LONDON, June 21, 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. ⁽¹⁾

Net Asset Value Estimates as of May 31 2012

(Amounts provided are unaudited and subject to change)

                                                  (in millions except per
                                                  share data)
    Estimated Fair Value of Investments:          $1,305.9
    Cash and Cash Equivalents:                    $241.4
    Net Other Assets/ (Liabilities):              $(4.5)
    Estimated Net Asset Value:                    $1,542.8
    TFG Shares Outstanding:                       132.7
    Net Asset Value per Share: (2)              $13.45
    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 9.5 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 May 31, 2012

   
                                   TFG
                                  group     TFG
                                   Net     group
                                  Market    Net
                     TFG Share     Cap     Assets    No. of Closed CLO
   Report Date       Price ($)   ($MM)(1)  ($MM)    Equity Transactions
   31 May 2012         $7.20      $825.7  $1,542.8         79 (2)

 
    Capital                                    Risk    Investment Fair
    Allocation by                            Capital        Value
    Asset Class                             Allocation   ($MM)(2,3,4)
 
    Broadly Syndicated
    Senior Secured
    Loans: US                                 77.7%    $1,000.0
    Broadly Syndicated
    Senior Secured
    Loans: Europe                              8.3%     $106.5
    Middle Market
    Senior
    Secured
    Loans: US                                 14.0%     $179.9
 
             Total                            100.0%   $1,286.4
    Geographic
    Allocation by Asset                                          Asia
    Class                                      USA      Europe  Pacific Total
 
    Broadly Syndicated
    Senior Secured
    Loans                                     90.4%      9.6%    0.0%   100.0%
    Middle Market
    Senior
    Secured Loans                             100.0%     0.0%    0.0%   100.0%
 
                                              91.7%      8.3%    0.0%   100.0%

    TOP 10 INDUSTRY
    Healthcare, Education & Childcare            12.5%
    Broadcasting & Entertainment                  7.6%
    Diversified/Conglomerate Service              6.9%
    Telecommunications                            6.6%
    Retail Stores                                 6.5%
    Chemicals, Plastics & Rubber                  5.2%
    Electronics                                   4.2%
    Automobile                                    3.7%
    Personal, Food & Miscellaneous Services       3.5%
    Finance                                       3.4%

    Top 15 Underlying Bank Loan          Bank Loan
    Credits                             Exposure (5)
 
    Univision
    Communications                         0.94%
    HCA Inc                                0.87%
    First Data
    Corp                                   0.86%
    Community
    Health                                 0.78%
    Federal-Mogul                          0.76%
    UPC Broadband                          0.73%
    Las Vegas
    Sands                                  0.71%
    Sabre
    Holdings Corp                          0.71%
    Aramark Corp                           0.68%
    Charter Communications                 0.68%
    Cablevision Systems
    Corp                                   0.67%
    Reynolds
    Group                                  0.64%
    Huntsman ICI                           0.57%
    Asurion Corp                           0.57%
    SunGard Data Systems
    Inc                                    0.56%

    EUR-USD FX: 1.24
    (1) Calculated using TFG shares outstanding (net of 9.5 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.

Tetragon Financial Group Limited (TFG)

Monthly Update For May 2012

    Expected Upcoming Events                              Date
    June 2011 Monthly Report                              July 31, 2012 (approx.)
    Q2 Financial Results and Interim Financial Statements July 31, 2012
    Q2 Ex-Dividend Date                                   August 01, 2012
    Q2 Dividend Record Date                               August 03, 2012
    Quarterly Investor Call                               August 08, 2012
    Q2 Dividend Payment Date                              August 25, 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
+44-20-7404-5959
tetragon@brunswickgroup.com

SOURCE Tetragon Financial Group Limited