Q1 2012 Q2 2012 Q3 2012 Q4 2012 US GAAP NAV per Share 13.12 13.75 14.29 16.41 Pro Forma Fully Diluted NAV per Share 13.12 13.75 14.29 14.911.1 U.S. GAAP NAV per Share movements: NAV per Share calculated under U.S. Generally Accepted Accounting Principles ("U.S. GAAP") for TFG as at December 31, 2012 was $16.41, up from $14.91 as at November 30, 2012. Two events significantly contributed to the increase in U.S. GAAP NAV per Share in December. Firstly, as announced on December 7, 2012, in conjunction with a "modified Dutch auction" tender offer (the "Offer"), TFG purchased 15,384,615 TFG non-voting shares at a price of $9.75 for $150 million. As the purchase price of the Offer was significantly below the prevailing U.S. GAAP NAV per Share this had the impact of increasing U.S. GAAP NAV per Share by $0.85. Secondly, as at December 31, 2012, certain inputs into the CLO valuation model were recalibrated, including forward-looking default assumptions and discount rates utilized in the determination of the applicable fair value of each deal. The net impact of these changes was to increase fair value and thus to increase the U.S. GAAP NAV per Share by $0.50 on a net basis. A description of these changes is set forth below in section 2.
Gross Impact on Fair Value U.S. CLOs EUR CLOs Total $ (millions) $ (millions) $ (millions) Recalibration of Default Assumptions 20.1 -1.1 19 Recalibration of Discount Rates 45.3 7.1 52.4 Total 65.4 6 71.41.2 Pro Forma Fully Diluted NAV per Share: We have also included in the December 2012 monthly update the calculation of a "Pro forma fully diluted NAV per Share" to seek to reflect certain potential changes to the total non-voting shares over the next few years, which may be utilized in the calculation of NAV per Share. Specifically, the number of shares used to calculate U.S. GAAP NAV per Share has been adjusted to incorporate:
- Shares which have been used as consideration for the acquisition of Polygon Management L.P. and applicable stock dividends relating thereto, and which are held in escrow and are expected to be released and incorporated into the U.S. GAAP NAV per Share over a five year period. 
- The number of shares corresponding to the applicable intrinsic value of the options issued to the Investment Manager at the time of the company's IPO with a strike price of $10.00, to the extent such options are in the money at period end. As of December 31, 2012, the TFG share price was $9.67 and therefore such options were out of the money. 
Dec 31 2012 Shares Reconciliation Shares (millions) Legal Shares Issued and Outstanding 133.75 Less: Shares Held In Subsidiary 16.60 Less: Shares Held In Treasury 6.50 Less: Escrow Shares 11.84 U.S. GAAP Shares Outstanding 98.80 Add: Manager (IPO) Share Options 0 Add: Escrow Shares 11.84 Pro Forma Fully Diluted Shares 110.642. Fair Value Determination for TFG's CLO Equity Investments: