LONDON, February 20, 2012 /PRNewswire/ --

Tetragon Financial Group Limited (TFG) is a Guernsey closed-ended investment company traded on Euronext Amsterdam by NYSE Euronext 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.

Net Asset Value Estimates as of January 31, 2012

(Amounts provided are unaudited and subject to change)

                                              (in millions except per
                                               share data)
    Estimated Fair Value of Investments:         $1,261.5
    Cash and Cash Equivalents:                     $238.1
    Net Other Assets/ (Liabilities):               $(17.6)
    Estimated Net Asset Value:                   $1,482.0
    TFG Shares Outstanding:                         132.1
    Net Asset Value per Share: [2]                  $12.83
    For further information, please
    contact:
 

[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 8.1 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 January 31, 2012

    
                              Tetragon Financial Group Ltd
    Snapshot of CLO Equity& Direct Loan Portfolio Held by TFG Master Fund Limited
                              (unless otherwise stated)
                                as of January 31, 2012

      
                                TFG
                               group     TFG
                       TFG      Net     group
                      Share    Market    Net
                      Price     Cap     Assets         No. of Closed CLO
    Report Date        ($)    ($MM)[1]  ($MM)         Equity Transactions
    31 January 2012   $6.45    $745.3  $1,482.0              78 [2]
 

    
                                                                    Risk    Investment
                                                                  Capital   Fair Value
    Capital Allocation by Asset Class                            Allocation ($MM)[3)(4]
 
    Broadly Syndicated Senior Secured Loans: US                      76.4%     $954.0
    Broadly Syndicated Senior Secured Loans: Europe                   9.3%     $116.3
    Middle Market Senior Secured Loans: US                           14.3%     $178.4
    CDOs Squared: US                                                  0.0%       $0.0
    ABS and Structured Finance: US                                    0.0%       $0.0
                                                Total               100.0%   $1,248.8

    
                                                                    Asia
    Geographic Allocation by Asset Class                 USA   Europe Pacific Total
 
    Broadly Syndicated Senior Secured Loans            89.1%  10.9%   0.0%   100.0%
    Middle Market Senior Secured Loans                100.0%   0.0%   0.0%   100.0%
    CDOs Squared                                        0.0%   0.0%   0.0%     0.0%
    ABS and Structured Finance                          0.0%   0.0%   0.0%     0.0%
 
                                                       90.7%   9.3%   0.0%   100.0%

    
                                            Bank
                                            Loan
                                          Exposure   Top 10 Bank Loan Industry Exposures
    Top 15 Underlying Bank Loan Credits      [5]                    [5]
 
    Univision Communications                0.95%
    First Data Corp                         0.84%
    UPC Broadband                           0.83%
    HCA Inc                                 0.82%
    Community Health                        0.81%
    Charter Communications                  0.72%
    SunGard Data Systems Inc                0.71%
    Federal-Mogul                           0.70%
    Las Vegas Sands                         0.69%
    Aramark Corp                            0.68%
    Sabre Holdings Corp                     0.67%
    Cablevision Systems Corp                0.65%
    Huntsman ICI                            0.62%
    Nielsen Company                         0.60%
    TXU Corp                                0.59%
 
    [1] Calculated using TFG shares outstanding (net of 8.1 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.

    
    TOP 10 INDUSTRY
    Healthcare, Education & Childcare      12.1%
    Broadcasting & Entertainment            8.4%
    Diversified/Conglomerate Service        6.7%
    Telecommunications                      6.3%
    Retail Stores                           6.1%
    Chemicals, Plastics & Rubber            4.7%
    Finance                                 4.0%
    Printing & Publishing                   3.8%
    Electronics                             3.8%
    Automobile                              3.6%

    
    Expected Upcoming Events                     Date
    Q3 Dividend Payment Date                     November 18, 2008
    Bank of America Credit Conference (Florida)  November 20, 2008
    FBR Global Equity Conference (New York)      December 3, 2008
    November 2008 Monthly Report                 December 16, 2008 (approx)

Tetragon Financial Group Limited (TFG)

Monthly Update For January 2012

    
    Expected Upcoming Events                     Date
    Q4 2011 Dividend Announcement Date           March 5, 2012 (approx)
    2011 Audited Financial Statements Reported   March 6, 2012 (approx)
    Q4 2011 Dividend (Ex- date)                  March 6, 2012
    Q4 2011 Dividend Record Date                 March 8, 2012
    Quarterly Investor Call                      March 9, 2012
    February 2012 Monthly Report                 March 20, 2012 (approx)
    Q4 2011 Dividend Payment Date                March 28, 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.

TFG:
David Wishnow/Yuko Thomas
Investor Relations
ir@tetragoninv.com

Press Inquiries:
Brunswick Group
Andrew Garfield/Gill Ackers/Pip Green
+44-(0)20-7404-5959
tetragon@brunswickgroup.com

 

SOURCE Tetragon Financial Group Limited

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