- Added 6 new positions, all in sectors little impacted by the pandemic;
- One situation, Cineplex, is cancelled by the buyer and is now the subject of a lawsuit while the market was expecting a lower price offer, and another deal was delayed for 3 months.
- A positive month with convert valuations partially normalizing and on capital structure arbitrage which added 60bp and should continue to perform;
- We remain very cautious and reduce risk as markets seem unwilling to account for economic and geopolitical risk.
FIXED INCOME ARBITRAGE
- Positive performance across all vectors (credit, curve, CAN & US);
- Credit spreads still in compression, and stable demand. The CAN market generally remains cheaper vs US and offers a high return on capital (ROC) on an historical basis;
- Slight tactical increase, about half of our risk envelope is currently deployed. We still target 3 to 5 year agencies which now offer us a ROC greater than 10 %.