Tetragon Financial Group Limited (TFG) Monthly Update for May 2010

Jun 16, 2010, 02:58 ET from Tetragon Financial Group Limited

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LONDON, June 16, 2010 /PRNewswire-FirstCall/ -- 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 May 31, 2010

    (Amounts provided are unaudited and subject to change)

                                          (in millions except per share data)

    Estimated Fair Value of Investments:   $764.1
    Cash and Cash Equivalents:             $139.1
    Net Other Assets / (Liabilities):       $(7.1)
    Estimated Net Asset Value:             $896.1
    TFG Shares Outstanding:                 130.5
    Net Asset Value per Share:[2]           $7.32


    ---------------------------------

    [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 8.00 million shares held in treasury.


                              Portfolio Composition
         Portfolio Held by Tetragon Financial Group Master Fund Limited
                            (unless otherwise stated)

                               As of May 31, 2010

    Report Date   TFG Share   TFG group    TFG group     No. of Closed
                  Price ($)  Market Cap    Net Assets   CLO Transactions
                              ($MM)(1)       ($MM)

    31 May 2010     $4.49      $585.8        $896.1          68(2)


    Capital Allocation by Asset Class              Risk Capital  Investment -
                                                    Allocation    Fair Value
                                                                 ($MM)(3)(4)

    Broadly Syndicated Senior Secured Loans: US        74.4%        $568.7
    Broadly Syndicated Senior Secured Loans: Europe     7.1%         $54.3
    Middle Market Senior Secured Loans: US             18.5%        $141.0
    CDOs Squared: US                                    0.0%          $0.0
    ABS and Structured Finance: US                      0.0%          $0.0

                                              Total   100.0%        $764.1


    Geographic Allocation by Asset Class      USA    Europe   Asia    Total
                                                            Pacific

    Broadly Syndicated Senior Secured Loans  91.3%    8.7%    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%

                                             92.9%    7.1%    0.0%   100.0%


    Top 15 Underlying Bank             Bank Loan
    Loan Credits                      Exposure(5)

    Community Health                      0.98%
    TXU Corp                              0.87%
    HCA Inc                               0.86%
    Univision Communications              0.85%
    Georgia Pacific Corp                  0.79%
    Charter Communications                0.75%
    First Data Corp                       0.73%
    Aramark Corp                          0.69%
    Calpine Corp                          0.67%
    SunGard Data Systems Inc              0.67%
    Cablevision Systems Corp              0.65%
    Celanese US Holdings LLC              0.63%
    Sabre Holdings Corp                   0.60%
    Health Management Associates          0.60%
    Mylan Laboratories                    0.59%


    Top 10 Bank Loan Industry Exposures(5)

    Healthcare, Education & Childcare     12.3%
    Broadcasting & Entertainment           7.7%
    Diversified/Conglomerate Service       6.6%
    Telecommunications                     6.1%
    Chemicals, Plastics & Rubber           5.3%
    Printing & Publishing                  4.1%
    Utilities                              3.8%
    Personal, Food & Miscellaneous         3.6%
    Retail Stores                          3.6%
    Buildings & Real Estate                3.4%


    EUR-USD FX:    1.23

    (1) Calculated using TFG shares outstanding 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 investment in LCM Asset Management LLC.
    (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 May 2010

    Expected Upcoming Events                                Date

    June 2010 Monthly Report                                July 20, 2010
    Q2 Ex-Dividend Date                                     August 02, 2010
    Q2 Financial Results and Interim Financial Statements   August 02, 2010
    Q2 Dividend Record Date                                 August 04, 2010
    Quarterly Investor Call                                 August 06, 2010
    July 2010 Monthly Report                                August 19, 2010
    Q2 Dividend Payment Date                                August 25, 2010

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:                              Press Inquiries:

    David Wishnow/Yuko Thomas         Citigate Dewe Rogerson
    Investor Relations                Michael Berkeley/Justin Griffiths/
    ir@tetragoninv.com                Clare Simonds
                                      tetragon@citigatedr.co.uk

SOURCE Tetragon Financial Group Limited