Contents. Executive Summary. TFG Overview. Key Metrics. Q in Review. TFG Balance Sheet Composition Overview. Quarterly Financial Review

Transcription

1 Performance Report First Quarter 2015

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3 Tetragon Financial Group Limited Q Report Contents Executive Summary TFG Overview Key Metrics Q in Review TFG Balance Sheet Composition Overview Quarterly Financial Review Appendices Appendix I: Certain Regulatory Information Appendix II: Fair Value Determination of TFG s CLO Equity Investments Appendix III: Additional CLO Portfolio Statistics Appendix IV: Share Reconciliation and Shareholdings Appendix V: Board of Directors 44 Further Information 45 Endnotes TFG Limited Q Financial Statements TFG Master Fund Limited Q Consolidated Financial Statements

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5 Executive Summary Tetragon Financial Group Limited ( TFG or the Company ) is a Guernsey closed-ended investment company traded on Euronext Amsterdam N.V. under the ticker symbol TFG. (1) In this report, we provide an update on TFG s results of operations for the period ending 31 March April 2015 TFG had a strong Q with an annualised Return on Equity ( RoE ) of 16.8%, ahead of the company s over the cycle target of 10-15% per annum. (2) Performance was positive for the quarter for both the balance sheet (asset returns) and TFG Asset Management or TFG AM (operating income) with net economic income before tax for the former of $73.7 million and EBITDA equivalent (3) for the latter of $18.8 million. The investment portfolio returns had a strong contribution for the quarter from investments held directly on the balance sheet. This was particularly pleasing given the performance in Q in this part of the business. In addition, the Company had some notable profits and return of cash from GreenOak Real Estate s (4) real estate investments in the quarter. On the operating, TFG AM, side of the business, the EBITDA equivalent for TFG AM grew to $18.8 million in Q1 (against $6.3 million in Q1 last year), helped by the addition of Equitix Holdings Limited ( Equitix ) (the acquisition completed on 2 February 2015), plus positive performance from the other businesses that make up TFG AM. There were good positive asset inflows across TFG AM during Q1 2015, with total Assets Under Management ( AUM ) standing at approximately $13.8 billion at 31 March (5) This is up from $11.1 billion at year end excluding Equitix. The first quarter dividend was declared at cents per share, giving 12 months rolling dividend growth of 7.8%. TFG is considering seeking admission for TFG s shares to trade on the Specialist Fund Market of the London Stock Exchange. TFG believes that the principal benefit of having this additional trading platform should be improved liquidity through (1) access to a broader investor base and (2) expanded analyst coverage. TFG would maintain its listing on Euronext in Amsterdam, a regulated market of Euronext Amsterdam N.V. ( Euronext Amsterdam ). As is the case for Euronext Amsterdam, the Specialist Fund Market is a regulated market for the purposes of the Markets in Financial Instruments Directive. There can be no assurance that TFG will decide to go ahead and seek admission or that it will be approved. Further details will be provided in due course. Tetragon Financial Group Limited Q Report 1

6 TFG Overview Tetragon Financial Group Limited ( TFG ) is a Guernsey closed-ended company traded on Euronext Amsterdam N.V. under the ticker symbol TFG that aims to provide stable returns to investors across various credit, equity, interest rate, inflation and real estate cycles. TFG s investment objective is to generate distributable income and capital appreciation. To achieve this objective, TFG s current investment strategy is: ff ff ff ff To identify attractive asset classes and investment strategies. To identify asset managers it believes to be superior. To use the market experience of the Investment Manager (6) to negotiate favourable terms for its investments. To seek to own all, or a portion, of asset management companies with which it invests in order to enhance the returns achieved on its capital. THROUGH THIS INVESTMENT STRATEGY, TFG HAS BECOME A DIVERSIFIED ALTERNATIVE ASSET MANAGEMENT BUSINESS THAT OWNS MAJORITY AND MINORITY STAKES IN ASSET MANAGERS AND USES ITS BALANCE SHEET TO INVEST IN, BUILD AND GROW THOSE BUSINESSES. The Investment Manager seeks to identify asset classes that offer excess returns relative to their investment risk, or intrinsic alpha. It analyses the risk/reward, correlation, duration and liquidity characteristics of each potential capital use to gauge its attractiveness and incremental impact on the Company. The Investment Manager then seeks to find high-quality managers who invest in these asset classes; selects or structures suitable investment vehicles that optimise risk-adjusted returns for TFG s capital; and seeks for TFG to own a share of the asset management company. TFG aims to not only produce asset level returns, but also aims to enhance these returns with profits from owning asset management businesses that derive income from external investors. Thus, TFG seeks to use its balance sheet to facilitate the growth of TFG Asset Management to help create value for TFG shareholders. Certain considerations when evaluating the viability of a potential asset manager typically include: performance track records; reputation; regulatory requirements; infrastructure needs; and asset gathering capacity. Potential profitability and scalability of the business are also important considerations. Additionally, the core capabilities, investment focus, 2 tetragoninv.com

7 TFG Overview and strategy of any new business should offer a complementary operating income stream to TFG Asset Management s existing businesses. The Investment Manager looks to mitigate potential correlated risks across TFG Asset Management s investment managers by diversifying its exposure across asset classes, investment vehicles, durations, and investor types, among other factors. TFG s permanent capital base should increase the likelihood of success for this strategy of investing in alternative asset managers and the assets they manage, as its capital is available both for supporting operations of the management businesses and for co-investing, seeding or anchoring new investment funds of the managers. In this sense, TFG is not only an investor, but also a business builder. TFG s asset management businesses can operate autonomously, or on the TFG Asset Management platform. In either case, the objective is for them to benefit from an established infrastructure, which can assist in critical business management functions such as risk management, investor relations, financial control, technology, and compliance/legal matters, while maintaining entrepreneurial independence. At 31 March 2015, TFG s global alternative asset management businesses had approximately $13.8 billion of assets under management.(7) These businesses consisted of LCM Asset Management ( LCM ), the GreenOak Real Estate ( GreenOak ) joint venture, Polygon Global Partners ( Polygon ), Equitix Holdings ( Equitix ) and Hawke s Point. Figure 1 (8) HAWKE S POINT $14B Assets Under Management 194 TFG Employees Globally Euronext Listed Tetragon Financial Group Limited Q Report 3

8 Shareholder Return The numbers below show annualised total shareholder return to 31 March 2015, defined as share price appreciation including dividends reinvested, for one year, three years, five years, and since the Company s initial public offering in April Figure 2 +2% ONE YEAR +18% THREE YEARS TM LCM is a specialist in below-investment grade U.S. senior secured leveraged loans. The business was established in 2001 and has offices in New York and London. TFG acquired 75% of LCM in 2010 and the remainder in AUM was approximately $5.8 billion at 31 March Currently, LCM manages loan assets exclusively through CLOs, which are long-term, multi-year investment vehicles. The typical duration of a CLO, and thus LCM s management fee stream, depends on, among other things, the term of its reinvestment period (currently often four years for a new issue CLO), the prepayment rate of the underlying loan assets, as well as post-reinvestment period reinvestment flexibility and weighted average life constraints. CLO managers typically earn a management fee of up to 0.50% of total assets, and a performance fee of 20% over a CLO equity IRR hurdle. Further information is available at TM +24% FIVE YEARS GreenOak is a real estate-focused principal investing, lending and advisory firm that seeks to create longterm value for its investors and provide strategic advice to its clients. The business was established in 2010 as a joint venture with TFG and has a presence in New York, London, Tokyo, Los Angeles, Luxembourg, Madrid, Munich, and Seoul. TFG owns 23% of the business and carries it at fair value. +7% FROM IPO APRIL 2007 Source: Bloomberg TRA function AUM was approximately $4.6 billion at 31 March GreenOak currently has funds with investments focused on the United States, Japan, Spain, and the United Kingdom. Funds are typically structured with management fees of 2% and carried interest over a preferred return. The funds generally have a multi-year investment period, with a fund term of seven years after the final close, with possible extensions subject to certain approvals. Further information is available at 4 tetragoninv.com

9 TFG Overview TM Polygon manages open-ended hedge fund and private equity vehicles across a number of strategies. Polygon was established in 2002 and has offices in New York and London. TFG acquired 100% of the business in AUM was approximately $1.5 billion at 31 March Polygon manages funds focusing on the following strategies: European event-driven equities, global convertible bonds, mining company equities, and distressed securities. Polygon also manages a private equity vehicle comprised of certain illiquid investments. Each fund manager has its own CIO and investment team. Polygon s open-ended funds have capacity levels set which seek to optimize the investment opportunity. The investor liquidity of these products is calibrated to match the duration of the underlying investments. Fees in these products include a management fee that is generally between 1.5% and 2.0% and the typical performance fee or carried interest is 20%. Further information is available at TM Equitix is an integrated core infrastructure asset management and primary project platform. Equitix was established in 2007 and is based in London. TFG acquired 85% of the business in February 2015; over time, TFG s holding is expected to decline to approximately 74.8%. Management own the balance. AUM was approximately $2.0 billion at 31 March Since inception of the business, Equitix has raised over 1.2 billion across four UK-focused funds and managed accounts, investing in sectors including healthcare, education, utility infrastructure, social housing, renewable energy, transport, waste, and accommodation. Fees in this product include a management fee, and a carry interest fee that is over a hurdle currently set at 7.5%. The carried interest fee is typically 20% over the hurdle, and the management fee after the investment period is typically between 1.25% and 1.65%; during the investment period it has ranged between 0.95% and 2.0% on invested capital. The core funds also have an additional fee on committed capital of approximately 0.30%. Further information is available at HAWKE S POINT TM Hawke s Point Resource Finance seeks to provide capital to companies in the mining and resource sectors. TFG established Hawke s Point in Q and owns 100% of the business. Hawke s Point is currently actively evaluating a range of mine financing opportunities. Tetragon Financial Group Limited Q Report 5

10 Board of Directors TFG s Board of Directors is comprised of six members, four of whom are non-executive independent directors who have significant experience in asset management and financial markets. Biographies of the directors can be found in the appendix. Rupert Dorey (Independent Director) Frederic Hervouet (Independent Director) David Jeffreys (Independent Director) Byron Knief (Independent Director) Reade Griffith Paddy Dear 6 Tetragon Financial Group Limited Q Report

11 Key Metrics

12 Key Metrics KEY METRICS The Company focuses on four key metrics when assessing how value is being created for, and delivered to, TFG shareholders: Earnings, Net Asset Value ( NAV ) per share, Dividends, and AUM. Drivers for each of the metrics are discussed in the following sections of the report. EARNINGS - RETURN ON EQUITY ( RoE ) RoE for the Q was an annualised 16.8%, above TFG s long-term range of 10-15% (9), reflecting a strong start to the year across many of the business areas TFG generated Net Economic Income (10) of $76.2 million in Q1 2015, compared with $47.2 million in the equivalent quarter last year, representing an increase of 61%. Figure 3 Annual Return on Equity 60% 50% 40% 47.7% 36.1% Target RoE 10-15% Average 13.4% 30% 20% 11.4% 20.8% 15.3% 6.6% 16.8% 10% 0% -10% -3.7% -20% -30% -40% -27.6% annualised 8 tetragoninv.com

13 $0.48 $0.70 $0.79 Key Metrics EARNINGS PER SHARE ( EPS ) TFG generated an Adjusted EPS of $0.79 in Q The Q1 Net Economic Income (11) of $76.2 million resulted in an EPS of $0.79, the highest quarterly adjusted EPS result for the Company since Q Figure 4 Adjusted EPS Comparison Q (USD) Q Q Q Further detailed information on the drivers of the Company s performance is provided later in this report. Tetragon Financial Group Limited Q Report 9

14 Consolidated Net Assets ($MM) 1,570 1,624 1,621 1,667 1,680 1,704 Quarterly NAV/Share 1,803 1,784 1,809 1,804 1,818 1,882 Key Metrics NAV PER SHARE Pro Forma Fully Diluted NAV per Share was $17.57 at the end of Q1 2015, up 3.0% from the end of Q and up 4.4% from the end of Q Total NAV for TFG rose to $1,882.0 million at 31 March 2015, which equated to Pro Forma Fully Diluted NAV per Share (12) of $17.57, compared to $17.05 at the end of The 3% growth in NAV per Share recorded in the quarter is after distributing dividends of $ during that period. The NAV per Share growth adjusting for the dividend distribution was 4%. Figure 5 TFG Consolidated Net Assets ($MM) and Pro Forma Fully Diluted NAV per Share (i) Consolidated Net Assets ($MM) $2,000 $1,800 NAV / Share (pro forma fully diluted) $13.75 $14.29 $14.65 $15.02 $15.17 $15.49 $16.36 $16.83 $17.08 $16.82 $17.05 $17.57 $18.00 $16.00 $1,600 $14.00 $1,400 $12.00 $1,200 $1,000 $800 $600 $400 $10.00 $8.00 $6.00 $4.00 $200 $2.00 $0 Q Q Q Q Q Q Q Q Q Q Q Q $0.00 (i) Source: NAV per share based on TFG s financial statements as of the relevant quarter-end date. Please note that the Pro Forma Fully Diluted NAV per share reported as of each quarter-end date excludes any shares held in treasury or in a subsidiary as of that date, but includes shares held in escrow which are expected to be released and incorporated into the U.S. GAAP NAV per Share over a five-year period and 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. Please see Figure 19 on page 27 for more details. 10 tetragoninv.com

15 $0.500 $0.580 $ Key Metrics DIVIDENDS PER SHARE ( DPS ) TFG held its dividend steady quarter on quarter TFG declared a Q DPS of $0.1575, the same as in Q On a rolling 12-month basis, the dividend of $0.625 per share represents a 7.8% increase over the prior 12-month period and equated to an annualised dividend yield of 6.3% on the quarterend share price of $9.89. This dividend declaration continues TFG s progressive dividend policy, which targets a payout ratio of 30-50% of normalised earnings. The Q DPS of $ brings the cumulative DPS declared since TFG s IPO to $3.60. Figure 6 12-month Rolling DPS Comparison Q Q (USD) +16.0% +7.8% Q Q Q Tetragon Financial Group Limited Q Report 11

16 Key Metrics AUM GROWTH TFG Asset Management grew its total AUM by 25% in Q driven in large part by the acquisition of Equitix, although the non Equitix businesses grew AUM by 7% and most business lines added fee-paying capital AUM for TFG Asset Management was approximately $13.8 billion at end of Q1 2015, up from $11.1 billion at year-end Figure 7 (i) TFG AM Assets Under Management ($BN) $13.8 $7.0 $7.0 $7.7 $8.0 $8.7 $9.1 $9.2 $10.4 $10.5 $10.8 $11.1 Q Q Q Q Q Q Q Q Q Q Q Q LCM GreenOak Polygon Equitix (i) GreenOak AUM includes funds and advisory assets managed by GreenOak Real Estate, LP, a separately registered investment adviser under the U.S. Investment Advisers Act of Polygon AUM includes Polygon Recovery Fund LP, Polygon Convertible Opportunity Master Fund, Polygon European Equity Opportunity Master Fund and associated managed account, Polygon Mining Opportunity Master Fund, Polygon Global Equities Master Fund and Polygon Distressed Opportunities Master Fund, as calculated by the applicable fund administrator. Includes, where relevant, investments by Tetragon Financial Group Master Fund Limited. All data is at 31 March tetragoninv.com

17 Q in Review

18 Q In Review RETURNS BY ASSET TYPE AND TFG ASSET MANAGEMENT Figure 8 Asset Type Q Net Assets ($MM) Q Income ($MM) U.S. CLO 1.0 (i) U.S. CLO 2.0 (i) European CLOs U.S. Direct Loans Hedges (ii) Polygon Equity Funds Polygon Credit, Convertibles & Distressed Funds Other Equities, Credit, Convertibles & Distressed (iii) Real Estate Infrastructure TFG Asset Management (iv) (i) U.S. CLO 1.0 refers to U.S. CLOs issued before or during U.S. CLO 2.0 refers to U.S. CLOs issued after The U.S. CLO 1.0 segment includes an investment in the BB tranche of a U.S. CLO 1.0 with fair value of $1.7 million. (ii) Hedges refers to interest rate swaption hedges put in place in relation to certain interest rate risks relating to the CLO portfolio. (iii) Assets characterised as Other Equities, Credit, Convertibles, Distressed consist of the fair value of, or capital committed to, investment assets held directly on the balance sheet. (iv) TFG Asset Management income figure is Net Economic Income Before Tax. Figure 8 above shows the returns by asset type for Q and the returns for TFG Asset Management. CLOs continued to make a strong contribution to income generated by the investment portfolio. In particular, the U.S. CLO 1.0 deals enjoyed a return significantly above the discount rate of 12%. Real Estate enjoyed a strong quarter, buoyed by a combination of realisations and the recognition of 2014 year-end revaluations of certain properties in some of the underlying investment vehicles. The Polygon Equity Fund investments also performed well in the quarter. See page 20 for further details on the performance of the funds. Other Equities, Credit, Convertibles, & Distressed income was the single biggest sector contributing to the quarterly performance. A few investments generated positive income, although the majority came from a single position, which was put on in TFG Asset Management also had a good start to 2015, with the acquisition of Equitix becoming effective from the beginning of February in terms of income generation. There is further detail on TFG AM later in this section. 14 tetragoninv.com

19 Q In Review Figure 9 TETRAGON FINANCIAL GROUP TFG Asset Management Statement of Operations Q vs. Q Q $MM Q $MM Fee income (i) Unrealised Polygon performance fees (ii) Interest income Total income Operating, employee and administrative expenses (i) (16.8) (9.9) Net income - EBITDA equivalent Performance and management fee allocation to TFM (2.0) (0.4) Amortisation expense on management contracts (6.8) (1.7) Interest expense (0.7) - Net economic income before taxes (i) Nets off cost of recovery on Other fee income against this cost contained in Operating, employee, and administrative expenses. Operating costs also removes amortisation expense from the U.S. GAAP segmental report. Fee income includes amounts earned through third-party fee sharing arrangements. It also includes any fees earned through fees paid on investments made by TFG in Polygon hedge funds or other investment vehicles. TFG is able to invest at a preferred level of fees. (ii) Unrealised Polygon performance fees represent the fees calculated by the applicable administrator of the relevant Polygon funds, in accordance with the applicable fund constitutional documents, when determining NAV at quarter end, less certain assumed costs. Similar amounts, if any, from LCM and GreenOak are excluded from this line item. Such fees would typically not be realised or recognised under U.S. GAAP until calendar year end, and are therefore subject to change based on fund performance during the remainder of the year. There can be no assurance that the company will realise all or any portion of such amounts. Through 31 March 2015, this amount equalled $1.4 million before (1) an assumed imputed tax charge and (2) estimated TFM performance fees reduced the net contribution to $0.8 million as shown in Figure 9 and further represented in Figures 21 and 22 of this report. It also includes any unrealised performance fees to potentially be paid on investments made by TFG in Polygon hedge funds or other investment vehicles. TFG is able to invest at a preferred level of fees. Figure 9 shows the Q statement of operations for TFG Asset Management, compared to the same quarter in The asset managers are at different stages of evolution and therefore different stages of profitability. Revenues: Fee income in the quarter increased significantly compared with the comparative period in 2014, boosted primarily by the addition of Equitix at the beginning of February. The timing of the Equitix acquisition closing resulted in only two months performance being recognised through the TFGAM statement of operations. Equitix contributed both investment management income and primary income, which is derived when Equitix is successful in delivering primary investment opportunities for inclusion in Equitix managed funds. Primary income typically arises at the end of a two to five year bidding and development phase, and consequently is likely to have a less predictable income profile than the secondary asset management fee income. Unrealised Polygon Performance Fees reflect performance fees that have been earned year-to-date, but not accrued under U.S. GAAP (net of any accrued compensation to the investment teams). (13) Interest income earned by TFG AM has fallen to immaterial levels following the full repayment in Q of the remaining working capital loan by GreenOak. Costs: As expected, costs have increased as the Equitix business has been consolidated onto the TFG AM platform. Given the Equitix team is over 60 strong, and that TFG AM added investment, compliance and marketing headcount during 2014, employee costs have been a significant contributor to the cost increase year on year. Tetragon Financial Group Limited Q Report 15

20 Q In Review On an EBITDA basis, however, income growth has far outstripped the increase in expenses, leading EBITDA to almost triple to $18.8 million. Below the line expenses have increased as amortisation of the Equitix intangible assets is factored in, and there is also now interest expense on the external loan of 60 million which was used to partially fund the acquisition. Finally, as with previous quarters, in the Company s segmental reporting TFG AM is allocated its share of the performance fees payable to the Investment Manager ( TFM ). Starting from this quarter, TFG AM has also been allocated a share of the base management fee which is paid to TFM, whereas previously this had been 100% allocated to the investment portfolio segment. This reflects the growing net assets attributable to the asset management segment following the acquisition of Equitix ($242.0 million as per Figure 10) and an allocation of $0.7 million is included in the performance and management fee allocation included in the table in Figure 9. Figure 10 TETRAGON FINANCIAL GROUP Analysis of Net Assets and Q Profitability by Business Segment Business Segment NAV Net Economic Income Before Tax EBITDA Equivalent $MM $MM $MM Investment Portfolio 1, N/A TFG Asset Management Total 1, EXPOSURE TO ASSET MANAGERS Given that external managers now only manage 31% of Company assets, the table below has been created to show TFG s exposure to each of TFG Asset Management s underlying asset managers, both in terms of the NAV of TFG monies invested in that asset manager s various funds, and the NAV of the carrying value of TFG s ownership of the asset manager itself. This illustrates a significant accounting difference between GreenOak, where TFG owns 23% and thus holds it on its balance sheet as an investment, and the other asset managers, where TFG owns a majority stake and thus consolidates the earnings and holds the asset at purchase price less amortisation. This is important, as it is the combined exposure that is relevant from a risk perspective. In some cases, the NAV of the asset manager may not completely reflect the intrinsic value of the business: for example, under U.S. GAAP, the fair value of the LCM management contracts has amortised to zero since the business was purchased in 2010, whilst its AUM has more than doubled. Figure 11 TFG Investments in Products TFG Exposure to Asset Managers Carrying Value of Asset Manager Total NAV ($MM) ($MM) ($MM) Percentage of Total NAV LCM % GreenOak % Polygon % Equitix % Hawke's Point % Direct Investments (i) % External Managers % Cash and Other % NAV 1, , % (i) Adjusted net assets of such investments consists of the fair value of, or capital committed to, investment assets held directly on the balance sheet. 16 tetragoninv.com

21 Q In Review BUSINESS OVERVIEWS The following pages outline the progress of each business during Q in turn. All data is at 31 March 2015, unless otherwise stated. LCM Description of Business: Amount of TFG s Investment in Products: LCM is a specialist in below-investment grade U.S. broadly-syndicated leveraged loans. $248.9 million. TFG held equity investments with total fair value of $230.6 million (U.S. CLO 1.0: $35.1 million, U.S. CLO 2.0: $195.5 million) in LCM-managed CLOs. LCM additionally manages a portfolio of U.S. broadly-syndicated leveraged loans held directly on TFG s balance sheet. At the end of Q1 2015, the fair value of these loans was $18.3 million. Carrying Value of Asset Manager: $0.0 million. AUM: $5.8 billion. LCM XVIII, a $600 million CLO, closed on 31 March Figure 12 LCM AUM History ($BN) $4.1 CLO 2.0 CLO 1.0 $4.5 $4.3 $3.9 $4.3 $4.3 $4.2 $4.8 $5.1 $4.9 $5.3 $5.8 Q Q Q Q Q Q Q Q Q Q Q Q Performance in Q1 2015: LCM performed well in the first quarter of 2015, with all of LCM s Cash Flow CLOs (14) that were still within their reinvestment periods continuing to pay senior and subordinated management fees. There were no loan defaults in any LCM Cash Flow CLOs during the quarter. In aggregate, LCMmanaged U.S. CLO equity investments generated cash flow of $11.9 million. Tetragon Financial Group Limited Q Report 17

22 Q In Review GREENOAK Description of Business: GreenOak is a real-estate focused principal investing and advisory firm. Amount of TFG s Investment in Products: $100.4 million. Carrying Value of Asset Manager: $66.5 million. The fair value of TFG s holding in the GreenOak joint venture is determined primarily by reference to a private equity-style valuation framework in which a range of multiples is applied to GreenOak s projected earnings (EBITDA). Please refer to the 2014 TFG Master Fund Audited financial statements for further details on this valuation determination. AUM: $4.6 billion. Figure 13 $3.0 GreenOak AUM History (i) ($BN) $4.1 $3.6 $3.6 $3.2 $3.9 $4.2 $4.4 $4.6 $1.7 $1.9 $2.3 Q Q Q Q Q Q Q Q Q Q Q Q Europe U.S. Japan (i) Includes investment funds and advisory assets managed by GreenOak at 31 March TFG owns a 23% stake in GreenOak. AUM include all third-party interests and total projected capital investment costs. 18 tetragoninv.com

23 Q In Review POLYGON Description of Business: Polygon manages open-ended hedge fund and private equity vehicles across a number of strategies. Amount of TFG s Investment in Products: $332.3 million. Carrying Value of Asset Manager: $28.0 million. AUM: $1.5 billion for all funds; $1.2 billion for open strategies. Figure 14 (i) Polygon Hedge Funds Assets Under Management ($MM) (Convertibles, European Event-Driven Equity, Mining Equities, Distressed, Other Equity) $1,094 $1,149 $1,113 $1,161 $855 $930 $451 $448 $529 $605 $624 $686 Q Q Q Q Q Q Q Q Q Q Q Q Convertibles European Event-Driven Equity Mining Equities Distressed Opportunities Other Equity (i) Includes AUM for Polygon Convertible Opportunity Master Fund, Polygon European Equity Opportunity Master Fund and associated managed account, Polygon Mining Opportunity Master Fund, Polygon Global Equities Master Fund and Polygon Distressed Opportunities Master Fund, as calculated by the applicable fund administrator at 31 March Includes, where relevant, investments by Tetragon Financial Group Master Fund Limited. Tetragon Financial Group Limited Q Report 19