- Nervous M&A market following the cancellation of AKRX (impact of 40 bps) and the possibility that LITE’s offer price will be lowered;
- The high failure rate seen at the end of 2017 and the beginning of 2018 continues to affect the market and generate spreads at levels never seen before, which may result in some interesting opportunities in the coming months.
- Our delta estimate did not reflect the price jump for two securities, causing a mark to market loss and offsetting gains from carry and hedging;
- We expect to add new positions via the secondary market as sector and risk rotation continues.
FIXED INCOME ARBITRAGE
- Slightly negative performance. Credit spreads stable vs the end of last month, but with important fluctuations throughout the month;
- Some capital deployed in the 5-year segment on the pull-back in spreads and we closed our tactical short position;
- Maintaining our position for a flattening of the US yield curve and our long position CAN vs US, we now see a steepening of the CAN yield curve.