SOURCE: Tetragon Financial Group Limited

June 17, 2008 04:02 ET

Tetragon Financial Group: Monthly Update for May 2008

LONDON--(Marketwire - June 17, 2008) - 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, Tetragon Financial Group LP and Tetragon Financial Group Master Fund Limited. (1)

Net Asset Value Estimates as of May 31, 2008

(Amounts provided are unaudited and subject to change)

                                      (in millions except per share data)
Estimated Fair Value of Investments:  $1,400.0
Cash and Cash Equivalents:            $200.6
Net Other Assets/ (Liabilities):      $(301.7)
Estimated Net Asset Value:            $1,298.9
TFG Shares Outstanding:               119.9
TFGLP Conversion Rights:              7.5
Total Shares Outstanding &
 Conversion Rights:                   127.4
Net Asset Value per Share: (2)(3)     $10.27



For further information, please contact:

TFG:                     Press Inquiries:

Ryan Stork/Yuko Thomas   Finsbury
Investor Relations       Simon Moyse/Charles Chichester/Talia Druker
ir@polygoninv.com    +44 20 7251 3801

(1) TFG invests substantially all its capital through a master fund, Tetragon Financial Group Master Fund Limited ("TFGMF"), in which it holds a 94.1% share. Tetragon Financial Group LP (TFGLP), a U.S. "feeder fund", holds the remaining 5.9% interest in TFGMF. TFG and TFGLP receive a pro-rata allocation of the performance of TFGMF.

(2) Excludes 1.0 million shares held in treasury.

(3) Net Asset Value per share month-on-month movement reflects an increase of $0.12 per share earned through TFG operations and a decrease of $0.03 per share associated with the issuance of shares pursuant to TFG's Optional Stock Dividend Plan on May 19, 2008.


                          Portfolio Composition
     Portfolio Held by Tetragon Financial Group Master Fund Limited
                        (unless otherwise stated)
                            As of May 31, 2008

Report Date   TFG Share      TFG group        TFG group    No. of Closed
              Price ($)   Market Cap ($MM)   Net Assets   CLO Transactions
                                (1)             ($MM)
-----------   ---------   ----------------   ----------   ----------------
31 May 2008     $4.75         $605.3          $1,298.9          61 (2)


Capital Allocation by       Risk      Investment-  Investment-    Overall
Asset Class                Capital     Amortized    Amortized   Leverage(5)
                          Allocation     Cost      Cost B/Fwd
                                       ($MM)(3)     ($MM)(4)
------------------------  ----------  -----------  -----------  -----------
Broadly Syndicated Senior
 Secured Loans: US          61.2%        $857.0        $838.6
Broadly Syndicated Senior
 Secured Loans: Europe      23.4%        $327.0        $316.7
Middle Market Senior
 Secured Loans: US          15.4%        $216.0        $210.7
CDOs Squared: US             0.0%          $0.0          $0.0
ABS and Structured
 Finance: US                 0.0%          $0.0          $0.0
                Total        100%      $1,400.0      $1,366.0      1.05


Geographic Allocation by     USA        Europe         Asia        Total
Asset Class                                          Pacific
------------------------  ----------  -----------  -----------  -----------
Broadly Syndicated Senior
 Secured Loans                72%         28%           0%          100%
Middle Market Senior
 Secured Loans               100%          0%           0%          100%
CDOs Squared                   0%          0%           0%            0%
ABS and Structured
 Finance                       0%          0%           0%            0%
                              80%         20%           0%          100%


Top 15 Underlying Bank Loan Credits     Bank Loan Exposure (6)
-----------------------------------     ----------------------
Georgia Pacific Corp                             0.85%
HCA Inc                                          0.83%
Univision Communications                         0.78%
Idearc                                           0.74%
Community Health                                 0.73%
TXU Corp                                         0.70%
Ineos Group Plc                                  0.62%
Cablevision Systems Corp                         0.55%
Aramark Corp                                     0.53%
Freescale Semiconductor Inc                      0.52%
OshKosh Truck                                    0.52%
Nielsen Company                                  0.48%
Mylan Laboratories                               0.47%
Metro-Goldwyn-Mayer Inc                          0.47%
United Pan Europe Communications                 0.46%


EUR-USD FX:    1.56

(1) Includes exchange rights held by Tetragon Financial Group LP investors
    as if they had been converted to TFG shares and valued at the closing
    share price.
(2) Excludes CDO-squared and ABS CDO transactions which were written off in
    October 2007.  TFG continues to hold the economic rights to these
    written-off transactions.
(3) Equivalent to Investment in Securities at Fair Value in the US GAAP
    Financial Statements.
(4) Investments at Amortized Cost less interest accrued since last payment
    date.  Internal Rate of Return (IRR) x Amortized Cost B/Fwd determines
    CDO income.
(5) Equals CDO Amortized Cost BFwd / Book Value.
(6) 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 (net of any single name CDS hedges held against that
    credit).


                 Tetragon Financial Group Limited (TFG)
                       Monthly Update For May 2008

Change of Administrator and Registrar

At inception, TFG appointed Kleinwort Benson (Channel Islands) Fund Services ("KB") as Administrator and Registrar of TFG and the Master Fund, while most key financial, accounting, corporate and other administrative services were provided by Investor Fund Services (Ireland) ("IFS") through a sub-administration agreement.

The recent acquisition by State Street of Investors Bank and Trust, the parent company of IFS, has created the opportunity for TFG and the Master Fund to obtain full administration and corporate secretarial services from a single provider. As of July 1, 2008, State Street's Guernsey affiliate, State Street Fund Services (Guernsey) Limited, will replace KB as Administrator and Registrar, while IFS, now a State Street company, will continue to perform the services that they have provided since inception.

The impact of this change should be minimal to the operations of TFG and the Master Fund. Although there will be a transition to the State Street accounting platform, the majority of the valuation and financial reporting work will continue to be provided by the same team that supported TFG as Sub-Administrator, and all significant valuation and accounting policies remain unchanged. We view the ability to have all administration and registrar functions provided by affiliated companies as a positive for TFG and the Master Fund, and we look forward to continuing our strong relationship with State Street and its affiliates.

Expected Upcoming Events                          Date
------------------------                     ---------------
State Street Fund Services (Guernsey)        July 1, 2008
 Limited replaces KB as Administrator
 and Registrar
June 2008 Monthly Performance Report         July 18, 2008 (approx)
Q2 Financial Results and Interim
 Financial Statements                        August 1, 2008
Q2 Ex-Dividend Date                          August 1, 2008
Quarterly Investor Call                      August 2, 2008
Q2 Dividend Record Date                      August 5, 2008
July 2008 Monthly Performance Report         August 20, 2008
Q2 Dividend Payment Date                     August 26, 2008

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 as a collective investment scheme from a designated country.


Monthly report:
http://hugin.info/139412/R/1227831/260485.pdf

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