BOUSSARD & GAVAUDAN HOLDING LIMITED

(BGHL)
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Boussard & Gavaudan : Exposure Report as of 31 December 2021

01/10/2022 | 04:58am EDT

31/12/2021

BG FUND - EXPOSURE REPORT

PORTFOLIO - HIGHLIGHTS

Assets Under Management (M€)

2,387

Greeks

Delta

5.6%

Gamma (delta variation for 1% mkt move)

0.5%

Vega (by vol point)

10 bps

Theta (30 days)

-2 bps

Optional theta (30 days)

-10 bps

Interest Rate sensitivity (per 1bp of interest rate increasing)

-1 bps

Credit sensitivity (for 1% of credit spreads widening, in relative)

-2 bps

Equity At Risk

Accounts

Equity Exposure

Debt Exposure

(% of AUM)

Long (M€)

Short (M€)

Long (M€)

Short (M€)

Volatility Strategies

14.8%

121

47

14

1579

0

Mandatory Arbitrage

4.0%

5

16

4

822

0

Convertible Arbitrage (includ. credit CBs)

6.5%

40

21

6

757

0

Gamma Trading

0.3%

21

7

2

0

0

Warrant Arbitrage

4.0%

56

2

1

0

0

Equity Strategies

31.3%

67

1085

1022

12

0

Risk Arbitrage / Special Situations

21.9%

52

771

713

8

0

Long/Short trad. with short-term catalyst/Value

9.4%

15

313

309

4

0

Credit Strategies

13.0%

11

0

0

255

0

Credit Long / Short

8.2%

4

0

0

194

0

Capital Structure Arbitrage

0.0%

1

0

0

0

0

Credit Special Situation

4.8%

6

0

0

61

0

Trading

9.2%

34

680

602

0

0

Quantitative Equity Trading

4.9%

11

496

509

0

0

Systematic trend following

1.5%

12

73

37

0

0

Index Rebalancing Arbitrage

0.0%

0

0

0

0

0

Trading using A.I

0.0%

0

0

0

0

0

Other

2.7%

10

111

57

0

0

Cash Equivalents

0.0%

TOTAL

68.4%

234

1812

1638

1846

0

Definitions

Equity Exposure

Debt Exposure

Long

Sum of Delta + (netted by underlying & account) for each account

Sum of Long Bond Asset Value & Short CDS Notional

(netted by issuer & account) for each account

Short

Sum of Delta - (netted by underlying & account) for each account

Sum of Short Bond Asset Value & Long CDS Notional

(netted by issuer & account)for each account

Portfolio - Sector breakdown

Long

Short

Portfolio - Country breakdown

Long

Short

Communications

10.0%

8.8%

Europe

70.3%

66.9%

Consumer Discretionary

10.4%

9.2%

North America

20.3%

23.8%

Consumer Staples

2.4%

3.4%

Central & South America

0.0%

0.0%

Energy

2.5%

2.0%

Asia

3.9%

2.4%

Financials

12.8%

7.7%

Others

5.5%

6.9%

Forex

0.3%

1.5%

Total

100.0%

100.0%

Health Care

3.2%

4.3%

Index/Others

3.6%

0.7%

Real Estate

2.2%

0.5%

Industrials

12.8%

9.4%

Materials

17.0%

31.2%

Technology

15.2%

18.4%

Utilities

7.6%

2.9%

Total

100.0%

100.0%

CREDIT STRATEGIES

Credit L/S, Credit D.Lending & CSA only (*)

Long

Short

Average credit spread weighted by asset value

915 bps

-

Average duration weighted by asset value

2.1 years

-

(*) Data exclude restructuring deals

EQUITY STRATEGIES

Market capitalization breakdown

Long

Short

< € 0.5 bn

15.2%

0.6%

€ 0.5 - € 5 bn

48.6%

16.6%

€ 5 - € 20bn

20.8%

24.1%

> € 20bn

15.4%

58.7%

Total

100.0%

100.0%

VOLATILITY STRATEGIES

Mandatory Arbitrage

Convertible Arbitrage

Mandatory delta in percent weighted by asset value

81.4%

Premium to conversion weighted by asset value

18.5%

Mandatory skew weighted by asset value (vol pts)

2.0%

Premium to bond floor weighted by asset value

53.8%

% of portfolio credit risk

1.2%

Delta in percent weighted by asset value

69.6%

Mandatory credit spread weighted by credit risky asset value

44 bps

Portfolio Vega (by vol point) (% of AUM)

9.2 bps

Mandatory time to maturity weighted by asset value

0.1 years

Time To Maturity (years) Weighted By Asset Value

3.2 years

Portfolio gamma (delta variation for market + 1%) (% of AUM)

0.0%

Notional asset swapped (% portfolio)

0.0%

Portfolio optional theta (% of AUM)

0.0 bps

Implied volatility weighted by asset value (vol pts)

37.0%

Portfolio vega (by vol point) (% of AUM)

0.0 bps

Credit spread weighted by asset value

232.4 bps

Portfolio credit sensitivity (for 10% of credit spreads widening, in relative) (% of AUM)

0.0 bps

Portfolio credit sensitivity (for 10% of credit spreads widening, in relativ

-11.7 bps

Disclaimer

Boussard & Gavaudan Holding Limited published this content on 10 January 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 10 January 2022 09:57:03 UTC.


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Financials
Sales 2020 48,2 M 50,9 M 50,9 M
Net income 2020 33,7 M 35,6 M 35,6 M
Net cash 2020 368 M 388 M 388 M
P/E ratio 2020 8,68x
Yield 2020 -
Capitalization 286 M 302 M 302 M
EV / Sales 2019
EV / Sales 2020 -1,86x
Nbr of Employees -
Free-Float 78,1%
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Managers and Directors
Andrew Russell Howat Chairman
Bruce James Independent Non-Executive Director
Sylvie Sauton Non-Executive Director
Julia Goh Non-Executive Director