Net Asset Value(s)

FRM Credit Alpha Limited

Final NAV 31 December 2011

FINAL MONTHLY NAV

FRM Credit Alpha Limited (the "Company")

Final Net Asset Value GBP Shares as at 31 December 2011.

The final net asset value per GBP share as at the close of business 31 December 2011 was 82.9 pence.

This valuation, which has been prepared in good faith by the Company's Administrator, is based principally on formal valuations supplied to the Company by the administrators of the Company's underlying investments. Such valuations or estimates are unaudited and may not comply with generally accepted accounting or valuation principles.

Sedol: B4K46K1

ISIN: GG00B4K46K11