JULY 2008 REVIEW

I.      Company Information


General information
Investment Manager                          Boussard & Gavaudan Asset
                                            Management, L.P.
Company Domicile                            Guernsey
Website                                     www.bgholdingltd.com
Management fee                              1.5% p.a.
Performance fee                             20%




              SEDOL         ISIN               Reuters      Bloomberg
EUR LSE       B28ZZQ1        GG00B1FQG453      BGHLx.L      BGHL LN
EUR           B1FQG45       GG00B1FQG453       BGHL.AS      BGHL NA
Euronext
GBX LSE       B39VMM0       GG00B39VMM07       BGHS.L       BGHS LN
GBX Euronext  B39VMM1       GG00B39VMM07       BGHS.AS      BGHS NA



II.   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 deliver an exposure to multiple
alternative investment strategies managed by the Investment Manager.
The investment objective is to seek to produce long-term appreciation
of its assets. BGHL will seek to achieve this by investing into Sark
Fund Limited ("Sark Fund"). In addition, a proportion of the net
assets of the BGHL may, at the discretion of the Investment Manager,
be invested in other hedge funds and/or other financial assets
selected by the Investment Manager. As at today's note, two
investments have been made. BGHL aims to generate a target annualised
return in excess of 10% (net of all fees).

III.     Share information


NAV                                  Euro Shares      Sterling Shares
Estimated NAV                        ¤10.3971         £9.8630
Estimated Month to date              -1.09%           -1.37%
return
Estimated Year to date return        -6.33%           -1.37%
Estimated Inception to date return   3.97%            -1.37%



Euro Shares                          Amsterdam (AEX)     London (LSE)
Market close                         ¤8.75               ¤8.50
Premium / discount to estimated      -15.84%             -18.25%
NAV



Sterling Shares                      Amsterdam (AEX)     London (LSE)
Market close                         n/a                 GBX 810.00
Premium / discount to estimated      n/a                 -17.87%
NAV


In the context of the current discount to NAV, the Company continues
to purchase some of its own shares into treasury.


                            Euro Shares      Sterling Shares
Shares issued               83,958,598       5,117,202
Shares held in treasury     3,003,599        -
Shares outstanding          80,954,999       5,117,202




Total value of the investments of BGHL based on the      ¤906 million
estimated NAV for the shares outstanding
Market capitalisation of BGHL based on the share
price for
the shares outstanding                                   ¤761 million
Amsterdam (AEX) market close for the Euro Shares &
London (LSE)
market close for the Sterling shares


IV.      BGHL Composition

The proceeds of the initial public offering of BGHL have been
invested into the Sark Fund as of October 31, 2006 (net of a certain
amount retained by BGHL for working capital requirements). The
proceeds of the secondary offering of BGHL (approximately ¤534
million) have been entirely invested into the Sark Fund: ¤530 million
as of July 1, 2007 and approximately ¤4 million as of August 1, 2007
(as a result of the over-allotment).

In addition to having 100% of its proceeds invested into the Sark
Fund, BGHL is invested in private equity companies.

A.     Sark Fund Limited

Note that trade examples detailed in each strategy below are among
the best and worst performances of the month.

                                 ***

European equities markets ended the month slightly up at 0.45% after
having touched their lowest point of the year mid-July at 3,142.7.
Equities' volatilities were a touch lower despite the increase in
realised volatilities with the VDAX index down to 21% from 22% and
the VStoxx index down to 23.3% from 24.7%. Corporate credit spreads
remained globally flat in July with the Itraxx Crossover marginally
wider at 521bps.

Credit strategies
Credit strategies performed poorly in July and weighed -29bps* on the
fund's return.

Whilst our Capital Structure Arbitrage portfolio was up on the month,
we suffered from the re-pricing of three of our stressed positions.
We took advantage of this move to add risk on one of our cable
investments. Indeed, several liquidations, at the beginning of July,
created significant misalignments between amortizing and bullet
instruments within this particular capital structure.

Our investments in stressed credits are expressed only through cash
instruments, which have continued to underperform derivatives since
the beginning of the year. In this instance, it has been profitable
to reduce temporarily our CDS hedges. We will look to add shorts in
any significant tightening of the credit indices in August and
September. Indeed the appearance of calm created by the spread
stability of the iTraxx indices contrasts strongly with the
continuing pain in the credit financing markets.

As we said in June, we are still at the onset of a credit cycle, and
therefore are only parsimoniously allocating capital to very specific
situations, as we do not think risk/reward is ultra compelling on
most short-term directional trades right now. On the positive side,
there are extreme levels of negative sentiment, continued policy
intervention and better-than-feared earnings results. On the negative
side, there is an underlying weakening trend in earnings
fundamentals, limited stability in the financial sector, and an
ever-worsening mix for the consumer. Therefore, in the absence of
defaults (bar Belvedere which is a very interesting situation, and
which we are monitoring very closely) we are not convinced that there
is a clear directional trade in credit spreads in the short term.

Equity Strategies
Equity strategies contributed a negative 5bps* in July. Our
long-standing investment in the French retailer Camaïeu contributed
negatively as its retail hedges rallied a bit this month. Negative
performance was also recorded in our positions in GFI Informatique,
Vallourec, and Friends Provident. On the positive side, Seat Pagine
Gialle contributed positively in July as it announced it had repaid a
loan ahead of schedule and also hired advisers to review the
strategic options available for some of its foreign operations. Our
investment in IFI/IFIL also performed well during the month as the
holding discount recovered from the placement by a large shareholder
in June and also benefited from better than expected interim results
at Fiat and IFIL's placement of half of its stake in the Italian Bank
Intesa Sanpaolo for almost ¤500m.

Volatility strategies
Convertible bond arbitrage
Our convertible bond book contributed a negative 78bps* to the
performance of the fund in July. Whilst the market environment was
slightly better if anything, European convertibles continued to
suffer from a lack of new issuance (with no deal of any significance
printed on the European primary market since the difficult issue of a
¤275m exchangeable bond into Thomas Cook by Arcandor at the end of
June), continued selling and book reduction across the board, and
extremely low liquidity, which led to sharp moves in the valuation of
some bonds. With most market makers having much reduced the size of
their books and the capital dedicated to convertibles trading, it is
at the same time very difficult to find bids and to lift paper for
size. This resulted in some bonds loosing or gaining up to 2 points
(ie. up to 4 to 5 vega points for a balanced convertible) in volumes
of less than a couple of million Euros.
In this context, the bulk of our losses came from our position in the
Fortis Convertible And Subordinated Hybrid Equity-linked Securities
('CASHES'), which continued to suffer from the slide in the
underlying share price, and the widening of Fortis' tier one spreads.
This bond remains very volatile and clearly suffers from the heavy
overall supply of Fortis' tier one equity-linked instruments (¤1.25bn
of 'FRESH' securities, ¤3.0bn of CASHES out of which ¤1.8bn was
placed onto the market, and ¤2.0bn of subordinated mandatory
convertible bonds). We continue to firmly believe that the
CASHES convertibles exhibit an extremely attractive profile,
currently offering a yield in excess of ~11% (3-mth Euribor + 200bp
for a bond trading at ~64% of par), or even ~15% on a delta hedge
basis, for a superior tier one risk given the Alternative Coupon
Satisfaction Method clause in the bonds which allow or oblige (in
certain circumstances) the issuer to pay the coupons in shares,
whilst at the same time he may suspend coupon payments on its
non-innovative tier one bonds.

Our other credit sensitive convertibles resisted well, despite the
on-going pressure on cash instruments. We sold our position in the
Nakheel 2011 pre-IPO Sukuk convertible, as we believe this position
does not offer an attractive risk/reward profile anymore, and as we
decided to reduce such convergence trades in order to increase our
arbitrage trades where we believe we should continue to concentrate
our efforts.

Mandatory convertible bond arbitrage
Our mandatory convertible bonds positions continued to suffer,
contributing a negative 78bps* to the fund's performance in July,
with most of the losses being borne by our trade in the UBS into BBVA
mandatory exchangeable. Despite the tightening of UBS' 5-yr CDS
spread over the month, and the continued decline in BBVA's share
price (which eventually reduces the credit exposure to UBS as the
claim on the parity value of the bonds decreases), the bonds
continued to slide in value (on a delta hedge basis) in no or
extremely low volumes, exacerbating the lack of buyers in the
European mandatories market.

This lack of demand was also illustrated by the recent issue of
3-year mandatory exchangeable bonds by Fresenius. The bonds issued by
Fresenius SE are exchangeable into shares of the issuer's subsidiary
Fresenius Medical Care. Despite a very strong structure (with the
shares underlying the bonds well pledged and secured for the benefit
of bondholders), a very good prospectus (with strong protection for
dividends, takeovers, partial tenders at a premium to market price,
and even an acceleration clause in case of a credit downgrade of the
issuer of more than two notches, which effectively provides
bondholders with a put on Fresenius' credit), and an attractive
pricing (strikes set at 100% / 118%, coupon of 5.625%, giving an
implied skew in excess of 10%, with no delta risk since the bonds
were sold on swap), the ¤554m deal attracted only limited interest
with reportedly less than a dozen of accounts in the book. We
participated in this new issue.

Activity on the secondary market remained relatively limited,
although we managed to selectively increase some of our positions.
Most of the bonds in the European convertible universe
offer extremely compelling returns on equity, whilst at the same time
offering a good level of diversity in terms of risks, and a gradual
redemption schedule (e.g. December 2008 for Swiss Re, June 2009 for
Bayer, September 2009 for Vallourec, etc.) providing for a clear and
defined horizon for extracting the cheapness of these bonds.
Therefore, we are more than ever convinced that mandatory arbitrage
represents the most interesting area of opportunities for the Sark
Fund.

Corporate warrant arbitrage
Corporate warrant arbitrage contributed 1bp* this month as we unwound
our trade in the Credit Agricole rights following the completion of
the ¤5.9bn capital increase by the French bank.

Gamma Trading
Gamma trading contributed a total of 54bps* to the performance of the
fund in July. We benefited from high levels of realised volatility
across sectors and especially in the financials space. Financial
stocks moved sharply higher on a combination of better than expected
results from US banks and profit taking on the crowded short
positions. We also benefited from our long insurance volatility after
the Munich Re profit warning, and our long volatility in the auto
sector.

Trading
Trading was flat in July.

As of August 1, 2008, Sark Master Fund Limited's assets under
management were approximately ¤1.8bn.


Annex 1: Greeks


                                  Greeks
Delta                             1.47%    1.47 bps P&L variation for
                                           market +1%
Gamma                             2.76%    Delta variation for market
                                           +1%
Vega                              16.1 bps By vol point
Vega with maturity weight         21.5 bps By vol point
(1/sqrt(T))
Theta                             -2.5 bps By day
Rho                               -0.1 bps For 1 bp of interest rates
                                           increasing
Credit sensitivity                -2.6 bps For 1 bp of credit spreads
                                           widening


Annex 2: Performance attribution


Contribution to the performance*

Credit strategies                    -29 bps
Credit                               -31 bps
Capital Structure Arbitrage          2 bps
Equity strategies                    -5 bps
Risk Arbitrage / Special Situations  14 bps
Value with Catalyst / Value          -19 bps
Volatility strategies                -101 bps
Mandatory Convertible Bond Arbitrage -78 bps
Convertible Bond Arbitrage           -78 bps
Gamma Trading                        54 bps
Warrant Arbitrage                    1 bps
Trading                              0 bps


Annex 3: Equity at Risk


                                                  Equity at Risk
Credit Strategies                                 9.9%
Credit                                            9.0%
Capital Structure Arbitrage                       0.4%
Restructurings                                    0.5%
Equity Strategies                                 16.1%
Risk Arbitrage                                    0.9%
Special Situations                                4.2%
Value with Catalyst                               10.2%
Value                                             0.7%
Volatility Strategies                             27.9%
Mandatory Arbitrage                               22.1%
Convertible Bond Arbitrage                        4.1%
Gamma Trading                                     1.7%
Warrants Arbitrage                                0.0%
Trading                                           1.3%
Trading                                           1.3%
Total                                             55.1%


Annex 4: Historical returns summary

Euro share class



Year  Jan    Feb   Mar   Apr   May   Jun    Jul    Aug   Sep   Oct   Nov   Dec   YTD     ITD
2003   -      -   0.75% 0.76% 0.82% 1.04%  0.93%  1.06% 1.18% 1.55% 1.05% 0.17% 9.69%   9.69%
2004 1.07%    -   1.03% 0.22% 0.14%   -    -0.42%   -     -     -   1.18% 1.07% 2.81%  12.77%
            0.12%                   0.29%         0.42% 0.19% 0.49%
2005 1.70%  1.06% 1.09%   -   0.27% 1.27%  1.16%  0.50% 1.00%   -   0.71% 0.77% 8.70%  22.58%
                        0.69%                                 0.44%
2006 -0.18% 1.56% 1.64% 0.86%   -   1.35%  0.40%  1.56% 2.73% 2.90% 2.34% 2.91% 18.99% 45.85%
                              0.47%
2007 3.14%  1.46% 4.67% 0.74% 1.39% -2.24% 0.87%    -     -   1.83%   -     -   5.85%  54.38%
                                                  2.20% 0.31%       2.15% 1.24%
2008   -      -     -   1.10% 1.13%   -      -      -     -     -     -     -     -    45.41%*
     2.08%  0.01% 2.35%             2.33%  1.35%*                               5.81%*



US Dollar share class


Year  Jan   Feb   Mar   Apr   May   Jun    Jul    Aug   Sep   Oct   Nov   Dec   YTD     ITD
2003   -     -   0.67% 0.70% 0.77% 0.94%  0.84%  0.97% 1.15% 1.46% 1.01% 0.15% 9.00%   9.00%
2004 1.00%   -   0.96% 0.13% 0.07%   -    -0.47%   -     -     -   1.16% 1.06% 2.08%  11.27%
           0.17%                   0.35%         0.47% 0.24% 0.59%
2005 1.66% 1.08% 1.09%   -   0.31% 1.30%  1.22%  0.62% 1.06%   -   0.81% 0.89% 9.45%  21.79%
                       0.64%                                 0.32%
2006   -   1.64% 1.78% 1.08%   -   1.49%  0.56%  1.74% 2.83% 3.06% 2.64% 3.01% 21.29% 47.72%
     0.01%                   0.29%
2007 3.19% 1.58% 4.82% 0.89% 1.45% -2.15% 0.97%    -     -   1.92%   -     -   6.97%  58.02%
                                                 2.12% 0.22%       2.13% 1.17%
2008   -     -     -   1.02% 0.98%   -      -      -     -     -     -     -     -    47.39%*
     2.12% 0.07% 2.57%             2.52%  1.57%*                               6.73%*



ANNEX 5: MACROECONOMIC RISKS THROUGH STRESS TESTS

*  General stress tests


             Scenario                  Description            Impact
                                                             % of NAV
                               Spot : 10% ; Credit : 0% ;
1   Delta - spot up            Vol : 0% ; Rates : 0%            1.25%
                               Spot : -10% ; Credit : 0% ;
2   Delta - spot down          Vol : 0% ; Rates : 0%            1.42%
                               Spot : 0% ; Credit : 0% ;
3   Vega - vol up              Vol : 10% ; Rates : 0%           0.49%
                               Spot : 0% ; Credit : 0% ;
4   Vega - vol down            Vol : -10% ; Rates : 0%         -0.48%
                               Spot : 0% ; Credit : 25% ;
5   Credit spread widen        Vol : 0% ; Rates : 0%           -2.08%
                               Spot : 0% ; Credit : -25% ;
6   Credit spread tighten      Vol : 0% ; Rates : 0%            2.36%
                               Spot : -10% ; Credit : 50%
7   Market crash 1             ; Vol : 30% ; Rates : 0%        -1.19%
                               Spot : -20% ; Credit : 75%
8   Market crash 2             ; Vol : 50% ; Rates : 0%         1.34%
                               Spot : -30% ; Credit : 100%
9   Market crash 3             ; Vol : 70% ; Rates : 0%         4.88%
                               Spot : -10% ; Credit : 50%
                               ; Vol : 30% ; Rates :
10  Market crash, rates down 1 -12.5%                          -1.11%
                               Spot : -20% ; Credit : 75%
                               ; Vol : 50% ; Rates :
11  Market crash, rates down 2 -12.5%                           1.41%
                               Spot : -30% ; Credit : 100%
                               ; Vol : 70% ; Rates :
12  Market crash, rates down 3 -12.5%                           4.93%
                               Spot : -10% ; Credit : 50%
13  Market crash, rates up 1   ; Vol : 30% ; Rates : 12.5%     -1.27%
                               Spot : -20% ; Credit : 75%
14  Market crash, rates up 2   ; Vol : 50% ; Rates : 12.5%      1.28%
                               Spot : -30% ; Credit : 100%
15  Market crash, rates up 3   ; Vol : 70% ; Rates : 12.5%      4.83%
    Equity Credit              Spot : 5% ; Credit : 25% ;
16  decorrelation 1            Vol : 0% ; Rates : 0%           -1.68%
    Equity Credit              Spot : 5% ; Credit : 25% ;
17  decorrelation 2            Vol : 10% ; Rates : 0%          -1.23%
    Equity Credit              Spot : 5% ; Credit : 25% ;
18  decorrelation 3            Vol : -10% ; Rates : 0%         -2.10%
    Equity Credit              Spot : -5% ; Credit : -25%
19  decorrelation 4            ; Vol : 10% ; Rates : 0%         3.17%
    Equity Credit              Spot : -5% ; Credit : -25%
20  decorrelation 5            ; Vol : -10% ; Rates : 0%        2.18%
    Equity Credit              Spot : 0% ; Credit : 25% ;
21  decorrelation 6            Vol : 10% ; Rates : 0%          -1.59%
    Equity Credit              Spot : 0% ; Credit : 25% ;
22  decorrelation 7            Vol : -10% ; Rates : 0%         -2.55%
                               Spot : 5% ; Credit : -25% ;
23  Market rally 1             Vol : -10% ; Rates : 0%          2.30%
                               Spot : 5% ; Credit : -25% ;
24  Market rally 2             Vol : 0% ; Rates : 0%            2.72%
                               Spot : 5% ; Credit : -25% ;
25  Market rally 3             Vol : 10% ; Rates : 0%           3.17%
                               Spot : 10% ; Credit : -25%
26  Market rally 4             ; Vol : -10% ; Rates : 0%        3.21%
                               Spot : 10% ; Credit : -25%
27  Market rally 5             ; Vol : 0% ; Rates : 0%          3.57%
                               Spot : 10% ; Credit : -25%
28  Market rally 6             ; Vol : 10% ; Rates : 0%         3.98%
                               Spot : 5% ; Credit : -25% ;
29  Market rally, Inflation 1  Vol : -10% ; Rates : 12.5%       2.14%
                               Spot : 5% ; Credit : -25% ;
30  Market rally, Inflation 2  Vol : 0% ; Rates : 12.5%         2.56%
                               Spot : 5% ; Credit : -25% ;
31  Market rally, Inflation 3  Vol : 10% ; Rates : 12.5%        3.00%
                               Spot : 10% ; Credit : -25%
                               ; Vol : -10% ; Rates :
32  Market rally, Inflation 4  12.5%                            3.06%
                               Spot : 10% ; Credit : -25%
33  Market rally, Inflation 5  ; Vol : 0% ; Rates : 12.5%       3.42%
                               Spot : 10% ; Credit : -25%
34  Market rally, Inflation 6  ; Vol : 10% ; Rates : 12.5%      3.82%
                               Spot : 5% ; Credit : -25% ;
35  Market rally, Inflation 7  Vol : -10% ; Rates : 25%         2.00%
                               Spot : 5% ; Credit : -25% ;
36  Market rally, Inflation 8  Vol : 0% ; Rates : 25%           2.40%
                               Spot : 5% ; Credit : -25% ;
37  Market rally, Inflation 9  Vol : 10% ; Rates : 25%          2.84%
                               Spot : 10% ; Credit : -25%
38  Market rally, Inflation 10 ; Vol : -10% ; Rates : 25%       2.93%
                               Spot : 10% ; Credit : -25%
39  Market rally, Inflation 11 ; Vol : 0% ; Rates : 25%         3.27%
                               Spot : 10% ; Credit : -25%
40  Market rally, Inflation 12 ; Vol : 10% ; Rates : 25%        3.67%
    Worst                                                      -2.55%


* Stress tests with small and mid caps adjustments


             Scenario                  Description            Impact
                                                             % of NAV
                               Spot : 10% ; Credit : 0% ;
1   Delta - spot up            Vol : 0% ; Rates : 0%            1.89%
                               Spot : -10% ; Credit : 0% ;
2   Delta - spot down          Vol : 0% ; Rates : 0%            0.79%
                               Spot : 0% ; Credit : 0% ;
3   Vega - vol up              Vol : 10% ; Rates : 0%           0.49%
                               Spot : 0% ; Credit : 0% ;
4   Vega - vol down            Vol : -10% ; Rates : 0%         -0.48%
                               Spot : 0% ; Credit : 25% ;
5   Credit spread widen        Vol : 0% ; Rates : 0%           -2.08%
                               Spot : 0% ; Credit : -25% ;
6   Credit spread tighten      Vol : 0% ; Rates : 0%            2.36%
                               Spot : -10% ; Credit : 50%
7   Market crash 1             ; Vol : 30% ; Rates : 0%        -1.83%
                               Spot : -20% ; Credit : 75%
8   Market crash 2             ; Vol : 50% ; Rates : 0%         0.08%
                               Spot : -30% ; Credit : 100%
9   Market crash 3             ; Vol : 70% ; Rates : 0%         2.99%
                               Spot : -10% ; Credit : 50%
                               ; Vol : 30% ; Rates :
10  Market crash, rates down 1 -12.5%                          -1.75%
                               Spot : -20% ; Credit : 75%
                               ; Vol : 50% ; Rates :
11  Market crash, rates down 2 -12.5%                           0.15%
                               Spot : -30% ; Credit : 100% ;
12  Market crash, rates down 3 Vol : 70% ; Rates : -12.5%       3.05%
                               Spot : -10% ; Credit : 50%
13  Market crash, rates up 1   ; Vol : 30% ; Rates : 12.5%     -1.90%
                               Spot : -20% ; Credit : 75%
14  Market crash, rates up 2   ; Vol : 50% ; Rates : 12.5%      0.02%
                               Spot : -30% ; Credit : 100% ;
15  Market crash, rates up 3   Vol : 70% ; Rates : 12.5%        2.95%
    Equity Credit              Spot : 5% ; Credit : 25% ;
16  decorrelation 1            Vol : 0% ; Rates : 0%           -1.36%
    Equity Credit              Spot : 5% ; Credit : 25% ;
17  decorrelation 2            Vol : 10% ; Rates : 0%          -0.91%
    Equity Credit              Spot : 5% ; Credit : 25% ;
18  decorrelation 3            Vol : -10% ; Rates : 0%         -1.77%
    Equity Credit              Spot : -5% ; Credit : -25%
19  decorrelation 4            ; Vol : 10% ; Rates : 0%         2.86%
    Equity Credit              Spot : -5% ; Credit : -25%
20  decorrelation 5            ; Vol : -10% ; Rates : 0%        1.87%
    Equity Credit              Spot : 0% ; Credit : 25% ;
21  decorrelation 6            Vol : 10% ; Rates : 0%          -1.59%
    Equity Credit              Spot : 0% ; Credit : 25% ;
22  decorrelation 7            Vol : -10% ; Rates : 0%         -2.55%
                               Spot : 5% ; Credit : -25% ;
23  Market rally 1             Vol : -10% ; Rates : 0%          2.62%
                               Spot : 5% ; Credit : -25% ;
24  Market rally 2             Vol : 0% ; Rates : 0%            3.04%
                               Spot : 5% ; Credit : -25% ;
25  Market rally 3             Vol : 10% ; Rates : 0%           3.49%
                               Spot : 10% ; Credit : -25%
26  Market rally 4             ; Vol : -10% ; Rates : 0%        3.85%
                               Spot : 10% ; Credit : -25%
27  Market rally 5             ; Vol : 0% ; Rates : 0%          4.21%
                               Spot : 10% ; Credit : -25%
28  Market rally 6             ; Vol : 10% ; Rates : 0%         4.62%
                               Spot : 5% ; Credit : -25% ;
29  Market rally, Inflation 1  Vol : -10% ; Rates : 12.5%       2.46%
                               Spot : 5% ; Credit : -25% ;
30  Market rally, Inflation 2  Vol : 0% ; Rates : 12.5%         2.87%
                               Spot : 5% ; Credit : -25% ;
31  Market rally, Inflation 3  Vol : 10% ; Rates : 12.5%        3.32%
                               Spot : 10% ; Credit : -25%
                               ; Vol : -10% ; Rates :
32  Market rally, Inflation 4  12.5%                            3.71%
                               Spot : 10% ; Credit : -25%
33  Market rally, Inflation 5  ; Vol : 0% ; Rates : 12.5%       4.06%
                               Spot : 10% ; Credit : -25%
34  Market rally, Inflation 6  ; Vol : 10% ; Rates : 12.5%      4.46%
                               Spot : 5% ; Credit : -25% ;
35  Market rally, Inflation 7  Vol : -10% ; Rates : 25%         2.32%
                               Spot : 5% ; Credit : -25% ;
36  Market rally, Inflation 8  Vol : 0% ; Rates : 25%           2.72%
                               Spot : 5% ; Credit : -25% ;
37  Market rally, Inflation 9  Vol : 10% ; Rates : 25%          3.16%
                               Spot : 10% ; Credit : -25%
38  Market rally, Inflation 10 ; Vol : -10% ; Rates : 25%       3.57%
                               Spot : 10% ; Credit : -25%
39  Market rally, Inflation 11 ; Vol : 0% ; Rates : 25%         3.92%
                               Spot : 10% ; Credit : -25%
40  Market rally, Inflation 12 ; Vol : 10% ; Rates : 25%        4.32%
    Worst                                                      -2.55%



* Stress tests assuming a third of risk arbitrage trades breaks in
case market drops by more than 10%


             Scenario                  Description            Impact
                                                             % of NAV
                               Spot : 10% ; Credit : 0% ;
1   Delta - spot up            Vol : 0% ; Rates : 0%            1.30%
                               Spot : -10% ; Credit : 0% ;
2   Delta - spot down          Vol : 0% ; Rates : 0%            1.36%
                               Spot : 0% ; Credit : 0% ;
3   Vega - vol up              Vol : 10% ; Rates : 0%           0.49%
                               Spot : 0% ; Credit : 0% ;
4   Vega - vol down            Vol : -10% ; Rates : 0%         -0.48%
                               Spot : 0% ; Credit : 25% ;
5   Credit spread widen        Vol : 0% ; Rates : 0%           -2.08%
                               Spot : 0% ; Credit : -25% ;
6   Credit spread tighten      Vol : 0% ; Rates : 0%            2.36%
                               Spot : -10% ; Credit : 50%
7   Market crash 1             ; Vol : 30% ; Rates : 0%        -1.25%
                               Spot : -20% ; Credit : 75%
8   Market crash 2             ; Vol : 50% ; Rates : 0%         0.97%
                               Spot : -30% ; Credit : 100%
9   Market crash 3             ; Vol : 70% ; Rates : 0%         4.32%
                               Spot : -10% ; Credit : 50%
                               ; Vol : 30% ; Rates :
10  Market crash, rates down 1 -12.5%                          -1.17%
                               Spot : -20% ; Credit : 75%
                               ; Vol : 50% ; Rates :
11  Market crash, rates down 2 -12.5%                           1.04%
                               Spot : -30% ; Credit : 100% ;
12  Market crash, rates down 3 Vol : 70% ; Rates : -12.5%       4.37%
                               Spot : -10% ; Credit : 50%
13  Market crash, rates up 1   ; Vol : 30% ; Rates : 12.5%     -1.32%
                               Spot : -20% ; Credit : 75%
14  Market crash, rates up 2   ; Vol : 50% ; Rates : 12.5%      0.91%
                               Spot : -30% ; Credit : 100% ;
15  Market crash, rates up 3   Vol : 70% ; Rates : 12.5%        4.28%
    Equity Credit              Spot : 5% ; Credit : 25% ;
16  decorrelation 1            Vol : 0% ; Rates : 0%           -1.65%
    Equity Credit              Spot : 5% ; Credit : 25% ;
17  decorrelation 2            Vol : 10% ; Rates : 0%          -1.20%
    Equity Credit              Spot : 5% ; Credit : 25% ;
18  decorrelation 3            Vol : -10% ; Rates : 0%         -2.07%
    Equity Credit              Spot : -5% ; Credit : -25%
19  decorrelation 4            ; Vol : 10% ; Rates : 0%         3.15%
    Equity Credit              Spot : -5% ; Credit : -25%
20  decorrelation 5            ; Vol : -10% ; Rates : 0%        2.16%
    Equity Credit              Spot : 0% ; Credit : 25% ;
21  decorrelation 6            Vol : 10% ; Rates : 0%          -1.59%
    Equity Credit              Spot : 0% ; Credit : 25% ;
22  decorrelation 7            Vol : -10% ; Rates : 0%         -2.55%
                               Spot : 5% ; Credit : -25% ;
23  Market rally 1             Vol : -10% ; Rates : 0%          2.33%
                               Spot : 5% ; Credit : -25% ;
24  Market rally 2             Vol : 0% ; Rates : 0%            2.75%
                               Spot : 5% ; Credit : -25% ;
25  Market rally 3             Vol : 10% ; Rates : 0%           3.20%
                               Spot : 10% ; Credit : -25%
26  Market rally 4             ; Vol : -10% ; Rates : 0%        3.26%
                               Spot : 10% ; Credit : -25%
27  Market rally 5             ; Vol : 0% ; Rates : 0%          3.62%
                               Spot : 10% ; Credit : -25%
28  Market rally 6             ; Vol : 10% ; Rates : 0%         4.03%
                               Spot : 5% ; Credit : -25% ;
29  Market rally, Inflation 1  Vol : -10% ; Rates : 12.5%       2.17%
                               Spot : 5% ; Credit : -25% ;
30  Market rally, Inflation 2  Vol : 0% ; Rates : 12.5%         2.58%
                               Spot : 5% ; Credit : -25% ;
31  Market rally, Inflation 3  Vol : 10% ; Rates : 12.5%        3.03%
                               Spot : 10% ; Credit : -25%
                               ; Vol : -10% ; Rates :
32  Market rally, Inflation 4  12.5%                            3.11%
                               Spot : 10% ; Credit : -25%
33  Market rally, Inflation 5  ; Vol : 0% ; Rates : 12.5%       3.46%
                               Spot : 10% ; Credit : -25%
34  Market rally, Inflation 6  ; Vol : 10% ; Rates : 12.5%      3.87%
                               Spot : 5% ; Credit : -25% ;
35  Market rally, Inflation 7  Vol : -10% ; Rates : 25%         2.02%
                               Spot : 5% ; Credit : -25% ;
36  Market rally, Inflation 8  Vol : 0% ; Rates : 25%           2.42%
                               Spot : 5% ; Credit : -25% ;
37  Market rally, Inflation 9  Vol : 10% ; Rates : 25%          2.87%
                               Spot : 10% ; Credit : -25%
38  Market rally, Inflation 10 ; Vol : -10% ; Rates : 25%       2.98%
                               Spot : 10% ; Credit : -25%
39  Market rally, Inflation 11 ; Vol : 0% ; Rates : 25%         3.32%
                               Spot : 10% ; Credit : -25%
40  Market rally, Inflation 12 ; Vol : 10% ; Rates : 25%        3.72%
    Worst                                                      -2.55%


B.     Private Equity Investments

The private equity investment, entered into on May 23, 2007 and
financed by a loan facility, is in the unlisted securities resulting
from the public offer made by Apollo on Countrywide Plc, the largest
network of UK real estate agents. BGHL holds Castle HoldCo 1 Ltd
shares and Castle HoldCo 2 Ltd debt securities.

The historical price paid by BGHL for the unlisted securities was
approximately £12m. The Investment Manager acquired its investment in
Castle HoldCo for BGHL from certain other funds it manages. The
purchase price paid by BGHL for the unlisted securities was equal to
the cost to those other funds of acquiring those unlisted securities.

The Castle HoldCo investment is reviewed by a valuation committee
which meets quarterly and has an independent member appointed by the
board of BGHL. The investment has been marked down after the June
quarterly review of the valuation committee.

The Company entered into a second small private equity investment in
Rasaland on June 27, 2008 for $10m. This investment is currently
marked at cost.

Both investments represent just over 1% of its assets under
management.

BOUSSARD & GAVAUDAN ASSET MANAGEMENT UPDATE

Dual listing
The Company announced on July 28, 2008 that the admission to listing
and trading of the Sterling Shares on Euronext Amsterdam by NYSE
Euronext took place on an "as-if-and-when-issued" basis on July 28,
2008 ("Amsterdam Admission"). The Company also announced that the
admission of the Sterling Shares and Euro Shares to the Official List
of the UK Listing Authority and to trading on the London Stock
Exchange plc's main market for listed securities occurred on July 28,
2008 ("London Admission", together with the Amsterdam Admission,
"Admission").

Conversion
The Company announced the result of the facility to convert existing
holdings of euro shares in the Company ("Euro Shares") into a new
sterling class of shares in the Company (the "Sterling Shares") (the
"Conversion") for the June 30, 2008 conversion calculation date (the
"June Conversion Calculation Date").

Conversion requests
The aggregate number of Euro Shares for which conversion request
forms were received for the June Conversion Calculation Date was:
                        6,154,537 Euro Shares
Conversion ratio
The net asset value per share of the Euro Shares as at the June
Conversion Calculation Date was:
                              ¤10.5114

The spot currency conversion rate as at the June Conversion
Calculation Date was:
                            ¤1 : £0.7910

On the basis of the above, the conversion ratio for the Euro Shares
to Sterling Shares is:
          0.831452 Sterling Shares for every one Euro Share

Results of conversion
As a result of the conversion, the number of Euro Shares listed on
Euronext Amsterdam has been reduced by 6,154,537. With effect from
Admission, the issued share capital of B&G Holding will be:

                       83,958,598 Euro Shares
                      5,117,202 Sterling Shares

Sterling Shares
The starting net asset value per share of the Sterling Shares was
£10, as at the conversion calculation date on June 30, 2008.
The conversion ratio of 0.831452 for the Euro Shares to Sterling
Shares was calculated as at June 30, 2008 based on:
- a net asset value per share of the Sterling Shares of £10
- a net asset value per share of the Euro Shares of ¤10.5114
- a spot currency conversion rate of ¤1 : £0.7910.

Next conversion
The next conversion calculation date will be September 30, 2008 (the
"September Conversion Calculation Date"). Shareholders wishing to
convert between share classes should complete the appropriate
conversion request form, which will be available from the Company's
website.

Transaction in the Company's securities
Please note that transactions in the Company's securities that have
been performed by officers, directors and persons referred to in the
section 5:60 of the Financial Supervision Act ("Wft") are reported:
-        directly on the AFM website: www.afm.nl  (public database >
notification > insider-transactions 5:60 wft);
-        on the Company's website through a link to the AFM
notification: www.bgholdingltd.com (Investment Manager > Regulatory
information).
Transactions in the Company's own securities are also reported on:
-        the AFM website: www.afm.nl  (public database > notification
> price-sensitive press releases);
-        the Company's website: www.bgholdingltd.com (Investor
Relations > Financial announcements).

Sincerely,

E. Boussard & E. Gavaudan


Contact information

Investors
Boussard & Gavaudan Asset Management, LP
Emmanuel Gavaudan
1 Dover Street
London W1S 4LA

Media
Financial Dynamics
Robert Bailhache / Nick Henderson
Holborn Gate
26 Southhampton Buildings
London WC2A 1PB

Disclaimer

This newsletter contains forward-looking statements, including
statements relating to market conditions and environments, estimated
performance of investment strategies, investment activities and
funding of BGHL.  Such forward-looking statements involve unknown
risk, uncertainties and other factors, which may cause the actual
results, financial condition, performance or achievement of BGHL, or
market conditions or investment strategies, to be materially
different from any future results, performance or achievements
expressed or implied by such forward-looking statements.  BGHL does
not undertake an obligation to update its forward-looking statements
to reflect future events.

This announcement is not (i) an offer to sell or a solicitation of
any offer to buy the ordinary shares of BGHL (the "Securities") or
any other securities in the United States or in any other
jurisdiction, (ii) any invitation or inducement to engage in
investment activity or financial promotion of any kind, or (iii)
investment advice or a recommendation.
BGHL is established as an investment company domiciled in Guernsey.
BGHL has received the necessary approval of the Guernsey Financial
Services Commission and the States of Guernsey Policy Council. BGHL
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.

You should always bear in mind that:

  * all investment is subject to risk;

  * results in the past are no guarantee of future results;

  * the investment performance of BGHL may go down as well as up.
    You may not get back all of your original investment; and

  * if you are in any doubt about the contents of this communication
    or if you consider making an investment decision, you are advised
    to seek expert financial advice.

BGHL has not been and will not be registered under the US Investment
Company Act of 1940, as amended (the "Investment Company Act").  In
addition, the Securities have not been and will not be registered
under the US Securities Act of 1933, as amended (the "Securities
Act").  Consequently, the Securities may not be offered, sold or
otherwise transferred within the United States or to, or for the
account or benefit of, US persons except in accordance with the
Securities Act or an exemption therefrom and under circumstances
which will not require BGHL to register under the Investment Company
Act.  Accordingly, US Persons acquiring the Securities are subject to
significant restrictions on transfer.  In addition, US persons who
are not qualified purchasers (within the meaning of section 3(c)(7)
of the Investment Company Act) will be prohibited from purchasing the
Securities at any time, including on the secondary market.  No public
offering of the Securities has been or will be made in the United
States.

This communication is for information purposes only and the
information contained in this communication should not be relied upon
as a substitute for financial or other professional advice.


* Estimated figures

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