Tetragon Financial Group Limited (TFG) Monthly Update For December 2016

LONDON, January 31, 2017

TFG is a Guernsey closed-ended investment company traded on Euronext Amsterdam N.V. under the ticker symbol "TFG.NA" and on the Specialist Fund Segment of the main market 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 as of 31 December 2016
(Amounts provided are unaudited and subject to change)

   
                                         (in millions except per share data)
    Estimated Fair Value of Investments:          $1,486.4
    Cash and Cash Equivalents:                      $423.3
    Net Other Assets / (Liabilities):                $25.2
    Estimated Net Asset Value                     $1,934.9
    TFG Legal Shares Issued and Outstanding:         139.7
    Fully Diluted Shares Outstanding: (2)             96.7
    Fully Diluted Net Asset Value per Share: (3)    $20.01

Investment Composition: 

As of the end of December 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) Fully Diluted Shares adjusts the IFRS shares outstanding (87.1 million) for the
        impact of certain escrow shares used as consideration in the Polygon transaction
        and associated stock dividends (together, 3.2 million), equity-based awards (0.9
        million), estimated deferred incentive fees payable in shares (2.0 million) and
        for the potential impact of share options issued (3.4 million), all subject to
        rounding. These options represent the intrinsic value of shares available for the
        GreenOak founders as at the end of December 2016 (1.1 million) plus potential
        impact of options issued to TFG's Investment Manager at the time of TFG's IPO (the
        "Investment Manager Options") (2.3 million). The Investment Manager Options, if
        exercised, will be settled by TFG on a cashless basis by issuing to the Investment
        Manager the net shares (based on then current share price) resulting from such
        exercise. IFRS Shares outstanding (approximately 87.1 million), are determined by
        reducing TFG Legal Shares issued and Outstanding (139.7 million) by approximately
        43.3 million shares held in treasury and 9.3 million shares held in aggregate in
        escrow accounts, all subject to rounding.
    (3) Calculation is with reference to Estimated Net Assets Value ($1,934.9 million)
        divided by Fully Diluted Shares Outstanding (approximately 96.7 million), all
        subject to rounding.

Investment Composition (continued):