Boussard & Gavaudan Absolute Return A compartment of Boussard & Gavaudan SICAV

Boussard & Gavaudan Absolute Return A compartment of Boussard & Gavaudan SICAV UCITS by Boussard & Gavaudan Asset Management FEBRUARY 2015 NEWSLETTER * Share class Z - EUR (1) LU1063708694 Z - USD (2) LU1063708850 NAV per Share 1,032.53 $1,008.44 Month to Date Performance 0.93% 0.84% Year to Date Performance 3.15% 0.84% Inception to Date Performance 3.25% 0.84% Assets Under Management Boussard & Gavaudan Absolute Return 74.9M BG Group 2,427.8M (1) Launch date: 17 November 2014 (2) Launch date: 6 February 2015 1

COMMENTARY AND HIGHLIGHTS The Eurostoxx 50 ended February up 7.4% and stock market volatility decreased: the VDAX finished at 14.66% down from 21.2% and the VStoxx at 17.75% down from 24.7%. The Crossover Series 22 finished at 262bps (62bps of tightening). Volatility Strategies Convertible Bond Arbitrage Convertible bonds (excl. mandatories) contributed +1bp to the performance of the fund. Primary market in 2015 started in February. Total issues amounted to 1.2bn. On the other hand, some Cbs have been recalled or redeemed, amounting to 0.9bn. From these new issues, we can notice two zero-coupon and two distressed names (Abengoa, Outokumpu). Name Amount Eq EUR Premium Runner CDS Vol Delta Orpa / Remy 0% 2019 200 200 32.5% HSBC 250 bps 25 41 Rag / Evonik 0% 2021 500 500 35.0% UBS, ML 75 bps 22 39 Outokumpu 3.25% 2020 250 250 30.0% CA 750 bps 32 62 Abengoa / Aben Yield 5.125% 2017 279 279 20.0% Citi, ML, MS 750 bps 35 50 Mandatory Convertible Bond Arbitrage Mandatory convertible bonds contributed +10bps this month. There were no specific flows and no primary issue. Gamma Trading Gamma trading was flat this month. Equity Strategies In a rallying market, our equity portfolio returned a positive 68bps. After reaching a two-year low vs. European indices at the end of January, European banks outperformed in February. While the negative earnings revision continued after the results season, returning capital to shareholders is again becoming a theme for European banks after years of action to rebuild capital. ING and Lloyds announced their first dividend since 2007, banks like Nordea and Intesa San Paolo surprised us with higher-than-expected dividends, and Danske Bank announced a share buy-back. Overall our financials portfolio benefited from this theme in February. We also benefited from our investment in Theolia. The stock was under pressure following last November s rights issue, and recovered in February. It rallied 33% during the month. Infrastructure assets are benefiting from lower long term rates and our investment case remains very strong. In the current low volatility environment, in a rallying market fuelled by the ECB cash injections and continuing inflows into Europe from global asset allocators, we feel compelled to use options to express our fundamental views. The combination of volatilities and fundamental drivers makes it very efficient. 2

Credit Strategies Credit Long / Short Credit long / short strategies contributed +22bps this month. February was a positive month for European credit markets. The market continued to positively factor in the ECB proposed unconventional measures revealed in January. Inflows in the asset class have been continuing at a strong pace since the ECB s announcement. In particular, more yielding credit asset classes such as European high yield and hybrid financials, which underperformed investment grades in recent months, benefited from strong demand this month. The Xover Series 22 index tightened by 62bps over the month, to close at 262bps. The SubFin S22 contract tightened by 20bps, to close at 122bps by month-end. With this background, primary market was very active. In particular European banks continue to build their Additional Tier 1s regulatory capital requirement bucket ( 7.9bn AT1 issuances in February). The European HY market was also very active with 7bn of gross EUR-denominated supply. However, the month also saw calls, refinancing and maturities, leading to a net supply in EUR HY marginally into negative territory in February. Hence, all-in-all, the asset class is experiencing very strong technicals with large positive net inflows. The largest contributor to this month s performance was our long position in French insurer Groupama s subordinated bonds. Groupama published positive full-year 2014 results underlying a continued focus in improving the credit profile of the company. Results illustrated both an improvement of the operating metrics as well as a stronger capital position (Solvency I ratio up 53 points to 253% including unrealised capital gains, 123% excl. unrealised capital gains). The deleveraging and de-risking of the balance sheet remain the priorities of the management as illustrated by the sales of their 4.9% Mediobanca stake for 333m in February and of their 5.05% of Veolia for 485m on 03 March. These strong results could trigger an upgrade at Fitch to bring notches closer to Investment Grade (current bond ratings: BB at Fitch, positive outlook) whereas the bonds still trade at a higher discount to comparable companies. Trading Trading contributed -5bps this month. Sincerely, E. Boussard and E. Gavaudan Specifications Inception date: 17 November 2014 Fund UCITS Domicile: Luxembourg Liquidity: Daily Currency : Euro ( ) US Dollar (US$) Pound (GBP) Investment Manager Boussard & Gavaudan Asset Management LP 1 Vine Street, London W1J 0AH, United Kingdom Emmanuel Gavaudan +44 20 3751 5389 eg@bgam-uk.com François-Xavier Baud +44 20 3751 5395 fx.baud@bgam-uk.com 3

Annex 1: Greeks Delta 6.89% 6.89 bps P&L variation for market +1% Gamma 0.76% delta variation for market +1% Vega 3 bps by vol point Theta -1 bp by day Optional theta -1 bp by day Rho -1 bp for 1 bp of interest rates increasing Credit sensitivity -2 bps for 1% of credit spreads widening (in relative) Annex 2: Estimated Performance Attribution Volatility Strategies Mandatory convertible bond arbitrage Convertible bond arbitrage (incl. credit convertible bonds) Gamma trading Warrant arbitrage Equity Strategies Risk arbitrage / Special situations Long / short trading with short-term catalyst & Value Credit Strategies Credit long / short Trading 10 bps 10 bps 1 bp 0 bp 0 bp 68 bps 46 bps 22 bps 22 bps 22 bps -5 bps Total 93 bps 4

Annex 3: Gross Exposure (in % of AUM) Volatility Strategies Mandatory convertible bond arbitrage Convertible bond arbitrage (incl. credit convertible bonds) Gamma trading Warrant arbitrage Equity Strategies and Trading Equity strategies and Trading Credit Strategies Credit long / short Long 35.0% Short equity 27.3% Short credit 0.0% Long 2.9% Short equity 2.1% Short credit 0.0% Long 1.4% Short 1.4% Long 0.0% Short 0.0% Long 93.1% Short 78.0% Long 12.2% Short 8.0% Gross Exposure 261.4% Long Short Mandatory convertible bond arbitrage and Convertible bond arbitrage market value long Abs( [delta equity + options])+ notional long for CDS Gamma Trading Abs (delta equity) Abs (delta equity) Warrant Arbitrage delta long Abs(delta short) Equity Strategies and Trading delta long Abs(delta short) Credit Strategies market value long + Abs(market value short) + Abs (notional short for CDS) notional long for CDS 5

* Annex 4: Track Record - Historical Returns Summary (Net of Fees) Z- Euro Share Class (1) * Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD ITD 2014 - - - - - - - - - - 0.57% -0.47% 0.10% 0.10% 2015 2.20% 0.93% 3.15% 3.25% Z- USD Share Class (2) Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD ITD 2015-0.84% 0.84% 0.84% (1) Launch date: 17 November 2014 (2) Launch date: 6 February 2015 * 6

Annex 5: Macroeconomic Risks Through Stress Tests General Stress Tests Scenario Description Impact % of NAV 1 Delta - spot up Spot : 10% ; Credit : 0% ; Vol : 0% ; Rates : 0% 1.30% 2 Delta - spot down Spot : -10% ; Credit : 0% ; Vol : 0% ; Rates : 0% (0.27%) 3 Vega - vol up Spot : 0% ; Credit : 0% ; Vol : 10% ; Rates : 0% 0.05% 4 Vega - vol down Spot : 0% ; Credit : 0% ; Vol : -10% ; Rates : 0% (0.05%) 5 Credit spread widen Spot : 0% ; Credit : 25% ; Vol : 0% ; Rates : 0% (0.48%) 6 Credit spread tighten Spot : 0% ; Credit : -25% ; Vol : 0% ; Rates : 0% 0.54% 7 Market crash 0.5 Spot : -5% ; Credit : 25% ; Vol : 15% ; Rates : 0% (0.74%) 8 Market crash 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : 0% (1.07%) 9 Market crash 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : 0% (0.36%) 10 Market crash 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : 0% 0.95% 11 Market crash, rates down 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : -12.5% (1.04%) 12 Market crash, rates down 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : -12.5% (0.34%) 13 Market crash, rates down 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : -12.5% 0.97% 14 Market crash, rates up 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : 12.5% (1.09%) 15 Market crash, rates up 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : 12.5% (0.39%) 16 Market crash, rates up 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : 12.5% 0.93% 17 Equity Credit decorrelation 1 Spot : 5% ; Credit : 25% ; Vol : 0% ; Rates : 0% 0.12% 18 Equity Credit decorrelation 2 Spot : 5% ; Credit : 25% ; Vol : 10% ; Rates : 0% 0.16% 19 Equity Credit decorrelation 3 Spot : 5% ; Credit : 25% ; Vol : -10% ; Rates : 0% 0.07% 20 Equity Credit decorrelation 4 Spot : -5% ; Credit : -25% ; Vol : 10% ; Rates : 0% 0.26% 21 Equity Credit decorrelation 5 Spot : -5% ; Credit : -25% ; Vol : -10% ; Rates : 0% 0.15% 22 Equity Credit decorrelation 6 Spot : 0% ; Credit : 25% ; Vol : 10% ; Rates : 0% (0.43%) 23 Equity Credit decorrelation 7 Spot : 0% ; Credit : 25% ; Vol : -10% ; Rates : 0% (0.53%) 24 Market rally 1 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 0% 1.08% 25 Market rally 2 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 0% 1.13% 26 Market rally 3 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 0% 1.18% 27 Market rally 4 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 0% 1.78% 28 Market rally 5 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 0% 1.84% 29 Market rally 6 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 0% 1.88% 30 Market rally, Inflation 1 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 12.5% 1.05% 31 Market rally, Inflation 2 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 12.5% 1.10% 32 Market rally, Inflation 3 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 12.5% 1.15% 33 Market rally, Inflation 4 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 12.5% 1.75% 34 Market rally, Inflation 5 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 12.5% 1.80% 35 Market rally, Inflation 6 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 12.5% 1.85% 36 Market rally, Inflation 7 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 25% 1.01% 37 Market rally, Inflation 8 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 25% 1.06% 38 Market rally, Inflation 9 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 25% 1.11% 39 Market rally, Inflation 10 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 25% 1.71% 40 Market rally, Inflation 11 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 25% 1.77% 41 Market rally, Inflation 12 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 25% 1.81% Worst (1.09%) 7

Hedge Funds Liquidation Stress Tests Stress tests scenarios have been improved in order to take into account liquidity issues. This scenario aims at reflecting, to some extent, how the fund would react in distressed market environment (as was the case in late 2008). These stress tests combine the three following adjustments: Small and mid caps adjustment In certain market conditions, small and mid caps beta may become much higher than its level in normal market conditions and thus the hedging of such positions may not be effective. To address this kind of circumstance we apply a corrective factor to the beta of small and mid caps. The factor applied on mid caps is 1.5 and 2 on small caps. Risk arbitrage adjustment The risk of risk arbitrage positions is taken into account differently in case the market drops by more than 10%. We consider that one third of risk arbitrage positions will collapse. Liquidity adjustment An average discount (realized in 2008) is applied to bond, convertible bond (including mandatory convertible bond) and loan prices in case credit spreads widen by more than 25%. Mandatories: Adj. price = Max(Shifted Price 5% * Max(Credit spread shift 25%, 0), Parity) Others : Adj. price = Max(Shifted Price 5% * Max(Credit spread shift 25%, 0), 0) 8

Scenario Description Impact % of NAV 1 Delta - spot up Spot : 10% ; Credit : 0% ; Vol : 0% ; Rates : 0% 1.94% 2 Delta - spot down Spot : -10% ; Credit : 0% ; Vol : 0% ; Rates : 0% (0.94%) 3 Vega - vol up Spot : 0% ; Credit : 0% ; Vol : 10% ; Rates : 0% 0.05% 4 Vega - vol down Spot : 0% ; Credit : 0% ; Vol : -10% ; Rates : 0% (0.05%) 5 Credit spread widen Spot : 0% ; Credit : 25% ; Vol : 0% ; Rates : 0% (0.48%) 6 Credit spread tighten Spot : 0% ; Credit : -25% ; Vol : 0% ; Rates : 0% 0.54% 7 Market crash 0.5 Spot : -5% ; Credit : 25% ; Vol : 15% ; Rates : 0% (1.07%) 8 Market crash 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : 0% (2.27%) 9 Market crash 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : 0% (3.88%) 10 Market crash 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : 0% (4.33%) 11 Market crash, rates down 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : -12.5% (2.24%) 12 Market crash, rates down 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : -12.5% (3.85%) 13 Market crash, rates down 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : -12.5% (4.30%) 14 Market crash, rates up 1 Spot : -10% ; Credit : 50% ; Vol : 30% ; Rates : 12.5% (2.30%) 15 Market crash, rates up 2 Spot : -20% ; Credit : 75% ; Vol : 50% ; Rates : 12.5% (3.90%) 16 Market crash, rates up 3 Spot : -30% ; Credit : 100% ; Vol : 70% ; Rates : 12.5% (4.35%) 17 Equity Credit decorrelation 1 Spot : 5% ; Credit : 25% ; Vol : 0% ; Rates : 0% 0.44% 18 Equity Credit decorrelation 2 Spot : 5% ; Credit : 25% ; Vol : 10% ; Rates : 0% 0.49% 19 Equity Credit decorrelation 3 Spot : 5% ; Credit : 25% ; Vol : -10% ; Rates : 0% 0.39% 20 Equity Credit decorrelation 4 Spot : -5% ; Credit : -25% ; Vol : 10% ; Rates : 0% (0.07%) 21 Equity Credit decorrelation 5 Spot : -5% ; Credit : -25% ; Vol : -10% ; Rates : 0% (0.18%) 22 Equity Credit decorrelation 6 Spot : 0% ; Credit : 25% ; Vol : 10% ; Rates : 0% (0.43%) 23 Equity Credit decorrelation 7 Spot : 0% ; Credit : 25% ; Vol : -10% ; Rates : 0% (0.53%) 24 Market rally 1 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 0% 1.40% 25 Market rally 2 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 0% 1.46% 26 Market rally 3 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 0% 1.50% 27 Market rally 4 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 0% 2.42% 28 Market rally 5 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 0% 2.48% 29 Market rally 6 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 0% 2.53% 30 Market rally, Inflation 1 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 12.5% 1.37% 31 Market rally, Inflation 2 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 12.5% 1.42% 32 Market rally, Inflation 3 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 12.5% 1.47% 33 Market rally, Inflation 4 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 12.5% 2.39% 34 Market rally, Inflation 5 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 12.5% 2.44% 35 Market rally, Inflation 6 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 12.5% 2.49% 36 Market rally, Inflation 7 Spot : 5% ; Credit : -25% ; Vol : -10% ; Rates : 25% 1.33% 37 Market rally, Inflation 8 Spot : 5% ; Credit : -25% ; Vol : 0% ; Rates : 25% 1.39% 38 Market rally, Inflation 9 Spot : 5% ; Credit : -25% ; Vol : 10% ; Rates : 25% 1.43% 39 Market rally, Inflation 10 Spot : 10% ; Credit : -25% ; Vol : -10% ; Rates : 25% 2.35% 40 Market rally, Inflation 11 Spot : 10% ; Credit : -25% ; Vol : 0% ; Rates : 25% 2.41% 41 Market rally, Inflation 12 Spot : 10% ; Credit : -25% ; Vol : 10% ; Rates : 25% 2.45% Worst (4.35%) 9

IMPORTANT INFORMATION This document is issued in the United Kingdom by Boussard & Gavaudan Asset Management LP ( BGAM ), which is authorised and regulated by the Financial Conduct Authority ( FCA ). This document may, where permitted by local laws and regulations, be distributed by Boussard & Gavaudan Gestion ( BGG ) which is authorised and regulated in the Republic of France by the Autorité des marchés financiers. This document relates to Boussard & Gavaudan Absolute Return, a compartment of Boussard & Gavaudan SICAV (the Fund ). Boussard & Gavaudan SICAV is registered under part I of the Luxembourg law of 17 December 2010 concerning undertakings for collective investment, as may be amended from time to time (the "Law"). The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities under the Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities. The Fund is managed by Boussard & Gavaudan Asset Management LP on the basis of freedom of services pursuant to chapter 15 of the Law. The distribution of this document in other jurisdictions may be restricted by law and persons who request or agree to receive this presentation are required to inform themselves of, and to comply with, any such restrictions. This document is not to be made available to any person in any jurisdiction where doing so would contravene any applicable laws or regulations. By requesting or agreeing to receive this document, the recipient confirms that it is aware of the laws in its own jurisdiction relating to the receipt of information relating to investment funds, and the recipient warrants and represents that it will not pass on or utilise the information contained in this presentation in a manner that could constitute a breach of such laws by BGAM, BGG, their affiliates, the Fund or any other person. This document does not constitute or form part of any offer to issue or sell, or any solicitation of any offer to subscribe or purchase, any investment, nor shall it or the fact of its distribution or communication form the basis of, or be relied on in connection with, any contract therefore. Applications for investment in the Fund can only be made on the basis of the current prospectus of the Fund (the Prospectus ). The Fund s future returns may vary materially from the performance information disclosed in this document. Past performance is not a reliable indicator of future results. Investing in the Fund may expose an investor to a significant risk of losing all of the amount invested. There can be no assurance that the Fund s investment objectives will be achieved and investment results may vary substantially over time. The attention of investors is drawn to the section entitled Risk Factors in the Prospectus. The value of shares in the Fund can go down as well as up and is not guaranteed. Changes in rates of exchange may also cause the value of shares to fluctuate. Any reference to individual investments within this document should not be taken as a recommendation to buy or sell. Any person who is in any doubt about investing in the Fund should consult an authorised person specialising in advising on such investments. VC 19.01.2015.01 10