BOUSSARD & GAVAUDAN HOLDING LIMITED

Transcription

1 BOUSSARD & GAVAUDAN HOLDING LIMITED A closed-ended investment company incorporated with limited liability under the laws of Guernsey with registration number APRIL 2016 STATEMENT Total value of the investments of BGHL based on the final NAV for the Euro & Sterling ordinary shares million as of 30 April 2016 NAV per share Euro ordinary share Sterling ordinary share BGHL s portfolio The proceeds of the initial and secondary public offerings have been invested into the Sark Fund (net of a certain amount retained by BGHL for working capital requirements and other requirements). Since 1 November 2010, BGHL is invested into the BG Fund (formerly known as Boussard & Gavaudan Fund). In addition to having substantially 100% of its assets under management invested into the BG Fund, BGHL has other investments. Euro Shares Sterling Shares Shares issued 29,222, ,962 Shares held in treasury 325,042 - Shares outstanding 28,897, ,962 A. BG FUND Note that trade examples detailed in each strategy below are among the best and worst performances of the month. COMMENTARY AND HIGHLIGHTS The Eurostoxx 50 finished April up 0.77% on the month while BG Fund delivered a net 93bps from a diversified range of sub-strategies. VDAX finished the month at 21.7%, up from 20.8% and VStoxx at 24.0%, up from 23.4%. The itraxx Crossover S25 widened 9bps over the month to close at 313bps and the itraxx Subfin S25 widened by 2bps to close at 202bps. Volatility Strategies Convertible Bond Arbitrage Primary markets were active with 1.8bn of issuance, including a re-tap from LVMH. On technical aspects, the new issue from Eni was another non dilutive convertible bond. 1 The total value of the investments of BGHL is based on the final NAV for the euro and sterling shares and the currency exchange rate for the Sterling vs. Euro.

2 These new issues were expensive from an arbitrage standpoint and confirmed once again that long-only funds still have cash to invest. Name Ccy Amount Eq EUR Premium CDS Vol Delta ENI 0% 2022 EUR % 115 bps Steinhoff 1.25% 2023 EUR 1,100 1, % 200 bps LVMH 0% 2021 USD Severstal 0.5% 2021 USD % 400 bps Secondary flows were mostly focused on a few investment grade convertible bonds, especially short-dated ones, following the ECB meeting and on oil-related ones as the sector recovers from its lows. With this backdrop, the portfolio returned a positive performance in April with the primary contribution being from a specific catalyst on Soitec whose convertible bond rallied as a result of the expected restructuring of the company s balance sheet. Others positions were almost flat. Mandatory convertible bond arbitrage Mandatory convertible bond contribution was flat in April. As for last month, mandatories were under pressure due to liquidity provider selling flows (mainly from banks). Telefonica 4.9% 2017 mandatories, even with delta-hedged, were down. Vodafone mandatories performed well and returned positively, even if flows were limited on the name. Volatility Trading Volatility trading performed decently this month as the long dated equity volatilities held well over the month, despite the equity market heading higher, and at the same time the short term volatility hedges (VIX puts) paid off. Our long EURUSD gamma had a mildly poor performance given the lack of surprise from the ECB and Fed meetings and also given the decreasing risk premium on Brexit risk. The portfolio is currently holding its long volatility bias (long dated Eurostoxx50 volatility and Jun VIX delta) and we grabbed the opportunity of the vol spike on the last day of the month to re-enter VIX puts to hedge these positions. Other major positions worth mentioning are a short EURUSD bias (Brexit risk, on-going disappointing inflation) with, on the other side, a convex short Bund position (rotation from risk parity funds if equity volatilities remain low or in case of a positive economic surprise). Equity Strategies It was a month of low equity volatility, but with a significant sector / style rotation. This translated into a high degree of dispersion in our book, with a few small positions underperforming. This pushed us to remain very prudent in our investments and not to deploy capital too aggressively. Our positive performance this month came from our investment in Darty, our financials book and some restructuring stories (Atos, DSM). On Darty, we benefited from the stiff competition between FNAC and Conforama (controlled by Steinhoff) to buy this high-quality asset and well-known brand name in the French specialty space. While Darty last year agreed to an all-share merger with FNAC (with a limited partial cash alternative), Steinhoff derailed this welladvanced process in early March, with a rival bid in cash at 125p per Darty share. This triggered an escalation in the bidding war, with five successive rounds of increased all-cash offers announced on 21 April. This auction process was accompanied by the two opponents FNAC and Steinhoff buying shares directly in the market, with a view to strengthen their relative position. The bidding war ended in the course of the following week, when FNAC came out with a full and final increased offer at 170p in cash per Darty share (a 36% premium to Steinhoff s proposal a month before) and managed to secure a greater than 50% acceptance through shares

3 bought in the market and irrevocable agreements to tender secured from shareholders. We sold our Darty shares at this final price. We benefited as well from our investment in Atos which finished the month up. The company exhibited positive signs of organic growth from Q1 earnings. For us this is the first stage of the re-rating story for this company. This should drive a change in the perception of investors who currently still attribute a very low valuation to Atos. Our investment in DSM also performed well, benefiting from the restructuring strategy which has started to bear fruit, as demonstrated by positive earnings, and from the overall chemical sector recovery. Our financials portfolio performed strongly in April as a result of our relative preference for European banks versus insurers. In addition, we particularly benefited from our position in Santander vs BBVA, with Q1 results marking a clear divider between the two groups on operational performance. Last, Prudential also delivered a solid performance, benefiting from improving sentiment on Asian macro and from a positive regulatory resolution on US retirement products. Credit Strategies Capital Structure Arbitrage Capital structure arbitrage contributed positively this month to the performance of the fund. Continuing on from last month, market sentiment turned more bullish in both credit and equities with volatility softening. The commodity rally in April, helped by a weakened US dollar, was impressive and helped most credit spreads to tighten. Commodity related sectors and emerging market exposed names were understandably the big winners. ArcelorMittal, for example, with its successful right issue was up ~25% this month, and its 5Y CDS tightened. In the Rallye/Casino world, the Vietnamese asset sale took place as expected but was more or less a side-show in the price action compared to the renewed appetite from investors for Brazil exposure, which was clearly the main driver of performance. A notable story in our portfolio was on Tesco: the company published its earnings and the stock dropped approx. 9% post cautious views on profit while its credit spread did not move. We traded actively around this position and successfully monetized these discrepancies. Credit Long / Short Our credit long / short strategies contributed positively in April. European credit markets performed well in April, and confirmed the strong rebound observed in March. In particular, cash products outperformed indices this month. We also started to see compression between high yield names vs. investment grade, with the former benefiting in particular from strong technicals (net negative supply, continued inflows). In addition, further clarification from the ECB on its corporate investment grade bond buying programme was supportive for the market, for both eligible and non-eligible assets. Finally, high yield also continued to benefit from the oil rebound (WTI +16% over the month) as well as the rally in other commodities which started in February. In financials, Q1 earning season was supportive. Deutsche Bank s Q1 results for example were reassuring on the liquidity front: as of 31 March 2016, Deutsche Bank issued 9bn of liquidity at an average spread of 96bps i.e. 99bps inside the interpolated senior CDS. This is supportive of our long senior DB credit position vs. the Senior Fin Index, and we believe the spread differential should normalise further. Our book also benefited from the upgrade of Bawag Lower Tier 2 bonds to Baa3 Outlook Positive. This bond is now rated investment grade and still offers significant pick up vs. investment grade comparables. Our corporate positions also contributed positively this month, with limited and no particular news flows. Finally, continued activity in the primary market offered a number of trading opportunities. Trading Trading contributed negatively in April.

4 B. DIRECT INVESTMENTS OTHER THAN BG FUND On top of its investment in BG Fund, BGHL has other investments. As of 30 April 2016, the net asset value of these investments represents approximately 6% of the net asset value of BGHL. Rasaland Investors ( RLI ) RLI is a Malta-based holding company structured as a private equity fund in terms of fees and organisation and managed by BK Partners. RLI is dedicated to investing in land, hotels and high-end resort developments in Mexico. RLI has invested and is developing the Mandarina, Xala & Seramai resorts in Mexico. RLI s initial business was, soon after launch, affected by several adverse events which have changed the exit solution and the time schedule considered initially. RLI has mitigated the risk of running out of cash by selling in 2012 a stake in one of its land projects to a large Mexican institutional pension fund, raising USD 80 million with the National Infrastructure Fund and by listing (IPO) in November 2015 RLI s hotel subsidiary on Mexico s exchange, raising a total of USD 27 million. The subsidiary is the owner of the Four Seasons hotel in Mexico City acquired in May In February 2015 BK Partners entered into an agreement with Kerzner International Holdings Limited to develop and operate two new One&Only resorts in Mandarina and Xala, on the Pacific Coast of Mexico. RLI is currently focused on the development of the One&Only hotel of the Mandarina project. This development is likely to accelerate the liquidity to RLI s investment in Mandarina through the sale of land parcels as well as private residential estates. GFI Informatique BGHL holds GFI shares. GFI is a major player in value-added IT services and software in Europe. GFI is listed on the Paris Euronext, NYSE Euronext (Compartment B) - ISIN Code: FR On 7 June 2013, BGHL signed a shareholders agreement in order to act in concert with Apax France and Altamir. On 23 November 2015, Mannai Corporation QSC ( Mannai ), together with Apax France (jointly with Altamir) and Boussard & Gavaudan, have announced they have entered into exclusive negotiations for Mannai to purchase a 51 percent equity stake in GFI at a price of 8.50 per share. The press release is available here: _PR_Gfi_EN.pdf. On 8 April 2016, Mannai acquired from entities managed by Apax, including Infofin, and Boussard & Gavaudan (the Sellers ) 25% of the GFI share capital and voting rights (on a fully diluted basis) at 8.5 per share. Mannai and the Sellers entered a shareholders agreement providing that they will act in concert. Following this transaction, BGHL received repayment of the Infofin bonds and currently holds 3,490,132 GFI shares. On 19 April 2016 Mannai filed a cash tender offer on GFI. The Sellers have agreed to sell to Mannai in a second block sale, upon closing of the tender offer, a number of GFI shares so that Mannai holds 51% of the share capital and voting rights of GFI on a fully diluted basis. C. BOUSSARD & GAVAUDAN INVESTMENT 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: (professionals > registers > notifications > insidertransactions 5:60 wft);

5 on the Company s website through a link to the AFM notification: (Investment Manager > Regulatory information). Transactions in the Company s own securities are also reported on: the AFM website: (professionals > registers > notifications > price-sensitive press releases); the Company s website: (Investor Relations > Financial announcements). BGIM S AUM As of 1 May 2016, BG Group assets under management are at 2.58bn. E. Boussard & E. Gavaudan Contact information Boussard & Gavaudan Investment Management, LLP 1 Vine Street, London W1J 0AH - United Kingdom

6 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