Tetragon Financial Group Limited (TFG) Monthly Update For February 2012

LONDON, March 20, 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. ⁽⁽⁾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. ⁾

Net Asset Value Estimates as of February 29 2012

(Amounts provided are unaudited and subject to change)

                                               (in millions except per share data)
    Estimated Fair Value of Investments:       $1,287.4
    Cash and Cash Equivalents:                   $211.3
    Net Other Assets/ (Liabilities):              $(5.3)
    Estimated Net Asset Value:                 $1,493.4
    TFG Shares Outstanding:                       132.07
    Net Asset Value per Share: ([1])              $12.98
 

CLO Equity & Direct Loan Portfolio Composition

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

(unless otherwise stated)

As of February 29, 2012

        Tetragon
     Financial Group
           Ltd
 
     as of February
        29, 2012
 
                                    TFG
                                   group
                          TFG       Net
                         Share    Market                   No. of Closed CLO
                         Price      Cap    TFG group Net        Equity
    Report Date           ($)    ($MM)(1)   Assets ($MM)     Transactions
    29 February
    2012                 $6.99    $804.1     $1,493.4           79 (2)
 

                                         Risk    Investment
    Capital Allocation                 Capital   Fair Value
    by Asset Class                    Allocation ($MM)(3)(4)
 
    Broadly Syndicated Senior
    Secured Loans: US                   76.5%      $973.3
    Broadly Syndicated Senior
    Secured Loans: Europe                9.2%      $117.2
    Middle Market Senior
    Secured Loans: US                   14.2%      $181.1
    CDOs Squared: US                     0.0%       $0.0
    ABS and Structured
    Finance: US                          0.0%       $0.0

                                Total 100.0% $1,271.6
    Geographic Allocation by Asset                       Asia
    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%
    CDOs Squared                        0.0%   0.0%      0.0%       0.0%
    ABS and Structured
    Finance                             0.0%   0.0%      0.0%       0.0%
 
                                      90.8%    9.2%      0.0%     100.0%

    Top 15 Underlying                      Bank Loan Exposure
    Bank Loan Credits                              (5)
 
    Univision
    Communications                                0.95%
    First Data Corp                               0.84%
    HCA Inc                                       0.82%
    Community Health                              0.82%
    UPC Broadband                                 0.79%
    Charter
    Communications                                0.72%
    Federal-Mogul                                 0.70%
    Las Vegas Sands                               0.70%
    Aramark Corp                                  0.69%
    Sabre Holdings Corp                           0.68%
    Cablevision Systems
    Corp                                          0.65%
    Huntsman ICI                                  0.60%
    Reynolds Group                                0.58%
    TXU Corp                                      0.58%
    SunGard Data Systems
    Inc                                           0.54%
 
    (1) Calculated using TFG shares outstanding (net of 8.5
    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           12.2%
    Broadcasting & Entertainment                 8.2%
    Diversified/Conglomerate Service             6.8%
    Telecommunications                           6.4%
    Retail Stores                                6.2%
    Chemicals, Plastics & Rubber                 4.9%
    Finance                                      3.9%
    Automobile                                   3.7%
    Printing & Publishing                        3.6%
    Electronics                                  3.6%

Tetragon Financial Group Limited (TFG)

Monthly Update For February 2012

    Expected Upcoming Events                     Date
    Q4 2011 Dividend Payment Date                March 28, 2012
    March 2012 Monthly Report                    April 30, 2012 (approx)

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
tetragon@brunswickgroup.com