Cancels and Replaces October 2008 Review
Cancels and replaces the previous release
October 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 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).
III. Share information
NAV Euro Shares Sterling Shares
Estimated NAV ¤9.4912 £8.9140
Estimated Month to date return 1.76% -0.42%
Estimated Year to date return -14.49% -10.86%
Estimated Inception to date return -5.09% -10.86%
Euro Shares Amsterdam (AEX) London (LSE)
Market close ¤6.89 ¤7.00
Premium / discount to estimated NAV -27.41% -26.25%
Sterling Shares Amsterdam (AEX) London (LSE)
Market close - GBX 592.50
Premium / discount to estimated NAV - -33.53%
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 74,758,861 4,532,095
Shares held in treasury 3,729,653 15,745
Shares outstanding 71,029,208 4,516,350
Total value of the investments of BGHL based on the ¤725 million
estimated NAV for the shares outstanding
Market capitalisation of BGHL based on the share
price for the shares outstanding ¤523 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.
²²²
Market conditions continued to be very tough in October. European
equities markets were down 14.70% over the month and touched the
lowest point of the year with the Eurostoxx 50 at 2293 on October 27,
2008. Volatilities on stock markets rose substantially, the VIX index
moved up to 59.9% from 39.4% and the VStoxx Index up to 60.7% from
40.4%. Credit markets also suffered with the Itraxx Crossover Index
(Series 9) at 829bps (+238 bps over the month).
Credit strategies
Our credit portfolio cost 87bps* to the fund in October. The negative
performance stems mainly from mark-to-market adjustments within our
loan portfolio and to a lesser extent from some of our bond
positions. We believe that the corporate positions have found a floor
for now, and are now trading at a very reasonable premium to recovery
value. This may not be the case for financials, but we believe our
positions are good value to hold, as they post annual yields of 24%
and 26% for 18 months senior unsecured risk.
We have monetized some of our short positions in the widening of
spreads throughout the month. Most of those were focused on cyclical
companies with refinancing issues. We believe the credit market is
now at a crossroad. Indeed, the implied default probability on the
Crossover index stood at approximately 50% on October 31, 2008 (or
around 13% on a 1 year basis). For 0% default rate, the 1 year
breakeven is 295bps of further widening. On the one hand, this
optically seems quite attractive. On the other hand, if defaults
pick-up aggressively from here in the high yield space (if only to
5-7%), given this month's volatility, one should expect to earn much
more to be compensated for risk . i.e. probably go long Crossover
(BB-) over 1000bps. especially given where cash instruments trade,
and how much recovery is still mispriced by the market, according to
us. Carry is not a strong argument for the market as it could remain
careless of fundamentals for the foreseeable future.
Therefore we do not think we are yet at a turning point. We will
nevertheless reduce our short positions which lack short term
catalysts (as we had done in September for the long side), and focus
on the ones with 2009-1H2010 refinancing risks. BWICs and redemptions
will continue to weigh on the market, at least until the end of US
and Europeans fiscal years.
Equity Strategies
Equity strategies were flat in October. The book is now very limited
and we kept only few high conviction trades. This month, we continued
to benefit from hedges put in place through gamma trades. We also
took profit on our short position in SAP following the announcement
of its profit warning early in the month. On the negative side, our
long term investments cost us in this very challenging environment.
Volatility strategies
Convertible bond arbitrage
Convertible bonds continued to suffer substantial losses this month
on a global basis. According to Hedge Fund Research Inc., the
convertible arbitrage strategy was down for the year approximately
50% as of October 31, 2008 as measured by the HFRX Convertible
Arbitrage Index. The Index lost around 35% just in October. Despite
the market having already experienced historic losses in September,
the turmoil continued with a new wave of convertible portfolio
selling, which in a vicious circle of de-leveraging, prompted even
more forced sales by convertible investors. The dynamics of the past
months remain fully in force, with a clear search of risk reduction,
notably in anticipation of forthcoming fund redemptions, and the
technical issues caused by short-selling restrictions, increased
haircuts and collateral requirements at prime brokers. This resulted
in an even more illiquid and dislocated market. Whilst it is hard to
foresee a strong rebound of the market in the coming months,
especially as we believe the above mentioned technicals will not
disappear any time soon, and, as we go into 2009, the fundamentals
may deteriorate substantially and fuel investors' concerns over the
valuation of (in particular) credit sensitive convertibles, we
believe there are some encouraging signs and reasons to hope for an
improvement of the convertible market. First, some bonds are now
exceptionally cheap, by any metrics, and we have actually witnessed
fresh bids on some of the healthiest and most liquid names in the
last week of October and the first days of November. Given the lack
of liquidity in the market, it is unclear whether those bids were
actually filled or whether they just helped the market marginally
recover without any significant trade printing, but at least, the
extreme cheapness of some bonds seems to have triggered a break in
forced selling and an increase on the demand side. Second, whilst the
primary market was completely closed since July in Europe, we believe
it is noticeable and very interesting for the future of the asset
class that Barclays actually managed to raise £4.05bn on the last day
of the month through a mandatory convertible bonds offering which
managed to attract enough demand to place £1.25bn in the market (with
the rest subscribed by Qatar Holding and Sheikh Mansour of Abu
Dhabi). This new issue was priced at expensive terms for Barclays
with a 9.75% coupon and a conversion price set at a c. 25% discount
to the previous close, but it shows that the convertible bonds market
can still provide funding for companies struggling to raise cash. It
should be noted that despite the short selling ban on financial
companies, convertible investors were actually allowed to short the
Barclays shares as long as they were given their formal allocation of
the deal, which, we believe, was absolutely crucial for the success
of the placing.
In this extremely challenging environment, our convertible bonds book
contributed -149bps* to the performance of the fund, as we continued
to experience losses in our low delta / credit sensitive
convertibles. The very few such names that we still have in our
portfolio now offer yields in excess of 30% for below 2-year
durations. Our volatility positions (high delta convertibles with no
or limited credit risk) were globally flat this month on a
delta-hedged basis as we own bonds trading at or very close to their
parity value and as we kept our equity hedge on a high delta during
October.
Mandatory convertible bond arbitrage
Our mandatory convertible bond book was up this month with a +38bps*
contribution to the fund's performance. Most of this came from our
position in the UBS / BBVA mandatory exchangeable bonds which
regained some ground (although marginally when compared to the
previous month's mark down), as its parity value increased with the
detachment of the dividend. The Fortis mandatory convertible bonds
were also a bit better as the purchase of the Dutch banking and
insurance activities (including the issuer of the mandatory
convertible bonds) by the Government of the Netherlands reassured
investors over the payment of coupons of this tier one instrument
going forward.
Corporate warrant arbitrage
This month, corporate warrant arbitrage reversed September's gain
with a -6bps* contribution to the Sark's performance on a small mark
down.
Gamma Trading
Gamma trading posted +151bps* to the fund's performance. October was
another month with strong volatility across all asset classes. A lot
of events contributed to increase the volatility on equities: vote on
the revised Paulson plan, release of Q3 results, bad economic
figures, continued worries on the solidity of the financial system,
as well as on global growth. For instance, SAP posted an unexpected
profit warning which fit our long gamma position on the name. Forced
selling and cuts of positions on volatility positions saw the front
month volatilities touched new records. Scarce liquidity on single
stock options led us to increase our long gamma positions on the
liquid Euro Stoxx 50 that became as a result a strong contributor of
our positive performance this month. In addition to this, we
experienced strong gains thanks to our long gamma position on
Volkswagen that saw sharp erratic moves due to a number of technical
reasons.
Trading
Trading contributed +5bps* to the performance of the fund this month.
As of November, 2008, Sark Master Fund Limited's assets under
management were approximately ¤1.4bn.
Annex 1: Sark Fund Greeks
Greeks
Delta 1.23% 1.23 bps P&L variation for
market +1%
Gamma 0.92 % Delta variation for market
+1%
Vega 18.9 bps By vol point
Vega with maturity weight 15.2 bps By vol point
(1/sqrt(T))
Theta -1.87 bps By day
Rho -0.25 bps For 1 bp of interest rates
increasing
Credit sensitivity -1.5 bps For 1 bp of credit spreads
widening
Annex 2: Sark Fund Performance Attribution
Contribution to the performance*
Credit strategies -87 bps
Credit -83 bps
Capital Structure Arbitrage -4 bps
Equity strategies 0 bps
Risk Arbitrage / Special Situations 55 bps
Value with Catalyst / Value -56 bps
Volatility strategies 34 bps
Mandatory Convertible Bond Arbitrage 38 bps
Convertible Bond Arbitrage -149 bps
Gamma Trading 151 bps
Warrant Arbitrage -6 bps
Trading 5 bps
Total -47 bps
Annex 3: Sark Fund Equity at Risk
Equity at Risk
Credit Strategies 8.5%
Credit 7.3%
Capital Structure Arbitrage 0.7%
Restructurings 0.4%
Equity Strategies 9.3%
Risk Arbitrage 0.0%
Special Situations 0.4%
Value with Catalyst 8.3%
Value 0.6%
Volatility Strategies 20.8%
Mandatory Arbitrage 18.0%
Convertible Bond Arbitrage 2.2%
Gamma Trading 0.6%
Warrants Arbitrage 0.0%
Trading 0.2%
Trading 0.2%
Total 38.8%
Annex 4: Sark Fund Gross Exposure
+---------------------------------------------------------+
| | | In M¤ |
|----------------------------------------+-------+--------|
| Credit strategies | | |
|----------------------------------------+-------+--------|
| | Long | 269 |
|----------------------------------------+-------+--------|
| | Short | 80 |
|----------------------------------------+-------+--------|
| Equity strategies & Trading | | |
|----------------------------------------+-------+--------|
| | Long | 340 |
|----------------------------------------+-------+--------|
| | Short | 250 |
|----------------------------------------+-------+--------|
| Convertible bond & Mandatory arbitrage | | |
|----------------------------------------+-------+--------|
| | Long | 1,433 |
|----------------------------------------+-------+--------|
| | Short | 1,132 |
|----------------------------------------+-------+--------|
| Gamma trading | | |
|----------------------------------------+-------+--------|
| | Long | 233 |
|----------------------------------------+-------+--------|
| | Short | 233 |
|----------------------------------------+-------+--------|
| Warrant arbitrage | | |
|----------------------------------------+-------+--------|
| | Long | - |
|----------------------------------------+-------+--------|
| | Short | - |
|----------------------------------------+-------+--------|
| Gross Exposure | | 3,969 |
+---------------------------------------------------------+
+-------------------------------------------------------------------+
| | Long | Short |
|-------------------------+--------------------+--------------------|
| Credit strategies | market value long | Abs(market value |
| | | short) |
|-------------------------+--------------------+--------------------|
| | Abs (notional | notional long for |
| | short for CDS) | CDS |
|-------------------------+--------------------+--------------------|
| Equity strategies & | delta long | Abs( delta short) |
| trading | | |
|-------------------------+--------------------+--------------------|
| Convertible bonds & | market value long | Abs( [delta equity |
| Mandatory arbitrage | | + options]) |
|-------------------------+--------------------+--------------------|
| Gamma trading | Abs (delta equity) | Abs(delta equity) |
|-------------------------+--------------------+--------------------|
| Warrant arbitrage | delta long | Abs(delta short) |
+-------------------------------------------------------------------+
Annex 5: Sark Fund Historical Returns Summary
Sark Fund 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% -0.12% 1.03% 0.22% 0.14% -0.29% -0.42% -0.42% -0.19% -0.49% 1.18% 1.07% 2.81% 12.77%
2005 1.70% 1.06% 1.09% -0.69% 0.27% 1.27% 1.16% 0.50% 1.00% -0.44% 0.71% 0.77% 8.70% 22.58%
2006 -0.18% 1.56% 1.64% 0.86% -0.47% 1.35% 0.40% 1.56% 2.73% 2.90% 2.34% 2.91% 18.99% 45.85%
2007 3.14% 1.46% 4.67% 0.74% 1.39% -2.24% 0.87% -2.20% -0.31% 1.83% -2.15% -1.24% 5.85% 54.38%
2008 -2.08% -0.01% -2.35% 1.10% 1.13% -2.33% -1.39% 0.21% -10.93% -0.47%* - - -16.36%* 29.12%*
Sark Fund 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% -0.17% 0.96% 0.13% 0.07% -0.35% -0.47% -0.47% -0.24% -0.59% 1.16% 1.06% 2.08% 11.27%
2005 1.66% 1.08% 1.09% -0.64% 0.31% 1.30% 1.22% 0.62% 1.06% -0.32% 0.81% 0.89% 9.45% 21.79%
2006 -0.01% 1.64% 1.78% 1.08% -0.29% 1.49% 0.56% 1.74% 2.83% 3.06% 2.64% 3.01% 21.29% 47.72%
2007 3.19% 1.58% 4.82% 0.89% 1.45% -2.15% 0.97% -2.12% -0.22% 1.92% -2.13% -1.17% 6.97% 58.02%
2008 -2.12% -0.07% -2.57% 1.02% 0.98% -2.52% -1.50% 0.21% -10.63% -0.54%* - - -16.84%* 31.41%*
Annex 6: Sark Fund Macroeconomic Risks through Stress Tests
² General stress tests
Scenario Description Impact
% of NAV
Spot : 10% ; Credit : 0% ;
1 Delta - spot up Vol : 0% ; Rates : 0% 0.57%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% 0.35%
Spot : 0% ; Credit : 0% ; Vol
3 Vega - vol up : 10% ; Rates : 0% 0.65%
Spot : 0% ; Credit : 0% ; Vol
4 Vega - vol down : -10% ; Rates : 0% -0.63%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.19%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.59%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -2.14%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% -2.18%
Spot : -30% ; Credit : 100% ;
9 Market crash 3 Vol : 70% ; Rates : 0% -1.86%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -2.00%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% -2.06%
Spot : -30% ; Credit : 100% ;
12 Market crash, rates down 3 Vol : 70% ; Rates : -12.5% -1.74%
Spot : -10% ; Credit : 50% ;
13 Market crash, rates up 1 Vol : 30% ; Rates : 12.5% -2.26%
Spot : -20% ; Credit : 75% ;
14 Market crash, rates up 2 Vol : 50% ; Rates : 12.5% -2.30%
Spot : -30% ; Credit : 100% ;
15 Market crash, rates up 3 Vol : 70% ; Rates : 12.5% -1.96%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -2.00%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -1.30%
Equity Credit Spot : 5% ; Credit : 25% ;
18 decorrelation 3 Vol : -10% ; Rates : 0% -2.68%
Equity Credit Spot : -5% ; Credit : -25% ;
19 decorrelation 4 Vol : 10% ; Rates : 0% 3.25%
Equity Credit Spot : -5% ; Credit : -25% ;
20 decorrelation 5 Vol : -10% ; Rates : 0% 2.09%
Equity Credit Spot : 0% ; Credit : 25% ;
21 decorrelation 6 Vol : 10% ; Rates : 0% -1.54%
Equity Credit Spot : 0% ; Credit : 25% ;
22 decorrelation 7 Vol : -10% ; Rates : 0% -2.81%
Spot : 5% ; Credit : -25% ;
23 Market rally 1 Vol : -10% ; Rates : 0% 2.07%
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% 3.47%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 2.41%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 3.15%
Spot : 10% ; Credit : -25% ;
28 Market rally 6 Vol : 10% ; Rates : 0% 3.91%
Spot : 5% ; Credit : -25% ;
29 Market rally, Inflation 1 Vol : -10% ; Rates : 12.5% 1.86%
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% 3.27%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 2.22%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 2.96%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 3.72%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 1.68%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.37%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 3.09%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 2.05%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 2.78%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 3.54%
Worst -2.81%
² 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% 0.97%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% -0.03%
Spot : 0% ; Credit : 0% ;
3 Vega - vol up Vol : 10% ; Rates : 0% 0.65%
Spot : 0% ; Credit : 0% ;
4 Vega - vol down Vol : -10% ; Rates : 0% -0.63%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.19%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.59%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -2.54%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% -3.00%
Spot : -30% ; Credit : 100%
9 Market crash 3 ; Vol : 70% ; Rates : 0% -3.09%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -2.40%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% -2.87%
Spot : -30% ; Credit : 100%
12 Market crash, rates down 3 ; Vol : 70% ; Rates : -12.5% -2.97%
Spot : -10% ; Credit : 50% ;
13 Market crash, rates up 1 Vol : 30% ; Rates : 12.5% -2.66%
Spot : -20% ; Credit : 75% ;
14 Market crash, rates up 2 Vol : 50% ; Rates : 12.5% -3.11%
Spot : -30% ; Credit : 100%
15 Market crash, rates up 3 ; Vol : 70% ; Rates : 12.5% -3.19%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -1.81%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -1.10%
Equity Credit Spot : 5% ; Credit : 25% ;
18 decorrelation 3 Vol : -10% ; Rates : 0% -2.49%
Equity Credit Spot : -5% ; Credit : -25% ;
19 decorrelation 4 Vol : 10% ; Rates : 0% 3.05%
Equity Credit Spot : -5% ; Credit : -25% ;
20 decorrelation 5 Vol : -10% ; Rates : 0% 1.89%
Equity Credit Spot : 0% ; Credit : 25% ;
21 decorrelation 6 Vol : 10% ; Rates : 0% -1.54%
Equity Credit Spot : 0% ; Credit : 25% ;
22 decorrelation 7 Vol : -10% ; Rates : 0% -2.81%
Spot : 5% ; Credit : -25% ;
23 Market rally 1 Vol : -10% ; Rates : 0% 2.26%
Spot : 5% ; Credit : -25% ;
24 Market rally 2 Vol : 0% ; Rates : 0% 2.95%
Spot : 5% ; Credit : -25% ;
25 Market rally 3 Vol : 10% ; Rates : 0% 3.67%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 2.80%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 3.54%
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% 2.06%
Spot : 5% ; Credit : -25% ;
30 Market rally, Inflation 2 Vol : 0% ; Rates : 12.5% 2.75%
Spot : 5% ; Credit : -25% ;
31 Market rally, Inflation 3 Vol : 10% ; Rates : 12.5% 3.47%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 2.61%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 3.35%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 4.11%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 1.87%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.57%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 3.28%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 2.44%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 3.18%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 3.94%
Worst -3.19%
² 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% 0.75%
Spot : -10% ; Credit : 0% ;
2 Delta - spot down Vol : 0% ; Rates : 0% 0.19%
Spot : 0% ; Credit : 0% ; Vol
3 Vega - vol up : 10% ; Rates : 0% 0.65%
Spot : 0% ; Credit : 0% ; Vol
4 Vega - vol down : -10% ; Rates : 0% -0.63%
Spot : 0% ; Credit : 25% ;
5 Credit spread widen Vol : 0% ; Rates : 0% -2.19%
Spot : 0% ; Credit : -25% ;
6 Credit spread tighten Vol : 0% ; Rates : 0% 2.59%
Spot : -10% ; Credit : 50% ;
7 Market crash 1 Vol : 30% ; Rates : 0% -2.30%
Spot : -20% ; Credit : 75% ;
8 Market crash 2 Vol : 50% ; Rates : 0% -2.59%
Spot : -30% ; Credit : 100% ;
9 Market crash 3 Vol : 70% ; Rates : 0% -2.47%
Spot : -10% ; Credit : 50% ;
10 Market crash, rates down 1 Vol : 30% ; Rates : -12.5% -2.16%
Spot : -20% ; Credit : 75% ;
11 Market crash, rates down 2 Vol : 50% ; Rates : -12.5% -2.47%
Spot : -30% ; Credit : 100% ;
12 Market crash, rates down 3 Vol : 70% ; Rates : -12.5% -2.35%
Spot : -10% ; Credit : 50% ;
13 Market crash, rates up 1 Vol : 30% ; Rates : 12.5% -2.42%
Spot : -20% ; Credit : 75% ;
14 Market crash, rates up 2 Vol : 50% ; Rates : 12.5% -2.71%
Spot : -30% ; Credit : 100% ;
15 Market crash, rates up 3 Vol : 70% ; Rates : 12.5% -2.57%
Equity Credit Spot : 5% ; Credit : 25% ;
16 decorrelation 1 Vol : 0% ; Rates : 0% -1.92%
Equity Credit Spot : 5% ; Credit : 25% ;
17 decorrelation 2 Vol : 10% ; Rates : 0% -1.21%
Equity Credit Spot : 5% ; Credit : 25% ;
18 decorrelation 3 Vol : -10% ; Rates : 0% -2.60%
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% 2.00%
Equity Credit Spot : 0% ; Credit : 25% ;
21 decorrelation 6 Vol : 10% ; Rates : 0% -1.54%
Equity Credit Spot : 0% ; Credit : 25% ;
22 decorrelation 7 Vol : -10% ; Rates : 0% -2.81%
Spot : 5% ; Credit : -25% ;
23 Market rally 1 Vol : -10% ; Rates : 0% 2.15%
Spot : 5% ; Credit : -25% ;
24 Market rally 2 Vol : 0% ; Rates : 0% 2.84%
Spot : 5% ; Credit : -25% ;
25 Market rally 3 Vol : 10% ; Rates : 0% 3.56%
Spot : 10% ; Credit : -25% ;
26 Market rally 4 Vol : -10% ; Rates : 0% 2.58%
Spot : 10% ; Credit : -25% ;
27 Market rally 5 Vol : 0% ; Rates : 0% 3.32%
Spot : 10% ; Credit : -25% ;
28 Market rally 6 Vol : 10% ; Rates : 0% 4.08%
Spot : 5% ; Credit : -25% ;
29 Market rally, Inflation 1 Vol : -10% ; Rates : 12.5% 1.95%
Spot : 5% ; Credit : -25% ;
30 Market rally, Inflation 2 Vol : 0% ; Rates : 12.5% 2.64%
Spot : 5% ; Credit : -25% ;
31 Market rally, Inflation 3 Vol : 10% ; Rates : 12.5% 3.36%
Spot : 10% ; Credit : -25% ;
32 Market rally, Inflation 4 Vol : -10% ; Rates : 12.5% 2.39%
Spot : 10% ; Credit : -25% ;
33 Market rally, Inflation 5 Vol : 0% ; Rates : 12.5% 3.13%
Spot : 10% ; Credit : -25% ;
34 Market rally, Inflation 6 Vol : 10% ; Rates : 12.5% 3.89%
Spot : 5% ; Credit : -25% ;
35 Market rally, Inflation 7 Vol : -10% ; Rates : 25% 1.76%
Spot : 5% ; Credit : -25% ;
36 Market rally, Inflation 8 Vol : 0% ; Rates : 25% 2.46%
Spot : 5% ; Credit : -25% ;
37 Market rally, Inflation 9 Vol : 10% ; Rates : 25% 3.17%
Spot : 10% ; Credit : -25% ;
38 Market rally, Inflation 10 Vol : -10% ; Rates : 25% 2.22%
Spot : 10% ; Credit : -25% ;
39 Market rally, Inflation 11 Vol : 0% ; Rates : 25% 2.96%
Spot : 10% ; Credit : -25% ;
40 Market rally, Inflation 12 Vol : 10% ; Rates : 25% 3.72%
Worst -2.81%
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 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 less than 1% of its assets under
management.
V. 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).
Hire
We are pleased to welcome Djordjé Grujic who is working with our
chief financial officer on accounting and financial matters. Djordjé
previously worked as a financial controller at Euroman, before
joining in 2005 Hewitt Associates as an accountant. Djordjé obtained
a bachelor of sciences in economics from the American University of
Paris and a postgraduate diploma from the University of
Nice-Sophia-Antipolis.
Update on proposed switching mechanism
Since its announcement on September 17, 2008, the Company has,
together with its legal advisers, been in discussions with the
regulatory authorities with regard to its proposal to make available
a facility to permit shareholders to switch their ordinary shares in
the Company for shares in the Sark Fund, the underlying fund in which
the Company's assets are primarily invested.
The Company continues to believe that it would, in principle, be
beneficial to shareholders to effect a structure of this nature,
since it would mitigate a significant amount of selling pressure to
which the Company's shares are currently subject. However, it has
become apparent that legal and regulatory requirements are such that
it is not practical to proceed with this proposal.
The Company's Directors believe, therefore, that the implementation
of a switching mechanism is not viable at this time and that the
interests of shareholders will be best served by the continued
implementation of the Company's discount management policy. The
Company's authority to make market purchases of up to 14.99 per cent.
of each class of its shares was renewed at the extraordinary general
meeting on October 31, 2008. The Board intends to convene a further
extraordinary general meeting in November to refresh that authority.
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
* Estimated figures
* Estimated figures
* Estimated figures
* Estimated figures
This announcement was originally distributed by Hugin. The issuer is
solely responsible for the content of this announcement.
Friday, 10th January 2025
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