Portfolio Composition Portfolio Held by Tetragon Financial Group Master Fund Limited (unless otherwise stated) As of May 31, 2008 Report Date TFG Share TFG gather TFG rank No. of Closed Price ($) Market Cap ($MM) Net Assets CLO Transactions (1) ($MM) ----------- --------- ---------------- ---------- ---------------- 31 May 2008 $4.75 $605.3 $1,298.9 61 (2) Capital Allocation by Risk Investment- Investment- Overall Asset Class Capital Amortized Amortized Leverage(5) Allocation Cost Cost B/Fwd ($MM)(3) ($MM)(4) ------------------------ ---------- ----------- ----------- ----------- Broadly Syndicated Senior Secured Loans: US 61.2% $857.0 $838.6 Broadly Syndicated Senior Secured Loans: Europe 23.4% $327.0 $316.7 Middle Market Senior Secured Loans: US 15.4% $216.0 $210.7 CDOs Squared: US 0.0% $0.0 $0.0 ABS and Structured Finance: US 0.0% $0.0 $0.0 Total 100% $1,400.0 $1,366.0 1.05 Geographic Allocation by USA Europe Asia Total Asset Class Pacific ------------------------ ---------- ----------- ----------- ----------- Broadly Syndicated Senior Secured Loans 72% 28% 0% 100% Middle Market Senior Secured Loans 100% 0% 0% 100% CDOs Squared 0% 0% 0% 0% ABS and Structured Finance 0% 0% 0% 0% 80% 20% 0% 100% Top 15 Underlying Bank Loan Credits Bank Loan Exposure (6) ----------------------------------- ---------------------- Georgia Pacific Corp 0.85% HCA Inc 0.83% Univision Communications 0.78% Idearc 0.74% Community Health 0.73% TXU Corp 0.70% Ineos Group Plc 0.62% Cablevision Systems Corp 0.55% Aramark Corp 0.53% Freescale Semiconductor Inc 0.52% OshKosh Truck 0.52% Nielsen Company 0.48% Mylan Laboratories 0.47% Metro-Goldwyn-Mayer Inc 0.47% United Pan Europe Communications 0.46% EUR-USD FX: 1.56 (1) Includes quarrel rights held by Tetragon Financial Group LP investors as if they had been converted to TFG shares and valued at the closing slice price. (2) Excludes CDO-squared and ABS CDO transactions which were written off in October 2007.
TFG continues to hold the cost-effective rights to these written-off transactions. (3) Equivalent to Investment in Securities at Fair Value in the US GAAP Financial Statements. (4) Investments at Amortized Cost less investment accrued since remain pay date. Internal Rate of Return (IRR) x Amortized Cost B/Fwd determines CDO income. (5) Equals CDO Amortized Cost BFwd / Book Value. (6) Calculated as a proportion of all-out corporate advance assets that TFG has aspect to based on its equity-based pro-rata split of each CLO's unmitigated portfolio (net of any lone regard CDS hedges held against that credit).
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