Net Asset Value(s)

FRM Credit Alpha Limited

Final NAV 31 05 2013

FINAL MONTHLY NAV

FRM Credit Alpha Limited (the "Company")

Final Net Asset Value GBP Shares as at 31 05 2013

The final net asset value per GBP share as at the close of business on 31st of May 2013 was 84.3 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: B91SP22

ISIN: GG00B91SP220