Buffett sold the equity derivatives to undisclosed buyers for $4.9 billion. Liabilities on the so-called equity-index puts widen when four stock indexes, including the S&P 500 and the Euro Stoxx 50, fall from the levels they were at when Buffett made the contracts near the market peaks in 2006 and 2007. If the indexes are at zero when the agreements expire, the losses would be $35 billion, the firm said in June.
Note 12. Derivative contracts
Derivative contracts are used primarily by our finance and financial products, railroad and utilities and energy businesses. As of September 30, 2011 and December 31, 2010, substantially all of the derivative contracts of our finance and financial products businesses were not designated as hedges for financial reporting purposes. These contracts were initially entered into with the expectation that the premiums received would exceed the amounts ultimately paid to counterparties. Changes in the fair values of such contracts are reported in earnings as derivative gains/losses. A summary of derivative contracts of our finance and financial products businesses follows (in millions).
September 30, 2011
December 31, 2010
Assets (3)
Liabilities
Notional Value
Assets (3)
Liabilities
Notional Value
Equity index put options .................................................
$—
$ 8,849
$ 34,378(1)
$—
$ 6,712
$ 33,891(1)
Credit default contracts:
High yield indexes ................................................
—
247
4,841(2)
—
159
4,893(2)
States/municipalities .............................................
—
1,091
16,042(2)
—
1,164
16,042(2)
Individual corporate ..............................................
52
38
3,565(2)
84
—
3,565(2)
Other ...............................................................................
240
237
341
375
Counterparty netting .......................................................
(93)
(41)
(82)
(39)
$199
$ 10,421
$343
$ 8,371
(1) Represents the aggregate undiscounted amount payable at the contract expiration dates assuming that the value of each index is zero at the contract expiration date.
(2) Represents the maximum undiscounted future value of losses payable under the contracts. The number of losses required to exhaust contract limits under substantially all of the contracts is dependent on the loss recovery rate related to the specific obligor at the time of a default.
(3) Included in Other assets of finance and financial products businesses.
A summary of derivative gains/losses of our finance and financial products businesses included in the Consolidated Statements of Earnings is as follows (in millions).
Third Quarter
First Nine Months
2011
2010
2011
2010
Equity index put options .............................................................................................
$ (2,089)
$ (700)
$ (2,137)
$(2,319)
Credit default contracts ...............................................................................................
(247)
519
(35)
407
Other ...........................................................................................................................
(107)
35
(184)
1
$ (2,443)
$ (146)
$ (2,356)
$(1,911)
The equity index put option contracts are European style options written on four major equity indexes. Future payments, if any, under these contracts will be required if the underlying index value is below the strike price at the contract expiration dates which occur between June 2018 and January 2026. We received the premiums on these contracts in full at the contract inception dates and therefore we have no counterparty credit risk. We entered into no new contracts in 2010 or 2011.
At September 30, 2011, the aggregate intrinsic value (the undiscounted liability assuming the contracts are settled on their future expiration dates based on the September 30, 2011 index values and foreign currency exchange rates) was approximately $6.7 billion. However, these contracts may not be unilaterally terminated or fully settled before the expiration dates and therefore the ultimate amount of cash basis gains or losses on these contracts may not be determined for many years. The remaining weighted average life of all contracts was approximately 9.25 years at September 30, 2011.
Our credit default contracts pertain to various indexes of non-investment grade (or “high yield”) corporate issuers, as well as investment grade state/municipal and individual corporate debt issuers. These contracts cover the loss in value of specified debt obligations of the issuers arising from default events, which are usually from their failure to make payments or bankruptcy. Loss amounts are subject to aggregate contract limits. We entered into no new contracts in 2010 or 2011.
miracle เขียน:อ่านไม่ค่อยละเอียดว่าซื้อ Index ล่วงหน้าไว้
เพื่ออะไรหรือ ?
ตามข่าวน่าจะเป็นการขาย Index Put Options ครับ
Short Put Option คือในความหมายนี้หมายถึงต้องการซื้อของในราคาที่ต่ำ
แต่ทำไม เอาเป็น Put Option มาทำ ไม่ใช่ Long Call ผลก็เหมือนกันนิ
ต้องมีอะไรแฝงอีกชั้นในการซื้อครั้งนี้แน่นอน
Buffett คงตั้งใจจะซื้อที่ราคาต่ำๆ เลย Short Put ต่ำๆไว้
ถ้าหากดัชนีลงมาไม่ถึงจุดที่ Short ไว้ Buffett ก็ได้ premium ไป
แต่ถ้าลงมาถึง Buffett ก็ต้องซื้อไปตามสัญญา
เผอิญมันลงไปลึกกว่านั้น ผลจึงเป็นการขาดทุนไป....
ประเด็นคือ ถ้า Buffett ซื้อตามที่ short put ไว้จริง ไอ้ขาดทุนตรงนี้จะบันทึกเป็นการขาดทุนทางบัญชีก่อนได้หรือไม่ เพราะสุดท้ายเขาก็ยังคงมีหุ้นอยู่ ซึ่งราคาหุ้นก็มีโอกาสกลับมาสูงขึ้นกว่าเดิมได้ในอนาคต...
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