BGHL August 2008 newsletter
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 Euronext B1FQG45 GG00B1FQG453 BGHL.AS BGHL NA
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).
I. Share information
NAV Euro Shares Sterling Shares
Estimated NAV ¤10.4112 £9.8372
Estimated Month to date return 0.24% -0.18%
Estimated Year to date return -6.21% -1.63%
Estimated Inception to date return 4.11% -1.63%
Euro Shares Amsterdam (AEX) London (LSE)
Market close ¤8.40 ¤8.50
Premium / discount to estimated NAV -19.32% -18.36%
Sterling Shares Amsterdam (AEX) London (LSE)
Market close n/a GBX 825.00
Premium / discount to estimated NAV n/a -16.13%
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 4,918,110 1,000
Shares outstanding 79,040,488 5,116,202
Total value of the investments of BGHL based on the ¤885 million
estimated NAV for the shares outstanding
Market capitalisation of BGHL based on the share
price for the shares outstanding ¤716 million
Amsterdam (AEX) market close for the Euro Shares &
London (LSE) market close for the Sterling shares
II. 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.
Commentary and highlights
European equities markets were very quiet in August. The Eurostoxx 50
ended the month flat and volatilities on stock markets decreased
further with the VDAX index down to 19.7% from 21% and the VStoxx
index down to 21.1% from 23.3%. Corporate credit spreads widened to
some extent with the Itraxx Crossover at 548bps (+27 points).
Credit strategies
Credit strategies continued to perform poorly in August, and weighed
-7bps* on the fund's return. We suffered from further re-pricing on
one of our stressed positions, as liquidations from CLOs, late in the
month, drove price action. This caused a substantial re-pricing of
the debt, despite better than expected results from the company in
June. This position remains challenging, and we expect the debt to
exceed its financial leverage covenant at the end of the year. We
think the sponsor of this deal will elect to solve the situation
through an "equity cure".
Funded instruments continued to underperform CDS in August, and we
expect this behavior to prevail for the foreseeable future. The Q2
earnings season for high yield issuers is ending with, at large,
results that are not as bad as one would have feared for industrial
and chemical companies. This has challenged short risk positions in
the credit market in the 2nd half of the month, and we will take
advantage of tighter spreads to add to several hedges. Indeed, the
biggest story of recent weeks is a decisive turn for the worse in
non-US macro data. Once again, we still think we are at the onset of
a credit cycle, and therefore are looking to allocate capital only to
very specific situations. Furthermore, we do not think risk/reward is
ultra compelling on most short-term directional trades right now.
Equity Strategies
Equity strategies contributed a positive 47bps* in August. Seat
Pagine Gialle, the Italian yellow pages, contributed positively
during the month following results announcement better than market
expectations. IFI-IFIL, the Agnelli holding companies, outperformed
following the sale of Amber capital's stake to the Agnellis,
triggering speculation of corporate restructuring. GFI Informatique,
the French IT services provider, also performed on a resilient set of
results.
On the negative side, the Thomson Reuters dual listing spread widened
due to continued availability issues with the Canadian line.
Additional modest losses were spread across a number of investments
in the portfolio.
Volatility strategies
Convertible bond arbitrage
The convertible bonds book contributed a negative 40bps* to
the fund's performance in August, with a negative 60bps* actually
coming from the credit restructuring trades that were sharply
remarked down in very light trading volumes, probably more due to
market illiquidity rather than corporate fundamentals. Some of these
bonds now trade with 30% bid/offer spreads!
The rest of the convertible bond book contributed positively to the
performance of the fund, with a mix of theta from (other)
credit-sensitive names, gamma/vega from the long volatility
positions, and as the Fortis Convertible And Subordinated Hybrid
Equity-linked Securities ('CASHES') were marked slightly up. There
was no new issue in Europe in August, and our trading was extremely
limited, reflecting the very low level of activity and liquidity on
the European secondary market globally.
Mandatory convertible bond arbitrage
The mandatory convertible bond book stabilized this month, with a
negative 6bps* contribution to the performance of the fund, in a
context of muted activity, very low liquidity and lack of any
significant flows on the secondary market, apart from one block which
traded towards the end of the month. We bought that block in one of
our most short-dated mandatory positions at a very good discount and
intend to hold it until maturity. The long standing UBS/BBVA
mandatory exchangeable bond position contributed negatively as UBS'
credit spread widened on the back of the ¤1.75bn 5-year new issue by
the Swiss bank (priced at mid swaps + 165bps). On the positive side,
the Fresenius mandatory was marked up, and we benefited from strong
gamma gains on the Lukoil mandatory position on the back of the
recent volatility in the oil price and the uncertainties surrounding
the Caucasus situation. The European mandatory market continues to be
characterized by very low liquidity and a clear lack of participants,
but we remain very excited and convinced that it offers extremely
attractive opportunities for the Sark fund
Gamma Trading
Gamma trading posted a negative 10bps* to the performance of the
fund. Markets recovered from their lows recorded mid-July and
tensions about the health of the US financial system eased. As a
typical holiday season, volatilities drifted slightly lower on low
realized volatility and thin volumes. Dollar/ Oil sensitive sectors
(cars, airlines) jumped higher while implied volatilities went lower.
Trading
Trading contributed a positive 29bps* to the fund's performance,
mostly driven by the Société Générale rerating over earnings, both in
absolute and relative terms.
As of September 1, 2008, Sark Master Fund Limited's assets under
management were approximately ¤1.8bn.
Annex 1: Greeks
Greeks
Delta 1.25% 1.25 bps P&L variation for
market +1%
Gamma 2.87% Delta variation for market
+1%
Vega 17.9 bps By vol point
Vega with maturity weight 23.7 bps By vol point
(1/sqrt(T))
Theta -2.3 bps By day
Rho -0.2 bps For 1 bp of interest rates
increasing
Credit sensitivity -2.5 bps For 1 bp of credit spreads
widening
Annex 2: Performance attribution
Contribution to the performance*
Credit strategies -7 bps
Credit -5 bps
Capital Structure Arbitrage -2 bps
Equity strategies 47 bps
Risk Arbitrage / Special Situations 17 bps
Value with Catalyst / Value 31 bps
Volatility strategies -57 bps
Mandatory Convertible Bond Arbitrage -6 bps
Convertible Bond Arbitrage -40 bps
Gamma Trading -10 bps
Warrant Arbitrage -1 bps
Trading 29 bps
Total 12 bps
Annex 3: Equity at Risk
Equity at Risk
Credit Strategies 6.5%
Credit 5.7%
Capital Structure Arbitrage 0.5%
Restructurings 0.3%
Equity Strategies 15.9%
Risk Arbitrage 1.0%
Special Situations 3.8%
Value with Catalyst 10.4%
Value 0.7%
Volatility Strategies 29.3%
Mandatory Arbitrage 23.5%
Convertible Bond Arbitrage 4.2%
Gamma Trading 1.6%
Warrants Arbitrage 0.0%
Trading 1.5%
Trading 1.5%
Total 53.2%
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% - - - - - 1.18% 1.07% 2.81% 12.77%
0.12% 0.29% 0.42% 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 - 1.56% 1.64% 0.86% - 1.35% 0.40% 1.56% 2.73% 2.90% 2.34% 2.91% 18.99% 45.85%
0.18% 0.47%
2007 3.14% 1.46% 4.67% 0.74% 1.39% - 0.87% - - 1.83% - - 5.85% 54.38%
2.24% 2.20% 0.31% 2.15% 1.24%
2008 - - - 1.10% 1.13% - - 0.12%* - - - - - 45.52%*
2.08% 0.01% 2.35% 2.33% 1.39% 5.74%*
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% - - - - - 1.16% 1.06% 2.08% 11.27%
0.17% 0.35% 0.47% 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% - 0.97% - - 1.92% - - 6.97% 58.02%
2.15% 2.12% 0.22% 2.13% 1.17%
2008 - - - 1.02% 0.98% - - - - - - - - 47.32%*
2.12% 0.07% 2.57% 2.52% 1.50% 0.12* 6.77%*
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% 1.45%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% 1.31%
Spot : 0% ; Credit : 0% ; Vol
3 Vega - vol up : 10% ; Rates : 0% 0.54%
Spot : 0% ; Credit : 0% ; Vol
4 Vega - vol down : -10% ; Rates : 0% -0.49%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.06%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.35%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -1.20%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% 1.01%
Spot : -30% ; Credit : 100% ;
9 Market crash 3 Vol : 70% ; Rates : 0% 4.18%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -1.12%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% 1.08%
Spot : -30% ; Credit : 100% ;
12 Market crash, rates down 3 Vol : 70% ; Rates : -12.5% 4.23%
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% 0.95%
Spot : -30% ; Credit : 100% ;
15 Market crash, rates up 3 Vol : 70% ; Rates : 12.5% 4.14%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -1.62%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -1.08%
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% 3.18%
Equity Credit Spot : -5% ; Credit : -25% ;
20 decorrelation 5 Vol : -10% ; Rates : 0% 2.19%
Equity Credit Spot : 0% ; Credit : 25% ;
21 decorrelation 6 Vol : 10% ; Rates : 0% -1.52%
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% 2.27%
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% 3.30%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 3.32%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 3.77%
Spot : 10% ; Credit : -25% ;
28 Market rally 6 Vol : 10% ; Rates : 0% 4.30%
Spot : 5% ; Credit : -25% ;
29 Market rally, Inflation 1 Vol : -10% ; Rates : 12.5% 2.10%
Spot : 5% ; Credit : -25% ;
30 Market rally, Inflation 2 Vol : 0% ; Rates : 12.5% 2.59%
Spot : 5% ; Credit : -25% ;
31 Market rally, Inflation 3 Vol : 10% ; Rates : 12.5% 3.14%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 3.17%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 3.62%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 4.16%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 1.95%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.44%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 2.99%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 3.03%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 3.50%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 4.04%
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% 2.17%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% 0.63%
Spot : 0% ; Credit : 0% ; Vol
3 Vega - vol up : 10% ; Rates : 0% 0.54%
Spot : 0% ; Credit : 0% ; Vol
4 Vega - vol down : -10% ; Rates : 0% -0.49%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.06%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.35%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -1.90%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% -0.39%
Spot : -30% ; Credit : 100% ;
9 Market crash 3 Vol : 70% ; Rates : 0% 2.08%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -1.82%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% -0.32%
Spot : -30% ; Credit : 100% ;
12 Market crash, rates down 3 Vol : 70% ; Rates : -12.5% 2.13%
Spot : -10% ; Credit : 50% ;
13 Market crash, rates up 1 Vol : 30% ; Rates : 12.5% -1.97%
Spot : -20% ; Credit : 75% ;
14 Market crash, rates up 2 Vol : 50% ; Rates : 12.5% -0.45%
Spot : -30% ; Credit : 100% ;
15 Market crash, rates up 3 Vol : 70% ; Rates : 12.5% 2.04%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -1.27%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -0.73%
Equity Credit Spot : 5% ; Credit : 25% ;
18 decorrelation 3 Vol : -10% ; Rates : 0% -1.75%
Equity Credit Spot : -5% ; Credit : -25% ;
19 decorrelation 4 Vol : 10% ; Rates : 0% 2.83%
Equity Credit Spot : -5% ; Credit : -25% ;
20 decorrelation 5 Vol : -10% ; Rates : 0% 1.85%
Equity Credit Spot : 0% ; Credit : 25% ;
21 decorrelation 6 Vol : 10% ; Rates : 0% -1.52%
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% 3.10%
Spot : 5% ; Credit : -25% ;
25 Market rally 3 Vol : 10% ; Rates : 0% 3.65%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 4.03%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 4.48%
Spot : 10% ; Credit : -25% ;
28 Market rally 6 Vol : 10% ; Rates : 0% 5.01%
Spot : 5% ; Credit : -25% ;
29 Market rally, Inflation 1 Vol : -10% ; Rates : 12.5% 2.45%
Spot : 5% ; Credit : -25% ;
30 Market rally, Inflation 2 Vol : 0% ; Rates : 12.5% 2.94%
Spot : 5% ; Credit : -25% ;
31 Market rally, Inflation 3 Vol : 10% ; Rates : 12.5% 3.49%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 3.88%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 4.33%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 4.87%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 2.30%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.79%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 3.35%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 3.74%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 4.21%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 4.75%
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% 1.47%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% 1.29%
Spot : 0% ; Credit : 0% ; Vol
3 Vega - vol up : 10% ; Rates : 0% 0.54%
Spot : 0% ; Credit : 0% ; Vol
4 Vega - vol down : -10% ; Rates : 0% -0.49%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.06%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.35%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -1.23%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% 0.69%
Spot : -30% ; Credit : 100% ;
9 Market crash 3 Vol : 70% ; Rates : 0% 3.70%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -1.15%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% 0.76%
Spot : -30% ; Credit : 100% ;
12 Market crash, rates down 3 Vol : 70% ; Rates : -12.5% 3.75%
Spot : -10% ; Credit : 50% ;
13 Market crash, rates up 1 Vol : 30% ; Rates : 12.5% -1.30%
Spot : -20% ; Credit : 75% ;
14 Market crash, rates up 2 Vol : 50% ; Rates : 12.5% 0.63%
Spot : -30% ; Credit : 100% ;
15 Market crash, rates up 3 Vol : 70% ; Rates : 12.5% 3.67%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -1.61%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -1.07%
Equity Credit Spot : 5% ; Credit : 25% ;
18 decorrelation 3 Vol : -10% ; Rates : 0% -2.09%
Equity Credit Spot : -5% ; Credit : -25% ;
19 decorrelation 4 Vol : 10% ; Rates : 0% 3.16%
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% -1.52%
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% 2.28%
Spot : 5% ; Credit : -25% ;
24 Market rally 2 Vol : 0% ; Rates : 0% 2.76%
Spot : 5% ; Credit : -25% ;
25 Market rally 3 Vol : 10% ; Rates : 0% 3.31%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 3.34%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 3.79%
Spot : 10% ; Credit : -25% ;
28 Market rally 6 Vol : 10% ; Rates : 0% 4.32%
Spot : 5% ; Credit : -25% ;
29 Market rally, Inflation 1 Vol : -10% ; Rates : 12.5% 2.11%
Spot : 5% ; Credit : -25% ;
30 Market rally, Inflation 2 Vol : 0% ; Rates : 12.5% 2.60%
Spot : 5% ; Credit : -25% ;
31 Market rally, Inflation 3 Vol : 10% ; Rates : 12.5% 3.15%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 3.19%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 3.64%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 4.18%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 1.96%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.45%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 3.00%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 3.05%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 3.51%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 4.06%
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 August
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 1% of its assets under management.
Boussard & Gavaudan Asset Management update
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).
Béatrice Cardona (operations team) and Céline Epeirier (asset
management team) have left us. We wish them luck for the future.
We are pleased to welcome Olivier Nobile, Aurelio Rodriguez, Julien
Hazan and Pierre Potier.
Olivier and Aurelio join BG as equity traders.
Olivier worked previously at HSBC before joining CAI Cheuvreux as
deputy head of risk arbitrage. In his last position at Calyon, he was
global head of risk arbitrage.
Aurelio Rodriguez worked as a consultant in risk management before
joining Calyon in 2006 as trader on the equity derivatives
proprietary trading desk.
Julien joins the asset management team. He is a graduate from Paris
Pantheon Sorbonne University and was an intern for 10 months at Dexia
Asset Management where he focused on alternative investments and long
short European equity hedge funds.
Pierre joins the operations team after completing a 6 months
internship at BG. He is a graduate from Ecole Supérieure de Rouen.
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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