Boussard & Gavaudan Holding Limited
a closed-ended investment company incorporated with limited liability
under the laws of Guernsey with registration number 45582
Interim Management Statement
I. Principal Activities
Boussard & Gavaudan Holding Limited ("BGHL" or "the Company"), a
closed-ended investment company incorporated under the laws of
Guernsey, announces its first interim management statement for the
period from 1 January to 31 March 2009, ("the period") in line with
the requirements of the EU transparency Directive.
The Company is registered with the Dutch Authority for Financial
Markets and listed on Euronext Amsterdam and on the London Stock
Exchange ("LSE").
BGHL has invested substantially all of its assets in the Sark Fund
Limited ("the Fund"), a Europe-focused multi-strategy hedge fund
which aims primarily at arbitraging instruments with linear or
non-linear pay-offs on equities and credit markets. The overall
investment objective of the Fund is to provide investors with
consistent absolute returns primarily through investing and trading
in financial instruments of companies incorporated in or whose
principal operations are in Europe. Additionally, BGHL may enter into
illiquid side pocket investments.
Boussard & Gavaudan Asset Management LP ("BGAM" or "the Investment
Manager") is the investment manager for both the Company and the
Fund.
II. Highlights
31-Dec-08 31-Mar-09
Assets under management* ¤ 622 million ¤ 620 million
Market capitalisation* ¤ 390 million ¤ 393 million
Shares outstanding 63,838,155 60,939,539
* Based on shares outstanding after conversion between share classes
NAV per share Share price** Discount to NAV**
¤ shares £ shares ¤ shares £ shares ¤ shares £ shares
31-Dec-08 ¤ 9.7345 £9.7161 ¤ 6.10 £6.01 -37.34% -38.14%
31-Mar-09 ¤ 10.1627 £9.9657 ¤ 6.45 £6.15 -36.53% -38.29%
Performance 4.40% 2.57% 5.74% 2.33%
** Amsterdam (AEX) market close for the Euros shares and London (LSE)
market close for the Sterling shares
III. Performance
The Company has almost 100% of its assets invested in the Sark Fund
Limited and two private equity investments.
Below is an overview of the Sark Fund Limited and these private
equity investments from 1 January to 31 March 2009.
1. Sark Fund Limited
During the period, European equities markets were very tense as
economic data continued to deteriorate sharply. The Eurostoxx 50 went
down 15.4%. Volatilities on stock markets remained stable at high
levels: the VDAX index ended at 38.0% from 37.8% and the VSTOXX index
at 42.4% from 43.9%. Credit spreads tightened with the iTraxx
Crossover at 945bps (-84 bps).
Over the period, the Sark Fund Limited posted a 2.55% performance.
All strategies, except for credit strategies, posted a positive
performance; the main driver being volatility strategies.
1.1. Volatility strategies
Convertible Bond Arbitrage
The convertible bond arbitrage sub-strategy posted a slightly
negative return over the quarter coming mostly from the position
in the Fortis CASHES, which were under strong selling
pressure after Fortis' shareholders voted down the deal with BNP
Paribas and the Belgian Government[1]. Excluding this position, the
sub-strategy posted a positive contribution for the Fund, driven by
the high delta/long volatility investments which performed very well
relative to their equity hedges.
Mandatory Convertible Bond Arbitrage
The mandatory convertible bond arbitrage sub-strategy was the main
driver to the Fund's performance in Q1. All the Fund's positions (but
one) posted significant positive returns as those bonds recovered
from the very low levels seen at the end of last year. This
was driven by a combination of outright demand from equity accounts
(as those bonds generally offer a better risk/reward profile than the
underlying equities), improvement of prime brokerage terms and
increased appetite from arbitragists, and convergence towards fair
value for the bonds coming closer to maturity (such as e.g. the Bayer
mandatory due 1 June 2009).
Gamma trading
The gamma trading sub-strategy posted a negative return during the
period. The Investment Manager entered Q1 with levels of implied
volatility still extremely high compared to historical standards and
just shy of the post Lehman bankruptcy peaks. This was a result of
the high level of uncertainty and continued demand for hedging
instruments by market participants who entered long downside
positions. As such, volatility performed very poorly on the downside
as long gamma positioning in the market resulted in an orderly
sell-off and continued pressure on implied volatilities
Against this backdrop, volatility exposure was kept to a minimum on
the long side and focused on playing short term catalysts via very
short dated options. The risky assets rally that started early March
provided some good volatility trading opportunities on the upside but
the pressure on implied volatilities quickly resumed. The Investment
Manager believes there will be opportunities ahead to increase the
volatility exposure as complacency about the crisis returns to the
market.
1.2. Equity strategies
Given challenging market conditions, the Investment Manager remained
very cautious during the period and decided to focus on shorter term
trades with hard catalysts on liquid names. These trades (such as
risk arbitrage trades, dividends trades, earnings release trades)
performed well. On the negative side, the long standing positions
cost to the Fund's performance.
No major position has been initiated during the period; the
Investment Manager intends to remain focused on selective and liquid
investments.
1.3. Credit strategies
Over the period, credit strategies contributed negatively to the
Fund's performance. This stemmed mainly from an adverse development
in one of the main investments, which is in the process of being
restructured. On the positive side, the Fund benefited from the
re-rating of some stressed investments in cable and in senior
financial paper.
1.4. Trading
Trading posted a positive return for the period spread across the
board.
2. Private equity investments
On top of its investment in the Sark Fund Limited, BGHL may enter
into private equity investments. BGHL has the following investments
in the portfolio.
2.1 Castle Holding Company Ltd
This investment, entered into in May 2007, is in the unlisted
securities resulting from the public offer made by Apollo on
Countrywide Plc, the largest network of UK real estate agents. The
investment in Castle Holding Company Ltd has been marked to zero as a
result of the collapse of the UK real estate market and highly
leveraged capital structure.
2.2 Rasaland
The Company entered into a second private equity investment in
Rasaland on 27 June 2008 for $10 million.
As at 31 March 2009, both investments represent in aggregate
approximately 1% of the Company's assets under management.
IV. Outlook
In the present market environment, forecasting is more difficult than
ever, therefore financial prospects for the coming months will be
linked to the level of opportunities created across the Fund's
strategies in the European corporate environment.
Market conditions are still challenging. Even though market
opportunities are starting to be identified, the Fund's equity at
risk is expected to be deployed in a very cautious way as this trend
may go on for the next year. The Investment Manager continues to be
fully committed to the strategies of the Company.
For further information contact:
B&G Asset Management +44 20 7514 0700
Emmanuel Gavaudan
The Company is established as a closed-ended investment company
domiciled in Guernsey. The Company has received the necessary
approval of the Guernsey Financial Services Commission and the States
of Guernsey Policy Council. The Company is registered with the Dutch
Authority for the Financial Markets as a collective investment scheme
pursuant to article 2:73 in conjunction with 2:66 of the Dutch
Financial Supervision Act (Wet op het financieel toezicht).
This announcement is for information purposes only and is not an
offer to invest. All investments are subject to risk. Past
performance is no guarantee of future returns. Prospective investors
are advised to seek expert legal, financial, tax and other
professional advice before making any investment decision. The value
of investments may fluctuate. Results achieved in the past are no
guarantee of future results.
This is not an offer to sell or a solicitation of any offer to buy
any securities in the United States or in any other jurisdiction.
This announcement is not intended to and does not constitute, or form
part of, any offer or invitation to purchase any securities or the
solicitation of any vote or approval in any jurisdiction, nor shall
there be any sale, issuance or transfer of the securities referred to
in this announcement in any jurisdiction in contravention of
applicable law.
Neither the Company nor Sark Fund Limited have been, and neither will
be, registered under the US Investment Company Act of 1940, as
amended (the "Investment Company Act"). In addition the securities
referenced in this announcement have not been and will not be
registered under the US Securities Act of 1933, as amended (the
"Securities Act"). Consequently any such 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 ill not require the issuer of such securities to
register under the Investment Company Act. No public offering of any
securities will be made in the United States.
[1] The deal was eventually voted on 28 & 29 April 2009 during the
EGM of Fortis SA/NV and closed on 12 May 2009.
This announcement was originally distributed by Hugin. The issuer is
solely responsible for the content of this announcement.
