Net Asset Value(s)

FRM Credit Alpha Limited

Estimated NAV 17 February 2012

NAV ESTIMATE

FRM Credit Alpha Limited (the "Company")

Estimated Net Asset Value GBP Shares as at 17 February 2012

The estimated net asset value per GBP share as at the close of business on 17 February 2012 was 79.9 pence.

This is an estimated valuation of the net assets of the Company as at the above date. It has been prepared in good faith by the Company's Investment Manager for information purposes only. It is based principally on unaudited estimated valuations supplied by the administrators, managers or investment advisers of the Company's underlying investments. Such estimates may be subject to little verification or other due diligence and may not comply with generally accepted accounting practices or other valuation principles. Whilst the Company believes this information to be useful to investors, it may be subject to significant change and, therefore, no assumption should be made as to its accuracy.

Sedol: B1QH6J2

ISIN: GG00B1QH6J27