- Added 8 new positions to the portfolio;
- To our surprise, CFIUS refused the acquisition of Moneygram by a Chinese financial company. The impact was only 20 bps during the month, although the total loss since the position was initiated in May is near 1.3%.
- Added 2 CAN converts issued in USD, plus 1 unit (equity & warrant);
- Portfolio remains delta neutral, with minor loss dueto the widening of credit spreads.
FIXED INCOME ARBITRAGE
- Positive performance with gains across all segments;
- Agency credit spreads slightly tighter, however provincial credit spreads widened on new supply;
- Decreased the risk budget slightly with our long credit DV01 just below 50%. Partial profit taking on the flattening of the US yield curve and the reversal of our CAN vs US positioning; we are now once again long CAN vs US.