Boussard & Gavaudan SICAV

Société d'Investissement à Capital Variable (SICAV) under the Luxembourg law

Audited annual report as at 31/12/2020

RCS Luxembourg N B190584

Database Publishing System: CO-Reporter® by CO-Link, Belgium. Boussard & Gavaudan SICAV

Table of contents

Page

Management and administration 3

Manager’s report 5

Audit report 8

Combined 11

Boussard & Gavaudan Absolute Return 15

Boussard & Gavaudan Convertible 22

BG Long Term Value 27

Boussard & Gavaudan Equity Quantitative Trading 32

Notes to the financial statements - Schedule of derivative instruments 38

Other notes to the financial statements 71

Additional information (unaudited) 83

No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus and the Key Investor Information Document (KIID) together with the most recent Annual Report or the most recent Semi-Annual Report if published thereafter.

Page 2 Boussard & Gavaudan SICAV

Management and administration

Registered office 5, allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg

Board of Directors of the Company Alain Guérard Mont Blanc Consult S.à r.l Chairman of the Board of Directors

Deborah Gewinner Head of Compliance

Boussard & Gavaudan Gestion S.A.S.

François-Xavier Baud (until February 26, 2020) Head of Distribution Boussard & Gavaudan Asset Management LP

Nicolas Wirz (since February 27, 2020) Independent Director

Management Company Boussard & Gavaudan Asset Management LP (until December 31, 2020) 1 Vine Street W1J 0AH London United Kingdom

Boussard & Gavaudan Gestion S.A.S. (Since January 01, 2021) 69 boulevard Haussmann F-75008 Paris France

Board of Directors of the Management Company

Boussard & Gavaudan Asset Management LP operates through its General Partner, Boussard & Gavaudan Partners Limited

Directors of the Management Company’s General Partner

Emmanuel Boussard Emmanuel Gavaudan Pascal Gillot Charles-Edouard Joseph

Investment Manager Boussard & Gavaudan Gestion S.A.S. 69 boulevard Haussmann F-75008 Paris France

Depositary Administration Agent CACEIS Bank, Luxembourg Branch CACEIS Bank, Luxembourg Branch 5, allée Scheffer 5, allée Scheffer L-2520 Luxembourg L-2520 Luxembourg Grand Duchy of Luxembourg Grand Duchy of Luxembourg

Page 3 Boussard & Gavaudan SICAV

Management and Administration (continued)

Auditor Legal Advisor PricewaterhouseCoopers Elvinger Hoss Prussen Société coopérative Société anonyme 2, rue Gerhard Mercator 2, place Winston Churchill L-2182 Luxembourg L-1340 Luxembourg Grand Duchy of Luxembourg Grand Duchy of Luxembourg

Page 4 Boussard & Gavaudan SICAV

Manager’s report

Boussard & Gavaudan Absolute Return

Boussard & Gavaudan Absolute Return turned in performance of 6.17% in 2020 (Z Class EUR share).

Volatility Strategies

Mandatory Convertible Bond Arbitrage Mandatory convertible bonds contributed positively during the year. Flows were relatively limited and nothing new has come to the primary markets.

Convertible Bond Arbitrage Convertible bonds contributed positively to the performance of the fund for the year. The inventory prior to March was intentionally light and we have been able to identify many opportunities in April even though liquidity remained limited. We selectively added to our conviction trades and benefitted from new attractive convertibles which generated performance.

Volatility Trading Volatility trading contributed positively to the performance of the fund. During the month of March, both implied and realised volatility jumped significantly higher across all asset classes. Our various volatility positions (mainly single stock and index gamma exposures, volatility swap dispersion, FX volatility, VIX strategies and some light exotic exposures) benefited significantly from this change of regime and positions behaved well during the market turmoil. We took a cautious approach when volatility started to move up and increased our positive convexity, buying additional gamma and avoiding holding any kind of positive carry positions. Despite some deterioration in liquidity we also managed to monetize and exit a number of positions where implied levels became very elevated during the extreme stress and market panic. After March, we continued to carefully monitor the whole volatility space and traded new opportunities as they arose. Bid/offer costs were then higher than pre-crisis and we remained vigilant in assessing the risk reward profile of any new positions.

Warrant arbitrage Warrant arbitrage contributed positively.

Equity Strategies

Equity strategies were a positive contributor to fund’s performance. The risk arbitrage and special situations strategies performed extremely well as the environment became very favorable to corporate activity after the March drawdown. We remain extremely positive on the event driven, arbitrage and volatility environment in Europe for 2021. For the rest of the portfolio, we were able to recover part of the March loss via selectively investing in high conviction trades that dropped significantly during the market turmoil.

Credit Strategies

Capital Structure Arbitrage Capital structure arbitrage flat during the year.

Credit Long / Short Credit long / short had a negative contribution. We managed to gradually recover from the loss suffered in March benefiting from an overall improvement of all credit sectors which had been lagging so far but finally came back to pre-Covid levels at the end of the year.

Credit Special Situations Credit special situations contributed negatively.

Trading

Trading contributed very positively before, during and after the March 20 crisis. The Equity Quantitative strategy performed extremely well thanks to a defensive positioning while the market collapsed. The portfolio also benefitted from the systematic trend following strategy and the accurate positioning of the macro strategy.

Page 5

Boussard & Gavaudan SICAV

Manager’s report (continued)

Boussard & Gavaudan Convertible

Boussard & Gavaudan Convertible turned in performance of 12.39% in 2020 (P Class EUR share). Most of our strategies contributed positively to Boussard & Gavaudan Convertible’s performance which was mainly driven by delta strategies and to a lesser extent by credit strategies.

Most of our performance came from our US exposition, European equity markets were negative for the year : Eurostoxx was -5.14%, SP 500 up +4.13%, Nasdaq 100 +47.58%.

The Investment Manager was required to adapt the portfolio to this environment:

- Positions were constructed with positive convexity to limit portfolio downside risk. - Delta was managed opportunistically. - Positions were constantly monitored. - Given the European convertible bond universe offered limited options to get involved in the key sectors that rise in 2020, the Investment Manager continued to purchase or roll Nasdaq call options to benefit from 2020 rally.

BG Long Term Value

For the year 2020 BG Long Term Value I Unit returned -11.79%, underperforming the Euro Stoxx 50® Net Return and Stoxx® Europe 600 Net Return. However, the strategy has significantly outperformed these indices on a 5-year, 10-year and inception-to-date basis.

This Covid-19 environment triggered different underperformance drivers that, when combined, help understand the underperforming: - underperformance of the Value factor - underperformance of the Large Cap component and - underperformance of the UK stocks

The pandemic situation is not the only explanation, the Oil price war started early March triggered a wave of liquidations within the hedge fund industry and penalised some of our stock picking for what we still think a false perception of weak balance sheets.

Then the Brexit and in particular the final steps of the negotiation weighted again on the UK stocks lagging behind despite a compelling attractive valuation for not too much domestic focus companies.

Boussard & Gavaudan has taken decisive actions in this context to mitigate these negative trends. The first one was to reduce the overall exposure of the fund by about 10% between February and May 2020, increase the de-correlation with attractive risk arbitrage trades and reduce the important underweight to the Momentum factor.

If some investment did not yet bounce back to the level we were expecting, they usually remain in our core conviction positioning. CGG or Safran was both names brutally affected during the first quarter for which we do believe value remains and catalysts even if delayed will still contribute very positively.

The second half of the year turned out to be very rich in term of corporate actions (Mergers, acquisitions, buy-back of minorities, divestitures…) and the fund was able to participate in quite a few deals. And investment banks have quite a positive outlook for corporate activity in 2021.

Eventually, the end of the year was marked by the first step of a very promising Value reversal. The debate of the end of value underperformance versus growth came back in force in Q4. It clearly requires further confirmation steps. Inflationary expectations will also play an important role to a revival of the value investment style.

Page 6

Boussard & Gavaudan SICAV

Manager’s report (continued)

Boussard & Gavaudan Equity Quantitative Trading

Boussard & Gavaudan Equity Quantitative Trading turned in performance of 8.22% in 2020 (I Class EUR share). Boussard & Gavaudan Equity Quantitative Trading aims to profit from long exposures to equity or equity-linked securities of companies domiciled or exercising the predominant part of their economic activity in Europe.

The genesis of Boussard & Gavaudan Equity Quantitative Trading ("BG EQT") is as a quantitative strategy which aims to both generate outperformance over benchmark indices and particularly benefit from a down trending market.

BG EQT was developed as an internal risk sleeve to complement our core fundamental investment portfolio. The investment process in BG EQT – portfolio construction, selection and weighting of assets - is based on quantitative models developed by Boussard & Gavaudan Asset Management. In contrast to the main fund, the models rely on historic statistical and market technical indicators, rather than fundamental analysis.

Note: The information stated in this report are historical and not necessarily indicative of future performance.

Page 7

Audit report

To the Shareholders of Boussard & Gavaudan SICAV

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial position of Boussard & Gavaudan SICAV (the “Fund”) and of each of its sub-funds as at 31 December 2020, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

What we have audited

The Fund’s financial statements comprise:

 the combined statement of net assets for the Fund and the statement of net assets for each of the sub-funds as at 31 December 2020;  the securities portfolio as at 31 December 2020;  the combined statement of operations and changes in net assets for the Fund and the statement of operations and changes in net assets for each of the sub-funds for the year then ended; and  the notes to the financial statements - Schedule of derivatives investments and the other notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

We are independent of the Fund in accordance with the International Code of Ethics for Professional Accountants, including International Independence Standards, issued by the International Ethics Standards Board for Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.

Other information

The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon.

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund and those charged with governance for the financial statements

The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or close any of its sub-funds or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Fund’s financial reporting process.

Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

 identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

9  obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control;

 evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund;

 conclude on the appropriateness of the Board of Directors of the Fund’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern;

 evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

PricewaterhouseCoopers, Société coopérative Luxembourg, 7 April 2021 Represented by @esig

@esig Frédéric Botteman

10 Boussard & Gavaudan SICAV Combined

11Page Boussard & Gavaudan SICAV Combined Financial Statements as at 31/12/2020 Statement of net assets as at 31/12/2020 Expressed in EUR

Assets 361,510,035.11 Securities portfolio at market value 2aNote 274,834,745.56 Cost price 242,455,931.99 Unrealised profit on the securities portfolio 32,378,813.57 Options purchased at market value 2hNote 6,287,231.03 Options purchased at cost 4,612,418.29 Cash at banks and liquidities 21,504,327.16 Cash at broker 10Note 51,176,010.79 Interest receivable 67,321.63 Subscriptions receivable 1,034,828.26 Dividends receivable 70,299.13 Unrealised net appreciation on forward foreign exchange contracts 2gNote 481,526.79 Unrealised net appreciation on financial futures 2fNote 140,774.40 Unrealised net appreciation on swaps Note 2j, 2k, 2i, 2l 5,887,613.03 Receivable on swaps Note 2i, 2j, 2k, 2k 25,357.33 Liabilities 4,473,786.64 Options sold at market value 2hNote 737,763.78 Options sold at cost 692,745.87 Bank overdrafts 13,016.11 Accrued performance fees 5Note 1,324,115.54 Redemptions payable 34,571.10 Unrealised net depreciation on forward foreign exchange contracts 2gNote 24,482.34 Unrealised net depreciation on financial futures 2fNote 597,599.50 Unrealised net depreciation on swaps Note 2j, 2k, 2i, 2l 127,645.73 Accrued management fees 5Note 846,542.92 Payable on swaps Note 2i, 2j, 2k, 2k 562,917.64 Other liabilities 205,131.98 Net asset value 357,036,248.47

The accompanying notes form an integral part of these financial statements 12Page Boussard & Gavaudan SICAV Combined Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020

Expressed in EUR

Income 10,579,183.97 Net dividends 2cNote 733,419.86 Net interest on bonds 2cNote 1,740,110.13 Dividends received on CFDs 2jNote 5,181,930.34 Securities lending income 2o, 9Note 13,239.88 Interest received on swaps 2iNote 865,415.24 Other income 2,045,068.52 Expenses 15,437,956.52 Management fees 5Note 3,894,166.21 Depositary fees 6Note 89,601.04 Taxe d'abonnement 4Note 161,227.73 Administration fees 6Note 220,579.67 Research fees 14Note 266,635.00 Performance fees 5Note 1,322,780.12 Domiciliation fees 9,600.00 Audit fees 43,949.14 Bank interest on cash account 1,807,880.02 Legal fees 38,964.37 Transaction fees 2mNote 727,950.47 Distribution fees 164,517.20 Dividends paid on CFDs 4,440,846.74 Banking charges 168,748.40 Transfer agent fees 50,014.19 Interest paid on swaps 2iNote 1,777,510.77 Other expenses 11Note 252,985.45 Net loss from investments -4,858,772.55 Net realised profit / loss on: - sales of investment securities -24,045,487.37 - options 1,246,393.53 - forward foreign exchange contracts -2,297,542.00 - financial futures 57,462,769.09 - swaps -42,998,725.69 - foreign exchange 5,136,467.04 Net realised loss -10,354,897.95 Movement in net unrealised appreciation / depreciation on: - investment securities 12,911,792.74 - options -123,849.78 - forward foreign exchange contracts -664,530.62 - financial futures -725,294.26 - swaps 3,480,178.05 Increase in net assets as a result of operations 4,523,398.18 Subscription capitalisation shares 72,753,128.43 Redemption capitalisation shares -273,972,970.03 Decrease in net assets -196,696,443.42

Net assets at the beginning of the year 553,732,691.89

The accompanying notes form an integral part of these financial statements 13Page Boussard & Gavaudan SICAV Combined Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020

Expressed in EUR

Net assets at the end of the year 357,036,248.47

The accompanying notes form an integral part of these financial statements 14Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return

15Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Financial Statements as at 31/12/2020 Statement of net assets as at 31/12/2020 Expressed in EUR

Assets 287,999,904.27 Securities portfolio at market value 2aNote 212,768,004.50 Cost price 183,943,033.51 Unrealised profit on the securities portfolio 28,824,970.99 Options purchased at market value 2hNote 2,925,235.20 Options purchased at cost 2,071,634.03 Cash at banks and liquidities 17,012,570.71 Cash at broker 10Note 48,087,504.48 Interest receivable 31,363.18 Subscriptions receivable 1,034,828.26 Dividends receivable 56,727.79 Unrealised net appreciation on forward foreign exchange contracts 2gNote 317,472.69 Unrealised net appreciation on swaps Note 2j, 2k, 2i, 2l 5,741,778.56 Receivable on swaps Note 2i, 2j, 2k, 2k 24,418.90 Liabilities 4,083,394.08 Options sold at market value 2hNote 737,763.78 Options sold at cost 692,745.87 Bank overdrafts 12,991.03 Accrued performance fees 5Note 1,324,074.72 Redemptions payable 34,571.10 Unrealised net depreciation on financial futures 2fNote 528,628.06 Accrued management fees 5Note 737,025.14 Payable on swaps Note 2i, 2j, 2k, 2k 562,917.64 Other liabilities 145,422.61 Net asset value 283,916,510.19

Changes in number of shares outstanding from 01/01/2020 to 31/12/2020

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/2020 31/12/2020

Z Class EUR 310,596.92 23,582.46 154,140.74 180,038.64

Z Class USD 43,032.36 893.27 29,606.55 14,319.08

Z Class GBP 28,914.45 1,441.41 18,605.06 11,750.80

S Class EUR 750.04 0.00 91.00 659.04

R Class EUR 10,838.98 48.83 6,095.37 4,792.44

R Class USD 14.00 0.00 0.00 14.00

R Class GBP 500.00 0.00 0.00 500.00

The accompanying notes form an integral part of these financial statements 16Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Changes in number of shares outstanding from 01/01/2020 to 31/12/2020

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/2020 31/12/2020

R Class CHF 150.00 0.00 0.00 150.00

I Class EUR 23,775.40 27,884.81 15,763.83 35,896.38

I Class USD 4,018.29 0.00 2,888.55 1,129.74

P Class EUR 4,192.82 198.46 3,106.08 1,285.20

The accompanying notes form an integral part of these financial statements 17Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Key figures

Year ending as at: 31/12/2020 31/12/2019 31/12/2018

Total Net Assets EUR 283,916,510.19 463,291,002.68 855,138,034.05 Z Class EUR Number of shares 180,038.64 310,596.92 546,901.31 Net asset value per share EUR 1,154.14 1,087.10 1,048.88 Z Class USD Number of shares 14,319.08 43,032.36 87,385.08 Net asset value per share USD 1,246.72 1,160.18 1,090.48 Z Class GBP Number of shares 11,750.80 28,914.45 65,481.09 Net asset value per share GBP 1,169.71 1,102.47 1,049.15 S Class EUR Number of shares 659.04 750.04 933.98 Net asset value per share EUR 1,208.86 1,128.55 1,083.46 R Class EUR Number of shares 4,792.44 10,838.98 22,659.92 Net asset value per share EUR 1,052.82 999.02 973.59 R Class USD Number of shares 14.00 14.00 2,119.92 Net asset value per share USD 1,097.57 1,034.30 982.92 R Class GBP Number of shares 500.00 500.00 500.00 Net asset value per share GBP 1,019.29 967.98 930.61 R Class CHF Number of shares 150.00 150.00 0.00 Net asset value per share CHF 1,046.28 1,001.89 0.00 I Class EUR Number of shares 35,896.38 23,775.40 91,280.28 Net asset value per share EUR 1,036.90 978.07 944.75 I Class USD Number of shares 1,129.74 4,018.29 1,507.00 Net asset value per share USD 1,089.71 1,015.31 954.65 P Class EUR Number of shares 1,285.20 4,192.82 8,870.25 Net asset value per share EUR 1,076.82 1,015.87 980.15

The accompanying notes form an integral part of these financial statements 18Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets Transferable securities admitted to an official stock exchange listing and/or dealt in 160,224,565.01 56.44 on another regulated market Shares 35,302,110.53 12.43 The Netherlands 18,645,463.87 6.57 3,499,524 ALTICE EUROPE SHS SERIES -A- EUR 18,645,463.87 6.57 France 16,594,458.55 5.84 67,605 ATOS SE EUR 5,055,501.90 1.78 406,773 AXA SA EUR 7,936,954.78 2.80 137,748 CONSTELLIUM NV - SHS USD 1,575,002.67 0.55 73,442 IPSOS SA EUR 2,026,999.20 0.71 United States of America 62,188.11 0.02 1,941 KBR INC USD 49,066.35 0.02 273 VOYA FINANCIAL INC USD 13,121.76 0.00 Bonds 74,074,996.94 26.10 Luxembourg 48,011,622.93 16.92 1,058,128 ARCELORMITTAL 5.5 20-23 18/05Q USD 48,011,622.93 16.92 France 25,053,582.31 8.82 600,000 CASINO GUICHARD 3.58 14-25 07/02A EUR 543,201.00 0.19 1,100,000 CASINO GUICHARD PER 4.048 14-26 05/08A EUR 978,708.50 0.34 18,000,000 FRANCE TREASURY BILL ZCP 030321 EUR 18,029,114.52 6.35 100,000 QUATRIM 5.8750 19-24 31/01A EUR 104,101.00 0.04 4,000,000 RATP ZCP 160221 USD 3,366,080.37 1.19 3,721 SOITEC SA CV 0.0 20-25 01/10U EUR 751,867.12 0.26 900,000 VALLOUREC 2.25 14-24 30/09A EUR 619,047.00 0.22 660,000 VALLOUREC SA 6.3750 18-23 15/10S EUR 453,769.80 0.16 300,000 VALLOUREC SA 6.625 17-22 15/10S EUR 207,693.00 0.07 Spain 730,314.70 0.26 1,100,000 DISTRIB INT DE ALIM 0.875 17-23 06/04A EUR 730,314.70 0.26 Belgium 279,477.00 0.10 300,000 SARENS FINANCE 5.7500 20-27 21/02S EUR 279,477.00 0.10 Convertible bonds 41,700,159.94 14.69 France 15,145,512.83 5.34 4,000,000 MICHELIN CV 0.00 10.11.23U USD 3,200,621.14 1.13 600,000 MICHELIN CV 0.00 17-22 10/01U USD 489,606.47 0.17 13,807 SAFRAN SA 0.00 18-23 21/06U EUR 2,083,503.91 0.73 56,993 SAFRAN SA CV 0.875 20-27 15/05A EUR 8,073,022.78 2.85 1,600,000 VALEO CV 0.00 16-21 16/06U USD 1,298,758.53 0.46 Spain 6,115,052.00 2.15 4,700,000 INDRA SISTEMAS REGS CV 1.25 16-21 07/10S EUR 4,713,442.00 1.66 1,400,000 SACYR SA CV 3.75 19-24 25/04A EUR 1,401,610.00 0.49 The Netherlands 5,850,512.25 2.06 3,400,000 AIRBUS GROUP SE CV 0.00 16-21 14/06U EUR 3,399,490.00 1.20 200,000 BESI CV 0.50 17-24 06/12S EUR 235,226.00 0.08 2,500,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 2,215,796.25 0.78 United States of America 5,083,504.24 1.79 1,125,000 JPMORGAN CHASE FIN CV 0.25 18-23 01/05S USD 991,037.53 0.35 3,655,000 KBR INC CV 2.50 18-23 01/11S USD 4,092,466.71 1.44 Italy 2,759,319.00 0.97 2,700,000 PRYSMIAN SPA CV 0.00 17-22 17/01U EUR 2,759,319.00 0.97 Luxembourg 2,524,012.50 0.89 2,500,000 ELIOTT CAPITAL SARL CV 0.00 19-22 30/12U EUR 2,524,012.50 0.89 Belgium 2,321,195.06 0.82 15,777 DENMARK CV 0.187 16-21 15/09A EUR 2,321,195.06 0.82 Austria 1,695,252.34 0.60 2,200,000 AMS CV 0.875 17-22 28/09S USD 1,695,252.34 0.60 Germany 205,799.72 0.07 250,000 BASF CV 0.925 17-23 09/03S USD 205,799.72 0.07 Floating rate bonds 9,138,225.99 3.22 France 9,138,225.99 3.22 1,037,859 CGG SA PIK FL.R 18-24 21/02Q EUR 1,029,639.16 0.36 1,652,644 CGG SA PIK FL.R 18-23 21/02Q USD 1,321,959.87 0.47 7,875,383 CGG SA PIK FL.R 18-24 21/02Q USD 6,327,082.25 2.23 521,407 SOLOCAL GROUP FL.R 17-22 15/03Q EUR 459,544.71 0.16

The accompanying notes form an integral part of these financial statements 19Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets

Warrants, Rights 9,071.61 0.00 United States of America 9,071.61 0.00 16,084 BRISTOL-MYERS SQUIBB CO 31.12.20 RIGHTS USD 9,071.61 0.00

Other transferable securities 3,363,105.30 1.18 Convertible bonds 3,295,944.00 1.16 Luxembourg 2,354,004.00 0.83 2,300,000 OLVER CAPITAL SARL CV 0.0 20-23 29/10U EUR 2,354,004.00 0.83 The Netherlands 941,940.00 0.33 800,000 BE SEMICONDUCTOR 0.75 16-27 02/12S EUR 941,940.00 0.33 Floating rate bonds 67,161.30 0.02 France 67,161.30 0.02 76,996 SOLOCAL GROUP FL.R 20-25 15/03Q EUR 67,161.30 0.02

Money market instruments 49,180,334.19 17.32 Bonds 46,937,990.26 16.53 France 46,937,990.26 16.53 4,000,000 BOLLORE SA ZCP 130121 EUR 3,999,080.21 1.41 4,000,000 FAURECIA ZCP 150321 EUR 3,998,888.09 1.41 4,000,000 FINANCIERE DE L ODET ZCP 280121 EUR 3,998,058.72 1.41 4,000,000 KORIAN SA ZCP 100221 EUR 4,000,511.18 1.41 4,000,000 LAGARDERE SCA ZCP 210121 EUR 3,998,262.98 1.41 4,000,000 PLASTIC OMNIUM ZCP 160221 EUR 4,000,613.43 1.41 4,000,000 SAVENCIA SA ZCP 010321 EUR 4,001,213.70 1.40 3,500,000 SNCF SA ZCP 090221 USD 2,941,194.08 1.04 4,000,000 STEF ZCP 290121 EUR 3,999,386.76 1.41 4,000,000 VERALLIA PACKAGING ZCP 120121 EUR 3,997,956.60 1.41 4,000,000 VICAT SA ZCP 150121 EUR 3,998,760.38 1.41 4,000,000 WORLDLINE SA ZCP 120221 EUR 4,004,064.13 1.40 Convertible bonds 2,242,343.93 0.79 France 2,242,343.93 0.79 13,950 SILICON ON INSUL CV 0.0 18-23 28/06U EUR 2,242,343.93 0.79

Total securities portfolio 212,768,004.50 74.94

The accompanying notes form an integral part of these financial statements 20Page Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020 Expressed in EUR

Income 10,071,046.47 Net dividends 2cNote 541,405.91 Net interest on bonds 2cNote 1,575,288.37 Dividends received on CFDs 2jNote 5,071,500.89 Interest received on swaps 2iNote 837,782.78 Other income 2,045,068.52 Expenses 14,421,909.19 Management fees 5Note 3,419,534.33 Depositary fees 6Note 74,522.95 Taxe d'abonnement 4Note 139,042.23 Administration fees 6Note 133,679.67 Research fees 14Note 253,888.73 Performance fees 5Note 1,322,739.30 Domiciliation fees 4,200.00 Audit fees 13,658.29 Bank interest on cash account 1,756,784.77 Legal fees 25,947.24 Transaction fees 2mNote 692,148.13 Distribution fees 71,609.67 Dividends paid on CFDs 4,421,563.37 Banking charges 152,094.40 Transfer agent fees 35,233.79 Interest paid on swaps 2iNote 1,727,060.91 Other expenses 11Note 178,201.41 Net loss from investments -4,350,862.72 Net realised profit / loss on: - sales of investment securities -20,336,439.04 - options -2,001,850.11 - forward foreign exchange contracts -2,511,032.22 - financial futures 56,102,981.54 - swaps -41,769,895.01 - foreign exchange 5,158,995.33 Net realised loss -9,708,102.23 Movement in net unrealised appreciation / depreciation on: - investment securities 16,737,328.17 - options -230,352.73 - forward foreign exchange contracts -803,063.45 - financial futures -899,757.35 - swaps 3,478,381.15 Increase in net assets as a result of operations 8,574,433.56 Subscription capitalisation shares 56,090,876.38 Redemption capitalisation shares -244,039,802.43 Decrease in net assets -179,374,492.49

Net assets at the beginning of the year 463,291,002.68

Net assets at the end of the year 283,916,510.19

The accompanying notes form an integral part of these financial statements 21Page Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible

22Page Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Financial Statements as at 31/12/2020 Statement of net assets as at 31/12/2020 Expressed in EUR

Assets 33,468,404.46 Securities portfolio at market value 2aNote 26,846,009.33 Cost price 25,719,580.22 Unrealised profit on the securities portfolio 1,126,429.11 Options purchased at market value 2hNote 3,361,995.83 Options purchased at cost 2,540,784.26 Cash at banks and liquidities 2,117,655.77 Cash at broker 10Note 929,525.88 Interest receivable 35,592.21 Dividends receivable 13,571.34 Unrealised net appreciation on forward foreign exchange contracts 2gNote 164,054.10 Liabilities 256,364.49 Unrealised net depreciation on financial futures 2fNote 68,971.44 Unrealised net depreciation on swaps Note 2j, 2k, 2i, 2l 127,645.73 Accrued management fees 5Note 38,642.38 Other liabilities 21,104.94 Net asset value 33,212,039.97

Changes in number of shares outstanding from 01/01/2020 to 31/12/2020

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/2020 31/12/2020

I Class EUR 19,992.29 0.00 0.00 19,992.29

I Class USD 2,857.93 20.15 178.08 2,700.00

P Class EUR 1,625.00 220.00 125.00 1,720.00

P Class GBP 0.00 200.00 0.00 200.00

S Class EUR 3,892.12 0.00 250.00 3,642.12

R Class EUR 2.00 0.00 0.00 2.00

The accompanying notes form an integral part of these financial statements 23Page Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Key figures

Year ending as at: 31/12/2020 31/12/2019 31/12/2018

Total Net Assets EUR 33,212,039.97 29,765,979.00 10,944,532.41 I Class EUR Number of shares 19,992.29 19,992.29 0.00 Net asset value per share EUR 1,160.21 1,027.78 0.00 I Class USD Number of shares 2,700.00 2,857.93 2,700.00 Net asset value per share USD 1,388.80 1,214.89 1,095.89 P Class EUR Number of shares 1,720.00 1,625.00 1,825.00 Net asset value per share EUR 1,234.86 1,098.72 1,019.66 P Class GBP Number of shares 200.00 0.00 0.00 Net asset value per share GBP 1,119.31 0.00 0.00 S Class EUR Number of shares 3,642.12 3,892.12 6,041.49 Net asset value per share EUR 1,256.31 1,114.46 1,031.17 S Class GBP Number of shares 0.00 0.00 7.54 Net asset value per share GBP 0.00 0.00 1,054.58 R Class EUR Number of shares 2.00 2.00 252.00 Net asset value per share EUR 1,214.92 1,089.88 1,018.22

The accompanying notes form an integral part of these financial statements 24Page Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets Transferable securities admitted to an official stock exchange listing and/or dealt in 24,809,413.16 74.70 on another regulated market Convertible bonds 23,810,833.70 71.69 France 7,753,098.37 23.35 70,000 AIR FRANCE CV 0.125 19-26 25/03A EUR 1,015,385.67 3.06 1,200,000 CARREFOUR SA CV 0.00 17-23 14/06U USD 951,619.47 2.87 1,000,000 KERING CV 0.00 19-22 30/09U EUR 1,143,390.00 3.44 7,000 SAFRAN SA 0.00 18-23 21/06U EUR 1,056,314.00 3.18 4,500 SAFRAN SA CV 0.875 20-27 15/05A EUR 637,422.18 1.92 5,000 SEB SA CV 0.00 16-21 17/11U EUR 912,690.00 2.75 1,200,000 TECHNIP SA CV 0.875 16-21 25/01S EUR 1,199,838.00 3.61 1,000,000 TOTAL SA CV 0.50 15-22 02/12S USD 836,439.05 2.52 Germany 4,866,345.11 14.65 1,250,000 BASF CV 0.925 17-23 09/03S USD 1,028,998.61 3.10 1,000,000 DELIVERY HERO SE CV 0.25 20-24 23/01S EUR 1,409,775.00 4.24 1,000,000 DEUSTCHE WOHNEN REGS CV 0.325 17-24 26/07A EUR 1,111,520.00 3.35 700,000 RAG STIFTUNG CV 0.00 17-23 16/03U EUR 711,434.50 2.14 600,000 RAG-STIFTUNG CV 0.00 18-24 02/10U EUR 604,617.00 1.82 The Netherlands 2,284,028.13 6.88 1,000,000 BESI CV 0.50 17-24 06/12S EUR 1,176,130.00 3.54 1,250,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 1,107,898.13 3.34 Belgium 2,237,843.37 6.74 1,000,000 BEKAERT CV REGS 0.00 16-21 09/06U EUR 994,635.00 2.99 8,450 DENMARK CV 0.187 16-21 15/09A EUR 1,243,208.37 3.75 Spain 1,904,237.00 5.73 1,200,000 INDRA SISTEMAS REGS CV 1.25 16-21 07/10S EUR 1,203,432.00 3.62 700,000 SACYR SA CV 3.75 19-24 25/04A EUR 700,805.00 2.11 Switzerland 1,502,432.62 4.52 1,200,000 SIKA CV 0.15 18-25 05/06A CHF 1,502,432.62 4.52 Italy 1,328,561.00 4.00 1,300,000 PRYSMIAN SPA CV 0.00 17-22 17/01U EUR 1,328,561.00 4.00 Luxembourg 1,009,605.00 3.04 1,000,000 ELIOTT CAPITAL SARL CV 0.00 19-22 30/12U EUR 1,009,605.00 3.04 Austria 924,683.10 2.78 1,200,000 AMS CV 0.875 17-22 28/09S USD 924,683.10 2.78 Floating rate bonds 998,579.46 3.01 France 998,579.46 3.01 1,248,371 CGG SA PIK FL.R 18-23 21/02Q USD 998,579.46 3.01

Other transferable securities 2,036,596.17 6.13 Convertible bonds 2,036,596.17 6.13 Denmark 1,179,560.00 3.55 1,000,000 GN GREAT NORDIC LTD CV 0.00 19-24 21/05U EUR 1,179,560.00 3.55 France 857,036.17 2.58 16,378 ACCOR SA-DY 0.70 20-27 07/12S EUR 857,036.17 2.58

Total securities portfolio 26,846,009.33 80.83

The accompanying notes form an integral part of these financial statements 25Page Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020 Expressed in EUR

Income 180,285.66 Net interest on bonds 2cNote 164,821.76 Dividends received on CFDs 2jNote 469.57 Securities lending income 2o, 9Note 13,239.88 Interest received on swaps 2iNote 1,754.45 Expenses 335,715.16 Management fees 5Note 147,517.42 Depositary fees 6Note 7,054.20 Taxe d'abonnement 4Note 5,619.73 Administration fees 6Note 34,500.00 Research fees 14Note 7,406.80 Domiciliation fees 1,800.00 Audit fees 12,385.23 Bank interest on cash account 33,285.44 Legal fees 2,707.52 Transaction fees 2mNote 10,283.39 Distribution fees 30,968.75 Banking charges 5,736.00 Transfer agent fees 4,938.71 Interest paid on swaps 2iNote 4,897.33 Other expenses 11Note 26,614.64 Net loss from investments -155,429.50 Net realised profit / loss on: - sales of investment securities -811,808.52 - options 3,248,243.64 - forward foreign exchange contracts 252,998.09 - financial futures -98,532.18 - swaps 90,915.84 - foreign exchange -11,492.69 Net realised profit 2,514,894.68 Movement in net unrealised appreciation / depreciation on: - investment securities 885,927.00 - options 106,502.95 - forward foreign exchange contracts 150,227.22 - financial futures 33,688.69 - swaps -127,645.73 Increase in net assets as a result of operations 3,563,594.81 Subscription capitalisation shares 492,175.06 Redemption capitalisation shares -609,708.90 Increase in net assets 3,446,060.97

Net assets at the beginning of the year 29,765,979.00

Net assets at the end of the year 33,212,039.97

The accompanying notes form an integral part of these financial statements 26Page Boussard & Gavaudan SICAV BG Long Term Value

27Page Boussard & Gavaudan SICAV BG Long Term Value Financial Statements as at 31/12/2020 Statement of net assets as at 31/12/2020 Expressed in EUR

Assets 10,948,153.23 Securities portfolio at market value 2aNote 10,918,334.85 Cost price 10,593,273.42 Unrealised profit on the securities portfolio 325,061.43 Cash at banks and liquidities 29,818.38 Liabilities 44,001.77 Bank overdrafts 25.08 Accrued performance fees 5Note 40.82 Unrealised net depreciation on forward foreign exchange contracts 2gNote 3,933.46 Accrued management fees 5Note 18,698.14 Other liabilities 21,304.27 Net asset value 10,904,151.46

Changes in number of shares outstanding from 01/01/2020 to 31/12/2020

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/2020 31/12/2020

I Class EUR 18,559.16 613.00 17,587.46 1,584.70

I Class USD 2,389.58 970.88 3,360.46 0.00

I Class GBP 600.00 0.00 0.00 600.00

R Class EUR 1,090.03 3.66 652.65 441.04

R Class GBP 195.05 0.00 1.36 193.69

S Class EUR 6,789.74 0.00 0.00 6,789.74

P Class EUR 5,165.49 208.50 5,216.99 157.00

The accompanying notes form an integral part of these financial statements 28Page Boussard & Gavaudan SICAV BG Long Term Value Key figures

Year ending as at: 31/12/2020 31/12/2019 31/12/2018

Total Net Assets EUR 10,904,151.46 44,069,256.02 44,152,288.49 I Class EUR Number of shares 1,584.70 18,559.16 24,148.73 Net asset value per share EUR 1,202.99 1,363.72 1,111.62 I Class USD Number of shares 0.00 2,389.58 0.00 Net asset value per share USD 0.00 1,139.61 0.00 I Class GBP Number of shares 600.00 600.00 600.00 Net asset value per share GBP 932.51 1,071.28 865.42 R Class EUR Number of shares 441.04 1,090.03 1,891.81 Net asset value per share EUR 1,084.22 1,241.87 1,022.85 R Class GBP Number of shares 193.69 195.05 0.00 Net asset value per share GBP 965.53 1,116.03 0.00 S Class EUR Number of shares 6,789.74 6,789.74 6,845.16 Net asset value per share EUR 1,110.40 1,252.98 1,016.70 P Class EUR Number of shares 157.00 5,165.49 9,095.25 Net asset value per share EUR 931.76 1,056.47 861.45

The accompanying notes form an integral part of these financial statements 29Page Boussard & Gavaudan SICAV BG Long Term Value Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets

Shares/Units of UCITS/UCIS 10,918,334.85 100.13 Shares/Units in investment funds 10,918,334.85 100.13 France 10,918,334.85 100.13 9,336 BG LONG TERM VALUE -F- CAP EUR 10,918,334.85 100.13

Total securities portfolio 10,918,334.85 100.13

The accompanying notes form an integral part of these financial statements 30Page Boussard & Gavaudan SICAV BG Long Term Value Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020 Expressed in EUR

Expenses 276,388.68 Management fees 5Note 155,163.99 Depositary fees 6Note 2,065.89 Taxe d'abonnement 4Note 4,828.89 Administration fees 6Note 21,900.00 Research fees 14Note 5,339.47 Performance fees 5Note 40.82 Domiciliation fees 1,800.00 Audit fees 7,788.31 Bank interest on cash account 308.72 Legal fees 7,404.55 Transaction fees 2mNote 2,710.00 Distribution fees 32,469.39 Transfer agent fees 6,075.88 Other expenses 11Note 28,492.77 Net loss from investments -276,388.68 Net realised profit / loss on: - sales of investment securities -3,978,376.73 - forward foreign exchange contracts 7,000.13 - foreign exchange 10,868.81 Net realised loss -4,236,896.47 Movement in net unrealised appreciation / depreciation on: - investment securities -5,133,345.43 - forward foreign exchange contracts 8,890.62 Decrease in net assets as a result of operations -9,361,351.28 Subscription capitalisation shares 1,546,258.52 Redemption capitalisation shares -25,350,011.80 Decrease in net assets -33,165,104.56

Net assets at the beginning of the year 44,069,256.02

Net assets at the end of the year 10,904,151.46

The accompanying notes form an integral part of these financial statements 31Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading

32Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Financial Statements as at 31/12/2020 Statement of net assets as at 31/12/2020 Expressed in EUR

Assets 29,093,573.15 Securities portfolio at market value 2aNote 24,302,396.88 Cost price 22,200,044.84 Unrealised profit on the securities portfolio 2,102,352.04 Cash at banks and liquidities 2,344,282.30 Cash at broker 10Note 2,158,980.43 Interest receivable 366.24 Unrealised net appreciation on financial futures 2fNote 140,774.40 Unrealised net appreciation on swaps Note 2j, 2k, 2i, 2l 145,834.47 Receivable on swaps Note 2i, 2j, 2k, 2k 938.43 Liabilities 90,026.30 Unrealised net depreciation on forward foreign exchange contracts 2gNote 20,548.88 Accrued management fees 5Note 52,177.26 Other liabilities 17,300.16 Net asset value 29,003,546.85

Changes in number of shares outstanding from 01/01/2020 to 31/12/2020

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/01/2020 31/12/2020

I Class EUR 12,221.39 11,051.96 3,549.19 19,724.16

The accompanying notes form an integral part of these financial statements 33Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Key figures

Year ending as at: 31/12/2020 31/12/2019 31/12/2018

Total Net Assets EUR 29,003,546.85 16,606,454.19 15,294,720.88 I Class EUR Number of shares 19,724.16 12,221.39 14,129.58 Net asset value per share EUR 1,470.46 1,358.80 1,082.46

The accompanying notes form an integral part of these financial statements 34Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets Transferable securities admitted to an official stock exchange listing and/or dealt in 11,061,367.24 38.14 on another regulated market Shares 11,061,367.24 38.14 Sweden 2,430,512.99 8.38 3,523 ATLAS COPCO AB - REGS -A- SEK 147,637.49 0.51 8,500 EQT AB SEK 177,976.81 0.61 5,299 EVOLUTION AB SEK 440,225.43 1.53 2,038 HEXAGON -B- SEK 152,071.69 0.52 6,972 HOLMEN -REGISTERED SHS SEK 273,093.42 0.94 9,303 INDUTRADE AB SEK 163,127.69 0.56 4,331 KINNEVIK - REGISTERED SHS SEK 179,084.49 0.62 9,884 NIBE INDUSTRIER -B- SEK 265,284.85 0.91 3,500 NORD ENTMT GRP - REGISTERED SHS -B- SEK 159,735.28 0.55 12,369 SVENSKA CELLULOSA SCA AB-SHS-B- SEK 176,392.27 0.61 2,170 SWEDISH MATCH AB SEK 137,734.59 0.47 8,200 VOLVO AB -B- SEK 158,148.98 0.55 Germany 2,265,117.86 7.81 2,391 AURUBIS EUR 152,211.06 0.52 1,404 BECHTLE EUR 250,473.60 0.86 2,388 DELIVERY HERO EUR 303,276.00 1.06 1,287 GERRESHEIMER AG EUR 112,934.25 0.39 2,700 HELLOFRESH SE EUR 170,640.00 0.59 5,854 INFINEON TECHNOLOGIES REG SHS EUR 183,757.06 0.63 3,768 JUNGHEINRICH VORZ.STIMMRECHTSLOS EUR 137,908.80 0.48 4,038 RWE AG EUR 139,593.66 0.48 872 SARTORIUS VORZ.OHNE STIMMRECHT. EUR 299,619.20 1.03 1,275 SILTRONIC AG EUR 163,327.50 0.56 1,385 WACKER CHEMIE AG EUR 161,698.75 0.56 2,083 ZALANDO SE EUR 189,677.98 0.65 Switzerland 1,354,216.78 4.67 193 EMS-CHEM HOLDINGS-NAMEN ACT. CHF 152,215.80 0.52 820 KUEHNE + NAGEL INTERNATIONAL AG CHF 152,240.77 0.52 2,451 LOGITECH NAMEN AKT CHF 194,711.22 0.67 252 LONZA GROUP (CHF) CHF 132,529.80 0.46 224 SIEGFRIED HOLDING CHF 134,932.27 0.47 15,323 SIG COMBIBLOC GROUP AG CHF 291,003.12 1.00 722 SIKA - REGISTERED SHS CHF 161,416.12 0.56 337 TECAN GROUP NAM.AKT CHF 135,167.68 0.47 The Netherlands 1,294,476.94 4.46 128 ADYEN --- PARTS SOCIALES EUR 243,840.00 0.84 882 ASM INTERNATIONAL NV EUR 158,715.90 0.55 671 ASML HOLDING NV EUR 266,756.05 0.92 1,100 DSM KONINKLIJKE EUR 154,880.00 0.53 1,250 IMCD EUR 130,312.50 0.45 66,431 POSTNL NV EUR 185,342.49 0.64 1,750 PROSUS NV EUR 154,630.00 0.53 Denmark 1,289,290.91 4.45 5,500 AMBU AS - BEARER -B- DKK 194,479.71 0.67 105 A.P. MOELLER-MAERSK A/S -B- DKK 191,775.99 0.66 1,591 DSV PANALPINA A/S DKK 218,019.87 0.75 782 GENMAB AS DKK 258,759.85 0.89 2,107 GN GREAT NORDIC DKK 137,910.57 0.48 1,726 ORSTED DKK 288,344.92 1.00 Finland 615,664.94 2.12 6,040 KESKO CORP EUR 127,081.60 0.44 2,083 KONE -B- EUR 138,436.18 0.48 20,532 METSA BOARD CORPORATION -B- EUR 176,985.84 0.60 2,927 NESTE EUR 173,161.32 0.60 Spain 504,845.56 1.74 6,217 CELLNEX TELECOM SA EUR 305,379.04 1.05 6,028 GAMESA CORPORACION TECNOLOGICA SA EUR 199,466.52 0.69 Belgium 498,849.40 1.72 22,883 ORANGE BELGIUM EUR 498,849.40 1.72 Italy 407,206.56 1.40 6,689 AMPLIFON SPA EUR 227,693.56 0.78

The accompanying notes form an integral part of these financial statements 35Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Securities portfolio as at 31/12/2020 Expressed in EUR Quantity / Quotation % of net Denomination Market value Nominal currency assets 4,450 INTERPUMP GROUP EUR 179,513.00 0.62 Portugal 216,082.80 0.75 41,909 EDP-ENERGIAS DE PORTUGAL SA - REG.SHS EUR 216,082.80 0.75 Austria 185,102.50 0.64 2,650 VERBUND AG EUR 185,102.50 0.64

Shares/Units of UCITS/UCIS 1,240,880.44 4.28 Shares/Units in investment funds 1,240,880.44 4.28 Luxembourg 1,240,880.44 4.28 1,250 AMUNDI MONEY MKT FD SH TERM EUR -IV- EUR 1,240,880.44 4.28

Money market instruments 12,000,149.20 41.37 Bonds 12,000,149.20 41.37 France 12,000,149.20 41.37 500,000 BOLLORE SA ZCP 130121 EUR 499,885.03 1.72 500,000 FAURECIA ZCP 080321 EUR 499,855.04 1.72 1,000,000 FAURECIA ZCP 150321 EUR 999,722.02 3.45 500,000 FINANCIERE DE L ODET ZCP 280121 EUR 499,757.34 1.72 500,000 IPSEN ZCP 010321 EUR 500,299.90 1.72 1,000,000 KORIAN SA ZCP 100221 EUR 1,000,127.79 3.45 1,000,000 LAGARDERE SCA ZCP 150221 EUR 999,763.81 3.45 500,000 LAGARDERE SCA ZCP 210121 EUR 499,782.87 1.72 1,000,000 PLASTIC OMNIUM ZCP 160221 EUR 1,000,153.36 3.45 1,000,000 SAVENCIA SA ZCP 010321 EUR 1,000,303.43 3.45 1,500,000 SOCIETE BIC ZCP 230321 EUR 1,500,225.03 5.18 500,000 STEF ZCP 290121 EUR 499,923.35 1.72 1,000,000 VERALLIA PACKAGING ZCP 120121 EUR 999,489.15 3.45 500,000 VICAT SA ZCP 150121 EUR 499,845.05 1.72 1,000,000 WORLDLINE SA ZCP 120221 EUR 1,001,016.03 3.45

Total securities portfolio 24,302,396.88 83.79

The accompanying notes form an integral part of these financial statements 36Page Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Statement of operations and changes in net assets from 01/01/2020 to 31/12/2020 Expressed in EUR

Income 327,851.84 Net dividends 2cNote 192,013.95 Dividends received on CFDs 2jNote 109,959.88 Interest received on swaps 2iNote 25,878.01 Expenses 403,943.49 Management fees 5Note 171,950.47 Depositary fees 6Note 5,958.00 Taxe d'abonnement 4Note 11,736.88 Administration fees 6Note 30,500.00 Domiciliation fees 1,800.00 Audit fees 10,117.31 Bank interest on cash account 17,501.09 Legal fees 2,905.06 Transaction fees 2mNote 22,808.95 Distribution fees 29,469.39 Dividends paid on CFDs 19,283.37 Banking charges 10,918.00 Transfer agent fees 3,765.81 Interest paid on swaps 2iNote 45,552.53 Other expenses 11Note 19,676.63 Net loss from investments -76,091.65 Net realised profit / loss on: - sales of investment securities 1,081,136.92 - forward foreign exchange contracts -46,508.00 - financial futures 1,458,319.73 - swaps -1,319,746.52 - foreign exchange -21,904.41 Net realised profit 1,075,206.07 Movement in net unrealised appreciation / depreciation on: - investment securities 421,883.00 - forward foreign exchange contracts -20,585.01 - financial futures 140,774.40 - swaps 129,442.63 Increase in net assets as a result of operations 1,746,721.09 Subscription capitalisation shares 14,623,818.47 Redemption capitalisation shares -3,973,446.90 Increase in net assets 12,397,092.66

Net assets at the beginning of the year 16,606,454.19

Net assets at the end of the year 29,003,546.85

The accompanying notes form an integral part of these financial statements 37Page Boussard & Gavaudan SICAV Notes to the financial statements - Schedule of derivative instruments

38Page Boussard & Gavaudan SICAV OPTIONS As at 31/12/2020, the following option contracts were outstanding :

Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Commitment * Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase OTC options Options on currency 150,000.00 EUR(C)/GBP(P)OTC JAN 1.075 15.01.21 CALL EUR 0.00 12,120.00 -1,005.00 12,600,000.00 EUR(C)/USD(P)OTC DEC 1.250 17.12.21 CALL EUR 0.00 245,000.95 245,000.95 17,400,000.00 EUR(C)/USD(P)OTC JUN 1.250 10.06.21 CALL EUR 0.00 348.00 348.00 17,400,000.00 EUR(C)/USD(P)OTC MAR 1.200 16.03.21 CALL EUR 0.00 39,179.58 -5,625.42 18,000,000.00 EUR(C)/USD(P)OTC MAR 1.240 16.03.21 CALL EUR 0.00 132,015.24 132,015.24 6,000,000.00 EUR(C)/USD(P)OTC MAR 1.250 11.03.21 CALL EUR 0.00 14,676.60 4,056.60 41,200,000.00 USD(C)/JPY(P)OTC SEP 114.0 29.09.23 CALL USD 0.00 305,496.88 305,496.88 Options on equities 29,000.00 ALSTOM OTC FEB 46.00 19.02.21 CALL EUR 0.00 64,556.88 12,936.88 14,500.00 ATOS OTC JAN 78.00 15.01.21 CALL EUR 0.00 6,843.09 -29,406.91 145,000.00 GDF SUEZ SA XOTC FEB 13.00 19.02.21 CALL EUR 0.00 45,232.23 -10,592.77 145,000.00 GDF SUEZ SA XOTC JAN 13.00 15.01.21 CALL EUR 0.00 15,684.08 -21,290.92 3,000.00 KERING OTC JAN 650.0 15.01.21 CALL EUR 0.00 1,233.13 -39,716.87 149,800.00 ORANGE OTC JAN 11.00 15.01.21 CALL EUR 0.00 1,382.01 -25,581.99 74,900.00 PEUGEOT SA OTC JAN 20.00 15.01.21 CALL EUR 0.00 187,159.23 150,233.53 140.00 SAP AG BCLR JAN 110 15.01.21 CALL EUR 0.00 19,686.80 -22,313.20 43,500.00 SUEZ ENV.CIEOTC MAR 17.00 19.03.21 CALL EUR 0.00 7,475.14 -7,314.86 15,000.00 VINCI SA XPAROTC JAN 92.00 15.01.21 CALL EUR 0.00 714.46 714.46 14,500.00 VINCI SA XPAROTC JAN 96.00 15.01.21 CALL EUR 0.00 159.21 -20,575.79 Options on index 525.00 S&P 500 OTC JAN 3700 15.01.21 PUT USD 0.00 5,725.15 -5,072.29 Total Purchase 1,104,688.66 662,306.52 Sale OTC options Options on currency 75,000.00 EUR(C)/CHF(P)OTC JAN 1.075 15.01.21 CALL EUR 75,000.00 -6,060.00 9,953.00 6,000,000.00 EUR(C)/USD(P)OTC MAR 1.250 11.03.21 CALL EUR 0.00 -28,992.54 -17,892.54 6,000,000.00 USD(C)/JPY(P)OTC SEP 114.0 29.09.23 CALL USD 754,198.85 -45,291.16 7,592.20 10,000,000.00 USD(C)/JPY(P)OTC SEP 114.0 29.09.23 CALL USD 1,256,998.08 -75,485.27 23,180.32 Options on equities 14,000.00 ATOS OTC JAN 68.00 15.01.21 PUT EUR 103,482.48 -3,812.22 25,027.78 72,500.00 EDF SA OTC FEB 12.00 19.02.21 PUT EUR 301,317.70 -42,849.84 -42,849.84 72,500.00 EDF SA OTC FEB 13.00 19.02.21 CALL EUR 487,473.15 -69,815.10 -69,815.10 72,500.00 EDF SA OTC JAN 12.00 15.01.21 PUT EUR 227,267.55 -15,886.41 -15,886.41 72,500.00 EDF SA OTC JAN 13.00 15.01.21 CALL EUR 461,888.37 -39,460.54 -39,460.54 70,100.00 VIVENDI SA OTC JUN 24.00 18.06.21 PUT EUR 473,628.20 -49,480.95 7,300.05 70,100.00 VIVENDI SA OTC JUN 27.00 18.06.21 CALL EUR 847,384.17 -84,810.42 -11,906.42 70,100.00 VIVENDI SA OTC MAR 25.00 19.03.21 PUT EUR 536,810.82 -37,365.31 -142.21 70,100.00 VIVENDI SA OTC MAR 28.00 19.03.21 CALL EUR 528,574.43 -31,027.26 4,022.74 Total Sale -530,337.02 -120,876.97 Purchase of options Listed options Options on equities 75.00 AKZO NOBEL BCLR JAN 92 15.01.21 CALL EUR 0.00 2,484.75 -13,490.25 177.00 AMBAC FINANCIA FEB 20.000 19.02.21 CALL USD 0.00 2,169.92 -17,492.70 150.00 ATOS SE BCLR JAN 70 15.01.21 CALL EUR 0.00 78,079.50 43,729.50 841.00 AXA SA BCLR JAN 19 15.01.21 CALL EUR 0.00 65,370.93 14,910.93 300.00 BASF SE REG BCLR JAN 62 15.01.21 CALL EUR 0.00 99,162.00 61,662.00 435.00 BCLR SAINT GOB FEB 42.000 19.02.21 CALL EUR 0.00 9,317.70 -35,661.30

39Page Boussard & Gavaudan SICAV OPTIONS

Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Commitment * Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) 420.00 CIE DE SAIN BCLR JAN 37 15.01.21 CALL EUR 0.00 49,207.20 -11,272.80 435.00 LAFARGEHOLC BCLR FEB 50 19.02.21 CALL CHF 0.00 41,426.66 -8,936.88 35.00 LVMH MOET HENNESSY JAN 500 15.01.21 CALL EUR 0.00 55,349.00 20,349.00 150.00 PUBLICIS GR BCLR JAN 38 15.01.21 CALL EUR 0.00 45,013.50 22,513.50 150.00 PUBLICIS GR BCLR JAN 40 15.01.21 CALL EUR 0.00 21,711.00 10,011.00 725.00 REPSOL SA BCLR JAN 8.5 15.01.21 CALL EUR 0.00 11,875.50 -10,962.00 560.00 RWE AG BCLR FEB 37 19.02.21 CALL EUR 0.00 34,042.40 -15,237.60 145.00 SAP AG BCLR JAN 106 15.01.21 CALL EUR 0.00 46,214.40 21,419.40 1,198.00 VODAFONE GR BCLR JAN 1.2 15.01.21 CALL GBP 0.00 43,497.93 -3,564.19 Options on futures 31.00 EURIBOR 3M DEC 100.625 13.12.21 CALL EUR 0.00 -1,550.00 -1,550.00 77.00 EURIBOR 3M MAR 100.375 15.03.21 PUT EUR 0.00 -1,925.00 -1,925.00 280.00 VSTOXX INDEX FEB 26.000 17.02.21 CALL EUR 0.00 3,500.00 -68,600.00 93.00 90 DAYS £ GBP MAR 100.000 17.03.21 CALL GBP 0.00 -2,489.25 -2,489.25 Options on index 300.00 CBOE VOLATILY FEB 20.000 17.02.21 PUT USD 0.00 20,841.00 -2,396.72 773.00 CBOE VOLATILY FEB 21.000 17.02.21 PUT USD 0.00 78,339.26 -14,545.02 280.00 CBOE VOLATILY FEB 37.500 17.02.21 CALL USD 0.00 35,012.87 -14,524.26 300.00 CBOE VOLATILY JAN 17.000 20.01.21 PUT USD 0.00 980.75 -1,744.83 195.00 CBOE VOLATILY JAN 19.000 20.01.21 PUT USD 0.00 4,781.17 -7,406.33 150.00 CBOE VOLATILY JAN 20.000 20.01.21 PUT USD 0.00 7,355.65 -6,357.21 586.00 CBOE VOLATILY JAN 22.000 20.01.21 PUT USD 0.00 74,234.81 19,892.64 150.00 CBOE VOLATILY JAN 24.000 20.01.21 PUT USD 0.00 33,713.38 11,482.06 473.00 CBOE VOLATILY MAR 20.000 17.03.21 PUT USD 0.00 46,389.60 1,357.71 513.00 DJ EURO STOXX FEB 3650.0 19.02.21 CALL EUR 0.00 268,299.00 28,728.00 329.00 DJ EURO STOXX JAN 3600.0 15.01.21 CALL EUR 0.00 115,150.00 -658.00 70.00 DJ EURO STOXX MAR 3650.0 19.03.21 CALL EUR 0.00 53,900.00 -280.00 58.00 FTSE 100 FEB 6550.0 19.02.21 CALL GBP 0.00 90,716.12 13,361.21 41.00 FTSE 100 JAN 6000.0 15.01.21 CALL GBP 0.00 220,550.78 150,067.56 58.00 FTSE 100 JAN 6450.0 15.01.21 CALL GBP 0.00 75,488.77 782.65 54.00 FTSE 100 MAR 6600.0 19.03.21 CALL GBP 0.00 92,302.54 23,659.75 7.00 SP 500 DEC 3600.0 31.12.20 PUT USD 0.00 28.61 -13,230.90 1.00 SP 500 DEC 3670.0 31.12.20 PUT USD 0.00 4.09 -307.02 Total Purchase of options 1,820,546.54 191,294.65 Sale of options Listed options Options on equities 700.00 BCLR VIVENDI SA MARS 22 19.03.21 PUT EUR 141,449.56 -10,514.00 59,486.00 700.00 BCLR VIVENDI SA MARS 25 19.03.21 CAL EUR 1,314,963.86 -134,162.00 -60,312.00 54.00 SWISSCOM N JAN 470.00 15.01.21 CALL CHF 167,080.21 -5,207.53 -1,093.25 36.00 SWISSCOM N JAN 470.00 15.01.21 PUT CHF 48,653.51 -1,171.65 2,181.12 Options on futures 3.00 SP E-MINI 500 DEC 3590.0 31.12.20 PUT USD 7,922.03 -55.17 1,149.37 280.00 VSTOXX INDEX FEB 30.000 17.02.21 CALL EUR 239,485.51 -2,800.00 51,100.00 Options on index 150.00 CBOE VOLATILY FEB 18.000 17.02.21 PUT USD 25,101.14 -4,290.79 473.77 280.00 CBOE VOLATILY FEB 32.500 17.02.21 CALL USD 187,421.85 -49,201.10 16,925.21 4.00 SP 500 DEC 3500.0 31.12.20 PUT USD 7,367.55 -16.35 5,637.72 2.00 SP 500 DEC 3635.0 31.12.20 PUT USD 20,260.77 -8.17 311.12 Total Sale of options -207,426.76 75,859.06 *Commitment is only disclosed for sale options contracts.

40Page Boussard & Gavaudan SICAV OPTIONS

Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Commitment* Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase of options Listed options Options on index 21.00 NASDAQ 100 DEC 13500 16.12.22 CALL USD 0.00 2,437,513.79 456,499.30 30.00 SP 500 JUN 3700.0 17.06.22 CALL USD 0.00 924,482.04 364,712.27 Total Purchase of options 3,361,995.83 821,211.57 The counterparties of the above option contracts are Barclays Bank Ireland, Bofa Securities Europe, Credit Suisse Madrid, Goldman Sachs International, HSBC Bank London, JP Morgan Securities AG, Société Générale Paris and UBS London Branch.

*Commitment is only disclosed for sale options contracts.

Page 41 Boussard & Gavaudan SICAV FORWARD FOREIGN EXCHANGE CONTRACTS As at 31/12/2020, the following forward contracts were outstanding : The contracts that are followed by * relate specifically to foreign exchange risk hedging of shares.

Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty USD 1,016,950.00 EUR 860,000.00 25/05/2027 -87,912.54 Credit Suisse Madrid EUR 750,000.00 USD 935,100.00 21/05/2027 37,165.57 CACEIS Bank, Luxembourg Branch JPY 202,938,800.00 USD 2,000,000.00 09/08/2021 -23,800.16 Goldman Sachs International Finance JPY 202,950,200.00 USD 2,000,000.00 09/08/2021 -23,709.66 Goldman Sachs International Finance JPY 608,631,840.00 USD 6,000,000.00 09/08/2021 -72,865.37 Société Générale, Paris USD 2,000,000.00 JPY 202,961,200.00 09/08/2021 23,559.64 Société Générale, Paris USD 8,000,000.00 JPY 812,115,200.00 09/08/2021 92,098.03 Goldman Sachs International Finance USD 4,000,000.00 JPY 406,115,200.00 09/08/2021 45,593.05 Société Générale, Paris JPY 405,770,800.00 USD 4,000,000.00 09/08/2021 -48,448.01 Goldman Sachs International Finance EUR 2,000,000.00 USD 2,639,200.00 21/05/2027 -19,889.82 Société Générale, Paris JPY 203,188,800.00 USD 2,000,000.00 09/08/2021 -21,815.82 Goldman Sachs International Finance USD 2,000,000.00 JPY 203,369,740.00 09/08/2021 20,325.61 Société Générale, Paris JPY 181,130,220.00 USD 1,800,000.00 03/10/2023 -9,043.55 Goldman Sachs International Finance USD 800,000.00 JPY 80,600,000.00 03/10/2023 3,297.31 Société Générale USD 1,000,000.00 JPY 100,750,000.00 03/10/2023 4,121.64 Credit Suisse Madrid USD 935,100.00 EUR 750,000.00 21/05/2027 -35,467.59 JP Morgan Securities USD 1,548,125.00 EUR 1,250,000.00 21/05/2027 -67,040.43 Société Générale USD 2,200,000.00 JPY 228,250,000.00 03/10/2023 -43,178.38 UBS JPY 228,668,000.00 USD 2,200,000.00 03/10/2023 47,764.45 JP Morgan Securities JPY 436,998,198.00 USD 4,200,000.00 09/02/2021 28,153.71 State Street Bank International GMBH USD 1,395,350.00 EUR 1,180,000.00 25/05/2027 -113,906.96 JP Morgan Securities USD 935,100.00 EUR 750,000.00 21/05/2027 -35,467.59 Société Générale EUR 3,120,000.00 USD 3,649,152.00 25/05/2027 351,832.97 JP Morgan Securities EUR 30,193,464.62 USD 36,000,000.00 27/01/2021 787,909.87 JP Morgan Securities USD 1,220,000.00 EUR 1,023,222.97 27/01/2021 -26,686.27 * JP Morgan Securities USD 23,050,000.00 EUR 19,332,204.43 27/01/2021 -504,195.52 * JP Morgan Securities USD 15,300.00 EUR 12,832.22 27/01/2021 -334.67 * JP Morgan Securities GBP 20,000,000.00 EUR 22,450,128.44 27/01/2021 -114,822.64 HSBC Bank International CHF 156,700.00 EUR 145,001.54 27/01/2021 -93.21 * JP Morgan Securities GBP 16,831,000.00 EUR 18,892,905.59 27/01/2021 -96,628.99 * HSBC Bank International GBP 506,000.00 EUR 567,988.25 27/01/2021 -2,905.01 * HSBC Bank International EUR 2,837,554.87 GBP 2,551,310.00 27/01/2021 -11,663.96 * JP Morgan Securities RUB 79,418,689.50 EUR 870,000.00 20/01/2021 5,637.54 JP Morgan Securities RUB 79,425,465.93 EUR 870,000.00 20/01/2021 5,712.25 Credit Suisse Madrid EUR 156,379.58 USD 189,000.00 27/01/2021 1,999.22 * CACEIS Bank, Luxembourg Branch RUB 26,510,702.15 EUR 290,000.00 20/01/2021 2,296.01 Société Générale RUB 26,500,655.30 EUR 290,000.00 20/01/2021 2,185.24 JP Morgan Securities RUB 26,497,250.70 EUR 290,000.00 20/01/2021 2,147.70 JP Morgan Securities RUB 26,489,406.20 EUR 290,000.00 20/01/2021 2,061.21 JP Morgan Securities RUB 26,496,287.90 EUR 290,000.00 20/01/2021 2,137.08 JP Morgan Securities RUB 26,498,140.13 EUR 290,000.00 20/01/2021 2,157.50 Goldman Sachs International Finance AUD 3,750,000.00 USD 2,788,725.00 20/01/2021 86,253.54 Goldman Sachs International Finance AUD 3,750,000.00 USD 2,788,350.00 20/01/2021 86,560.02 Goldman Sachs International Finance AUD 750,000.00 USD 557,932.50 20/01/2021 17,097.46 Goldman Sachs International Finance AUD 240,000.00 USD 177,337.73 20/01/2021 6,452.49 JP Morgan Securities USD 607,324.40 EUR 500,000.00 27/01/2021 -3,917.17 State Street Bank International GMBH EUR 1,513,708.75 USD 1,837,000.00 27/01/2021 13,193.41 * CACEIS Bank, Luxembourg Branch EUR 233,076.83 GBP 215,000.00 27/01/2021 -7,030.40 * CACEIS Bank, Luxembourg Branch USD 3,050,000.00 AUD 4,044,779.02 20/01/2021 -58,648.05 State Street Bank International GMBH EUR 1,500,000.00 USD 1,821,147.15 27/01/2021 12,433.37 State Street Bank International GMBH EUR 290,000.00 RUB 25,824,957.10 20/01/2021 5,276.96 Goldman Sachs International Finance EUR 290,000.00 RUB 25,823,662.89 20/01/2021 5,291.26 JP Morgan Securities EUR 290,000.00 RUB 25,827,172.93 20/01/2021 5,252.47 Goldman Sachs International Finance EUR 290,000.00 RUB 25,823,984.90 20/01/2021 5,287.70 JP Morgan Securities EUR 290,000.00 RUB 25,825,989.67 20/01/2021 5,265.55 JP Morgan Securities EUR 290,000.00 RUB 25,825,577.03 20/01/2021 5,270.11 JP Morgan Securities

Page 42 Boussard & Gavaudan SICAV FORWARD FOREIGN EXCHANGE CONTRACTS

Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 9,225,780.86 USD 11,000,000.00 27/01/2021 240,750.24 JP Morgan Securities USD 3,615,000.00 EUR 3,031,927.07 27/01/2021 -79,074.48 * JP Morgan Securities EUR 1,122,359.52 GBP 1,000,000.00 27/01/2021 5,596.41 JP Morgan Securities GBP 215,400.00 EUR 241,756.24 27/01/2021 -1,205.00 * JP Morgan Securities EUR 100,000.00 USD 121,922.44 27/01/2021 409.92 JP Morgan Securities EUR 80,000.00 USD 97,182.34 27/01/2021 618.57 JP Morgan Securities EUR 1,600,000.00 CHF 1,733,128.00 27/01/2021 -2,709.70 JP Morgan Securities EUR 50,000.00 SEK 506,307.17 27/01/2021 -373.50 JP Morgan Securities EUR 50,000.00 USD 61,051.87 27/01/2021 130.88 JP Morgan Securities EUR 50,000.00 USD 61,047.34 27/01/2021 134.58 JP Morgan Securities

Page 43 Boussard & Gavaudan SICAV FORWARD FOREIGN EXCHANGE CONTRACTS

Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 200,000.00 USD 245,121.86 27/01/2021 -223.82 CACEIS Bank, Luxembourg Branch 164,054.10 The contracts that are followed by * relate specifically to foreign exchange risk hedging of shares.

Boussard & Gavaudan SICAV BG Long Term Value Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty GBP 181,100.00 EUR 203,232.42 27/01/2021 -986.23 * Natixis GBP 541,200.00 EUR 607,340.61 27/01/2021 -2,947.23 * Natixis -3,933.46

Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 25,000.00 SEK 253,162.95 27/01/2021 -187.68 Natixis EUR 20,000.00 GBP 18,152.50 27/01/2021 -272.18 Natixis EUR 1,360,000.00 CHF 1,473,162.88 27/01/2021 -2,307.01 Natixis EUR 1,160,000.00 DKK 8,631,346.56 27/01/2021 468.67 Natixis EUR 2,290,000.00 SEK 23,194,972.61 27/01/2021 -17,714.03 Natixis EUR 30,000.00 GBP 27,191.37 27/01/2021 -366.51 Natixis EUR 5,000.00 NOK 53,038.76 27/01/2021 -59.99 Natixis EUR 70,000.00 DKK 520,973.25 27/01/2021 12.68 Natixis EUR 80,000.00 DKK 595,082.78 27/01/2021 56.84 CACEIS Bank, Luxembourg Branch EUR 60,000.00 SEK 604,870.26 27/01/2021 -179.67 Natixis -20,548.88

Page 44 Boussard & Gavaudan SICAV FINANCIAL FUTURES As at 31/12/2020, the following future contracts were outstanding :

Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on interest rates 171 EURO/USD 90DAY(CME) 03/21 USD 139,757,263.70 8,847.21 Credit Suisse Madrid 114 EURO/USD 90DAY(CME) 06/21 USD 93,171,509.13 6,660.95 Credit Suisse Madrid 88 EURO/USD 90DAY(CME) 09/21 USD 71,921,866.70 1,460.91 Credit Suisse Madrid 118 FED FUND 30DAY 01/21 USD 482,203,424.46 -783.30 Credit Suisse Madrid 120 FED FUND 30DAY 02/21 USD 490,376,363.86 -2,043.40 Credit Suisse Madrid 32 FED FUND 30DAY 03/21 USD 130,767,030.36 0.00 Credit Suisse Madrid 208 FED FUND 30DAY 12/20 USD 849,985,697.36 -4,964.86 Credit Suisse Madrid 214 3MO EURO EURIBOR 03/21 EUR 214,000,000.00 3,625.91 Credit Suisse Madrid 213 3MO EURO EURIBOR 06/21 EUR 213,000,000.00 -419.71 Credit Suisse Madrid 167 3MO EURO EURIBOR 09/21 EUR 167,000,000.00 -2,675.00 Credit Suisse Madrid 313 90DAY GBP LIBOR INDX 03/21 GBP 174,840,799.91 4,273.27 Credit Suisse Madrid 260 90DAY GBP LIBOR INDX 06/21 GBP 145,235,169.25 5,351.39 Credit Suisse Madrid 19,333.37 Futures on bonds 19 CAN 10YR BOND (MSE) 03/21 CAD 1,385,178.98 5,754.43 Credit Suisse Madrid 2 EURO BOBL FUTURE 03/21 EUR 207,216.00 -200.00 Credit Suisse Madrid 9 EURO BTP FUTURE -EUX 03/21 EUR 1,148,202.00 9,140.00 Credit Suisse Madrid 4 EURO BUXL FUTURE 03/21 EUR 689,516.00 11,120.00 Credit Suisse Madrid 24 EURO SCHATZ FUTURE 03/21 EUR 2,433,696.00 -1,690.00 Credit Suisse Madrid 10 EURO-OAT-FUTURES-EUX 03/21 EUR 1,277,860.00 5,270.00 Credit Suisse Madrid -4 LONG GILT FUTURE-LIF 03/21 GBP 646,971.29 -6,055.19 Credit Suisse Madrid 6 US TREASURY BOND 03/21 USD 849,270.57 -7,853.69 Credit Suisse Madrid 19 US 10 YEARS NOTE 03/21 USD 1,723,915.55 3,039.31 Credit Suisse Madrid 45 US 2 YEARS NOTE- CBT 03/21 USD 7,571,142.88 6,470.26 Credit Suisse Madrid 33 US 5 YEARS NOTE-CBT 03/21 USD 2,691,696.93 7,547.20 Credit Suisse Madrid 32,542.32 Futures on index -29 CAC40 10 EURO 01/21 EUR 1,609,908.90 6,665.00 Credit Suisse Madrid -28 DAX INDEX GERMANY 03/21 EUR 9,603,146.00 -196,000.00 Credit Suisse Madrid -4,106 DJ EURO STOXX 50 03/21 EUR 145,871,398.40 -608,636.67 Credit Suisse Madrid 3 DJ ST600 HLTH (EUX) 03/21 EUR 131,841.00 1,410.00 Credit Suisse Madrid 1 DJIA MINI FUTURE-CBT 03/21 USD 125,072.45 2,251.64 Credit Suisse Madrid 5 DJ.STOXX 600 AUTO 03/21 EUR 131,815.00 3,010.00 Credit Suisse Madrid 6 DJ.STOXX600 BASI 03/21 EUR 149,802.00 1,260.00 Credit Suisse Madrid -21 DJ.STOXX600.BK(EUX) 03/21 EUR 113,620.50 3,072.50 Credit Suisse Madrid -9 DJ.STOXX600.OIL(EUX) 03/21 EUR 106,375.50 1,485.00 Credit Suisse Madrid -77 E-MINI RUSSELL 2000 03/21 USD 6,214,042.54 -186,784.36 Credit Suisse Madrid -328 EURO STOX BANK IDX 03/21 EUR 1,209,828.00 28,578.64 Credit Suisse Madrid -47 FTSE MIB INDEX 03/21 EUR 5,224,731.50 -66,740.00 Credit Suisse Madrid -254 FTSE 100 INDEX 03/21 GBP 18,332,835.21 327,350.07 Credit Suisse Madrid 29 FTSE 250 Y2 03/21 GBP 1,327,585.07 49,834.50 Credit Suisse Madrid 43 FTSE/XINHUA CHIN-SGX 01/21 USD 622,464.14 27,154.59 Credit Suisse Madrid -14 IBEX 35 INDEX 01/21 EUR 1,130,318.00 14,392.00 Credit Suisse Madrid 5 MINI MSCI EMG MKT 03/21 USD 263,835.56 6,967.43 Credit Suisse Madrid 4 NASDAQ 100 E-MINI 03/21 USD 842,681.05 27,585.31 Credit Suisse Madrid 4 NIKKEI 225 (SGX) 03/21 JPY 364,612.20 17,415.33 Credit Suisse Madrid -22 S&P 500 EMINI INDEX 03/21 USD 3,376,794.57 -54,750.52 Credit Suisse Madrid -3 SWISS MARKET INDEX 03/21 CHF 296,893.62 -10,200.64 Credit Suisse Madrid -604,680.18 Futures on currency -33 BRAZIL REAL 02/21 USD 519,246.47 -326.92 Credit Suisse Madrid 24 EUR/USD (CME) 03/21 USD 3,000,000.00 10,170.05 Credit Suisse Madrid -1 JPN YEN CURR FUT 03/21 USD 1,021.62 -291.16 Credit Suisse Madrid 8 USD/AUD (CME) 03/21 USD 513,214.40 8,328.23 Credit Suisse Madrid 8 USD/CAD (CME) 03/21 USD 504,533.58 1,442.52 Credit Suisse Madrid 3 USD/CHF (CME) 03/21 USD 346,722.36 827.51 Credit Suisse Madrid -8 USD/GBP (CME) 03/21 USD 558,596.66 -8,259.78 Credit Suisse Madrid 12 USD/MXN (CME) 03/21 USD 246,104.80 -359.61 Credit Suisse Madrid

45Page Boussard & Gavaudan SICAV FINANCIAL FUTURES

Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker 11 USD/NZD (CME) 03/21 USD 647,296.28 11,715.91 Credit Suisse Madrid -11 USD-RUB (CME) 03/21 USD 224,755.83 -521.02 Credit Suisse Madrid 4 USD/ZAR (CME) 03/21 USD 16,345.88 1,450.70 Credit Suisse Madrid 24,176.43

Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on index -10 NASDAQ 100 E-MINI 03/21 USD 2,106,702.63 -68,971.44 Credit Suisse Madrid -68,971.44

Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on index 376 DJ EURO STOXX 50 03/21 EUR 13,357,926.40 140,774.40 Credit Suisse Madrid 140,774.40

46Page Boussard & Gavaudan SICAV

CONTRACTS FOR DIFFERENCE

Some sub-funds concluded contracts for difference in which one party pays to the other the difference between the current value of an asset and its value at the contract time. (Please refer to the Note 10 for detailed collateral information).

As at December 31, 2020, outstanding contracts for difference were as follows:

Boussard & Gavaudan Convertible Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 2,000 Long SIKA - REGISTERE 01/01/2099 458,000.00 -23,669.73 TOTAL -23,669.73

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 6,600 Long DELIVERY HERO AG 01/01/2099 739,200.00 -99,000.00 EUR 1,244 Long SEB SA 01/01/2099 180,380.00 -4,976.00 TOTAL -103,976.00

The counterparty of the contracts is Credit Suisse International London. As at December 31, 2020, the unrealised net appreciation on contract for difference for this counterparty amounted to EUR -127,645.73.

As at December 31, 2020, the unrealised net appreciation on contract for difference for the sub-fund Boussard & Gavaudan Convertible amounted to EUR -127,645.73.

Boussard & Gavaudan Absolute Return Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF -98,692 Long SIKA - REGISTERE 15/01/2021 22,600,468.00 -1,168,006.66 CHF 132,000 Short SIKA 3.75% JAN 2022 MANDO 15/01/2021 23,148,097.67 1,192,915.29 TOTAL 24,908.63

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) DKK 10,853 Short DONG ENERGY A/S 15/01/2021 11,558,445.00 260,263.78 DKK -3,586 Long NOVO NORDISK 15/01/2021 1,521,001.90 -1,204.41 TOTAL 259,059.37

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR -3,921 Long AIR FRANCE - KLM SA 15/01/2021 19,377.58 -697.94 EUR 63,534 Short ATLANTIA SPA 15/01/2021 949,197.96 -14,295.15 EUR 5,645 Short DSM KONINKLIJKE 15/01/2021 765,179.75 29,636.25 EUR -50,000 Long E.ON AG REG SHS 15/01/2021 444,200.00 -9,000.00 EUR 25,302 Short ELIOR SCA 15/01/2021 141,185.16 -1,518.12 EUR -13,167 Long FUGRO NV - BEARE 15/01/2021 0.13 -100,069.07 EUR 26,334 Long FUGRO NV -CERT OF SHS 15/01/2021 0.26 200,138.14 EUR -26,334 Short FUGRO NV -CERT OF SHS 15/01/2021 101,965.25 -98,173.15

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 75,000 Short GDF SUEZ SA 15/01/2021 932,250.00 6,750.00 EUR 30,397 Short GROUPE EUROTUNNEL SA 15/01/2021 413,703.17 17,326.29 EUR 1,544,677 Short KONINKLIJKE KPN NV 15/01/2021 3,714,948.19 126,663.51 EUR 39,778 Short MOBISTAR SA 15/01/2021 867,160.40 0.00 EUR -9,501 Long SAFRAN 15/01/2021 1,124,443.35 22,802.40 EUR 19,697 Short SANOFI 15/01/2021 1,501,502.31 48,651.59 EUR 100,000 Short SPIE SA 15/01/2021 1,722,000.00 59,000.00 EUR 32,633 Short TOTAL SA 15/01/2021 1,193,062.48 -41,117.58 TOTAL 246,097.17

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 155,342 Short RSA INSURANCE GROUP PLC 15/01/2021 1,051,043.97 1,388.38 GBP 77,000 Short VOD 1.2 20210312 15/01/2021 8,081,475.86 -354,894.39 GBP 47,000 Short VOD 1.5% MAR 2022 ORA 15/01/2021 4,968,313.13 -198,154.55 GBP -5,144,509 Long VODAFONE GR GBP 15/01/2021 6,694,126.24 527,714.28 TOTAL -23,946.27

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) SEK -1,774,771 Long CFD SAMHALLSBYGG 15/01/2021 49,979,234.69 -88,142.72 SEK 620,000 Short SAMHALL 7% 20230724 15/01/2021 70,547,427.82 121,484.22 SEK -110,640 Long TELE2 AB 15/01/2021 12,170,400.00 15,414.84 TOTAL 48,756.33

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD -958,869 Long ARCELORMITTAL CROSS 15/01/2021 62,271,344.81 -280,417.15 TOTAL -280,417.15

The counterparty of the contracts is BNP Paribas London Branch. As at December 31, 2020, the unrealised net appreciation on contract for difference for this counterparty amounted to EUR 274,458.08.

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 53,222 Long ABB LTD 18/06/2021 1,367,805.05 -34,449.42 CHF 588 Short ADECCO 18/06/2021 34,045.20 685.02 CHF 120 Short ALSO HOLDING 18/06/2021 42,326.99 1,458.05 CHF 46 Short AUTONEUM HOLDING AG 18/06/2021 7,507.20 -68.05 CHF 158 Short BACHEM HOLDING -B- 18/06/2021 65,291.92 5,081.55 CHF 262 Short BANQUE CANTONALE VAUDOISE 18/06/2021 43,287.52 375.96 CHF 5 Short BELIMO HOLDING AG 18/06/2021 38,250.00 138.69 CHF 429 Short BKW 18/06/2021 59,721.87 812.93 CHF 49 Short BOSSARD HOLDING 18/06/2021 8,075.20 616.15 CHF 130 Short BUCHER INDUSTRIES 18/06/2021 51,168.00 1,442.37 CHF 24 Short BURCKHARDT COMPRESSION HOLDING 18/06/2021 7,236.00 122.05 CHF 594 Short CEMBRA MONEY BANK 18/06/2021 60,885.00 2,581.30 CHF 58,267 Short CLARIANT 18/06/2021 1,135,215.54 33,493.86

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 169 Short COMET HOLDING 18/06/2021 36,250.79 4,010.45 CHF 139 Short DAETWYLER 18/06/2021 42,130.22 1,944.55 CHF 3,864 Long DUFRY GROUP 18/06/2021 235,188.71 -14,321.32 CHF 457 Long EMS-CHEM HOLDINGS 18/06/2021 414,061.99 -13,848.60 CHF 426 Long GEBERIT AG 18/06/2021 224,502.00 -10,713.51 CHF 114 Long GIVAUDAN SA 18/06/2021 446,016.37 -14,448.12 CHF 28 Short GURIT HEBERLEIN 18/06/2021 67,200.00 2,071.10 CHF 12 Long INFINICON HOLDING AG 18/06/2021 9,372.00 -299.57 CHF 588 Short JULIUS BAER 18/06/2021 29,294.16 641.52 CHF 374 Short KUEHNE + NAGEL INTERNATI 18/06/2021 74,089.40 933.66 CHF 45,259 Long LAFARGEHOLCIM 18/06/2021 2,239,252.06 -73,754.47 CHF 9 Short LEM HOLDING SANOM 18/06/2021 15,462.00 83.21 CHF 2,725 Short LOGITECH 18/06/2021 224,207.91 15,727.42 CHF 21 Long LONZA GROUP 18/06/2021 23,351.25 -609.54 CHF 246,083 Short MEYER BURGER TECHNOLOGY 18/06/2021 84,750.99 -1,729.21 CHF 13,025 Short NESTLE 18/06/2021 1,297,610.49 55,823.60 CHF 13,567 Long NOVARTIS AG 18/06/2021 1,157,597.05 -50,173.73 CHF 4,614 Short ROCHE HOLDING AG 18/06/2021 1,398,734.10 24,956.68 CHF 26 Short SCHWEITER TECHNOLOGIES AG 18/06/2021 37,856.00 96.16 CHF 148 Short SFS GROUP 18/06/2021 15,347.60 177.89 CHF 3 Long SGS SA 18/06/2021 39,259.18 -234.09 CHF 173 Short SIEGFRIED HOLDING 18/06/2021 108,557.50 3,838.93 CHF 5,475 Short SIG COMBIBLOC GROUP 18/06/2021 525,806.27 -736.56 CHF 20,317 Long SIKA 18/06/2021 4,660,699.74 -232,953.51 CHF 320 Short SOFTWAREONE 18/06/2021 9,376.49 420.60 CHF 13,909 Long SWISS RE AG 18/06/2021 1,209,887.69 -28,886.43 CHF 1,639 Long SWISSCOM 18/06/2021 1,213,846.31 -11,922.56 CHF 192 Short SWISSQUOTE GROUP HOLDING 18/06/2021 23,803.57 414.90 CHF 157 Short TECAN GROUP 18/06/2021 63,459.40 4,296.80 CHF 3,761 Long TEMENOS GROUP AG 18/06/2021 470,096.54 -24,662.74 CHF 670 Long THE SWATCH GROUP 18/06/2021 158,532.44 3,025.81 CHF -670 Short THE SWATCH GROUP 18/06/2021 147,400.00 -13,318.85 CHF 2,397 Short UBS GROUP 18/06/2021 30,142.28 -232.71 CHF 229 Short VZ HOLDING 18/06/2021 17,358.20 1,079.84 CHF 150 Short ZUR ROSE 18/06/2021 71,757.39 1,601.33 TOTAL -359,410.62

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) DKK 33 Short A P MOLLER MAERSK 20/05/2021 452,130.32 -469.58 DKK 100 Short ALK-ABELLO 20/05/2021 321,176.55 3,509.78 DKK 943 Short ALM BRAND 20/05/2021 95,878.62 96.86 DKK 1,989 Short BAVARIAN NORDIC 20/05/2021 386,059.21 -1,896.46 DKK 12,708 Short CARLSBERG 20/05/2021 12,039,559.20 47,462.18 DKK 943 Short CHEMOMETEC 20/05/2021 520,841.22 11,281.08 DKK 489 Long DEMANT A/S 20/05/2021 113,468.56 562.22 DKK -489 Short DEMANT A/S 20/05/2021 113,350.20 -578.12 DKK 441 Short DSV PANALPINA 20/05/2021 433,238.40 2,227.68 DKK 137 Short GENMAB 20/05/2021 326,197.00 1,509.25 DKK 1,638 Short GN STORE NORD 20/05/2021 794,430.00 484.13 DKK 735 Short JYSKE BANK 20/05/2021 166,330.50 671.46 DKK 811 Short NETCOMPANY GROUP 20/05/2021 703,156.42 6,292.44 DKK 1,963 Short NKT 20/05/2021 2,376,292.70 122,944.11 DKK 19,599 Long NKT SUBSCR RTS 20/05/2021 621,288.30 0.00 DKK -19,599 Short NKT SUBSCR RTS 20/05/2021 0.20 -83,467.76

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) DKK 16,006 Long NOVO NORDISK 20/05/2021 7,386,611.27 -7,033.62 DKK 385 Short NOVOZYMES 20/05/2021 132,286.00 305.17 DKK 672 Short NTG NORDIC TRANSPORT GROUP 20/05/2021 226,221.96 -793.80 DKK 5,587 Short ORSTED 20/05/2021 7,824,415.16 135,965.13 DKK 21 Short PANDORA 20/05/2021 12,810.00 200.31 DKK 310 Short ROCKWOOL INTERNATIONAL 20/05/2021 665,880.00 5,414.16 DKK 152 Short ROYAL UNIBREW 20/05/2021 103,177.60 567.69 DKK 1,433 Short SCANDINAVIAN TOBACCO GROUP 20/05/2021 244,706.42 226.86 DKK 32 Short SCHOUW AND CO 20/05/2021 86,980.81 100.30 DKK 407 Short SIMCORP 20/05/2021 339,641.50 3,882.21 DKK 747 Short VESTAS WIND SYSTEMS 20/05/2021 962,136.00 15,204.04 TOTAL 264,667.69

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 170,894 Long A2A 20/10/2021 228,862.56 -9,167.46 EUR 817 Short AALBERTS 18/03/2021 39,568.40 50.62 EUR 2,110 Long ACCIONA 18/06/2021 253,365.18 -13,621.38 EUR 1,436 Short ACS ACTIVIDADES DE CONSTRUCCION 18/06/2021 46,629.66 -277.02 EUR 470 Long ADYEN 18/03/2021 941,486.54 -21,476.54 EUR 1,134,107 Long AEGON 18/03/2021 3,703,557.86 -168,403.21 EUR 327 Long AENA SME SA 18/06/2021 44,004.89 -2,494.51 EUR 4,272 Short AEROPORTS DE PARIS 18/06/2021 700,960.05 -6,268.75 EUR 14,522 Long AIR FRANCE-KLM 18/06/2021 71,767.72 -2,584.92 EUR 2,250 Long AIR LIQUIDE 18/06/2021 323,652.61 -1,336.11 EUR 13,448 Long AIRBUS 18/06/2021 1,317,237.95 21,699.77 EUR 6,032 Short AIXTRON NA 18/03/2021 82,942.30 3,104.19 EUR 380 Short AKWEL 18/06/2021 8,689.79 12.21 EUR 27,662 Short AKZO NOBEL 18/03/2021 2,780,483.26 32,577.28 EUR 1,079 Short ALBIOMA 18/06/2021 58,535.27 4,110.18 EUR 1,779 Short ALFEN 18/03/2021 164,884.36 20,491.73 EUR 177 Short ALLGEIER N 18/03/2021 14,350.78 -8,648.22 EUR 2,550 Long ALLIANZ 18/03/2021 6,247,102.85 327,626.87 EUR 101,143 Short ALSTOM 18/06/2021 4,894,329.13 74,891.82 EUR 3,363 Short AMPLIFON 20/10/2021 187,893.84 5,037.00 EUR 1,571,985 Short ANIMA HOLDING 20/10/2021 5,656,002.03 446,443.74 EUR 389 Short APERAM 18/03/2021 13,015.94 264.52 EUR 84,036 Short APPLUS SERVICES 18/06/2021 815,895.06 41,867.46 EUR 374 Short ARCADIS 18/03/2021 17,640.45 500.07 EUR -349,771 Long ARCELORMITTAL ORD 18/03/2021 24,812,960.28 -528,444.94 EUR 187 Short ARGENX 18/06/2021 78,786.36 -660.89 EUR 804 Short ASM INTL 18/03/2021 133,584.60 11,095.20 EUR 156 Short ASML HOLDING 18/03/2021 60,383.40 1,634.40 EUR 1,273 Short ASR NEDERLAND 18/03/2021 39,934.01 1,884.04 EUR 442,430 Short ATLANTIA 20/10/2021 7,100,686.40 -96,746.19 EUR 28,666 Short ATOS 18/06/2021 2,606,086.30 1,338.01 EUR 170 Short ATOSS SOFTWARE 18/03/2021 23,035.00 3,825.00 EUR 495 Short AURUBIS 18/03/2021 143,922.33 -389.33 EUR 117,439 Long AXA 18/06/2021 8,814,852.97 78,913.13 EUR 641 Short BANCA GENERALI 20/10/2021 17,512.12 -51.28 EUR 33,934 Short BANCA PICCOLO CREDITO VALTELLIN 20/10/2021 458,778.89 -1,070.92 EUR 360,672 Long BANCO BPM 20/10/2021 701,209.82 3,956.79 EUR 7,446 Short BANK OF IRELAND GROUP 18/03/2021 23,588.93 982.87 EUR 14,093 Long BASF 18/03/2021 9,018,874.90 422,714.21 EUR 4 Long BAYER 18/03/2021 192.63 -0.01

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR -4 Short BAYER 18/03/2021 188.50 -4.12 EUR 7,700 Long BE SEMICONDUCT 18/03/2021 467,886.22 -21,119.58 EUR 601 Short BECHTLE 18/03/2021 223,354.53 3,463.13 EUR 170 Short BEFESA 18/03/2021 10,292.00 643.55 EUR 1,904 Short BENETEAU 18/06/2021 18,116.92 -95.56 EUR 1,617 Short BIGBEN INTERACT 18/06/2021 30,787.68 -646.80 EUR 4,157 Long BIOMERIEUX 18/06/2021 798,514.19 -14,904.98 EUR 117 Short BIOTEST PRF 18/03/2021 3,006.90 280.80 EUR 12,675 Long BMW 18/03/2021 1,002,315.33 20,403.54 EUR 23,413 Short BNP PARIBAS 18/06/2021 1,038,469.48 -21,702.21 EUR 1,276,059 Short BPER BANCA 20/10/2021 1,881,332.00 13,615.61 EUR 11,978 Long BRENNTAG 18/03/2021 762,759.04 4,072.52 EUR 363 Short BRUNELLO CUCINEL 20/10/2021 22,831.24 -274.32 EUR 14,377 Long BUREAU VERITAS 18/06/2021 325,207.74 -12,364.22 EUR -14,377 Short BUREAU VERITAS 18/06/2021 325,200.05 12,356.53 EUR 10,284 Short CAPGEMINI 18/06/2021 2,239,573.28 107,391.13 EUR 207 Short CARL ZEISS MEDITEC 18/03/2021 21,838.50 703.80 EUR 467 Short CELLECTIS 18/06/2021 18,539.59 1,072.93 EUR 1,480 Short CELLNEX TELECOM 18/06/2021 74,503.20 -1,805.60 EUR 496,487 Short CERVED GROUP SPA 20/10/2021 3,811,767.78 -112,939.64 EUR 71 Short CHRISTIAN DIOR SE 18/06/2021 31,964.20 312.40 EUR 4,938 Long COFINIMMO SA 18/06/2021 601,448.40 0.00 EUR 5,874 Short COMMERZBANK 18/03/2021 31,073.46 -140.98 EUR 6,248,756 Short COMPAGNIE GENERALE GEOPHYSIQUE 18/06/2021 5,593,193.18 -197,182.73 EUR 797 Short COMPUGROUP MEDICAL 18/03/2021 58,539.65 4,104.55 EUR 8,314 Long CONTINENTAL 18/03/2021 1,068,516.28 -68,592.50 EUR 1,671 Short CORBION 18/03/2021 97,115.73 2,268.46 EUR 650 Short COVESTRO AG 18/03/2021 33,306.00 -494.00 EUR 1,934 Short CROPENERGIES 18/03/2021 22,163.64 850.96 EUR 4,247 Long DAIMLER 18/03/2021 273,795.10 619.45 EUR 23 Short DASSAULT AVIAT 18/06/2021 20,849.50 -218.50 EUR 7,054 Long DASSAULT SYSTEM 18/06/2021 1,187,247.97 -63,937.17 EUR 3,231 Short DAVIDE CAMPARI MILANO 20/10/2021 29,563.65 613.89 EUR 5,338 Long DELIVERY HERO 18/03/2021 3,999,013.46 -118,909.15 EUR 18,000 Long DELIVERY HERO SE 0.25% 23/1 CV 18/03/2021 2,426,040.00 113,585.40 EUR -18,000 Short DELIVERY HERO SE 0.25% 23/1 CV 18/03/2021 2,426,040.00 -113,585.40 EUR 2,336 Short PROSIEBENSAT 18/03/2021 31,676.16 455.52 EUR 1,560 Short DELONGHI 20/10/2021 55,775.86 -1,708.43 EUR 194 Short DERMAPHARM HOLDING 18/03/2021 16,020.43 664.37 EUR 3,011 Short DEUTSCHE BANK 18/03/2021 88,306.57 678.53 EUR 2,100 Short DEUTSCHE POST 18/03/2021 82,803.00 2,247.00 EUR 11,635 Long DEUTSCHE TELEKOM 18/03/2021 241,355.50 -1,766.12 EUR 860 Short DEUTSCHE WOHNEN SE 18/03/2021 36,627.40 946.00 EUR 5,128 Long DEVOTEAM 18/06/2021 508,697.60 -31,280.80 EUR -5,128 Short DEVOTEAM 18/06/2021 502,544.00 25,127.20 EUR 3,563 Long DIASORIN 20/10/2021 1,011,523.11 -11,311.01 EUR 26,134 Short DSM KON 18/03/2021 3,846,448.38 138,098.38 EUR 86,682 Long E.ON 18/03/2021 1,017,982.75 -17,433.60 EUR 1,012 Short EDENRED 18/06/2021 46,896.08 70.84 EUR 39,171 Short EDF 18/06/2021 681,580.83 14,859.86 EUR 100,443 Short EDP 18/06/2021 639,064.63 42,732.90 EUR 4,015 Short EDP RENOVAVEIS 18/06/2021 121,606.68 13,461.44 EUR 1,994 Short EIFFAGE 18/06/2021 194,359.72 -3,730.52 EUR 214,545 Short ELIOR GROUP 18/06/2021 1,330,658.38 -13,418.18 EUR 839 Short ELRINGKLINGER 18/03/2021 19,607.08 464.47 EUR 30,805 Long ENAGAS 18/06/2021 667,542.28 70,550.39 EUR 6,749 Short ENCAVIS 18/03/2021 174,837.43 18,566.29

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 41,599 Long ENDESA 18/06/2021 992,400.75 -3,251.12 EUR 201,899 Long ENEL 20/10/2021 1,767,566.31 -47,466.66 EUR 317,570 Short ENGIE 18/06/2021 4,755,245.73 -11,205.73 EUR 67,488 Long ENI 20/10/2021 590,654.98 13,767.55 EUR 1,207 Short ERG 20/10/2021 24,984.90 3,258.90 EUR 12,209 Short ESSILORLUXOTTICA 18/06/2021 1,626,908.14 -19,993.91 EUR 916 Short EUROFINS 18/06/2021 60,730.80 2,134.28 EUR 413 Short EURONEXT 18/06/2021 35,931.00 1,300.95 EUR 11,265 Short EUSKALTEL 18/06/2021 110,912.25 -5,081.40 EUR 46,675 Long EVONIK INDUSTRIES 18/03/2021 1,329,981.53 -2,820.21 EUR 1,237 Short EVOTEC 18/03/2021 32,780.50 4,675.86 EUR 2,578 Short FALCK RENEWABLES 20/10/2021 27,251.23 3,088.81 EUR 23,499 Short FAURECIA 18/06/2021 1,406,411.42 24,562.05 EUR 3,619 Short FDJ 18/06/2021 128,004.03 7,382.76 EUR 468 Short FERRARI 20/10/2021 93,365.11 3,322.11 EUR 1 Long FERROVIAL 18/06/2021 22.41 0.19 EUR -1 Short FERROVIAL 18/06/2021 23.22 0.62 EUR 1,579,989 Short FIAT CHRYSLER AUTOMOBILES 20/10/2021 23,775,879.23 853,290.53 EUR 3,408 Short FINECO BANK 20/10/2021 44,934.48 732.72 EUR 1,161 Short FLATEXDEGIRO 18/03/2021 81,646.07 6,801.93 EUR 812 Short FLOW TRADERS 18/03/2021 21,095.76 876.96 EUR 4,141 Short FLUIDRA 18/06/2021 79,500.78 9,120.17 EUR 356 Short FNAC DARTY 18/06/2021 39,646.90 118.48 EUR 100,014 Long FORTUM 18/06/2021 3,797,836.24 -92,972.84 EUR 1,682 Short FRENI BREMBO 20/10/2021 18,333.80 -168.20 EUR 341 Short FUCHS PETROLUB 18/03/2021 12,429.45 477.40 EUR 7,238 Long FUCHS PETROLUB PRF 18/03/2021 388,772.96 6,151.38 EUR 37,266 Long FUGRO NV 18/03/2021 137,539.64 145,681.98 EUR -37,266 Short FUGRO NV 18/03/2021 144,293.95 -138,927.65 EUR 16,892 Long FUGRO NV - BEARE 18/03/2021 124,383.75 -3,995.45 EUR 15,634 Long GEA GROUP 18/03/2021 443,198.24 -14,565.28 EUR 285 Short GERRESHEIMER 18/03/2021 129,192.65 -1,335.40 EUR 539 Short GETLINK 18/06/2021 7,335.79 307.23 EUR 4,634 Short GLOBAL FASHION GROUP 18/03/2021 56,260.37 2,680.56 EUR 268 Long GRENKE N 18/03/2021 10,490.31 -86.55 EUR -268 Short GRENKE N 18/03/2021 10,304.20 -99.57 EUR 10,459 Long GTT 18/06/2021 876,855.42 -11,651.91 EUR 980 Short GVS 20/10/2021 29,859.29 177.00 EUR 6 Short HANNOVER RUECK 18/03/2021 799.80 -18.00 EUR 23,691 Long HEIDELBERGCEMENT 18/03/2021 1,499,072.14 -51,778.74 EUR 484 Short HELLA 18/03/2021 25,410.00 193.60 EUR 1,087 Short HELLOFRESH 18/03/2021 107,493.86 3,487.07 EUR 3,953 Long HENKEL& KGAA PRF 18/03/2021 377,215.35 -13,046.53 EUR 1,677 Long HERMES INTERNATIONAL 18/06/2021 1,537,858.41 -44,126.81 EUR 788 Short HOME24 18/03/2021 18,504.18 3,287.90 EUR 348 Short HORNBACH HOLDING 18/03/2021 40,682.22 -245.72 EUR 160 Short HORNBACH-BAUMARKT 18/03/2021 5,664.00 64.00 EUR 809 Short HUHTAMAKI 18/06/2021 34,107.44 80.90 EUR 79 Short HYPOPORT N 18/03/2021 57,799.16 1,040.92 EUR 35,355 Long IBERDROLA 18/06/2021 525,090.05 -17,498.59 EUR 380 Short ILIAD 18/06/2021 64,676.00 -798.00 EUR 1,397 Short IMCD GROUP 18/03/2021 149,631.56 5,602.41 EUR 4,140 Short INFINEON TECHNOLOGIES N 18/03/2021 211,389.82 5,897.48 EUR 190,851 Short ING GROEP 18/03/2021 1,306,213.10 152,079.39 EUR 3,779 Short INTERPUMP GROUP 20/10/2021 154,667.60 6,604.21 EUR 139,325 Short INTERTRUST 18/03/2021 1,735,989.50 197,841.50 EUR 1,236 Short INWIT 20/10/2021 22,121.45 -62.83 EUR 550 Long JCDECAUX 18/06/2021 10,814.40 -567.90

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR -550 Short JCDECAUX 18/06/2021 11,066.00 819.50 EUR 2,185 Short JUNGHEINRICH PRF 18/03/2021 84,909.10 -4,938.10 EUR 40,882 Short JUST EAT TAKEAWAY 18/03/2021 3,732,213.10 224,013.90 EUR 2,281 Long KERING 18/06/2021 1,874,707.11 -47,049.91 EUR 3,840 Short KESKO 18/06/2021 103,034.89 3,321.29 EUR 1,216 Short KINGSPAN GROUP 18/03/2021 399,026.04 32,949.30 EUR 458 Short KION GROUP 18/03/2021 32,114.96 476.32 EUR 1,390 Short KLOECKNER + CO N 18/03/2021 25,217.45 -774.47 EUR 329 Short KNORR BREMSE 18/03/2021 35,222.74 1,519.98 EUR 181 Short KOJAMO 18/06/2021 33,377.58 -218.67 EUR 3,553 Long KONE 18/06/2021 263,156.42 4,507.56 EUR 744,293 Short KPN KON 18/03/2021 2,243,544.33 297,483.80 EUR 948 Short LABORATORIOS FARMACEUTICOS ROVI 18/06/2021 46,633.99 573.90 EUR 3,248 Long LANXESS 18/03/2021 216,192.55 -3,855.55 EUR 1,321 Long LEGRAND 18/06/2021 100,719.01 -2,403.53 EUR 84 Long LINDE ORD 18/03/2021 17,270.40 621.60 EUR 256 Short L'OREAL 18/06/2021 77,440.00 2,124.80 EUR 9 Short LOTUS BAKERIES NV 18/06/2021 31,770.00 1,350.00 EUR 726 Long LVMH 18/06/2021 5,167,832.40 15,991.20 EUR 110 Short MAYR-MELNHOF KARTON AG 18/06/2021 17,644.00 506.00 EUR 1,154 Short MCPHY ENERGY 18/06/2021 66,959.76 3,887.76 EUR 292 Short MELEXIS NV 18/06/2021 23,900.20 -569.40 EUR 192 Short MENSCH UND MASCHINE SOFTWARE 18/03/2021 11,020.80 499.20 EUR 668 Short MERCK 18/03/2021 100,523.21 4,249.81 EUR 9,126 Short METSA BOARD 18/06/2021 77,993.32 672.80 EUR 11,455 Short METSO OUTOTEC 18/06/2021 86,427.98 7,216.65 EUR 10,113 Long MICHELIN 18/06/2021 1,166,574.64 28,135.51 EUR 5 Short MOBISTAR SA 18/06/2021 109.00 0.00 EUR 11,012 Short MONCLER 20/10/2021 537,385.60 14,756.08 EUR 223 Short MONTEA 18/06/2021 20,315.30 446.00 EUR 144 Short MTU AERO ENGINES HOLDING N 18/03/2021 29,880.00 849.60 EUR 5,618 Long MUENCHENER RUECKVER N 18/03/2021 1,468,409.70 5,747.90 EUR 923 Short MUSTI GROUP 18/06/2021 31,339.97 474.98 EUR 128 Short NAGARRO N 18/03/2021 0.13 11,647.87 EUR 77,167 Short NATIXIS 18/06/2021 205,418.55 9,800.21 EUR 1,029 Short NATURGY ENERGY 18/06/2021 19,499.55 10.29 EUR 2,748 Short NEOEN 18/06/2021 177,200.59 30,670.95 EUR 3,256 Short NESTE 18/06/2021 191,257.44 1,367.52 EUR 915 Short NEXANS 18/06/2021 52,475.25 1,738.50 EUR 88,555 Long NEXI 20/10/2021 1,514,861.74 -35,886.74 EUR 2,431 Short NN GROUP NV 18/03/2021 81,997.63 4,375.80 EUR 2,047 Short NOKIAN RENKAAT 18/06/2021 62,126.45 -3,131.91 EUR 4,197 Short NORDEX 18/03/2021 85,534.86 7,470.66 EUR 1,242 Short NOVACYT 18/06/2021 28,019.15 1,149.70 EUR 1,685 Long OESTERR.ELEKTR. 18/06/2021 222,086.17 -13,544.62 EUR 92,762 Short ONTEX GROUP 18/06/2021 1,028,812.33 61,435.43 EUR 85,237 Long ORANGE 18/06/2021 1,321,092.71 453.36 EUR 145,468 Short OSRAM LICHT N 18/03/2021 8,687,168.26 20,719.37 EUR 276 Short PATRIZIA N 18/03/2021 6,982.80 262.20 EUR 156 Short PERNOD RICARD 18/06/2021 24,632.40 -171.60 EUR 122,968 Long PEUGEOT 18/06/2021 6,571,555.66 -132,187.80 EUR 402 Short PHARMA MAR 18/06/2021 41,298.16 -1,501.70 EUR 986 Short PLASTIC OMNIUM 18/06/2021 28,455.96 -631.04 EUR 33,305 Short POSTNL 18/03/2021 94,686.12 -1,765.17 EUR 639 Short PREOS GLOB OFF REAL EST&TECHN N 18/03/2021 5,623.20 -926.55 EUR 605 Short PROSUS 18/03/2021 113,753.44 -1,323.76 EUR 15,502 Long PROXIMUS SA 18/06/2021 285,384.74 15,379.04 EUR 2,493 Short PRYSMIAN 20/10/2021 69,305.40 3,191.04

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 1,989 Short PUBLICIS GROUPE 18/06/2021 162,436.11 -2,847.81 EUR 14,631 Short PUMA 18/03/2021 1,231,637.58 118,511.10 EUR 161 Short QIAGEN 18/03/2021 113,564.89 -499.82 EUR 1,250 Short QT GROUP 18/06/2021 67,749.20 7,032.07 EUR 572 Short RANDSTAD 18/03/2021 30,842.24 -388.96 EUR 22 Short RATIONAL 18/03/2021 15,972.00 781.00 EUR 36,790 Long RED ELECTRICA CORPORACION 18/06/2021 656,853.55 -3,490.20 EUR -2,548.00 Long RELX ORD 18/03/2021 1,027,110.80 -5,821.61 EUR 595 Short REMY COINTREAU 18/06/2021 87,643.50 2,975.00 EUR 40,008 Long RENAULT 18/06/2021 1,682,373.38 41,743.84 EUR 477 Short REPLY 20/10/2021 60,088.91 -191.97 EUR 211,297 Short REPSOL 18/06/2021 2,534,096.14 420,256.80 EUR 192,829 Short REPSOL RTS 18/06/2021 1.93 54,125.17 EUR 1,009 Short REVENIO GROUP 18/06/2021 45,821.71 8,077.04 EUR 2,693 Short REXEL 18/06/2021 32,544.91 2,181.33 EUR 9 Short ROBERTET 18/06/2021 8,118.00 27.00 EUR 224 Short ROTHSCHILD & CO 18/06/2021 5,947.20 -145.60 EUR 48,712 Long ROYAL DUTCH SHELL CL A 18/03/2021 797,478.85 32,096.52 EUR 94,684 Short RWE 18/03/2021 3,810,238.20 126,200.48 EUR 1,319 Short RYANAIR HOLDINGS 18/03/2021 328,499.08 13,174.42 EUR 387,202 Short SACYR 18/06/2021 863,766.89 -26,347.83 EUR 2,062 Short SAF HOLLAND 18/03/2021 35,295.92 297.42 EUR 15,530 Long SAFRAN 18/06/2021 1,837,685.62 36,982.12 EUR 41,943 Short SAINT GOBAIN 18/06/2021 2,018,485.26 -22,426.51 EUR 203,701 Long Saipem Rg 20/10/2021 474,794.08 -5,400.71 EUR 1,102 Short SAMPO 18/06/2021 38,316.54 -220.40 EUR 9,200 Short SANOFI 18/06/2021 1,022,122.81 25,651.71 EUR 2,230 Short SANOMA 18/06/2021 29,391.40 1,248.80 EUR 22,560 Short SAP 18/03/2021 2,362,125.54 147,626.04 EUR 368 Short SARTORIUS PRF 18/03/2021 137,933.24 -1,952.36 EUR 337 Short SARTORIUS STEDIM BIOTECH 18/06/2021 96,584.20 1,550.20 EUR 5,440 Short SBM OFFSHORE 18/03/2021 85,108.80 -435.20 EUR 1,996 Short SCHNEIDER ELECTRIC SE 18/06/2021 238,263.57 4,417.57 EUR 52,092 Short SCOR 18/06/2021 1,864,490.80 -39,476.10 EUR 344 Long SCOUT24 18/03/2021 25,813.72 -486.92 EUR 37 Short SECUNET SECURITY NETWORKS 18/03/2021 8,584.00 592.00 EUR 693 Short SESA 20/10/2021 66,181.50 5,197.50 EUR 376 Short SHOP APOTHEKE EUROPE 18/03/2021 88,325.25 2,907.60 EUR 379 Short SHOWROOMPRIVE 18/06/2021 890.72 193.22 EUR 161 Short SHURGARD 18/06/2021 5,594.75 120.75 EUR 4,656 Long SIEMENS ENERGY N 18/03/2021 393,069.94 -20,587.24 EUR 6,368 Short SIEMENS GAMESA RENEWABLE ENERGY 18/06/2021 188,895.26 28,251.08 EUR 8,759 Long SIEMENS N 18/03/2021 1,075,429.51 -25,180.07 EUR 513 Short SIGNIFY 18/03/2021 17,031.60 682.29 EUR 20,022 Short SILTRONIC N 18/03/2021 2,598,854.61 6,983.31 EUR 932 Short SMA SOLAR TECHNOLOGY 18/03/2021 70,869.99 3,575.03 EUR 41,512 Short SMCP 18/06/2021 200,170.86 6,309.82 EUR 94,179 Long SNAM 20/10/2021 453,447.24 -10,098.77 EUR 9,731 Long SODEXO 18/06/2021 756,482.60 33,891.26 EUR 99 Short SOFINA SA 18/06/2021 44,418.01 1,380.93 EUR 5,420 Long SOFTWARE N 18/03/2021 198,214.95 2,887.61 EUR 13,154 Long SOITEC 18/06/2021 2,041,500.80 -53,931.40 EUR 4,698 Short SOLARIA ENERGIA Y MEDIO AMBIENTE 18/06/2021 125,592.28 17,051.96 EUR 193,240 Short SOLOCAL GROUP 18/06/2021 540,105.80 -26,087.40 EUR 2,692 Short SOLUTIONS 30 SE 18/06/2021 34,693.59 3,264.46 EUR 5,293 Long SOLVAY 18/06/2021 559,185.24 9,583.52 EUR 213 Short SOMFY 18/06/2021 29,820.00 -298.20 EUR 10,157 Short SOPRA STERIA GROUP 18/06/2021 1,375,376.12 60,192.32

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 3,839 Short SPIE 18/06/2021 66,571.85 1,800.74 EUR 594 Short STMICROELECTRONICS 20/10/2021 126,943.73 -485.75 EUR 21,173 Long STORA ENSO 18/06/2021 465,516.53 -7,890.74 EUR 218 Short STRATEC SE 18/03/2021 31,478.09 1,794.77 EUR 184 Short STROEER 18/03/2021 14,315.20 588.80 EUR 1,064 Short SUEDZUCKER 18/03/2021 12,299.84 117.04 EUR 780,268 Short SUEZ 18/06/2021 15,088,565.19 265,842.90 EUR 4,982 Long SYMRISE 18/03/2021 557,708.46 -23,943.26 EUR 666 Short TAG IMMOBILIEN 18/03/2021 16,183.80 1,065.60 EUR 931 Short TEAMVIEWER 18/03/2021 38,683.05 2,122.68 EUR 44,997 Long TECHNIPFMC 18/06/2021 387,623.30 11,267.29 EUR 4,315,276 Short TELECOM ITALIA 20/10/2021 1,784,437.84 -38,304.04 EUR 72,877 Long TELEFONICA RIGHTS 18/06/2021 25,959.35 -105.28 EUR 70,262 Long TELEFONICA SA 18/06/2021 459,073.59 5,271.92 EUR 634 Short TELEPERFORMANCE 18/06/2021 176,196.77 2,332.57 EUR 86,789 Short TELEVISION FRANCAISE 1 18/06/2021 695,677.51 -14,133.06 EUR 53,988 Long TERNA RETE ELETTRICA NAZIONALE 20/10/2021 327,707.16 -9,717.84 EUR 109,198 Long THYSSENKRUPP 18/03/2021 816,298.16 -125,370.35 EUR 1,855 Short TINEXTA 20/10/2021 49,682.59 1,238.29 EUR 1,971 Short TOKMANNI GROUP CORPORATION 18/06/2021 39,452.93 1,603.88 EUR 34 Short TOTAL 18/06/2021 1,243.04 -42.84 EUR 382 Short TRIGANO 18/06/2021 73,983.40 980.96 EUR 12,329 Long TUI N 18/03/2021 87,077.18 -7,357.37 EUR 19,666 Short UBISOFT ENTERTAIN 18/06/2021 1,682,201.41 72,234.73 EUR 2,966 Long UNIBAIL-RODAMCO-WESTFIELD 18/03/2021 199,010.29 -5,576.57 EUR 29,420 Short UNILEVER 18/03/2021 1,397,891.30 60,311.00 EUR 76,728 Short UNIPER 18/03/2021 2,133,038.40 33,760.32 EUR 1,184 Short UNIPHAR 18/03/2021 3,102.08 -284.16 EUR 11,325 Short UPM-KYMMENE 18/06/2021 466,589.98 3,785.45 EUR 1,817 Short UPONOR 18/06/2021 41,994.30 -306.28 EUR 408 Short V LANSCHOT KEMPEN 18/03/2021 8,262.00 306.00 EUR 37,603 Long VALEO 18/06/2021 1,495,724.94 -16,190.42 EUR 114 Long VALLOUREC 18/06/2021 3,403.26 126.31 EUR 1,846 Short VALNEVA 18/06/2021 26,896.42 149.29 EUR 402 Short VARTA 18/03/2021 86,816.60 3,218.47 EUR 67,892 Long VEOLIA ENVIRONNEMENT VE 18/06/2021 1,615,621.88 -46,152.05 EUR 4,037 Short VERBIO VEREINIGTE BIOENERGIE 18/03/2021 134,061.66 15,664.33 EUR 189 Short VGP SA 18/06/2021 22,869.00 302.40 EUR 122 Long VIDRALA 18/06/2021 529.48 0.00 EUR -122 Short VIDRALA 18/06/2021 0.01 -529.47 EUR 64 Short VIDRALA 18/06/2021 5,971.20 102.40 EUR 22,383 Short VINCI 18/06/2021 2,225,126.14 -81,771.16 EUR 11,151 Short VIVENDI 18/06/2021 15,657,169.57 -276,148.57 EUR 6,534 Long VOLKSWAGEN 18/03/2021 982,190.88 -13,721.40 EUR 2,232 Short VOLTALIA 18/06/2021 47,318.40 10,378.80 EUR 670 Short VONOVIA 18/03/2021 38,404.40 1,634.80 EUR 1,003 Long WACKER CHEMIE 18/03/2021 133,301.32 -4,574.07 EUR 492 Short WDP - REGISTERED 18/06/2021 31,650.53 231.00 EUR 271 Short WOLTERS KLUWER 18/03/2021 18,352.12 363.14 EUR 41,627 Short WORLDLINE 18/06/2021 3,147,833.74 144,861.96 EUR 1,260 Short X VIETNAM ETF 18/03/2021 36,036.00 81.90 EUR 102 Long XILAM ANIMATION 18/06/2021 4,834.80 56.10 EUR 157 Short XIOR STUDENT HOUSING 18/06/2021 7,771.50 -62.80 EUR 1,568 Short ZALANDO 18/03/2021 136,199.91 13,597.67 EUR 207 Short ZOOPLUS 18/03/2021 45,101.62 1,736.94 TOTAL 2,953,374.99

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 13,795 Short 888 HOLDINGS 18/03/2021 48,079.24 312.67 GBP 3,519 Short ADMIRAL GROUP 18/03/2021 100,361.88 2,122.96 GBP 8,238 Short AIRTEL AFRICA PLC 18/03/2021 6,063.17 184.07 GBP 2,089 Short AJ BELL 18/03/2021 16,931.37 -130.67 GBP 1,240 Short ANGLO AMERICAN 18/03/2021 36,218.42 -259.88 GBP 4,250 Short ANTOFAGASTA 18/03/2021 60,562.50 735.95 GBP 5,078 Short AO WORLD 18/03/2021 23,458.98 2,003.82 GBP 1,563 Short ASHTEAD GROUP 18/03/2021 52,870.73 966.61 GBP 2,654 Short ASOS 18/03/2021 116,537.14 11,622.92 GBP 4,116 Long ASTON MARTIN 18/03/2021 66,072.78 18,565.14 GBP -4,116 Short ASTON MARTIN 18/03/2021 68,073.54 -16,329.91 GBP 803 Short AVAST PLC 18/03/2021 15,845.15 78.74 GBP 1,385 Short AVEVA GROUP 18/03/2021 43,821.40 587.98 GBP 10,498 Short AVIVA 18/03/2021 40,644.70 162.75 GBP 1,335 Short AVON RUBBER 18/03/2021 62,702.43 -7,617.56 GBP 26,842 Short B&M EUROPEAN VALUE RETAIL 18/03/2021 146,514.58 1,449.14 GBP 52,223 Long BAE SYSTEMS 18/03/2021 262,159.46 7,701.30 GBP 25,071 Short BARCLAYS 18/03/2021 36,277.74 554.58 GBP 666 Short BERKELEY GROUP HOLDINGS THE 18/03/2021 36,435.45 2,563.48 GBP 2,507 Short BHP GROUP PLC 18/03/2021 48,941.65 -761.82 GBP 181,228 Long BP 18/03/2021 525,336.41 32,160.15 GBP 14,833 Long BRITISH AMERICAN TOBACCO 18/03/2021 420,960.54 21,542.73 GBP 47,161 Long BT GROUP 18/03/2021 64,728.47 2,634.40 GBP 15,265 Short BURBERRY GROUP 18/03/2021 285,531.83 -13,813.71 GBP 2,161 Short CARNIVAL 18/03/2021 35,055.84 243.38 GBP 9,553 Short CENTAMIN 18/03/2021 11,487.48 368.20 GBP 10,501 Short CERES POWER HOLDINGS 18/03/2021 144,945.03 28,409.13 GBP 6,119 Short CIVITAS SOCIAL HOUSING 18/03/2021 6,400.47 13.67 GBP 3,326 Short CLIPPER LOGISTICS 18/03/2021 26,727.72 785.04 GBP 4,446 Short CMC MARKETS 18/03/2021 16,227.90 1,291.43 GBP 108,091 Short CODEMASTERS GROUP HOLDINGS 18/03/2021 759,059.64 -2,332.27 GBP 79,682 Long COMPASS GROUP 18/03/2021 1,224,164.51 65,654.96 GBP 1,590 Short COMPUTACENTER 18/03/2021 51,651.40 3,191.12 GBP 2,127 Short COUNTRYSIDE PROPERTIES 18/03/2021 19,940.25 826.66 GBP 111 Short CRODA INTERNATIONAL 18/03/2021 6,966.36 396.83 GBP 2,249 Short CVS GROUP 18/03/2021 37,549.68 1,815.38 GBP 1,916 Short DECHRA PHARMACEUTICALS 18/03/2021 60,967.12 5,736.66 GBP 4,561 Short DIPLOMA 18/03/2021 118,916.14 5,210.94 GBP 7,562 Short DOMINO'S PIZZA GROUP 18/03/2021 24,954.60 -1,182.75 GBP 2,824 Short DRAPER ESPRIT 18/03/2021 17,693.42 1,452.15 GBP 5,852 Short DRAX GROUP 18/03/2021 19,838.28 2,353.61 GBP 281 Long DUNELM GROUP 18/03/2021 7,969.33 -168.79 GBP 9,908 Short ELECTROCOMPONENTS 18/03/2021 100,989.86 -332.76 GBP 69,026 Short ELEMENTIS 18/03/2021 410,095.31 3,967.93 GBP 5,500 Short ENTAIN 18/03/2021 59,950.00 2,672.89 GBP 571 Short FDM GROUP HOLDINGS 18/03/2021 5,704.29 797.40 GBP 3,766 Long FERGUSON 18/03/2021 354,974.79 -8,421.66 GBP 4,292 Short FERREXPO 18/03/2021 12,103.44 28.77 GBP 926 Short FEVERTREE DRINKS 18/03/2021 20,575.72 3,155.29 GBP 778 Short FIRST DERIVATIVES 18/03/2021 30,244.44 1,723.62 GBP 745 Short FLUTTER ENTERTAINMENT PLC 18/03/2021 112,755.75 -208.08 GBP 1,207 Short FRASERS GROUP 18/03/2021 5,704.28 -285.87 GBP 2,782 Short FRESNILLO 18/03/2021 31,714.80 -326.34 GBP 1,688 Short FRONTIER DEVELOPMENTS 18/03/2021 47,601.60 4,903.14 GBP 1,578 Short FUTURE PLC 18/03/2021 100,697.09 95.91 GBP 2,031,065 Short G4S 18/03/2021 5,920,367.21 -29,212.96 GBP 934 Short GAMES WORKSHOP GROUP 18/03/2021 100,612.14 12,231.97 GBP 1,975 Short GAMESYS GROUP 18/03/2021 21,606.50 1,014.97

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 1,872 Short GAMMA COMMUNICATIONS 18/03/2021 27,986.40 3,137.08 GBP 822 Short GB GROUP 18/03/2021 7,217.16 551.00 GBP 66 Long GENUS 18/03/2021 27,598.41 -530.96 GBP 17,289 Long GLAXOSMITHKLINE 18/03/2021 302,733.28 2,914.69 GBP 13,535 Long GOCO GROUP 18/03/2021 17,108.24 393.15 GBP -13,535 Short GOCO GROUP 18/03/2021 17,309.83 -167.93 GBP 6,124 Short HALFORDS GROUP 18/03/2021 26,092.73 123.08 GBP 854 Short HALMA 18/03/2021 20,239.80 753.73 GBP 386,479 Short HAMMERSON REIT 18/03/2021 149,944.69 -3,522.09 GBP 13,487 Long HARGREAVES LANSDOWN 18/03/2021 195,359.20 -11,526.71 GBP 2,066 Short HIKMA PHARMACEUTICALS 18/03/2021 146,415.47 4,501.48 GBP 5,695 Short HOME REIT 18/03/2021 6,150.60 0.00 GBP 134,575 Long HORIZON DISCOVERY GROUP 18/03/2021 248,963.75 -751.73 GBP -134,575 Short HORIZON DISCOVERY GROUP 18/03/2021 248,940.24 725.46 GBP 2,172 Short IG GROUP HOLDINGS 18/03/2021 18,266.52 509.57 GBP 917 Long IMI 18/03/2021 11,059.48 -420.55 GBP -917 Short IMI 18/03/2021 10,912.30 256.12 GBP 3,939 Short IMPAX ASSET MANAGEMENT GROUP 18/03/2021 28,597.14 -1,232.18 GBP 51,123 Short IMPERIAL BRANDS 18/03/2021 853,650.71 -13,398.29 GBP 772 Short INTERCONTINENTAL HOTELS GROUP 18/03/2021 36,438.40 -258.74 GBP 512 Long INTERTEK GROUP 18/03/2021 37,349.31 691.56 GBP 80,627 Short INTL CONSOLIDATED AIRLINES GROUP 18/03/2021 136,151.41 2,042.47 GBP 23,888 Short IP GROUP 18/03/2021 33,515.22 1,466.71 GBP 19,713 Short ITM POWER 18/03/2021 80,692.20 28,046.49 GBP 28,757 Short ITV 18/03/2021 30,051.07 738.92 GBP 11,855 Short JD SPORTS FASHION 18/03/2021 96,570.83 6,012.93 GBP 835 Short JET2 18/03/2021 28,364.15 241.19 GBP 428 Short KAINOS GROUP 18/03/2021 5,136.00 86.07 GBP 3,051 Short KEYWORD S STUDIOS 18/03/2021 78,227.64 10,089.33 GBP 54,631 Long KINGFISHER 18/03/2021 162,061.04 -50.80 GBP 142 Short LONDON STOCK EXCHANGE GROUP 18/03/2021 12,555.64 263.34 GBP 21,162 Short MARKS AND SPENCER GROUP 18/03/2021 29,023.68 -200.96 GBP 24,161 Long MEGGITT 18/03/2021 112,850.01 -6,713.97 GBP 3,666 Long MICRO FOCUS INTERNATIONAL 18/03/2021 16,189.06 716.74 GBP 4,530 Short NAKED WINES 18/03/2021 36,891.88 2,755.75 GBP 88 Short NATIONAL GRID PLC 18/03/2021 1,825.14 -1,188.60 GBP 10,131 Long NETWORK INTERNATIONAL HOLDINGS PLC 18/03/2021 28,491.67 5,134.83 GBP -10,131 Short NETWORK INTERNATIONAL HOLDINGS PLC 18/03/2021 28,141.82 -5,525.67 GBP 966 Short NEXT 18/03/2021 65,243.64 3,582.97 GBP 2,083 Short OCADO GROUP 18/03/2021 46,492.56 1,279.91 GBP 12,697 Short PETROPAVLOVSK 18/03/2021 16,253.28 -212.87 GBP 4,803 Short PETS AT HOME GROUP 18/03/2021 26,235.99 1,793.95 GBP 7,591 Short PHOENIX GROUP HOLDINGS 18/03/2021 54,078.28 -1,000.71 GBP 737,448 Short PLAYTECH 18/03/2021 2,948,317.10 12,358.08 GBP 4,637 Short PLUS500 18/03/2021 123,125.61 4,611.13 GBP 2,764 Short POLYMETAL INTERNATIONAL 18/03/2021 47,224.46 -742.80 GBP 2,216 Short PZ CUSSONS 18/03/2021 5,052.48 49.51 GBP -18,090.00 Long RELX ORD 18/03/2021 346,107.46 -4,536.63 GBP 1,505 Short RENISHAW 18/03/2021 146,545.74 -297.02 GBP 791 Short RIO TINTO 18/03/2021 44,319.73 -1,175.32 GBP 1,533,607 Long ROLLS-ROYCE HOLDINGS 18/03/2021 1,915,971.69 69,742.54 GBP 8,373 Short ROTORK 18/03/2021 26,742.91 -130.45 GBP 23,465 Short ROYAL MAIL 18/03/2021 81,212.37 -2,202.06 GBP 41,249 Short RSA INSURANCE GROUP 18/03/2021 498,435.49 494.71 GBP 464 Long S4 CAPITAL 18/03/2021 2,329.45 -10.56 GBP -464 Short S4 CAPITAL 18/03/2021 2,315.36 -5.18 GBP 14,063 Long SAGE GROUP 18/03/2021 80,890.38 -1,068.35 GBP 19,157 Short SEGRO REIT 18/03/2021 173,945.56 8,475.22

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 902 Short SMART METERING SYSTEMS 18/03/2021 6,034.38 423.24 GBP 80,200 Short SMITH AND NEPHEW 18/03/2021 1,202,198.00 9,855.88 GBP 962 Short SMURFIT KAPPA GROUP 18/03/2021 33,477.60 -472.89 GBP 65,645 Short SOLGOLD 18/03/2021 22,680.35 -1,576.77 GBP 1,322 Short SPECTRIS 18/03/2021 37,280.40 -29.54 GBP 844 Short SPIRAX-SARCO ENGINEERING 18/03/2021 105,141.42 -713.64 GBP 9,435 Short SPIRENT COMMUNICATIONS 18/03/2021 39,076.19 530.62 GBP 3,296 Short ST.JAMES'S PLACE 18/03/2021 36,552.64 902.16 GBP 6,502 Short SUMO GROUP 18/03/2021 21,513.28 299.88 GBP 2,181 Short SYNTHOMER 18/03/2021 20,745.51 160.88 GBP 22 Short TEAM 17 GROUP 18/03/2021 175.56 -1.47 GBP 1,262 Short THG HOLDINGS 18/03/2021 40,388.57 255.30 GBP 2,057 Short TRAVIS PERKINS 18/03/2021 26,720.43 1,103.07 GBP 19,038 Short TRITAX BIG BOX REIT 18/03/2021 37,195.45 1,679.74 GBP 3,841 Short TYMAN 18/03/2021 12,214.38 1,394.62 GBP 299 Short VIDRALA 18/03/2021 19,159.92 447.61 GBP 3,491,371 Long VODAFONE GROUP 18/03/2021 5,550,899.28 394,386.30 GBP 2,187 Short WATCHES OF SWITZERLAND GROUP 18/03/2021 11,350.53 1,465.98 GBP 25,686 Short WEIR GROUP 18/03/2021 761,994.69 29,950.99 GBP 2,145 Long WHITBREAD 18/03/2021 72,460.31 1,229.97 GBP 290,021 Short WILLIAM HILL 18/03/2021 835,373.70 3,226.39 GBP 319 Short WIZZ AIR HOLDINGS 18/03/2021 14,457.08 114.04 GBP 12,994 Short WOOD GROUP JOHN 18/03/2021 41,398.88 -1,219.41 GBP 3,466 Short WPP 18/03/2021 27,235.83 549.85 GBP 266 Short XP POWER 18/03/2021 11,491.20 1,099.54 TOTAL 735,636.33

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) NOK 2,848 Long ADEVINTA 18/06/2021 601,195.60 -2,515.05 NOK 2,448 Short BORREGAARD 18/06/2021 325,584.00 2,056.36 NOK 740 Short CRAYON GROUP HOLDING 18/06/2021 79,624.00 1,285.61 NOK 2,810 Short ELKEM 18/06/2021 76,713.00 289.69 NOK 5,812 Long EQUINOR 18/06/2021 922,713.50 794.84 NOK 9,158 Short EUROPRIS 18/06/2021 470,951.37 2,621.87 NOK 1,406 Short FJORDKRAFT HOLDING 18/06/2021 108,402.60 885.80 NOK 4,995 Short GJENSIDIGE FORSIKRING 18/06/2021 928,071.00 2,670.10 NOK 7,388 Short KAHOOT 18/06/2021 723,672.93 12,393.19 NOK 528 Short KONGSBERG GRUPPEN 18/06/2021 87,859.20 493.93 NOK 14,751 Long MOWI 18/06/2021 2,842,286.53 -15,514.27 NOK 14,519 Short NEL 18/06/2021 479,972.37 6,393.35 NOK 6,875 Short NORDIC SEMICONDUCTOR 18/06/2021 1,170,275.22 3,618.06 NOK 3,607 Short NORSK HYDRO 18/06/2021 143,991.44 -20.66 NOK 4,003 Short ORKLA 18/06/2021 339,214.22 863.57 NOK 82,155 Long PGS 18/06/2021 1,003,862.07 -10,792.96 NOK 1,154 Short SALMAR 18/06/2021 532,571.00 4,637.59 NOK 4,312 Short SCATEC 18/06/2021 1,517,460.73 17,839.34 NOK 3,391 Short SCHIBSTED 18/06/2021 1,168,199.50 7,056.49 NOK 3,866 Short STOREBRAND 18/06/2021 241,083.76 679.02 NOK 20,786 Long SUBSEA 7 SHS 18/06/2021 1,961,175.12 -1,243.81 NOK 1,036 Short TOMRA SYSTEMS 18/06/2021 472,751.90 3,031.01 NOK 2,303 Short VACCIBODY 18/06/2021 164,088.75 822.19 NOK 583 Short VEIDEKKE 18/06/2021 62,147.80 233.73 NOK 2,669 Short XXL 18/06/2021 51,645.15 -10.19 NOK 4,095 Long YARA INTERNATIONAL 18/06/2021 1,546,499.02 -1,267.72 TOTAL 37,301.07

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) PLN 1,197 Long ALLEGRO 19/04/2021 101,649.24 -57.76 PLN -1,197 Short ALLEGRO 19/04/2021 103,332.71 427.03 TOTAL 369.27

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) SEK 1,848 Short ACADEMEDIA 18/06/2021 148,764.00 827.59 SEK 554 Short ADDLIFE 18/06/2021 72,075.40 766.34 SEK 345 Short ADDNODE GROUP 18/06/2021 137,361.29 519.51 SEK 8,861 Short ADDTECH 18/06/2021 1,005,349.68 1,566.52 SEK 550 Short ANNEHEM FASTIGHETER 18/06/2021 17,050.00 35.58 SEK 4,226 Short ARJO 18/06/2021 389,125.13 -128.81 SEK 1,522 Short ATLAS COPCO 18/06/2021 651,872.60 -1,090.55 SEK 3,556 Short AVANZA BANK HOLDING 18/06/2021 884,653.32 10,560.60 SEK 4,098 Short BETSSON 18/06/2021 489,342.89 -909.03 SEK 5,173 Short BHG GROUP 18/06/2021 844,108.34 11,861.72 SEK 1,615 Short BILIA AB 18/06/2021 298,646.39 -128.28 SEK 2,942 Short BILLERUDKORSNAS 18/06/2021 430,561.70 -234.22 SEK 168 Short BIOGAIA 18/06/2021 84,840.00 535.01 SEK 1,266 Short BIOTAGE 18/06/2021 167,618.40 831.53 SEK 2,739 Short BOOZT 18/06/2021 476,930.62 6,397.89 SEK 1,727 Short BRAVIDA HOLDING 18/06/2021 346,745.15 -267.40 SEK 1,649 Short BURE EQUITY 18/06/2021 570,583.28 2,937.79 SEK 2,877 Short CAMURUS 18/06/2021 614,666.48 324.36 SEK 700 Short CASTELLUM 18/06/2021 139,965.00 609.54 SEK 25 Short CATENA 18/06/2021 33,576.94 11.53 SEK 573 Short CELLINK 18/06/2021 223,032.03 1,892.92 SEK 142 Short CREADES 18/06/2021 118,854.00 1,497.94 SEK 6,262 Short DOMETIC GROUP 18/06/2021 705,414.30 -2,305.76 SEK 5,697 Short EMBRACER GROUP 18/06/2021 1,079,694.19 9,616.68 SEK 1,200 Long EPIROC 18/06/2021 1,110,627.14 130.76 SEK 1,943 Short EQT 18/06/2021 374,999.00 3,364.50 SEK 20,957 Long ESSITY AKTIEBOLAG (PUBL) 18/06/2021 5,578,753.40 3,545.49 SEK 3,345 Short EVOLUTION GAMING GROUP 18/06/2021 2,709,450.00 8,255.56 SEK 1,102 Short FABEGE 18/06/2021 140,284.60 224.82 SEK 1,373 Short FASTIGHETS BALDER 18/06/2021 582,152.00 669.52 SEK 28,385 Long HENNES & MAURITZ 18/06/2021 5,043,915.49 16,091.51 SEK 1,764 Short HEXAGON 18/06/2021 1,254,544.98 6,777.35 SEK 754 Short HMS NETWORKS AB SHS 18/06/2021 195,286.00 75.04 SEK 4,743 Short HOLMEN 18/06/2021 1,909,291.02 2,492.10 SEK 10,344 Short HUSQVARNA 18/06/2021 1,096,840.61 477.22 SEK 719 Short INDUSTRIVARDEN -C- FREE 18/06/2021 188,593.70 228.97 SEK 1,616 Short INDUSTRIVARDEN 18/06/2021 544,452.16 835.88 SEK 3,912 Short INDUTRADE 18/06/2021 1,973,604.00 3,127.47 SEK 3,196 Short INSTALCO 18/06/2021 813,289.31 6,671.78 SEK 1,075 Short INVESTOR 18/06/2021 632,100.00 1,198.19 SEK 1,024 Short INVISIO 18/06/2021 330,609.71 2,730.88 SEK 648 Short INWIDO 18/06/2021 73,872.00 419.17 SEK 677 Short JM 18/06/2021 191,861.80 485.09 SEK 1,482 Short KAMBI GROUP 18/06/2021 524,628.00 5,014.48 SEK 2,264 Short KARO PHARMA 18/06/2021 128,595.20 -968.82 SEK 6,722 Short KINDRED GROUP SDR 18/06/2021 545,138.57 -359.68 SEK 3,964 Short KINNEVIK 18/06/2021 1,592,338.80 5,443.92 SEK 304,677 Long KLOVERN AB -B- 18/06/2021 3,046,770.00 167,976.37 SEK -304,677 Short KLOVERN AB -B- 18/06/2021 4,657,920.07 -7,639.00 SEK 1,130,950 Long KLOVERN AB 18/06/2021 1,164,878.50 0.00

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) SEK -1,130,950 Short KLOVERN AB 18/06/2021 11.31 -115,924.48 SEK 462 Short KNOWIT 18/06/2021 142,527.00 137.93 SEK 1,192 Short KUNGSLEDEN 18/06/2021 230,330.54 33.78 SEK 3,417 Short LAGERCRANTZ GROUP 18/06/2021 236,456.40 2,312.35 SEK 3,916 Short LATOUR INVESTMENT 18/06/2021 1,118,605.46 2,688.26 SEK 190 Short LIFCO 18/06/2021 224,589.69 919.83 SEK 1,102 Short LINDAB INTERNATIONAL 18/06/2021 299,481.05 694.94 SEK 1,984 Short LUNDIN MINING 18/06/2021 128,860.80 1,273.50 SEK 2,246 Short MIPS 18/06/2021 1,327,852.62 9,411.13 SEK 6,233 Short MODERN TIMES GROUP MTG 18/06/2021 951,670.73 -3,710.96 SEK 5,539 Short MUNTERS GROUP 18/06/2021 509,993.68 1,788.59 SEK 1,262 Short MYCRONIC 18/06/2021 304,691.83 497.88 SEK 4,772 Short NIBE INDUSTRIER 18/06/2021 1,225,926.80 6,078.68 SEK 452 Short NOLATO 18/06/2021 441,063.96 2,220.88 SEK 2,532 Short NORDIC ENTERTAINMENT GROUP 18/06/2021 1,173,835.20 -1,259.89 SEK 1,033 Short ONCOPEPTIDES 18/06/2021 303,583.06 211.11 SEK 1,039 Short PARADOX INTERACTIVE 18/06/2021 251,913.82 1,799.12 SEK 2,751 Short PEAB 18/06/2021 248,827.95 -219.02 SEK 588 Short PLATZER FASTIGHETER HOLDING 18/06/2021 60,681.60 245.77 SEK 637 Short POWERCELL SWEDEN 18/06/2021 286,378.87 2,400.15 SEK 1,833 Short RATOS 18/06/2021 68,590.86 193.36 SEK 1,647 Short RECIPHARM 18/06/2021 359,046.00 229.47 SEK 10,957 Long SAAB 18/06/2021 2,870,146.80 5,889.88 SEK 1,682 Short SAGAX 18/06/2021 709,117.17 2,082.69 SEK 6,827 Long SANDVIK 18/06/2021 2,320,822.57 2,351.10 SEK 395 Short SDIPTECH 18/06/2021 82,160.00 864.81 SEK 310 Short SECTRA 18/06/2021 312,300.91 678.06 SEK 15,775 Long SECURITAS 18/06/2021 2,154,865.00 6,044.06 SEK 268 Short SEDANA MEDICAL 18/06/2021 91,924.00 0.00 SEK 1,475 Short SINCH 18/06/2021 2,327,228.21 20,065.16 SEK 773 Short SKF 18/06/2021 169,518.90 -453.87 SEK 559 Long STILLFRONT GROUP 18/06/2021 502,714.96 7,047.72 SEK -559 Short STILLFRONT GROUP 18/06/2021 504,376.14 -6,882.41 SEK 5,431 Short CFD STILLFRONT G 18/06/2021 490,191.01 5,448.28 SEK 1,006 Long STORYTEL 18/06/2021 304,501.33 -1,934.08 SEK 10,733 Short SVENSKA CELLULOSA AKTIEBOLAGET 18/06/2021 1,521,939.40 1,602.18 SEK 1,879 Short SWECO 18/06/2021 444,415.13 -823.16 SEK 5,722 Short SWEDBANK 18/06/2021 848,915.92 -2,414.42 SEK 1,002 Short SWEDISH MATCH 18/06/2021 635,869.20 319.09 SEK 9,878 Long TELE2 18/06/2021 2,020,915.58 1,267.22 SEK 355,958 Long TELIA COMPANY 18/06/2021 13,031,155.23 8,461.15 SEK 2,036 Short THULE GROUP 18/06/2021 706,094.35 3,399.12 SEK 1,380 Short TOBII 18/06/2021 77,142.00 96.13 SEK 3,490 Short TRELLEBORG 18/06/2021 629,770.50 712.00 SEK 1,215 Short TROAX GROUP 18/06/2021 227,205.00 628.75 SEK 1,601 Short VITEC SOFTWARE GROUP 18/06/2021 564,048.72 3,467.46 SEK 6,278 Short VOLVO 18/06/2021 1,298,331.48 -1,964.33 SEK 798 Short WALLENSTAM B 18/06/2021 209,366.09 148.76 SEK 625 Short WIHLBORGS FASTIGHETER 18/06/2021 251,742.68 537.24 SEK 586 Short XVIVO PERFUSION 18/06/2021 167,596.00 1,632.88 TOTAL 243,291.39

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD 4,242 Long 3M 17/09/2021 1,044,383.73 -1,357.85 USD 4,922 Long ABBOTT LABORATORIES 17/09/2021 894,481.63 -8,964.33 USD 5,875 Long ABBVIE 17/09/2021 646,825.53 -20,946.67 USD 127 Short ACCENTURE 17/09/2021 38,571.79 1,697.81 USD 1,043 Long ACTIVISION BLIZZARD 17/09/2021 97,112.45 -5,073.60 USD 541 Short ACUSHNET HOLDINGS 17/09/2021 21,320.81 499.64 USD 437 Short ADVANCED MICRO DEVICES 17/09/2021 51,787.67 -1,913.66 USD 1,687 Long AGILENT TECHNOLOGIES 17/09/2021 337,280.12 -1,915.67 USD 40,271 Long ALCOA 17/09/2021 954,855.30 -28,324.08 USD 76 Short ALIBABA GROUP HOLDING ADR REP 8 17/09/2021 24,586.27 -1,311.90 USD 14,275 Long ALLEGHENY TECHNOLOGIES 17/09/2021 259,580.49 2,816.20 USD 22 Short ALPHABET 17/09/2021 45,793.53 -147.30 USD 7,395 Long ALTRIA GROUP 17/09/2021 334,062.48 6,961.98 USD 15 Short AMAZON COM 17/09/2021 53,891.69 1,194.72 USD 137,756 Short AMBAC FINANCIAL GROUP 17/09/2021 2,925,150.48 -267,449.21 USD 1,231 Long AMGEN 17/09/2021 303,576.50 639.47 USD 4,374 Long AON 17/09/2021 1,022,261.27 -11,243.96 USD 670 Short APPLE 17/09/2021 85,679.60 2,633.89 USD 26,275 Long ARCELORMITTAL ADR 17/09/2021 609,054.50 6,012.83 USD -1,102,100 Long ARCELORMITTAL ORD 18/03/2021 6,640,343.59 -78,357.25 USD 6,109 Long ARCONIC 17/09/2021 199,550.16 3,714.67 USD 407 Short ARES MANAGEMENT 17/09/2021 20,040.68 -728.48 USD 566 Short ARTISAN PARTNERS ASSET MGMT 17/09/2021 32,800.59 942.36 USD 225 Short AXON ENTERPRISE 17/09/2021 35,197.54 -1,338.90 USD 483 Short AXONICS MODULATION TECHNOLOGIES 17/09/2021 21,198.87 2,380.36 USD 54,710 Long BAKER HUGHES 17/09/2021 1,288,183.71 52,494.39 USD 45 Short BIO RAD LABORATORIES 17/09/2021 26,455.95 -182.79 USD 281 Short BLACK KNIGHT 17/09/2021 24,907.84 -66.60 USD 212 Short BLACKLINE 17/09/2021 26,966.40 1,070.79 USD 579 Short BMC HOLDINGS 17/09/2021 27,647.25 2,806.15 USD 9,079 Long BOOZ ALLEN HAMILTON HOLDING 17/09/2021 901,481.30 15,073.25 USD 23 Short BOSTON BEER 17/09/2021 21,399.20 1,200.99 USD 44,832 Short BRISTOL MYERS SQUIBB CONTINGENT RTS 17/09/2021 86,381.38 -39,259.19 USD 732 Short BUILDERS FIRSTSOURCE 17/09/2021 31,667.13 2,637.61 USD 3,069 Long CACI INTERNATIONAL 17/09/2021 835,801.94 -11,843.07 USD 225 Short CADENCE DESIGN SYSTEMS 17/09/2021 27,634.50 2,502.76 USD 236 Long CAESARS ENTERTAINMENT 17/09/2021 17,756.64 -187.09 USD -236 Short CAESARS ENTERTAINMENT 17/09/2021 18,026.78 407.88 USD 615 Short CALIX NETWORKS 17/09/2021 18,149.92 124.62 USD 8,593 Long CARPENTER TECHNOLOGY 17/09/2021 273,198.24 4,180.05 USD 126 Short CARVANA 17/09/2021 39,569.34 -1,585.40 USD 1,742 Long CELANESE 17/09/2021 321,169.96 1,577.79 USD 396 Short CERENCE 17/09/2021 44,261.51 3,231.57 USD 2,363 Long CHARTER COMMUNICATIONS 17/09/2021 1,620,556.57 -23,628.64 USD 163 Short CHURCHILL DOWNS 17/09/2021 33,030.32 -1,045.77 USD 769,458 Short CONSTELLIUM SE 17/09/2021 11,062,500.16 334,872.69 USD 298 Short COPART 17/09/2021 44,176.74 1,435.92 USD 47,843 Short CORELOGIC 17/09/2021 3,998,192.84 -49,225.53 USD 165 Short CROWDSTRIKE HOLDINGS 17/09/2021 35,288.86 5,079.30 USD 2,318 Long DANAHER 17/09/2021 874,046.62 1,859.05 USD 327 Short DARLING INGREDIENTS 17/09/2021 17,920.85 768.67 USD 234 Short DATADOG 17/09/2021 23,687.82 -533.58 USD 8,376 Long DISCOVERY SRS A 17/09/2021 235,286.13 -13,687.80 USD 9,901 Long DISCOVERY SRS C 17/09/2021 244,661.00 11,970.24 USD -9,901 Short DISCOVERY SRS C 17/09/2021 251,089.36 -6,716.38 USD 4,356 Long DOVER 17/09/2021 567,994.99 -15,681.31 USD 4,080 Long DOW 17/09/2021 311,467.92 -5,102.41 USD 606 Short DRAFTKINGS 17/09/2021 37,604.25 -1,759.95

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CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD 52,232 Short DUPONT DE NEMOURS 17/09/2021 5,011,564.34 149,216.99 USD 472 Short DYNATRACE 17/09/2021 18,634.56 1,462.04 USD 2,285 Long EASTMAN CHEMICAL 17/09/2021 326,815.18 1,951.68 USD 6,373 Long ELECTRONIC ARTS 17/09/2021 959,633.40 -15,469.87 USD 117 Short ENPHASE ENERGY 17/09/2021 19,367.20 950.34 USD 229 Long ENSIGN GROUP 17/09/2021 17,360.49 -540.89 USD -229 Short ENSIGN GROUP 17/09/2021 17,176.09 390.18 USD 247 Short ETSY 17/09/2021 53,693.49 165.80 USD 528 Short EXP WORLD HOLDINGS 17/09/2021 46,837.76 -4,137.73 USD 931 Short FARFETCH 17/09/2021 66,968.82 4,169.61 USD 192 Short FASTLY 17/09/2021 18,028.80 -1,024.69 USD 383 Short FATE THERAPEUTICS 17/09/2021 43,499.39 -583.92 USD 3,923 Long FIRST REPUBLIC BANK 17/09/2021 545,464.49 -38,693.64 USD 59,228 Long FITBIT 17/09/2021 669,596.96 21,809.15 USD 111 Short FIVE9 17/09/2021 19,237.65 98.69 USD 146 Short FIVERR INTERNATIONAL 17/09/2021 30,054.10 -1,282.74 USD 93,402 Long FORD MOTOR 17/09/2021 914,488.57 27,734.75 USD 7,343 Long FOX 17/09/2021 224,645.61 -3,269.67 USD 3,286 Long FRANKLIN ELECTRIC 17/09/2021 254,352.00 8,464.93 USD 497 Short FREEDOM HOLDING 17/09/2021 20,545.98 4,049.77 USD 144 Short FRESHPET 17/09/2021 25,757.07 1,162.20 USD 4,910 Long GCI LIBERTY 17/09/2021 458,594.00 -6,701.57 USD -4,910 Short GCI LIBERTY 17/09/2021 15,441.57 -355,484.24 USD 146 Short GENERAC HOLDINGS 17/09/2021 39,903.43 326.66 USD 14,214 Long GENERAL MOTORS 17/09/2021 633,586.98 487.00 USD 3,409 Long GILEAD SCIENCES 17/09/2021 216,812.10 3,299.01 USD 704 Short GLOBANT 17/09/2021 137,160.32 13,107.04 USD 216 Short GOOSEHEAD INSURANCE 17/09/2021 31,844.52 222.83 USD 13,718 Long GRAY TELEVISION 17/09/2021 270,495.87 6,160.74 USD 47,162 Long HALLIBURTON 17/09/2021 1,013,618.57 44,734.35 USD 37,133 Long HOWMET AEROSPACE 17/09/2021 1,070,221.55 -48,097.89 USD 86 Short HUBSPOT 17/09/2021 40,287.33 1,177.21 USD 8,873 Long HUNTSMAN 17/09/2021 323,472.53 4,981.57 USD 1,300 Long ILLUMINA 17/09/2021 778,133.08 -21,554.95 USD 733 Short IMMUNOVANT 17/09/2021 43,754.15 -2,246.72 USD 177 Short INSPIRE MEDICAL SYSTEMS 17/09/2021 41,098.61 -598.54 USD 35,442 Long INTERNATIONAL BUSINESS MACHINES 17/09/2021 4,777,316.37 1,624.84 USD 11,603 Long INTERNATIONAL FLAVORS & FRAGRANS 17/09/2021 1,377,751.97 19,727.82 USD 20,881 Short INTERPUBLIC GROUP OF COMPANIES 17/09/2021 540,602.04 -11,490.27 USD 51 Short INTUIT 17/09/2021 18,381.93 809.46 USD 10,596 Long JOHNSON & JOHNSON 17/09/2021 1,707,719.66 -58,937.91 USD 2,272 Long KAISER ALUMINUM 17/09/2021 234,455.45 -4,497.15 USD 64,833 Short KBR 17/09/2021 2,178,765.38 114,790.02 USD 31,977 Long KEYCORP 17/09/2021 515,369.62 -20,416.68 USD 90 Short KINSALE CAPITAL GROUP 17/09/2021 21,610.80 -2,941.52 USD 89 Short KLA 17/09/2021 23,229.89 -152.75 USD 330 Short KODIAK SCIENCES 17/09/2021 53,632.33 3,851.67 USD 481 Short KURA ONCOLOGY 17/09/2021 19,326.58 -2,956.25 USD 52 Short LAM RESEARCH 17/09/2021 25,757.16 -980.03 USD 710 Short LATTICE SEMICONDUCTOR 17/09/2021 36,537.37 1,506.71 USD 8,332 Long LEIDOS HOLDINGS 17/09/2021 972,055.68 -2,061.08 USD 87 Long LHC GROUP 17/09/2021 17,793.24 625.72 USD -87 Short LHC GROUP 17/09/2021 17,771.12 -643.80 USD 11,638 Short LIBERTY BROADBAND 17/09/2021 1,500,510.18 341,762.97 USD 81 Long LINDE 18/03/2021 20,384.46 784.48 USD -81 Short LINDE 18/03/2021 20,738.60 -495.04 USD 28,115 Long LIONS GATE ENTER 17/09/2021 258,035.23 -41,213.79 USD 75 Short LITHIA MOTORS 17/09/2021 21,090.00 703.08

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD 56 Short LULULEMON ATHLETICA 17/09/2021 27,173.56 -276.25 USD 2,657 Long LYONDELLBASELL INDUSTRIES 17/09/2021 333,975.56 -6,563.03 USD 197 Long M&T BANK 17/09/2021 24,712.34 -298.93 USD 9,384 Long MANTECH INTERNATIONAL 17/09/2021 847,073.14 -61,448.51 USD 6,933 Long MARSH & MCLENNAN 17/09/2021 865,928.14 -2,202.64 USD 6,694 Short MELLANOX TECHNOLOGIES LT 18/03/2021 836,013.66 0.00 USD 170 Long METTLER TOLEDO 17/09/2021 334,468.55 2,204.87 USD 28 Short MERCADOLIBRE 17/09/2021 56,753.65 149.10 USD 220 Short MONOLITHIC POWER SYSTEMS 17/09/2021 86,928.71 6,282.86 USD 1,131 Short MR COOPER GROUP 17/09/2021 38,818.48 2,189.44 USD 202 Short NATERA 17/09/2021 19,957.60 118.87 USD 662 Long NETFLIX 17/09/2021 368,019.31 -11,347.28 USD 11,541 Long NEXSTAR MEDIA GROUP 17/09/2021 1,306,094.21 -33,426.62 USD 600 Short NORBORD 17/09/2021 31,720.55 -661.23 USD 420 Long NUANCE COMMUNICATIONS 17/09/2021 18,018.00 408.48 USD -420 Short NUANCE COMMUNICATIONS 17/09/2021 18,293.92 -182.98 USD 81 Short NVIDIA 17/09/2021 51,840.44 -807.58 USD 181 Short OLD DOMINION FREIGHT LINE 17/09/2021 42,582.71 -497.40 USD 10,053 Long OMNICOM GROUP 17/09/2021 692,438.79 16,123.87 USD 55 Short PAYCOM SOFTWARE 17/09/2021 29,336.39 1,203.82 USD 197 Short PEGASYSTEMS 17/09/2021 24,737.29 1,238.14 USD 226 Short PENN NATIONAL GAMING 17/09/2021 18,778.34 605.84 USD 894 Long PERKINELMER 17/09/2021 238,280.98 2,303.80 USD 12,135 Long PFIZER 17/09/2021 502,598.45 19,012.09 USD 3,609 Long PNC FINANCIAL SERVICES GROUP 17/09/2021 534,329.44 -15,946.74 USD 124 Short POOL 17/09/2021 53,069.49 2,446.53 USD 59,251 Short POPULAR 17/09/2021 3,386,920.53 42,506.53 USD 5,088 Long PPG INDUSTRIES 17/09/2021 784,720.13 -287.21 USD 254 Short PROGRESSIVE 17/09/2021 24,559.26 454.63 USD 275 Short REDFIN 17/09/2021 20,268.92 -1,140.67 USD 31,995 Long REGIONS FINANCIAL 17/09/2021 508,272.81 -18,758.33 USD 163 Short REPLIGEN 17/09/2021 30,254.43 801.98 USD 99 Short RH 17/09/2021 53,026.59 847.59 USD 409 Short RITCHIE BROTHERS AUCTIONEERS 17/09/2021 28,261.90 150.42 USD 143 Short ROKU 17/09/2021 57,115.04 1,756.45 USD 158 Short SAIA 17/09/2021 29,211.04 -526.86 USD 771 Short SAILPOINT TECHNOLOGIES HOLDINGS 17/09/2021 48,736.95 1,195.35 USD 5,393 Long SALESFORCE.COM 17/09/2021 1,258,524.91 -3,656.36 USD 59,374 Long SCHLUMBERGER LTD 17/09/2021 1,459,556.81 55,547.33 USD 9,613 Long SCIENCE APPLICATIONS INTERNATIAL 17/09/2021 1,061,325.70 37,340.08 USD 141 Short SEA ADS REP 17/09/2021 33,424.70 1,371.53 USD 50 Short SERVICENOW 17/09/2021 26,369.00 941.93 USD 950 Long SHERWIN WILLIAMS 17/09/2021 733,901.87 -9,763.34 USD 423 Short SHIFT4 PAYMENTS 17/09/2021 26,555.94 4,362.93 USD 4,224 Long SIGNATURE BANK 17/09/2021 570,226.95 -15,034.91 USD 69,500 Short SLACK TECHNOLOGIES 17/09/2021 3,088,599.49 2,343.28 USD 1,128 Short SNAP 17/09/2021 70,928.59 -1,042.50 USD 3,211 Long SNAP ON 17/09/2021 600,891.20 10,281.05 USD 268 Short SPS COMMERCE 17/09/2021 26,146.08 2,415.95 USD 245 Short SQUARE 17/09/2021 63,796.98 -290.86 USD 1,186 Long STANLEY BLACK AND DECKER 17/09/2021 224,188.70 -2,365.56 USD 1,582 Short SUNPOWER 17/09/2021 48,143.03 1,072.56 USD 5,010 Long T MOBILE US 17/09/2021 699,886.58 -19,817.48 USD 367 Short TAIWAN SEMICONDUCTOR MNFTG ADR 5 17/09/2021 46,977.34 1,186.51 USD 5,565 Long TAKE TWO INTERACTIVE SOFTWARE 17/09/2021 1,159,930.73 -59,620.51 USD 148 Short TARGET 17/09/2021 30,867.05 630.14 USD 349 Short TECHTARGET 17/09/2021 18,367.87 1,848.33 USD 157,928 Short TEGNA 17/09/2021 2,416,768.48 -45,657.41

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD 376 Short TERADYNE 17/09/2021 53,494.11 -153.69 USD 106 Short TESLA 17/09/2021 78,480.66 6,239.37 USD 487 Short TFI INTERN USD X 17/09/2021 31,570.74 -767.11 USD 605 Short TG THERAPEUTICS 17/09/2021 30,957.85 420.29 USD 1,395 Long THERMO FISHER SCIENTIFIC 17/09/2021 1,106,300.00 9,034.25 USD 243 Short TORO 17/09/2021 22,492.08 452.81 USD 78 Short TRADE DESK 17/09/2021 72,784.14 -8,423.15 USD 193 Short TRANE TECHNOLOGIES 17/09/2021 27,093.34 753.99 USD 10,695 Long TRUIST FINANCIAL 17/09/2021 515,071.38 -10,752.03 USD 70 Short UNITEDHEALTH GRP 17/09/2021 23,776.90 629.89 USD 111 Short UNIVERSAL DISPLAY 17/09/2021 26,880.87 -1,122.20 USD 652 Short UPWORK 17/09/2021 24,632.56 -1,737.17 USD 93,556 Long US STEEL 17/09/2021 1,794,734.17 87,777.27 USD 6,623 Long VIACOMCBS 17/09/2021 249,369.38 -11,689.49 USD 1,505 Long VIATRIS 17/09/2021 28,584.83 -1,260.14 USD 278 Short VICOR 17/09/2021 25,673.30 -29.54 USD 69,282 Short VONTIER 17/09/2021 2,430,653.95 34,852.68 USD 5,600 Long VOYA FINANCIAL 17/09/2021 321,776.00 -6,178.74 USD 470 Long WATERS 17/09/2021 197,069.03 -1,762.45 USD 75 Short WEST PHARM SVC 17/09/2021 20,038.50 988.72 USD 2,960 Long WESTLAKE CHEM 17/09/2021 340,672.06 105.15 USD 222 Short WILLIAMS SONOMA 17/09/2021 24,519.90 -1,562.19 USD 5,173 Short WILLIS TOWERS WATSON 17/09/2021 1,086,381.73 2,832.67 USD 5,779 Long WORTHINGTON INDS 17/09/2021 333,509.12 12,272.11 USD 390 Short YANDEX CL 17/09/2021 32,906.66 313.94 USD 282 Short ZILLOW GROUP 17/09/2021 43,659.29 -888.82 TOTAL 29,112.77

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 78 Long SGS SA 15/01/2021 665,277.55 -5,874.49 TOTAL -5,874.49

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 2,069 Long AENA 15/01/2021 286,142.70 -8,069.10 EUR 18,758 Long AIR FRANCE - KLM SA 15/01/2021 92,702.04 -3,338.92 EUR 1,410 Short ALSTOM SA 15/01/2021 64,676.70 1,043.40 EUR 5,433 Short BNP PARIBAS SA 15/01/2021 245,761.76 -11,572.29 EUR 600,000 Short CIE GENERALE DE GEOPHYSIQUE 15/01/2021 487,200.00 -1,200.00 EUR 25,000 Long DEUTSCHE TELEKOM AG 15/01/2021 371,000.00 -2,875.00 EUR 109,805 Short EDP-ENERGIAS 15/01/2021 521,244.34 44,910.25 EUR 56,615 Short FAURECIA 15/01/2021 2,322,913.45 49,821.20 EUR 40,000 Long FORTUM CORP 15/01/2021 755,200.00 -32,800.00 EUR 5,880 Long FUGRO NV - BEARE 15/01/2021 0.59 -44,687.41 EUR 11,760 Long FUGRO NV -CERT OF SHS 15/01/2021 0.12 89,375.88 EUR -11,760 Short FUGRO NV -CERT OF SHS 15/01/2021 45,534.72 -43,841.28 EUR 150,000 Short GDF SUEZ SA 15/01/2021 1,864,500.00 13,500.00

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 32,914 Long IBERDROLA S A 15/01/2021 369,130.51 -15,963.29 EUR 50,000 Short KONINKLIJKE KPN NV 15/01/2021 120,250.00 4,100.00 EUR 3,000 Long LVMH MOET HENNESSY LOUIS 15/01/2021 1,521,600.00 -11,100.00 EUR 50,000 Long PEUGEOT SA 15/01/2021 1,078,500.00 -40,000.00 EUR 33,197 Short QIAGEN REGISTERED 15/01/2021 1,388,630.51 20,582.14 EUR 40,000 Long RENAULT SA 15/01/2021 1,471,800.00 41,400.00 EUR 80,006 Short RWE AG 15/01/2021 2,663,399.74 102,407.68 EUR 33,601 Short SANOFI 15/01/2021 2,561,404.23 82,994.47 EUR 160,000 Short SCOR SE ACT PROV REGROUP 15/01/2021 4,419,200.00 -192,000.00 EUR 16,497 Short SOLOC 15/01/2021 46,109.12 -2,227.10 EUR 50,000 Short SPIE SA 15/01/2021 861,000.00 29,500.00 EUR 450,000 Short SUEZ ENVIRONNEMENT COMPA 15/01/2021 7,148,250.00 150,750.00 EUR 5,125 Short T.F.1 SA 15/01/2021 34,645.00 -871.25 EUR 79,883 Long TUI AG 15/01/2021 367,461.80 -46,811.44 EUR 10,000 Short UBISOFT ENTERTAINMENT 15/01/2021 749,800.00 38,600.00 EUR 188,067 Short UNIPER 15/01/2021 5,228,262.60 82,749.48 EUR 65,000 Long VALEO SA 15/01/2021 2,075,450.00 -22,750.00 EUR 70,000 Long VEOLIA ENVIRONNEMENT SA 15/01/2021 1,356,250.00 -44,450.00 EUR 10,000 Short VINCI SA 15/01/2021 854,600.00 -41,000.00 EUR 40,000 Short VIVENDI SA 15/01/2021 4,124,000.00 63,200.00 EUR 56,488 Short WORLDLINE SA 15/01/2021 4,271,622.56 196,578.24 TOTAL 445,955.66

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 33,641 Long GLAXOSMITHKLINE PLC 15/01/2021 456,844.78 6,013.36 GBP 115,890 Long ROLLS ROYCE HOLDINGS 15/01/2021 133,621.17 5,243.60 TOTAL 11,256.96

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) USD 1,526 Short INTERNATIONAL FLAVORS 15/01/2021 172,260.52 -5,043.26 USD 3,301 Short WILLIS TOWERS 15/01/2021 693,243.01 1,807.58 TOTAL -3,235.68

The counterparty of the contracts is JP Morgan Securities AG. As at December 31, 2020, the unrealised net appreciation on contract for difference for this counterparty amounted to EUR 448,102.45.

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 33,180 Long SIKA - REGISTERE 15/11/2021 7,598,220.00 -392,680.88 CHF 42,000 Short SIKA 3.75% JAN 2022 MANDO 15/11/2021 7,337,845.62 404,951.77 TOTAL 12,270.89

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 1,518 Long AENA 15/11/2021 209,939.40 -5,920.20 EUR 5,000 Long ALLIANZ SE 15/11/2021 965,000.00 38,500.00 EUR 5,000 Short ALLIANZ SE 15/11/2021 969,200.00 -34,300.00 EUR 52,814 Short APPLUS SERVICES S.A. 15/11/2021 449,975.28 26,407.00 EUR 5,000 Long BASF 15/11/2021 2,241,700.00 25,100.00 EUR 5,000 Short BNP PARIBAS SA 15/11/2021 226,175.00 -10,650.00 EUR 1,550 Short DASSAULT AVIATION SA 15/11/2021 1,633,000.47 -15,237.53 EUR 49,035 Long DELIVERY HERO AG 15/11/2021 5,589,920.00 -637,525.00 EUR 69,000 Short DELIVERY HERO SE 0.25% 23/1 CV 15/11/2021 9,038,829.03 696,401.67 EUR 3,659 Long DEUTSCHE TELEKOM AG 15/11/2021 54,299.56 -420.79 EUR 50,000 Long E.ON AG 15/11/2021 444,200.00 -9,000.00 EUR 123,103 Short EDF SA 15/11/2021 1,538,787.50 48,625.69 EUR 40,311 Short EDP-ENERGIAS 15/11/2021 191,356.32 16,487.20 EUR 3,864 Short EIFFAGE 15/11/2021 312,365.76 -6,955.20 EUR 100,000 Short ELIOR SCA 15/11/2021 558,000.00 -6,000.00 EUR 44,944 Short FAURECIA 15/11/2021 1,844,052.32 39,550.72 EUR 30,000 Long FORTUM CORP 15/11/2021 566,400.00 -24,600.00 EUR 55,631 Short GDF SUEZ SA 15/11/2021 691,493.33 5,006.79 EUR 120,707 Short GROUPE EUROTUNNEL SA 15/11/2021 1,809,317.29 70,372.03 EUR 50,000 Short KONINKLIJKE KPN NV 15/11/2021 120,250.00 4,100.00 EUR 2,000 Long LVMH MOET HENNESSY LOUIS 15/11/2021 1,014,400.00 -7,400.00 EUR 32,207 Short QIAGEN REGISTERED 15/11/2021 1,347,218.81 19,968.34 EUR 10,723 Long RELX PLC 15/11/2021 209,902.73 -4,878.97 EUR 20,000 Short RWE AG 15/11/2021 665,800.00 25,600.00 EUR 10,000 Short SCOR SE ACT PROV REGROUP 15/11/2021 276,200.00 -12,000.00 EUR 221,905 Short SPIE SA 15/11/2021 3,821,204.10 130,923.95 EUR 111 Long SYMRISE AG 15/11/2021 11,505.15 -527.25 EUR 5,337 Long TECHNIPFMC LIMITED 15/11/2021 42,610.61 1,344.92 EUR 871 Long TUI AG 15/11/2021 4,006.60 -510.41 EUR 40,000 Short UNIPER 15/11/2021 1,112,000.00 17,600.00 EUR 40,000 Long VEOLIA ENVIRONNEMENT SA 15/11/2021 775,000.00 -25,400.00 EUR 684 Short VINCI SA 15/11/2021 58,454.64 -2,804.40 EUR 15,744 Short WORLDLINE SA 15/11/2021 1,190,561.28 54,789.12 TOTAL 416,647.69

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 800,000 Short GROUP 4 SECURICOR 15/11/2021 2,040,000.00 -10,725.06 GBP 174,451 Long ROLLS ROYCE HOLDINGS 15/11/2021 201,142.00 7,893.27 GBP 518,102 Short RSA INSURANCE GROUP PLC 15/11/2021 3,505,478.13 4,630.56 GBP 26,000 Short VOD 1.2 20210312 15/11/2021 2,720,536.00 -110,590.77 GBP 16,000 Short VOD 1.5% MAR 2022 ORA 15/11/2021 1,684,976.00 -60,346.33 GBP 1,797,506 Long VODAFONE 15/11/2021 2,336,757.80 181,939.50 TOTAL 12,801.17

The counterparty of the contracts is Natixis Paris. As at December 31, 2020, the unrealised net appreciation on contract for difference for this counterparty amounted to EUR 441,719.75.

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Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) CHF 5,815 Long DUFRY GROUP 15/04/2021 300,402.90 -21,076.05 CHF 84 Long SGS SA REG SHS 15/04/2021 444,560.49 -4,985.89 CHF 32,730 Long SIKA - REGISTERE 15/04/2021 7,495,170.00 -387,355.19 CHF 62,000 Short SIKA 3.75% JAN 2022 MANDO 15/04/2021 10,832,031.16 597,810.59 TOTAL 184,393.46

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) DKK 25 Short A.P. MOELLER-MAERSK -B- 15/04/2021 342,625.00 -369.45 DKK 9,952 Short DONG ENERGY A/S 15/04/2021 10,598,880.00 238,657.07 DKK 2,372 Short PANDORA 15/04/2021 1,446,920.00 22,625.53 DKK 810 Short ROYAL UNIBREW A/S 15/04/2021 549,828.00 3,025.21 TOTAL 263,938.35

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 2,979 Long AENA 15/04/2021 555,918.28 -11,155.48 EUR 10,000 Short AEROPORTS DE PARIS 15/04/2021 1,060,000.00 1,000.00 EUR 40,669 Long AIR FRANCE - KLM SA 15/04/2021 228,029.91 -7,190.75 EUR 56,206 Short AKZO NOBEL 15/04/2021 4,870,811.96 67,447.20 EUR 7,856 Long ALLIANZ SE REG SHS 15/04/2021 1,516,208.00 60,491.20 EUR -7,856 Short ALLIANZ SE REG SHS 15/04/2021 1,522,807.04 -53,892.16 EUR 14,924 Short ALSTOM SA 15/04/2021 684,563.88 11,043.76 EUR 29,976 Short APPLUS SERVICES S.A. 15/04/2021 255,395.52 14,988.00 EUR 6,043 Short BANCA POPOLARE DI SONDRIO 15/04/2021 26,970.10 -296.33 EUR 5,000 Long BASF 15/04/2021 2,241,700.00 25,100.00 EUR 8,220 Short BNP PARIBAS SA 15/04/2021 371,831.70 -17,508.60 EUR 8,914 Short CASINO GUICHARD PERRACHON SA 15/04/2021 241,510.56 -1,067.14 EUR 131,533 Short CIE DE SAINT-GOBAIN SA 15/04/2021 5,104,795.73 -172,308.23 EUR 18,000 Long CONTINENTAL AG 15/04/2021 2,037,600.00 -144,900.00 EUR 2,015 Short DASSAULT AVIATION SA 15/04/2021 1,826,597.50 -19,142.50 EUR 15,494 Long DEUTSCHE LUFTHANSA AG 15/04/2021 162,340.47 -15,992.78 EUR 25,000 Long DEUTSCHE TELEKOM AG 15/04/2021 371,000.00 -2,875.00 EUR 93,857 Long E.ON AG 15/04/2021 833,825.59 -16,894.26 EUR 150,000 Short EDF SA 15/04/2021 1,875,000.00 59,250.00 EUR 241,096 Short EDP-ENERGIAS 15/04/2021 1,144,482.71 98,608.26 EUR 1,385 Short ELIOR SCA 15/04/2021 7,728.30 -83.10 EUR 58,828 Short FAURECIA 15/04/2021 2,413,712.84 51,768.64 EUR 40,000 Long FORTUM CORP 15/04/2021 755,200.00 -32,800.00 EUR 13,503 Long FUGRO NV - BEARE 15/04/2021 209,138.60 -102,626.40 EUR 27,007 Long FUGRO NV -CERT OF SHS 15/04/2021 0.27 205,252.93 EUR -27,007 Short FUGRO NV -CERT OF SHS 15/04/2021 104,571.10 -100,682.10 EUR 245,000 Short GDF SUEZ SA 15/04/2021 3,045,350.00 22,050.00 EUR 67,204 Short GROUPE EUROTUNNEL SA 15/04/2021 914,646.44 38,306.28 EUR 27,213 Long IBERDROLA S A 15/04/2021 305,193.80 -13,198.31 EUR 1,295,233 Short KONINKLIJKE KPN NV 15/04/2021 3,115,035.37 106,209.11 EUR 3,000 Long LVMH MOET HENNESSY LOUIS 15/04/2021 1,521,600.00 -11,100.00 EUR 39,028 Short MOBISTAR SA 15/04/2021 850,810.40 0.00 EUR 312,002 Long PEUGEOT SA 15/04/2021 6,729,883.14 -249,601.60 EUR 36,183 Short QIAGEN REGISTERED 15/04/2021 3,664,667.29 46,510.35 EUR 24,828 Long RELX PLC 15/04/2021 486,008.10 -11,296.74 EUR 40,000 Short RWE AG 15/04/2021 1,331,600.00 51,200.00 EUR 15,350 Short SANOFI 15/04/2021 1,170,130.50 37,914.50 EUR 62,592 Short SCOR SE 15/04/2021 1,728,791.04 -75,110.40

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Boussard & Gavaudan SICAV

CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 50,000 Short SPIE SA 15/04/2021 861,000.00 29,500.00 EUR 50,000 Short SUEZ ENVIRONNEMENT COMPA 15/04/2021 794,250.00 16,750.00 EUR 287 Long TUI AG 15/04/2021 1,320.20 -168.18 EUR 40,000 Short UNIPER 15/04/2021 1,112,000.00 17,600.00 EUR 25,000 Long VALEO SA 15/04/2021 798,250.00 -8,750.00 EUR 40,000 Long VEOLIA ENVIRONNEMENT SA 15/04/2021 775,000.00 -25,400.00 EUR 33,946 Short VINCI SA 15/04/2021 2,901,025.16 -139,178.60 EUR 77,105 Short VIVENDI SA 15/04/2021 1,972,345.90 61,684.00 EUR 40,572 Short WORLDLINE SA 15/04/2021 3,068,054.64 141,190.56 TOTAL -69,353.86

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 26,030 Short CRODA INTL 15/04/2021 1,633,642.80 93,057.76 GBP 20,000 Long GLAXOSMITHKLINE PLC 15/04/2021 271,600.00 3,575.02 GBP 1,741,714 Short GROUP 4 SECURICOR 15/04/2021 4,441,370.70 -23,349.98 GBP 327 Long INTERTEK GROUP P 15/04/2021 212,750.03 -845.26 GBP 35,348 Short PETROPAVLOVSK PLC 15/04/2021 10,957.88 592.36 GBP 450,000 Short PLAYTECH 15/04/2021 1,799,100.00 7,541.06 GBP 1,361,248 Short RSA INSURANCE GROUP PLC 15/04/2021 9,210,203.97 12,166.22 GBP 26,000 Short VOD 1.2 20210312 15/04/2021 2,728,769.42 -119,789.10 GBP 16,000 Short VOD 1.5% MAR 2022 ORA 15/04/2021 1,691,309.28 -67,421.83 GBP 1,706,746 Long VODAFONE GR GBP 15/04/2021 2,218,769.80 172,752.97 TOTAL 78,279.22

Unrealised Notional Long/ appreciation/ Currency Quantity Description Maturity (local Short depreciation currency) (EUR) SEK 42,630 Long CFD SAMHALLSBYGG 15/04/2021 1,200,460.80 -2,121.21 TOTAL -2,121.21

The counterparty of the contracts is Société Générale Paris. As at December 31, 2020, the unrealised net appreciation on contract for difference for this counterparty amounted to EUR 455,135.96.

As at December 31, 2020, the unrealised net appreciation on contract for difference for the sub-fund Boussard & Gavaudan Absolute Return amounted to EUR 5,523,759.16.

Boussard & Gavaudan Equity Quantitative Trading Unrealised Notional Long/ appreciation/ Currency Quantity Description Maturity (local Short depreciation currency) (EUR) DKK 2,758 Short PANDORA 15/01/2021 1,682,380.00 26,307.42 DKK 456 Short ROCKWOOL INT 15/01/2021 979,488.00 7,964.05 DKK 1,200 Short VESTAS WIND SYSTEMS AS 15/01/2021 1,545,600.00 24,424.16 TOTAL 58,695.63

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Boussard & Gavaudan SICAV

CONTRACTS FOR DIFFERENCE (continued)

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) EUR 2,140 Short EUROFINS SCIENT 15/01/2021 141,882.00 4,986.20 EUR 187 Short HERMES INTERNATIONAL SA 15/01/2021 159,623.20 4,862.00 EUR 744 Short ILIAD SA 15/01/2021 126,628.80 -1,562.40 EUR 2,000 Short KINGSPAN GROUP PLC 15/01/2021 137,000.00 -21,600.00 EUR 4,500 Short LA FRANCAISE DES JEUX 15/01/2021 159,165.00 9,180.00 EUR 315 Short LVMH MOET HENNESSY LOUIS 15/01/2021 159,768.00 1,165.50 EUR 2,634 Short NEXANS SA 15/01/2021 151,059.90 5,004.60 EUR 815 Short REMY COINTREAU 15/01/2021 120,049.50 4,075.00 EUR 546 Short SARTORIUS STEDIM BIOTECH 15/01/2021 156,483.60 2,511.60 EUR 2,100 Short SCHNEIDER ELECTRIC SA 15/01/2021 243,810.00 4,620.00 EUR 1,160 Short SOITEC SA 15/01/2021 180,032.00 4,756.00 EUR 9,650 Short SUEZ ENVIRONNEMENT COMPA 15/01/2021 153,290.25 3,232.75 EUR 746 Short TELEPERFORMANCE SA 15/01/2021 199,704.20 2,685.60 EUR 2,000 Short UBISOFT ENTERTAINMENT 15/01/2021 149,960.00 7,720.00 TOTAL 31,636.85

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) GBP 4,625 Short ADMIRAL GROUP PLC 15/01/2021 131,905.00 2,790.19 GBP 4,400 Short ASHTEAD GROUP 15/01/2021 147,004.00 4,768.18 GBP 26,923 Short B M EUROPEAN VALUE RETAIL 15/01/2021 137,684.22 1,443.75 GBP 2,050 Short CRODA INTL 15/01/2021 128,658.00 7,328.79 GBP 50,000 Short FERREXPO 15/01/2021 141,000.00 335.16 GBP 4,349 Short HIKMA PHARMACEUT 15/01/2021 106,376.54 3,498.25 GBP 5,444 Short KEYWORDS 15/01/2021 139,584.16 18,002.73 GBP 5,898 Short OCADO GROUP PLC 15/01/2021 131,643.36 3,624.06 GBP 1,183 Short PADDY POWER BETFAIR 15/01/2021 179,047.05 -330.41 GBP 8,686 Short PLUS500 LTD 15/01/2021 120,431.39 6,162.00 GBP 1,966 Short RENISHAW PLC 15/01/2021 112,750.10 549.10 GBP 42,000 Short ROYAL MAIL 15/01/2021 144,987.49 -3,523.05 GBP 1,200 Short SPIRAX-SARCO ENGIN 15/01/2021 136,500.00 -1,072.51 TOTAL 43,576.25

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) NOK 4,097 Short SCHIBSTED -A- XO 15/01/2021 1,411,416.50 8,525.64 TOTAL 8,525.64

Unrealised Long/ Notional appreciation/ Currency Quantity Description Maturity Short (local currency) depreciation (EUR) SEK 68,332 Short CFD SAMHALLSBYGG 15/01/2021 1,924,229.12 3,400.11 TOTAL 3,400.11

The counterparty of the contracts is BNP Paribas London Branch. As at December 31, 2020, the unrealised net appreciation on contract for difference amounted to EUR 145,834.47.

As at December 31, 2020, the unrealised net appreciation of contracts for difference for the Sub-Fund Boussard & Gavaudan Equity Quantitative Trading amounted to EUR 145,834.47.

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Boussard & Gavaudan SICAV

INTERESTS RATE SWAPS

The sub-fund Boussard & Gavaudan Absolute Return has entered into swap agreements whereby it exchanges fixed income (product of the notional amount and the fixed rate) for variable income (product of the notional amount and the variable rate) and vice versa. These amounts are calculated and received each time the Net Asset Value is calculated. (Please refer to the Note 10 for detailed collateral information).

As at December 31, 2020, outstanding interests rate swaps contracts were as follows:

Unrealised Appreciation/ depreciation Notional Currency Maturity Counterparty Sub-fund pays Sub-fund receives (EUR) 8,400,000 EUR 18/12/2040 Credit Suisse Securities (International) 0.20 EUR EURIBOR 6 MONTHS 62,261.67 12,000,000 USD 18/12/2040 Credit Suisse Securities (International) USD LIBOR 3 MONTHS 1.70 -53,925.25

As at December 31, 2020, the unrealised net depreciation on interests rate swaps amounted to EUR 8,336.42.

VOLATILITY SWAPS

The sub-fund Boussard & Gavaudan Absolute Return concluded volatility swaps in which one party pays to the other the difference between the realised volatility and the volatility strike or pre-determined fixed volatility level on the cash settlement payment date. (Please refer to the Note 10 for detailed collateral information).

As at December 31, 2020, outstanding volatility swaps contracts were as follows:

Unrealised Sub-fund Sub-fund Volatility Appreciation/ Notional Currency Maturity Counterparty pays received Strike Price depreciation (EUR) 52,500 USD 15/01/2021 UBS London S&P 500 Volatility* 15.60 99,410.27 39,000 USD 15/01/2021 Société Générale Paris S&P 500 Volatility* 16.23 110,272.71

As at December 31, 2020, the unrealised net appreciation on volatility swaps amounted to EUR 209,682.97.

* Volatility on equity basket

Page 70

Boussard & Gavaudan SICAV Other notes to the financial statements

71Page Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020

1. ORGANISATION

Boussard & Gavaudan SICAV (the “Company”) is an investment company organised as a société anonyme, incorporated on September 17, 2014 under the laws of the Grand-Duchy of Luxembourg and is qualified as a Société d’Investissement à Capital Variable (SICAV) subject to Part I of the modified law of December 17, 2010 on undertakings for collective investment. The Company is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B190584 and is established at 5, allée Scheffer, L-2520 Luxembourg.

Boussard & Gavaudan Asset Management LP, incorporated as a limited partnership under the laws of England and Wales and registered with the Company House of Cardiff under the number LP8216, has been designated to serve as Management Company of the Company in accordance with the provisions of the UCI Law.

As at December 31, 2020, the following sub-funds (the “sub-funds”) are active:

Sub-funds Currency Boussard & Gavaudan Absolute Return EUR Boussard & Gavaudan Convertible EUR BG Long Term Value EUR Boussard & Gavaudan Equity Quantitative Trading EUR

The Company may issue different Classes of Shares as determined by the Board of Directors, which may differ in their specific sales or redemptions charge structure, fee structure, minimum investment amount, taxation, distribution policy and other any features.

The following Classes of Shares are available at the date of the report: Classes Z, R and R1 Shares are open to all type of investors (retail and institutional). Class I Shares are reserved to institutional investors. Class D Shares are reserved for subscriptions by funds or accounts managed, advised or sub-advised by the Management Company or any affiliated manager. Class P and P1 Shares are open to all type of professional investors (with the meaning of Annex II of MIFiD). Class S Shares are available, at the discretion of the Management Company, to the staff and other connected parties of the Investment Manager, the Management Company and their affiliates.

The Company may also issue currency hedged Classes of Shares with respect to which the Management Company seeks to hedge the exposure of a sub-fund’s portfolio to currencies other than the reference currency of the relevant sub-fund.

For the sub-fund BG Long Term Value, the Class R Shares are reserved to retail investors only. For the sub-funds Boussard & Gavaudan Absolute Return and Boussard & Gavaudan Equity Quantitative Trading, the Class I Shares are reserved to all investors.

Page 72 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Presentation of the financial statements

The Company’s financial statements are prepared in accordance with the Luxembourg regulations relating to Undertakings for Collective Investment in Transferable Securities under the modified law of December 17, 2010 (“UCITS V”). a) Securities portfolio

The value of securities or financial instruments listed or dealt in on a regulated market or on any other regulated market are valued at their latest available prices, or, in the event that there should be several such markets, on the basis of their latest available prices on the main market for the relevant asset.

In the event that the assets are not listed or dealt in on a regulated market or on any other regulated market or if, in the opinion of the Board of Directors, the latest available price does not truly reflect the fair market value of the relevant asset, the value of such asset is defined based on the reasonably foreseeable sales proceeds determined prudently and in good faith by the Board of Directors or their delegate using valuation principles which can be examined by the auditor of the Company.

All investments with a known short term maturity date are valued by using the amortised cost method. This involves valuing an investment at its cost and thereafter assuming a constant amortisation to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the investments. Any discount or premium is recognised in the “Net interest on bonds” in the Statement of operations and changes in net assets.

Units or shares issued by open-ended investment funds are valued at their last available net asset value. Feeder UCITS investments into Master UCITS are valued at the latest available net asset value as published by the Master UCITS. b) Conversion of items expressed in foreign currencies

The Company’s financial statements are expressed in EUR.

Transactions and acquisition costs denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force on the date of the transaction or acquisition. Assets and liabilities denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force at the end of the financial year. Any resulting gains or losses are recognised in the Statement of operations and changes in net assets.

As at December 31, 2020, the exchange rates used were the following:

1 EUR = 1.5856 AUD 1 EUR = 10.476 NOK 1 EUR = 1.5588 CAD 1 EUR = 1.6994 NZD 1 EUR = 1.08155 CHF 1 EUR = 4.55895 PLN 1 EUR = 7.44345 DKK 1 EUR = 90.49915 RUB 1 EUR = 0.8951 GBP 1 EUR = 10.0485 SEK 1 EUR = 9.48725 HKD 1 EUR = 1.22355 USD 1 EUR = 126.32545 JPY 1 EUR = 17.97245 ZAR 1 EUR = 24.37985 MXN

Page 73 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

c) Dividend and Interest income

Dividend income is accounted for on an ex-dividend basis, net of withholding tax. Interest income is recognised on an accrual basis. d) Distribution of costs and expenses

Specific costs or expenses are charged to each sub-fund. Non-specific costs and expenses are usually distributed between the sub-funds in proportion to their respective net assets. e) Formation expenses

Set-up costs and expenses are charged pro rata to the net assets of each sub-fund and are written of over a period of five year. f) Financial futures

Open financial futures contracts are valued at their last known price on the valuation date or on the closing date. The unrealised appreciation or depreciation on financial futures is disclosed in the financial statements. Related deposit margins/margin calls are included under “cash at broker” in the Statement of net assets. g) Forward foreign exchange contracts

Outstanding forward foreign exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. The unrealised appreciation or depreciation is disclosed in the financial statements. h) Options

Options traded on a regulated market are valued at their last known price on the valuation date or on the closing date

OTC options are marked to market based upon prices obtained from third party pricing agents. i) Valuation of credit default swaps

A credit default swap is a credit derivative bilateral agreement in which one counterparty (the protection buyer) pays a periodic fee to the other party (the protection seller) for the specified life of the contract in return for a contingent payment by the protection seller upon occurrence of a credit event on any referenced issuers. If such an event occurs, the protection seller will then make payment to the buyer and the swap will terminate. In certain cases, the protection seller may take possession of the underlying securities.

Credit default swaps are marked to market at each net asset value calculation date. The market value is based on the valuation elements laid down in the contracts and is obtained from third party pricing agents, market makers or internal models.

Page 74 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) j) Valuation of contracts for difference

A contract for difference is a bilateral contract essentially between the client (the “buyer”) and his counterparty (the “seller”), whereby the buyer will receive or pay the difference between the current value of a determined underlying asset and its value at the entry in the agreement (at each reset), according if its value is positive or negative.

Contracts for difference are marked to market at each net asset value calculation date and the valuation follows the valuation of the underlying asset of each contract.

The unrealised appreciation or depreciation and the receivable or payable amount from realised are disclosed in the Statement of net assets under “Unrealised net appreciation/depreciation on swaps” and “Receivable/Payable on swaps”. Realised profits/losses and changes in unrealised appreciation /depreciation as a result thereof are included in the Statement of operations and changes in net assets respectively under “Net realised profit/loss on swaps” and “Movement in net unrealised appreciation/depreciation on swaps”. k) Valuation of volatility swaps

A volatility swap is a forward contract with a payoff based on the realised volatility of the underlying asset. Volatility swaps settle in cash based on the difference between the realised volatility and the volatility strike or pre-determined fixed volatility level.

An interest rate swap (“IRS”) is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interest payments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged. IRS are valued based on models. Interest rate swaps are marked to market at each net asset value calculation date and the valuation follows the valuation of the underlying asset of each contract.

The transactions fees, i.e. fees charged by the brokers and the Depositary for securities transactions and similar transactions are recorded separately in the Statement of operations and changes in net assets under “Transaction fees”. n) Abbreviation used on the financial statements

XX: Perpetual Bonds FL.R: Floating Rate Bonds Q: Quarterly S: Semi-Annual CV: Convertible Bonds ZCP/U : Zero Coupon Bonds A: Annual M:Monthly Example of maturity date: 17-27 15/09A = from September 15, 2017 to September 15, 2027 with an annual Coupon payment.

Page 75 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) o) Securities lending

The Company may lend securities included in its portfolio to a borrower. To guarantee this transaction, the Company receives a collateral. Securities lending attracts remuneration for the Company according to the contracts and is accounted for in the Statement of operations and changes in net assets under “Securities lending income”.

Securities lending are delivered to a third party broker, the assets of which continue to be valued as part of the portfolio of the Company (Note 9).

3. DETERMINATION OF NET ASSET VALUE PER SHARE

The net asset value per Share of each Class of Shares in each sub-fund is determined by dividing the value of the total net assets of that sub-fund properly allocated to such Class by the total number of Shares of such Class outstanding on such valuation day (“Valuation Day”), as defined in the prospectus of the Company.

4. TAXATION

The Company is registered in Luxembourg and as a result, is exempt from tax except for the “taxe d'abonnement”. Under current legislation, Classes of Shares reserved to institutional investors are subject to a tax rate of 0.01% and those reserved to retail investors are subject to a tax rate of 0.05%. The tax is calculated and payable quarterly on the net assets of the Company at the end of the relevant quarter.

The value of assets represented by investments in other Luxembourg UCIs which have already been subject to the “taxe d’abonnement” is exempt.

5. MANAGEMENT FEES AND PERFORMANCE FEES

The Company pays for the various sub-funds and by Class of Shares a management fee (the “Management Fee”) to the Management Company calculated and accrued on each Valuation Day as a percentage of the net assets attributable to the relevant Class of Shares and payable quarterly in arrears.

In addition to the Management Fee, the Management Company is entitled to receive a performance fee (the “Performance Fee”) accrued daily and payable annually in arrears.

Boussard & Gavaudan Absolute Return Class I Class R1 Class Z Class S Class R Class P Class P1 Shares Shares Shares Shares Shares Shares Shares Management Fee 1.15% 2.50%* 1.00% 0.50% 2.00% 1.00% 1.50%* Performance Fee 10.00% 15.00%* 10.00% N/A 15.00% 15.00% 15.00%*

Boussard & Gavaudan Convertible Class I Class I Class P Class S Class R Shares Shares Shares Shares Shares (EUR) Management Fee 0.80% 0.4% 0.80% 0.50% 1.60% Performance Fee N/A NA N/A N/A N/A

BG Long Term Value** Class I1 Class I Class P Class R Class S Shares Shares Shares Shares Shares Management Fee 0.80%* 1.00% 1.00% 2.00% 0.50% Performance Fee 15.00%* 15.00% 15.00% 15.00% N/A

Page 76 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

5. MANAGEMENT FEES AND PERFORMANCE FEES (continued)

Boussard & Gavaudan Equity Quantitative Trading Class I Class D Shares Shares Management Fee 0.75% 0.00%* Performance Fee N/A N/A * Class of Shares not active during the year ** No management fee is applied at the level of the Master UCITS in order to avoid any risks of duplication of fees

Calculation basis: High Watermark principle, i.e. the difference, if positive, between the net asset value per Boussard & Gavaudan Share computed on the last Valuation Day of the relevant financial year and the highest Absolute Return year-end net asset value per Share achieved by the sub-fund. Sub-fund’s outperformance compared to the best performance between zero, the sub-fund’s BG Long Term Value benchmark, the Dow Jones Eurostoxx 50 total return, and the Stoxx 600 total return.

In the event that a shareholder redeems prior to the end of the performance period, any accrued but unpaid Performance Fee relating to those shares shall be paid to the Management Company.

6. DEPOSITARY AND ADMINISTRATION FEES

The Depositary and the Central Administration are paid by the Company in accordance with usual market practice. These fees are calculated on the basis of the daily net assets of the sub-funds and payable monthly in arrears.

7. MASTER-FEEDER STRUCTURE

The sub-fund BG Long Term Value (the “Feeder UCITS”) is a feeder sub-fund following Art.77 of the modified law of 2010. It invests at least 85% of its net assets in units of BG Long Term Value (the “Master UCITS”). The Master UCITS is a Fonds Commun de Placement (Mutual Investment Fund) established under the laws of France and authorised by the French Autorités des Marchés Financiers as a UCITS and managed by Boussard & Gavaudan Gestion S.A.S., its Management Company.

The Feeder UCITS is investing in the F Class of Shares of the Master UCITS. As at December 31, 2020, the percentage of ownership (in terms of net assets) is 100.13%.

The Master UCITS’ focus is on equities of European Union countries. The Master UCITS aims to outperform the Dow Jones Eurostoxx 50 (total return) over a recommended investment horizon of five years.

As at December 31, 2020, the total fees of the Feeder UCITS are as follows:

Feeder UCITS Total fees in EUR BG Long Term Value 276,388.68

No management fee is applied at the level of the Master UCITS in order to avoid any risks of duplication of fees. Any another fees are applied at the level of the Master UCITS.

The Master UCITS’ prospectus, latest annual and semi-annual reports are available upon request at the registered office of the Company.

8. CHANGES IN PORTFOLIO COMPOSITION

The details of the changes in portfolio composition for the year ended December 31, 2020 are at the disposal of the shareholders at the registered office of the Company and are available upon request free of charge.

Page 77 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

9. SECURITIES LENDING

During the year, the Company participated in a securities lending program concerning the sub-fund Boussard & Gavaudan Convertible.

As at December 31, 2020, the sub-fund Boussard & Gavaudan Convertible has securities lent:

Market value of Collateral Collateral % of Collateral securities lent securities cash received 1,335,687.19 - 1,401,224.00 104.91%

For the year ended December 31, 2020, the net amount of securities lending income generated by the Company is disclosed in the Statement of operations and changes in net assets in the caption “Securities lending income” and the direct-indirect costs and fees are detailed below:

Total gross amount of Direct-indirect costs and fees Total net amount of Name of sub-fund securities lending income deducted from gross securities securities lending in EUR lending income in EUR income in EUR Boussard & Gavaudan Convertible 15,576.33 2,336.45 13,239.88

The counterparty of securities lending agreements are CACEIS Bank Luxembourg Branch.

10. COLLATERAL

As at December 31, 2020, the collateral received or paid which is composed of margin deposits for financial futures and options and collateral held or paid in order to reduce exposure on OTC derivatives is detailed as follows: Collateral Sub-fund Type of Collateral Cleared Name of sub-funds Counterparty received in currency collateral paid in EUR /OTC EUR BNP Paribas London Cash - 6,100,000.00 OTC CACEIS Bank, Luxembourg Branch Cash - 9,924,256.43* Cleared Credit Suisse International Cash 3,800,000.00 - OTC Credit Suisse Securities (Europe) Cash - 150,000.00 OTC Credit Suisse Madrid Cash 94,706,607.56 113,319,855.61 Cleared Goldman Sachs International Finance Cash - 380,000.00 Boussard & OTC Gavaudan Absolute EUR HSBC Bank International Cash - 750,000.00 OTC Return JP Morgan Securities Cash - 3,800,000.00 OTC Merrill Lynch International Cash - 300,000.00 OTC Natixis Cash - 3,060,000.00 OTC Société Générale Paris Cash - 8,600,000.00 OTC State Street Bank International GMBH Cash - 10,000.00 OTC UBS London Branch Cash - 200,000.00 OTC Credit Suisse Madrid Cash 527,995.64 857,521.52 Boussard & Cleared Gavaudan EUR Credit Suisse Madrid Cash - 300,000.00 OTC Convertible JP Morgan Securities Cash - 300,000.00 OTC Boussard & Gavaudan Equity EUR Credit Suisse Madrid Cash - 2,158,980.43 Cleared Quantitative Trading *These amounts refer to a Pledge account between Credit Suisse International London and Boussard & Gavaudan but held at CACEIS Bank, Luxembourg Branch.

The cash accounts with collateral are combined in the Statement of net assets as there is not only collateral but excess cash too.

Page 78 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

11. OTHER EXPENSES

The detail of the caption “Other expenses” of the sub-funds is the following:

Boussard & Gavaudan Absolute Return Publication fees: 1,047.00 EUR Directors fees: 25,000.00 EUR Compliance fees: 8,400.00 EUR Insurance fees: 12,091.10 EUR Consultants fees: 20,418.51 EUR Other operating fees: 37,214.54 EUR Miscellaneous: 74,030.26 EUR Total 178,201.41 EUR

Boussard & Gavaudan Convertible Publication fees: 1,047.00 EUR Directors fees: 5,000.00 EUR Compliance fees: 8,400.00 EUR Insurance fees: 912.68 EUR Consultants fees: 1,213.86 EUR Other operating fees: 6,934.11 EUR Miscellaneous: 3,106.99 EUR Total 26,614.64 EUR

BG Long Term Value Publication fees: 1,047.00 EUR Directors fees: 5,000.00 EUR Insurance fees 3,536.32 EUR Consultants fees: 1,620.28 EUR Other operating fees: 5,466.95 EUR Miscellaneous: 11,822.22 EUR Total 28,492.77 EUR

Boussard & Gavaudan Equity Quantitative Trading Publication fees: 1,047.00 EUR Directors fees: 5,000.00 EUR Compliance fees: 8,400.00 EUR Insurance fees: 500.00 EUR Consultants fees: 847.39 EUR Other operating fees: 1,698.89 EUR Miscellaneous: 2,183.35 EUR Total 19,676.63 EUR

Page 79 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

12. TER

Boussard & Gavaudan Absolute Return TER in % Z Class EUR 1.58 Ratio of performance fee (in % of average net assets) 0.33 Z Class USD 2.02 Ratio of performance fee (in % of average net assets) 0.80 Z Class GBP 1.72 Ratio of performance fee (in % of average net assets) 0.48 S Class EUR 0.76 R Class EUR 2.33 Ratio of performance fee (in % of average net assets) 0.10 R Class USD 3.26 Ratio of performance fee (in % of average net assets) 1.02 R Class GBP 2.58 Ratio of performance fee (in % of average net assets) 0.32 R Class CHF 3.04 I Class EUR 2.01 Ratio of performance fee (in % of average net assets) 0.64 I Class USD 1.84 Ratio of performance fee (in % of average net assets) 0.48 P Class EUR 1.58 Ratio of performance fee (in % of average net assets) 0.36

Boussard & Gavaudan Convertible I Class EUR 0.82 I Class USD 1.22 P Class EUR 1.26 S Class EUR 0.96 R Class EUR 2.05

BG Long Term Value I Class EUR 1.40 I Class GBP 1.83 R Class EUR 2.74 R Class GBP 2.86 S Class EUR 1.39 P Class EUR 1.56

Boussard & Gavaudan Equity Quantitative Trading I Class EUR 1.30

Page 80 Boussard & Gavaudan SICAV

Other notes to the financial statements as at December 31, 2020 (continued)

13. SWING ADJUSTMENT

If on any dealing day the aggregate transactions in units of all classes of a Fund result in a net increase or decrease of units which exceeds a threshold, the NAV of the relevant Fund may be adjusted by an amount which reflects the estimated dealing costs to be incurred by the Fund and the estimated bid/offer spread of the assets in which the Fund invests. Swing adjustment may be applied to the sub-fund Boussard & Gavaudan Absolute Return and, since December 16, 2020, to the sub-fund Boussard & Gavaudan Convertible. The swing price policy is described in the Chapter 12.7 Swing Pricing of the Prospectus.

During the year under review, a Swing Pricing was applied to the Net Asset Values of the Sub-Fund Boussard & Gavaudan Absolute Return.

As at December 31, 2020, no swing was applied. The Swing Factor will normally not exceed 2.5% of the net asset value of the Sub-Fund unless exceptional market conditions occur.

14. RESEARCH FEES

MiFID II Research Costs Following implementation of Directive 2014/65/EU of the European Parliament and of the Council, of May 15, 2014, on markets in financial instruments, “MiFID II”, Boussard & Gavaudan SICAV disclosed a budget for 2020 of EUR 354,641 without VAT. Due to a significant AUMs decrease mainly for Boussard & Gavaudan Absolute Return and BG Long Term Value, the amount paid was less than the budget disclosed in January 2020.

The details withtout VAT concerning the sub-funds of Boussard & Gavaudan SICAV are as follows: Boussard & Gavaudan Absolute Return: EUR 253,888.73 Boussard & Gavaudan Convertible: EUR 7,406.80 BG Long Term Value: EUR 5,339.47

Further information on research costs is available upon request.

15. STATUS OF THE LIQUIDATION OF CLOSED SUB-FUNDS

The Sub-Fund BG AI Long Short Equity has been liquidated as at July 1, 2019, its remaining cash balance as at 31 December 2020 amounted to EUR 22,291.62. This amount is not included in the combined financial statements as at 31 December 2020.

16. SUBSEQUENT EVENT

BREXIT Since the January 1, 2021, Boussard & Gavaudan Gestion S.A.S. has been appointed as Management Company for Boussard & Gavaudan SICAV.

COVID-19 The COVID-19 pandemic continues to have a significant impact on markets at both macro and micro levels. While the resolution of the crisis seems at hand, uncertainty remains high regarding the efficiency of the vaccine and the ability of the economy to recover. Increased volatility has created opportunities for the Investment Manager in 2020 but the pandemic and its consequences remain a major risk whose long term impacts on the Company cannot be predicted with any accuracy. From an organization standpoint, the Investment Manager has fully adapted to the sanitary crisis conditions and can operate at 100% regardless of the social restrictions imposed.

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Other notes to the financial statements as at December 31, 2020 (continued)

16. SUBSEQUENT EVENT (continued)

COVID-19 (continued) From a risk management standpoint, the Investment Manager continues to monitor all market risks and concentration with a particular attention to the emergence of new market factors such as ESG risks or non- conventional Central Bank policies. The next most significant risk is considered to be a significant systemic market event which cannot be anticipated in advance and is associated with geopolitical or other non- financial risk. COVID-19 falls into this latter category.

Environmental, Social and Governance The Investment Manager is committed to maintaining an investment approach that incorporates Environmental, Social, and Governance (“ESG”) factors as well as responsible investment considerations to best serve its client’s interests. The Investment Manager has decided to be part of the transition to a lower carbon global economy, as it considers climate change one of the key issues of the future, as well as a source of risks and opportunities.

The Investment Manager ESG strategy is built on three key pillars:

(1) Integration: The Investment Manager considers ESG as part of its investment decision making process, particularly where they are relevant to the specific investment thesis.

(2) Engagement: The Investment Manager seeks to obtain appropriate disclosure of ESG issues from investee companies. The Investment Manager engages with investee companies for which it has identified specific issues or concerns, including ESG, to obtain additional information and insight.

(3) Transparency: At portfolio level, The Investment Manager calculates exposure to a variety of ESG metrics to ensure that its funds are not overly exposed to ESG-related risks.

The last year has seen a significant acceleration in the adoption of ESG principles across the investment community, driven partly by increased awareness, regulation, and new investment mandates from asset owners along with growing requirements for increased transparency. Consequently, asset prices are increasingly affected by ESG considerations and the associated data and analysis is becoming more important on many levels. In this context, the Investment Manager has made solid progress on multiple fronts to continue to integrate ESG considerations in its investment processes, improve reporting and position the firm and its funds to best-serve investors for this historic period of transformation.

A report highlighting the detailed progresses made during 2020 is available to all investors on demand.

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Additional information (unaudited)

Global exposure calculation method

The commitment approach

The sub-funds BG Long Term Value, Boussard & Gavaudan Equity Quantitative Trading, use the commitment approach in order to monitor and measure the global exposure.

The global exposure of the sub-funds is calculated based on the commitment approach in accordance with the methodology described in the ESMA's guidelines 10-788.

The absolute VaR approach

The sub-funds Boussard & Gavaudan Absolute Return and Boussard & Gavaudan Convertible use the absolute Value at Risk (VaR) approach in order to monitor and measure the global exposure.

Boussard & Gavaudan Absolute Return: The limit is set at 20%.

The utilisation of the VaR limit during the financial year was as follows: - Lowest utilisation : -1.54% - Highest utilisation : -13.88% - Average utilisation : -6.08%

The VaR figures have been calculated based on the following input data: - Model used: Historical simulation - Confidence level: 99% - Holding period: 20 days - Length of data history: 1year

The average level of leverage calculated using the sum of notionals approach was 527.42%.

Boussard & Gavaudan Convertible: The limit is set at 20%.

The utilisation of the VaR limit during the financial year was as follows: - Lowest utilisation : -0.30% - Highest utilisation : -3.03% - Average utilisation : -2.08%

The VaR figures have been calculated based on the following input data: - Model used: Historical simulation - Confidence level: 99% - Holding period: 20 days - Length of data history: 1 year

The average level of leverage calculated using the sum of notionals approach was 89.40%.

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Additional information (unaudited) (continued)

SFTR (Securities Financing Transactions and of Reuse regulation)

SECURITIES LENDING Boussard & Gavaudan TRANSACTIONS Convertible Assets used In EUR In absolute terms 1,335,687.19 As a % of lendable assets 4.98% As a % of total net asset value 4.02%

Transactions classified according to In EUR residual maturities Less than 1 day - From 1 day to 1 week - From 1 week to 1 month 465,654.44 From 1 month to 3 months - From 3 months to 1 year -

Above 1 year - Open maturity 870,032.75

Collateral received Type: Cash 1,401,224.00

Quality -

Currency: EUR 1,401,224.00

Classification according to residual maturities: Less than 1 day - From 1 day to 1 week - From 1 week to 1 month - From 1 month to 3 months - From 3 months to 1 year - Above 1 year - Open maturity 1,401,224.00

The 10 largest issuers of collateral received First name CACEIS Bank, Luxembourg Branch Amount 1,401,224.00

Revenue and expenditure components In EUR Revenue component of the fund: In absolute amount 15,576.33 In % of gross revenue 85% Revenue component of the Management Company In absolute amount 0.00 In % of gross revenue 0% Revenue component of third parties In absolute amount 2,336.45 In % of gross revenue 15%

The sub-fund has CACEIS Bank, Luxembourg Branch S.A. as sole counterparty for securities lending positions and as depositary for collateral received. All transactions are bilateral transactions. Cash collateral is not reused. Page 84 Boussard & Gavaudan SICAV

Additional information (unaudited) (continued)

UCITS V

The Investment Manager Remuneration Policy is designed to support a pay for performance philosophy and reward eligible colleagues for both team and individual performance against specific goals in line with the needs of the business. All employees share in the responsibility for financial success and the growth of the business. The Remuneration Policy links individual objectives directly to the goals of the business. A participant’s actual incentive pay-out will be based on both funding results and business distribution approach. Incentive funding takes into consideration financial performance of a participant’s business as well as the Investment Manager overall financial performance. The Investment Manager has a pay for performance philosophy and expects differentiated rewards based on individual performance and contributions. Therefore, distribution of the funded incentive pool is intended to deliver differentiated incentives to the highest performers. Management discretion may be used in determining the funding and the final pay-out. An incentive pay-out is not an entitlement or guarantee, it is designed to enlist and encourage the right actions/behaviours, and reward based on results. All staff receive fixed remuneration in the form of basic pay to ensure that the fixed and variable components are appropriately balanced. The element of basic pay is sufficiently high to allow the operation of a fully flexible policy on variable remuneration including allowing no variable remuneration component being paid. The remuneration policy includes the following features: deferral over 3 years, awards in instruments, at least 50% in shares, retention of the shares for 6 months, and potential application of malus and clawback provisions.

Total remuneration paid to staff during the financial period ending 31 March 2020:

Fixed remuneration*: EUR 1,432,000 Variable remuneration*: EUR 1,518,604

Number of staff: 87 Aggregate remuneration of senior management*: EUR 998,709 Aggregate remuneration of employees whose actions have a material impact on the risk profile of the Funds managed by the Investment Manager*: EUR 1,463,420

The numbers cover the period from March 31, 2019 to March 31, 2020.

*Remuneration figures reflect an approximation of the portion of remuneration reasonably attributable to the Funds.

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