FFH's Remaining CDS Exposure

[Vizi1]

Given recent market conditions FFH might realize an “unexpected” windfall from its remaining CDS investments.

 

At Dec 31/09 FFH continued to hold $5.9 billion (out of a total $21.5 million) notional amount in CDSs. At that time, the unrealized loss on its CDS holdings was $43.2 million.

 

During the 1st quarter of 2010 FFH reported $7.9 million of net losses related to credit default swaps.

 

Given CDS spreads have widened considerably in recent weeks, any guesses on the level of gains that have accrued to FFH on its CDS’ since the end of March?

[rtgross]

Don't look for another big windfall from the CDS positions.  The portfolio is basically in run-off mode.  The next big windfall, if it occurs, is going to be the large position Fairfax appears to be building up in inflation swaps.  (pray that this windfall never occurs)

 

Nevertheless, these are some of the biggest CDS's that Fairfax currently has outstanding.  I no longer have access to Bloomberg so you will need to find someone else to look up the change in spreads from 3-31 through today.

 

I ignored all of the contacts expiring in June and Sept of this year.  These are the big ones (and the most valuable ones) expiring in 2012 and 2014

 

Ace Ina  ~5% of Fairfax total CDS notional and ~15% of MV

Allianz Finance  ~10% of total CDS notional and ~30% of MV

Societe Generale  ~10% of total CDS notional and ~20% of MV

Zurich Financial  ~5% of total CDS notional and ~15% of MV