Tetragon Financial Group Limited ("TFG") Monthly Update for August 2016

LONDON, September 22, 2016

TFG is a Guernsey closed-ended company traded on Euronext Amsterdam N.V. under the ticker symbol "TFG.NA" and on the Specialist Fund Segment of the London Stock Exchange plc under the symbol "TFG.LN".

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 (Fair Value basis) as of 31 August 2016
(Amounts provided are unaudited and subject to change)

   
                                            (in millions except per share data)
    Estimated Fair Value of Investments: (2)           $1,479.2
    Cash and Cash Equivalents: (2)                       $398.4
    Net Other Assets / (Liabilities): (2)                 $48.8
    Estimated Fair Value Net Asset Value (2)           $1,926.4
    TFG Legal Shares Issued and Outstanding:              139.7
    Fully diluted shares outstanding: (3)                  97.3
    Fully Diluted Fair Value Net Asset Value per
    Share: (4)                                           $19.81

Investment Composition: 

As of the end of August 2016, the company's investment portfolio comprised a broad range of assets, including a diversified alternative asset management business, TFG Asset Management, and covered bank loans (including equity tranches of U.S. and European CLOs, U.S. CLO mezzanine tranches and U.S. senior secured loans), real estate, equities, credit, convertible bonds and infrastructure, as well as cash. Derivative mark-to-market gains and losses are contained within net other assets or liabilities.

   
    (1) TFG invests substantially all its capital through a master fund, Tetragon
        Financial Group Master Fund Limited ("TFGMF") in which it holds a 100% share.
    (2) Fair Value Net Assets are determined by adjusting the U.S. GAAP Net Asset Value
        ($1,819.3 million) to give effect to the de-consolidation of certain TFG Asset
        Management businesses that are currently consolidated under U.S. GAAP (-$33.2
        million), and the inclusion of their fair values ($166.9 million). The fair values
        used are as determined by TFG's Audit Committee based on information provided by
        an independent valuation specialist. The Fair Value Net Assets are also adjusted
        to reflect imputed incentive fees (-$26.7 million) that would otherwise have
        arisen if these Fair Values were actually reflected in the U.S. GAAP accounting
        for TFG's financial statements, all subject to rounding.
    (3) Calculation is with reference to U.S. GAAP Shares outstanding (approximately 87.8
        million), which is determined by reducing TFG legal shares issued and outstanding
        by approximately 12.0 million shares held in treasury, 27.0 million shares held by
        a subsidiary and 12.9 million shares held in aggregate in escrow accounts, all
        subject to rounding. Pro Forma Fully Diluted Shares adjusts the U.S. GAAP shares
        outstanding (87.8 million) for the impact of certain escrow shares used as
        consideration in the Polygon transaction and associated stock dividends (together,
        6.9 million), equity-based awards (0.6 million) and for the potential impact of
        share options issued (1.9 million). These options represent the intrinsic value of
        shares available for the GreenOak founders as at the end of August 2016 (1.0
        million) plus potential impact of options issued to TFG's Investment Manager at
        the time of TFG's IPO (1.0 million), all subject to rounding.
    (4) Calculation is with reference to Fair Value Net Assets ($1,926.4 million) divided
        by Pro Forma Fully Diluted Shares outstanding (approximately 97.3 million), all
        subject to rounding.

Investment Composition (continued):