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

LONDON, January 31, 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.(1)

Net Asset Value Estimates as of December 31, 2011

(Amounts provided are unaudited and subject to change)

                                               (in millions except per share
                                               data)
    Estimated Fair Value of Investments:       $1,264.4
    Cash and Cash Equivalents:                 $211.5
    Net Other Assets/ (Liabilities):           $(1.5)
    Estimated Net Asset Value:                 $1,474.4
    TFG Shares Outstanding:                    132.1
    Net Asset Value per Share:(2)              $12.71

(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 7.6 million shares held in treasury and 8.5 million shares held by a subsidiary.

Portfolio Composition

Portfolio Held by Tetragon Financial Group Master Fund Limited

(unless otherwise stated)

As of December 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 December 2011  $6.25    $724.8  $1,474.4              77 (2)
 

                                                                Risk    Investment
                                                              Capital   Fair Value
    Capital Allocation by Asset Class                        Allocation ($MM)(3)(4)
 
    Broadly Syndicated Senior Secured Loans: US                74.9%      $939.7
    Broadly Syndicated Senior Secured Loans: Europe             9.8%      $123.4
    Middle Market Senior Secured Loans: US                     15.3%      $191.4
    CDOs Squared: US                                            0.0%       $0.0
    ABS and Structured Finance: US                              0.0%       $0.0
 
                              Total                           100.0%    $1,254.5

                                                                              Asia
    Geographic Allocation by Asset Class              USA       Europe    Pacific Total
 
    Broadly Syndicated Senior Secured Loans          88.4%       11.6%     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%
 
                                                     90.2%       9.8%      0.0%   100.0%

                                                         Bank Loan
    Top 15 Underlying Bank Loan Credits                 Exposure (5)
 
    Univision Communications                               0.92%
    Community Health                                       0.84%
    HCA Inc                                                0.82%
    First Data Corp                                        0.80%
    SunGard Data Systems Inc                               0.76%
    Charter Communications                                 0.75%
    UPC Broadband                                          0.74%
    Aramark Corp                                           0.70%
    Federal-Mogul                                          0.68%
    Cablevision Systems Corp                               0.66%
    Las Vegas Sands                                        0.66%
    Sabre Holdings Corp                                    0.64%
    Huntsman ICI                                           0.64%
    Nielsen Company                                        0.63%
    TXU Corp                                               0.61%

    EUR-USD FX: 1.29
    (1) Calculated using TFG shares outstanding (net of 7.6 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.
    (3) Excludes TFG's investments in LCM Asset Management LLC, GreenOak Real Estate LP 
    and GreenOak related funds or investments.
    (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 December 2011

    Expected Upcoming Events                     Date
    January 2012 Monthly Report                  February 20, 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.

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

SOURCE Tetragon Financial Group Limited