Tetragon Financial : October 2020 Monthly Factsh

Tetragon is a closed-ended investment company that invests in a broad range of assets, including public and private equities and credit (including distressed securities and structured credit), convertible bonds, real estate, venture capital, infrastructure, bank loans and TFG Asset Management, a diversified alternative asset management business. Where appropriate, through TFG Asset Management, Tetragon seeks to own all, or a portion, of asset management companies with which it invests in order to enhance the returns achieved on its capital. Tetragon's investment objective is to generate distributable income and capital appreciation. It aims to provide stable returns to investors across various credit, equity, interest rate, inflation and real estate cycles.

Monthly Factsheet | October 2020

Tetragon Financial Group Limited

Net Asset Value:	$2,264m
Fully Diluted NAV Per Share:	$23.81
Share Price*:	$9.08
Shares Outstanding**:	95.1m
Stock Tickers:	TFG NA / TFG LN / TFGS LN

*Based on TFG.NA. **Fully diluted shares outstanding.

Key Performance Metrics

NAV PER SHARE TOTAL RETURN(1)

-0.8%	-1.8%	8.5%		14.2%		10.5%
Monthly	Year to Date	5 Years Annualised	10 Years Annualised		Since IPO Annualised
	INVESTMENT RETURNS / RETURN ON EQUITY(2)
-0.7%	-2.1%	-2.5%						11.5%
Monthly	Year to Date	2020 Annualised					Annual average since IPO
		DIVIDENDS(3)
XD 1 Mar 2021	$0.1000	5.4%			2.2x		-5.3%
Next Dividend: Q4 2020	Last Dividend: Q3 2020	Dividend Yield	Dividend Cover		Dividend 5-Year CAGR
Monthly NAV Per Share Progression (USD)(4)
24.50
24.00	(0.13)	(0.05)
			(0.10)	(0.02)
23.50
24.11										23.81
23.00
22.50
NAV at 30 September	Investment income and	Operating expenses,	Dividends		Other share dilution	NAV at 31 October
2020	gains / losses	management and							2020
		incentive fees
Investment Summary by Asset Class(5)
All figures below are in millions of U.S. dollars
Asset Classes			NAV at	Additions		Disposals/		Gains/		NAV at
		30 Sep 2020		Receipts	(Losses)		31 Oct 2020
Private equity in asset management companies			733.5	1.1		(3.3)		0.3		731.6
Event-driven equities, convertible bonds and quantitative strategies		479.4	-		(3.3)		2.5		478.6
Bank loans				277.7	-		(8.8)		3.6		272.5
Real estate				151.3	5.5		(4.1)		(0.8)		151.9
Private equity and venture capital			365.8	9.7		-		(15.8)		359.7
Other equities and credit				197.8	9.7		(0.8)		(2.6)		204.1
Net cash				86.6	-		(21.0)		0.2		65.8
Total			2,292.1	26.0		(41.3)		(12.6)		2,264.2
1					Tet ragon Financia l Group Limit ed | Mont hly Fact sheet

Monthly Factsheet | October 2020

Tetragon Financial Group Limited

NAV Per Share Total Return and Share Price Total Return Since IPO(6)

300%	287%
250%
200%
150%
100%	115%
102%
	70%

50% 0% (50%)

54%

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

(100%)	TFG NAV per share (TR)(i)	TFG Share Price (TR)(ii)	MSCI ACWI (TR)(iii)
	TFG LIBOR-based performance hurdle(iv)	FTSE All-Share Index (TR)(iii)
	NET ASSET BREAKDOWN(7)	GEOGRAPHIC BREAKDOWN(8)
	Other equities	Net cash
	and credit	9%	3%	Private equity in
		asset management
				companies

Private		32%
equity and	16%
venture
capital
Real estate	7%
	12%	21%
Bank loans	Event-driven equities,
convertible bonds,
		quantitative strategies

43%46%

North

America

9%

2%	Asia Pacific
Latin America

Europe

Currency Exposure: Tetragon is a U.S. dollar-based fund and reports all of its metrics in U.S. dollars. All investments denominated in other currencies are hedged to U.S. dollars.

Top 10 Holdings

	Holding	Asset Class	Value	% of
	($ millions)	NAV
1	Equitix	Private equity in asset management company	312.6	13.8%
2	Polygon European Equity Opportunity Fund Absolute Return	Event-driven equities	252.8	11.2%
3	BentallGreenOak	Private equity in asset management company	175.3	7.7%
4	LCM	Private equity in asset management company	172.7	7.6%
5	Ripple Labs Inc. - Series C Preferred Stock	Private equity and venture capital	170.4	7.5%
6	Hawke's Point Fund 1	Private equity and venture capital	121.0	5.3%
7	Polygon Convertible Opportunity Fund	Convertible bonds	111.0	4.9%
8	Polygon European Equity Opportunity Fund Long Bias	Event-driven equities	107.2	4.7%
9	TCI III	Bank loans	76.3	3.4%
10	Polygon	Private equity in asset management company	49.8	2.2%
	TOTAL			68.3%
2		Tet ragon Financia l Group Limit ed | Mont hly Fact sheet

Investment manager: Tetragon Financial Management LP

Principal and employee ownership(9): 32.1%

Annual management fee: 1.5%

Performance fee: 25% over the hurdle rate

Hurdle rate: 3 month LIBOR plus 2.647858%

Tetragon Investor Relations

Yuko Thomas

[phone] [e-mail]

Important Information

Monthly Factsheet | October 2020

Tetragon Financial Group Limited

Ongoing charges(10) (including management fee): 1.73%

Fund domicile and type: Guernsey closed-ended investment company

Administrator and Registrar: TMF Group Fund Administration (Guernsey) Limited

NMPI status(11): Excluded security

Brokers: J.P. Morgan Cazenove, Stifel Nicolaus Europe

Press Inquiries

Prosek Partners
[e-mail]
United States	United Kingdom
Andy Merrill and Ryan Fitzgibbon	Zara Thornton
[phone] ext. 216 and ext. 234	[phone]

This Monthly Factsheet 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 Tetragon have not been and will not be registered under the U.S. Securities Act of 1933 and may not be offered or sold in the United States or to U.S. persons unless they are registered under applicable law or exempt from registration. Tetragon 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, Tetragon has not been and will not be registered under the U.S. Investment Company Act of 1940, and investors will not be entitled to the benefits of such Act. Tetragon is registered in the public register of the Netherlands Authority for the Financial Markets under Section 1:107 of the Financial Markets Supervision Act as a collective investment scheme from a designated country.

Notes:

Tetragon Financial Group Limited is referred to in this Monthly Factsheet as Tetragon.

1. NAV Per Share Total Return (NAV Total Return) month to date and year to date as of the date of this Monthly Factsheet; annualised to the date of this Monthly Factsheet over the last five years, the last ten years, and since Tetragon's initial public offering in April 2007. NAV Total Return is determined in accordance with the "NAV total return performance" calculation as set forth on the Association of Investment Companies (AIC) website. Tetragon's NAV Total Return is determined for any period by calculating, as a percentage return on the Fully Diluted NAV Per Share (NAV Per Share) at the start of such period, (i) the change in NAV Per Share over such period, plus (ii) the aggregate amount of any dividends per share paid during such period, with any dividend deemed reinvested at the NAV Per Share at the month end date closest to the applicable ex-dividend date (i.e., so that the amount of any dividend is increased or decreased by the same percentage increase or decrease in NAV Per Share from such ex-dividend date through to the end of the applicable period). NAV Per Share is calculated as Net Assets divided by Fully Diluted Shares Outstanding. Source: Tetragon.
2. Tetragon seeks to deliver 10-15% Return on Equity (RoE) per annum to shareholders. Tetragon's returns will most likely fluctuate with LIBOR. LIBOR directly flows through some of Tetragon's investments and, as it can be seen as the risk-freeshort-term rate, it should affect all of Tetragon's investments. In high- LIBOR environments, Tetragon should achieve higher sustainable returns; in low- LIBOR environments, Tetragon should achieve lower sustainable returns. In the current environment characterised by continued and sustained low risk-free interest rates, reduced sustainable returns across Tetragon's investments, including outside of Tetragon's target return rate, are to be expected. The "Annual Average Since IPO" figure includes the current year.
3. The dividend yield represents the last four quarterly dividends divided by the TFG NA share price at the date of this Monthly Factsheet. Dividend cover is last four quarterly Earnings Per Share divided by Dividends Per Share at 30 September 2020. The 5-year Compound Annual Growth Rate (CAGR) figure is at 30 September
   2020. Each of the foregoing includes in its calculation the latest declared dividend.
4. With the exception of share repurchases (when applicable), all of the Fully Diluted NAV Per Share movements in the table are determined by reference to the fully diluted share count at the start of the period. Other share dilution/accretion captures the impact of, where applicable, and among other things: scrip dividends and additional recognition of equity-based compensation shares.
5. Any gains or losses on foreign exchange hedging instruments attributable to a particular strategy or sub-asset class have been included in "Additions" or "Disposals/Receipts", respectively. For example, where a hedging gain or loss is made, this will result in either cash being received or paid, or cash being receivable or payable, which is equivalent to a receipt or disposal.
6. Label numbers have been rounded. (i) NAV Per Share Total Return as of the date of this Monthly Factsheet since Tetragon's initial public offering in April 2007. See Note 1 for further information. (ii) Total shareholder return to the date of this Monthly Factsheet, defined as share price appreciation including dividends reinvested since Tetragon's initial public offering in April 2007; sourced from Bloomberg. (iii) Any indices and other financial benchmarks are provided for illustrative purposes only. Comparisons to indices have limitations because, for example, indices have volatility and other material characteristics that may differ from the fund. Any index information contained herein is included to show general trends in the markets in the periods indicated, is not meant to imply that these indices are the only relevant indices, and is not intended to imply that the portfolio or investment was similar to any particular index either in composition or element

3

of risk. The indices shown here have not been selected to represent an appropriate benchmark to compare an investor's performance, but rather is disclosed to allow for comparison of the investor's performance to that of certain well-known and widely-recognised indices. The volatility of the indices may be materially different from the individual performance attained by a specific investor. In addition, the fund's holdings may differ significantly from the securities that comprise the indices. The MSCI ACWI captures large and mid-cap representation across 23 Developed Markets and 26 Emerging Markets countries. With 2,700 constituents, the index covers approximately 85% of the global investable equity opportunity set. Further information relating to the index constituents and calculation methodology can be found at www.msci.com/acwi. The FTSE All-Share Index represents 98- 99% of U.K. market capitalisation and is the aggregate of the FTSE 100, FTSE 250 and FTSE Small Cap indices. Further information relating to the index constituents and calculation methodology can be found at www.ftse.com/products/indices/uk.

1. 1. Cumulative return determined on a quarterly compounding basis using the actual Tetragon quarterly incentive fee LIBOR based hurdle rate. In the period from IPO to June 2008 this was 8%; thereafter, the hurdle has been determined using the three-month USD LIBOR rate on the first day of each calendar quarter, as sourced from Bloomberg, plus a spread of 2.647858%.
2. (i) Assets characterised as "other equities & credit" consist of investment assets held directly on the balance sheet. For certain contracts for difference (CFD), gross value or required margin is used. Under IFRS, these CFDs are held at fair value which is the unrealised gain or loss at the reporting date. Payments and receipts on the same investment have been netted off against each other. (ii) Net cash consists of: (1) cash held directly by Tetragon, (2) excess margin held by brokers associated with assets held directly by Tetragon, (3) cash held in certain designated accounts related to Tetragon's investments, some of which may only be used for designated purposes without incurring significant tax and transfer costs, and (4) net of other current assets and liabilities.
3. Event-drivenequities, convertible bonds, quantitative strategies, private equity and "other equities and credit" investments are based on the geographies of the underlying portfolio assets; U.S. CLOs, TCI II and TCI III are 100% North America. TFG Asset Management: BentallGreenOak is treated as 67% North America, 20% Europe, 13% Asia; Polygon is treated as 80% Europe, 20% North America; LCM is treated as 100% North America; Equitix is treated as 100% Europe; Tetragon Credit Partners is treated as 100% North America.
4. Shareholdings at 30 September 2020 of the principals of Tetragon's investment manager and employees of TFG Asset Management, including all deferred compensation arrangements (other than with respect to shares that are subject to performance criteria). Please refer to the Tetragon Financial Group Limited 2019 Audited Financial Statements for more details of these arrangements.

(10)Annual calculation as at 31 December 2019. The ongoing charges figure is calculated as defined by the AIC, and comprises all direct recurring expenses to Tetragon expressed as a percentage of average Net Assets, and includes the annual management fee of 1.5%.

(11)Tetragon notes the U.K. Financial Conduct Authority (FCA) rules relating to the restrictions on the retail distribution of unregulated collective investment schemes and close substitutes (referred to as "non-mainstream pooled investments"), which came into effect on 1 February 2014. Tetragon has received appropriate legal advice that confirms that its shares do not constitute NMPI under the FCA's rules and are, therefore, excluded from the FCA's restrictions that apply to non- mainstream pooled investment products. Tetragon expects that it will continue to conduct its affairs in such a manner that its shares will continue to be excluded from the FCA's rules relating to NMPI.

** Tetragon Legal Shares Issued and Outstanding: 139.7 million.

Tetragon was nominated for the 2018 and 2017 Investment Company of the Year Award in the "Flexible" category. There were four other nominees for these awards in 2018, and five other nominees in 2017. The award is organised by Investment Week magazine, a publication of Incisive Media, in association with the AIC. Investment companies are nominated by the award organisers using performance data provided by the AIC, using Morningstar and FE Limited. Shortlists are constructed using a mixture of AIC data/research as well as from the submissions made by managers in the sector categories. As with the sector categories, winners are decided during the qualitative judging process. Submission for consideration for this category is by invitation only. Full details of methodology are available at www.investmentcompanyawards.com/static/ methodology.

Tet ragon Financia l Group Limit ed | Mont hly Fact sheet