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FFH Hedge Gains


ok22
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Does anyone have an estimate of the dollar amount of Fairfax's hedge/short indices position and a sense for the level at which they are short?  Wondering what the positive impact of that is going to be and what % of Q2 portfolio losses are likely to be offset?

Thanks.

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They shorted the S&P around 1062 I believe so overall they're still down slightly maybe 10-15m, I don't know what the change is since last Q but they're probably up.

 

I don't know about that.  I thought they increased the amount hedged in the last little while.  Also, we bought out of the money S&P puts ahead of Fairfax and they are up close to 50%.  I would think they have made some money on their hedges.  Cheers!

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Prem did mention 1062 somewhere.  It would really surprise me if they hadn't added some more in late April.  Or alternatively, sold down some positions. 

 

Good move on your Puts Sanj. 

 

You are right. From Page 48 of AR

 

"At the inception of the short positions, the resulting equity hedge ($1.5 billion notional amount at an average

S&P 500 index value of 1,062.52) represented approximately one-quarter of the company’s equity and equity-related

holdings ($6,517.9). At December 31, 2009, as a result of decreased equity and equity-related holdings of $6,156.5

and increased short positions, the equity hedges had increased to approximately 30%."

 

Vinod

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