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Tetragon Financial Group Limited (TFG): Supplemental Information To The Monthly Update For December 2012

2.4 Effect on fair value and net income of recalibration of certain inputs into the CLO model

Overall, the net impact of the recalibration of certain forward-looking default assumptions and discount rates described above led to an overall increase in fair value of the total CLO equity portfolio of approximately $71.4 million, or $53.6 million in bottom line net income.

 

[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] Please see the press release of October 29, 2012 noting TFG's acquisition of Polygon Management L.P. and certain of its affiliates.

[3] The intrinsic value of the options will be calculated as the excess of (x) the closing price of the shares as of the final trading day in the relevant period over (y) $10.00 (being the exercise price per share) times (z) 12,545,330 (being a number of shares subject to the options before the application of potential anti-dilution).  The terms of exercise under the options allow for exercise using cash, as well as, with the consent of the board of the Company, certain forms of cashless exercise.  Each of these prescribed methods of exercise may give rise to the issuance of a different number of shares than the approach described herein. If the options were to be surrendered for their intrinsic value with the board's consent, rather than exercised, the number of shares issued would equal the intrinsic value divided by the closing price of the shares as of the final trading day in the relevant period.  This approach has been selected because we currently believe it is more reasonably illustrative of a likely outcome if the options are exercised. The options are exercisable until April 26, 2017.

[4] Citi Global Structured Credit Strategy 22 January 2013

     For further information, please contact: TFG: David Wishnow/ Yuko Thomas Investor Relations ir@tetragoninv.com

 

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