mean the International Financial Reporting Standards as adopted by the European Union and applicable Guernsey law.

"JTC" or the "Administrator" mean JTC Fund Managers (Guernsey) Limited.

"Law" mean the Companies (Guernsey) Law 2008.

"Shares" mean the Sterling Shares, Euro Shares and US Dollar Shares of the Company in issue.

"Underlying Funds" mean the six underlying funds of AllBlue comprising BlueCrest Capital International Limited, BlueTrend Alignment Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited and BlueMatrix Limited (together, including the master funds into which such funds invest).

"UKLA" mean United Kingdom Listing Authority.

"VaR" mean Value at Risk.

Company & Investment Overview

The Company is a Guernsey investment company listed and traded on the Premium Segment of the London Stock Exchange with assets of approximately £832m**. Its objective is to invest substantially all of its assets in AllBlue Limited.

AllBlue is a multi-strategy fund of hedge funds investing in BlueCrest funds across its two core specialisations: discretionary and systematic trading. These two complementary strategies are blended using 6 underlying BlueCrest funds.

Using robust risk management, AllBlue blends these 6 non-correlated funds to produce attractive returns with low volatility. AllBlue has full transparency into the 6 funds aiding its return of 8.9%* per annum since inception in 2005, combined with low volatility. A summary on each underlying fund is provided at the end of this section.

AllBlue and the 6 underlying funds are managed by BlueCrest Capital Management, one of the world's premier hedge fund managers with offices in the UK, Europe, the US and Asia.

Founded in 2000, BlueCrest manages approximately $30.6bn** and has a proven track record of generating strong levels of capital growth whilst ensuring capital preservation. It has an award-winning reputation for excellence in both discretionary and systematic trading. The principals of BlueCrest have a significant level of their own wealth invested alongside their clients, aligning their interests with those of their investors.

The Company has three share classes, Sterling, Dollar and Euro and seeks to provide shareholders with the following key benefits:

• Attractive returns which are not beholden to the direction of asset markets, created by skilled portfolio management and a non-correlated, multi-strategy approach.

• Strong capital preservation characteristics reflecting robust risk management & expert blending of various assets across discretionary and systematic funds.

• Good liquidity as the shares in the Company can be bought and sold whenever the London Stock Exchange is open for business

More information on the Company, its performance and current allocations can be found on the website, www.bluecrestallblue.com

The six underlying funds

BlueCrest Capital International	A global macro strategy, with a strong fixed income focus. Strategies include directional and curve trading, driven by macro views around central bank activities, their likely actions and market reactions that will impact the level of rates and the shape of the yield curve. Also relative value which looks to identify anomalies across the fixed income markets.
BlueCrest Emerging Markets	A macro strategy that looks to identify opportunities across currency, local interest rates, sovereign and quasi-sovereign credit markets with a focus on liquidity. The strategy trades throughout Latin America, the Middle East, Central and Eastern Europe, Africa and Asia.
BlueCrest Multi Strategy Credit	Engages in opportunities across the full credit spectrum of corporate and sovereign debt markets, implementing strategies such as long / short credit, credit volatility and capital structure arbitrage.
BlueCrest Mercantile	Invests in bonds and loans associated with the production and trade of commercial goods and commodities and then hedges out the associated risks. The credits are purchased from commercial banks who are under pressure to remove them from their balance sheets in order to manage risk concentration and to adhere to regulatory requirements.
BlueTrend	A global systematic trend following strategy that trades in excess of 150 liquid markets covering asset classes including equities, fixed income, foreign exchange, energy, metals and agricultural commodities.
BlueMatrix	A global systematic equity market neutral strategy that draws upon a wide variety of fundamental and technical inputs, as well as other sources. The portfolio construction process incorporates a sophisticated in-house risk model which seeks to maintain market neutrality at the regional level, as well as limiting exposures to other factors such as size or liquidity.

*Net performance of AllBlue Limited (Class A GBP) to 31 March 2014

** As at 1^st April 2014.

Information is for BlueCrest AllBlue Fund Limited as at 31 December 2013.

Chairman's Statement

Since I last wrote to you in the summer, your Company has seen an improvement in performance. During the second half of 2013 the net asset value per share rose by 2.5% (Sterling class), bringing the return for the full year to +1.8%.

The share price performed more strongly than the net asset value, with total shareholder returns of 3.0% for 2013 as a whole (Sterling shares), and returns in excess of 4% in the Euro and Dollar Shares. As in prior years, the returns from the Company's investment in AllBlue have been produced with very low levels of volatility and low levels of correlation to a broad range of asset classes, such as equities and fixed income.

BlueCrest AllBlue Fund Performance

Whilst, of course, we would like to see a return to annual performance in double digits, it is noteworthy that AllBlue has continued its unbroken record of generating positive returns over every rolling 12 month period since inception. Furthermore, in an environment of sustained zero short term interest rates, a double digit net return is unlikely to be achieved consistently without an unacceptable level of risk embedded into the portfolio. We understand that most of our shareholders own Shares in the Company principally for their consistent return and as an effective portfolio diversifier. These criteria hold good and both we and BlueCrest as the manager of AllBlue are resistant to an increase in aggregate risk or to change in the shape of the portfolio in pursuit of higher risk and returns at a time when financial markets, and fixed income markets in particular, are fraught with difficulties.

Information is for BlueCrest AllBlue Fund Limited as at 31 December 2013.

BLUECREST

BlueCrest continue to invest very heavily in their business and the Company believes it is a beneficiary of the consequent increased capability. BlueCrest now employs over 600 people in 9 trading locations in 7 jurisdictions. Most recently BlueCrest has opened offices in Sao Paulo, for LatAm trading, and in Toronto, for Canadian rates trading. Personnel are split fairly evenly between portfolio management staff and support staff. The robustness of the risk management function, in particular, has been evident during 2013 when risk has been maintained at a low and stable level while market volatility, particularly in fixed income and emerging markets, has been elevated.

Whilst the Board remains in regular communication with BlueCrest, it makes a point of visiting BlueCrest offices from time to time, the last such visit being in March 2014. On these occasions we have always been impressed with the professionalism of BlueCrest but, as time has evolved since the Company launched in 2006, it has been very apparent that BlueCrest has developed into a truly institutional style business. We believe that this is a very positive change for you as Shareholders. It clearly differentiates BlueCrest and the Company from many hedge funds.

PORTFOLIO MANAGEMENT

Turning to the events of 2013, BlueCrest provides a detailed analysis in their report later in these financial statements but, in summary, it was central bank policy that, once again, drove the major movements in financial markets. During the year the major moves were driven primarily by the subsidence of worries over the future of the Eurozone, combined with escalating concern over the tapering of stimulus by the US Federal Reserve. The net result was that while developed market equities prospered, fixed income, emerging markets and commodities fell.

For AllBlue, four of the six strategies rose in 2013 with falls confined to BlueCrest Capital International (fixed income relative value & macro) and BlueTrend (systematic trend following). Both of these two funds recorded their first ever negative year. The former suffered from difficulties in generating sustained returns as bonds yields rose. BlueTrend struggled with the swift reversals of fortune in markets but most particularly from the end of the 30 year bull market in bonds.

Information is for BlueCrest AllBlue Fund Limited as at 31 December 2013.

In contrast, the other four funds generated impressive performance, particularly BlueMatrix (systematic equity market neutral) and BlueCrest Multi Strategy Credit. BlueCrest Emerging Markets generated strong performance despite challenging trading conditions and sharp falls in emerging market bonds and currencies.

BlueCrest was, as a result, active in shifting the allocations within AllBlue. The charts below show the position at the start and at the end of 2013.

Capital allocations are for AllBlue Limited. All figures rounded to the nearest whole number. *From December 2011 to October 2013 the

BlueTrend exposure was gained through BlueTrend Alignment.

As a result of the notable decrease in the allocation to BlueCrest Capital International during the year, AllBlue held a very balanced allocation across the six strategies. This change, along with the meaningful increase in BlueMatrix, was significantly return accretive.

Information is for BlueCrest AllBlue Fund Limited as at 31 December 2013.

Whilst returns in aggregate would have been higher but for BlueCrest Capital International and BlueTrend, the inherent diversification benefit of the six funds is valuable. This is clearly demonstrated in the chart below which shows the VaR contribution of each fund together with the aggregate VaR; the aggregate being well below the sum of the contributions.

Value at Risk: Fund and Strategy

Despite below average returns recently, BlueCrest believes that its inherent approach and investment techniques remain effective. AllBlue retains an admirable track record with average returns of 8.9% since its inception in 2006.

Reflecting the net impact of the investment performance and other movements in the net asset value, including the partial redemption of the US Dollar Share Class, the assets under management of the Company decreased in 2013 from £958.3 million to £841.5 million.

DISCOUNT MANAGEMENT

We recognise that the returns from the Company's holding in AllBlue is only one part of the story for Shareholders. The Board is very aware of the impact upon Shareholders of any variability in the Share price against the net asset value. As a result, we have continued to be active in repurchasing Shares at a discount to net asset value. During 2013, the Company repurchased £47.7m worth of Sterling Shares at an average discount of approximately 4.5%. The effect of the share repurchases at a discount during 2013 was an increase in the net asset value per share of 0.4779 pence. As a Board, we recognise that being willing to repurchase Shares when the price is at a discount is as important as issuance when at a premium. We are pleased that the discount has been relatively stable during the year at around 4%.

Feedback from the Company's larger Shareholders has suggested that they too believe that this is a satisfactory situation, particularly against a backdrop of generally widening discounts for the broader hedge fund sector. We shall continue, where possible, to seek to maintain that stability and the Company's Cash Reserve policy (as defined and described on page 20) will continue to be operated for the foreseeable future.

REGULATION & GOVERNANCE

The period since the financial crisis has been marked by considerable regulatory changes, some of which have affected the Company. During 2013 the Board and its committees considered, amongst others, FATCA, the impact of the EU's Alternative Investment Fund Managers Directive, the FCA's Non-Mainstream Pooled Investments regulations and the considerable changes being introduced by the Financial Reporting Council which have impacted these financial statements. For the Company to meet the highest standards of corporate governance, as we intend, these changes must be and have been embraced in a manner that is proportionate and appropriate to the Company's needs. One notable outcome is that the Company has recently established a separate Risk Committee to oversee investment risk management. This Risk Committee, chaired by Paul Meader, will report to you regularly henceforth.

Continuing the theme of good governance, the Company has recently completed its latest externally facilitated governance assessment, the outcome of which has attested the value of the time and experience devoted by the directors and the major service providers to the Company. The review confirmed that the company is fully compliant with the requirements of the AIC Code or, where not in compliance, a full explanation for this is provided, and that the board functions effectively and is well led by the Chairman. A number of minor recommendations have been made by Optimus and the board is currently evaluating these with a view to implementation.

In December 2013, the Company's administrator, Anson Fund Managers Limited, was acquired by the JTC Group, an independent, global financial services group. Board members have met with JTC on a number of occasions and we are satisfied with their approach and resources as well as with the continuity of the quality personnel from Anson. You should, however, note the consequential changes to contact addresses, details of which can be found on the Company's website, www.bluecrestallblue.com.

SHAREHOLDER COMMUNICATION

As I have outlined to you before, the Company began undertaking a project some 15 months ago to work more closely with Shareholders to satisfy their requirements and to provide more suitable and effective communication. Whilst this will always be a work in progress, we have made considerable progress: the Company has undertaken a large number of meetings with Shareholders, it has a redesigned website and new monthly, quarterly and presentational material. In addition, we hope that you find these financial statements more informative.

We intend to continue this process during the coming years. As always, we welcome feedback from Shareholders and we are always delighted to hold meetings with you. Please feel free to contact me or my colleagues at info@bluecrestallblue.com. In addition, if you would like to receive regular updates from the Company by email, please send a request to the same address.

RESIGNATION OF JONATHAN HOOLEY

As the Company announced on 13 March 2014, my fellow director Jonathan Hooley will be resigning from the Board with effect from 25 April 2014, following the completion of the audit of the 2013 Annual Financial Statements. As outlined below in this report the Nomination Committee is undertaking a robust and thorough approach to locating an appropriate successor for Chairman of the Audit Committee and we hope to provide updates to you shortly on the progress of the Nomination Committee. The Board joins me in thanking Jonathan for all the hard work he has put into his role and for the important contribution he has made as Chairman of the Audit Committee.

LOOKING FORWARD

The global economy appears to be healing gradually but the transition from exceptional levels of monetary stimulus to a more normal regime must inevitably invoke volatility and uncertainty. 2014 is, as a result, likely to be marked by occasionally difficult market conditions as we saw at the very start of the year. However, AllBlue's underlying strategies are stated by BlueCrest to have the capability to deliver returns irrespective of market direction and BlueCrest is comfortable that all of the underlying funds are likely to benefit from the anticipated stronger influence of fundamental factors during the year. Since the start of 2014, markets have continued to be volatile and unpredictable as geo-political concerns have heightened and economic data have been generally disappointing. However, AllBlue has continued to navigate these cross currents successfully, generating a return of 1.8% to 11^th April 2014.

In this context, we believe that AllBlue's and the Company's attributes of good performance and genuine diversification remain attractive. I look forward to reporting to you again in the summer of 2014.

Yours faithfully

Richard Crowder

Chairman

2013 Investment Manager Report

On the invitation of the Directors of the Company, this commentary has been provided by BlueCrest as investment manager of AllBlue Limited and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest or AllBlue Limited. The commentary is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Company should seek their own independent financial advice and may not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of information for shareholders of the Company but is not attributable to the Company.

Looking back over the year there have been many events that have impacted global markets, however the actions of central banks drove many of the major moves in 2013; Japan launched a huge stimulus program, fears that the US Fed would taper their bond purchases triggered a sharp fall across asset classes, the Eurozone economy continued to languish leading to interest rate cuts, whilst the new Bank of England Governor initiated forward guidance to moderate investors' expectations of interest rate hikes. Overall, the year proved to be strong for equities and credit, weak for government bonds, mixed for commodities and very challenging for emerging markets. Against this backdrop, AllBlue Limited ("AllBlue") generated a return of 1.51% (Class A USD) with modest correlation to traditional asset classes, low volatility and tight control of downside risk.

Reviewing 2013, four of the six strategies provided positive contributions whilst two, BlueTrend and BlueCrest Capital International, detracted from performance. The largest positive contributors were BlueCrest Multi Strategy Credit and BlueMatrix. In combination, AllBlue managed to retain its record of consistently positive annual returns, and has in fact been positive over every rolling 12 month period since inception.

Encouragingly, gains in both the first and fourth quarters were generated by positive returns across all six strategies. In the second and third quarters, performance was impacted by the sharp reversal in government bond markets that caused losses for BlueTrend and BlueCrest Capital International. Despite solid returns from the BlueCrest Emerging Markets, BlueCrest Multi Strategy Credit and BlueCrest Mercantile strategies relative to the severe losses incurred in their trading universe, AllBlue posted negative results over the summer.

In 2013, the AllBlue allocation to BlueMatrix was increased significantly to reflect higher conviction in the strategy due to model improvements, including a wider range of alpha

signals and a broader set of markets covered. The allocation to BlueCrest Capital International was reduced from a high starting point to fund the increase in the BlueMatrix allocation, along with increases in allocations to the BlueCrest Emerging Markets and BlueCrest Multi Strategy Credit strategies, where relative trading opportunities were more appealing. Other allocation changes were less significant and were made to capture shifts in opportunities as markets evolved through the year.

Throughout the course of the year AllBlue's VaR (Historic Simulation, 95% confidence, 1 day VaR) has averaged 0.38%, slightly up on the average for 2012, with a low of 0.17% being seen in June and a high of 0.42% being observed in January. The underlying funds continued to hold significant levels of unencumbered cash, with levels at year end ranging from 23% in BlueCrest Mercantile to 84% in BlueCrest Capital International. The imputed cash level for AllBlue was around 59% at year-end.

A high level of diversification was seen between the underlying funds, with the average correlation being 2%. The highest correlation in 2013, measured on weekly data, was between BlueCrest Capital International and BlueTrend (50%), whilst the lowest correlation was observed between BlueCrest Emerging Markets and BlueCrest Mercantile (-53%).

We believe that 2014 will be a year of considerable uncertainty. A key driver of volatility will likely be the US Fed's actions as economic developments unfold and the resulting changes in the markets' anticipation of rate hikes. Whilst the US economic outlook seems constructive, the recovery is unlikely to be smooth and the Fed will inevitably face future challenges if the labour market or inflation performs below/above the base case, leading to instability in markets until control can be assured. The ECB on its part is facing a more difficult task, since inflation is well below the target and the economic revival is marginal. The imbalances between southern and northern Europe have not been addressed and economic improvements will likely be insufficient to sustain a recovery, eventually forcing the ECB to provide more stimulus through further rate cuts or even more dramatic actions.

Elsewhere sources of uncertainty include China, attempting to liberalise and rebalance its economy with a growing credit bubble and the Japanese experiment in massive quantitative easing. Meanwhile emerging markets are vulnerable to a further slowdown as many countries are suffering from weak fiscal positions and increasing social tensions.

AllBlue's underlying strategies have the capability to deliver returns irrespective of market direction, with both the discretionary and systematic funds likely to benefit from the stronger expected influence of fundamental factors on the assets within their respective trading universes.

ALLBLUE ALLOCATION

	Q4 2012	Q1 2013	Q2 2013	Q3 2013	Q4 2013	2013 Change
BlueCrest Capital International	35.0%	28.1%	23.1%	19.7%	20.1%	-14.9%
BlueCrest Emerging Markets	16.5%	18.0%	20.1%	20.0%	19.0%	+2.5%
BlueCrest Multi Strategy Credit	20.0%	21.6%	21.6%	21.2%	21.1%	+1.2%
BlueCrest Mercantile	11.1%	10.9%	9.4%	9.4%	8.9%	-2.2%
BlueTrend	12.1%	16.2%	17.6%	17.4%	14.9%	+2.8%
BlueMatrix	5.2%	5.2%	8.3%	12.3%	15.8%	+10.6%
Cash	0.2%	0.0%	0.1%	0.1%	0.1%	-0.1%

AllBlue Allocations as of the 1^st of each quarter end month (Q1:March, Q2:June, Q3:September and Q4:December).

ALLBLUE AND UNDERLYING FUND PERFORMANCE

	Q1 2013	Q2 2013	Q3 2013	Q4 2013	2013 Change
AllBlue	1.79%	-2.45%	-0.42%	2.66%	1.51%
BlueCrest Capital International	0.22%	-2.62%	0.70%	0.16%	-1.57%
BlueCrest Emerging Markets	1.31%	0.97%	1.05%	1.37%	4.78%
BlueCrest Multi Strategy Credit	3.10%	2.02%	-0.81%	4.47%	9.00%
BlueCrest Mercantile	1.68%	2.19%	2.11%	0.86%	7.00%
BlueTrend	5.08%	-14.75%	-2.06%	0.87%	-11.50%
BlueMatrix	3.32%	3.57%	-3.09%	8.54%	12.56%

The figures shown are for the longest running share class in each strategy, namely Class A USD for all funds excluding BlueCrest Multi Strategy Credit which is for Class X USD.

ALLBLUE ATTRIBUTION

	Q1 2013	Q2 2013	Q3 2013	Q4 2013	2013
BlueCrest Capital International	0.02%	-0.61%	0.14%	0.02%	-0.43%
BlueCrest Emerging Markets	0.22%	0.17%	0.21%	0.26%	0.86%
BlueCrest Multi Strategy Credit	0.63%	0.43%	-0.18%	0.93%	1.81%
BlueCrest Mercantile	0.19%	0.20%	0.20%	0.07%	0.66%
BlueTrend	0.58%	-2.84%	-0.41%	0.21%	-2.46%
BlueMatrix	0.18%	0.26%	-0.36%	1.20%	1.28%

Attribution is for AllBlue Limited (Class A USD).

BLUECREST CAPITAL INTERNATIONAL

The breakdown of the performance contribution by strategy to AllBlue was broadly in line with the capital allocation, with the Rates strategy being the largest return driver. It proved to be a very challenging environment for both our tactical and directional rates trading strategies. The rates market reactions to communication from both the ECB, in January, and Fed, in May/June, were unpredictable and highly unusual; even to have one such event would be rare but two in one year was exceptional, which consequently led to difficult trading conditions. Volatility and volumes were generally low, limiting opportunities for tactical trading. In regards to directional trading, our economic and valuation analysis did not predict the extent of the bond market sell-off, nor the resulting yield curve distortions in the summer. Our focus on asymmetrical trade construction and our risk management discipline ensured that losses from these shocks were limited. By region, Asia (including Japan) offered better opportunities and made a modest positive contribution to performance, whereas US and European strategies were broadly flat performers in aggregate.

BLUECREST EMERGING MARKETS

The fund performed positively in 2013, during an extremely challenging year for emerging markets, as the team were early to react to the impact of a US recovery and resulting 'tapering'. Profits were well diversified across region, country and asset classes. Returns were driven by the active trading of long and short positions in local rates, FX and sovereign credit, capturing mis-pricing opportunities in advance of event catalysts. Some examples of successful strategies included positions anticipating the rate cuts in Romania, Poland and Colombia, along with well-judged trading around sentiment shifts on rate hikes in Brazil. Through the year, the portfolio's directional positioning was broadly neutral, with a slight long bias; the result of a combination of long/short positions across asset classes and regions. Although risk levels rose at the start of the year, the portfolio quickly moved to a defensive posture to protect performance during the violent selling pressure that started towards the end of May. Portfolio risk levels were increased modestly as trading conditions improved late in the summer, but overall remained at a conservative level until year end.

BLUECREST MULTI STRATEGY CREDIT

Credit markets continued to show steady appreciation in the early months of 2013, supported by strong demand from investors and healthy fundamentals. Substantial new bond issuance was easily absorbed as companies took advantage of the favourable financing conditions and spreads compressed further. The situation reversed in May as fears of rate rises led to a sharp drop in confidence and selling pressure from many areas of the market. Stability returned later in the summer as attractive valuations encouraged investors

back into the asset class. The recovery continued after the Fed delayed tapering, helping to drive a strong credit rally into year end. The credit portfolio saw gains across both the US and European portfolios, as all strategies posted positive returns for the year. By strategy, Long/Short (L/S) and Relative Value (RV) strategies held the largest capital allocation (approximately a third) and generated the highest contribution to performance from trading in numerous single names as well as across credit indices.

BLUECREST MERCANTILE

Over 2013, the two main credit sub-strategies, Bank Basel II and Trade Credit Opportunities, produced positive returns whereas the Commodities Finance sub-strategy delivered a modestly negative return. Within the Bank Basel II sub-strategy, performance of the underlying portfolios remained positive throughout the year as overall default rates in the portfolio's assets continued to be very low. The Trade Credit opportunities portfolio also performed well, as good sector selection and the identification of cheap assets led to solid net positive carry, after the cost of hedges. The portfolio maintained defensive positioning through holding shorter duration assets and CDS hedges. Trading profits were also made capturing pricing anomalies that arose after the volatile conditions in the summer. The Commodity Finance sub-strategy was negatively impacted by exposure to gold-related assets that incurred price falls during the year.

BLUETREND

The environment for trend following remained challenging and the BlueTrend strategy incurred negative performance in 2013; the first negative year of annual performance of the ten calendar years since inception. The strategy successfully captured the strong positive performance in global equity markets, maintaining a long bias to the sector throughout the year; as a result the equity sector was the best performing sector, gaining approximately 12% gross. In Bonds and Short Interest Rates, the sharp reversal in bond markets in May and June led to losses given the long positioning held at the time; over the full year the fixed income sectors detracted approximately 10% gross from the strategy. The FX and commodity sectors also detracted from
performance. Over the course of the year the Margin to Equity for BlueTrend ranged between 6.4% and 19.5% with an average of 14.9% (measured on monthly data). BlueCrest's Systematic Trading Team continues to seek enhancements and additions to the underlying models of BlueTrend, with a number of research developments being released over the course of 2013.

BLUEMATRIX

Strong performance in 2013 was driven by gains made across all of BlueMatrix's regional portfolios and signal families. For the majority of the year, stable conditions in equity markets led to greater single stock return dispersion, accompanied by healthy trading volumes which provided a favourable environment for the strategy. The European portfolio made the greatest contribution to returns, with a significant contribution also made by the North American portfolio and more modest contributions from the Emerging Markets and Asian portfolios. All signal families; Traditional, Alternative and Proprietary, were positive performers. The Traditional signals outperformed, as signals including Analyst Estimates made a significant contribution. The Alternative and Proprietary signals also contributed significantly to performance with consistent returns that diversified the returns of the Traditional signals. In 2014, the portfolio is expected to continue to benefit from the increased diversification across additional countries and signals, due to the enhancements made to the model during 2013.

BlueCrest AllBlue Fund Limited

The Company is a self-managed closed-ended investment company incorporated on 21 April 2006 in Guernsey with registered number 44704 with an unlimited life. The Company currently has three classes of share in issue, being Sterling Shares, Euro Shares and US Dollar Shares.

All Shares in issue have been admitted to the Official List of the UKLA and to trading on the London Stock Exchange's main market for listed securities.

Financial Highlights as at 31 December 2013

	GBP Share Class	EUR Share Class	USD Share Class
2013 NAV Return	1.83%	1.83%	1.94%
2013 Share price return	3.00%	4.52%	4.47%
Since inception (22 May 2006) NAV	86.26%	79.71%	78.16%
Since inception (22 May 2006) NAV per annum	8.52%	8.01%	7.88%
Premium/discount ---	(4.21%)	(5.01%)	(4.88%)
ISIN	GB00B13YVW48	GB00B13YXC81	GB00B13YXH37
Bloomberg ticker	BABS LN	BABE LN	BABU LN

Investment Information

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 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 seeks to achieve its investment objective through investment in underlying funds, each of which on its own has a distinct investment objective and approach and which, as part of a portfolio of assets, form a diversified basket of hedge fund investments. As at 31 December 2013, AllBlue was invested in six underlying funds comprising BlueCrest Capital International Limited, BlueTrend Alignment Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited and BlueMatrix Limited, all of which are managed by BlueCrest. AllBlue may in the future exclude any or all of these funds or from time to time include any other investment fund established by BlueCrest or by managers with close links to BlueCrest.

BlueCrest is the appointed investment manager of AllBlue. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group ("AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. 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 AllBlue Sub-Investment Managers' AllBlue Allocation Committee, comprising a team of senior investment professionals of BlueCrest. On a monthly basis the AllBlue Sub-Investment Managers' AllBlue Committee also reviews the allocation of AllBlue's assets amongst the Underlying Funds and makes such adjustments as it deems appropriate.

It is the policy of the AllBlue Allocation Committee that the assets of AllBlue will be predominantly fully invested. However, AllBlue may from time to time hold certain assets in cash or cash equivalents, should it consider that this is required for efficient portfolio management or otherwise in the best interests of AllBlue.

AllBlue Leveraged Feeder Limited

As announced on the 26 March 2012, the Company redeemed a portion of its investment in each currency 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 an economic exposure substantially equivalent to being fully invested in 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 approximately 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). AllBlue Leveraged Feeder Limited will incur leveraged costs in achieving its investment exposure.

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.

On 1 January 2013 the Company restructured the Cash Reserve and AllBlue Leveraged investments so that they were held solely within the Sterling class although the Cash Reserve remained available for use by all three share classes. The Board reviews the Cash Reserve on a quarterly basis to maintain the substantially equivalent economic exposure to being fully invested in AllBlue.

BlueCrest Capital Management LLP

BlueCrest has been appointed as the investment manager of AllBlue and AllBlue Leveraged and the Underlying Funds. BlueCrest has the power (exercisable only with the consent of AllBlue) to appoint, on behalf of AllBlue, acting as its agent, one or more third parties to perform in its place and as agent or agents of AllBlue, any of its functions, powers and duties as investment manager. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group (the "AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. BlueCrest has a similar power in respect of AllBlue Leveraged and each of the Underlying Funds.

BlueCrest is an English limited liability partnership incorporated on 11 August 2008 with number OC339259 and registered office at 40 Grosvenor Place, London SW1X 7AW acting solely through its office in Guernsey located at BlueCrest House, Glategny Esplanade, St Peter Port, Guernsey, GY1 1WR (tel: +44 (0)14 81733 800).

BlueCrest is licensed and regulated by the Guernsey Financial Services Commission and registered as an investment adviser with the United States Securities and Exchange Commission under the United States Investment Advisers Act of 1940 and with the U.S. Commodity Futures Trading Commission as a commodity pool operator and is a member of the National Futures Association in such capacity.

Corporate Information

Discount Management Provisions

At all previous annual general meetings the Directors obtained shareholder approval to buy back up to 14.99% of each class of Shares in issue and they intend to seek annual renewal of this authority from shareholders at each future general meeting held under section 199 of The Companies (Guernsey) Law, 2008, as amended (the "Law"). In accordance with the Law any share buy backs will be effected by the purchase of Shares in the market for cash at a price below the prevailing net asset value of the relevant class of Shares where at the time of purchase the Directors reasonably believe such a purchase will enhance shareholder value. Shares purchased may be cancelled or held in treasury.

As announced on 28 May 2012, the Company engaged buy-back agents to effect share buy-backs on behalf of the Company and this engagement remained in effect throughout the financial period and thereafter as at the date of this report.

As at 22 April 2014 since the commencement of the buybacks the Company had bought back £104 million through on market share repurchases of 61,077,336 Sterling Shares at an average discount to the prevailing net asset value of 5.0 per cent and accretive net asset value gain of £5,538,066. The Company currently holds 46,084,225 Sterling Shares in treasury which are available for re-sale at prices above the then prevailing net asset value per share. As announced on 30 January 2014 the Company cancelled 4,310,945 US Dollar Shares which it had held in treasury.

BlueCrest AllBlue Fund Limited Share Class	Share Price Discount as at 1 January 2013*	Share Price Discount as at 31 December 2013*
Sterling Class	-5.60%	-3.41%
Euro Class	-6.73%	-4.86%
US Dollar Class	-6.92%	-4.89%

*Source:Bloomberg

Further Issue of Shares

Subject to the terms of the Law, the Listing Rules and the Articles, in order to manage any share price premium to net asset value if the Directors believe there is investor demand that cannot be satisfied through the secondary market and to raise additional capital for investment, the Company may seek to issue additional Shares. Further issues of Shares will only be made if the Directors determine such issues to be in the best interests of Shareholders and the Company as a whole and pursuant to the Listing Rules can only be issued for cash at a price below the net asset value of the shares unless first offered pro rata to existing shareholders.

The Directors currently have authority to allot the authorised but unissued share capital of the Company and such authority shall only be exercised at prices which are not less than the prevailing net asset value of the relevant share class at the time. The Company held a general meeting of Shareholders on 16 October 2013 at which the pre-emption rights granted to Shareholders were disapplied in relation to up to 48 million new Shares for a period concluding on 31 December 2014, unless such resolution is previously extended, renewed or revoked by the Company's shareholders in a general meeting. In accordance with the Listing Rules, such new Shares could only be issued at or above net asset value per share (unless offered pro rata to existing shareholders or pursuant to further authorisation by shareholders).

Continuation Vote Mechanism

The Company's Articles incorporate a discount management provision (which applies to each class of Share individually) that will require 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) if, over the previous 12 month rolling period commencing from 1 January 2008, the relevant class of 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 net asset value announcement is made for each net asset value Calculation Date over the period) at a discount in excess of 5 per cent. to the average net asset value per Share of that class (calculated by averaging the net asset value per Share of that class as at the net asset value 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, no further continuation vote will be capable of being proposed for that class for a

period of 12 months from the date on which the requirement for a continuation vote was triggered.

Borrowing and Leverage

Although the Company has power under its Articles to borrow up to an amount equal to 10 per cent. of its net assets at the time of the drawing, the Directors do not intend that the Company should engage in any structural borrowing and any borrowing would only be for the purpose of managing day-to-day cash flow, for meeting expenses of the Company and for funding repurchases of Shares. During the first quarter of 2013 the Company entered into a facility with HSBC Bank PLC (the "Facility") in the amount of Twenty Million Pounds Sterling which was repaid in full after one month. The Facility was obtained for the purpose of financing the Company's share buy-back programme pending receipt of funds from a quarterly redemption of AllBlue.

AllBlue does not employ any leverage but may be exposed to it in the Underlying Funds and may engage in short term borrowing, as is deemed necessary from time to time, pending the availability of subscription monies to fund new allocations to the Underlying Funds, or in order to fund redemptions ahead of redemption proceeds being made available.

AllBlue Leveraged employs leverage for the purpose of making investments. Whilst there is no limit on the extent of borrowings or leverage that AllBlue Leveraged may employ it is expected to be in an amount equal to approximately 50 per cent. of AllBlue Leveraged's net asset value, but may vary from time to time.

None of the Underlying Funds is subject to any limits on the extent to which borrowings or leverage may be employed and they may leverage through the use of options, futures, options on futures, swaps and other synthetic or derivative financial instruments.

Currency Risk Management

As AllBlue's base currency is the US Dollar, BlueCrest may from time to time enter into forward exchange contracts in order to hedge the US Dollar exposure of the assets attributable to its Sterling shares and Euro shares in order to neutralise, as far as possible, the impact of fluctuations in the exchange rates between Sterling or Euro, as the case may be, and the US Dollar. Whilst hedging of currency exposure may occur within AllBlue, the Directors do not intend that the Company will carry out any additional hedging arrangements.

Conversion Facility

The Company has the ability to offer a conversion facility as at the first business day of each calendar month ("Conversion Day"). The Directors have the discretion not to operate the conversion facility with respect to any share class or possible share classes from time to time. Where the conversion facility is made available, shareholders are entitled to convert their Ordinary Shares in any currency class for Ordinary Shares in another currency class as at the Conversion Day. The Board will use reasonable endeavours to procure that new Shares created pursuant to the conversion are admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange following the relevant conversion.

Directors

The Company has five Directors, all are non-executive and held office throughout the reporting year and all Directors remain in office as at the date of this report, although as previously noted Jonathan Hooley will resign from the Board.

Richard Crowder, Chairman (aged 64) holds a range of non-executive directorships and consultancy appointments. Having worked as an Investment Manager with Ivory & Sime in Edinburgh and as a Head of Investment Research with W.I. Carr in the Far East, he undertook a wide range of responsibilities for Schroders in London and the Far East, culminating in the role of Managing Director for Schroders' Singapore associate. Having then worked as Chairman of Smith New Court International Agency and Director of Smith New Court Plc, Mr Crowder was the founding Managing Director of Schroders' Channel Islands subsidiary from 1991 until he became a non-executive Director in 2000. He is resident in Guernsey.

Andrew Dodd (aged 42) is a principal, executive committee member and Board member of BlueCrest. He is also a director of AllBlue Limited, BlueCrest BlueTrend Limited and several of the Underlying Funds and a member of the AllBlue Committee which is responsible for portfolio allocations within AllBlue Limited. He joined BlueCrest in 2006 after a 13 year career at Goldman Sachs where he specialised in advising insurance, banking and asset management clients with respect to mergers and acquisitions, capital markets, structured finance and asset/liability management. He holds a BA in Philosophy, Politics and Economics from Oxford University. He is resident in Switzerland.

Jonathan Hooley, Chairman of Audit Committee (aged 58) retired as the senior partner of KPMG in the Channel Islands on 30 September 2007. His career with KPMG spanned some 30 years. He was a tax partner with KPMG for over 20 years, firstly in London where he was an international tax partner specialising in banking and other financial sector work and subsequently in Guernsey where he has been responsible for advising a large number of investment funds. Mr Hooley is a Chartered Director, Chartered Accountant and a Chartered Tax Adviser. He is also a Jurat of the Royal Court of Guernsey. He is resident in Guernsey.

Paul Meader, Senior Independent Director (aged 48) is an independent director of a number of investment management companies and investment funds. He was, until recently, Head of Portfolio Management for Canaccord Genuity based in Guernsey, having previously held the role of Chief Executive of Corazon Capital Group which was acquired by Collins Stewart in 2010. Mr. Meader has 28 years' experience in financial markets in

London, Dublin and Guernsey following senior positions in portfolio management and trading, with particular expertise in fixed income investments. Prior to joining Corazon he was Managing Director of Rothschild's Swiss private-banking subsidiary in Guernsey. Mr Meader is a Chartered Fellow of the Chartered Institute of Securities & Investments and is past Chairman of the Guernsey International Business Association. He is resident in Guernsey.

John Le Prevost (aged 62) is the Chief Executive Officer of Anson Group Limited and Chairman of Anson Registrars Limited (the Company's Registrar). He has spent 30 years working in offshore trusts and investment business during which time he was Managing Director of County NatWest Investment Management (Channel Islands) Limited, Royal Bank of Canada's mutual fund company in Guernsey and Republic National Bank of New York's international trust company. He is a director of a number of companies associated with Anson Group's business as well as being a non-executive director of Thai Prime Fund Limited and is a trustee of the Guernsey Sailing Trust. He is resident in Guernsey.

Company Secretary and Administrator

JTC is a Guernsey incorporated company and provides administration and secretarial services to the Company pursuant to an Administration and Secretarial Agreement. In such capacity, JTC is responsible for the general secretarial functions required by The Law and ensures that the Company complies with its continuing obligations as well as advising on the corporate governance requirements and recommendations as applicable to a company listed on the premium segment of the Official List and admitted to trading on the main market of the London Stock Exchange.

The Administrator is also responsible for the Company's general administrative functions such as the calculation of the NAV of Shares and the maintenance of accounting and statutory records. In addition, at the direction and request of the Board, the Administrator is responsible for undertaking the required actions to adjust the Company's portfolio in order to reflect monthly share conversions or other activities undertaken by the Board in accordance with the Investment Policy.

MANAGEMENT REPORT

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 Directors Report and the notes to the financial statements and are 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 is set out 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 the Company entered into the Facility in order to cover the expense of the Company's buy-back programme prior to receipt of redemption proceeds.

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) in the circumstances explained on page 23

As at 22 April 2014, for the purposes of the continuation votes the Sterling Shares had traded at an average 3.34% discount to their net asset values, the Euro Shares at an average 3.00% discount and the US Dollar Shares at an average discount of 2.62%, all over the previous twelve month period. As at 22 April 2014, being the latest practicable date prior to the publication of this document, the Sterling Shares were trading at a discount of 5.453% to their net asset value, the Euro Shares at a discount of 6.473% to their net asset value and the US Dollar Shares at a discount of 4.371% to their net asset value.

The continuation vote mechanism was triggered for the Sterling Shares and US Dollar Shares as announced on 31 January 2013 and for the Euro Shares as announced on 28 February 2013. Continuation resolutions were passed for Sterling and Euro Share classes of Ordinary Shares at separate Class meetings held on 17 April 2013 and accordingly no further continuation vote can be triggered for each of the Sterling and Euro share class until after 17 April 2014.

The continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals to be put to the shareholders of that class only offering to redeem their shares at the relevant net asset value (less the costs of all such redemptions). Acceptances of the redemption offer for US Dollar Shares were received for 75,413,387 US Dollar Shares (representing approximately 60.84 per cent. of the US Dollar Shares in issue at 1 July 2013). The redemption proceeds of approximately $128million were paid to redeeming shareholders on 8 August 2013.

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.

Director

24 April 2014

Report of the Directors

The Directors present their report and financial statements for the year ended 31 December 2013.

The Company

Information on the Company including its Investment Objective and Policies can be found on page 19 onward.

Shareholder Communication

All holders of Shares in the Company have the right to receive notice of, and attend, all general meetings of the Company, during which the Directors are available to discuss issues affecting the Company, and the Directors also meet periodically with major shareholders. The Directors are always available to enter into dialogue with shareholders and make themselves available for such purpose whenever required. The Senior Independent Director can also be contacted by shareholders directly at Paul.Meader@bluecrestallblue.com, if they have any concerns and shareholders who wish to receive timely information by email can do so by sending a request to info@bluecrestallblue.com.

The Annual General Meeting also provides a forum for shareholders to raise any queries or concerns directly with the Board in person. The Investment Manager of AllBlue and Jefferies Hoare Govett and Dexion Capital Plc, the Company's Corporate Brokers, meet regularly with the Company's major shareholders and reports are provided at least quarterly to the Board of Directors on those shareholders' views about the Company and any issues or concerns they might have. The Board regularly reviews the Company's share register at its formal meetings to monitor the shareholder profile and the Board is implementing measures to ensure that information is presented to its Shareholders in a fair, balanced and understandable manner.

The Company announces the confirmed net asset value of each share class on a monthly basis and a commentary on the investment performance of AllBlue is provided by the Company's monthly factsheet. The estimated net asset value of each share class is announced weekly to a Regulatory Information Service. The daily market closing prices of Shares are available on Reuters, Bloomberg, in the Financial Times and the Daily Telegraph and on-line on the internet. A copy of the Registration Document, Summary Note and Securities Note of the Company can be found at www.bluecrestallblue.com.

All Shares may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of Shares may be settled through CREST.

The Company's register of shareholders is maintained by Anson Registrars Limited in Guernsey and they can be contacted on +44 (0)1481 722260.

Net Asset Value ("NAV")

The NAV for accounting purposes of the Company's Shares, including all distributable reserves as at 31 December 2013 was GBP 1.8260 (Sterling Shares), EUR 1.7618 (Euro Shares) and USD 1.7465 (US Dollar Shares).

The Company's NAV is based on valuations of unquoted investments. In calculating the NAV and the NAV per Share of the Company, the Administrator relies on the NAVs of the shares in AllBlue and AllBlue Leveraged supplied by the administrator of each fund.

Results and Dividends

The results for the year are set out in the Statement of Comprehensive Income on pages 59 to 60. In accordance with the Investment Objective the Directors did not declare any dividends during the year under review and the Directors do not recommend the payment of a dividend as at the date of this report.

Directors

The Directors, all of whom are non-executive, as shown on pages 17 and 18 all held office throughout the reporting year and all Directors remain in office as at the date of signature of these financial statements. No Director has a contract of service with the Company, nor are any such contracts proposed.

The interests of the Directors in the Shares of the Company as at the date of signature of these financial statements are as follows:

Director	Number and Class of Shares
Mr Andrew Dodd	329,165 Sterling Shares
Mr John Le Prevost	62,034 Sterling Shares
Mr Jonathan G Hooley	409,664 Sterling Shares
Mr Paul Meader	29,163 Sterling Shares
Mr Richard Crowder	92,775 Sterling Shares

Related Party Transactions

Anson Registrars Limited is the Registrar, Transfer Agent and Paying Agent of the Company. Mr Le Prevost is a Director and controller of Anson Registrars Limited and was a director and controller of the Administrator when it was Anson Fund Managers Limited during the Financial Year.

Andrew Dodd is a principal, executive committee member and Board member of BlueCrest. He is also a director of AllBlue Limited and several of the Underlying Funds and a member of the AllBlue Committee which is responsible for portfolio allocations within AllBlue Limited.

Other than the above-mentioned interests, none of the Directors, nor any persons connected with them, had a material interest in any of the Company's transactions.

Substantial Shareholdings

The Directors have been notified of the following substantial interests in the Company's relevant share capital as at the date of this report. There have been no material changes in the below list of substantial shareholdings from that as at 31 December 2013 other than to adjust the percentage of voting rights to reflect the shares in issue at that time.

Name	Number of Voting Rights	% of Voting Rights
Rathbone Brothers Plc	52,698,189	11.15
Blackrock Inc	48,348,497	11.31
Quilter & Co Ltd	32,943,033	6.97
Schroders Plc	69,382,225	14.68
Cazenove Capital Management Limited	29,108,951	6.16

Statement of Directors' Responsibilities

The Directors are required to prepare financial statements for each Financial Year which give a true and fair view of the state of affairs of the Company as at the end of the Financial Year and of the profit or loss for that year. In preparing those financial statements, the Directors are required to:

· Ensure that the Annual Report and Accounts, taken as a whole, are fair, balanced and understandable and provide information necessary for the shareholder to assess the Company's performance, business model and strategy.

· Select suitable accounting policies and apply them consistently;

· Make judgements and estimates that are reasonable and prudent;

· State whether the applicable accounting standards have been followed subject to any material departures discussed and explained in the Annual Report and Accounts; and

· Prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements have been properly prepared in accordance with the Law. They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The Directors are responsible for ensuring that the Annual Report and Accounts includes information required by the Rules of the UK Listing Authority. They are also responsible for ensuring that the Company complies with the provisions of the Listing Rules and Disclosure

Rules and Transparency Rules of the UK Listing Authority which, with regard to corporate governance require the Company to disclose how it has applied the principles, and complied with the provisions, of the corporate governance code applicable to the Company.

Corporate Governance

Statement of Compliance with the AIC Code of Corporate Governance

In accordance with Listing Rule 9.8.7 the Company is required to comply with the requirements of the UK Corporate Governance Code. A copy of the UK Corporate Governance Code is available for download from the Financial Reporting Council's web-site (www.frc.org.uk).

The Board of the Company has considered the principles and recommendations of the AIC Code by reference to the AIC Corporate Governance Guide for Investment Companies (the "AIC Guide"). The AIC Code, as explained by the AIC Guide addresses all the principles set out in the UK Corporate Governance Code, as well as setting out additional principles and recommendations on issues that are of specific relevance to an investment company.

With effect from 1 January 2012 the Company is also required to comply with the GFSC Code. As the Company reports under the AIC Code it is deemed to meet the requirements of the GFSC Code. The Board has undertaken to evaluate its corporate governance compliance on an on-going basis.

The Board considers that reporting against the principles and recommendations of the AIC Code, and by reference to the AIC Guide (which incorporates the UK Corporate Governance Code), will provide better information to shareholders.

The UK Corporate Governance Code includes provisions relating to:

· the role of the chief executive;

· executive directors' remuneration;

· the need for an internal audit function.

For the reasons set out in the AIC Guide, and as explained in the UK Corporate Governance Code, the Board considers these provisions not relevant to the position of the Company,

being a self-managed investment company. The Company has therefore not reported further in respect of these provisions. The Company has complied with all Principles of the AIC Code and conforms with all detailed recommendations subject to the following explanations.

The Board

The Board comprises five non-executive Directors all of whom are independent (with the Chairman being independent on appointment) for the purposes of Principle Two of the AIC Code and Listing Rule 15.2.12A except for Mr Dodd, who is a member of the Board of the investment manager of AllBlue Limited and Mr Le Prevost, who is a director and controller of the Registrar of the Company and formerly a director and controller of the Company's Administrator. As announced on 13 March 2013 Jonathan Hooley has resigned from the Company and will leave the Board with effect from 25 April 2014.

Biographies of the Directors appear on pages 26 and 27, demonstrating the wide range of skills and experience they bring to the Board and highlights of the specific key skills and experience are included on page 43. In accordance with Principle Five of the AIC Code below is a detail of all other public company directorships and employments held by each Director and shared directorships of any commercial company held by two or more Directors at the date of this report:-

Richard Crowder

Absolute Alpha Fund PCC Ltd

Better Capital PCC Limited

FF&P Alternative Strategy PCC Limited

FF&P Global Property Fund PCC Limited

FF&P Enhanced Opportunities Fund PCC Limited

FF&P Venture Funds PCC Limited

Japan Residential Investment Company Limited

Rufford & Ralston PCC Limited

Paul Meader

Guaranteed Investment Products 1 PCC Limited - non-executive directorship with John Le Prevost

ICG-Longbow Senior Secured UK Property Debt Investments Ltd

JP Morgan Global Convertibles Income Fund Limited

John Le Prevost

Doric Nimrod Air One Limited

Doric Nimrod Air Two Limited

Doric Nimrod Air Three Limited

Guaranteed Investment Products 1 PCC Limited - non-executive directorship with Paul Meader

Harewood Structured Investment PCC Limited

Thai Prime Fund Limited

Andrew Dodd

BlueCrest BlueTrend Limited

Board Meetings

The Board meets at least four times a year to consider the business and affairs of the Company for the previous quarter. Between these quarterly meetings the Board keeps in contact by email and telephone as well as meeting to consider specific matters of a transactional nature. Directors have direct access to the Secretary and the Secretary is responsible for ensuring that Board procedures are followed and that there are good information flows both within the Board and between Committees and the Board. Additionally the Board holds strategy meetings with its relevant advisors in attendance as appropriate. The Directors are kept fully informed of investment and financial controls and other matters that are relevant to the business of the Company and should be brought to the attention of the Directors. The Directors also have access, where necessary in the furtherance of their duties, to professional advice at the expense of the Company.

During the year under review the Board met nineteen times. Of those nineteen meetings four were quarterly Board meetings and the remainder were ad hoc meetings held at short notice to deal with specific matters including the Company's buy-back programme and the redemption of US Dollar Shares. The Director's attendance is summarised below:-

Director	Quarterly Board Meetings	Ad Hoc Meetings
Richard Crowder	4 of 4	13 of 15
Andrew Dodd	3 of 4	7 of 15
Jonathan Hooley	4 of 4	13 of 15
Paul Meader	4 of 4	14 of 15
John Le Prevost	4 of 4	12 of 15

Letters of appointment for non-executive Directors do not set out a fixed time commitment for Board duties as the Board considers that the time required by Directors may fluctuate depending on demands of the Company and other events. Therefore it is required that each Director will allocate sufficient time to the Company to perform their duties effectively and expected that each Director will attend all quarterly Board meetings and meetings of committees of which they are a member. The Chairman has confirmed that he considers the performance of each director to be effective and that each director demonstrates continued commitment to their role.

Audit Committee

An Audit Committee has been established consisting of Mr Hooley, Mr Meader and Mr Crowder, Mr Dodd and Mr Le Prevost are entitled to attend. Mr Hooley has been appointed as Chairman. During the year under review the Audit Committee met three times and all members of the Audit Committee attended all meetings.

The Audit Committee examines the effectiveness of the Company's internal control systems, the annual and half-yearly reports and financial statements, the auditors' remuneration and engagement, as well as the auditors' independence and any non-audit services provided by them. The Audit Committee will monitor the performance of the Auditor and may, if deemed appropriate, consider arranging for the external audit contract to be tendered in 2016 (being

The Audit Committee meets at least twice annually, shortly before the Board meets to consider the Company's half-yearly and annual financial reports, and reports to the Board with its deliberations and recommendations and also has an annual planning meeting with the Auditor. The Audit Committee operates within clearly defined terms of reference based on the Institute of Chartered Secretaries and Administrators recommended terms and provides a forum through which the Company's external auditors report to the Board. The Audit Committee receives information from the Company's service providers with the majority of information being directly sourced from the Administrator and the external auditors. The terms of reference of the Audit Committee are available from the Company's website.

The Audit Committee considers the nature, scope and results of the auditor's work and reviews annually prior to providing a recommendation to the Board on the re-appointment or removal of the auditor. When evaluating the external auditor the Committee has regard to a variety of criteria including industry experience, independence, reasonableness of audit plan, ability to deliver constructive criticism, effectiveness of communication with Board and the Company's service providers, quality control procedures, management of audit process and added value beyond assurance in audit opinion.

Auditor independence is maintained through limiting non-audit services to tax reporting and audit-related work that falls within defined categories. The only non-audit services provided in the Financial year were in relation to the calculation and certification of information to achieve transparent tax status accordingly to German tax laws for investment funds. All engagements with the Auditor are subject to pre-approval from the Audit Committee and are fully disclosed within the Annual Financial Report for the relevant period. A new lead audit partner is appointed every five years and the Audit Committee ensures the Auditor has appropriate internal mechanisms in place to ensure its independence. Chris Matthews was appointed lead audit partner during 2012. The Audit Committee has recommended to the Board that the re-appointment of EY as the Company's external auditors be proposed to shareholders at the 2014 Annual General Meeting.

Each year the Board examines the Audit Committee's performance and effectiveness, and ensures that its tasks and processes remain appropriate. Key areas covered included the clarity of the Audit Committee's role and responsibilities, the balance of skills among its members and the effectiveness of reporting its work to the Board. The Board is satisfied that all members of the Audit Committee have relevant financial experience and knowledge and ensure that such knowledge remains up to date. Regarding process, members noted that fulfilling the Audit Committee's remit had led to lengthy meetings, but at the same time they recognized a wish to extend in detail into specific topics. The Board has sought to allow for this by arranging for meetings of the Audit Committee several days prior the Board meeting where the findings of the Audit Committee will be reported.

Overall the Board considered the Audit Committee had the right composition in terms of expertise and has effectively undertaken its activities and reported them to the Board during the year.

Management and Remuneration Committee

A Management and Remuneration Committee has been established consisting of Mr Meader, Mr Hooley and Mr Crowder. Mr Dodd and Mr Le Prevost are entitled to attend all meetings of the Committee. Mr Meader has been appointed as Chairman. The function of the Management and Remuneration Committee is:

(a) to ensure that the Company's contracts of engagement with the Administrator and other service providers are operating satisfactorily so as to ensure the safe and accurate management and administration of the Company's affairs and business and are competitive and reasonable for the shareholders and to make appropriate recommendations to the Board;

(b) to monitor and assess the appropriate levels of remuneration for all Directors; and

(c) to ensure that the Company complies to the best of its ability with applicable laws and regulations and adheres to the tenet of generally accepted codes of conduct.

During the year under review the Management and Remuneration Committee met once and all membersattended this meeting.

The chairmanship of the Audit and the Management and Remuneration committees is reviewed annually by the Chairman. In addition, each Director's performance is assessed annually by the Chairman and the performance of the Chairman is assessed by the Senior Independent Director together with the remaining Directors.

The remuneration of the Directors is reviewed on an annual basis and compared with the level of remuneration for directorships of other similar funds. All Directors receive an annual fee (apart from Mr Dodd who has waived all fees in connection with his appointment to the Company) and there are no share options or other performance related benefits available to them.

The Board is committed to an evaluation of its performance being carried out every year. In accordance with Principle Seven of the AIC Code the Board has undertaken a second, externally facilitated evaluation by Optimus Group Limited who previously appraised the Board in 2011. The 2011 external valuation confirmed that the Company observes high standards of corporate governance and the Board confirms that there are no outstanding recommendations from this evaluation.

Nomination Committee

A Nomination Committee has been established consisting of Mr Crowder, Mr Meader, Mr Hooley, Mr Le Prevost, Mr Dodd with Mr Crowder being appointed as Chairman of this Committee, except when the Committee considers any matter in connection with the Chairmanship in which case the Committee will elect another Chairman. Given that the Board consists solely of non-executive directors, each of whom are members of the Committee, the Board does not consider the Chairman being a member of the Committee to be inappropriate. The function of the Nomination Committee is to ensure that the Company goes through a formal process of reviewing the balance, independence and effectiveness of the Board, identifying the experience and skills which may be needed and those individuals who might best provide them and to ensure that the individual has sufficient available time to undertake the tasks required. When considering the composition of the Board, Directors will be mindful of diversity, inclusiveness and meritocracy. The outside directorships and broader commitments of Directors are also monitored by the Nomination Committee.

The Board had undertaken the aforementioned formal review of the balance, independence and effectiveness of the Board therefore the Nomination Committee did not meet. The Board concluded it did not have any objection to the current commitments of its members, including the shared directorship listed above and that no changes to the composition of the Board were required. The Company supports the AIC Code provision that Boards should consider the benefits of diversity, including gender, when making appointments and is committed to ensuring it receives information from the widest range of perspectives and backgrounds. The Company's aim as regards the composition of the Board is that it should have a balance of experience, skills and knowledge to enable each Director

and the Board as a whole to discharge their duties effectively. Whilst the Company agrees that it is entirely appropriate that it should seek to have diversity on its Board, it does not consider that this can be best achieved by establishing specific quotas and targets and

appointments will continue to be made based wholly on merit. Accordingly should changes to the Board be required the Nomination Committee would have regard to the Board's Diversity Policy that when recruiting Directors, a comparative analysis of candidates' qualifications and experience, applying pre-established clear, neutrally formulated and unambiguous criteria will be utilised to determine the most suitable candidate for the specific position sought.

Following the notification of the resignation of Jonathan Hooley, announced 13 March 2014, the Nomination Committee met to identify the experience and skills which will be needed following the departure of Mr. Hooley and those individuals who might best provide them. The search for a suitable replacement is currently being undertaken.

A review of the skills and experience of the existing Board members, who all held office throughout the Financial Year, is outlined below:

Director

Key Skills and Experience

Richard Crowder

Chairman

Wide knowledge of Investment management as well as broad experience of non-executive directorship, chairmanship and executive directorship in quoted and unquoted companies.

Paul Meader

Senior Independent Director

An experienced portfolio manager with in-depth knowledge of private wealth management and institutional asset management. Long term experience of asset allocation, fixed income and hedge funds. Significant financial services, fund management, regulatory and non-executive director experience.

Jonathan Hooley

Chairman of Audit Committee

Wide-ranging knowledge of Audit, financial reporting, financial services, tax together with substantial financial and non-executive directorship experience.

John Le Prevost

Extensive knowledge of Investment company administration, regulation, listing rules, corporate structuring and substantial non-executive director experience of listed companies in the UK and the Far East.

Andrew Dodd

Extensive knowledge and experience of Hedge funds, asset/liability management, capital markets, financial management and risk analysis

All Directors (with the exception of Jonathan Hooley who will resign with effect from 25 April 2014) will put themselves forward for re-election at each Annual General Meeting. On 8 August 2013, the most recent AGM, shareholders re-elected all Directors of the Company.

The Board believes that changes to its composition, including succession planning for the Chairman or other director, can be managed without undue disruption to the Company's operations. To date no Director of the Company has resigned. Directors are able and encouraged to provide statements to the Board of their concerns and ensure that any items of concern are recorded in the Board minutes and the Chairman encourages all Directors to present their views on matters in an open forum. The Board is also scheduled to consider the tenure of Directors once any Director has been appointed to the Board for a continuous period of nine years; this is currently scheduled to occur in 2015 for Messrs Crowder, Meader and Le Prevost. Whilst the Board is of the view that directors can continue in certain circumstances beyond a tenure of 9 years, thereafter such Directors will be subject to increasing scrutiny as to their effectiveness and independence.

Internal Controls & Risk Management Review

The Board is responsible for the Company's system of internal control and for reviewing its effectiveness. The Board confirms that there is an on-going process for identifying, evaluating and monitoring the significant risks faced by the Company.

The Board carries out an annual review of internal controls of itself and primary service providers, which could have an impact on the Company. ISAE 3402 (or equivalent) reports have been obtained from the relevant service providers on a regular basis to verify these reviews. The internal controls are designed to meet the Company's particular needs and the foreseeable risks to which it is exposed. Accordingly, the internal control systems are designed to manage rather than eliminate the risk of failure to achieve business objectives and by their nature can only provide reasonable and not absolute assurance against misstatement and loss.

The Company has put in place arrangements with AllBlue and BlueCrest (as appropriate) for the Company to receive weekly estimated NAVs and estimated and final monthly NAVs in relation to AllBlue and AllBlue Leveraged electronically as soon as they are released to

AllBlue investors, together with certain factsheets produced on each fund and other administrative information and reports. The purpose of these arrangements is to ensure that the Directors have sufficient timely information to enable them to monitor the Company's investments in AllBlue. In addition, the appointment of Andrew Dodd to the Board, together with his alternate director, allows the Board immediate direct access to senior representatives of the BlueCrest group to discuss issues and receive information on matters which may impact Shareholders.

The Board on a semi-annual basis conducts a full review of the Company's risk management systems, including consideration of a risk matrix which covers various areas of risk including corporate strategy, accuracy of published information, compliance with laws and regulations, relationships with service providers and investment and business activities. The Board considers that the Company has adequate and effective systems in place to identify, mitigate and manage the primary risks to which the Company is exposed.

The Company is a self-managed investment company with no separate investment manager accordingly no fees are payable to an investment manager. BlueCrest is the investment manager of AllBlue and AllBlue Leveraged. Administration and Secretarial duties for the Company are performed by JTC. The Board considers that the systems and procedures employed by the Administrator and AllBlue provide sufficient assurance that a sound system of internal controls is in place.

The Directors of the Company clearly define the duties and responsibilities of their agents and advisors. The appointment of agents and advisers is conducted by the Board after consideration of the quality of the parties involved and the Board monitors their on-going performance and contractual arrangements. The Board has also specified which matters are reserved for a decision by the Board and which matters may be delegated to its agents and advisers.

Specific matters reserved exclusively for the decision of the Board include all matters concerning the acquisition and realisation of shares in underlying investments, the authorisation of conversions between share classes, the variation of terms on which an overdraft facility is used to finance operating costs and the invocation of any premium or discount mechanisms.

Principal Risks and Uncertainties

The Board reviews risks each quarter and monitors the existing risk control activity designed to mitigate these risks. The principal risks associated with the Company are:

- Operational risk. The Board is ultimately responsible for all operational facets of performance including cash management, asset management, regulatory and listing obligations. The Company has no employees and so enters into a series of contracts/legal agreements with a series of service providers to ensure both operational performance and the regulatory obligations are met. The Company uses well established, reputable and experienced service providers and their continued appointment is assessed at least annually.

- Investment risk. The Board is responsible for the investing policy but, due to the nature of the Company, the Board has little discretion in such management. The success of the Company depends on the diligence and skill of the Investment Manager of the Company's primary investment, AllBlue. There is a risk that any underperformance of funds in which the Company's capital is invested would lead to a reduction of the net asset value or of the share price rating. The Board formally monitors the investment performance each quarter, periodically visits the Investment Manager and attends regular investment update calls to further supplement their knowledge of the investment process and strategy.

- Share price discount risk. The Company has a discount control mechanism provision which is designed to mitigate this risk. In the event that the twelve month average discount exceeds five per cent during the Company's Financial Year, an ordinary resolution will be proposed as to whether the Company should continue as an investment company. The share price is continually monitored and, if appropriate, the Company buy back facility is utilised to help control share price discount levels. Furthermore, the Board also consider whether any additional control measures need to be taken.

- Concentration risk: The Company's principal exposure is to AllBlue and AllBlue Leveraged and, therefore, the Company is exposed to concentration risk through these two funds. The Board considers that both funds are highly diversified in their

exposures, both to the Underlying Funds and the range of individual positions and exposures of each Underlying Fund. The Board believes that this mitigates certain aspects of concentration risk. The Board actively monitors the exposures of AllBlue, AllBlue Leveraged and the Underlying Funds.

- Leverage risk: The Company does not undertake structural borrowings but will not maintain exactly 1:1 economic exposure to AllBlue at all times because of factors including, but not limited to, Share issuance and buybacks, general expenses and the exact level of leverage embedded in AllBlue Leveraged from time to time. The Board regularly monitors the exposure to AllBlue and rebalances when required. AllBlue does not undertake structural leverage. AllBlue Leveraged seeks to maintain a position which is approximately 1.5x leveraged to AllBlue. This leverage may not be maintained or be constant because of changes to the leverage facility made available to AllBlue Leveraged. The Board monitors the performance of the Company against the performance of AllBlue. Leverage exists in the Underlying Funds either through formal borrowing facilities or embedded in derivative positions. Some of the Underlying Funds will be exposed to significant gross leverage. The Board monitors the performance and strategies of each Underlying Fund and the exposure of AllBlue to each Underlying Fund.

- Counterparty risk: The Company is exposed to counterparty risk directly and indirectly via AllBlue and the Underlying Funds. BlueCrest provide reporting to the Board of the counterparty exposures of AllBlue and the controls exercised around counterparty exposure. The Company seeks to ensure that it does not have undue direct counterparty exposures in line with market practices. AllBlue Leveraged has counterparty exposure to the leverage provider.

- Credit risk: The Company is exposed to credit risk both directly through cash and cash equivalents and applies controls accordingly. The Company is also exposed to credit risk more broadly through AllBlue and the Underlying Funds. The Board believes that credit risk is well diversified through the exposures taken by BlueCrest.

- Regulatory risk. The Company is required to comply with the UKLA rules and the FCA's disclosure and transparency rules. Any failure to comply could lead to criminal or civil proceedings. Although responsibility ultimately lies with the Board the

Secretary and Corporate Brokers also monitor compliance with regulatory requirements.

Bribery

The Directors have undertaken to operate the business in an honest and ethical manner and accordingly take a zero-tolerance approach to bribery and corruption. The key components of this approach are implemented as follows:

· The Board is committed to acting professionally, fairly and with integrity in all its business dealings and relationships;

· The Company will implement and enforce effective procedures to counter bribery; and

· The Company requires all its service providers and advisors to adopt equivalent or similar principles.

Disclosure of information to auditors

The Directors who held office at the date of approval of this Directors' Report confirm that, so far as they are each aware, there is no relevant audit information of which the Company's Auditors are unaware; and each Director has taken all the steps that he ought to have taken as a Director to make himself aware of any relevant audit information and to establish that the Company's Auditors are aware of that information.

Auditor

EY have been the Company's auditor since its incorporation and the lead audit partner is currently Chris Matthews. EY have expressed their willingness to continue in office as Auditor. A resolution proposing its reappointment will be submitted at the Company's forthcoming General Meeting.

During the year under review the Auditor provided German taxation publication services to the Company and received fees amounting to €5,200. This engagement did not require any consultation or advice to be provided by the Auditor. No other non-audit services were provided by the Auditor.

Going Concern

Whilst it is not currently anticipated that continuation votes will need to be put to any class of shareholders of the Company in the future, the Board cannot be certain that the requirement for one or more continuation votes will not be triggered and, if continuation votes were triggered, it cannot be confirmed that any or all of such continuation votes would be passed. Notwithstanding such uncertainty, the financial statements are prepared on the going concern basis in light of the Board's assessment of:

o shareholders' appetite to continue their investments in the Company; and

o the expectation of the Directors that the Company will continue for the foreseeable future.

Responsibility Statement

The Board of Directors, as identified at pages 17 and 18, jointly and severally confirm that, to the best of their knowledge:

(a) This report includes 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 the Company faces;

(b) The financial statements, prepared in accordance with International Financial Reporting Standards as adopted by the EU, give a true and fair view of the assets, liabilities, financial position and profits of the Company;

(c) The Annual Report and Accounts taken as a whole is fair, balanced and understandable and provides the information necessary for Shareholders to assess the Company's performance, business model and strategy; and

(d) The Annual Report and Accounts includes information required by the UK Listing Authority and for ensuring that the Company complies with the provisions of the Listing Rules and the Disclosure Rules and Transparency Rules of the UK Listing Authority, with regard to corporate governance, require the Company to disclose how it has applied the principles, and complied with the provisions, of the corporate governance code applicable to the Company.

By order of the Board

Jonathan Hooley

Director

24 April 2014

Audit Committee Report

MEMBERSHIP

Jonathan Hooley - Committee Chairman

Richard Crowder - Company Chairman

Paul Meader - Senior Independent Director

KEY OBJECTIVE

The provision of effective governance over (i) the appropriateness of the Company's financial reporting including the adequacy of related disclosures, (ii) the performance of the Company's external auditor, (iii) monitoring of the systems of internal controls operated by the Company and (iv) the Company's principal service providers and the management of the Company's regulatory compliance activities.

RESPONSIBILITIES

• reviewing the Company's financial results announcements and financial statements and monitoring compliance with relevant statutory and listing requirements;

• reporting to the Board on the appropriateness of the Company's accounting policies and practices including critical accounting policies and practices;

• advising the Board on whether the annual report and accounts, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy;

• overseeing the relationship with the external auditor; and

• monitoring the systems of internal controls operated by the Company and by the Company's principal service providers, including, in particular the manager of the funds underlying the Company's investment in AllBlue.

COMMITTEE MEETINGS

We meet at least twice a year.

The Company's other non-executive directors have right of attendance and the Administrator also attends. However, where matters discussed affect the service providers for which they act, they are required to absent themselves.

MAIN ACTIVITIES OF THE COMMITTEE DURING THE YEAR

We assisted the Board in carrying out its responsibilities in relation to financial reporting requirements, compliance and the assessment of internal controls. We also managed the Company's relationship with the external auditor.

Following the publication of the revised version of the UK Corporate Governance Code, which applies to Financial Years commencing  on or after 1 October 2012, the Board requested that we advise them on whether we believe the annual report and accounts, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy. Our terms of reference have been amended to reflect this.

FINANCIAL REPORTING

Our primary role in relation to financial reporting is to review with both management and the external auditor of the appropriateness of the half-year and annual financial statements concentrating on, amongst other matters:

• The ownership and existence of the assets, and

• The valuation of the underlying assets

To aid our review we considered reports prepared by external service providers, including KPMG, EY and the administrator of the underlying funds, SS&C GlobeOp, and also reports from the external auditor on the outcome of their annual audit.

As set out in Note 1(j) to the Financial Statements, in accordance with IAS 32 because of the provisions contained in the Company's Articles of Association the Sterling, Euro and US Dollar Ordinary shares have been classified as liabilities. We reviewed this treatment again in considering the 2013 Annual Financial Statements and the Company's external auditors have confirmed to us that this remains the required accounting presentation.

INTERNAL CONTROL

We considered the Risk Assessment and Review of Internal Controls prepared by the Administrator and ensured that the controls exercised by the Administrator in controlling the Company's affairs were adequate and were properly implemented.

In November 2013 the Company's appointed Administrator, Anson Fund Managers Limited, was acquired by JTC Group Limited and the Administrator changed its name to JTC Fund Managers (Guernsey) Limited. The Audit Committee has made due enquiry of the purchaser about the implications of this acquisition on the systems and controls affecting the administration of the Company's affairs. We were informed that, for the foreseeable future, the same staff, systems and controls will be used in the continuing administration of the Company's affairs.

In December 2012 and in March 2014 we met with the key operations staff of the manager of the funds underlying the Company's investment in AllBlue in order to evaluate the control environment at BlueCrest.

In addition we received an annual report, in the form of an ISAE 3402 Type II Service Auditor's Assurance Report, prepared by EY concerning the investment management services controls system for processing customers' transactions at BlueCrest. Having reviewed the scope of the engagement we felt able to place reliance on this report and hence the internal controls operated by BlueCrest regarding the processing of the transactions of the funds that they manage.

INTERNAL AUDIT

The Company has no employees and operates no systems of its own, relying instead on the employees and systems of its external service providers. The Board has therefore taken the decision that it would be of insufficient benefit for the Company to engage an internal auditor.

EXTERNAL AUDIT

The effectiveness of the external audit process is dependent  on appropriate audit risk identification at the start of the audit cycle.  We receive from EY a detailed audit plan, identifying their assessment of these key risks. For the 2013 Financial Year the primary risks identified were the existence and ownership together with the valuation of the Company's assets.

Using our collective skills we assess the effectiveness of the audit process  in addressing these matters through the reporting we receive from EY at the year-end. In addition we also seek feedback from the Administrator on the effectiveness of the audit process.

For the 2013 Financial Year, we were satisfied that there had been appropriate focus and challenge on the primary areas of audit risk and assessed the quality of the audit process to be good.

We hold private meetings with the external auditor at our meetings to provide additional opportunity for open dialogue and feedback from the Auditor without the Administrator being present. Matters typically discussed include the Auditor's assessment of business risks and management activity thereon, the transparency and openness of interactions with the Administrator, confirmation that there has been no restriction in scope placed on them by the Administrator on the independence of their audit and how they have exercised professional scepticism.

APPOINTMENT AND INDEPENDENCE

We consider the reappointment of the external auditor, including the rotation of the audit partner, each year and also assesstheir independence on an ongoing basis.

The recent revisions to the UK Corporate Governance Code issued by the Financial Reporting Council included a recommendation for FTSE 350 companies to put their audit out to tender at least every ten years. The EU and Competition Commission have also issued draft proposals in respect of audit tendering and mandatory rotation of auditors that are yet to be finalised. The Committee will continue to monitor developments around these proposals and will formulate a policy in respect to audit tendering and rotation at the appropriate time.

The external auditor is required to rotate the audit partner responsible for the audit every five years. The current lead audit partner has been in place for three years.

EY has been the Company's external auditor since its stock market listing in 2006. EY also acts the external auditor of BlueCrest. In addition EY in the USA acts as the external auditor of the BlueCrest funds into which the Company invests. Having considered the balance of the benefits of a single external auditor of all such entities versus the risks of not having a separation of these roles, we have provided the Board with its recommendation to the shareholders on the reappointment of EY as external auditor for the year ending 31 December 2014. Accordingly a resolution proposing the reappointment of EY as our auditor will be put to the shareholders at the 2014 Annual General Meeting. However, we keep this matter under review.

There are no contractual obligations restricting our choice of external auditor. We continue to consider the audit tendering provisions outlined in the revised UK Corporate Governance Code, of which we are very supportive.

During the Financial Year EY charged the Company £25,500 (2012: £21,350; 2011: £20,000) for audit and audit related services. We approved the fees for audit services for 2013 after a review of the level and nature of work to be performed and after being satisfied by EY that the fees were appropriate for the scope of the work required.

NON-AUDIT SERVICES

To further safeguard the objectivity and independence of the external auditor from becoming compromised, we have a formal policy governing the engagement of the external auditor to provide non-audit services. No changes have been made to this policy during the year. This policy specifies that EY should only be engaged for non-audit services where there is considered very low threat to auditor independence.

EY is prohibited from providing all other services without our prior approval. In reaching such a determination we will take into consideration whether it is the best interests of the Company that should services should be supplied by the Company's external auditor (rather than another service provider and, if so whether any safeguards regarding auditor objectivity and independence in the conduct of the audit should be put in place, whether these would be effective and how such safeguards should be disclosed.

During 2013 EY and its related entities charged €5,200 (2012: €5,824; 2011: €5,824) for non-audited related services.

COMMITTEE EVALUATION

Our activities formed part of the external review of Board effectiveness performed in [2011].

An internal evaluation of our effectiveness was carried out in 2013 and 2012.

Yours faithfully

Jonathan Hooley

Chairman of Audit Committee

Auditor Report

INDEPENDENT AUDITOR'S REPORT TO THE MEMBERS OF BLUECREST ALLBLUE FUND LIMITED

We have audited the financial statements of BlueCrest AllBlue Fund Limited (the "Company")for the year ended 31 December 2013 which comprise the Statement of Comprehensive Income, the Statement of Financial Position, the Statement of Changes in Net Assets Attributable to Shareholders, the Statement of Cash Flows and the related notes 1 to 16. The financial reporting framework that has been applied in their preparation is applicable law and International Financial Reporting Standards as adopted by the European Union.

This report is made solely to the Company's members, as a body, in accordance with Section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been undertaken so that we might state to the Company's members those matters we are required to state to them in an auditor's report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company's members as a body, for our audit work, for this report, or for the opinions we have formed.

Respective responsibilities of directors and auditor

As explained more fully in the Directors' Responsibilities Statement set out on page 36, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view. Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board's Ethical Standards for Auditors.

Scope of the audit of the financial statements

An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the Company's circumstances and have been consistently applied and adequately disclosed; the reasonableness of significant accounting estimates made by the directors; and the overall presentation of the financial statements. In addition, we read all the financial and non-financial information in the annual report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

Opinion on financial statements

In our opinion the financial statements:

· give a true and fair view of the state of the Company's affairs as at 31 December 2013 and of its result for the year then ended;

· have been properly prepared in accordance with International Financial Reporting Standards as adopted by the European Union; and

· have been prepared in accordance with the requirement of the Companies (Guernsey) Law, 2008.

Our assessment of risks of material misstatement

We identified the following risks of material misstatement that we believed would have the greatest impact on our overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team:

· valuation of the Company's investments; and

· ownership and existence of the Company's investments.

Our application of materiality

We apply the concept of materiality to the individual account or balance level through our determination of performance materiality, which is set to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements exceeds materiality.

We determined materiality for the Company to be £8.4m, which is approximately 1% of equity. This provided a basis for determining the nature, timing and extent of risk assessment procedures, identifying and assessing the risk of material misstatement and determining the nature, timing and extent of further audit procedures.

On the basis of our risk assessments, together with our assessment of the Company's overall control environment, our judgement was that overall performance materiality (i.e. our tolerance for misstatement in an individual account or balance) for the Company should be 75% of materiality, namely £6.3m. Our objective in adopting this approach was to ensure that total uncorrected and undetected audit differences in all accounts did not exceed our materiality level.

We agreed with the Audit Committee that we would report to the Committee all audit differences in excess of £0.42m, as well as differences below that threshold that, in our view, warranted reporting on qualitative grounds.

An overview of the scope of our audit

Our response to the risks identified above was as follows;

· we agreed the valuation of the Company's investment to the net asset value published by the administrator of the investee funds; and

· we obtained confirmation of shareholdings from the administrator of the investee funds and agreed this to the records of the Company.

Matters on which we are required to report by exception

We have nothing to report in respect of the following:

Under the ISAs (UK and Ireland), we are required to report to you if, in our opinion, information in the annual report is:

· materially inconsistent with the information in the audited financial statements; or

· apparently materially incorrect based on, or materially inconsistent with, our knowledge of the Company acquired in the course of performing our audit; or

· is otherwise misleading.

In particular we are required to consider whether we have identified any inconsistencies between our knowledge acquired during the audit and the directors' statement that they consider the annual report is fair, balanced and understandable and whether the annual report appropriately discloses those matters that we communicated to the audit committee which we consider should have been disclosed.

Under the Companies (Guernsey) Law, 2008 we are required to report to you if, in our opinion:

· proper accounting records have not been kept; or

· the financial statements are not in agreement with the accounting records and returns; or

· we have not received all the information and explanations we require for our audit.

Under the Listing Rules we are required to review the part of the Corporate Governance Statement relating to the Company's compliance with the nine provisions of the UK Corporate Governance Code specified for our review.

Christopher James Matthews, FCA

for and on behalf of Ernst & Young LLP

Guernsey, Channel Islands

Date: 25 April 2014

1. The maintenance and integrity of the BlueCrest AllBlue Fund Limited web site is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the web site.

2. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME

for the year ended 31 December 2013

		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
Net gain / (loss) on non current financial
assets at fair value through profit or loss	7	13,909,270	223,242	(673,819)	13,558,130

Net gain on current financial assets at fair
value through profit or loss	7	2,206	-	-	2,206

Bank interest received		48,112	923	3,887	51,382

Operating expenses	3	(850,083)	(13,666)	(85,057)	(916,090)
Other Comprehensive Income that will be reclassified to profit or loss in future periods
Currency aggregation adjustment	1(h)	-	-	-	(4,176,292)

Increase / (decrease) in net assets attributable
to shareholders after other comprehensive
income		13,109,505	210,499	(754,989)	8,519,336

Earnings / (losses) per share for the year		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	5	2.92	2.36	(1.02)

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 other than as disclosed above.

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME

for the year ended 31 December 2013

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

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Earnings / (losses) per share for investment purposes	3.11	2.51	(0.91)
Adjustment for amortisation of
expenses on a straight line basis in accordance with
Prospectus	(0.19)	(0.15)	(0.11)
Earnings / (loss) per share per the financial statements	2.92	2.36	(1.02)

The earnings / (loss) per share for investment purposes represents the earnings per share attributable to shareholders in accordance with the Prospectus.

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF COMPREHENSIVE INCOME (continued) for the year ended 31 December 2012
		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
Net gain on non current financial assets
at fair value through profit or loss	7	52,576,962	960,050	7,879,041	57,901,667

Net gain on current financial assets at fair
value through profit or loss	7	22,281	8	853	22,812

Bank interest received		-	99	-	80

Operating expenses	3	(648,772)	(13,054)	(94,921)	(719,258)
Other Comprehensive Income that will be reclassified to profit or loss in future periods
Currency aggregation adjustment	1(h)	-	-	-	(3,943,579)

Increase in net assets attributable to
shareholders
		51,950,471	947,103	7,784,973	53,261,722

Earnings per share for the year		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	5	10.54	9.52	9.43

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 other than as disclosed above.

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME (continued)

for the year ended 31 December 2012

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

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Earnings per share for investment purposes	10.67	9.66	9.55
Adjustment for amortisation of expenses on a straight line basis in accordance with Prospectus	(0.13)	(0.14)	(0.12)
Earnings per share per the financial statements	10.54	9.52	9.43

The earnings per share for investment purposes represents the earnings per share attributable to shareholders in accordance with the Prospectus.

The notes on pages 60 to 89 form an integral part of these financial statements

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF FINANCIAL POSITION

as at 31 December 2013

		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
NON CURRENT ASSETS
Unquoted financial assets designated as at
fair value through profit or loss	7	760,471,610	15,415,471	67,032,384	813,759,921

CURRENT ASSETS
Quoted financial assets designated as at fair
value through profit or loss	7	1,174,487	-	-	1,174,487
Cash and cash equivalents		26,637,325	5,477	54,382	26,674,719
Receivables and prepayments	8	47,225	36,125	333,950	50,435
		27,859,037	41,602	388,332	27,899,640

CURRENT LIABILITIES
Payables and accrued liabilities	9	337,150	2,125	9,279	106,761
		337,150	2,125	9,279	106,761

NET CURRENT ASSETS		27,521,886	39,477	379,053	27,792,879

NET ASSETS ATTRIBUTABLE TO
SHAREHOLDERS		787,993,496	15,454,948	67,411,437	841,552,800

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF FINANCIAL POSITION (continued) as at 31 December 2013
		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
Represented by:
CAPITAL AND RESERVES
Share capital	10	-	-	-	-
Share premium	11	-	-	-	-
Treasury shares	12	(78,135,373)	-	(7,656,154)	(82,759,492)
Distributable reserves	13	866,128,870	15,454,948	75,067,592	924,312,292

		787,993,496	15,454,948	67,411,438	841,552,800

SHARES IN ISSUE	10	431,526,962	8,772,064	38,596,617

NAV PER SHARE		£1.8260	€1.7618	$1.7465

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 on pages 59 to 104 were approved and authorised for issue by the Board of Directors on 2014 and are signed on its behalf by:

Richard Crowder Jonathan Hooley

Director Director

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF FINANCIAL POSITION as at 31 December 2012
		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
NON CURRENT ASSETS
Unquoted financial assets designated as at
fair value through profit or loss	7	856,201,904	17,298,847	132,754,520	951,941,685

CURRENT ASSETS
Quoted financial assets designated as at fair
value through profit or loss	7	2,222,281	-	-	2,222,281
Cash and cash equivalents		1,018,915	1,782	20,591	1,033,040
Receivables & prepayments	8	109,371	540,181	4,449,583	3,215,991
		3,350,567	541,963	4,470,174	6,471,311

TOTAL ASSETS		859,552,471	17,840,810	137,224,694	958,412,996

CURRENT LIABILITIES
Payables and accrued liabilities	9	96,214	15,227	111,873	107,270
		96,214	15,227	111,873	107,270

NET CURRENT ASSETS		859,456,257	17,825,583	137,112,821	958,305,726


NET ASSETS ATTRIBUTABLE TO
SHAREHOLDERS		859,456,257	17,825,583	137,112,821	958,305,726

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF FINANCIAL POSITION

as at 31 December 2012

		Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	Notes	£	€	$	£
Represented by:
CAPITAL AND RESERVES
Share capital	10	-	-	-	-
Share premium	11	-	-	-	-
Treasury shares	12	(30,453,679)	-	-	(30,453,679)
Distributable reserves	13	889,909,936	17,825,583	137,112,821	988,759,405

		859,456,257	17,825,583	137,112,821	958,305,726

SHARES IN ISSUE	10	479,354,793	10,304,993	80,041,527

NAV PER SHARE		£1.7929	€1.7298	$1.7130

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the year ended 31 December 2013
		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£

Opening balance		859,456,257	17,825,583	137,112,821	958,305,726

Adjustment to allocation of reserves brought forward		(195,986)	24,122	274,722	-

Accretive (loss) / gain transfer between share classes		(204,440)	37,323	272,459	-

Increase in net assets attributable to shareholders		13,109,505	210,499	(754,989)	8,519,336

Partial redemption of share class	10	-	-	(120,810,551)	(72,966,449)

Treasury shares	12	(47,681,694)	-	(7,656,154)	(52,305,813)

Share conversions	7	(36,490,145)	(2,642,579)	58,973,129	-

Closing balance		787,993,496	15,454,948	67,411,438	841,552,800

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the year ended 31 December 2013
		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£

Opening balance		835,038,683	14,726,992	136,023,320	935,014,604

Adjustment to allocation of reserves brought forward		153,777	15,534	(278,318)	-

Increase in net assets attributable to shareholders		51,950,471	947,103	7,784,973	53,261,722

Treasury shares	12	(29,970,600)	-	-	(29,970,600)

Share conversions	7	2,283,926	2,135,954	(6,417,154)	-

Closing balance		859,456,257	17,825,583	137,112,821	958,305,726

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS

for the year ended 31 December 2012

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Operating activities

Increase / (decrease) in net assets attributable to shareholders	13,109,505	210,499	(754,989)	8,519,336

Decrease in unrealised appreciation on financial assets at fair value
through profit or loss	38,210,593	380,465	10,144,087	44,783,841

Realised gains on sales of financial assets	(39,364,833)	(73,405)	(8,008,532)	(44,262,742)
Interest income	(48,112)	(923)	(3,887)	(51,382)
Interest expense	-	-	-	-
Currency aggregation adjustment	-	-	-	4,176,292
Adjustment to allocation of reserves brought forward	(195,986)	24,122	274,722	-
Accretive (loss) / gain transfer between share classes	(204,440)	37,323	272,459	-
Increase / (decrease) in payables	240,936	(13,102)	(102,594)	(509)
Decrease in receivables	62,146	504,056	4,115,632	3,165,556

Net cashflow from operating activities	11,809,809	1,069,035	5,936,898	16,330,392

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF CASH FLOWS for the year ending 31 December 2013
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Investing activities

Interest received	48,112	923	3,887	51,382
Realised gains on conversions	(12,757,236)	(530,302)	(1,461,736)	(14,080,500)
Purchase of financial assets	(121,140,944)	(1,808,018)	(20,699,971)	(135,144,743)
Proceeds from sale of financial assets	195,340,363	1,272,057	144,721,418	283,804,797

Net cashflow from investing activities	61,490,295	(1,065,340)	122,563,598	134,630,936

Financing activities

Purchase of own shares	(47,681,694)	-	(7,656,154)	(52,305,813)
Partial redemption of share class	-	-	(120,810,551)	(72,966,450)
Drawing of bank loan	20,000,000	-	-	20,000,000
Repayment of bank loan	(20,000,000)	-	-	(20,000,000)
Interest paid	-	-	-	-

Net cashflow from financing activities	(47,681,694)	-	(128,466,705)	(125,272,263)

Cash and cash equivalents at beginning of year	1,018,915	1,782	20,591	(1,033,040)

Currency aggregation adjustment	-	-	-	(47,386)

Increase in cash and cash equivalents	25,618,410	3,695	33,791	25,689,065

Cash and cash equivalents at end of year	26,637,325	5,477	54,382	26,674,719

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")
STATEMENT OF CASH FLOWS for the year ending 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Operating activities

Increase in net assets attributable to shareholders	51,950,471	947,103	7,784,973	53,261,722

Unrealised (appreciation) / depreciation on financial assets
at fair value through profit or loss	(33,778,630)	(577,017)	(5,729,235)	(37,466,727)

Realised gains on sales of financial assets	(17,663,488)	(174,741)	(1,082,826)	(18,471,712)
Interest income	-	(99)	-	(80)
Interest expense	2,291	48	357	2,555
Currency aggregation adjustment	-	-	-	3,943,582
Adjustment to allocation of reserves brought forward	153,777	15,534	(278,318)	-
(Decrease) / increase in payables	14,779	(3,187)	70,780	16,086
(Increase) / decrease in receivables	(37,881)	(539,486)	(4,443,167)	(3,171,892)

Net cashflow from operating activities	641,319	(331,845)	(3,677,436)	(1,886,466)

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CASH FLOWS

for the year ending 31 December 2012

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Investing activities

Interest received	-	99	-	80
Purchase of financial assets	(84,051,750)	(1,662,891)	(14,621,467)	(94,399,653)
Realised gains on conversions	(1,157,125)	(208,300)	(1,067,833)	(1,983,369)
Proceeds from sale of financial assets	115,821,475	2,209,390	19,430,382	129,572,406

Net cashflow from investing activities	30,612,600	338,298	3,741,082	33,189,464

Financing activities

Purchase of own shares	(29,970,600)	-	-	(29,970,600)
Interest paid	(2,291)	(48)	(357)	(2,555)

Net cashflow from financial activities	(29,972,891)	(48)	(357)	(29,973,155)

Cash and cash equivalents at beginning of year	(262,113)	(4,623)	(42,698)	(293,497)

Currency aggregation adjustment	-	-	-	(3,306)

Increase in cash and cash equivalents	1,281,028	6,405	63,289	1,329,843

Cash and cash equivalents at end of year	1,018,915	1,782	20,591	1,033,040

The notes on pages 60 to 89 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

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 and quoted 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.

IAS 1 - Presentation of Financial Statements - amendments resulting from Annual Improvements effective for annual periods beginning on or after 1 January 2013. The amendments to IAS1 introduce a grouping of items presented in the Other Comprehensive Income. Items that will be reclassified ("recycled") to profit or loss at a future point in time have to be presented separately from items that will not be reclassified. The amendments affect presentation only and have no impact on the Company's financial or performance.

IFRS 7 - Financial Instruments: Disclosures - amendments related to the offsetting of assets and liabilities effective for annual periods beginning on or after 1 January 2013.

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

IFRS 13 - Fair Value Measurement effective for annual periods beginning on or after 1 January 2013. IFRS 13 establishes a single source of guidance under IFRS for all fair value measurements. IFRS 13 provides guidance on how to measure fair value under IFRS. IFRS 13 defines fair value as an exit price. As a result of the guidance in IFRS 13, the Group re-assessed its policies for measuring fair values, in particular, its valuation inputs such as non-performance risk for fair value measurement of
liabilities. Application of IFRS 13 has not materially impacted the fair value measurements of the Group. Additional disclosures where required, are provided in the individual notes relating to the assets and liabilities whose fair values were determined.

IFRS 32 - Financial Instruments: Presentation - annual improvements effective for annual periods beginning on or after 1 January 2013.

The following Standards or Interpretations that are expected to affect the Company that have been issued but not yet adopted by the Company are shown below. Other standards or interpretations issued by the IASB or IFRIC are not expected to affect the Company. The Board has not yet assessed the impact of the standards below on the Company and will do so prior to the earliest period of adoption.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS (Continued)

for the year ended 31 December 2012

1 ACCOUNTING POLICIES (CONTINUED)

(a) Basis of preparation (continued)

IFRS 7 Financial Instruments: Disclosures - amendments to transition disclosures, including additional hedge accounting disclosures of IFRS 9 effective date on or after 1 January 2015.

IFRS 9 - Financial Instruments: Disclosures reflects the first phase of the IASB's work on the replacement of IAS 39 and applies to classification and measurement of financial assets and financial liabilities as defined in IAS 39. The standard has no mandatory effective date but IASB have tentatively proposed to apply for accounting periods commencing on or after 1 January 2018. In subsequent phases, the IASB is addressing hedge accounting and impairment of financial assets. The adoption of the first phase will have an effect on the classification and measurement of the Group's financial assets, but will not have an impact on classification and measurements of the Group's financial liabilities. The Group will quantify the effect in conjunction with the other phases, when the final standard including all phases is issued.

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

IAS 39 - Financial Instruments: Recognition and Measurement, amendments for novations of derivatives effective for annual periods 1 January 2014.

No formal analysis has been completed on the impact of the adoption of any of the above standards or interpretations on the Financial Statements in the period of initial application.

(b) Going concern

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

As detailed on page 24 the continuation vote mechanism was triggered for the Sterling Shares and US Dollar Shares by reference to the 31 December 2012 NAV and for the Euro Shares by reference to the 31 January 2013 NAV. Continuation resolutions were passed for Sterling and Euro Share classes of Ordinary Shares at separate Class meetings held on 17 April 2013 and accordingly no further continuation vote can be triggered for each of the Sterling and Euro share class until 17 April 2014. The continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals to be put to the shareholders of that class only offering to redeem their shares at the relevant NAV (less the costs of all such redemptions).

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

1 ACCOUNTING POLICIES (CONTINUED)

(b) Going concern (continued)

Acceptances of the redemption offer for US Dollar Shares were received for 75,413,387 US Dollar Shares (representing approximately 60.84 per cent of the US Dollar Shares in issue at 1 July 2013). The redemption proceeds of approximately $120.8 million were paid to redeeming shareholders on 8 August 2013.

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.

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 NAVs.

(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 non-current investments the NAV and recent trades of the underlying investment in AllBlue and AllBlue Leveraged are taken into consideration.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

1 ACCOUNTING POLICIES (CONTINUED)

(g) Investments (continued)

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 the Company's shares.

During the year, part of the Cash Reserve has been placed in funds of the Institutional Cash Series plc ("ICS") (an umbrella investment company with variable capital and having segregated liability between its funds) namely the Institutional Sterling Government Liquidity Fund - Core (Acc), the Institutional Euro Government Liquidity Fund - Core (Acc), and the Institutional US Treasury Fund - Core (Acc) (together the "ICS Funds"). These assets are classified as current as they are expected to be used for funding the purchase of treasury shares.

The fair value of the shares in the ICS Funds are derived from quoted prices, and valued using bid prices.

The Company's NAV is based on valuations of unquoted investments. In calculating the NAV and the NAV per share of the Company, the Administrator relies on the NAVs of the shares in AllBlue Limited supplied by the administrator of AllBlue Limited and AllBlue Leveraged. Those NAVs are based on the NAV of the various investments held by AllBlue and AllBlue Leveraged.

(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 Euro and US Dollar share classes are initially recorded in their respective currencies and translated into the Company's functional currency at the reporting date. All differences 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.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

2 CRITICAL ACCOUNTING JUDGEMENTS AND KEY SOURCES OF ESTIMATION UNCERTAINTY

In the application of the Company 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 non-current investments

The Directors consider that the confirmed NAV of AllBlue and AllBlue Leveraged, as produced by the administrator of AllBlue and AllBlue Leveraged, represents the fair value of the investments of the Company. Fair value can be confirmed through redemptions, which can occur on a quarterly basis. These can only be suspended at the discretion of the Board of AllBlue or AllBlue Leveraged as appropriate. To further satisfy the fair value of the investments, the Directors attend site visits and scrutinise independent reports prepared by reputable Audit firms relating to the existence of assets and their valuation as well as checks and procedures in place within the underlying funds and administrator of AllBlue.

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

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

3 OPERATING EXPENSES

	1 Jan 2013 to 31 Dec 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	179,816	3,450	14,528	192,038
Directors' remuneration	156,975	3,012	12,683	167,645
Registration fees	92,846	1,781	7,501	99,156
Directors & Officers insurance	41,428	795	3,347	44,244
Broker fees	35,804	687	2,893	38,238
Audit fees	23,723	455	1,917	25,335
Annual & Regulatory fees	79,489	1,525	6,422	84,891
Legal & Professional fees	129,289	2,480	10,446	138,076
Printing of reports	14,105	271	1,140	15,064
Bank interest on overdraft facility	-	-	-	-
Bank facility fee and charges	81,387	1,568	6,663	86,980
(Profit) / Loss on exchange	(11,135)	(2,864)	15,388	(3,725)
Other operating expenses	26,356	506	2,129	28,147


Total expenses for the year	850,083	13,666	85,057	916,089

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

3 OPERATING EXPENSES

	1 Jan 2012 to 31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	165,849	3,446	25,820	184,937
Directors' remuneration	154,714	3,214	24,087	172,520
Registration fees	86,680	1,801	13,495	96,657
Directors & Officers insurance	30,399	632	4,733	33,898
Broker fees	45,039	936	7,012	50,223
Audit fees	19,195	399	2,988	21,404
Annual & Regulatory fees	64,566	1,341	10,052	71,997
Legal & Professional fees	29,129	605	4,535	32,481
Printing of reports	12,878	268	2,005	14,361
Bank interest on overdraft facility	2,291	48	357	2,555
Bank facility fee and charges	30,717	244	1,455	31,833
(Profit) / Loss on exchange	-	(32)	(2,757)	(1,765)
Other operating expenses	7,315	152	1,139	8,157
	648,772	13,054	94,921	719,258

Less: Bank interest earned	-	(99)	-	(80)

Total expenses for the year	648,772	12,955	94,921	719,178

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

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

During the period, Jonathan Hooley and John Le Prevost earned additional ad-hoc fees of £1,500 for on-site visits which took place in December 2012.

In addition, Paul Meader undertook certain additional duties involving a liaison with the Company's principal institutional shareholders during the period. Mr Meader received an additional fee of £60,100 (31 December 2012: £nil) for these duties which is included within Legal & Professional fees.

The Directors of the Company are considered key management personnel.

5 EARNINGS / (LOSS) PER SHARE

The earnings / (loss) per each class of shares is based on the net gain for the year of £13,109,505 (2012: £51,950,471) and 447,558,707 (2012: 492,588,108) shares in the Sterling Ordinary Share class, €210,499 (2012: €947,103) and 8,905,062 (2012: 9,943,415) shares in the Euro Ordinary Share class, loss of $754,989 (2012 gain of: $7,784,973) and 73,908,126 (2012: 82,545,078) shares in the US$ Ordinary Share class.

6 RELATED PARTY TRANSACTIONS

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

Until 29 November 2013, John Le Prevost was the controller of Anson Fund Managers Limited (subsequently renamed JTC Fund Managers (Guernsey) Limited, the Company's administrator and secretary. Anson Registrars Limited is the Company's registrar, transfer agent and paying agent. John R Le Prevost is a Director and controller of Anson Registrars Limited and Anson Fund Managers Limited. £279,727 (2012: £281,595) of costs were incurred by the Company with these related parties in relevant periods of the year in the year, of which £0 (2012: £0) were due to these related parties at 31 December 2013.

John R Le Prevost is a Director and Controller of Anson Custody Limited. Anson Custody Limited acts as nominee for a portion of the GBP shares (265,000 shares) as security for the HSBC loan drawn and repaid during 2013.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

6 RELATED PARTY TRANSACTIONS (continued)

In accordance with IAS 28 Investments in Associates and Joint Ventures the Company's investment transactions with AllBlue Limited represent a holding in

excess 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 Investment in an Associate (IAS 28).

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

NON CURRENT	As at 31 December 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	668,703,360	15,138,381	117,875,452	753,532,739
Unrealised appreciation on valuation brought forward	187,498,544	2,160,466	14,879,068	198,408,946

Valuation brought forward	856,201,904	17,298,847	132,754,520	951,941,685

Movements in the year:
Gross share conversions in the year	(36,490,145)	(2,642,579)	58,973,129	-
Adjustment for realised gain on share conversions	12,757,236	530,302	1,461,736	14,080,500
Purchases at fair value	121,140,944	1,808,018	20,699,971	135,144,743
Sales	(154,926,801)	(1,198,652)	(136,712,887)	(238,493,326)
Exchange gains on currency balances	-	-	-	(4,129,841)

Portfolio cost carried forward	611,184,594	13,635,470	62,297,403	660,134,815

Unrealised appreciation on valuation carried forward	149,287,016	1,780,001	4,734,981	153,625,105

Valuation carried forward	760,471,610	15,415,471	67,032,384	813,759,920

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

NON CURRENT	As at 31 December 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Realised gains on sales	52,120,798	603,707	9,470,268	58,341,971
Decrease in unrealised appreciation	(38,211,528)	(380,465)	(10,144,087)	(44,783,841)

Net gains / (losses) on financial assets at fair value
through profit or loss	13,909,270	223,242	(673,819)	13,558,130

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

NON CURRENT	As at 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	681,588,156	13,165,885	126,950,862	774,412,964
Unrealised appreciation on valuation brought forward	153,722,585	1,583,449	9,149,833	160,942,219

Valuation brought forward	835,310,741	14,749,334	136,100,695	935,355,183

Movements in the year:
Gross share conversions in the year	2,283,926	2,135,954	(6,417,154)	-
Adjustment for realised gain on share conversions	1,157,125	208,300	1,067,833	1,983,369
Purchases at fair value	60,351,750	1,120,222	9,849,819	67,322,669
Sales	(76,677,597)	(1,491,980)	(13,575,908)	(86,243,320)
Exchange gains on currency balances	-	-	-	(3,942,943)

Portfolio cost carried forward	668,703,360	15,138,381	117,875,452	753,532,739

Unrealised appreciation on valuation carried forward	187,498,544	2,160,466	14,879,068	198,408,946

Valuation carried forward	856,201,904	17,298,847	132,754,520	951,941,685

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

NON CURRENT	As at 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Realised gains on sales	18,801,003	383,033	2,149,806	20,434,940
Increase in unrealised appreciation	33,775,959	577,017	5,729,235	37,466,727

Net gains on financial assets at fair value through
profit or loss	52,576,962	960,050	7,879,041	57,901,667

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

CURRENT	As at 31 December 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
QUOTED FINANCIAL ASSETS
Portfolio cost brought forward	2,219,610	-	-	2,219,610-
Unrealised appreciation on valuation brought forward	2,671	-	-	2,671-

Valuation brought forward	2,222,281	-	-	2,222,281-

Movements in the year:
Purchases at fair value	-	-	-	-
Sales	(1,048,729)	-	-	(1,048,729)

Portfolio cost carried forward	1,170,881	-	-	1,170,881

Unrealised appreciation on quoted investment valuation
carried forward	3,606	-	-	3,606

Valuation carried forward	1,174,487	-	-	1,174,487


Realised gains on sales	1,271	-	-	1,271

Increase in unrealised appreciation	935	-	-	935
Net gains on financial assets at fair value through
profit or loss	2,206	-	-	2,206

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

CURRENT	As at 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
QUOTED FINANCIAL ASSETS
Portfolio cost brought forward	-	-	-	-
Unrealised appreciation on valuation brought forward	-	-	-	-

Valuation brought forward	-	-	-	-

Movements in the year:
Purchases at fair value	23,700,000	542,669	4,771,648	27,076,984
Sales	(21,480,390)	(542,669)	(4,771,648)	(24,857,374)

Portfolio cost carried forward	2,219,610	-	-	2,219,610

Unrealised appreciation on quoted investment valuation
carried forward	2,671	-	-	2,671

Valuation carried forward	2,222,281	-	-	2,222,281


Realised gains on sales	19,610	8	853	20,141

Increase in unrealised appreciation	2,671	-	-	2,671
Net gains on financial assets at fair value through
profit or loss	22,281	8	853	22,812

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

IFRS 13 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 quoted investments held by the Company have been classified as Level 1 and the unquoted 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
	as at 31 Dec 2013	as at 31 Dec 2012
	GBP	GBP

Level 1	1,174,487	2,222,281
Level 2	813,759,921	951,941,685

There have not been any transfers between any levels of the fair value hierarchy during the year under review.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

8 RECEIVABLES

	31 Dec 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Prepayments	47,225	926	4,041	50,435
Other receivables	-	-	-	-
Inter class loan accounts	-	35,199	329,909	-

	47,225	36,125	333,950	50,435

	31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Prepayments	30,632	636	4,890	34,158
Investment proceeds receivable	-	539,367	4,443,322	3,172,257
Other receivables	8,588	178	1,371	9,576
Inter class loan accounts	70,151	-	-	-

	109,371	540,181	4,449,583	3,215,991

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

9 PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR)

	31 Dec 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Accrued administration fees	16,116	310	1,360	17,195
Accrued broker fees	17,809	349	1,524	19,019
Accrued registration fees	8,679	170	743	-
Accrued audit fees	23,753	466	2,032	25,367
Accrued printing costs	10,364	203	887	11,068
Inter class loan accounts	228,489	-	-	-
Other sundry accruals	31,940	627	2,733	34,111

	337,150	2,125	9,279	106,761

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

9 PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR) (continued)

	31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Accrued administration fees	14,226	289	2,252	15,846
Accrued broker fees	23,768	493	3,794	26,503
Accrued registration fees	-	-	-	-
Accrued audit fees	19,198	399	3,065	21,408
Accrued printing costs	10,613	220	1,694	11,834
Inter class loan accounts	-	13,236	96,533	-
Other sundry accruals	28,409	590	4,535	31,679

	96,214	15,227	111,873	107,270

10 SHARE CAPITAL

Authorised Share Capital

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

Ordinary Shares

Issued

Sterling Share Class

Euro Share Class

US Dollar Share Class

Total

Number of shares in issue at 31 December 2013

431,526,962

8,772,064

38,596,617

478,895,643

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

10 SHARE CAPITAL (continued)

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares

Date of movement
Sub-total brought forward as at
1 January 2012	496,030,299	9,016,323	84,028,438
Conversion 1 January 2012	(183,615)	209,461	22,675
Conversion 1 February 2012	(225,547)	274,160	7,489
Conversion 1 March 2012	(92,419)	(3,661)	158,079
Conversion 1 April 2012	214,750	272,633	(724,751)
Conversion 1 May 2012	21,370	(19,782)	(9,679)
Conversion 1 June 2012	174,265	786	(280,869)
Purchase of treasury shares in the
quarter ended 30 June 2012	(525,647)	-	-
Conversion 1 July 2012	230,459	(143,279)	(193,465)
Conversion 1 August 2012	574,671	(426,192)	(410,000)
Conversion 1 September 2012	(676,897)	1,359,118	(605,654)
Purchase of treasury shares in the
quarter ended 30 September 2012	(5,098,476)	-	-
Conversion 1 October 2012	1,019,382	(22,467)	(1,688,237)
Conversion 1 November 2012	150,607	(12,107)	(237,892)
Conversion 1 December 2012	171,397	(200,000)	(24,607)
Purchase of treasury shares in the
quarter ended 31 December 2012	(12,429,806)	-	-

Sub-total carried forward	479,354,793	10,304,993	80,041,527

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

10 SHARE CAPITAL (continued)

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares

Date of movement
Sub-total brought forward as at
1 January 2013	479,354,793	10,304,993	80,041,527
Conversion 1 January 2013	(664,956)	(1,148,538)	2,661,147
Conversion 1 February 2013	(14,935)	194,925	(242,450)
Conversion 1 March 2013	(21,239,294)	(129,625)	33,910,998
Purchase of treasury shares in the
quarter ended 31 March 2013	(10,023,943)	-	-
Conversion 1 April 2013	(3,480,521)	153,631	5,339,216
Conversion 1 May 2013	(1,407,608)	36,710	2,238,869
Conversion 1 June 2013	3,616,627	(724,570)	(4,797,613)
Purchase of treasury shares in the
quarter ended 30 June 2013	(2,041,925)	-	-
Conversion 1 July 2013	2,067,906	-	1,200,508
Redemption 1 July 2013	-	-	(75,413,387)
Conversion 1 August 2013	103,378	(90,000)	(43,767)
Conversion 1 September 2013	983,478	(1,028)	(1,769,650)
Purchase / cancellation of treasury
Shares in the quarter ended 30
September 2013	(3,725,000)	-	(4,489,504)
Conversion 1 October 2013	8,473	-	(15,944)
Conversion 1 November 2013	(271,115)	215,380	159,556
Conversion 1 December 2013	243,143	(39,814)	(361,448)
Purchase / cancellation of treasury
shares in the quarter ended 31
December 2013	(11,981,539)	-	178,559

As at 31 December 2013	431,526,962	8,772,064	38,596,617

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

10 SHARE CAPITAL (continued)

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, 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 NAV 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 of the passing of the continuation resolution.

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 NAV 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.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

10 SHARE CAPITAL (continued)

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 three months of such determination at a redemption price equal to the NAV of the 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.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

12 TREASURY SHARES

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2013	30,453,679	-	-	30,453,679

Acquired during the year	47,681,694	-	7,656,154	52,305,813

Balance as at 31 December 2013	78,135,373	-	7,656,154	82,759,492

The treasury shares reserve represents 46,276,336 (2012: 18,503,929) Sterling Shares and 4,310,945 Dollar Shares purchased in the market, at various prices per share ranging from £1.6925 to £1.7536 for Sterling Shares and $1.7035 for Dollar Shares, and held by the Company in treasury. 183,422 cancellations of Shares took place in the year (no cancellations in 2012).

During the year, the Company bought back 27,772,407 (2012: 18,053,929) Sterling Shares with an average price of £1.7231 (2012: 166.01) pence and discount of 5.6% (2012: 5.6%) to NAV. During the year, the Company bought back 4,494,367 (2012: nil) Dollar Shares with an average price of $1.7035 (2012: $nil) pence and discount of 0.29% (2012: nil) to NAV.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

13 DISTRIBUTABLE RESERVES

	31 Dec 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2013	889,909,936	17,825,583	137,112,821	988,759,405
Increase in net assets attributable to
shareholders after other
comprehensive income	13,109,505	210,499	(754,989)	8,519,336
Adjustment to allocation of reserves
brought forward	(195,986)	24,122	274,722	-
Accretive gain transfer between
share classes	(204,440)	37,323	272,459	-
Partial redemption of share class	-	-	(120,810,551)	(72,966,450)
Share conversions	(36,490,145)	(2,642,579)	58,973,129	-

Balance as at 31 December 2013	866,128,870	15,454,948	75,067,592	924,312,292

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

13 DISTRIBUTABLE RESERVES (Continued)

	31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2012	835,521,762	14,726,992	136,023,320	935,497,683
Increase in net assets attributable to
shareholders after other
comprehensive income	51,950,471	947,103	7,784,973	53,261,722
Adjustment to allocation of reserves
brought forward	153,777	15,534	(278,318)	-
Share conversions	2,283,926	2,135,954	(6,417,154)	-

Balance as at 31 December 2012	889,909,936	17,825,583	137,112,821	988,759,405

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

14 FINANCIAL INSTRUMENTS

The Company's main financial instruments comprise:

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

(b) Shares held in AllBlue and AllBlue Leveraged; and

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 AllBlue Leveraged 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 AllBlueand AllBlue Leveraged denominated in the same corresponding currency.

So far as the Company is concerned, the only risk over which the Board can exercise direct control is the liquidity risk attaching to its ability to realise shares in AllBlue, AllBlue Leveraged and ICS for the purpose of meeting share buy backs and ongoing expenses of the Company. Thereafter the Board recognises that the Company has via its holding of shares in AllBlue, AllBlue Leveraged and ICS an indirect exposure to the risks summarised below.

For the shares held in the ICS Funds the Board notes that such shares may be realised on short notice on any business day with proceeds in respect thereof usually being transmitted by telegraphic transfer on the business day following receipt of the redemption notice by the ICS Fund subject to cut-off times depending on the specific ICS Fund in which shares are being redeemed.

It must also be noted that there is little or nothing which the Board can do to manage each of these risks within AllBlue and AllBlue Leveraged or the Underlying Funds in which AllBlue and AllBlue Leveraged invests (the "Underlying Fund(s)"), under the current investment objective of the Company.

(a) Price Risk

The success of 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.

Details of the Company's Investment Objective and Policy are given on page [5].

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(a) Price Risk (continued)

Price sensitivity

The Company invests substantially all its assets in AllBlue, AllBlue Leveraged and ICS and does not undertake any structural borrowing or hedging activity at the Company level. Its performance is therefore directly linked to the NAV of AllBlue, which itself is driven by the NAVs of the Underlying Funds, each of which hold a large number of positions in listed and unlisted securities.

At 31 December 2013, if the NAV of AllBlue, AllBlue Leveraged and ICS had been 10% higher/lower with all the 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 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 2013	31 Dec 2012	31 Dec 2013	31 Dec 2012
	CCY	CCY	CCY	CCY

Sterling shareholders	76,164,610	85,620,190	(76,164,610)	(85,620,190)
Euro shareholders	1,541,547	1,729,885	(1,541,547)	(1,729,885)
Dollar shareholders	6,703,238	13,275,452	(6,703,238)	(13,275,452)

Total	84,291,946	94,691,620	(84,291,946)	(94,691,620)

The sensitivity is lower in 2013 than in 2012 because of a decrease 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 and AllBlue Leveraged or any of the Underlying Funds, the effects of such a default may have negative effects on other prime brokers with whom AllBlue and AllBlue Leveraged or such Underlying Fund deals. The Underlying Funds and, by extension, AllBlue and AllBlue Leveraged and the Company may, therefore, be exposed to systemic risk when AllBlue and AllBlue Leveraged or an Underlying Fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of Underlying Funds or AllBlue Leveraged may be pledged as margin with prime brokers or other counterparties or held with prime brokers or banks. In the event of the default of any of these prime brokers, banks or counterparties, AllBlue, AllBlue Leveraged and ICS 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 £841,609,126 (2012: £958,378,839).

The main concentration of risk for the Company relates to the investments in AllBlue, AllBlue Leveraged and ICS.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

In some circumstances, investments held by Underlying Funds of AllBlue and AllBlue Leveraged 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 AllBlue Leveraged and hence the Company's investment in AllBlue and AllBlue Leveraged. Settlement of transactions may be subject to delay and administrative formalities.

There can be no assurance that the liquidity of the investments of AllBlue, AllBlue Leveraged and ICS 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, AllBlue Leveraged and ICS and the value of Shares in the Company. For such reasons AllBlue's, AllBlue Leveraged's and ICS's treatment of redemption requests may be deferred in exceptional circumstances including if a lack of liquidity may result in difficulties in determining the NAV and the NAV per share in AllBlue. This in turn would limit the ability of the Directors to realise the Company's investments in AllBlue and AllBlue Leveraged should they consider it appropriate to do so and may result in difficulties in determining the NAV of a Share in the Company. There was no gating or suspension of AllBlue or AllBlue Leveraged 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 Main Market for Listed Securities ("LSE"). However, in certain circumstances there may be a limited market for the Shares and it may not be possible for investors to achieve liquidation of their holding within a short time period or for the investor to realise the full anticipated value of the Shares.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

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

As at 31 December 2013	1-3 months	Payable in the event of the continuation vote not passed	Total
	£	£	£

Net assets at the end of the period attributable to shareholders	-	841,552,800	841,552,800
Accrued expenses	106,761	-	106,761
Total	106,761	-	106,761


As at 31 December 2012	1-3 months	Payable in the event of the continuation vote not passed	Total
	£	£	£
Net assets at the end of the period attributable to shareholders	-	958,305,726	958,305,726
Accrued expenses	107,270	-	107,270
Total	107,270	-	107,270

(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 and ordinary shares in issue 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 NAV of AllBlue and AllBlue Leveraged.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(e) Leverage by Underlying Funds (continued)

This leverage presents the potential for a higher rate of total return but will also increase the volatility of AllBlue, AllBlue Leveraged and, as a consequence, the Company, including the risk of a total loss of the amount invested.

(f) Leverage by AllBlue Leveraged

AllBlue Leverage operates with a substantial degree of leverage for the purposes of making investments and is not limited in the extent to which they either may borrow or engage in margin transactions (although is expected to be an amount equal to approximately 50 per cent of AllBlue Leveraged's NAV). This leverage presents the potential for a greater rate of total return but will also increase exposure to capital risk and interest costs.

(g) 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 NAV 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 Annual 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 NAV 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 Companies (Guernsey) Law, 1994 (as amended) 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.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(g) Capital management (continued)

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made, subject to waiver of pre-emption rights. 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 500 million further Shares on a non-pre-emptive basis for a period concluding on 31 December 2013, unless such power is previously revoked by the Company's Shareholders in a general meeting pursuant to section 199 of the 2008 Law by a special resolution of Shareholders passed on 3 August 2012. 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 NAV 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:

	2013	2012
	GBP	GBP

Purchase of own shares	(82,759,492)	(30,453,679)
Distributable reserves	924,312,292	988,759,405

Total	841,552,800	958,305,726

16 SUBSEQUENT EVENTS

On 14 February 2014 the Company held an Extraordinary General Meeting wherein three resolutions were passed; (i) the first resolution approved and ratifies the Board's actions in declaring a distribution by way of the reduction of capital standing to the credit of ten Non-Redeemable Ordinary Shares and the subsequent cancellation of these shares; (ii) the second resolution authorised the reduction to the Company's share capital and the cancellation of the Non-Redeemable Ordinary Shares and (iii) the third resolution amended the Articles to remove references to the Non- Redeemable Ordinary Shares and also made certain other non-material administrative changes to the Articles.

On 13 March 2014 Jonathan Hooley, Independent Non-Executive Director, notifed the Company of his resignation with effect from 25 April 2014.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

16 SUBSEQUENT EVENTS (continued)

From 1 January 2014 to 22 April 2014 (being the latest date prior to the publication of this report) the Company had bought back £26.6 million through on market share repurchases of 15,251,000 Sterling Shares at an average discount to the prevailing net asset value of 5.1 per cent and accretive net asset value gain of £1,436,614.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

Schedule of Investments

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	3,256,846	£637,112,281	£637,112,281	75.71%

AllBlue Leveraged Feeder
Limited Sterling Shares	512,852	£123,359,329	£123,359,329	14.66%

Institutional Sterling
Government Liquidity Fund -
Core (Acc) Shares	11,654	£1,174,486	£1,174,487	0.14%

AllBlue Limited Euro Shares	79,426	€15,415,470	£12,802,484	1.52%

AllBlue Leveraged Feeder
Limited Euro Shares	-	€0	£0	0.00%

AllBlue Limited US Dollar
Shares	342,943	$67,032,383	£40,485,828	4.81%

AllBlue Leveraged Feeder
Limited US Dollar Shares	-	$0	£0	0.00%

			£814,934,408	96.84%

SCHEDULE OF INVESTMENTS

as at 31 December 2012

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	4,134,904	£794,340,381	£794,340,381	82.89%

AllBlue Leveraged Feeder
Limited Sterling Shares	260,595	£61,861,522	£61,861,522	6.46%

Institutional Sterling
Government Liquidity Fund -
Core (Acc) Shares	22,093	£2,222,281	£2,222,281	0.23%


AllBlue Limited Euro Shares	83,756	€16,030,194	£13,014,691	1.36%

AllBlue Leveraged Feeder
Limited Euro Shares	5,899	€1,268,651	£1,030,000	0.11%

AllBlue Limited US Dollar
Shares	637,142	$122,662,873	£75,484,846	7.88%

AllBlue Leveraged Feeder
Limited US Dollar Shares	47,446	$10,091,647	£6,210,245	0.65%

			£954,163,966	99.58%

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

Shareholder Information

The Company's Sterling Shares, Euro Shares and US Dollar Shares are capable of being traded on The London Stock Exchange's Main Market for Listed Securities. All Shares may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of Shares may be settled through CREST.

Approximately 20 business days after the end of each month the confirmed NAV of each class of Shares is announced, together with information on the Company's investments and performance report, to a regulatory information service. In addition, on a weekly basis the Company announces in the same manner the estimated NAV of each class of Shares.

The ISIN, SEDOL and the London Stock Exchange mnemonic of each share class is:

ISIN SEDOL LSE mnemonic

Sterling Shares GB00B13YVW48 B13YVW4 BABS

Euro Shares GB00B13YXC81 B13YXC8 BABE

US Dollar Shares GB00B13YXH37 B13YXH3 BABU

Shareholder Enquiries

The Company's CREST-compliant registrar is Anson Registrars Limited in Guernsey which maintains the Company's registers of shareholders. They may be contacted by telephone on (44) 01481 711301.

Further information regarding the Company can be found on its website at www.bluecrestallblue.com.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

Disclaimer

This document is directed only at: (i) persons having professional experience in matters relating to investments who fall within the definition of "investment professionals" in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005; or (ii) high net worth bodies corporate, unincorporated associations and partnerships and trustees of high value trusts as described in Article 49(2) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 and persons who receive this document who do not fall within (i) or (ii) above should not rely on or act upon this document.

This document does not in any jurisdiction constitute investment advice or an invitation to invest in the shares or any other securities of the Company or any other entity (body corporate or otherwise).

The Company has used reasonable care to ensure that the information included in this document is accurate at the date of its issue, but does not undertake to update or revise the information, including any information relating to AllBlue Limited and its underlying funds (the "Funds") provided by BlueCrest Capital Management (UK) LLP or any member of the BlueCrest group of companies (as applicable) ("BlueCrest"), or guarantee the accuracy of such information. To the extent permitted by law neither the Company, the Funds, BlueCrest nor their directors or officers shall be liable for any loss or damage that anyone may suffer in reliance on such information. The information in this document may be changed by the Company at any time.

Past performance cannot be relied on as a guide to future performance. The Company's investment strategy is speculative and entails substantial risks. The value of an investment may go down as well as up and some or all of the total amount invested may be lost.

This document may not, in whole or in part, directly or indirectly, be taken, transmitted or distributed into the United States of America, its territories or possessions or made available to any national, resident or citizen of the United States of America or any other jurisdiction where applicable laws prohibit its release, distribution or publication. Any failure to comply with these restrictions may be a violation of the law in relevant jurisdictions.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

Directors and Service Providers

Directors

Richard Crowder

Andrew Dodd

Jonathan Hooley

John Le Prevost

Paul Meader

Registered Office of the Company

PO Box 156 Frances House

Sir William Place

St Peter Port

Guernsey GY1 4EU

Telephone +44 (0)1481 702400

Administrator and Secretary

JTC Fund Managers (Guernsey) Limited

PO Box 156 Frances House

Sir William Place

St Peter Port

Guernsey GY1 4EU

Registrar, Paying Agent and Transfer Agent

Anson Registrars Limited

PO Box 426, Anson House,

Havilland Street, St Peter Port,

Guernsey GY1 3WX

UK Transfer Agent

Anson Registrars (UK) Limited

3500 Parkway

Whiteley

Hampshire

England PO15 7AL

Auditor

EY LLP

Royal Chambers

St Julians Avenue

St Peter Port

Guernsey GY1 4AF

Corporate Broker

Jefferies Hoare Govett

Vintners Place

London,

England EC4V 3BJ

Corporate Broker

Dexion Capital plc

1 Tudor Street

London, England

EC4Y 0AH

Advocates to the Company (as to Guernsey Law)

Mourant Ozannes

1 Le Marchant Street

St Peter Port

Guernsey

GY1 4HP

Advocates to the Company (as to Guernsey Law)

Carey Olsen

Carey House

Les Banques

St Peter Port

Guernsey

GY1 4BZ

Solicitors to the Company (as to English Law)

Herbert Smith Freehills LLP

Exchange House

Primrose Street

London, England EC2A 2HS

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

for the year ended 31 December 2013

Enquiries:

For further information contact:

JTC Fund Managers (Guernsey) Limited

Secretary

Tel: 44 (0) 1481 702 400

END OF ANNOUNCEMENT

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The company news service from the London Stock Exchange

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