Tetragon Financial Group Limited (TFG) - Monthly Update For September 2012

LONDON, October 29, 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 September 30 2012

(Amounts provided are unaudited and subject to change)

                                               (in millions except per share
                                               data)
    Estimated Fair Value of Investments:       $1,307.1
    Cash and Cash Equivalents:                 $353.1
    Net Other Assets / (Liabilities):          $(36.6)
    Estimated Net Asset Value:                 $1,623.6
    TFG Shares Outstanding:                    133.0
    Net Asset Value per Share:(2)              $14.29
 


CLO Equity & Direct Loan Portfolio Composition

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

(unless otherwise stated)

As of September 30, 2012

                                                               TFG
                                                              group     TFG
                                                        TFG    Net     group        No. of
                                                       Share  Market    Net     Closed CLO
                                                       Price   Cap     Assets       Equity
    Report Date                                         ($)  ($MM)(1)  ($MM)  Transactions
    --------------------------------------------------
 
    1. [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. [1]) Excludes 10.9 million shares held in
    treasury and 8.5 million shares held by a
    subsidiary.
 
    30 September 2012                                  $8.54  $970.2  $1,623.6       80(2)
 


                                                                      Risk     Investment
                                                                   Capital     Fair Value
    Capital Allocation by Asset Class                           Allocation     ($MM)(2,3,4)
 
    Broadly Syndicated Senior Secured Loans: US                      77.0%       $989.1
    Broadly Syndicated Senior Secured Loans: Europe                   9.2%       $118.8
    Middle Market Senior Secured Loans: US                           13.8%       $176.6
 
                                       Total                        100.0%     $1,284.6


                                                                           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
    Top 15 Underlying Bank Loan Credits                 Exposure(5)
 
    HCA Inc                                                0.88%
    Univision Communications                               0.86%
    First Data Corp                                        0.80%
    UPC Broadband                                          0.74%
    Federal-Mogul                                          0.73%
    Aramark Corp                                           0.73%
    Charter Communications                                 0.72%
    Cablevision Systems Corp                               0.70%
    Asurion Corp                                           0.65%
    Las Vegas Sands                                        0.62%
    Sabre Holdings Corp                                    0.62%
    Reynolds Group                                         0.61%
    Bausch & Lomb Inc                                      0.60%
    SunGard Data Systems Inc                               0.60%
    Huntsman ICI                                           0.60%


EUR-USD FX:   1.29

(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 September 2012

    Expected Upcoming Events                     Date
    Q3 Dividend Record Date                      October 31, 2012
    Quarterly Investor Call                      November 5, 2012
    October 2012 Monthly Report                  November 20, 2012 (approx)
    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
ir@tetragoninv.com
Press Inquiries:
Brunswick Group
Andrew Garfield/Gill Ackers/Brian Buckley
+44-20-7404-5959
tetragon@brunswickgroup.com


PRN NLD

SOURCE Tetragon Financial Group Limited



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