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Tuesday 31 July, 2012

Tetragon Financial Group Limit

Tetragon Financial Group Limited (TFG)


    July 31, 2012

    Tetragon Financial Group Limited (TFG) is a Guernsey closed-ended investment
company
traded on NYSE Euronext in Amsterdam under the ticker symbol "TFG."(1) In this 
report we
provide an update on TFG's results of operations for the period ending June 30,
2012.

<pre>    
    - Executive Summary:
</pre>    Q2 2012 saw another strong set of quarterly results, with U.S. CLO 
performance leading
the way.

    - Earnings per Share: TFG generated EPS of $0.69 during Q2 2012 (Q1 2012: 
$0.46).

    - Distributions: TFG declared a Q2 2012 dividend of $0.115 per share, up 
from Q1 2012.
Inclusive of the Q2 dividend, the rolling 12-month dividend growth rate 
(year-on-year) was
18.1%. The company also used over $7.8 million to buy back shares below NAV 
during the
quarter.

    - Net Asset Value ("NAV"): Rose to $1,570.3 million or $13.75 per share at 
the end of
Q2 2012, the highest level to date, and an increase of 4.8%, on a per share 
basis, from Q1
2012.

    Figure 1 below shows an historical summary of TFG's Net Assets, NAV per 
share and
share price.

<pre>    
    Figure 1
                  Q2 2008  Q3 2008  Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 
2010 Q2 2010
    Consolidated 
    Net Assets 
    ($ MM)       $1,319.0 $1,348.0 $1,142.0  $723.4  $693.1  $720.8  $807.0  
$867.0 $909.40
    NAV / Share    $10.44   $10.69    $9.06   $5.75   $5.50   $5.71    6.47   
$7.02   $7.44
    Price/ Share    $4.75    $5.00    $2.87   $1.01   $1.18   $1.90   $3.91   
$4.50   $4.14
    (Table Continued)
                     Q3 2010  Q4 2010  Q1 2011  Q2 2011  Q3 2011  Q4 2011  Q1 
2012  Q2 2012
    Consolidated 
    Net Assets 
   ($ MM)           $1,018.6 $1,137.5 $1,298.0 $1,368.3 $1,413.6 $1,474.4 
$1,510.1 $1,570.3
    NAV / Share        $8.43    $9.47   $10.85   $11.52   $12.06   $12.71   
$13.12   $13.75
    Price/ Share       $4.39    $5.70    $7.60    $8.30    $6.40    $6.25    
$7.10    $7.37
</pre>    Source: NAV per share based on TFG's financial statements as of the 
relevant
quarter-end date; TFG's closing share price data as per Bloomberg as of the last
trading
day of each quarter. Please note that the NAV per share reported as of each 
quarter-end
date excludes any shares held in treasury as of that date.

<pre>    
    - Net Income: Consolidated net income of $79.2 million for Q2 2012 (Q1 2012:
      consolidated net income of $53.4 million).
</pre>    This Performance Report constitutes TFG's half-yearly financial report
as required
pursuant to Section 5:25d of the FMSA. Pursuant to Section 5:25d and 5:25m of 
the FMSA,
this report is made public by means of a press release and has been filed with 
the
Netherlands Authority for the Financial Markets (Autoriteit Financiele Markten)
and also
made available to the public by way of publication on the TFG website (
http://www.tetragoninv.com).

<pre>    
    - Asset Breakdown: The figures below illustrate the split of net assets by
      asset class at the end of Q2 2012 ($1,570,273,629) and Q1 2012 
($1,510,100,263),
      respectively.
</pre><pre>    
    Figures 2a and 2b
                                     Q2 2012                $1,570,273,630
    U.S. CLOs                 $1,061,599,321 $1,570,273,630           100%
    Euro CLOs                   $115,412,741
    CLO Mezz                      $1,283,100
    Direct Loans                 $87,423,004
    Asset Managers               $10,411,090
    Real Estate Funds             $8,065,210
    Cash Less Net Liabilities   $286,079,164
                                     Q1 2012
    U.S. CLOs                 $1,044,065,006 $1,510,100,263            96%
    Euro CLOs                   $116,213,800
    CLO Mezz                      $1,308,650
    Direct Loans                $120,342,760
    Asset Managers               $10,066,576
    Real Estate Funds             $7,477,705
    Cash Less Net Liabilities      210625766
</pre>    Investment Portfolio Performance Highlights

    TFG's U.S. CLOs continue to outperform in terms of collateral performance, 
providing
the catalyst for strong Q2 2012 results.

<pre>    
    - Cash Flows: TFG generated $110.0 million of cash flows from its CLO equity
      investment portfolio in Q2 2012 (Q1 2012: $102.6 million).
    - Collateral Performance: TFG's average CLO portfolio statistics performed 
well
      during Q2 2012 with low default and CCC-asset holding levels. This was 
driven by
      continued improvements in the credit quality of TFG's U.S. CLOs, which 
offset the
      credit deterioration experienced by TFG's European CLOs.
    - CLO Returns: Weighted-average IRRs on CLO equity investments remained 
broadly
      unchanged at 17.6% (Q1 2012: 17.5%) with U.S. CLO average IRRs remaining 
at 19.7%
      while the average IRR of TFG's European CLOs increased to 8.0% (Q1 2012: 
7.9%).
</pre>    Figure 3 below shows an historical summary of the weighted-average IRR
on TFG's CLO
equity investments.

<pre>    
            Figure 3
                    Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 
2010 Q2 2010
    ALL  Weighted
    TFG  -Average IRR 
         on TFG's CLO 
         Investments  16.6%   16.9%   13.8%   10.6%    9.2%   10.3%   11.9%   
12.3%   13.1%
    U.S. U.S. IRR     17.2%   17.5%   14.4%   11.3%   10.4%   12.4%   14.1%   
14.3%   14.9%
    EUR  EUR IRR      14.6%   14.7%   11.4%    7.8%    4.8%    2.0%    2.5%    
3.5%    4.2%
    (Table Continued)
                            Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 
2012 Q2 2012
    ALL  Weighted
    TFG  -Average IRR 
         on TFG's CLO 
         Investments          13.7%   15.1%   15.8%   16.3%   16.8%   17.6%   
17.5%   17.6%
    U.S. U.S. IRR             15.8%   17.0%   17.8%   18.4%   18.8%   19.6%   
19.7%   19.7%
    EUR  EUR IRR               4.6%    6.7%    8.0%    8.1%    8.4%    8.6%    
7.9%    8.0%
</pre>    Source: TFG as of the outlined quarter-end date.

<pre>    
    - New CLO Equity Investments: During Q2 2012, LCM XI, a new issue CLO
      managed by LCM, was successfully closed. TFG invested $22.7 million in the
equity
      tranche of this transaction, representing a majority position of the 
tranche.
    - Direct Loans: TFG held direct loans with a fair value of $87.4 million at
the
      end of Q2 2012, down from $120.3 million as of the end of Q1 2012. 
Overall, the direct
      loan portfolio performed in-line with expectations during this period 
experiencing no
      defaults.
    - Real Estate Investments: During Q2 2012, TFG invested a further $0.7 
million
      into GreenOak-managed real estate. The total amount of capital invested in
      GreenOak-managed real estate since inception is approximately $8.2 million
as of the
      end of the second quarter.
</pre>    We continue to seek to diversify the investment portfolio across asset
classes and
types, industries, geographies and investment duration.

    Asset Management Segment: Third-party AUM continues to grow.

    We believe that TFG owning or having stakes in asset management businesses 
may provide
repeatable income streams and reduce fees paid to third-party managers.

    LCM: LCM continued to perform well during Q2 2012, with all LCM Cash Flow 
CLOs (2)
that were still within their reinvestment periods(3) continuing to pay senior 
and
subordinated management fees. With the addition of LCM XI, LCM's total loan 
assets under
management rose to approximately $4.1 billion (Q1 2012: $3.7 billion).

<pre>    
    Figure 4
    LCM Asset Management LLC - CLO AUM - $MM
    Deal Name                                  Q1 2010   Q2 2010   Q3 2010 Q4 
2010 Q1 2011
    Pre-Acquisition CLOs                       2,353.7   2,340.5   2,314.0 
2,268.2 2,238.1
    Post-Acquisition CLOs                          0.0       0.0       0.0   
671.1   671.3
    Total                                        2,354     2,341     2,314   
2,939   2,909
    (Table Continued)
    LCM Asset Management LLC - CLO AUM - $MM
    Deal Name                                      Q2 2011 Q3 2011 Q4 2011 Q1 
2012 Q2 2012
    Pre-Acquisition CLOs                           2,161.2 2,075.8 2,035.9 
1,984.6 1,889.4
    Post-Acquisition CLOs                          1,322.5 1,323.0 1,323.2 
1,725.0 2,196.6
    Total                                            3,484   3,399   3,359   
3,710   4,086
</pre>    GreenOak: GreenOak continued to execute on its business growth 
strategy, including
increasing investor commitments to its funds.

<pre>    
    - Corporate-Level Performance Details:
    - Capital Distributions: TFG's Board approved a dividend of $0.115 per share
      with respect to Q2 2012, an increase from the prior quarter. As of June 
30, 2012,
      inclusive of the dividend declared with respect to Q2 2012, the rolling 
12-month
      dividend growth rate (year-on-year) was 18.1%.(4)
</pre>    Since its public listing TFG has distributed or declared a cumulative
amount of
approximately $2.01 per share via quarterly dividends. In addition, TFG's NAV 
per share,
as reported each quarter, among other things, reflects value created for 
shareholders via
the repurchase of shares below NAV. During Q2 2012, TFG repurchased a total of 
1,063,825
shares at an aggregate cost of approximately $7.8 million, at an average price 
of $7.34
per share. Since the inception of the buy-back program, TFG has repurchased a 
total of
18,521,994 shares, at an aggregate cost of approximately $98.9 million, at an 
average
price of $5.34 per share. Please refer to Figure 6 and Figure 7 for a summary of
TFG's
historical NAV per share, dividend distributions, and share buy-back program.

<pre>    
    Figure 6
                   Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008
    NAV / Share     $10.08  $10.29  $10.03  $10.25  $10.44  $10.69   $9.06
    Cumulative DPS  $ 0.15  $ 0.30  $ 0.45  $ 0.60  $ 0.75  $ 0.90  $ 0.93
    (Table Continued)
                   Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010
    NAV / Share     $$5.75   $5.50   $5.71    6.47   $7.02   $7.44   $8.43
    Cumulative DPS  $ 0.96  $ 0.99  $ 1.02  $ 1.08  $ 1.14  $ 1.22  $ 1.30
    (Table Continued)
                   Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012
    NAV / Share      $9.47  $10.85  $11.52  $12.06  $12.71  $13.12  $13.75
    Cumulative DPS  $ 1.39  $ 1.48  $ 1.58  $ 1.68  $ 1.79  $ 1.89  $ 2.01
</pre>    Source: NAV per share and Cumulative DPS as per TFG's financial 
disclosures for each
relevant quarter-end date. The cumulative DPS reflect dividends announced with 
respect to
each relevant quarter. Please note that dividends announced with respect to each
quarter
are typically not distributed to shareholders until the beginning of the 
following
quarter. Please note further that the NAV per share reported as of each 
quarter-end date
excludes any shares held in treasury as of that date.

<pre>    
    Figure 7
                    Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 
2010 Q2 2010
    Quarterly # 
    of Shares 
    Repurchased 
    (in '000s)          233     732   1,000     484      94      85   1,758   
1,378   1,582
    Average Purchase 
    Price of Shares 
    Repurchased      $ 4.79  $ 5.62  $ 3.37  $ 1.60  $ 1.10  $ 1.25  $ 3.22  $ 
3.87  $ 4.67
    (Table Continued)
                            Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 
2012 Q2 2012
    Quarterly # 
    of Shares 
    Repurchased 
    (in '000s)                1,815     967     662   1,287   1,695   1,432   
1,358   1,064
    Average Purchase 
    Price of Shares 
    Repurchased              $ 4.27  $ 5.23  $ 7.25  $ 7.84  $ 6.73  $ 6.23  $ 
6.73  $ 7.34
</pre>    The Average Purchase Price of Shares Repurchased is a weighted-average
using the
number of shares repurchased each quarter and including commissions.

<pre>    
    - Performance Fee
</pre>    A performance fee of $22.5 million was accrued in Q2 2012 in 
accordance with TFG's
investment management agreement and based on a "Reference NAV" of Q1 2012. The 
hurdle rate
for the Q3 2012 incentive fee has been reset at 3.1085% (Q2 2012: 3.1160%) as 
per the
process outlined in TFG's 2011 Audited Financial Statements and in accordance 
with TFG's
investment management agreement.(5)

<pre>    
    - Investment Portfolio Performance Details:
    - CLO Portfolio Size: At the end of Q2 2012, the estimated total fair value
of
      TFG's CLO equity investment portfolio was approximately $1,177.0 million 
($1,061.6
      million of U.S. and $115.4 million of European investments), up from 
$1,160.3 million
      as of the end of the prior quarter ($1,044.1 million of U.S. and $116.2 
million of
      European investments). TFG's total indirect exposure to leveraged loans 
through its
      CLO equity investments was approximately $18.9 billion as ofthe end of Q2
2012.(6)
    - CLO Portfolio Composition: 79 transactions as of the end of Q2 2012, up 
from
      78 as of the end of the prior quarter, reflecting the closing of one new 
issue CLO
      equity investment. The number of deals in the portfolio increased to 70 
from 69 as of
      the end of the prior quarter. The number of external CLO managers remained
unchanged
      from Q1 2012, at 27.(7)
</pre><pre>    
         - CLO Collateral Performance: At the end of Q2 2012, approximately 98%
         of TFG's CLO investments were passing their junior-most O/C tests, 
weighted by
         fair value.(8)Similarly, 66 or approximately 94% were passing when 
weighted by the
         number of deals. At the end of the previous quarter, 97% of TFG's CLO 
investments
         were passing their junior-most O/C tests, weighted by fair value, or 64
and 93%
         when weighted by the number of deals.
</pre>    100% of TFG's U.S. CLOs were passing their junior-most O/C tests as of
June 30, 2012
(note that U.S. CLOs represented approximately 90% of the total fair value of 
TFG's CLO
equity investment portfolio).(9)(10) In comparison, the market-wide average of 
U.S. CLOs
estimated to be passing their junior O/C tests as of the end of Q2 2012 was 
approximately
95.8% (when measured on a percentage of deals basis).(11) Please refer to Figure
8 below
for a summary of TFG's investments' historical junior O/C test performance.

<pre>    
    Figure 8
    ALL DEALS
                    Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 
2010 Q2 2010
    Gross Cash 
    Receipts from 
    Investments 
    ($MM)           $ 118.0  $ 77.7  $ 75.6  $ 47.1  $ 31.9  $ 35.3  $ 38.4  $ 
51.1  $ 60.9
    % CLOs Passing 
    Junior-Most O/C 
    Test (# Deals)     100%    100%     95%     60%     58%     60%     68%    
80%     84%
    Cash Flows 
    from Operations 
   ($MM)             $ 90.1 $ 102.0  $ 67.5  $ 42.2  $ 36.6  $ 27.7  $ 32.5  $ 
20.5  $ 43.2
    (Table Continued)
                            Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 
2012 Q2 2012
    Gross Cash 
    Receipts from 
    Investments ($MM)        $ 71.8  $ 78.9  $ 90.9 $ 102.4 $ 105.1 $ 113.2 $ 
102.7 $ 110.0
    % CLOs Passing 
    Junior-Most O/C 
    Test (# Deals)              88%     94%     95%     96%     96%     94%    
93%     94%
    Cash Flows from 
    Operations ($MM)         $ 55.3  $ 34.8  $ 52.2  $ 30.2  $ 78.7  $ 92.8  $ 
80.7  $ 89.6
</pre>    (i) The percentage of TFG's CLOs passing their junior-most O/C tests 
has been
calculated as the ratio of the number of deals passing their junior O/C tests to
the total
number of CLO deals held by TFG as of the applicable quarter-end date.

    (ii) Gross Cash Receipts from Investments refer to the actual cash receipts
collected
during each quarter from TFG's CLO investments. Cash Flows from Operations refer
to cash
inflows from investments less expenses and net cash settlements on FX and credit
hedges.

<pre>    
    - CLO Portfolio Credit Quality: The weighted-average WARF across all of
      TFG's CLO equity investments stood at approximately 2,578 as of the end of
Q2 2012.
      Each of these foregoing statistics represents a weighted-average summary 
of all of our
      70 deals.(12) Each individual deal's metrics will differ from these 
averages and vary
      across the portfolio.
</pre><pre>    
                                     Q2     Q1     Q4     Q3     Q2     Q1     
Q4
    ALL CLOs                       2012   2012   2011   2011   2011   2011   
2010
    Caa1/CCC+ or Below Obligors:  5.70%  6.20%  7.00%  7.00%  7.20%  7.60%  
8.30%
    WARF:                         2,578  2,588  2,624  2,614  2,642  2,664  
2,671

                                     Q3     Q2
    ALL CLOs                       2010   2010  Q1 2010 Q4 2009 Q3 2009 Q2 2009
    Caa1/CCC+ or Below Obligors:  9.60% 10.50%   11.10%  12.00%  12.60%  11.60%
    WARF:                         2,658  2,706    2,762   2,809   2,813   2,800

                                     Q2     Q1     Q4     Q3     Q2     Q1     
Q4
    US CLOs                        2012   2012   2011   2011   2011   2011   
2010
    Caa1/CCC+ or Below Obligors:  4.20%  4.80%  5.50%  5.50%  5.80%  6.50%  
6.90%
    WARF:                         2,491  2,504  2,533  2,522  2,542  2,591  
2,622

                                     Q3     Q2
    US CLOs                        2010   2010  Q1 2010 Q4 2009 Q3 2009 Q2 2009
    Caa1/CCC+ or Below Obligors:  7.90%  8.40%    9.40%  12.00%  12.80%  11.90%
    WARF:                         2,610  2,648    2,719   2,799   2,824   2,831
                                     Q2     Q1     Q4     Q3     Q2     Q1     
Q4 
    EUR CLOs                       2012   2012   2011   2011   2011   2011   
2010
    Caa1/CCC+ or Below Obligors: 11.60% 11.10% 12.30% 12.00% 12.30% 11.40% 
13.10%
    WARF:                         2,910  2,900  2,948  2,941  2,997  2,914  
2,837
                                     Q3     Q2
    EUR CLOs                       2010   2010  Q1 2010 Q4 2009 Q3 2009 Q2 2009
    Caa1/CCC+ or Below Obligors: 15.30% 17.40%   16.80%  15.60%  12.00%  10.80%
    WARF:                         2,817  2,898    2,907   2,845   2,779   2,696
</pre><pre>    
    - TFG and Market Default Rates: TFG's lagging 12-month corporate loan
      default rate rose marginally to 0.9% during Q2 2012, from 0.8% the prior 
quarter.(13)
      By geography, TFG's U.S. CLO equity and direct loan investments registered
a lagging
      12-month default rate of 0.6%, with European CLO equity investments at 
2.8%. By
      comparison, the lagging 12-month U.S. institutional loan default rate rose
to 1.04% by
      principal amount as of June 30, 2012, according to S&amp;P/LCD, up from 
approximately
      0.21% during the prior quarter.(14) The lagging 12-month default rate for
the S&amp;P
      European Leveraged Loan Index ("ELLI") stood 5.5% as of the end of June 
30, 2012.(15)
      Please refer to Figure 9 on the following page for a historical summary of
TFG's CLO
      equity and direct loan investments' default performance.
</pre><pre>    
    Figure 9
                    Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 
2010 Q2 2010
    TFG Trailing 
    12-Month Loan 
    Rate               1.3%    1.5%    2.5%    4.0%    5.1%    6.7%    6.5%    
4.9%    3.6%   
    S&amp;P/LCD 
    Trailing 12-Month 
    Default Rate       1.7%    1.9%    3.8%    7.8%    9.2%    9.8%    9.6%    
5.8%    4.0%
    (Table Continued)
                            Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 
2012 Q2 2012
    TFG Trailing 
    12-Month Loan Rate           2.2%  1.7%    1.1%    0.8%    0.6%    0.4%    
0.8%    0.9%
    S&amp;P/LCD Trailing 
    12-Month Default Rate        3.6%  1.9%    1.1%    0.9%    0.3%    0.2%    
0.2%    1.0%
</pre>    (i) Source: TFG as of the outlined quarter-end date. The calculation 
of TFG's lagging
12-month corporate loan default rate does not include certain underlying 
investment
collateral that was assigned a "Selective Default" rating by one or more of the
applicable
rating agencies. Such Selected Defaults are included the S&amp;P/LCD lagging 
12-month U.S.
institutional loan default rate discussed above. Furthermore, TFG's CLO equity 
and direct
loan investment portfolio includes approximately 9.1% CLOs with primary exposure
to
European senior secured loans and such loans are included in the calculation of
TFG's
corporate default rate.

    (ii) Source: S&amp;P/LCD Quarterly Review as of the outlined quarter-end 
date.

<pre>    
    - Direct Loan Investments: As of June 30, 2012, TFG owned liquid U.S. bank
      loans with an aggregate par amount of approximately $88.8 million and 
total fair value
      of $87.4 million. The size of the portfolio was reduced during the second
quarter in
      order to, among other factors, de-risk the portfolio ahead of a potential
further
      deterioration of European macroeconomic conditions on the heels of the 
Greek sovereign
      debt crisis. All positions were sold above their original purchase prices.
The
      underlying businesses performed well during the quarter, with the loan 
portfolio
      trading at approximately 98% of par compared with an average purchase 
price of 98% of
      par, and with no defaults registered in the portfolio. For the quarter, 
there were net
      realized losses of approximately $0.1 million. In addition, the portfolio
earned $1.5
      million of interest income and discount premium during the second quarter.
    - Real Estate Investments: TFG has funded a small portion of its investment
      capital commitments to GreenOak's investment projects, totaling 
approximately $8.2
      million from inception through the end of Q2 2012 to finance investments 
in Japan, the
      United States and Europe.
    - Asset Management Platform Details:
    - LCM Developments: LCM's operating results and financial performance 
remained
      strong throughout Q2 2012, with all LCM Cash Flow CLOs that were within 
their
      reinvestment periods(16) remaining current on their senior and 
subordinated management
      fees as of June 30, 2012.Taking into account all LCM-managed vehicles, the
gross
      income for Q2 2012 for LCM totaled $4.4 million. Pre-tax profit for the 
entire LCM
      business, of which TFG owns 75%, was approximately $2.1 million as of the
same period
      (2011 quarterly average of $2.1 million). TFG continues to leverage and 
benefit from
      the LCM team's expertise in the ongoing management of the company's direct
loan
      investment portfolio.
</pre><pre>    
                               LCM Asset Management Performance Snapshot
                            Q2   Q1   Q4   Q3   Q2   Q1    Q4   Q3   Q2    Q1
                           2012 2012 2011 2011 2011 2011  2010 2010 2010  2010
    Gross Fee Income ($MM) $4.4 $4.4 $4.3 $4.4 $3.9 $3.8  $3.4 $3.0 $2.9  $3.3
    Pre-tax Income ($MM)   $2.1 $2.0 $2.2 $2.2 $1.9 $1.9  $1.1 $1.4 $1.4  $1.9
</pre><pre>    
    - GreenOak Real Estate Developments: GreenOak continued to execute on its
      business growth strategy, including increasing investor commitments to its
funds. The
      company had a second closing of its Japan fund in June 2012 and also 
acquired its
      first investment for the Japan fund during the quarter. GreenOak's 
investment team is
      actively building a pipeline of interesting opportunities in the United 
States, Japan,
      and Europe, which we expect to continue to materialize over the next 
several quarters.
</pre>    We continue to seek to grow and expand our asset management businesses
and
capabilities as we further our efforts to transition the company to a broadly 
diversified
financial services firm that benefits from diverse income streams. We continue 
to review
potential market opportunities in this regard.

<pre>    
    - Loan and CLO Market Developments:
    - U.S. leveraged loan defaults up during Q2 2012, but below the historical
      average: The U.S. lagged 12-month loan default rate rose to 1.04% by 
principal amount
      as of June 30, 2012, up from 0.21% as of the end of Q1 2012.(17) Despite 
reaching a
      near-term high, the U.S. leveraged loan default rate remained below the 
historical
      average of approximately 3.4% by principal amount.(18)
    - U.S. and European repayments rise: The U.S. S&amp;P/LSTA Leveraged Loan 
Index
      repayment rate rose to 8.2% during Q2 2012, up from 7.6% in Q1 
2012.(19)Repayments
      within the S&amp;P European Leveraged Loan Index ("ELLI") rose to EUR6.0 
billion during Q2
      2012, up from EUR2.9 billion in Q1 2012.(20)
    - "Maturity wall" reduction continues: During Q2 2012, U.S. S&amp;P/LSTA 
Index
      issuers repaid or extended approximately 23.2% of loan maturities due by 
the end of
      2014, up from 21.2% in Q1 2012.(21) The majority of these reductions was 
achieved via
      repayments, with amend-to-extends and high yield bond take-outs 
constituting a smaller
      share of maturity reduction sources during the quarter.(22)
    - U.S. and Euro loan returns positive despite macro uncertainty: U.S. 
secondary
      loan prices struggled to hold-on to early gains, as the U.S. S&amp;P/LSTA
Leveraged Loan
      Index returned a modest 0.69% in Q2 2012.(23) Similarly, the S&amp;P 
European Leveraged
      Loan Index returned 0.55%, as worries about the Euro sovereign debt crisis
and
      viability of the U.S. recovery weighed on the markets.(24)
    - U.S. loan issuance down, European volumes up but still subdued: 
Institutional
      U.S. loan issuance declined to $56.6 billion in Q2 2012, down from $68.0 
billion in Q1
      2012.(25) European primary institutional loan issuance rose modestly with
EUR4.3
      billion of institutional loans issued in Q2 2012 compared with EUR3.6 
billion in Q1
      2012, but remained low by historical standards.(26)
    - U.S. CLO O/C ratios improve while European deals remain under pressure: 
During
      Q2 2012, O/C ratios of U.S. CLOs strengthened on average. According to 
Morgan Stanley,
      the median junior O/C test cushion for U.S. CLOs rose to 4.37% as of June
30, 2012(27)
      up from 4.09% as of the end of the prior quarter.(28) The median junior 
O/C test
      cushion for European CLOs, however, declined to 0.77% as of the end of Q2
2012,(29)
      down from 0.95% as of the end of Q1 2012.(30)
    - U.S. CLO debt spreads widen: Average secondary U.S. CLO debt spreads 
widened
      marginally at the end of Q2 2012 vs. the prior quarter reflecting a 
broader risk-off
      move in the capital markets.(31)
    - Primary arbitrage CLO volumes up in Q2 2012 despite challenging markets: 
U.S.
      arbitrage CLO issuance rose during Q2 2012 as 27 deals totaling $12.1 
billion were
      priced, up from $5.8 billion and 15 deals priced in Q1 2012, bringing the
YTD volume
      to $17.9 billion via 42 deals.(32) The CLO market showed resilience during
the quarter
      in the face of weakening macro conditions, rising volatility and widening
CLO
      liability spreads. Although the forward CLO pipeline is robust, the pace 
of issuance
      may decelerate during the second half as deal execution becomes more 
opportunistic,
      reflecting the unpredictability of the capital markets, volatility of CLO
and loan
      spreads, and fickle equity arbitrage.
    - U.S. CLO equity distributions remain robust: U.S. CLO equity payments 
remained
      strong during Q2 2012 thanks to low credit losses, the growing prevalence
of LIBOR
      floors, and healthy repayments which allowed managers to reinvest into 
wider spread
      and/or below par assets, among other factors.
    - Fair Value Determination for TFG's CLO Equity Investments:
    - In accordance with the valuation policies as set forth on the company's
      website, the values of TFG's CLO equity investments are determined using a
third-party
      cash flow modeling tool. The model contains certain assumption inputs that
are
      reviewed and adjusted as appropriate to factor in how historic, current 
and potential
      market developments (examined through, for example, forward-looking 
observable data)
      might potentially impact the performance of TFG's CLO equity investments.
Since this
      involves modeling, among other things, forward projections over multiple 
years, this
      is not an exercise in recalibrating future assumptions to the latest 
quarter's
      historical data.
    - Subject to the foregoing, when determining the U.S. GAAP-compliant fair 
value
      of TFG's portfolio, the company seeks to derive a value at which market 
participants
      could transact in an orderly market and also seeks to benchmark the model
inputs and
      resulting outputs to observable market data when available and 
appropriate. Please
      refer to the 2011 Annual Report for a more detailed description of the 
cash flow
      projection and discounting process.
    - Forward-looking CLO Equity Cash Flow Modeling Assumptions:
    - The Investment Manager reviews, and adjusts in consultation with TFG's 
audit
      committee, as appropriate, the CLO equity investment portfolio's modeling
assumptions
      as described above. At the end of Q2 2012, key assumptions relating to 
defaults,
      recoveries, prepayments and reinvestment prices were unchanged from the 
previous
      quarter.
    - These key average assumption variables have been summarized in the table
      below. The modeling assumptions disclosed below are a weighted average (by
U.S. dollar
      amount) of the individual deal assumptions, aggregated by geography (i.e.
U.S. and
      European). Such weighted averages may change from month to month due to 
movements in
      the amortized costs of the deals, even without changes to the underlying 
assumptions.
      Each individual deal's assumptions may differ from this geographical 
average and vary
      across the portfolio.
    - In addition to the reinvestment price, reinvestment spread and 
reinvestment
      life assumptions are also input into the model to generate an effective 
spread over
      LIBOR. Newer vintage CLOs may have a higher weighted average reinvestment
spread over
      LIBOR (as of the end of Q2 2012 385 bps for newer vintage CLOs and 274 bps
for older
      vintage CLOs) or shorter reinvestment life assumptions than older deals. 
Across the
      entire CLO portfolio, the reinvestment price assumption of 98% for the 
remainder of
      2012 for U.S. deals and 100% for European deals with their respective 
assumed
      weighted-average reinvestment spreads, generates an effective spread over
LIBOR of
      approximately 365 bps on broadly syndicated U.S. loans, 288 bps on 
European loans, and
      422 bps on middle market loans.(33)
</pre>    U.S. CLOs - Unchanged

<pre>    
           Variable                  Year              Current Assumptions
    CADR
                                                    1.0x WARF-implied default
                            2012-2013               rate (2.2%)
                                                    1.5x WARF-implied default
                            2014-2016               rate (3.3%)
                                                    1.0x WARF-implied default
                            Thereafter              rate (2.2%)
    Recovery Rate
                            Until deal maturity     73%
    Prepayment Rate
                                                    20.0% p.a. on loans; 0.0%
                            Until deal maturity     on bonds
    Reinvestment Price
                            2012                    98%
                            Thereafter              100%
           Variable                  Year              Current Assumptions
    CADR
                                                    1.5x WARF-implied default
                            2012-2014               rate (3.1%)
                                                    1.0x WARF-implied default
                            Thereafter              rate (2.1%)
    Recovery Rate
                            Until deal maturity     68%
    Prepayment Rate
                                                    20.0% p.a. on loans; 0.0%
                            Until deal maturity     on bonds
    Reinvestment Price
                            Until deal maturity     100%
</pre><pre>    
    - Application of Discount Rate to Projected CLO Equity Cash Flows and ALR:
    - In determining the applicable rates to use to discount projected cash 
flows,
      an analysis of observable risk premium data is undertaken. During Q2 2012
certain
      observable data and research, covering both CLO equity and debt tranches 
(including
      originally BB and BBB-rated debt tranches), suggested that risk premia on
U.S. CLO
      equity marginally increased. For example, according to Citibank research,
the spread
      on originally BB-rated tranches increased from approximately 10% at the 
end of Q1 2012
      to 11% as of June 2012.(34)
    - Although the aforementioned spreads increased marginally over the quarter,
      they continue to fluctuate within a relatively narrow range and we believe
that TFG's
      discount rates for U.S. CLOs of 20% for strong deals, and 25% for the 
others, continue
      to represent an appropriate spread over mezzanine tranches.
    - Per Citibank research, European originally BB-rated tranche yields rose to
22%
      from 21% as of June 2012, which is lower than the yield of 24% at the end
of 2011.(35)
      These spreads are still significantly above the equivalent U.S. CLO debt 
tranches and
      given the ongoing uncertainty surrounding Europe, we believe that there is
sufficient
      support to maintain TFG's differentiated discount rate for all European 
deals at 30%.
    - As a general rule, where the discount rate being applied to the future 
cash
      flows is greater than the IRR on a particular deal, the fair value for 
that deal will
      be lower than its amortized cost. The difference between these two 
figures, on an
      aggregate basis across the CLO equity portfolio, has been characterized as
the "ALR
      Fair Value Adjustment" or "ALR". Through the process described above, as 
of the end of
      Q2 2012, the total ALR stands at $109.3 million, consisting of $11.7 
million for U.S.
      deals and $97.6 million for European deals, as compared to $120.7 million
at the end
      of Q1 2012 ($16.5 million for U.S. deals and $104.2 million for European 
deals).
    - The average carrying value of TFG's U.S. CLO equity investments, which
      accounted for approximately 90.0% of the CLO equity investment portfolio 
by fair
      value, was approximately $0.77 on the dollar at the end of Q2 2012, the 
same level as
      at the end of Q1 2012.
    - The average carrying value of the European deals rose from EUR0.40 per 
Euro as
      of the end of Q1 2012 to EUR0.42 per Euro as of the end of Q2 2012. This 
reflected,
      among other things, a recovery in the O/C cushions of some European deals,
which all
      else being equal increase the value of future projected cash flows. It is
important to
      note, however, that significant dispersion of carrying values exists 
across
      transactions within each geographic grouping, particularly in the case of
Europe, with
      a range of carrying values of EUR0.06 to EUR0.62 per Euro.
    - As discussed in the 2011 Annual Report, the applicable discount rate for 
the
      new vintage deals is determined with reference to each deal's specific 
IRR, which, in
      the absence of other observable data points, is deemed to be the most 
appropriate
      indication of the current risk premium on these structures. At the end of
Q2 2012, the
      weighted average discount rate (and IRR) on these deals was 10.4%. Such 
deals
      represented approximately 11.3% of the CLO equity portfolio by fair value
(up from
      9.4% at the end of Q1 2012). We will continue to monitor observable data 
on these
      newer vintage transactions to determine whether the IRR remains the 
appropriate
      discount rate.
    - Hedging Activity:
</pre>    As of June 30, 2012, TFG had no direct credit hedges in place, but 
employed certain
foreign exchange rate and "tail risk" interest rate hedges to seek to mitigate 
its
exposure to Euro-USD foreign exchange risk and a potential significant increase
in U.S.
inflation and/or nominal interest rates, respectively. We review our hedging 
strategy on
an on-going basis as we seek to address identified risks to the extent 
practicable and in
a cost-effective manner.

<pre>    
    - Directors' Statements:
</pre>    The Directors of TFG confirm that (i) this Performance Report 
constitutes the TFG
management review for the six month period ended 30 June 2012 and contains a 
fair review
of that period and (ii) the financial statements in the accompanying unaudited 
interim
report for the six month period ended 30 June 2012 for TFG have been prepared in
accordance with applicable laws and in conformity with accounting principles 
generally
accepted in the United States of America.

<pre>    
    - Summary and Outlook:
</pre>    TFG posted strong results during Q2 2012 and cash generation from the
CLO portfolio
remained robust. The U.S. CLO portfolio, which continues to benefit from, among
other
things, high spread reinvestment opportunities and low default rates (each of 
which have
yet to revert to more normalized levels), drove NAV appreciation. In particular,
pre-2010
vintage U.S. CLOs have also benefitted from their historically low cost of 
funding
compared to newer vintage deals. Cash flow from our CLO equity investments has 
allowed for
capital distributions through the dividend and the ongoing share buyback 
program.

    TFG's asset management businesses also performed well and added AUM during 
the
quarter. We successfully closed LCM XI, a $486.0 million CLO. TFG invested 
approximately
$22.7 million in the deal, with the remainder of the capital coming from 
third-party
investors. GreenOak, TFG's real estate management business, also added assets, 
with total
assets under management ending the quarter at over $1.7 billion.

    The regulatory and tax landscape continues to evolve and we are monitoring
developments to assess their impact on TFG, including the impact of the Foreign
Account
Tax Compliance Act ("FACTA"), a U.S. tax regulation. Unfortunately, FATCA was 
not drafted
with the CLO product in mind and accordingly, its application to CLOs remains 
unclear. We
believe, however, that TFG and LCM will be able to avail themselves of certain 
FATCA
provisions to alleviate its impact. We will continue to closely monitor the 
regulatory and
tax environment as it relates to CLOs and securitizations.

    Although Europe's macroeconomic woes continue to provide headwinds, we are 
optimistic
on the performance outlook for TFG. We believe the new issue CLO market may be 
conducive
throughout the remainder of the year to new deals managed by well-established 
managers,
such as LCM. This may serve to benefit both our investment portfolio, by 
allowing us to
replace amortizing assets, and our CLO management business, by growing 
fee-paying
third-party assets under management. As we have stated in the past, we remain 
focused on
growing the company's asset management business as we believe this may create 
value for
the company's shareholders by strengthening and diversifying TFG's income 
streams.

<pre>    
    - Quarterly Investor Call:
</pre>    We will host a conference call for investors on August 8, 2012 at 
15:00 GMT/16:00
CET/10:00 EST to discuss Q2 2012 results and to provide a company update.

    The conference call may be accessed by dialing +44(0)20-7162-0025 and 
+1-334-323-6201
(a passcode is not required). Participants may also register for the conference
call in
advance via the following link
https://eventreg1.conferencing.com/webportal3/reg.html?Acc=247751&amp;Conf=18455
7

    Additional call details are as follows:

    Event title: Tetragon Investor Call

    Conference ID: 920147

    Moderator: David Wishnow

    A replay of the call will be available for 30 days by dialing 
+44(0)20-7031-4064 and
+1-954-334-0342, conference ID 920147 and as an MP3 recording on the TFG 
website.

<pre>    
    Expected Upcoming Events         Date
    Q2 2012 Ex-Dividend Date         August 1, 2012
    Q2 2012 Dividend Record Date     August 3, 2012
    Quarterly Investor Call          August 8, 2012
    July 2012 Monthly Report         August 20, 2012 (approx)
    Q2 2012 Dividend Payment Date    August 27, 2012
</pre><pre>    
                                      TETRAGON FINANCIAL GROUP
                                        Financial Highlights
                                                                               
        
                                               Q2 2012          Q1 2012        
 Q4 2011
    Net income ($MM)                             $79.2            $53.4        
   $80.3
    EPS ($)                                      $0.69            $0.46        
   $0.69
    CLO Cash receipts ($MM) (1)                 $110.0           $102.6        
  $113.2
    CLO Cash receipts per share ($)              $0.96            $0.89        
   $0.97
    Net cash balance ($MM)                      $299.1           $224.8        
  $211.5
    Net assets ($MM)                          $1,570.3         $1,510.1        
$1,474.4
    Number of shares 
    outstanding (million) (2)                    114.2            115.1        
   116.0
    NAV per share ($)                           $13.75           $13.12        
  $12.71
    DPS ($)                                     $0.115           $0.105        
  $0.105
    Weighted average IRR on 
    completed transactions (%)                   17.6%            17.5%        
   17.6%
    Number of CLO investments (3)                   79               78        
      77
    ALR Fair Value Adjustment ($MM)            ($109.3)         ($120.7)       
 ($128.7)
    (Table Continued)
                                                                          
Quarerly
                                              Q3 2011  Q2 2011  Q1 2011   
Average
    Net income ($MM)                            $67.3    $88.1   $174.7     
$90.5
    EPS ($)                                     $0.57    $0.74    $1.46     
$0.77
    CLO Cash receipts ($MM) (1)                $105.1   $102.4    $90.9    
$104.0
    CLO Cash receipts per share ($)             $0.89    $0.86    $0.76     
$0.89
    Net cash balance ($MM)                     $155.6    $67.7   $147.0    
$184.3
    Net assets ($MM)                         $1,413.6 $1,368.3 $1,298.0  
$1,439.1
    Number of shares 
    outstanding (million) (2)                   117.2    118.8    119.6     
116.8
    NAV per share ($)                          $12.06   $11.52   $10.85    
$12.34
    DPS ($)                                     $0.10    $0.10    $0.09     
$0.10
    Weighted average IRR on 
    completed transactions (%)                  16.8%    16.3%    15.8%     
16.9%
    Number of CLO investments (3)                  75       75       74        
76
    ALR Fair Value Adjustment ($MM)           ($118.0) ($133.8) ($155.7)  
($127.7)
    (1) Gross cash receipts from CLO portfolio.
    (2) Excludes shares held in treasury.
    (3) Excludes CDO-squared and ABS CDO transactions written off in October 
2007. 
        TFG continues to hold the economic rights to 3 of these written-off 
transactions.
</pre><pre>    
                                  TETRAGON FINANCIAL GROUP
                     Quarterly Statement of Operations as at 30 Jun 2012
                                                               Q2     Q1     Q4
    Q3
                                                              2012   2012   2011
  2011
                     Statement of Operations                 ($MM)  ($MM)  ($MM)
 ($MM)
    Interest income                                           58.3   57.5   55.1
  53.6
    CLO management fee income                                  4.4    4.4    4.3
   4.4
    Other income                                               1.8    1.3    2.9
   0.8
    Investment income                                         64.5   63.2   62.3
  58.8
    Management and performance fees                          (28.3) (19.5) 
(28.6) (24.3)
    Admin / custody and other fees                            (4.6)  (4.8)  
(7.6)  (9.0)
    Total operating expenses                                 (32.9) (24.3) 
(36.2) (33.3)
    Net investment income                                     31.6   38.9   26.1
  25.5
    Net change in unrealised appreciation in investments      52.1   16.2   58.5
  50.5
    Realised (loss) / gain on investments                     (0.1)   0.1    0.3
     -
    Realised and unrealised losses from hedging and fx        (2.9)  (0.7)  
(3.3)  (7.1)
    Net realised and unrealised gains from investments and fx 49.1   15.6   55.5
  43.4
    Income taxes                                              (1.0)  (0.6)  
(0.7)  (1.1)
    Noncontrolling interest                                   (0.5)  (0.5)  
(0.6)  (0.5)
    Net increase in net assets from operations                79.2   53.4   80.3
  67.3
</pre><pre>    
                      TETRAGON FINANCIAL GROUP
                   Balance Sheet as at 30 Jun 2012
                                                          Jun-12
                                                            $MM
    Assets
    Investments in securities, at fair value              1,284.1
    Intangible assets - CLO management contracts              0.1
    Cash and cash equivalents                               299.1
    Amounts due from brokers                                  6.6
    Derivative financial assets - interest rate swaptions     4.1
    Amounts receivable on sale of investments                 2.0
    Derivative financial assets - forward contracts           4.5
    Other receivables                                         2.9
    Total Assets                                          1,603.4
    Liabilities
    Other payables and accruals                              26.9
    Amounts payable on Treasury Shares                        0.7
    Amounts payable on Share Options                          2.7
    Income and deferred tax payable                           2.4
    Total Liabilities                                        32.7
    Net Assets Before Noncontrolling Interest             1,570.7
    Noncontrolling interest                                   0.4
    Total Equity Attributable to TFG                      1,570.3
</pre><pre>    
                             TETRAGON FINANCIAL GROUP
             Statement of Cash Flows for the period ended 30 Jun 2012
                                                                       Jun-12
                                                                      $MM (YTD)
    Operating Activities
    Operating cash flows before movements in working capital after
    dividends paid to Guernsey feeder                                     172.6
    Change in payables/receivables                                         (2.3)
    Cash flows from operating activities                                  170.3
    Investment Activities
    Amounts payable for purchase of investments                             0.0
    Proceeds on sales of investments
    - Proceeds sale of CLOs                                                 0.2
    - Proceeds from the sale of Bank Loans                                 32.3
    Purchase of investments
    - Purchase of CLO Equity                                              (65.0)
    - Purchase of CLO Mezz                                                 (1.1)
    - Purchase of bank loans                                              (34.3)
    - Investments in Real Estate                                           (5.8)
    - Investments in Asset Managers                                        (2.7)
    Maturity and prepayment of investments                                 21.7
    Cash flows from operating and investing activities                    115.6
    Amounts due from broker                                                 9.3
    Net Purchase of shares                                                (12.3)
    Dividends paid to shareholders                                        (24.2)
    Distributions paid to noncontrolling interest                          (0.7)
    Cash flows from financing activities                                  (27.9)
    Net increase in cash and cash equivalents                              87.8
    Cash and cash equivalents at beginning of period                      211.5
    Effect of exchange rate fluctuations on cash and cash equivalents      (0.2)
    Cash and cash equivalents at end of period                            299.1
</pre><pre>    
                                 Tetragon Financial Group Limited (TFG)
                                           CLO Portfolio Details
                                            As of June 30, 2012
                                                                               
  Original
                                    Original     Deal            End of Wtd Avg
  Cost of
                                  Invest. Cost  Closing  Year of  Reinv Spread 
   Funds
    Transaction         Deal Type  ($MM USD)(1)  Date   Maturity Period (bps)(2)
 (bps)(3)
    Transaction 1          EUR CLO 37.5            2007     2024   2014 320    
 55       
    Transaction 2          EUR CLO 29.7            2006     2023   2013 368    
 52   
    Transaction 3          EUR CLO 22.2            2006     2022   2012 374    
 58     
    Transaction 4          EUR CLO 33.0            2007     2023   2013 381    
 48  
    Transaction 5          EUR CLO 36.9            2007     2022   2014 371    
 60
    Transaction 6          EUR CLO 33.3            2006     2022   2012 360    
 51  
    Transaction 7          EUR CLO 38.5            2007     2023   2013 373    
 46   
    Transaction 8          EUR CLO 26.9            2005     2021   2011 345    
 53  
    Transaction 9          EUR CLO 41.3            2007     2023   2013 364    
 50  
    Transaction 10         EUR CLO 27.0            2006     2022   2012 348    
 50    
    EUR CLO Subtotal:              326.3                                360    
 52 
    Transaction 11          US CLO 20.5            2006     2018   2012 359    
 45  
    Transaction 12          US CLO 22.8            2006     2019   2013 367    
 46  
    Transaction 13          US CLO 15.2            2006     2018   2012 389    
 47 
    Transaction 14          US CLO 26.0            2007     2021   2014 392    
 49  
    Transaction 15          US CLO 28.1            2007     2021   2014 433    
 52 
    Transaction 16          US CLO 23.5            2006     2020   2013 418    
 46 
    Transaction 17          US CLO 26.0            2007     2021   2014 357    
 40 
    Transaction 18          US CLO 16.7            2005     2017   2011 347    
 45  
    Transaction 19          US CLO 1.2             2005     2017   2011 347    
 45  
    Transaction 20          US CLO 26.6            2006     2020   2012 443    
 52  
    Transaction 21          US CLO 20.7            2006     2020   2012 421    
 53 
    Transaction 22          US CLO 37.4            2007     2021   2014 446    
 53 
    Transaction 23          US CLO 19.9            2007     2021   2013 374    
 66 
    Transaction 24          US CLO 16.9            2006     2018   2012 368    
 46  
    Transaction 25          US CLO 20.9            2006     2018   2013 388    
 46  
    Transaction 26          US CLO 27.9            2007     2019   2013 393    
 43   
    Transaction 27          US CLO 23.9            2007     2021   2014 534    
 51   
    Transaction 28          US CLO 7.6             2007     2021   2014 534    
 51  
    Transaction 29          US CLO 19.1            2005     2018   2011 437    
 66    
    Transaction 30          US CLO 12.4            2006     2018   2012 475    
 67    
    Transaction 31          US CLO 9.3             2005     2017   2012 339    
 52  
    Transaction 32          US CLO 24.0            2007     2021   2014 338    
 59  
    Transaction 33          US CLO 16.2            2006     2020   2012 360    
 56     
    Transaction 34          US CLO 22.2            2006     2020   2012 381    
 50 
    Transaction 35          US CLO 23.6            2006     2018   2012 447    
 52  
    Transaction 36          US CLO 28.4            2007     2021   2013 447    
 46  
    Transaction 37          US CLO 9.3             2005     2017   2011 331    
 50   
    Transaction 38          US CLO 23.7            2007     2021   2013 338    
 42   
    Transaction 39          US CLO 7.8             2005     2017   2011 364    
 70    
    Transaction 40          US CLO 13.0            2006     2020   2011 412    
 39    
    Transaction 41          US CLO 22.5            2006     2020   2013 367    
 48  
    Transaction 42          US CLO 22.4            2007     2021   2014 402    
 47    
    Transaction 44          US CLO 22.3            2006     2018   2012 320    
 54 
    Transaction 45          US CLO 23.0            2006     2018   2012 313    
 46  
    Transaction 46          US CLO 21.3            2007     2019   2013 363    
 51
    Transaction 47          US CLO 28.3            2006     2021   2013 348    
 47 
    Transaction 48          US CLO 23.0            2006     2019   2013 358    
 46 
    Transaction 49          US CLO 12.6            2005     2017   2011 336    
 40
    Transaction 50          US CLO 12.3            2006     2018   2012 343    
 40 
    Transaction 51          US CLO 18.0            2007     2020   2013 388    
 53    
    Transaction 52          US CLO 0.3             2003     2015   2008 294    
 93  
    Transaction 53          US CLO 0.6             2004     2016   2011 312    
 61 
    Transaction 54          US CLO 0.5             2005     2017   2012 337    
 56 
    Transaction 55          US CLO 0.3             2005     2017   2011 352    
 39  
    Transaction 56          US CLO 23.0            2007     2019   2014 378    
 42  
    Transaction 57          US CLO 0.6             2007     2019   2014 378    
 42   
    Transaction 58          US CLO 21.8            2007     2019   2014 381    
 49
    Transaction 59          US CLO 0.4             2007     2019   2014 381    
 49  
    Transaction 60          US CLO 18.8            2010     2021   2014 417    
 198  
    Transaction 61          US CLO 29.1            2007     2021   2014 337    
 45   
    Transaction 62          US CLO 25.3            2007     2020   2013 374    
 42   
    Transaction 63          US CLO 27.3            2007     2021   2013 383    
 53 
    Transaction 64          US CLO 15.4            2007     2021   2013 446    
 38 
    Transaction 65          US CLO 26.9            2006     2021   2013 374    
 47  
    Transaction 66          US CLO 21.3            2006     2020   2013 342    
 49    
    Transaction 67          US CLO 27.3            2007     2022   2014 347    
 46 
    Transaction 68          US CLO 19.3            2006     2020   2013 439    
 48  
    Transaction 69          US CLO 28.2            2007     2019   2013 411    
 44 
    Transaction 70          US CLO 24.6            2006     2020   2013 320    
 52  
    Transaction 71          US CLO 1.7             2006     2018   2012 343    
 40   
    Transaction 72          US CLO 4.8             2007     2019   2014 378    
 42   
    Transaction 73          US CLO 1.9             2007     2019   2014 378    
 42  
    Transaction 74          US CLO 5.5             2007     2019   2014 381    
 49   
    Transaction 75          US CLO 32.7            2011     2022   2014 415    
 168  
    Transaction 76          US CLO 1.9             2006     2018   2012 313    
 46    
    Transaction 77          US CLO 14.5            2011     2023   2016 391    
 212  
    Transaction 78          US CLO 22.9            2012     2023   2015 474    
 217 
    Transaction 79          US CLO 19.4            2012     2022   2015 449    
 215  
    Transaction 80          US CLO 22.7            2012     2022   2016 404    
 185
    US CLO Subtotal:               1,235.3                              390    
 64    
    Total CLO Portfolio:           1,561.5                              384    
 62  
    (Table Continued)
                 Current Current Jr- Jr-Most O/C    Annualized            ITD 
Cash
                Cost of Funds    Most O/C  Cushion at   (Loss) Gain         
Received as
    Transaction   (bps)(4)  Cushion(5)    Close(6) of Cushion(7) IRR(8) % of 
Cost(9)
    Transaction 1  58            (2.78%)           3.86%       (1.33%)      -  
     29.6%
    Transaction 2  53            0.93%             3.60%       (0.48%)   9.9%  
     52.2%
    Transaction 3  63            2.59%             5.14%       (0.39%)  12.8%  
     94.1%
    Transaction 4  47            3.63%             5.76%       (0.40%)  13.9%  
     74.1%
    Transaction 5  60            2.70%             5.74%       (0.62%)   8.4%  
     50.8%
    Transaction 6  58            0.25%             4.70%       (0.73%)   6.5%  
     49.7%
    Transaction 7  46            (1.65%)           3.64%       (1.01%)   4.7%  
     31.9%
    Transaction 8  56            (1.74%)           4.98%       (0.98%)  10.3%  
     87.1%
    Transaction 9                1.34%             6.27%       (0.94%)   7.7%  
     32.8%
    Transaction 10 52            (2.06%)           4.54%       (1.12%)   7.1%  
     32.7%
    EUR CLO 
    Subtotal:      53            0.30%       4.84%       (0.82%)               
     50.7%
    Transaction 11 45            5.40%             4.55%         0.15%  20.7%  
    140.7%
    Transaction 12 46            5.59%             4.45%         0.20%  20.8%  
    135.4%
    Transaction 13 47            6.32%             4.82%         0.25%  21.2%  
    147.0%
    Transaction 14 50            4.36%             5.63%       (0.24%)  18.5%  
    111.6%
    Transaction 15 48            3.48%             4.21%       (0.15%)  28.6%  
    159.5%
    Transaction 16 45            3.32%             4.44%       (0.19%)  20.9%  
    142.0%
    Transaction 17 40            4.63%             4.24%         0.07%  22.9%  
    136.5%
    Transaction 18 46            5.98%             4.77%         0.18%  19.4%  
    158.3%
    Transaction 19 46            5.98%             4.77%         0.18%  23.2%  
    152.5%
    Transaction 20 52            3.98%             5.28%       (0.23%)  22.0%  
    155.8%
    Transaction 21 52            3.26%             4.76%       (0.25%)  18.6%  
    129.7%
    Transaction 22 53            3.24%             5.00%       (0.33%)  21.1%  
    121.8%
    Transaction 23 66            3.66%             4.98%       (0.26%)  20.4%  
    130.3%
    Transaction 24 47            5.18%             4.17%         0.17%  17.1%  
    111.9%
    Transaction 25 46            6.05%             4.13%         0.35%  22.1%  
    137.9%
    Transaction 26 44            4.04%             4.05%       (0.00%)  18.9%  
    110.6%
    Transaction 27 51            12.14%            6.11%         1.10%  32.1%  
    178.9%
    Transaction 28 51            12.14%            6.11%         1.10%  42.0%  
     97.1%
    Transaction 29 84            4.05%             4.82%       (0.12%)  18.9%  
    146.5%
    Transaction 30 68            1.92%             5.16%       (0.54%)  18.3%  
    118.7%
    Transaction 31 50            3.38%             5.02%       (0.23%)  16.3%  
    151.9%
    Transaction 32 59            4.35%             5.57%       (0.25%)  20.0%  
    115.0%
    Transaction 33 72            4.42%             6.99%       (0.41%)  14.6%  
    123.0%
    Transaction 34 50            4.85%             6.66%       (0.33%)  18.6%  
    123.8%
    Transaction 35 52            2.07%             5.00%       (0.49%)  21.1%  
    147.4%
    Transaction 36 56            2.19%             5.18%       (0.57%)  20.1%  
    118.4%
    Transaction 37 59            5.17%             4.34%         0.12%  15.8%  
    137.1%
    Transaction 38 42            3.92%             5.07%       (0.22%)  26.8%  
    158.6%
    Transaction 39 86            3.62%             3.15%         0.07%   9.8%  
     80.7%
    Transaction 40 40                    N/A         N/A           N/A  22.3%  
    152.8%
    Transaction 41 49            4.66%             4.71%       (0.01%)  21.4%  
    141.6%
    Transaction 42 48            4.95%             3.92%         0.20%  21.1%  
    117.9%
    Transaction 44 59            2.22%             4.16%       (0.32%)  12.5%  
    103.4%
    Transaction 45 46            2.61%             4.46%       (0.33%)  10.5%  
     82.0%
    Transaction 46 51            2.86%             4.33%       (0.29%)  10.0%  
     66.9%
    Transaction 47 43            3.62%             4.34%       (0.13%)  21.0%  
    140.4%
    Transaction 48 46            2.79%             5.71%       (0.52%)  16.6%  
    100.9%
    Transaction 49 40            2.55%             3.94%       (0.21%)  12.4%  
     99.3%
    Transaction 50 39            2.81%             4.25%       (0.24%)  13.1%  
     95.5%
    Transaction 51 53            4.29%             4.47%       (0.04%)  20.9%  
    125.5%
    Transaction 52 470           14.11%            3.20%         1.20% 278.6%  
    681.4%
    Transaction 53 78            12.57%            4.00%         1.12%  37.2%  
    272.1%
    Transaction 54 57            5.21%             3.69%         0.21%  59.6%  
    675.9%
    Transaction 55 41            5.21%             3.59%         0.23%  63.3%  
    629.3%
    Transaction 56 42            4.78%             4.53%         0.05%  22.8%  
    137.2%
    Transaction 57 42            4.78%             4.53%         0.05%  48.9%  
    643.9%
    Transaction 58 49            3.72%             4.04%       (0.06%)  25.0%  
    140.6%
    Transaction 59 49            3.72%             4.04%       (0.06%)  52.6%  
    882.5%
    Transaction 60 198           4.61%             4.50%         0.06%  11.0%  
     19.4%
    Transaction 61 45            2.92%             4.04%       (0.22%)  16.8%  
     95.1%
    Transaction 62 42            4.22%             5.20%       (0.19%)  21.3%  
    134.6%
    Transaction 63 53            2.94%             4.78%       (0.37%)  18.0%  
    111.5%
    Transaction 64 38                    N/A         N/A           N/A  21.8%  
    102.4%
    Transaction 65 48            2.73%             4.96%       (0.40%)  13.8%  
     84.2%
    Transaction 66 49            3.71%             4.05%       (0.06%)  21.4%  
    142.3%
    Transaction 67 45            4.54%             4.38%         0.03%  20.0%  
    116.2%
    Transaction 68 48            6.37%             4.41%         0.35%  27.1%  
    170.1%
    Transaction 69 44            7.35%             5.61%         0.33%  25.8%  
    154.9%
    Transaction 70 52            6.27%             6.21%         0.01%  18.7%  
    116.8%
    Transaction 71 39            2.81%             4.25%       (0.24%)  26.2%  
     49.3%
    Transaction 72 42            4.78%             4.53%         0.05%  20.3%  
     40.8%
    Transaction 73 42            4.78%             4.53%         0.05%  20.3%  
     40.8%
    Transaction 74 49            3.72%             4.04%       (0.06%)  22.1%  
     42.4%
    Transaction 75 168           4.42%             4.05%         0.37%  12.6%  
     18.9%
    Transaction 76 46            2.61%             2.43%         0.03%  44.1%  
     31.6%
    Transaction 77 212           5.26%             5.04%         0.41%  10.3%  
      0.0%
    Transaction 78 217           4.35%             4.00%         0.79%   9.9%  
      0.0%
    Transaction 79 215           4.18%             4.00%         0.49%   7.2%  
      0.0%
    Transaction 80 185           4.17%             4.17%       (0.00%)  10.2%  
      0.0%
    US CLO 
    Subtotal:      65            4.22%       4.63%       (0.04%)               
    114.6%
    Total CLO 
    Portfolio:     63            3.40%       4.68%       (0.20%)               
    101.2%
</pre><pre>    
                      Amount     Amount         Cushion   Cushion    Number of
               Date Maturing Amortizing       (Deficit) (Deficit) Transactions
    2010 or Earlier      0.0        0.3            0.0%     &lt;= 0%           
4
               2011      0.0      107.5            2.0%  0% to 2%            4
               2012      0.0      327.7            4.0%  2% to 4%           30
               2013      0.0      611.1            6.0%  4% to 6%           30
               2014      0.0      435.5                   Over 6%            9
               2015      0.3       42.3
               2016      0.6       37.2
               2017     57.7        0.0
               2018    189.6        0.0
               2019    181.1        0.0
               2020    253.2        0.0
               2021    440.0        0.0
               2022    221.4        0.0
               2023    180.0        0.0
               2024     37.5        0.0
               2025      0.0        0.0
               2026      0.0        0.0
</pre><pre>    
                             Tetragon Financial Group Ltd (TFG)
                                  Portfolio Composition
               Portfolio Held by Tetragon Financial Group Master Fund Limited
                                (unless otherwise stated)
                                   As of June 30, 2012
                           TFG
                          group     TFG
                   TFG     Net     group
                  Share   Market    Net                    No. of Closed CLO
                  Price    Cap     Assets                        Equity
    Report Date    ($)   ($MM)(1)  ($MM)                     Transactions
    30 June 2012  $7.37   $841.5  $1,570.3                       79 (2)
                                                                Risk     
Investment
                                                              Capital    Fair 
Value
    Capital Allocation by Asset Class                        Allocation 
($MM)(2,3,4)
    Broadly Syndicated Senior Secured Loans: US                76.4%       
$966.1
    Broadly Syndicated Senior Secured Loans: Europe             9.1%       
$115.4
    Middle Market Senior Secured Loans: US                     14.5%       
$182.9
                                                    Total      100.0%     
$1,264.4
    
                                                                     Asia
    Geographic Allocation by Asset Class               USA   Europe Pacific 
Total
    Broadly Syndicated Senior Secured Loans           89.3%  10.7%   0.0%   
100.0%
    Middle Market Senior Secured Loans               100.0%   0.0%   0.0%   
100.0%
                                                      90.9%   9.1%   0.0%   
100.0%
    
                                                         Bank Loan
    Top 15 Underlying Bank Loan Credits                 Exposure (5)
    Univision Communications                               0.95%
    First Data Corp                                        0.89%
    HCA Inc                                                0.89%
    Community Health                                       0.78%
    Las Vegas Sands                                        0.73%
    UPC Broadband                                          0.73%
    Federal-Mogul                                          0.72%
    Charter Communications                                 0.69%
    Aramark Corp                                           0.69%
    Sabre Holdings Corp                                    0.68%
    Cablevision Systems Corp                               0.68%
    Huntsman ICI                                           0.60%
    Reynolds Group                                         0.60%
    Royalty Pharma                                         0.58%
    Asurion Corp                                           0.57%
</pre>    EUR-USD FX: 1.27
(1) Calculated using TFG shares outstanding (net of 10.0 million shares held in
treasury
and 8.5 million shares held by a subsidiary) and month end exchange price. (2) 
Excludes
CDO-squared and ABS CDO transactions which were written off in October 2007. TFG
continues
to hold the economic rights to 3 of these written-off transactions. Excludes 
TFG's
investments in CLO mezzanine tranches. (3) Excludes TFG's investments in LCM 
Asset
Management LLC, GreenOak Real Estate LP and GreenOak related funds or 
investments, and CLO
mezzanine tranches. (4) Equivalent to Investment in Securities at Fair Value in
the US
GAAP Financial Statements. (5) Includes par amount of loans held directly by TFG
and also
loan exposures via TFG's CLO equity tranche investments. With respect to CLO 
equity
tranche investments, 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.
All calculations are net of any single name CDS hedges held against that credit.

    An investment in TFG involves substantial risks. Please refer to the 
Company's website
at http://www.tetragoninv.com for a description of the risks and uncertainties
pertaining to an investment in TFG.

    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 ("FMSA") as a collective investment 
scheme from a
designated country. This release constitutes regulated information 
("gereglementeerde
informatie") within the meaning of Section 1:1 of the FMSA.

<pre>    

    Board of Directors
    Paddy Dear                  Reade Griffith             Byron Knief*        
                 
    Rupert Dorey*               David Jeffreys*            Greville Ward*      
       
    *Independent Director
    Shareholder Information
    Registered Office of TFG and the Master Fund        Issuing Agent, Dutch 
Paying and
    Tetragon Financial Group Limited                    Transfer Agent        
    Tetragon Financial Group Master Fund Limited        Kas Bank N.V.
    1st Floor Dorey Court                               Spuistraat 172
    Admiral Park                                        1012 VT Amsterdam, The 
Netherlands
    St. Peter Port, Guernsey
    Channel Islands GYI 6HJ                             Legal Advisor (as to 
U.S. law)
                                                        Cravath, Swaine &amp; 
Moore LLP        
    Investment Manager                                  One Ropemaker Street
    Tetragon Financial Management LP                    London EC2Y 9HR
nd&lt;/SUP&gt; Floor                         United Kingdom
    New York, NY 10022                            
    United States of America                            Legal Advisor (as to 
Guernsey law)
                                                        Ogier
    General Partner of Investment Manager               Ogier House
    Tetragon Financial Management GP LLC                St. Julian's Avenue
nd&lt;/SUP&gt; Floor                         St. Peter Port, Guernsey
    New York, NY 10022                                  Channel Islands GYI 1WA
    United States of America                                    
                                                        Legal Advisor (as to 
Dutch law)
    Investor Relations                                  De Brauw Blackstone 
Westbroek N.V.
    David Wishnow / Yuko Thomas                         Claude Debussylaan 80
[email protected] &lt;/FONT&gt;                                  1082 MD 
Amsterdam, The Netherlands
    Press Inquiries                                     Stock Listing
    Brunswick Group                                     NYSE Euronext in 
Amsterdam
    Andrew Garfield/Gill Ackers/Pip Green                    
[email protected]&lt;/FONT&gt;                         Administrator 
and Registrar    
                                                        State Street Guernsey 
Limited
st&lt;/SUP&gt; Floor Dorey Court
    KPMG Channel Islands Ltd                            Admiral Park           
    
    20 New Street                                       St. Peter Port, Guernsey
   
    St. Peter Port, Guernsey                            Channel Islands GYI 6HJ
    Channel Islands GYI 4AN    
                    
    Sub-Registrar and Transfer Agent                                  
    Computershare                
    One Wall Street                                                            
           
    New York, NY 10286                                                
    United States of America
</pre>    ENDNOTES

    (1) TFG invests substantially all its capital through a master fund, 
Tetragon
Financial Group Master Fund Limited ("TFGMF"), in which it holds 100% of the 
issued
shares. In this report, unless otherwise stated, we report on the consolidated 
business
incorporating TFG and TFGMF. References to "we" are to Tetragon Financial 
Management LP,
TFG's investment manager.

    (2) The LCM I, LCM II, LCM III, LCM IV, LCM V, LCM VI, LCM VIII, LCM IX, LCM
X, and
LCM XI CLOs are referred to as the "LCM Cash Flow CLOs." The LCM VII CLO was a 
market
value CLO previously managed by LCM, which was liquidated commencing in 2008, 
and is not
included in the mentioned statistics. In addition, these statistics do not 
include the
performance of certain transactions that were developed and previously managed 
by a
third-party prior to being assigned to LCM, some of which continue to be managed
by LCM.

    (3) All of the LCM Cash Flow CLOs were current on their senior and 
subordinated
management fees except for LCM I, which is significantly beyond its reinvestment
period
and has experienced material de-leveraging.

    (4) The rolling 12-month dividend growth rate is calculated by dividing the
sum of the
dividends per share distributed or declared over the last 12 months by the 
dividends per
share distributed or declared over the prior 12 months, less one.

    (5)The hurdle rate is reset each quarter using 3M USD LIBOR plus a spread of
2.647858%
in accordance with TFG's investment management agreement. Please see the TFG 
website,
http://www.tetragoninv.com, for more details.

    (6) Includes only look-through loan exposures through TFG's CLO equity 
investments.

    (7) Excludes CDO-squared and ABS CDO transactions which were written off in
October
2007. TFG continues to hold the economic rights to three of these written-off
transactions. (8) Based on the most recent trustee reports available for both 
our U.S. and
European CLO investments as of June 30, 2012.

    (9) As of June 30, 2012, European CLOs represented approximately 10% of 
TFG's CLO
equity investment portfolio; approximately 76% of the fair value of TFG's 
European CLOs
and 60%, when measured as a percentage of the total number of European deals, 
were passing
their junior-most O/C tests.

    (10) As O/C tests are breached, CLO structures may divert excess interest 
cash flows
away from the equity tranche holders, such as TFG, to pay down the CLO's debt 
thereby
curing the O/C breach via deleveraging. Accordingly, the affected investments 
ceased to
generate cash flows to TFG or are expected to cease generating cash flows on the
next
applicable payment date. Once enough debt has been repaid to cure the O/C test 
breach,
distributions of excess interest cash to equity holders may resume to the extent
not
precluded by the investments' realized or unrealized losses.

    (11) Morgan Stanley CLO Market Tracker, July 10, 2012; based on a sample of
481 U.S.
CLO transactions.

    (12) Weighted by the original USD cost of each investment.

    (13) The calculation of TFG's lagging 12-month corporate loan default rate 
does not
include certain underlying investment collateral that was assigned a "Selective
Default"
rating by one or more of the applicable rating agencies. Such Selected Defaults
are
included the S&amp;P/LCD lagging 12-month U.S. institutional loan default rate 
discussed
above. Furthermore, TFG's CLO equity and direct loan investment portfolio 
includes
approximately 9.1% CLOs with primary exposure to European senior secured loans 
and such
loans are included in the calculation of TFG's corporate default rate.

    (14) S&amp;P/LCD News, "Leveraged loan default rate by number hits 11-month
high in June,"
July 2, 2012.

    (15) S&amp;P/LCD News, "(EUR) S&amp;P ELLI: Default rate climbs to 5.5% in 
June, "July 9,
2012. The ELLI default rate is calculated by defining "default" as (a) an event
of
default, such as a D public rating, a D credit estimate, a missed interest or 
principal
payment, or a bankruptcy filing; or (b) the beginning stages of formal 
restructuring, such
as the start of negotiations between the company and lenders, or hiring of 
financial
advisors.

    (16) All of the LCM Cash Flow CLOs were current on their senior and 
subordinated
management fees except for LCM I, which is significantly beyond its reinvestment
period
and has experienced material de-leveraging.

    (17) S&amp;P/LCD News, "Leveraged loan default rate by number hits 11-month
high in June,"
July 2, 2012.

    (18) S&amp;P/LCD News, "Leveraged loan default rate by number hits 11-month
high in June,"
July 2, 2012.

    (19) S&amp;P/LSTA Leveraged Lending Review 2Q 2012.

    (20) S&amp;P/LCD News, "(EUR) Topical: European loans generate EUR9.3B in 
2Q12," July 4,
2012.

    (21) S&amp;P/LCD Quarterly Review, Second Quarter 2012.

    (22) S&amp;P/LCD Quarterly Review, Second Quarter 2012.

    (23) S&amp;P/LCD Quarterly Review, Second Quarter 2012.

    (24) S&amp;P/LCD News, "(EUR) Topical: European loans generate EUR9.3B in 
2Q12," July 4,
2012.

    (25) S&amp;P/LCD News, "Leveraged loan volume contracts in 2Q as clearing 
yields push
higher," June 29, 2012.

    (26) S&amp;P/LCD Quarterly Review, Second Quarter 2012.

    (27) Morgan Stanley CLO Market Tracker, July 10, 2012; based on a sample of
481 U.S.
CLO transactions.

    (28) Morgan Stanley CLO Market Tracker, April 4, 2012; based on a sample of
473 U.S.
CLO transactions.

    (29) Morgan Stanley CLO Market Tracker, July 10, 2012; based on a sample of
195
European CLO transactions.

    (30) Morgan Stanley CLO Market Tracker, April 4, 2012; based on a sample of
195
European CLO transactions.

    (31) Wells Fargo Structured Products Research - CLOs. "The CLO Salmagundi: 
New Capital
Rules May Benefit CLO Issuers," June 28, 2012.

    (32) Wells Fargo Structured Products Research - CLOs. "The CLO Salmagundi: 
New Capital
Rules May Benefit CLO Issuers," June 28, 2012. Issuance volumes based on 
transactions
priced, but not necessarily closed with the applicable time frame.

    (33) For U.S. broadly syndicated CLOs, and in particular deals issued 
post-2010, the
assumed reinvestment effective spread may receive an additional benefit from 
LIBOR floors,
with such benefit dependant on future LIBOR rates.

    (34) Citigroup, "Historical CLO Spreads", June 1, 2012.

    (35) Citigroup, "Historical CLO Spreads", June 1, 2012.



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