Boussard & Gavaudan : Exposure Report as of 31 December 2021

31/12/2021			BG FUND - EXPOSURE REPORT
PORTFOLIO - HIGHLIGHTS
Assets Under Management (M€)			2,387
Greeks
Delta			5.6%
Gamma (delta variation for 1% mkt move)			0.5%
Vega (by vol point)			10 bps
Theta (30 days)			-2 bps
Optional theta (30 days)			-10 bps
Interest Rate sensitivity (per 1bp of interest rate increasing)		-1 bps
Credit sensitivity (for 1% of credit spreads widening, in relative)	-2 bps
			Equity At Risk	Accounts	Equity Exposure	Debt Exposure
			(% of AUM)		Long (M€)	Short (M€)	Long (M€)	Short (M€)
Volatility Strategies			14.8%	121	47	14	1579	0
Mandatory Arbitrage		4.0%	5	16	4	822	0
Convertible Arbitrage (includ. credit CBs)	6.5%	40	21	6	757	0
Gamma Trading			0.3%	21	7	2	0	0
Warrant Arbitrage			4.0%	56	2	1	0	0
Equity Strategies			31.3%	67	1085	1022	12	0
Risk Arbitrage / Special Situations		21.9%	52	771	713	8	0
Long/Short trad. with short-term catalyst/Value	9.4%	15	313	309	4	0
Credit Strategies			13.0%	11	0	0	255	0
Credit Long / Short		8.2%	4	0	0	194	0
Capital Structure Arbitrage		0.0%	1	0	0	0	0
Credit Special Situation		4.8%	6	0	0	61	0
Trading			9.2%	34	680	602	0	0
Quantitative Equity Trading		4.9%	11	496	509	0	0
Systematic trend following		1.5%	12	73	37	0	0
Index Rebalancing Arbitrage		0.0%	0	0	0	0	0
Trading using A.I			0.0%	0	0	0	0	0
Other			2.7%	10	111	57	0	0
Cash Equivalents			0.0%
TOTAL			68.4%	234	1812	1638	1846	0
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		10.0%	8.8%		Europe		70.3%	66.9%
Consumer Discretionary		10.4%	9.2%		North America		20.3%	23.8%
Consumer Staples		2.4%	3.4%		Central & South America	0.0%	0.0%
Energy		2.5%	2.0%		Asia		3.9%	2.4%
Financials		12.8%	7.7%		Others		5.5%	6.9%
Forex		0.3%	1.5%		Total		100.0%	100.0%
Health Care		3.2%	4.3%
Index/Others		3.6%	0.7%
Real Estate		2.2%	0.5%
Industrials		12.8%	9.4%
Materials		17.0%	31.2%
Technology		15.2%	18.4%
Utilities		7.6%	2.9%
Total		100.0%	100.0%
CREDIT STRATEGIES
Credit L/S, Credit D.Lending & CSA only (*)	Long	Short
Average credit spread weighted by asset value	915 bps	-
Average duration weighted by asset value		2.1 years	-
(*) Data exclude restructuring deals
EQUITY STRATEGIES
Market capitalization breakdown		Long	Short
< € 0.5 bn		15.2%	0.6%
€ 0.5 - € 5 bn		48.6%	16.6%
€ 5 - € 20bn		20.8%	24.1%
> € 20bn		15.4%	58.7%
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	18.5%
Mandatory skew weighted by asset value (vol pts)		2.0%		Premium to bond floor weighted by asset value	53.8%
% of portfolio credit risk			1.2%		Delta in percent weighted by asset value		69.6%
Mandatory credit spread weighted by credit risky asset value		44 bps		Portfolio Vega (by vol point) (% of AUM)		9.2 bps
Mandatory time to maturity weighted by asset value		0.1 years		Time To Maturity (years) Weighted By Asset Value	3.2 years
Portfolio gamma (delta variation for market + 1%) (% of AUM)		0.0%		Notional asset swapped (% portfolio)		0.0%
Portfolio optional theta (% of AUM)			0.0 bps		Implied volatility weighted by asset value (vol pts)	37.0%
Portfolio vega (by vol point) (% of AUM)			0.0 bps		Credit spread weighted by asset value		232.4 bps
Portfolio credit sensitivity (for 10% of credit spreads widening, in relative) (% of AUM)	0.0 bps		Portfolio credit sensitivity (for 10% of credit spreads widening, in relativ	-11.7 bps