Boussard & Gavaudan : BGHL - December 2021 Newsletter

MONTHLY NEWSLETTER DECEMBER 2021	BGHL NA € 29.20
Estimated NAV BGHS LN £ 25.31

OVERVIEW

Estimated AUM €366m

Firm AUM €2.7bn

Share price €23.30 (discount to NAV: 20%)

NAV PERFORMANCE

BGHL is a closed-ended investment company which invests in BG Fund, Boussard & Gavaudan's flagship fund with 18 years of track record.

BGHL's investment objective is to deliver an annual return, net of fees, of 400 to 600 basis points above the risk-free rate over the business cycle, irrespective of market performance. The risk-free rate is "capitalized EONIA".

BG Fund is driven by bottom-up fundamental and event catalyst research, combined with extensive multi-asset arbitrage and derivative expertise. Typically, investment ideas are catalyst driven with a focus on special situations and events.

Capital is dynamically allocated to the firm's best ideas and these ideas are categorized into four main types of strategies: Equity, Volatility, Credit and Trading strategies.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2021	0.99%	0.57%	0.04%	2.81%	-0.24%	0.23%	0.45%	0.80%	1.72%	2.71%	1.80%	0.12%*	12.61%*
2020	1.12%	2.55%	-10.12%	4.98%	1.41%	1.70%	1.25%	-0.25%	1.93%	1.45%	4.37%	2.98%	13.26%
2019	-0.41%	-0.58%	1.04%	-0.76%	0.59%	0.95%	1.92%	1.57%	-1.66%	-0.54%	0.79%	1.14%	4.07%
2018	0.70%	1.34%	-0.60%	-0.58%	0.03%	-0.25%	-2.92%	0.18%	0.49%	-2.35%	-1.40%	-0.88%	-6.15%
2017	0.59%	1.55%	0.08%	3.78%	1.16%	-0.07%	0.43%	-0.11%	-0.52%	-0.13%	-1.16%	0.22%	5.87%
2016	0.48%	2.02%	1.18%	0.70%	1.68%	-0.59%	0.78%	0.47%	-0.01%	-1.08%	0.09%	1.32%	7.22%
2015	2.96%	1.15%	-0.36%	1.12%	2.06%	-1.92%	3.56%	0.87%	-1.47%	0.80%	4.80%	1.25%	15.65%
2014	2.81%	-0.01%	-0.74%	1.62%	1.53%	-0.58%	0.08%	0.52%	-1.08%	-0.93%	3.16%	0.37%	6.85%
2013	0.89%	0.74%	-0.59%	0.24%	1.27%	0.83%	0.96%	0.47%	1.07%	1.57%	2.28%	3.14%	13.60%
2012	3.90%	2.01%	-0.16%	0.54%	-0.61%	-0.32%	0.12%	1.29%	0.04%	0.83%	0.42%	1.08%	9.45%
2011	0.71%	0.57%	2.16%	0.01%	-0.05%	-0.85%	-0.80%	-0.20%	-2.17%	2.49%	-3.92%	-0.39%	-2.58%
2010	1.35%	0.59%	1.62%	0.81%	-1.10%	1.00%	2.11%	-0.32%	0.79%	2.11%	0.04%	1.97%	11.49%
2009	3.34%	-0.17%	1.20%	5.01%	4.17%	0.92%	1.91%	2.63%	2.92%	1.47%	0.30%	0.69%	27.15%
2008	-2.10%	-0.01%	-2.32%	0.78%	1.29%	-2.98%	-1.19%	0.32%	-10.49%	1.67%	1.55%	1.09%	-12.30%
2007	3.13%	1.45%	4.68%	0.73%	1.38%	-2.27%	0.85%	-2.21%	-0.32%	1.82%	-2.16%	-1.38%	5.56%
2006	-	-	-	-	-	-	-	-	-	-	2.27%	2.82%	5.15%

Annualized Performance +7.32%* since inception

Annualized Volatility 5.31%* since inception

Sharpe Ratio

1.28* since inception

Beta to Euro Stoxx 50® (Total Return)

0.04* since inception

*Performance displayed is for EUR share class net of fees with income reinvested. Performance data is estimated and unaudited.

PERFORMANCE REVIEW

BGHL and BG Fund ended the month up +0.12% (EUR share class) and +0.24% (USD A share class) respectively vs Euro Stoxx 50® Total Return (+5.81%).

BG Fund Capital Allocation
BG Fund Performance	Dec 2021
Attribution	Year-to-date

Equity Strategies	Equity Strategies	Credit Strategies	Volatility Strategies	Trading Strategies
Special Situations	Catalyst & Value
32%	14%	19%	22%	13%
-0.02%	-0.28%	0.19%	0.33%	0.03%
5.36%	0.19%	2.44%	2.45%	1.16%

CORPORATE UPDATE

Since the restart of the share buyback program on 17 December 2019, the firm has bought back 3,539,466 shares. The current number of shares outstanding excluding treasury shares for both the EUR and GBP share classes is 12,517,315.

CONTACTS

Emmanuel Gavaudan [phone] ✉[e-mail]

François-Xavier Baud + 33 1 4490 3947 ✉[e-mail]

Rafael Serrano [phone] ✉[e-mail]

Benjamin Sturges + 44 20 3751 5417 ✉[e-mail]

Robin Lowe [phone] ✉[e-mail]

Risk warning: Past performance is no guide to future performance. The value of holdings may fall as well as rise and investors may not get back their initial investment. Performance displayed is for the EUR share class net of fees with income reinvested and is calculated on a NAV to NAV basis. Performance data is estimated and unaudited. All figures are correct as of 31st December 2021 unless otherwise stated.

Source: Bloomberg, Boussard & Gavaudan.

1. COMPANY INFORMATION

General information

Investment manager	Boussard & Gavaudan Investment Management LLP
Company domicile	Guernsey
Website	www.bgholdingltd.com
Management fee	1.5% p.a.
Performance fee	20% with HWM

SEDOL

ISIN

Reuters

Bloomberg

EUR Euronext

B1FQG45

GG00B1FQG453

BGHL.AS

BGHL NA

EUR LSE

B28ZZQ1

GG00B1FQG453

BGHL.L

BGHL LN

GBX LSE

B39VMM0

GG00B39VMM07

BGHS.L

BGHS LN

GBX Euronext

B39VMM1

GG00B39VMM07

BGHS.AS

BGHS NA

1. 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 provide exposure to multiple alternative investment strategies managed by the Investment Manager. The investment objective is to produce long-term appreciation of its assets. BGHL seeks to achieve this by investing in BG Fund ("the Fund"). In addition, a proportion of the net assets of BGHL may, at the discretion of the Investment Manager, be invested in other hedge funds and financial assets selected by the Investment Manager. BGHL aims to generate a target NAV annualized return of Eonia capitalized + 400/600 bps over the business cycle, net of all fees.

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1. SHARE INFORMATION as of 31 December 2021

Net Asset Value (NAV)	Euro share	Sterling share
Estimated NAV*	€ 29.2048	£25.3094
Estimated month to date return*	0.12%	0.12%
Estimated year to date return*	12.61%	11.16%
Estimated inception to date return*	192.05%	153.09%

Market information	Amsterdam (AEX)	London (LSE)
EUR share Market close	€ 23.30	-
EUR share Premium / discount to estimated NAV	-20.22%	-
Sterling share Market close	-	£19.00
Sterling share Premium / discount to estimated NAV	-	-24.93%

Transactions in own securities purchased into treasury	Euro share	Sterling share
Number of shares	0	-
Average Price	€ 0.00	-
Range of Price	-	-

Ordinary Shares	Euro share	Sterling share
Shares issued	12,387,061	130,254
Shares held in treasury	0	0
Shares outstanding	12,387,061	130,254

Total value of the investments the shares outstanding

Market capitalisation of BGHL outstanding Amsterdam (AEX) London (LSE) market close for

of BGHL based on the estimated NAV for

based on the share price for the shares market close for the Euro Share and the Sterling share

BGHL

• 366 million
• 292 million

*

• Estimated numbers, net of fees. The data is not audited.

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IV.	BGHL TRACK RECORD†

BGHL Track Record - Historical NAV Returns Summary (Net of Fees)

• Estimated numbers, net of fees. The data is not audited.

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1. BGHL COMPOSITION

BGHL is invested in BG Fund (net of an amount retained by BGHL for working capital and other requirements).

As of 1 January 2022, 99.70% of BGHL net asset value is invested in BG Fund. BGHL has a maximum exposure limit to BG Fund of 110%. The remained BGHL net asset value is made up of direct investment and cash.

1. BG FUND

2021 REVIEW AND 2022 OUTLOOK

For 2021 overall BG Fund (USD A) has returned +11.6% net to investors. This follows the solid +12.35% delivered in 2020.

As is typical for the fund, these returns have been generated with minimal market directionality - over the past 18 years it has delivered its returns with a beta of less than 0.1 to the STOXX Europe 600® and a standard deviation of 4.86%.

Performance attribution for 2021 was positive across all strategies - Equity, Volatility, Credit and Trading - with Equity Risk Arbitrage and Special Situations leading returns with an attribution of +536bps. Convertible Bond and Mandatory Convertible Bond arbitrage were also a significant source of returns generating +142bps, as was credit special situations delivering +140bps (see Annex 9 for 2021 full attribution breakdown).

We believe the very attractive opportunity set that continued in 2021 for European event driven, special situations and arbitrage will persist into the foreseeable future. After many years on the side lines, primarily due to the after effects of the GFC followed by the European sovereign & banking crisis and Brexit, the European environment is now emerging as a global bright spot on an absolute and relative basis. The vastly improved European opportunity set comes at a time when the US narrative is potentially shifting in the opposite direction with regard to growth, regulation, spending and rates.

As a brief overview, we point to the following tailwinds which should continue to provide excellent non-directional and uncorrelated alpha opportunities over the next several years. (For an in-depth discussion, analysis and current positions please contact us for further information):

• Regional Valuations: European equity valuations now look cheaper than at the beginning of 2021, despite the strong performance during the year, due to strong earnings and earnings revisions. With a forward P/E of circa 16x and a dividend yield of circa 3%, there is value in European equities versus the US and other asset classes. This cheapness makes European companies extremely attractive for takeovers and buyouts by strategic buyers and private equity, especially in mid-cap, cyclical and value stocks.
• Risk arbitrage, private equity and competitive bid situations: private equity has witnessed significant capital inflows and many buyout funds are sitting on large pools of undeployed capital. Previously, due to the uncertainty of Brexit and difficulties in modelling future scenarios, PE and international corporates had largely avoided acquisitions in the European region for the last few years. However, this picture has materially changed post Brexit and, combined with dislocations caused by COVID, European M&A has surged in 2021. While much of the risk arbitrage opportunities in the US have typically been return / spread compression trades (with a resultant short-putrisk profile), the European risk arbitrage picture has recently been characterized by competitive bid situations, with material price appreciation post the initial deal announcement. We have frequently seen aggressive moves by interlopers resulting in several rounds of competitive bidding. In numerous cases, buyout firms are competing against not only each other but also strategic buyers. This differentiated European backdrop for risk arbitrage has not only resulted in better risk- adjusted returns but also less correlation to traditional risk-arbitragespread trades, especially during periods of HF industry deleveraging and volatility caused by situations such as the Willis Towers Watson/ AON, KSU or Xilinx/AMD deals. Competitive bid situations along with idiosyncratic individual European country takeover rules and minority shareholder protections creates the opportunity for establishing attractive 'long call' risk arb payoffs which provide a floor to the asset value in additional to long upside optionality.

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