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Bond gains estimate for FFH


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Impressive the price movement on 10y us treasuries.

Around 70bp of yield decrease as of today from 30/6

I think the sensitivity analysis of ffh bond portfolio is aroung 1.1 bn gain for a 100bp decrease in yield.

This is a raw calculation but maybe ffh is sitting on a 8-9% bv gain.

As usual Brian Bradstreet is making a boatload of money for ffh shareholders.


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I'm not sure that the BV moves are especially significant given the stated intention to hold on to most of the debt.

They've stated that many times yet when next earnings report comes out and they may have sold off.


I believe they dont like to show their hand which is a good thing but if they didnt sell they prob went long the other way (equities)maybe sold some debt to pay for its hedge.


Basically that may have been their intention until glorious opportunities or gains come along.

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