Lehman & AIG exposure


Boussard & Gavaudan Holding Limited
a closed-ended investment company incorporated with limited liability under the laws of Guernsey with registration number 45582
Lehman & AIG exposure
16 September 2008
Dear Shareholder,
Approximately 99% of BGHL's investments are in Sark Fund Ltd.
Sark Master Fund Ltd is not using Lehman Brothers as a prime broker.
From the trades we did at the end of last week, Sark has a settlement risk which notional is equivalent to 0.37% of its AUM that should be cleared by Wednesday. Lehman Brothers has indicated that they intend to settle all the trades executed last week. In case they do not settle, we would be exposed to a fraction of this amount since it is mostly "delivery versus payment" risk.
Additionally, Sark has an exposure left to Lehman Brothers International Europe due to its OTC Equity Derivatives positions traded under ISDA. This exposure is 0.40% of the AUM of the fund. We intend to serve notice on LBIE in order to accelerate the trades. Most likely, this claim will join the pool of LBIE unsecured senior creditors.
Finally, Sark owns a loan in sub participation through Lehman Commercial Paper Inc. The asset value of this loan is 0.7% of Sark's AUM and could potentially constitute an exposure to LCPI. We are exploring with Lehman the possibility of becoming lender of record on this loan as soon as they can resume trading.
We are confident that after Wednesday's settlement - and if all settles properly - our exposure to Lehman will not exceed 1.1% of Sark's AUM.
Sark Master Fund Ltd has no exposure to AIG.
Best regards,
Emmanuel Gavaudan & Emmanuel Boussard.
B&G Asset Management                       +44 20 7514 0700
Emmanuel Gavaudan                               

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).
This announcement is for information purposes only and is not an offer to invest. All investments are subject to risk. Past performance is no guarantee of future returns. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decision. The value of investments may fluctuate. Results achieved in the past are no guarantee of future results.
This announcement does not constitute a prospectus. The envisaged application for listing of the Sterling Shares will be made solely on the basis of information that will be contained in the prospectus to be made generally available in The Netherlands in connection with such listing. When made generally available, copies of the prospectus may be obtained at no cost through the website of the Company www.bgholdingltd.com.
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 the Sark Fund have 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 ill 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.