- Anemic activity during this summer month when only 8 new interesting arbitrage situations arose.
- Added 3 new issues (2 CAN & 1 US), plus a deep in the money US convert as a portfolio hedge;
- Spreads widened slightly on the repricing in the health care sector and on Stornoway filing for CCAA;
- We are positioned about where we want to be for year end and have been buyers as credits cheapen from a tactical point of view.
FIXED INCOME ARBITRAGE
- Negative performance mostly on hedging activities and credit curve arbitrage;
- Slight credit spread narrowing despite uncertainties, credit demand remains strong in CAN & US;
- Maintaining a slightly positive “credit Dv01” and our position for a steepening of the CAN & US yield curve and long CAN vs US bonds.