Deephaven Capital Management, a U.S. fund manager with USD2.2 billion in assets, will enter both equity and credit derivative trades in its event arbitrage fund, launched this month. Matthew Halbower, portfolio manager in
Minnetonka, Minn., said the fund manager will buy and sell puts and calls to hedge its portfolio and to take positions. Deephaven will also use options to implement more sophisticated strategies, such as calendar spreads. This strategy involves buying and selling puts and calls with the same exercise price but different maturities in order to capture differences in the options' premiums.
It will also purchase and sell credit protection when the fund manager to take advantage of changes in companies' credit risk profiles.
The fund, which was launched April 1, already has USD250 million in commitments and likely will be capped at this amount, Halbower said. It will select counterparties for the over-the-counter trades from its relationship banks, which include all the major dealers. Price and liquidity will likely be the determining factors, he added.
