Letter to Investors Re: Repor

RNS Number : 2289A

FRM Credit Alpha Limited

05 October 2009

 



5 October 2009

Dear Investor

FRM Credit Alpha Limited

We would like to inform you of several improvements we are making to Credit Alpha's reporting.

Going forward, Credit Alpha's monthly reports will include the names of the top 10 positions in the portfolio. In an environment of improved transparency, we believe that disclosing holdings in the portfolio will not limit our ability to invest in the credit space.  

As at 31 August 2009, Credit Alpha's top 10 positions were as follows:

Position	Strategy	Allocation
Cash	n/a	21.9%
Plainfield Special Situations	Credit Value	11.5%
JCAM Global	Long - Short Credit	10.3%
Trafalgar Recovery	Long - Short Credit	9.8%
Cerberus International	Credit Value	8.6%
BlueBay Value Recovery	Credit Value	8.4%
Harbinger Capital Partners Special Situations	Credit Value	5.2%
King Street	Long - Short Credit	4.1%
Gracie International Credit Opportunities	Long - Short Credit	4.0%
Blue Mountain Credit Alternatives	Credit Arbitrage	3.2%
		87.0%

As at 31 August 2009, Credit Alpha's portfolio allocations were as follows:

Credit Value		33.7%
Long - Short Credit		39.1%
Credit Arbitrage		3.2%
Short Credit		2.1%
Cash		21.9%
		100.0%

Future monthly reports will contain additional granularity, such as performance attribution, liquidity information and exposure information.

In response to requests for disclosure of the liquidity of the underlying portfolio of hedge funds, as at 31 August 2009, Credit Alpha's liquidity profile was as follows:

Immediate	Within 3 months	3 months to 6 months	6 months to 1 year	over 1 year	Indeterminate	Total
16.3%	15.2%	14.6%	9.6%	25%	19.3%	100.0%

The profile shown is following the 20% tender offer in August 2009. It is based on a conservative interpretation of the liquidity information provided by underlying managers. As a consequence, a certain percentage is referred to as 'indeterminate'. Liquidity of these positions is generally related to specific events in the underlying portfolios and cannot be predicted. Cash could be realised from these investments at any point in time.

We will continue meeting with investors over the next few months and welcome your comments.

Sincerely

Financial Risk Management Limited

 

END

 

 

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