Pershing Square Investor Presentation Deck
CDS Index Hedges Offered Asymmetric Upside
Initiating the hedges¹ when they were trading near all-time tight levels offered
an asymmetric profit opportunity with limited potential for losses
CDS Index Spread Levels | 1/1/2008 to 4/30/2020:
300
CDX IG /ITRAXX MAIN Spread Level
250
200
150
100
50
0
1/1/08
1/1/09
1/1/10
1/1/11
1/1/12
CDX IG (US Investment Grade)
1/1/13
1/1/14
2/24/2020: CDX IG, ITRAXX Main and CDX HY
were all trading near their lowest spread levels
since the Global Financial Crisis when Pershing
Square began acquiring notional exposure
1/1/15
1/1/16
1/1/17
ITRAXX MAIN (European Investment Grade)
1/1/18
CDX HY (US High Yield)
1/1/19
1/1/20
2000
1750
1500
1250
1000
750
500
250
0
(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.
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CDX HY Spread LevelView entire presentation