Boussard & Gavaudan Holding Ltd (GBP): Interim Management Statement for the Quarter ended 31 March 2024

Boussard and Gavaudan Holding

29/05/2024 17:01

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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 
 For the Quarter ended 29(th) March 2024

I. Principal Activities

Boussard & Gavaudan Holding Limited (“BGHL” or “the Company”), a
closed-ended investment company incorporated under the laws of Guernsey,
announces its interim management statement for the period from 
 1 January to 29 March 2024 (“the period”).

The Company is registered with the Dutch Authority for Financial Markets and
is listed on the NYSE Euronext Amsterdam, and the London Stock Exchange.

During the period, BGHL has invested indirectly in BG Master Fund ICAV (“BG
Fund” or “the Fund”), a Europe-focused multi-strategy hedge fund
established in Ireland and authorised by the Central Bank as a Qualified
Investor Fund (QIF), through a dedicated share class of the feeder fund, BG
Umbrella Fund Plc. The Fund 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.

In addition, a proportion of the net assets of BGHL may be invested in other
hedge funds and/or other financial assets.

Boussard & Gavaudan Investment Management LLP (“BGIM” or “the Investment
Manager”) is the Investment Manager for both the Company and the Fund.



II. Highlights

                                     29-Mar-24   31-Dec-23   
 Assets under management (€m)        342         342         
 Market capitalisation (€m)          320         313         
 Shares outstanding                  12,422,606  12,422,606  



              NAV per Share          Share price*           Discount to NAV        
              € shares    £ shares   € shares    £ shares   € shares    £ shares   
 29-Mar-24    € 27.55     £24.65     € 25.80     £21.50     -6.36%      -12.78%    
 31-Dec-23    € 27.55     £24.57     € 25.20     £20.50     -8.52%      -16.56%    
 Performance  0.02%       0.32%      2.38%       4.88%                             

*Amsterdam (AEX) market close for the Euro Share and London (LSE) market close
for the Sterling share

III. Performance

Global equity markets rallied during Q1 2024; the Euro Stoxx 50® Total Return
was up +12.8% in Europe, and in the US the S&P500® Total Return was up
+10.6%. In this risk-on context the market implied volatility measure VStoxx®
remained stable and low slipping marginally from 13.6% to 13.4% while credit
markets tightened, with the iTraxx Crossover® (S38) moving from 246bps at
year-end to 217bps at the end of March.

1. BG Fund

BG Fund (EUR B) contributed positively for the quarter.

1.1. Volatility strategies

Mandatory Convertible Bond Arbitrage 
 Mandatory convertible bonds contributed slightly positively.

Convertible Bond Arbitrage 
 Convertible bond strategies detracted over this period, mainly impacted by
specific idiosyncratic risk positions which experienced refinancing stress.
The Investment Manager remains confident that positive solutions will emerge
for these positions soon. Apart from these specific detractors, the fund
experienced positive contributions from positioning on volatility trades while
carefully selected credit positions also had a positive performance. The key
frustration was that European primary issuance continued to remain at low
levels. The Investment Manager hopes this is just a temporary delay in the
expected pipeline.

On the positive side, US convertible bonds had an overall decent performance
with a slow but steady rise in valuations across the board. New issue activity
was healthy, and the anticipated pipeline has started to arrive in earnest.
The fund was selective and positioning cautiously as the large amount of
primary could lead to some cheapening in secondary markets.

Volatility Trading 
 The period remained challenging for volatility strategies as both realised
and implied volatility remained subdued in the continued bull market
environment. In this environment, there were few new trading opportunities.
Nevertheless, volatility trading succeeded in contributing positively thanks
to dispersion trades. During the period, the Investment Manager made modest
portfolio adjustments, incrementally increasing positions and engaging in
marginal trades while remaining vigilant and staying alert to market shifts,
ready to take advantage of opportunities as they arose.

Warrant Trading 
 Warrant arbitrage contributed slightly positively.

1.2. Equity Strategies

Equity strategies ended the period almost flat. On the positive side, the
gains were spread across a wide range of investments but aggregate performance
was held back by an overall relatively low level of corporate activity in
Europe. In the special situations book a number of expected and rumoured deals
have so far failed to materialise, or are taking longer than expected to play
out, leading to underperformance. This notwithstanding, the interest rate and
financing environment has become more stable which should encourage the
emergence of further activity. Several new deals were announced during the
quarter in Europe and, despite these being relatively small, the investment
manager is expecting an increase in both the size and volume of deals to come
through.

1.3. Credit Strategies

Credit Long / Short 
 Credit long / short contributed positively this period, driven primarily by
private credit positions.

Credit Special Situations 
 Credit special situations was the main detractor to the fund this period,
impacted primarily by a specific idiosyncratic position on a French technology
services company. Its bonds were extremely volatile on thin volumes and sold
off in reaction to news on discussions surrounding a likely restructuring of
the company's balance sheet.

1.4. Trading

Trading was the main positive contributor to the performance of the fund this
period, in particular from thematic discretionary trading and the systematic
trend following strategies.

2. Investments Other Than BG Fund

The contribution of this investment was flat for the period.

Rasa Resorts, S.A.P.I. de C.V. (“Rasa”)

Rasa is a holding company structured as a private equity fund in terms of fees
and organisation and managed by RSC Development and BK Partners. BGHL holds
Rasa shares through Campastros, S.L.U., a wholly-owned holding company in
Spain. Rasa is dedicated to investing in land, hotels and high-end resort
developments in Mexico. Rasa’s main asset is a majority interest in ACTUR, a
private company owning the land developing assets. ACTUR’s other
shareholders are Mexican public institutions.

In July 2020, Rasa made a cash tender offer to buy back its own shares, for a
price per share of US$0.12270. The valuation of BGHL’s investment in Rasa
shares was marked down on 31 August 2020, using the US$0.12270 per share price
as the estimated fair value of the Rasa shares. This price represents a circa
76% discount to the latest published NAV per share.

IV. Outlook

Following the holding of the extraordinary general meeting on 28 September
2023, the investment objective of the Company changed such that the Company is
now focused on ensuring a realisation of the existing assets of the Company in
an orderly manner for investors that require it. In the meanwhile the
Investment Manager remains committed to manage funds on behalf of all
investors in the Company on an ongoing basis for as long as required.

For further information contact:

Boussard & Gavaudan Investment Management LLP

Emmanuel
Gavaudan                (London)                +44
(0)20 3751 5389

François-Xavier
Baud                (Paris)                        +33
1 44 90 39 47

Disclaimer

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).
The shares of the Company (the "Shares") are listed on Euronext Amsterdam.
The Shares are also listed on the Official List of the UK Listing Authority
and admitted to trading on the London Stock Exchange plc's main market for
listed securities.

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 BG Fund has 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 will 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.

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.
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.

VC 01.05.15.01

Attachment
*     Interim management Information - Q1 2024
(https://ml-eu.globenewswire.com/Resource/Download/300e97e1-50c1-459e-94d3-50790f44bdbc)