Tetragon Financial Group Limited (TFG) Monthly Update For August 2011

Sep 20, 2011, 02:00 ET from Tetragon Financial Group Limited

LONDON, September 20, 2011 /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.(1)

Net Asset Value Estimates as of August 31, 2011

(Amounts provided are unaudited and subject to change)

                                          (in millions except per share data)
    Estimated Fair Value of Investments:  $1,247.5
    Cash and Cash Equivalents:            $139.1
    Net Other Assets/ (Liabilities):      $(1.3)
    Estimated Net Asset Value:            $1,385.3
    TFG Shares Outstanding:               131.9
    Net Asset Value per Share:(2)         $11.77


(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 10.3 million shares held in treasury and 3.91 million shares held by a subsidiary.

Portfolio Composition

Portfolio Held by Tetragon Financial Group Master Fund Limited

(unless otherwise stated)

As of August 31, 2011

                        TFG
                       group     TFG
                 TFG    Net     group
                Share  Market    Net
                Price   Cap     Assets       No. of Closed CLO
    Report Date  ($)  ($MM)(1)  ($MM)           Transactions
    31 August
    2011        $6.50  $765.1  $1,385.3            75(2)
 


                                         Risk    Investment     
    Capital Allocation                 Capital   Fair Value     
    by Asset Class                   Allocation ($MM)(3)(4)     
 
    Broadly Syndicated
     Senior Secured Loans: US            73.0%      $906.2
    Broadly Syndicated
     Senior Secured Loans: Europe        12.9%      $160.1
    Middle Market
     Senior Secured Loans: US            14.1%      $174.8
    CDOs Squared: US                      0.0%       $0.0
    ABS and Structured Finance: US        0.0%       $0.0
 
           Total                        100.0%   $1,241.0


                                                                Asia            
    Geographic Allocation by Asset Class          USA   Europe Pacific Total   
 
    Broadly Syndicated Senior Secured Loans      85.0%  15.0%   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%
 
                                                 87.1%  12.9%   0.0%   100.0%


                                                                     
                                                         Bank        
                                                         Loan        
                                                       Exposure      
    Top 15 Underlying Bank Loan Credits                  (5)         
 
    Univision Communications                            0.89%
    First Data Corp                                     0.84%
    HCA Inc                                             0.82%
    Community Health                                    0.78%
    SunGard Data Systems Inc                            0.76%
    Cablevision Systems Corp                            0.69%
    Federal-Mogul                                       0.67%
    Aramark Corp                                        0.67%
    Charter Communications                              0.67%
    TXU Corp                                            0.65%
    Nielsen Company                                     0.65%
    Sabre Holdings Corp                                 0.65%
    Las Vegas Sands                                     0.64%
    UPC Broadband                                       0.59%
    Huntsman ICI                                        0.58%


    EUR-USD FX: 1.44

    (1) Calculated using TFG shares outstanding (net of 10.3 million shares
        held in treasury and 3.91 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.
    (3) Excludes TFG's investments in LCM Asset Management LLC and GreenOak 
        Real Estate LP
    (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 investments in CLOs. With respect to CLO 
        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 2011

    Expected Upcoming Events                     Date

    September Monthly Report                     October 28, 2011
    Q3 Financial Results                         October 28, 2011
    Q3 Ex-Dividend Date                          October 28, 2011
    Q3 Dividend Record Date                      November 1, 2011
    Quarterly Investor Call                      November 4, 2011
    October 2011 Monthly Report                  November 18, 2011
    Q3 Dividend Payment Date                     November 22, 2011


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/Pip Green
+44 20 7404 5959
polygon@brunswickgroup.com


SOURCE Tetragon Financial Group Limited