- A quiet summer month with only 6 new positions;
- No deal failures and many small positions in the portfolio closing.
- Gains on carry and dynamic return, partially offset by a M&A transaction that cost 50bps;
- We continue to pare down risk to leave room for opportunities; spreads stable to slightly tighter.
FIXED INCOME ARBITRAGE
- Negative performance on the general pullback in spreads and on widening of CAN vs US interest rate spreads at the end of the month. Commercial tensions prevented further spread narrowing;
- At the strategic level, caution always prevails and credit risk remains low on a historical basis. Little to no change on the tactical side, we maintain our long credit positioning and we maintain our position for a flattening of the CAN & US yield curve. We are now short CAN vs US bonds.