Tetragon Financial Group Limited (TFG) Monthly Update for August 2012

LONDON, September 20, 2012 /PRNewswire/ --

Tetragon Financial Group Limited (TFG) is a Guernsey closed-ended investment company traded on the NYSE Euronext in Amsterdam under the ticker symbol "TFG".

In this monthly update, unless otherwise stated, we report on the consolidated business incorporating TFG and Tetragon Financial Group Master Fund Limited. ⁽¹⁾

Net Asset Value Estimates as of August 31 2012

(Amounts provided are unaudited and subject to change)

                                               (in millions except per share
                                               data)
    Estimated Fair Value of Investments:       $1,275.3
    Cash and Cash Equivalents:                 $342.0
    Net Other Assets / (Liabilities):          $(15.5)
    Estimated Net Asset Value:                 $1,601.8
    TFG Shares Outstanding:                    133.0
    Net Asset Value per Share: (2)           $14.10
 

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1. ) TFG invests substantially all its capital through a master fund, Tetragon Financial Group Master Fund Limited ("TFGMF") in which it

    holds a 100.0% share.

2. ) Excludes 10.9 million shares held in treasury and 8.5 million shares held by a subsidiary.

CLO Equity & Direct Loan Portfolio Composition

CLO Equity & Direct Loan Portfolio Held by Tetragon Financial Group Master Fund Limited

(unless otherwise stated)

As of August 31, 2012

                                            TFG
                                           group     TFG
                                    TFG     Net     group            No. of
                                   Share   Market    Net           Closed CLO
                                   Price    Cap     Assets           Equity
    Report Date                     ($)   ($MM)(1)  ($MM)         Transactions
    31 August 2012                 $8.02   $911.1  $1,601.8          79 (2)

                                                                Risk     Investment
                                                              Capital    Fair Value
    Capital Allocation by Asset Class                        Allocation ($MM)(2,3,4)
 
    Broadly Syndicated Senior Secured Loans: US                76.9%       $964.4
    Broadly Syndicated Senior Secured Loans: Europe             9.2%       $115.3
    Middle Market Senior Secured Loans: US                     13.9%       $174.3
 
                                                    Total      100.0%     $1,254.0

                                                                Asia
    Geographic Allocation by Asset Class         USA   Europe  Pacific Total
 
    Broadly Syndicated Senior Secured Loans     89.3%   10.7%   0.0%   100.0%
    Middle Market Senior Secured Loans          100.0%  0.0%    0.0%   100.0%
 
                                                90.8%   9.2%    0.0%   100.0%

                                                           Bank Loan
                                                           Exposure
    Top 15 Underlying Bank Loan Credits                       (5)
 
    Univision Communications                                 0.97%
    HCA Inc                                                  0.89%
    First Data Corp                                          0.88%
    Community Health                                         0.77%
    Federal-Mogul                                            0.74%
    UPC Broadband                                            0.73%
    Charter Communications                                   0.73%
    Aramark Corp                                             0.73%
    Cablevision Systems Corp                                 0.70%
    Sabre Holdings Corp                                      0.68%
    Las Vegas Sands                                          0.64%
    Asurion Corp                                             0.63%
    Bausch & Lomb Inc                                        0.62%
    Huntsman ICI                                             0.61%
    Reynolds Group                                           0.60%

EUR-USD FX:   1.26                                    

⁽¹⁾Calculated using TFG shares outstanding (net of 10.9 million shares held in treasury and 8.5 million shares held by a subsidiary) and month end exchange price.                                        

⁽²⁾Excludes  CDO-squared and ABS CDO transactions which were written off in October 2007.  TFG continues to hold the economic rights to 3 of these written-off transactions. Excludes TFG's investments in CLO mezzanine tranches.                                        

⁽³⁾ Excludes TFG's investments in LCM Asset Management LLC, GreenOak Real Estate LP and GreenOak related funds or investments, and CLO mezzanine tranches.                                        

⁽⁴⁾Equivalent to Investment in Securities at Fair Value in the US GAAP Financial Statements.                                        

⁽⁵⁾Includes par amount of loans held directly by TFG and also loan exposures via TFG's CLO equity tranche investments. With respect to CLO equity tranche investments, calculated as a percentage of total corporate loan assets that TFG                                        

   has exposure to based on its equity-based pro-rata share of each CLO's total portfolio.  All calculations are net of any single name CDS hedges held against that credit.                         

Tetragon Financial Group Limited (TFG)

Monthly Update For August 2012

    Expected Upcoming Events                     Date
    September Monthly Report                     October 29, 2012
    Q3 Financial Results                         October 29, 2012
    Q3 Ex-Dividend Date                          October 29, 2012
    Q3 Dividend Record Date                      October 31, 2012
    Quarterly Investor Call                      November 5, 2012
    October 2012 Monthly Report                  November 20, 2012
    Q3 Dividend Payment Date                     November 20, 2012

This release does not contain or constitute an offer to sell or a solicitation of an offer to purchase securities in the United States or any other jurisdiction.  The securities of TFG have not been and will not be registered under the US Securities Act of 1933 (the "Securities Act"), as amended, and may not be offered or sold in the United States or to US persons unless they are registered under applicable law or exempt from registration.  TFG does not intend to register any portion of its securities in the United States or to conduct a public offer of securities in the United States.  In addition, TFG has not been and will not be registered under the US Investment Company Act of 1940, and investors will not be entitled to the benefits of such Act.  TFG is registered in the public register of the Netherlands Authority for the Financial Markets under Section 1:107 of the Financial Markets Supervision Act ("FMSA") as a collective investment scheme from a designated country. This release constitutes regulated information ("gereglementeerde informatie") within the meaning of Section 1:1 of the FMSA.

For further information, please contact:
TFG:
David Wishnow/Yuko Thomas
Investor Relations
[email protected]
   
Press Inquiries:
Brunswick Group
Andrew Garfield/Gill Ackers/Pip Green
+44-20-7404-5959
[email protected]

    PRN NLD