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 AUGUST 2012 STATEMENT Total value of the investments of BGHL based on the final NAV for the Euro & Sterling ordinary shares * 559 million as of 31 August 2012 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 three investments in private equity companies. Euro Shares Sterling Shares Shares issued 38,219,255 1,496,750 Shares held in treasury 1,053,462 Shares outstanding 37,165,793 1,496,750 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 European equities saw August finish with the Eurostoxx 50 up 4.9%. Volatilities on stock markets decreased: the VDAX index moved from 22.1% to 21.8% and the VStoxx index from 28.0% to 25.7%. Credit spreads tightened with the itraxx Crossover at 591bps (42bps of tightening). * 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. 1

2 Volatility strategies Convertible bond arbitrage Convertible bonds (excl. mandatories) contributed positively to the performance of the fund in August. The positive performance was principally driven by Alcatel and Banco Popolare. On 17 July, Alcatel announced a profit warning a few days prior to their poor Q2 result (26 July). Market reaction was a 30% fall in high volumes. As discussed in previous newsletters, this position is managed with a higher delta than the market, having based it on a specific modelling of the bonds. Alcatel s Q1 numbers were released and shares tumbled up to 17%. The fund was adequately protected, making gains, as the bonds did not cheapen to the extent the model had predicted. The same pattern materialised again with this profit warning and subsequent Q2 results. Alcatel's position contributed positively this month as the bonds were bid up by both hedge funds and outright buyers building new positions, whilst the shares remained flat in August. The Banco Popolare 4.75% 2014 convertible bond continued to perform well this month, similar to other high yielding, short dated bonds. They benefited from the ECB s announcement of possible intervention in the short term sovereign debt markets of peripheral countries. The Q2 results were fairly uneventful but confirmed the tough operating environment for Italian banks, given high funding cost and deteriorating asset quality. However, Banco Popolare confirmed it had comfortably passed the EBA capital stress test with a strongly improved Core Tier 1 ratio of 10.2%. Therefore, BP announced it would not proceed with the conversion of the bond into shares. As observed in previous months, European convertible flow was very light with most marketmakers maintaining minimal positions. In Europe, this month, there was no new convertible bond issued. Mandatory convertible bond arbitrage Mandatory convertible bonds contributed positively to the performance of the fund. Last month, we built a new position in Credit Suisse 4% March 2013, which was issued at par through a right issue. This mandatory is a short dated forward. We benefited from the carry and hedge fund buying of the name, which pushed this instrument towards fair value. In Europe, this month, there was no new mandatory convertible bond issued. Gamma trading August felt somewhat more "normal" than what we have experienced over the past few years. Markets followed the positive momentum initiated mid July following Draghi s comments. The focus is still hinging on the nature of the ECB s plans as well as potential QE3 in the US, which Bernanke alluded to in Jackson Hole. There was no other significant newsflow to report and poor volumes indicated that many were not positioned on the market. As a result, volatilities drifted slightly lower on low realized volatility, thin volumes and low interest in general. Markets remained range bound and stock dispersion declined significantly. This offered few opportunities for active stock picking. With a busy macro diary (e.g. Central Banks meetings, Dutch elections, ESM ratification, Ecofin meeting) in the upcoming weeks, we remain vigilant to our long gamma exposure. In this context, gamma trading posted a negative contribution to the performance of the fund in August. 2

3 Equity strategies Following Draghi s strong signal on 2 August that the ECB stands ready to save the euro outlying its bond purchase plan, we witnessed a sharp rally of equity markets. The Eurostoxx 50 rallied 5% during the first week of August, lead by financials, and the remainder of the month being very quiet with limited liquidity. Although cautiously positioned, our equity portfolio returned a positive contribution during the month, with part of the performance coming from capital market activity. We participated, for example, on 8 August, in a block placement on Amadeus, with an attractive discount due to the low liquidity in the market at that time. The stock performed very well towards the end of the month. We were also active on Credit Suisse. The Swiss bank issued a mandatory convertible bond at the end of July, mostly held by arbitrageurs who hedged their exposure by selling shares, putting pressure on the stock price. The opportunity was taken to build a long position. This outperformed the market at the end of August as brokers upgraded CS, because of the underperformance of the stock due to the mandatory placement. With the upcoming weeks expected to be filled with challenging macroeconomic and political newsflow, we are keeping a very cautious position, with extensive use of options. In the meantime, we are also trying to focus on event driven activity, which should hopefully accelerate in the foreseeable future, should the markets stabilise for a period, with clearer vision of the action from the European institutions. At present, we tend to position the book on pre event names and on names where the possibility of corporate action could emerge. Credit strategies Credit strategies contributed positively this month, principally driven by long/short credit positions. August was a positive month for the asset class driven by a favourable macro background following Draghi's speech. Trading activity was however, limited, with most market players remaining cautious ahead of the heavy agenda expected in September on the macroeconomic front. The itraxx Crossover tightened by 42bps over the month to close at 591bps. As highlighted in our July newsletter, we reduced the beta of our book. We remained focused on specific situations within core Europe, with the majority of performance driven by our positions in financials. Overall, Q2 results in the European financial sector were well received by the credit market. These results highlighted the focus of banks on strengthening capital positions and improving the quality of their balance sheets ahead of the Basel 3 implementation. This was particularly true for our positions in Commerzbank hybrid securities. In general, we believe that the optimisation of balance sheets ahead of Basel 3 will continue to drive primary and secondary activity within the banking space for the remainder of the year. Trading Trading contributed positively to the performance of the fund this month. 3

4 B. INVESTMENTS OTHER THAN BG FUND On top of its investment in BG Fund, BGHL is invested into other investments. Rasaland BGHL entered into Rasaland in June 2008 for $10 million. Rasaland is a Maltese company structured as a private equity fund in terms of fees and organisation, which is dedicated to investing in land, land development and high end resort developments in Mexico. The EUR/USD exposure is hedged by an FX forward which is rolled on a 3 month basis. DSO Interactive On 9 December 2009 and 19 February 2010, BGHL acquired a minority stake in DSO Interactive for a total consideration of 1.7 million (6.2% of the share capital and 5.3% on a fully diluted basis). DSO Interactive is a private company incorporated in France and headquartered in Paris, where it employs over 120 people. DSO Interactive provides bad debt collection services to consumer creditors such as telecom operators, banks and specialised credit institutions. Compagnie des Minquiers On 3 March 2011, Compagnie des Minquiers SAS, a 83.3% owned subsidiary of BGHL (held jointly with the executive committee members of the Cofigeo group) acquired 100% of the shares of MPF (renamed Financière des Minquiers), a holding company, holding 26,523 shares in Cofigeo negotiated on the regulated market NYSE Euronext in Paris representing approximately 36% of capital and 41% of voting rights. On 29 March 2011, in compliance with French securities law, Compagnie des Minquers filed a mandatory tender offer for all the remaining shares of Cofigeo at a price of 530. On 20 June 2011, following the completion of the offre publique de retrait on Cofigeo, Compagnie des Minquiers SAS announced that it held 100% of the capital of Cofigeo. With sales of 138 million and approximately 650 employees, Cofigeo is a leading player in France in the canned food industry. The group sells prepared meals and sauces under the brands Zapetti (formerly Buitoni) and Raynal & Roquelaure as well as under private labels. It ranks #2 in France with a market share of approximately 25%. BGHL s total investment in the transaction amounts to approximately 18 million. Listed equity The Company has a small investment in a listed security representing approximately 4.4 million as of 31 August As of 31 August 2012, the net asset value of the other investments outside BG Fund represents approximately 5% of the net asset value of BGHL. C. BOUSSARD & GAVAUDAN 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: 4

5 directly on the AFM website: (public database > notification > insidertransactions 5:60 wft); 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: (public database > notification > price sensitive press releases); the Company s website: (Investor Relations > Financial announcements). BG Fund AUM As of 1 September 2012, assets under management are at 1.13bn. Sincerely, E. Boussard & E. Gavaudan Contact information Boussard & Gavaudan Asset Management, LP 9 10 Savile Row London W1S 3PF United Kingdom 5

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