Boussard and Gavaudan : BGHL June 2018 Monthly statement

BOUSSARD & GAVAUDAN HOLDING LIMITED

A closed-ended investment company incorporated with limited liability under the laws of Guernsey with registration number 45582

JUNE 2018 STATEMENT

A. BG FUND

Note that trade examples detailed in each strategy below are among the best and worst performances of the month.

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COMMENTARY AND HIGHLIGHTS

European markets were flattish in June with the Eurostoxx50© down 0.3% for the month against a backdrop of macroeconomic concerns, particularly surrounding the Italian elections and the global trade war rhetoric.

VStoxx© finished the month at 16.6%, down from 17.6% and iTraxx Crossover (S29)© ended the month at 320bps (14bps wider). Year-to-date the Eurostoxx50© is down 3.1%.

Volatility Strategies

Mandatory convertible bond arbitrage

Mandatory convertible bonds contributed positively this month, mainly due to Alibaba mandatories trading higher.

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.

Convertible bond arbitrage

Convertible bond contribution (excl. mandatories) to the performance of the fund was negative in June in a context of low activity and a general drop in valuations as the market factored in increased global macroeconomic risks. Our current overall exposure to convertible bonds remains limited.

New issues amounted €1.25bn and most of them did not perform well in the after-market.

Volatility Trading

Realised volatility vs implied forward vol at the end of May:

Variation of implied volatilities during June:

Volatility trading contributed positively in June.

Despite continuing subdued realised volatilities on most equity indices, moves in spot and implied forward volatilities offered trading opportunities during the month. We were consequently able to cover theta costs from our gamma by actively trading around volatility. We were also able to make money trading VIX and currency volatility around major Central Bank meetings as well as exploiting the increasing volatility in emerging market currencies e.g. Brazil.

We have marginally increased our positioning in the book and we remain relatively balanced on volatility risk while still staying long tail risk.

Equity strategies

In June, the equity portfolio returned a negative.

We were negatively impacted on some of our more fundamental positions. One of those investments is Prysmian which finished the month down 12.4%, following a negative chain of events: two of its closest peers (Nexans and NKT) delivered profit warnings, and Prysmian had to make disclosure of a provision of €50m in relation to faults on a cable installation, just before launching its long awaited €500m rights issue.

Conversely, our special situation portfolio continued to perform well. The universe remains very active both from a live deal perspective as well as from speculation on potential transactions. We saw positive returns from our investment in Sky: after Disney bumped its offer for the Fox assets, the market is now anticipating that the look-through value attributed to Sky (40% owned by Fox) will be increased and the takeover battle between Fox and Comcast will result in further upward bumps to the current offer.

Credit strategies

Capital Structure Arbitrage

Capital Structure Arbitrage posted positively this month.

The market pattern in June was more attractive for this sub-strategy, with a number of quick erratic moves within a range bound market. Equities outperformed credit over the month with no real overall direction. In credit the tone was more cautious mainly due to Italian worries and renewed concerns around risk of contagion from emerging markets. In this context we traded actively around existing positions which enabled us to generate a small positive performance. We were also particularly active around the Casino/Rallye position where a serie of events created opportunities to increase the position and localised discrepancies enabled us to monetise the PnL. Overall however, we did not find enough significant discrepancies to build new other strong conviction positions elsewhere.

Credit long / short

Credit long / short delivered a positive in June. Credit markets were weaker this month with limited flows outside of primary market activity. The primary market was active and took a lot of the market's focus with a number of large deals mostly M&A driven (e.g. Bayer, TDC) while secondary markets were consequently fairly inactive and suffered reduced activity due to the end of the quarter (for dealers in particular) and overall macroeconomic uncertainties. This was particularly true for the European markets which underperformed US. We remain cautious overall even if some relative dislocations or idiosyncratic opportunities start to emerge: in Financials for example, we believe Deutsche Bank senior spreads levels have decoupled from both peer levels as well as credit fundamentals.

Credit special situations

Credit special situations contribution was marginally negative this month with CGG stock being the main contributor. Despite a strong rebound in oil prices toward the end of the month with them reaching new highs for the year, oil services equities lagged as most of the month was dominated by caution on the outcome of the OPEC meeting on 22 June. As it turned out WTI oil (+10.6% on the month) rallied further after the OPEC decision to only marginally increase supply in the market.

Trading

Trading contributed net negatively.

B. DIRECT INVESTMENTS OTHER THAN BG FUND

On top of its investment in BG Fund, BGHL has other investments. As of 30 June 2018, the net asset value of these investments represents less than 5% 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 main asset is a majority interest in ACTUR its private subsidiary. ACTUR's other shareholders are Mexican public institutions. ACTUR owns land developing assets (Mandarina and Xala projects) and a minority interest in the publicly-traded company RLH Properties (ticker: RLHA:MM). RLH Properties owns majority interests in the Four Seasons hotel in Mexico City and in four hotels in Cancun (Fairmont hotel, Rosewood hotel, Banyan Tree and the Hyatt Andaz hotels and the Camaleon PGA Golf Course) and RLH Properties owns land lots in the Mandarina area on which the One & Only hotel and the Rosewood hotel are being developed.

Based on recent indications that BGHL would only be able to exit at a material discount to RLI's NAV, BGHL decided to mark down the position by -50% in May 2017. The position is valued at 50% of the NAV calculated by RLI's administrator.

In July 2017, BGHL purchased 9,075,135 shares of Rasaland. BGHL currently holds 19,075,103 shares which represents approximately 10.1% of the share capital of RLI.

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: FR0004038099.

On 10 May 2017, Mannai Corporation ("Mannai") announced an agreement for the acquisition by Mannai of the remaining stakes held by Boussard & Gavaudan and Apax. The announcement is available here:http://www.altamir.fr/news/press-releases.html?LANG=EN&langue=EN&LangUser=EN&RefACT=ACTUS-0-351&ACT_Type1=2&ID=ACTUS-0-48598&CLIENT=ACTUS-0-351.

In accordance with this agreement, BGHL sold two thirds of its position in July 2017 at a price of €8.00 per share for a total amount of €20,232,688 and is expected to sell the remaining third in June 2018 at a price of €8.50 per share for a total amount of €11,076,851.50.

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:www.afm.nl (professionals > registers > notifications > insider-transactions 5:60 wft);

• • on the Company's website through a link to the AFM notification:www.bgholdingltd.com (Investment Manager > Regulatory information).

Transactions in the Company's own securities are also reported on:

• • the AFM website:www.afm.nl (professionals > registers > notifications > price-sensitive press releases);

• • the Company's website:www.bgholdingltd.com (Investor Relations > Financial announcements).

BGIM'S AUM

As of 1 July 2018, BG Fund assets under management are €3.00bn.

E. Boussard & E. Gavaudan

Contact information

Boussard & Gavaudan Investment Management, LLP

1 Vine Street, London W1J 0AH - United Kingdom

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 06.02.12.03