FIXED INCOME
High-quality credit in EUR hedged with CDS
Corporate & FinancialsA 5-10-year spread vs. Itrx Main (in bp)
120
▪ Raising credit quality of the portfolio to benefit from the cheapnessof higher rated credit
100
80
60
▪ MaintainCDS hedge to contain volatility of credit spreads moving wider and benefit from CDS/Cash basis
40
20
0
-20
▪ Position offers carry with low volatility
-40
-60
▪ Largest strategy in the credit book
-80
-100
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Corporate A 5-10y spread vs. Itrx Main
Financials A 5-10y spread vs. Itrx Main
Public
Source : Rothschild & Co Asset Management – 31/12/2024
113
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