HTCF.L Regulatory News (HTCF)

FOR IMMEDIATE RELEASE

22 September 2015

FACTSHEET - AUGUST 2015

"Creditable performance in extremely challenging conditions"

BlueCrest AllBlue Fund Limited (BCAB) fell slightly in August, by 0.1%, a creditable performance given extremely challenging conditions. This brings the year to date return to 2.6% (Sterling Class NAV) and the rolling 12 month return to 3.7%. Risk measures were stable with volatility of 3.1% being around historical averages.

Equity markets were particularly volatile in August, led by the slump in Chinese stocks. Global equities finished the month down around 7%. Other asset classes such as bonds and commodities were also impacted and there was notable currency volatility, again triggered by China as the RMB was devalued.

"Growing opportunities in developed fixed income"

Five of the seven underlying strategies generated positive performance, with only BlueCrest Multi Strategy Credit and BlueCrest Quantitative Equity detracting.

BlueCrest Capital International once again produced solid gains across all regions. Directional trading strategies were the main driver of returns for August with profits locked in as markets gyrated. Long positioning in Sterling and Dollar rates was fruitful with mortgages and relative value trading providing good tactical trading opportunities. Despite market conditions, volatility trading was flat for the month as longer term implied volatility remained stable. The AllBlue Allocation Committee decided to further increase the allocation to BlueCrest Capital International by 3% for September to 22%, the largest allocation in AllBlue, given the growing opportunities in developed market fixed income.

BlueCrest Multi Strategy Credit lost just 0.1% on the month against a backdrop of weak credit markets, volatility and lower liquidity. Gains came primarily from trading volatility and short positions in ABS. Illiquidity particularly impacted the European high yield market where a number of positions were hit by broader market falls notwithstanding near term idiosyncratic catalysts that are expected to realise value.

Despite the extreme conditions in equity markets, BlueCrest Equity Strategies was the strongest performing fund for the month, gaining 0.7%. All three strategies performed well, with Long/Short benefiting from stock selection decisions in financials and in generalist portfolios. Relative Value and Event Driven strategies performed strongest in Europe where tactical hedging around high conviction positions was successful. BlueCrest Quantitative Equity had a more difficult month with mixed outcomes across regions and signal sets. The Allocation Committee reduced the allocation to BlueCrest Quantitative Equity by 3% for September to 20%.

"The Company was active in buying back"

The Company was active in buying back shares during August as one or two more persistent sellers pushed the discount out beyond 5%.

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 is issued by BlueCrest AllBlue Fund Limited (the "Company") to and for the information of its existing shareholders and 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.

JTC (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

END OF ANNOUNCEMENT

E&OE - in transmission