Capital Structure Arbitrage identifies relative mispricing and trading opportunities in liquid quoted securities issued by European companies.
The focus is on the valuations of listed debt, CBs and equity.
Strategies may be event driven, or based on relative mispricing.
The reports will identify long-short strategies in a range of scenarios including:
Between two or more lines of security from the same issuer
Debt vs debt
Strategies could be based on relative mis-pricing of bonds with different maturities (time spread) or of different seniorities
Credit default swaps
Buying, or selling, CDSs to go synthetically short, or long, the issuer’s credit
Convertible arbitrage
CBs hedged with either equity or debt
Equity vs debt
Market neutral strategies: long equity/short debt (long volatility /delta flat) or short equity/long debt (short volatility/delta flat)
Equity vs equity
Ordinary vs preferred shares
Ordinary vs warrants
Holding company arbitrage
Parent vs subsidiary
Market neutral strategies involving equity or debt instruments
Special situations
Distressed companies
Using equity to hedge default risk
Capital restructuring
Debt/equity swaps
The companies covered normally have an equity market cap in excess of €500 million. Liquidity and ability to hedge are important in the selection process.
Publications include initial coverage reports, updates, and weekly reports covering open strategies and trading recommendations.
Initial coverage reports include an analysis of the valuation of the target company’s equity and debt securities.
Publication of initial reports is driven by trading ideas, but we aim to add between 12 and 15 new situations to our active coverage each year.
