C$ weakness generated most of CPPIB's $1.9B first quarter profit

I’m going to take a leap here and assume that CPP Investment Board marks their international positions back to Canadian dollars for reporting purposes. And what’s interesting about that is that CPPIB had 27.5% of its assets in U.S. dollar-denominated assets as of March 31, 2013. That represented C$50.4 billion of US dollar investments. Between March 31st and June 30th, the Canadian dollar dropped from 1.0156 to 1.0512. Assuming that CPPIB didn’t change it’s USD exposure during the first quarter, the drop in the Canadian dollar generated a $1.794 billion mark-to-market gain during the quarter alone. If our USD investments generated no gains or losses during the first quarter, we still “made” $1.8 billion on our investment during that period.

As a fund, the CPPIB generated a $1.9 billion gross gain during the quarter. Surely that must include moves in currencies, since they’ve decided not to hedge the vast majority of our positions.

If I’m right, all but ~10 basis points of our 1.1% gross quarterly return came from the drop in the Canadian dollar. Doesn’t sound like a “single”, does it?

MRM