Unbiased Detailed Analysis of European Capital Structure
and Event-Driven Opportunities
The European Capital Structure Arbitrage Report identifies relative mispricing situations and trading opportunities in liquid quoted securities issued by European companies. The focus is primarily on the valuations of listed debt, convertible bonds, and equity, and the strategies may be event-driven, or based on mispricings within the capital structure of a given company.
The reports will identify strategies in a range of scenarios including:
- Relative mispricing between multiple lines of securities from the same issuer
- Debt vs Debt: Strategies based on relatively mispriced bonds with different maturities (time spread) or different seniorities
- Credit Default Swaps: Synthetic creation of long or short exposure via CDS
- Convertible Arbitrage: Convertible bonds hedged with equity or debt
- Equity vs Debt: Market Neutral Strategies
- Long equity/Short debt (long volatility/delta flat)
- 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 a valuation of the target company’s equity and debt securities. The frequency of initiation reports is driven by trading ideas, but the service aims to add between 12 and 15 new situations to active coverage each year.
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