Boussard & Gavaudan : BGF Risk Report April 2024

30/04/2024			BG FUND - EXPOSURE REPORT
PORTFOLIO - HIGHLIGHTS
Assets Under Management (M€)			1,595
Greeks
Delta			7.3%
Gamma (delta variation for 1% mkt move)			2.90%
Vega Mat Weighted (by vol point)			-5 bps
CBs contribution to Vega Mat Weighted (by vol point)		9 bps
Interest Rate sensitivity (per 1bp of interest rate increasing)		-0.05 bps
Credit sensitivity (for 1% of credit spreads widening, in relative)	-7 bps
			Equity At Risk	Accounts	Equity Exposure	Debt Exposure
			(% of AUM)	Long (M€)	Short (M€)	Long (M€)	Short (M€)
Volatility Strategies			19.3%	144	24	22	1193	28
Mandatory Arbitrage		6.1%	6	2	1	302	0
Convertible Arbitrage (includ. credit CBs)	11.3%	69	14	8	891	28
Gamma Trading			1.7%	28	5	12	0	0
Warrant Arbitrage			0.3%	41	3	0	0	0
Equity Strategies			11.6%	78	532	546	11	0
Risk Arbitrage / Special Situations		8.3%	48	370	381	11	0
Long/Short trad. with short-term catalyst/Value	3.2%	30	162	165	0	0
Credit Strategies			18.9%	27	0	4	291	25
Credit Long / Short		11.0%	13	0	0	186	20
Capital Structure Arbitrage		0.0%	3	0	0	0	0
Credit Special Situation		7.9%	11	0	4	104	5
Trading			8.0%	49	360	217	0	0
Cash Equivalents			0.0%
TOTAL			57.8%	298	916	789	1494	53
Definitions		Equity Exposure				Debt Exposure
Long	Sum of Delta + (netted by underlying & account) for each account			Sum of Long Bond Asset Value & Short CDS Notional
		(netted by issuer & account) for each account
Short	Sum of Delta - (netted by underlying & account) for each account			Sum of Short Bond Asset Value & Long CDS Notional
		(netted by issuer & account)for each account
Portfolio - Sector breakdown		Long	Short		Portfolio - Country breakdown	Long	Short
Communications		11.3%	11.3%		Europe		59.7%	53.0%
Consumer Discretionary		7.9%	9.5%		North America		34.5%	42.4%
Consumer Staples		3.6%	2.9%		Central & South America	0.0%	0.0%
Energy		6.3%	7.8%		Asia		2.1%	1.4%
Financials		13.0%	9.7%		Others		3.8%	3.1%
Forex		1.0%	1.8%		Total		100.0%	100.0%
Health Care		5.6%	4.4%
Index/Others		4.6%	1.4%
Real Estate		2.5%	1.7%
Industrials		20.8%	23.4%
Materials		6.2%	6.3%
Technology		14.3%	16.4%
Utilities		2.7%	3.5%
Total		100.0%	100.0%
CREDIT STRATEGIES
Credit L/S, Credit D.Lending & CSA only (*)	Long	Short
Average credit spread weighted by asset value	1,020 bps	-
Average duration weighted by asset value		1.8 years	-
(*) Data exclude restructuring deals
EQUITY STRATEGIES
Market capitalization breakdown		Long	Short
< € 0.3 bn		0.4%	0.1%
€ 0.3 - € 2 bn		17.7%	3.8%
€ 2 - € 10bn		46.2%	22.5%
€ 10 - € 50 bn		20.5%	40.4%
> € 50bn		15.2%	33.1%
Total		100.0%	100.0%
VOLATILITY STRATEGIES
Mandatory Arbitrage					Convertible Arbitrage
Mandatory delta in percent weighted by asset value		81.4%		Premium to conversion weighted by asset value	17.0%
Mandatory skew weighted by asset value (vol pts)		2.0%		Premium to bond floor weighted by asset value	28.0%
% of portfolio credit risk			5.3%		Delta in percent weighted by asset value		123.9%
Mandatory credit spread weighted by credit risky asset value		97 bps		Portfolio Vega (by vol point) (% of AUM)		18.1 bps
Mandatory time to maturity weighted by asset value		1.3 years		Time To Maturity (years) Weighted By Asset Value	3.0 years
Portfolio gamma (delta variation for market + 1%) (% of AUM)	0.0%		Notional asset swapped (% portfolio)		2.2%
Portfolio optional theta (% of AUM)			-1.2 bps		Implied volatility weighted by asset value (vol pts)	35.8%
Portfolio vega (by vol point) (% of AUM)			1.3 bps		Credit spread weighted by asset value		449.3 bps
Portfolio credit sensitivity (for 10% of credit spreads widening, in relative) (% of AUM)	-0.1 bps		Portfolio credit sensitivity (for 10% of credit spreads widening, in relativ	-35.7 bps