Pershing Square Investor Presentation Deck
Overview of CDS Index Hedging Program
In late February, we acquired large notional CDS index hedges to protect
our portfolio against losses in a severe market decline
CDS Index
CDX IG
IT RAXX Main
CDX HY
CDS Index Hedge Summary (2/24 - 3/23)¹
Notional
($ mm)
Reference Securities
125 U.S. Investment Grade Bonds
125 European Investment Grade Bonds
100 U.S. High Yield Bonds
Total Hedge Exposure
$44,500
23,089
3,075
$70,664
Avg. Entry Avg. Exit
Spread (bps) Spread (bps)
28
59
60
346
130
127
679
In the aggregate, the hedges¹ generated over $2.6bn in proceeds across the Pershing Square
funds while incurring $27mm in carrying costs
(1) Refers specifically to the CDS index hedges initiated in late February / early March. Subsequent to the February-March hedging program, Pershing Square has
maintained smaller positions in CDS index hedges throughout various periods in 2020 and 2021 year-to-date. In addition, Pershing Square has initiated interest rate
swaption hedges in late 2020/early 2021.View entire presentation