Boussard and Gavaudan : Exposure Report as of 31 May 2021

31/05/2021			BG FUND - EXPOSURE REPORT
PORTFOLIO - HIGHLIGHTS
Assets Under Management (M€)			2,031
Greeks
Delta			3.8%
Gamma (delta variation for 1% mkt move)			1.5%
Vega (by vol point)			7 bps
Theta (30 days)			-6 bps
Optional theta (30 days)			-17 bps
Interest Rate sensitivity (per 1bp of interest rate increasing)		-1 bps
Credit sensitivity (for 1% of credit spreads widening, in relative)	-3 bps
			Equity At Risk	Accounts	Equity Exposure	Debt Exposure
			(% of AUM)		Long (M€)	Short (M€)	Long (M€)	Short (M€)
Volatility Strategies			10.9%	90	20	8	1444	0
Mandatory Arbitrage		5.0%	6	0	3	1114	0
Convertible Arbitrage (includ. credit CBs)	2.7%	18	15	0	329	0
Gamma Trading			0.3%	21	3	4	0	0
Warrant Arbitrage			2.8%	45	2	1	0	0
Equity Strategies			30.5%	89	1252	1259	3	0
Risk Arbitrage / Special Situations		18.0%	47	664	669	0	0
Long/Short trad. with short-term catalyst/Value	12.5%	42	589	590	3	0
Credit Strategies			14.3%	15	0	1	319	0
Credit Long / Short		9.4%	7	0	0	231	0
Capital Structure Arbitrage		0.0%	3	0	1	0	0
Credit Special Situation		4.9%	6	0	0	88	0
Trading			9.1%	45	654	562	0	0
Quantitative Equity Trading		4.6%	12	460	457	0	0
Systematic trend following		2.8%	13	126	51	0	0
Index Rebalancing Arbitrage		0.0%	0	0	0	0	0
Trading using A.I			0.0%	0	0	0	0	0
Other			1.7%	21	69	55	0	0
Cash Equivalents			0.3%
TOTAL			65.1%	239	1927	1830	1766	0
Definitions		Equity Exposure				Debt Exposure
Long	Sum of Delta + (netted by underlying & account) for each account			Sum of Long Bond Asset Value & Short CDS Notional
		(netted by issuer & account) for each account
Short	Sum of Delta - (netted by underlying & account) for each account			Sum of Short Bond Asset Value & Long CDS Notional
		(netted by issuer & account)for each account
Portfolio - Sector breakdown		Long	Short		Portfolio - Country breakdown	Long	Short
Communications		11.1%	10.0%		Europe		76.8%	83.1%
Consumer Discretionary		8.2%	9.0%		North America		15.8%	12.7%
Consumer Staples		2.5%	4.6%		Central & South America	0.0%	0.0%
Energy		2.7%	2.6%		Asia		3.8%	2.3%
Financials		13.3%	9.6%		Others		3.5%	1.9%
Forex		1.2%	0.9%		Total		100.0%	100.0%
Health Care		4.0%	7.1%
Index/Others		8.5%	3.0%
Industrials		12.6%	8.3%
Materials		19.7%	32.2%
Technology		8.4%	8.1%
Utilities		7.8%	4.5%
Total		100.0%	100.0%
CREDIT STRATEGIES
Credit L/S, Credit D.Lending & CSA only (*)	Long	Short
Average credit spread weighted by asset value	828 bps	-
Average duration weighted by asset value		2.5 years	-
(*) Data exclude restructuring deals
EQUITY STRATEGIES
Market capitalization breakdown		Long	Short
< € 0.5 bn		10.8%	0.7%
€ 0.5 - € 5 bn		40.0%	8.2%
€ 5 - € 20bn		31.1%	20.8%
> € 20bn		18.1%	70.3%
Total		100.0%	100.0%
VOLATILITY STRATEGIES
Mandatory Arbitrage					Convertible Arbitrage
Mandatory delta in percent weighted by asset value		99.0%		Premium to conversion weighted by asset value	30.9%
Mandatory skew weighted by asset value (vol pts)		1.9%		Premium to bond floor weighted by asset value	17.4%
% of portfolio credit risk			1.6%		Delta in percent weighted by asset value		57.4%
Mandatory credit spread weighted by credit risky asset value		34 bps		Portfolio Vega (by vol point) (% of AUM)		5.4 bps
Mandatory time to maturity weighted by asset value		0.8 years		Time To Maturity (years) Weighted By Asset Value	3.6 years
Portfolio gamma (delta variation for market + 1%) (% of AUM)		0.0%		Notional asset swapped (% portfolio)		0.0%
Portfolio optional theta (% of AUM)			0.0 bps		Implied volatility weighted by asset value (vol pts)	34.7%
Portfolio vega (by vol point) (% of AUM)			0.0 bps		Credit spread weighted by asset value		341.3 bps
Portfolio credit sensitivity (for 10% of credit spreads widening, in relative) (% of AUM)	0.0 bps		Portfolio credit sensitivity (for 10% of credit spreads widening, in relativ	-8.7 bps