BOUSSARD & GAVAUDAN HOLDING LIMITED-ORD : BGHL December 2011 Monthly statement
StrategiesConvertible bond arbitrage
Convertible bonds (excl. mandatories) contributed positively
in December.
Beside the gamma gains in our pure arbitrage book (delta
hedged CBs + CDSs), this was mostly driven by strong gains
from our (largely) directional credit bets, which reversed
part of the losses experienced in the previous months.
In particular TUI Travel benefited from renewed positive
investor sentiment following the release of their full year
2011 preliminary figures which, in contrast to competitor
Thomas Cook, beat analysts' consensus and were well received
by the market. Whilst the environment is expected to remain
challenging, the company said they expected moderate growth
next year and that they were committed to further
strengthening of cash flow generation. The low delta / credit
sensitive TUI Travel convertibles further gained on the back
of the announcement by mother