The Caisse de dépôt et placement du Québec has taken a $1.9 billion provision for its investment in third-party asset-backed commercial paper (ABCP), according to its annual report.
At the end of last year, the fund held $12.6 billion of third-party ABCP being restructured with a fair value estimated at $10.7 billion. The difference of 15%, or $1.9 billion, represents an unrealized decrease in value.
Still, the Caisse’s president and CEO, Henri-Paul Rousseau adds that the provision doesn’t represent a total loss, but it’s just a prudent estimate of losses.
He says most of the provision, about $1.4 billion, involves third-party ABCP whose underlying assets are of excellent quality. The second component of the provision, however, covers the portion of the ABCP investments exposed to U.S. subprime mortgages. This provision has been established at $469 million.
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The Pan-Canadian Investors Committee, to which the Caisse belongs, plans to exchange the frozen ABCP for longer-term notes. That proposal is scheduled to be voted on April 25.
Separately, the Caisse recorded an overall return of 5.6% in 2007. For the three-year period, it posted an annual return of 11.5% and had a 12.4% annual return for the five-year period. At the end of last year, the Caisse held $155.4 billion of net assets.
To read the report on the Caisse’s website, click here.
To comment on this story, email craig.sebastiano@rci.rogers.com.