what's going on at CQS
reports that they are down >40% ytd. my impression was that they were a generally large and well-respected player in the structured credit and corporate credit spaces (among possibly other areas). curious if anyone knows or can guess what's going on / what strategies they're pursuing. are they predominantly long-only?
They sold volatility and got fucked. All good things (tightening credit spreads) eventually come to roost.
Not just short vol, but they were short credit tail risk on a short-dated basis through CDS bundles. A good chunk of their book was in illiquid structured credits, which all got killed, and they also missed much of the rebound in equities in April and May due to having to sell down their equity book to meet margin calls on their credit portfolios.
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