1. M&A activity and risk arbitrage
Quarterly report
Q1 2015
RISK ARB BY OFI
APRIL 2015
Follow us on twitter
@RiskArbOFI

2. TABLE OF CONTENTS
1. M&A activity
2. Termination rate
3. Average return at inception
4. Percent of deals trading above terms and market sentiment

3. M&A ACTIVITY IN VALUE
TITRE DE LA PRÉSENTATION 3
● North America: -1% Q1 2015 vs Q1 2014
● Europe: +44% Q1 2015 vs Q1 2014
Sources: OFI AM
NORTH AMERICA EUROPE
Sources: OFI AM
0
100
200
300
400
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
5500
EURbn
Deal value (quarterly - right axis) SX5E (left axis)
0
100
200
300
400
500
600
600
800
1000
1200
1400
1600
1800
2000
2200
USDbn
Deal value (quarterly - right axis) S&P 500 (left axis)

4. M&A ACTIVITY IN NUMBER OF DEALS
TITRE DE LA PRÉSENTATION 4
● North America: +100% Q1 2015 vs Q1 2014
● Europe: +67% Q1 2015 vs Q1 2014
Sources: OFI AM
NORTH AMERICA EUROPE
Sources: OFI AM
0
20
40
60
80
100
120
600
800
1000
1200
1400
1600
1800
2000
2200
Number of deals (quarterly - right axis) S&P 500 (left axis)
0
5
10
15
20
25
30
35
40
45
50
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
5500
Number of deals (quarterly - right axis) SX5E (left axis)

5. LAST 12 MONTH TERMINATION RATE
TITRE DE LA PRÉSENTATION 5
Sources: OFI AM Sources: OFI AM
NORTH AMERICA EUROPE
average
- 1σ
+ 1σ
0%
5%
10%
15%
20%
25%
average
- 1σ
+ 1σ
0%
5%
10%
15%
20%
25%

6. RISK ARBITRAGE SPREAD
TITRE DE LA PRÉSENTATION 6
Sources: OFI AM Sources: OFI AM
NORTH AMERICA EUROPE
- 1σ
+ 1σ
average
0%
5%
10%
15%
20%
25%
average
- 1σ
+ 1σ
0%
5%
10%
15%
20%
25%

7. PERCENTAGE OF M&A DEALS TRADING ABOVE
TERMS AND MARKET SENTIMENT
TITRE DE LA PRÉSENTATION 7
Sources: OFI AM Sources: OFI AM
NORTH AMERICA EUROPE
average
- 1σ
+ 1σ
0%
10%
20%
30%
40%
50%
60%
70%
Bull
Bear
average
- 1σ
+ 1σ
0%
10%
20%
30%
40%
50%
60%
70%
Bull
Bear

8. MAIN ASSUMPTIONS
● Data are extracted from our proprietary database MAGMA
● MAGMA features 2,200 M&A deals in North America and 1,400 in Europe over the
1998-2015 period
● Main assumptions
▪ Target is listed with an EV over $500m in North America and €300m in Europe
▪ Deals that cannot be arbitraged are eliminated: stock with poor liquidity, unclear bid details, bids for less
than 100% of the capital, etc.
● Definitions
▪ Termination rate: number of failed deals that generated loss for arbitrageurs / total number of deals
completed or failed. Calculations are made on a monthly basis using a 12 month rolling average.
▪ Risk arbitrage spread: annualised yield of the risk arb strategy less the risk-free rate at the time the deal
is announced. Calculations are made on a monthly basis using a 6 month rolling average.
▪ Percentage of deals trading above terms: number of deals with a negative risk arbitrage spread / total
number of announced deals. Calculations are made on a monthly basis using a 12 month rolling
average.
TITRE DE LA PRÉSENTATION 8