Boussard & Gavaudan : BGHL - July 2022 Newsletter

MONTHLY NEWSLETTER JULY 2022	BGHL NA € 27.40
Estimated NAV BGHS LN £ 23.91

OVERVIEW

Estimated AUM €341m

Firm AUM €2.5bn

Share price €22.40 (discount to NAV: 18%)

NAV PERFORMANCE

BGHL is a closed-ended investment company which invests in BG Fund, Boussard & Gavaudan's flagship fund with 18 years of track record.

BGHL's investment objective is to deliver an annual return, net of fees, of 400 to 600 basis points above the risk-free rate over the business cycle, irrespective of market performance. The risk-free rate is "Compounded euro short-term rate index".

BG Fund is driven by bottom-up fundamental and event catalyst research, combined with extensive multi-asset arbitrage and derivative expertise. Typically, investment ideas are catalyst driven with a focus on special situations and events.

Capital is dynamically allocated to the firm's best ideas and these ideas are categorized into four main types of strategies: Equity, Volatility, Credit and Trading strategies.

Annualized Performance +6.63%* since inception

Annualized Volatility 5.31%* since inception

Sharpe Ratio

1.15* since inception

Beta to Euro Stoxx 50® (Total Return)

0.04* since inception

*Performance displayed is for EUR share class net of fees with income reinvested. Performance data is estimated and unaudited.

PERFORMANCE REVIEW

BGHL and BG Fund ended the month down -2.99% (EUR share class) and -2.74% (USD A share class) respectively vs Euro Stoxx 50® Total Return (+7.44%).

BG Fund Capital Allocation
BG Fund Performance	Jul 2022
Attribution	Year-to-date

Equity Strategies	Equity Strategies	Credit Strategies	Volatility Strategies	Trading Strategies
Special Situations	Catalyst & Value
24%	15%	20%	22%	19%
-2.09%	0.09%	0.01%	0.59%	-1.34%
-5.86%	0.46%	-0.07%	0.28%	-0.13%

CORPORATE UPDATE

Since the restart of the share buyback program on 17 December 2019, the firm has bought back 3,609,939 shares. The current number of shares outstanding excluding treasury shares for both the EUR and GBP share classes is 12,446,842.

CONTACTS

Emmanuel Gavaudan [phone] ✉[e-mail]

François-Xavier Baud + 33 1 4490 3947 ✉[e-mail]

Vanessa Levi  + 44 20 3751 5422 ✉[e-mail]

Benjamin Sturges + 44 20 3751 5417 ✉[e-mail]

Robin Lowe [phone] ✉[e-mail]

Risk warning: Past performance is no guide to future performance. The value of holdings may fall as well as rise and investors may not get back their initial investment. Performance displayed is for the EUR share class net of fees with income reinvested and is calculated on a NAV to NAV basis. Performance data is estimated and unaudited. All figures are correct as of 30th June 2022 unless otherwise stated.

Source: Bloomberg, Boussard & Gavaudan.

1. COMPANY INFORMATION

General information

	Investment manager	Boussard & Gavaudan Investment Management LLP
	Company domicile		Guernsey
	Website	www.bgholdingltd.com
	Management fee		1.5% p.a.
	Performance fee	20% with HWM

SEDOL

ISIN

Reuters

Bloomberg

EUR Euronext

B1FQG45

GG00B1FQG453

BGHL.AS

BGHL NA

EUR LSE

B28ZZQ1

GG00B1FQG453

BGHL.L

BGHL LN

GBX LSE

B39VMM0

GG00B39VMM07

BGHS.L

BGHS LN

GBX Euronext

B39VMM1

GG00B39VMM07

BGHS.AS

BGHS NA

1. OVERVIEW

Boussard & Gavaudan Holding Limited ("BGHL") is a Guernsey closed-ended investment company and is registered with the Dutch Authority for the Financial Markets as a collective investment scheme under article 1:107 of the Dutch Financial Markets Supervision Act. BGHL invests its assets in order to provide exposure to multiple alternative investment strategies managed by the Investment Manager. The investment objective is to produce long-term appreciation of its assets. BGHL seeks to achieve this by investing in BG Fund ("the Fund"). In addition, a proportion of the net assets of BGHL may, at the discretion of the Investment Manager, be invested in other hedge funds and financial assets selected by the Investment Manager. BGHL aims to generate a target NAV annualized return of Eonia capitalized + 400/600 bps over the business cycle, net of all fees.

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1. SHARE INFORMATION as of 31 July 2022

Net Asset Value (NAV)

Estimated NAV*

Estimated month to date return*

Estimated year to date return*

Estimated inception to date return*

Market information

EUR share Market close

EUR share Premium / discount to estimated NAV

Sterling share Market close

Sterling share Premium / discount to estimated NAV

Transactions in own securities purchased into treasury

Number of shares

Average Price

Range of Price

Ordinary Shares

Shares issued

Shares held in treasury

Shares outstanding

Total value of the investments of BGHL based on the estimated NAV for the shares outstanding

Market capitalisation of BGHL based on the share price for the shares outstanding Amsterdam (AEX) market close for the Euro Share and London (LSE) market close for the Sterling share

*

• Estimated numbers, net of fees. The data is not audited.

Euro share	Sterling share
€ 27.4033	£23.9109
-2.99%	-2.78%
-6.15%	-5.51%
174.03%	139.11%

Amsterdam (AEX)	London (LSE)
€ 22.40	-
-18.26%	-
-	£20.00
-	-16.36%

Euro share	Sterling share
0	-
€ 0.00	-
-	-

Euro share	Sterling share
12,316,588	130,254
0	0
12,316,588	130,254

BGHL

• 341 million
• 279 million

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IV.	BGHL TRACK RECORD†

BGHL Track Record - Historical NAV Returns Summary (Net of Fees)

• Estimated numbers, net of fees. The data is not audited.

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1. BGHL COMPOSITION

BGHL is invested in BG Fund (net of an amount retained by BGHL for working capital and other requirements).

As of 1 August 2022, 99.61% of BGHL net asset value is invested in BG Fund. BGHL has a maximum exposure limit to BG Fund of 110%. The remained BGHL net asset value is made up of direct investment and cash.

1. BG FUND

JULY HIGHLIGHTS

Equity markets in Europe and the US rallied sharply in July, reversing the trend of recent months. The Euro Stoxx 50® Total Return finished the month up +7.44% and the S&P500® Total Return up +9.22%. Credit markets also tightened with iTraxx Crossover® (S37) moving to 509bps from 580bps over the course of the month. The market implied volatility measure VStoxx® decreased from 29.8% to 22.3%.

In July BG Fund returned -2.74% (USD A class) with positive contributions from convertible bonds, volatility trading and mandatories strategies overshadowed by idiosyncratic moves on several specific equity special situations which drove the majority of negative performance, along with a negative contribution from trading strategies.

While the equity market backdrop remains choppy and low liquidity prevails in many asset classes, the forward- looking opportunity set is starting to become very interesting as we transition to a new paradigm: the end of negative rates, easy financing and always-positive equity markets has moved to a state of high inflation, economic slowdown, likely recession, and continued interest rate increases.

The markets in Europe and elsewhere are becoming far more discriminating in the type and pricing of financing offered to corporates needed to both re-finance and meet growing needs for capital in a more challenging environment. Given the enormously higher cost of borrowing, with both rates and credit spreads widening, we expect a significant resurgence in the issuance of new hybrid paper (convertible bonds, mandatories, and private deals/ corporate collars) which makes for a potentially very attractive arbitrage environment. Bank syndicate desks see the potential pipeline for primary building, and we hear the same story directly from European corporate CFOs who have been readjusting expectations and many expect to be coming to market with hybrids to meet their financing needs. As well as the expectations of primary issuance, in the secondary market we are starting to see new arbitrage and distressed opportunities emerge, particularly with dislocations between credit and equity valuations. We expect the flow of new issuance to help the market re-price, resetting long-only manager holdings which should improve overall liquidity.

This environment should be favourable for BG Fund across the full range of its core arbitrage strategies. We are positioned to deploy more capital into these areas while continuing to drive returns from the event and special situations strategies which continue to offer idiosyncratic risk premia with hard catalysts. The portfolio remains well- hedged with its characteristic long vol/convexity and delta neutral risk profile.

JULY COMMENTARY

Volatility strategies

Mandatory convertible bond arbitrage

Mandatory convertible bonds contributed +6bps in July. There was no specific activity to highlight and performance was due to small positive repricing. There was no primary activity during this period in Europe.

Convertible bond arbitrage

Convertible bonds (excl. mandatories) contributed +41bps in July, offsetting last month's negative performance.

The European convertible bond market, much like the high yield market was driven by a risk on mode in July. The cross-over index tightened by 71bps over July, helped towards the end of the month by an earnings season which started with less negative news than expected. Poor liquidity still prevailed in the secondary market on both bids and offers which helped to drive prices and create price dispersion. The primary market was muted with one small retap

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