Net Asset Value(s)

FRM Credit Alpha Limited

Final NAV 28 February 2011

FINAL MONTHLY NAV

FRM Credit Alpha Limited (the "Company")

Final Net Asset Value GBP Shares as at 28 February 2011

The final net asset value per GBP share as at the close of business 28 February 2011 was 88.9 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: B1QH6J2

ISIN: GG00B1QH6J27