Ashanti - Wie geht`s weiter? - 500 Beiträge pro Seite
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Feedback
Ungeachtet der nach wie vor negativen Stimmung des Marktes bzgl. Ashanti, möchte ich die Ereignisse dieser Woche vor dem Hintergrund der langfristigen Zukunft dieser Firma näher beleuchten. Insbesondere stellt sich die Frage, ob die Überlebensfähigkeit von Ashanti nun definitiv gesichert ist?
Insbesondere würde mich die Einschätzung der Goldhotline interessieren? Wenn die Konkursgefahr nun endgültig von Tisch ist (die Banken verzichten ja in den nächsten Jahren auf margin calls), müßte Ashanti für den langfristigen Investor, doch eigentlich Ihre Top-Empfehlung sein?
Zunächst erscheint es notwendig, die wesentlichen Features der Zusammenarbeit mit Anglogold hervorzuheben:
Ashanti hat bekanntgegeben, mit dem südafrikanischen Goldgiganten Anglogold Ltd. eine strategische Partnerschaft einzugehen.
Kernpunkte des vorgestellten Konzepts ist der Verkauf von 50 % der tansanischen Geita-Mine für 205 Mio. US-$ in cash. Zusätzlich wird Anglogold die Projektfinanzierung für Geita i.H.v. 130 Mio. $ übernehmen; der von Ashanti zu zahlende Anteil von 65 Mio. $ wird über aus dem cash flow der laufenden Produktion beglichen, ist also zum jetzigen Zeitpunkt für Ashanti noch nicht liqiditätswirksam.
Es ergibt sich für Ashanti`s liquide Mittel folgender Effekt: 205 Mio $ + 130 Mio. $ - 100 Mio. $ (zurückzuzahlende bisherige Projektfinanzierung der Barclays Capital) = + 235 Mio. $
Diese Mittel dürften zum Teil für das laufende Geschäft, aber auch zur Rückzahlung von Verbindlichkeiten genutzt werde.
Außerdem will Ashanti sein Spinifex-Joint-Venture in Tansania ebenfalls zusammen mit einem Anglogold Projekt weiterentwickeln. Es wird mit Ressourcen im Volumen von 2,5 Mio. Unzen Gold gerechnet, die kostengünstig in den Geita-Anlagen mitverarbeitet werden können (beide Projekte sind nur 15 km voneinander entfernt, was bei Übertageförderung kein Problem darstellen dürfte).
Zudem eröffnet sich hier das Potential, Ashanti`s weitere Explorationsprojekte in verschiedenen Staaten Afrikas mit der Hilfe des Partners Anglogold weiterzuentwickeln. Mit dem Namen "Anglogold" im Rücken, dürften etwaigen Projektfinanzierungen kein Problem darstellen und auch in Zukunft zu günstigeren Konditionen (keine Risikoprämie) abgewickelt werden können.
Gruß
Sovereign
Insbesondere würde mich die Einschätzung der Goldhotline interessieren? Wenn die Konkursgefahr nun endgültig von Tisch ist (die Banken verzichten ja in den nächsten Jahren auf margin calls), müßte Ashanti für den langfristigen Investor, doch eigentlich Ihre Top-Empfehlung sein?
Zunächst erscheint es notwendig, die wesentlichen Features der Zusammenarbeit mit Anglogold hervorzuheben:
Ashanti hat bekanntgegeben, mit dem südafrikanischen Goldgiganten Anglogold Ltd. eine strategische Partnerschaft einzugehen.
Kernpunkte des vorgestellten Konzepts ist der Verkauf von 50 % der tansanischen Geita-Mine für 205 Mio. US-$ in cash. Zusätzlich wird Anglogold die Projektfinanzierung für Geita i.H.v. 130 Mio. $ übernehmen; der von Ashanti zu zahlende Anteil von 65 Mio. $ wird über aus dem cash flow der laufenden Produktion beglichen, ist also zum jetzigen Zeitpunkt für Ashanti noch nicht liqiditätswirksam.
Es ergibt sich für Ashanti`s liquide Mittel folgender Effekt: 205 Mio $ + 130 Mio. $ - 100 Mio. $ (zurückzuzahlende bisherige Projektfinanzierung der Barclays Capital) = + 235 Mio. $
Diese Mittel dürften zum Teil für das laufende Geschäft, aber auch zur Rückzahlung von Verbindlichkeiten genutzt werde.
Außerdem will Ashanti sein Spinifex-Joint-Venture in Tansania ebenfalls zusammen mit einem Anglogold Projekt weiterentwickeln. Es wird mit Ressourcen im Volumen von 2,5 Mio. Unzen Gold gerechnet, die kostengünstig in den Geita-Anlagen mitverarbeitet werden können (beide Projekte sind nur 15 km voneinander entfernt, was bei Übertageförderung kein Problem darstellen dürfte).
Zudem eröffnet sich hier das Potential, Ashanti`s weitere Explorationsprojekte in verschiedenen Staaten Afrikas mit der Hilfe des Partners Anglogold weiterzuentwickeln. Mit dem Namen "Anglogold" im Rücken, dürften etwaigen Projektfinanzierungen kein Problem darstellen und auch in Zukunft zu günstigeren Konditionen (keine Risikoprämie) abgewickelt werden können.
Gruß
Sovereign
Es sieht tatsächlich jetzt viel besser aus für Ashanti. Vor allem hätte die Gesellschaft bei dem jetzt niedrigen Goldpreis die Chance mit dem Cash die Shortpositionen auszugleichen.
Wir sind bereits seit Mitte Dezember vorsichtige Käufer (1-2 % Depotvolumen) und wundern uns etwas, warum keine größeren Investoren einsteigen.
Eine fundierte Analyse ist erst nach der Erstellung der nächsten Bilanz möglich, um auszuschließen, daß weitere Leichen im Keller auftauchen (man ist eben extrem vorsichtig geworden). Vielleicht wollen die potentiellen Investoren auch erst die nächsten Studien der Broker abwarten.
Wir bleiben untergewichtet engagiert.
Die Goldhotline
Wir sind bereits seit Mitte Dezember vorsichtige Käufer (1-2 % Depotvolumen) und wundern uns etwas, warum keine größeren Investoren einsteigen.
Eine fundierte Analyse ist erst nach der Erstellung der nächsten Bilanz möglich, um auszuschließen, daß weitere Leichen im Keller auftauchen (man ist eben extrem vorsichtig geworden). Vielleicht wollen die potentiellen Investoren auch erst die nächsten Studien der Broker abwarten.
Wir bleiben untergewichtet engagiert.
Die Goldhotline
Ashantis CEO Sam Jonah hat bekanntgegeben, daß man zwar langfristig ein verkleinertes hedge book anstrebe, kurzfristig die Position aber beibehalte.
Ich glaube schon, daß Ashanti wenigstens seine naked calls covern wird; die fixed forwards aber behalten wird (schließlich sind margin calls für die nächsten Jahre ausgeschlossen). Natürlich wäre es taktisch unklug solche Rückkäufe explizit anzukündigen; daher das statement von Mr. Jonah.
Ich gehe aber davon aus, wir sind uns einig, daß die Gefahr eines Konkurses nun definitiv abgewendet ist (die Situation sihet ungleich besser aus als noch vor 2 Monaten).
Gruß
Sovereign
Ich glaube schon, daß Ashanti wenigstens seine naked calls covern wird; die fixed forwards aber behalten wird (schließlich sind margin calls für die nächsten Jahre ausgeschlossen). Natürlich wäre es taktisch unklug solche Rückkäufe explizit anzukündigen; daher das statement von Mr. Jonah.
Ich gehe aber davon aus, wir sind uns einig, daß die Gefahr eines Konkurses nun definitiv abgewendet ist (die Situation sihet ungleich besser aus als noch vor 2 Monaten).
Gruß
Sovereign
Anglogold würde es sicherlich auch vermeiden, eine Mine gemeinsam mit einer Gesellschaft zu betreiben, die durch den Konkurs geht.
Die Goldhotline
Die Goldhotline
Hallo Goldhotline!
Yup, das Argument leuchtet ein: Anglogold dürfte kaum Ashanti als gleichberechtigten Partner bei der Erschließung afrikanischer Lagerstätten gewählt haben, wenn ein Konkurs befürchtet werden muß.
Es wäre durchaus möglich, daß Anglogold auf längere Sicht, die 15 % Optionen der Banken (Ausübungspreis 3 $ je Ashanti-Aktie) übernimmt und ausübt und die Zusammenarbeit mit Ashanti durch einen solchen Schritt weiter intensiviert.
Ich bleibe investiert und kann warten, bis der "Rest der Welt" ebenfalls erkennt wie unterbewertet Ashanti ist.
Gruß
Sovereign
P.S.: Bei meinem anderen "Hoffnungswert" Cambior hat sich bisher noch kein "weißer Ritter" gezeigt. Was meinen Sie: Schafft Cambior es, bis Ende Juni die erforderlichen weiteren 32 Mio. US-$ zur Verminderung der Schulden aufzutreiben (Niobec und die Kupfer-Assets dürften als nächstes auf der Verkaufliste stehen)?
Yup, das Argument leuchtet ein: Anglogold dürfte kaum Ashanti als gleichberechtigten Partner bei der Erschließung afrikanischer Lagerstätten gewählt haben, wenn ein Konkurs befürchtet werden muß.
Es wäre durchaus möglich, daß Anglogold auf längere Sicht, die 15 % Optionen der Banken (Ausübungspreis 3 $ je Ashanti-Aktie) übernimmt und ausübt und die Zusammenarbeit mit Ashanti durch einen solchen Schritt weiter intensiviert.
Ich bleibe investiert und kann warten, bis der "Rest der Welt" ebenfalls erkennt wie unterbewertet Ashanti ist.
Gruß
Sovereign
P.S.: Bei meinem anderen "Hoffnungswert" Cambior hat sich bisher noch kein "weißer Ritter" gezeigt. Was meinen Sie: Schafft Cambior es, bis Ende Juni die erforderlichen weiteren 32 Mio. US-$ zur Verminderung der Schulden aufzutreiben (Niobec und die Kupfer-Assets dürften als nächstes auf der Verkaufliste stehen)?
Trading Spotlight
Die Shortpositionen der Cambior sind über Yahoo abrufbar. Sie sehen wirklich schrecklich aus.
Die Goldhotline
Die Goldhotline
Was ist an diesen hedge Positionen denn so schrecklich?
Beim gegenwärtigen Goldpreis sind diese doch managebar? OK, Cambior muß schleunigst versuchen, die naked calls zu covern; die fixed forwards sind bei der jetzigen Produktion aber ungefährlich.
Gruß
Sovereign
MONTREAL--(BUSINESS WIRE)--Feb. 11, 2000-- (TSE:CBJ. - news; AMEX:CBJ - news)
All amounts in US dollars
Cambior Inc. (``Cambior``) reports its gold hedging program as of January 31, 2000 amounted to 1.7 million ounces at an average strike price of $334 per ounce. Highlights of the Cambior hedging program are provided in this press release and the program details are presented in the attached appendix.
GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
2000 2001 2002 2003 to 2007 Total
-----------------------------------------------------------------------
Fixed forward
-----------------------------------------------------------------------
Ounces (`000) 290 240 205 -- 735
Average price ($/oz) 301 291 291 -- 295
Variable forward
----------------------------------------------------------------------
Ounces (`000) 112 192 102 578 984
Average price ($/oz) 340 340 340 347 344
Total forward position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 578 1,719
Average cash price ($/oz) 312 313 307 347 323
-----------------------------------------------------------------------
Deferred gain ($/oz) 32 13 -- -- 11
-----------------------------------------------------------------------
Total realizable price($/oz) 344 326 307 347 334
-----------------------------------------------------------------------
-----------------------------------------------------------------------
The composition of the gold hedge position has not changed materially since the last update provided in Cambior`s December 23, 1999 press release, except for the delivery of gold produced by Cambior against various hedging contracts. These deliveries amounted to 80,000 ounces at $307/oz, thereby generating a cash hedging gain of $1.8 million ($23/oz) as compared to the market price of gold during this period.
The fixed forward position consists of 735,000 ounces maturing at fixed monthly delivery dates from February 2000 to December 2002. These positions include 168,000 ounces at $308/oz maturing over the next four months of 2000 and 567,000 ounces at $291/oz maturing over the next three years. These latter positions are shown on the basis that Hedge Counterparties and Cambior have agreed to commit $8 million of net proceeds from future asset sales to support this average price of $291 per ounce. Without this reinvestment of $8 million, the strike price on these forward contracts would be at $276/oz.
The variable forward position is for a nominal quantity of 984,000 ounces, maturing at fixed delivery dates from June 2000 to October 2007. This positions consists of 712,000 ounces at $340/oz maturing between June 2000 and December 2005 and 272,000 ounces at $357/oz maturing between June 2006 and October 2007. The delivery dates and strike price are fixed, but the quantity to be delivered during any specific month may vary from a minimum of 80 % to a maximum of 200 % of the nominal quantity based on the gold spot price (within a range of $243/oz to $450/oz) on monthly test dates set between June 2000 and December 2003.
CALL OPTIONS SOLD
As of January 31, 2000, Cambior also had commitments to deliver over the next three years up to 784,000 ounces under call options sold, as indicated in the following table:
2000 2001 2002 Total
-----------------------------------------------------------------------
Ounces (`000 oz) 100 382 302 784
Average strike price (US$/oz) 340 352 348 349
The call options expire over a two year period, from December 2000 to December 2002. They have a strike price ranging from $340 to $400 per ounce for an average price of $349 per ounce. Cambior`s contingent delivery obligation under such contracts will only take effect if the gold price is above the strike price of the relevant contract at its maturity date.
LEASE RATE SWAP
Some of the call options sold were structured with a gold lease rate swap on a total of 647,500 ounces, including 260,000 oz expiring in 2001 and 387,500 oz expiring in 2002. Under such swaps, Cambior pays the floating rate and receives a fixed rate of 1.5 % or 1.75 % per annum as stipulated for the relevant contract.
The variable forwards also include a gold lease rate swap under which Cambior pays the floating rate and receives 1.5 % per annum. The swap has the same amortization schedule as the underlying variable forward structure and applies to the nominal quantity of 984,000 ounces. Payments under the swap are payable in gold, and payments are capitalized at the prevailing gold lease rates until amortization of the underlying forward structure.
MARK-TO-MARKET VALUATION
The mark-to-market value of Cambior`s gold hedge position as of January 31, 2000, based on market conditions on such date and using a gold price of $283/oz, is estimated to constitute a liability of $41 million. Cambior also has deferred gold hedging gains of $19 million from prior periods which will be amortized over the next two years. Net of these deferred gains, the total mark-to-market value of Cambior`s gold hedge position is estimated as a net liability of $22 million as of January 31, 2000.
MARK-TO-MARKET VALUATION SUMMARY
-----------------------------------------------------------------------
January 31, 2000
-----------------------------------------------------------------------
$ Million
-----------------------------------------------------------------------
Forwards (3)
Optionality (26)
Lease Rate Swaps (12)
-----------------------------------------------------------------------
TOTAL (41)
-----------------------------------------------------------------------
Deferred gains 19
-----------------------------------------------------------------------
NET TOTAL (22)
This mark-to-market valuation was computed based on the PM fix price of $283/oz on January 31, 2000 and on reasonable estimates of short term and long term market conditions on that day using mid-market rates. This valuation is presented as an indicative valuation of the Cambior gold hedge position based on prevailing market conditions on that day. Gold market conditions (i.e. spot price, volatility, lease rates) can change materially over short periods of time and such changes may significantly affect the mark-to-market valuation estimates at any specific date. Likewise, the actual hedging gain or loss that would result from delivering into this hedge position over time may differ significantly from the indicated mark-to-market value.
The indicated estimated liability of $3 million for the forward positions includes the valuation of the fixed forward positions without the benefit of the $8 million reinvestment (i.e. forward positions at $276/oz instead of $291/oz) and also includes the valuation of the variable forwards on the basis of their nominal volumes. This valuation is essentially a function of the spot price with the forward contango as compared to the strike price of the Cambior forward positions.
The estimated liability indicated for the optionality includes the valuation of call options sold and the volume optionality imbedded in the variable volume forwards. This mark-to-market valuation is primarily a function of the spot price, current interest rates and implied volatility to maturity. This liability would normally be expected to diminish over time as contracts approach maturity, particularly if implied volatility rates return to more historically normal levels.
The estimated liability under the lease rate swaps results from the difference between the long term gold lease rate (currently 2.5 % to 3.0 % per annum) and the fixed rate of 1.5 % or 1.75 % per annum to be received by Cambior under the swap agreements. If short term gold lease rates, which are currently under 1 % per annum, remain within the range of historically average rates, these would normally expire over time at near breakeven.
The number of ounces committed (Delta) by counterparties in this hedge position is equivalent to 2.1 million ounces. This provides an indication that under the same market conditions, a $1 change in the spot price of gold would change the mark-to-market valuation by approximately $2.1 million. Furthermore, this also indicates that Cambior`s gold reserves and resources in excess of this 2.1 million ounces are unhedged and are exposed to fluctuations in the market price of gold.
SIMULATION OF HEDGE POSITION
The following table presents the simulation of the hedge portfolio under varying gold price assumptions. This simulation accounts for the impact of all instruments under current hedge commitments including the variable forwards and the call options sold.
HEDGE POSITION $300 $325 $350
-----------------------------------------------------------------------
Ounces (`000) 1,810 1,981 2,647
Average cash price ($) 320 322 327
Hedge gain (loss) ($ M) 36 (6) (60)
PV (5 %) gain (loss) ($M) 28 (9) (56)
This simulation is based on fixed prices of gold for the remaining period of the hedge position and excludes the benefit of both the $8 million reinvestment referred to above and the deferred hedging gain. The hedge gain shown compares the hedge position over time with the flat gold price indicated.
Thus, under the scenario of a flat gold price of $325/oz, the gold hedging position will deliver 2.0 million ounces at an average price of $322/oz. This would generate a present value loss of $9 million as compared to the gold price assumption of a flat $325/oz over the period.
MANAGEMENT OF HEDGE PORTFOLIO
--------------------------------------------------------------------------------
As per the agreements with its lenders and hedging counterparties, Cambior is restricted from adding new hedging positions and has committed to deliver its gold production into maturing hedge positions or the spot market. All forward positions have fixed maturities in the years indicated with monthly allocations. Cambior`s current agreements with its lenders and hedging counterparties do not provide for margin calls or other like obligations that are affected by changes in the mark-to-market valuation of the gold hedging portfolio.
Cambior Inc. is an international diversified gold producer with operations, development projects and exploration activities throughout the Americas. Cambior`s shares trade on the Toronto and American (AMEX) stock exchanges under the symbol ``CBJ``.
This press release contains certain ``forward-looking statements``, as defined in the United States Private Securities Litigation Reform Act of 1995, that involve a number of risks and uncertainties. There can be no assurance that such statements will prove to be accurate and actual results and future events could differ materially from those anticipated in such statements.
Such risks and uncertainties are disclosed under the heading ``Risk Factors`` in Cambior`s Annual Information Form (AIF) filed with the Ontario Securities Commission, the Quebec Securities Commission, the United States Securities and Exchange Commission (Form 40-F) and other regulatory authorities.
APPENDIX
-----------------------------------------------------------------------
CAMBIOR GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
(As of January 31, 2000)
GOLD FORWARD HEDGING
-----------------------------------------------------------------------
(000 ounces of gold)
2000 2001 2002 2003 2004 2005 2006 2007 Total
Fixed forward
-----------------------------------------------------------------------
Ounces (`000)(1) 290 240 205 -- -- -- -- -- 735
Average price
($/oz) 301 291 291 -- -- -- -- -- 295
Variable forward
Ounces (`000)(2) 112 192 102 102 102 102 112 160 984
Average price
($/oz) 340 340 340 340 340 340 357 357 344
Total forward
position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 102 102 102 112 160 1,719
Average cash price
($/oz) 312 313 307 340 340 340 357 357 323
-----------------------------------------------------------------------
Deferred gain
($/oz)(3) 32 13 -- -- -- -- -- -- 11
Total realizable
price ($/oz) 344 326 307 340 340 340 357 357 334
(1) These positions consist of fixed forwards on 167,531 ounces at
$308/oz maturing on a monthly basis over the period of February
2000 to May 2000 and 567,000 ounces at $291/oz maturing on a
monthly basis for the period from June 2000 to December 2002.
These latter positions include 123,000 ounces with monthly
maturities of 17,500 ounces from June to December 2000, 240,000
ounces with monthly maturities of 20,000 ounces in 2001 and
205,000 ounces with monthly maturities of 17,000 ounces in 2002.
These positions (i.e. 567,000 ounces at $291/oz) are shown on the
basis that Hedge Providers and Cambior have agreed to commit $8
million of net proceeds from asset sales to support this average
price for the fixed forwards at $291/oz. Without the support of
this $8 million, these forward positions are currently at $276/oz
and the total fixed forward positions of 735,000 ounces have an
average price of $284/oz.
(2) These positions consist of variable-volume forward contracts and
are presented in the table at the nominal volume of gold delivery
commitments. The variable-volume forwards have been contracted
under two tranches with the following terms:
The first tranche provides forwards on 576,000 ounces in 36 equal
monthly deliveries of 16,000 ounces at $340/oz from June 2000 to
December 2001, and at $356.60/oz from June 2006 to October 2007.
The quantities of gold to be delivered will be set on each test
date at the end of the months of June 2000 to December 2001, for
the deliveries of June 2000 to December 2001, as well as for the
deliveries of June 2006 to October 2007. The nominal quantities
have been set based on a gold price of $300/oz at the test date.
Actual quantities to be delivered will vary from 80 % of nominal
quantity (if the spot price of gold on the relevant test date is
$270/oz or less), to 200% of nominal quantity (if the spot price
of gold on the relevant test date is $450/oz or higher).
The second tranche consists of a very similar arrangement with a
nominal quantity of 408,000 ounces committed in 48 equal monthly
deliveries of 8,500 ounces at $340/oz from January 2002 to
December 2005. The quantities of gold to be delivered will be set
on each test date at the end of the months of January 2002 to
December 2003 for the deliveries of January 2002 to December 2003,
as well as for the deliveries of January 2004 to December 2005.
The nominal quantities have been set based on a gold price of
$270/oz at the test dates. The actual quantities deliverable under
this tranche will vary from 80 % of nominal quantity (if the spot
price of gold on the relevant test date is $243/oz or less) to 200
% of nominal quantity (if the spot price of gold on the relevant
test date is $405/oz or higher).
This variable forward structure also includes a gold lease rate
swap based on a lease rate of 1.50 % per annum. Payments resulting
from differences between the swap lease rate and actual lease
rates will be settled in gold equivalent using the same payment
schedule as the delivery schedule of the forward structure.
(3) The deferred gains were realized by the conversion of gold loans
into US dollar loans during 1997 and 1998. The balance of $18.5
million at January 31, 2000 will be amortized as follows: $12.8
million in 2000 and $5.7 million in 2001.
GOLD CALL OPTIONS SOLD
-----------------------------------------------------------------------
2000 2001 2002 Total
-----------------------------------------------------------------------
Call options sold (000) 100 382 302 784
Average price ($/oz) 340 352 348 349
The call position for 2000 consists of one contract expiring in
December at $340$/oz. The position for 2001 includes a number of
positions throughout the year at prices between $340/oz and $400/oz
for an average price of $352/oz. The 2002 positions consist of a
number of contracts for the second half of 2002 at strike prices
varying between $340/oz and $354/oz for an average of $348/oz.
Historically, these call positions, when exercised, have been
converted into spot deferred positions.
GOLD LEASE RATE SWAPS
-----------------------------------------------------------------------
2001 2002 Total
-----------------------------------------------------------------------
Swap ounces (000) 260 388 648
Fixed rate (%) 1.5 1.5 - 1.75 1.5 - 1.75
In addition, the variable forward positions detailed above have
an imbedded gold lease rate swap on 984,000 ounces at 1.5 % per annum.
The swap has the same amortization schedule as the underlying variable
forward structure and is based on the nominal quantity of 984,000
ounces. The swap is payable in gold, and payments are deferred at the
prevailing gold lease rates until amortization of the underlying
forward structure.
MARK-TO-MARKET VALUATION
-----------------------------------------------------------------------
The estimated mark-to-market valuation of the above hedging
position as of January 31, 2000, is shown below on the basis of the
spot price of $283 on January 31, 2000. The table also shows the
estimated valuation sensitivity to the spot price of gold at $300/oz
and $320/oz under the same market conditions.
$ Million 283 300 320
-----------------------------------------------------------------------
Forwards (3) (34) (72)
Optionality (26) (32) (44)
Lease rate swap (12) (13) (14)
(41) (79) (130)
Deferred gain 19 19 19
-----------------------------------------------------------------------
(22) (60) (111)
The mark-to-market estimates are derived from estimates received
from hedging counterparties and are based on a gold spot price of
$283/oz and the market conditions prevailing as at January 31, 2000.
(1) The indicated loss of $3 million for the forward positions
includes the valuation of the fixed forward positions without the
benefit of the $8 million reinvestment (i.e. forward positions at
$276/oz instead of $291/oz) and also includes the valuation of the
variable forwards on the basis of their nominal volumes. The
valuation is essentially a function of the spot price and of the
forward contango rates as compared to the strike price of the
Cambior forward positions.
Market conditions on January 31, 2000 are based on contango rates
derived from a yield curve with rates of 5.4% per annum for one
month, 5.09 % per annum for one year and 4.38 % per annum for ten
years. These contango rates are relatively high as compared to
long term historical averages. Lower contango rates would normally
reduce the forward valuation loss.
(2) The mark-to-market estimate for optionality includes call options
sold and the optionality included in the volume exposure of the
variable volume forward positions. Market conditions on January
31, 2000 assume a volatility of 15 % over three months reducing to
11 % over ten years. These levels of volatility are relatively
high as compared to long term historical averages. Lower
volatility levels and the passage of time would normally reduce
the exposure to this portion of Cambior`s hedge portfolio.
Conversely, higher volatility levels would normally increase the
exposure.
(3) The mark-to-market valuation estimate of the gold lease rate swaps
is based on the long term gold lease rate curve with rates of 2.8
% per annum over ten years as compared to fixed rate obligations
of 1.5 % per annum and 1.75 % per annum. Short term rates on
January 31, 2000 were indicating 0.6 % per annum for three months
and 0.88 % per annum for six months. Cambior normally manages its
lease rate exposure with roll-overs of three to six months and is
therefore currently benefiting from these arrangements. Based on
historical average short term rates of 1.6 %, the management of
the lease rate exposure should average close to breakeven over
time.
The number of ounces committed (Delta) by counterparties in this
hedge position is equivalent to 2.1 million ounces of gold.
Beim gegenwärtigen Goldpreis sind diese doch managebar? OK, Cambior muß schleunigst versuchen, die naked calls zu covern; die fixed forwards sind bei der jetzigen Produktion aber ungefährlich.
Gruß
Sovereign
MONTREAL--(BUSINESS WIRE)--Feb. 11, 2000-- (TSE:CBJ. - news; AMEX:CBJ - news)
All amounts in US dollars
Cambior Inc. (``Cambior``) reports its gold hedging program as of January 31, 2000 amounted to 1.7 million ounces at an average strike price of $334 per ounce. Highlights of the Cambior hedging program are provided in this press release and the program details are presented in the attached appendix.
GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
2000 2001 2002 2003 to 2007 Total
-----------------------------------------------------------------------
Fixed forward
-----------------------------------------------------------------------
Ounces (`000) 290 240 205 -- 735
Average price ($/oz) 301 291 291 -- 295
Variable forward
----------------------------------------------------------------------
Ounces (`000) 112 192 102 578 984
Average price ($/oz) 340 340 340 347 344
Total forward position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 578 1,719
Average cash price ($/oz) 312 313 307 347 323
-----------------------------------------------------------------------
Deferred gain ($/oz) 32 13 -- -- 11
-----------------------------------------------------------------------
Total realizable price($/oz) 344 326 307 347 334
-----------------------------------------------------------------------
-----------------------------------------------------------------------
The composition of the gold hedge position has not changed materially since the last update provided in Cambior`s December 23, 1999 press release, except for the delivery of gold produced by Cambior against various hedging contracts. These deliveries amounted to 80,000 ounces at $307/oz, thereby generating a cash hedging gain of $1.8 million ($23/oz) as compared to the market price of gold during this period.
The fixed forward position consists of 735,000 ounces maturing at fixed monthly delivery dates from February 2000 to December 2002. These positions include 168,000 ounces at $308/oz maturing over the next four months of 2000 and 567,000 ounces at $291/oz maturing over the next three years. These latter positions are shown on the basis that Hedge Counterparties and Cambior have agreed to commit $8 million of net proceeds from future asset sales to support this average price of $291 per ounce. Without this reinvestment of $8 million, the strike price on these forward contracts would be at $276/oz.
The variable forward position is for a nominal quantity of 984,000 ounces, maturing at fixed delivery dates from June 2000 to October 2007. This positions consists of 712,000 ounces at $340/oz maturing between June 2000 and December 2005 and 272,000 ounces at $357/oz maturing between June 2006 and October 2007. The delivery dates and strike price are fixed, but the quantity to be delivered during any specific month may vary from a minimum of 80 % to a maximum of 200 % of the nominal quantity based on the gold spot price (within a range of $243/oz to $450/oz) on monthly test dates set between June 2000 and December 2003.
CALL OPTIONS SOLD
As of January 31, 2000, Cambior also had commitments to deliver over the next three years up to 784,000 ounces under call options sold, as indicated in the following table:
2000 2001 2002 Total
-----------------------------------------------------------------------
Ounces (`000 oz) 100 382 302 784
Average strike price (US$/oz) 340 352 348 349
The call options expire over a two year period, from December 2000 to December 2002. They have a strike price ranging from $340 to $400 per ounce for an average price of $349 per ounce. Cambior`s contingent delivery obligation under such contracts will only take effect if the gold price is above the strike price of the relevant contract at its maturity date.
LEASE RATE SWAP
Some of the call options sold were structured with a gold lease rate swap on a total of 647,500 ounces, including 260,000 oz expiring in 2001 and 387,500 oz expiring in 2002. Under such swaps, Cambior pays the floating rate and receives a fixed rate of 1.5 % or 1.75 % per annum as stipulated for the relevant contract.
The variable forwards also include a gold lease rate swap under which Cambior pays the floating rate and receives 1.5 % per annum. The swap has the same amortization schedule as the underlying variable forward structure and applies to the nominal quantity of 984,000 ounces. Payments under the swap are payable in gold, and payments are capitalized at the prevailing gold lease rates until amortization of the underlying forward structure.
MARK-TO-MARKET VALUATION
The mark-to-market value of Cambior`s gold hedge position as of January 31, 2000, based on market conditions on such date and using a gold price of $283/oz, is estimated to constitute a liability of $41 million. Cambior also has deferred gold hedging gains of $19 million from prior periods which will be amortized over the next two years. Net of these deferred gains, the total mark-to-market value of Cambior`s gold hedge position is estimated as a net liability of $22 million as of January 31, 2000.
MARK-TO-MARKET VALUATION SUMMARY
-----------------------------------------------------------------------
January 31, 2000
-----------------------------------------------------------------------
$ Million
-----------------------------------------------------------------------
Forwards (3)
Optionality (26)
Lease Rate Swaps (12)
-----------------------------------------------------------------------
TOTAL (41)
-----------------------------------------------------------------------
Deferred gains 19
-----------------------------------------------------------------------
NET TOTAL (22)
This mark-to-market valuation was computed based on the PM fix price of $283/oz on January 31, 2000 and on reasonable estimates of short term and long term market conditions on that day using mid-market rates. This valuation is presented as an indicative valuation of the Cambior gold hedge position based on prevailing market conditions on that day. Gold market conditions (i.e. spot price, volatility, lease rates) can change materially over short periods of time and such changes may significantly affect the mark-to-market valuation estimates at any specific date. Likewise, the actual hedging gain or loss that would result from delivering into this hedge position over time may differ significantly from the indicated mark-to-market value.
The indicated estimated liability of $3 million for the forward positions includes the valuation of the fixed forward positions without the benefit of the $8 million reinvestment (i.e. forward positions at $276/oz instead of $291/oz) and also includes the valuation of the variable forwards on the basis of their nominal volumes. This valuation is essentially a function of the spot price with the forward contango as compared to the strike price of the Cambior forward positions.
The estimated liability indicated for the optionality includes the valuation of call options sold and the volume optionality imbedded in the variable volume forwards. This mark-to-market valuation is primarily a function of the spot price, current interest rates and implied volatility to maturity. This liability would normally be expected to diminish over time as contracts approach maturity, particularly if implied volatility rates return to more historically normal levels.
The estimated liability under the lease rate swaps results from the difference between the long term gold lease rate (currently 2.5 % to 3.0 % per annum) and the fixed rate of 1.5 % or 1.75 % per annum to be received by Cambior under the swap agreements. If short term gold lease rates, which are currently under 1 % per annum, remain within the range of historically average rates, these would normally expire over time at near breakeven.
The number of ounces committed (Delta) by counterparties in this hedge position is equivalent to 2.1 million ounces. This provides an indication that under the same market conditions, a $1 change in the spot price of gold would change the mark-to-market valuation by approximately $2.1 million. Furthermore, this also indicates that Cambior`s gold reserves and resources in excess of this 2.1 million ounces are unhedged and are exposed to fluctuations in the market price of gold.
SIMULATION OF HEDGE POSITION
The following table presents the simulation of the hedge portfolio under varying gold price assumptions. This simulation accounts for the impact of all instruments under current hedge commitments including the variable forwards and the call options sold.
HEDGE POSITION $300 $325 $350
-----------------------------------------------------------------------
Ounces (`000) 1,810 1,981 2,647
Average cash price ($) 320 322 327
Hedge gain (loss) ($ M) 36 (6) (60)
PV (5 %) gain (loss) ($M) 28 (9) (56)
This simulation is based on fixed prices of gold for the remaining period of the hedge position and excludes the benefit of both the $8 million reinvestment referred to above and the deferred hedging gain. The hedge gain shown compares the hedge position over time with the flat gold price indicated.
Thus, under the scenario of a flat gold price of $325/oz, the gold hedging position will deliver 2.0 million ounces at an average price of $322/oz. This would generate a present value loss of $9 million as compared to the gold price assumption of a flat $325/oz over the period.
MANAGEMENT OF HEDGE PORTFOLIO
--------------------------------------------------------------------------------
As per the agreements with its lenders and hedging counterparties, Cambior is restricted from adding new hedging positions and has committed to deliver its gold production into maturing hedge positions or the spot market. All forward positions have fixed maturities in the years indicated with monthly allocations. Cambior`s current agreements with its lenders and hedging counterparties do not provide for margin calls or other like obligations that are affected by changes in the mark-to-market valuation of the gold hedging portfolio.
Cambior Inc. is an international diversified gold producer with operations, development projects and exploration activities throughout the Americas. Cambior`s shares trade on the Toronto and American (AMEX) stock exchanges under the symbol ``CBJ``.
This press release contains certain ``forward-looking statements``, as defined in the United States Private Securities Litigation Reform Act of 1995, that involve a number of risks and uncertainties. There can be no assurance that such statements will prove to be accurate and actual results and future events could differ materially from those anticipated in such statements.
Such risks and uncertainties are disclosed under the heading ``Risk Factors`` in Cambior`s Annual Information Form (AIF) filed with the Ontario Securities Commission, the Quebec Securities Commission, the United States Securities and Exchange Commission (Form 40-F) and other regulatory authorities.
APPENDIX
-----------------------------------------------------------------------
CAMBIOR GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
(As of January 31, 2000)
GOLD FORWARD HEDGING
-----------------------------------------------------------------------
(000 ounces of gold)
2000 2001 2002 2003 2004 2005 2006 2007 Total
Fixed forward
-----------------------------------------------------------------------
Ounces (`000)(1) 290 240 205 -- -- -- -- -- 735
Average price
($/oz) 301 291 291 -- -- -- -- -- 295
Variable forward
Ounces (`000)(2) 112 192 102 102 102 102 112 160 984
Average price
($/oz) 340 340 340 340 340 340 357 357 344
Total forward
position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 102 102 102 112 160 1,719
Average cash price
($/oz) 312 313 307 340 340 340 357 357 323
-----------------------------------------------------------------------
Deferred gain
($/oz)(3) 32 13 -- -- -- -- -- -- 11
Total realizable
price ($/oz) 344 326 307 340 340 340 357 357 334
(1) These positions consist of fixed forwards on 167,531 ounces at
$308/oz maturing on a monthly basis over the period of February
2000 to May 2000 and 567,000 ounces at $291/oz maturing on a
monthly basis for the period from June 2000 to December 2002.
These latter positions include 123,000 ounces with monthly
maturities of 17,500 ounces from June to December 2000, 240,000
ounces with monthly maturities of 20,000 ounces in 2001 and
205,000 ounces with monthly maturities of 17,000 ounces in 2002.
These positions (i.e. 567,000 ounces at $291/oz) are shown on the
basis that Hedge Providers and Cambior have agreed to commit $8
million of net proceeds from asset sales to support this average
price for the fixed forwards at $291/oz. Without the support of
this $8 million, these forward positions are currently at $276/oz
and the total fixed forward positions of 735,000 ounces have an
average price of $284/oz.
(2) These positions consist of variable-volume forward contracts and
are presented in the table at the nominal volume of gold delivery
commitments. The variable-volume forwards have been contracted
under two tranches with the following terms:
The first tranche provides forwards on 576,000 ounces in 36 equal
monthly deliveries of 16,000 ounces at $340/oz from June 2000 to
December 2001, and at $356.60/oz from June 2006 to October 2007.
The quantities of gold to be delivered will be set on each test
date at the end of the months of June 2000 to December 2001, for
the deliveries of June 2000 to December 2001, as well as for the
deliveries of June 2006 to October 2007. The nominal quantities
have been set based on a gold price of $300/oz at the test date.
Actual quantities to be delivered will vary from 80 % of nominal
quantity (if the spot price of gold on the relevant test date is
$270/oz or less), to 200% of nominal quantity (if the spot price
of gold on the relevant test date is $450/oz or higher).
The second tranche consists of a very similar arrangement with a
nominal quantity of 408,000 ounces committed in 48 equal monthly
deliveries of 8,500 ounces at $340/oz from January 2002 to
December 2005. The quantities of gold to be delivered will be set
on each test date at the end of the months of January 2002 to
December 2003 for the deliveries of January 2002 to December 2003,
as well as for the deliveries of January 2004 to December 2005.
The nominal quantities have been set based on a gold price of
$270/oz at the test dates. The actual quantities deliverable under
this tranche will vary from 80 % of nominal quantity (if the spot
price of gold on the relevant test date is $243/oz or less) to 200
% of nominal quantity (if the spot price of gold on the relevant
test date is $405/oz or higher).
This variable forward structure also includes a gold lease rate
swap based on a lease rate of 1.50 % per annum. Payments resulting
from differences between the swap lease rate and actual lease
rates will be settled in gold equivalent using the same payment
schedule as the delivery schedule of the forward structure.
(3) The deferred gains were realized by the conversion of gold loans
into US dollar loans during 1997 and 1998. The balance of $18.5
million at January 31, 2000 will be amortized as follows: $12.8
million in 2000 and $5.7 million in 2001.
GOLD CALL OPTIONS SOLD
-----------------------------------------------------------------------
2000 2001 2002 Total
-----------------------------------------------------------------------
Call options sold (000) 100 382 302 784
Average price ($/oz) 340 352 348 349
The call position for 2000 consists of one contract expiring in
December at $340$/oz. The position for 2001 includes a number of
positions throughout the year at prices between $340/oz and $400/oz
for an average price of $352/oz. The 2002 positions consist of a
number of contracts for the second half of 2002 at strike prices
varying between $340/oz and $354/oz for an average of $348/oz.
Historically, these call positions, when exercised, have been
converted into spot deferred positions.
GOLD LEASE RATE SWAPS
-----------------------------------------------------------------------
2001 2002 Total
-----------------------------------------------------------------------
Swap ounces (000) 260 388 648
Fixed rate (%) 1.5 1.5 - 1.75 1.5 - 1.75
In addition, the variable forward positions detailed above have
an imbedded gold lease rate swap on 984,000 ounces at 1.5 % per annum.
The swap has the same amortization schedule as the underlying variable
forward structure and is based on the nominal quantity of 984,000
ounces. The swap is payable in gold, and payments are deferred at the
prevailing gold lease rates until amortization of the underlying
forward structure.
MARK-TO-MARKET VALUATION
-----------------------------------------------------------------------
The estimated mark-to-market valuation of the above hedging
position as of January 31, 2000, is shown below on the basis of the
spot price of $283 on January 31, 2000. The table also shows the
estimated valuation sensitivity to the spot price of gold at $300/oz
and $320/oz under the same market conditions.
$ Million 283 300 320
-----------------------------------------------------------------------
Forwards (3) (34) (72)
Optionality (26) (32) (44)
Lease rate swap (12) (13) (14)
(41) (79) (130)
Deferred gain 19 19 19
-----------------------------------------------------------------------
(22) (60) (111)
The mark-to-market estimates are derived from estimates received
from hedging counterparties and are based on a gold spot price of
$283/oz and the market conditions prevailing as at January 31, 2000.
(1) The indicated loss of $3 million for the forward positions
includes the valuation of the fixed forward positions without the
benefit of the $8 million reinvestment (i.e. forward positions at
$276/oz instead of $291/oz) and also includes the valuation of the
variable forwards on the basis of their nominal volumes. The
valuation is essentially a function of the spot price and of the
forward contango rates as compared to the strike price of the
Cambior forward positions.
Market conditions on January 31, 2000 are based on contango rates
derived from a yield curve with rates of 5.4% per annum for one
month, 5.09 % per annum for one year and 4.38 % per annum for ten
years. These contango rates are relatively high as compared to
long term historical averages. Lower contango rates would normally
reduce the forward valuation loss.
(2) The mark-to-market estimate for optionality includes call options
sold and the optionality included in the volume exposure of the
variable volume forward positions. Market conditions on January
31, 2000 assume a volatility of 15 % over three months reducing to
11 % over ten years. These levels of volatility are relatively
high as compared to long term historical averages. Lower
volatility levels and the passage of time would normally reduce
the exposure to this portion of Cambior`s hedge portfolio.
Conversely, higher volatility levels would normally increase the
exposure.
(3) The mark-to-market valuation estimate of the gold lease rate swaps
is based on the long term gold lease rate curve with rates of 2.8
% per annum over ten years as compared to fixed rate obligations
of 1.5 % per annum and 1.75 % per annum. Short term rates on
January 31, 2000 were indicating 0.6 % per annum for three months
and 0.88 % per annum for six months. Cambior normally manages its
lease rate exposure with roll-overs of three to six months and is
therefore currently benefiting from these arrangements. Based on
historical average short term rates of 1.6 %, the management of
the lease rate exposure should average close to breakeven over
time.
The number of ounces committed (Delta) by counterparties in this
hedge position is equivalent to 2.1 million ounces of gold.
Was ist an diesen hedge Positionen denn so schrecklich?
Beim gegenwärtigen Goldpreis sind diese doch managebar? OK, Cambior muß schleunigst versuchen, die naked calls zu covern; die fixed forwards sind bei der jetzigen Produktion aber ungefährlich.
Gruß
Sovereign
MONTREAL--(BUSINESS WIRE)--Feb. 11, 2000-- (TSE:CBJ. - news; AMEX:CBJ - news)
All amounts in US dollars
Cambior Inc. (``Cambior``) reports its gold hedging program as of January 31, 2000 amounted to 1.7 million ounces at an average strike price of $334 per ounce. Highlights of the Cambior hedging program are provided in this press release and the program details are presented in the attached appendix.
GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
2000 2001 2002 2003 to 2007 Total
-----------------------------------------------------------------------
Fixed forward
-----------------------------------------------------------------------
Ounces (`000) 290 240 205 -- 735
Average price ($/oz) 301 291 291 -- 295
Variable forward
----------------------------------------------------------------------
Ounces (`000) 112 192 102 578 984
Average price ($/oz) 340 340 340 347 344
Total forward position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 578 1,719
Average cash price ($/oz) 312 313 307 347 323
-----------------------------------------------------------------------
Deferred gain ($/oz) 32 13 -- -- 11
-----------------------------------------------------------------------
Total realizable price($/oz) 344 326 307 347 334
-----------------------------------------------------------------------
-----------------------------------------------------------------------
The composition of the gold hedge position has not changed materially since the last update provided in Cambior`s December 23, 1999 press release, except for the delivery of gold produced by Cambior against various hedging contracts. These deliveries amounted to 80,000 ounces at $307/oz, thereby generating a cash hedging gain of $1.8 million ($23/oz) as compared to the market price of gold during this period.
The fixed forward position consists of 735,000 ounces maturing at fixed monthly delivery dates from February 2000 to December 2002. These positions include 168,000 ounces at $308/oz maturing over the next four months of 2000 and 567,000 ounces at $291/oz maturing over the next three years. These latter positions are shown on the basis that Hedge Counterparties and Cambior have agreed to commit $8 million of net proceeds from future asset sales to support this average price of $291 per ounce. Without this reinvestment of $8 million, the strike price on these forward contracts would be at $276/oz.
The variable forward position is for a nominal quantity of 984,000 ounces, maturing at fixed delivery dates from June 2000 to October 2007. This positions consists of 712,000 ounces at $340/oz maturing between June 2000 and December 2005 and 272,000 ounces at $357/oz maturing between June 2006 and October 2007. The delivery dates and strike price are fixed, but the quantity to be delivered during any specific month may vary from a minimum of 80 % to a maximum of 200 % of the nominal quantity based on the gold spot price (within a range of $243/oz to $450/oz) on monthly test dates set between June 2000 and December 2003.
CALL OPTIONS SOLD
As of January 31, 2000, Cambior also had commitments to deliver over the next three years up to 784,000 ounces under call options sold, as indicated in the following table:
2000 2001 2002 Total
-----------------------------------------------------------------------
Ounces (`000 oz) 100 382 302 784
Average strike price (US$/oz) 340 352 348 349
The call options expire over a two year period, from December 2000 to December 2002. They have a strike price ranging from $340 to $400 per ounce for an average price of $349 per ounce. Cambior`s contingent delivery obligation under such contracts will only take effect if the gold price is above the strike price of the relevant contract at its maturity date.
LEASE RATE SWAP
Some of the call options sold were structured with a gold lease rate swap on a total of 647,500 ounces, including 260,000 oz expiring in 2001 and 387,500 oz expiring in 2002. Under such swaps, Cambior pays the floating rate and receives a fixed rate of 1.5 % or 1.75 % per annum as stipulated for the relevant contract.
The variable forwards also include a gold lease rate swap under which Cambior pays the floating rate and receives 1.5 % per annum. The swap has the same amortization schedule as the underlying variable forward structure and applies to the nominal quantity of 984,000 ounces. Payments under the swap are payable in gold, and payments are capitalized at the prevailing gold lease rates until amortization of the underlying forward structure.
MARK-TO-MARKET VALUATION
The mark-to-market value of Cambior`s gold hedge position as of January 31, 2000, based on market conditions on such date and using a gold price of $283/oz, is estimated to constitute a liability of $41 million. Cambior also has deferred gold hedging gains of $19 million from prior periods which will be amortized over the next two years. Net of these deferred gains, the total mark-to-market value of Cambior`s gold hedge position is estimated as a net liability of $22 million as of January 31, 2000.
MARK-TO-MARKET VALUATION SUMMARY
-----------------------------------------------------------------------
January 31, 2000
-----------------------------------------------------------------------
$ Million
-----------------------------------------------------------------------
Forwards (3)
Optionality (26)
Lease Rate Swaps (12)
-----------------------------------------------------------------------
TOTAL (41)
-----------------------------------------------------------------------
Deferred gains 19
-----------------------------------------------------------------------
NET TOTAL (22)
This mark-to-market valuation was computed based on the PM fix price of $283/oz on January 31, 2000 and on reasonable estimates of short term and long term market conditions on that day using mid-market rates. This valuation is presented as an indicative valuation of the Cambior gold hedge position based on prevailing market conditions on that day. Gold market conditions (i.e. spot price, volatility, lease rates) can change materially over short periods of time and such changes may significantly affect the mark-to-market valuation estimates at any specific date. Likewise, the actual hedging gain or loss that would result from delivering into this hedge position over time may differ significantly from the indicated mark-to-market value.
The indicated estimated liability of $3 million for the forward positions includes the valuation of the fixed forward positions without the benefit of the $8 million reinvestment (i.e. forward positions at $276/oz instead of $291/oz) and also includes the valuation of the variable forwards on the basis of their nominal volumes. This valuation is essentially a function of the spot price with the forward contango as compared to the strike price of the Cambior forward positions.
The estimated liability indicated for the optionality includes the valuation of call options sold and the volume optionality imbedded in the variable volume forwards. This mark-to-market valuation is primarily a function of the spot price, current interest rates and implied volatility to maturity. This liability would normally be expected to diminish over time as contracts approach maturity, particularly if implied volatility rates return to more historically normal levels.
The estimated liability under the lease rate swaps results from the difference between the long term gold lease rate (currently 2.5 % to 3.0 % per annum) and the fixed rate of 1.5 % or 1.75 % per annum to be received by Cambior under the swap agreements. If short term gold lease rates, which are currently under 1 % per annum, remain within the range of historically average rates, these would normally expire over time at near breakeven.
The number of ounces committed (Delta) by counterparties in this hedge position is equivalent to 2.1 million ounces. This provides an indication that under the same market conditions, a $1 change in the spot price of gold would change the mark-to-market valuation by approximately $2.1 million. Furthermore, this also indicates that Cambior`s gold reserves and resources in excess of this 2.1 million ounces are unhedged and are exposed to fluctuations in the market price of gold.
SIMULATION OF HEDGE POSITION
The following table presents the simulation of the hedge portfolio under varying gold price assumptions. This simulation accounts for the impact of all instruments under current hedge commitments including the variable forwards and the call options sold.
HEDGE POSITION $300 $325 $350
-----------------------------------------------------------------------
Ounces (`000) 1,810 1,981 2,647
Average cash price ($) 320 322 327
Hedge gain (loss) ($ M) 36 (6) (60)
PV (5 %) gain (loss) ($M) 28 (9) (56)
This simulation is based on fixed prices of gold for the remaining period of the hedge position and excludes the benefit of both the $8 million reinvestment referred to above and the deferred hedging gain. The hedge gain shown compares the hedge position over time with the flat gold price indicated.
Thus, under the scenario of a flat gold price of $325/oz, the gold hedging position will deliver 2.0 million ounces at an average price of $322/oz. This would generate a present value loss of $9 million as compared to the gold price assumption of a flat $325/oz over the period.
MANAGEMENT OF HEDGE PORTFOLIO
--------------------------------------------------------------------------------
As per the agreements with its lenders and hedging counterparties, Cambior is restricted from adding new hedging positions and has committed to deliver its gold production into maturing hedge positions or the spot market. All forward positions have fixed maturities in the years indicated with monthly allocations. Cambior`s current agreements with its lenders and hedging counterparties do not provide for margin calls or other like obligations that are affected by changes in the mark-to-market valuation of the gold hedging portfolio.
Cambior Inc. is an international diversified gold producer with operations, development projects and exploration activities throughout the Americas. Cambior`s shares trade on the Toronto and American (AMEX) stock exchanges under the symbol ``CBJ``.
This press release contains certain ``forward-looking statements``, as defined in the United States Private Securities Litigation Reform Act of 1995, that involve a number of risks and uncertainties. There can be no assurance that such statements will prove to be accurate and actual results and future events could differ materially from those anticipated in such statements.
Such risks and uncertainties are disclosed under the heading ``Risk Factors`` in Cambior`s Annual Information Form (AIF) filed with the Ontario Securities Commission, the Quebec Securities Commission, the United States Securities and Exchange Commission (Form 40-F) and other regulatory authorities.
APPENDIX
-----------------------------------------------------------------------
CAMBIOR GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
(As of January 31, 2000)
GOLD FORWARD HEDGING
-----------------------------------------------------------------------
(000 ounces of gold)
2000 2001 2002 2003 2004 2005 2006 2007 Total
Fixed forward
-----------------------------------------------------------------------
Ounces (`000)(1) 290 240 205 -- -- -- -- -- 735
Average price
($/oz) 301 291 291 -- -- -- -- -- 295
Variable forward
Ounces (`000)(2) 112 192 102 102 102 102 112 160 984
Average price
($/oz) 340 340 340 340 340 340 357 357 344
Total forward
position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 102 102 102 112 160 1,719
Average cash price
($/oz) 312 313 307 340 340 340 357 357 323
-----------------------------------------------------------------------
Deferred gain
($/oz)(3) 32 13 -- -- -- -- -- -- 11
Total realizable
price ($/oz) 344 326 307 340 340 340 357 357 334
(1) These positions consist of fixed forwards on 167,531 ounces at
$308/oz maturing on a monthly basis over the period of February
2000 to May 2000 and 567,000 ounces at $291/oz maturing on a
monthly basis for the period from June 2000 to December 2002.
These latter positions include 123,000 ounces with monthly
maturities of 17,500 ounces from June to December 2000, 240,000
ounces with monthly maturities of 20,000 ounces in 2001 and
205,000 ounces with monthly maturities of 17,000 ounces in 2002.
These positions (i.e. 567,000 ounces at $291/oz) are shown on the
basis that Hedge Providers and Cambior have agreed to commit $8
million of net proceeds from asset sales to support this average
price for the fixed forwards at $291/oz. Without the support of
this $8 million, these forward positions are currently at $276/oz
and the total fixed forward positions of 735,000 ounces have an
average price of $284/oz.
(2) These positions consist of variable-volume forward contracts and
are presented in the table at the nominal volume of gold delivery
commitments. The variable-volume forwards have been contracted
under two tranches with the following terms:
The first tranche provides forwards on 576,000 ounces in 36 equal
monthly deliveries of 16,000 ounces at $340/oz from June 2000 to
December 2001, and at $356.60/oz from June 2006 to October 2007.
The quantities of gold to be delivered will be set on each test
date at the end of the months of June 2000 to December 2001, for
the deliveries of June 2000 to December 2001, as well as for the
deliveries of June 2006 to October 2007. The nominal quantities
have been set based on a gold price of $300/oz at the test date.
Actual quantities to be delivered will vary from 80 % of nominal
quantity (if the spot price of gold on the relevant test date is
$270/oz or less), to 200% of nominal quantity (if the spot price
of gold on the relevant test date is $450/oz or higher).
The second tranche consists of a very similar arrangement with a
nominal quantity of 408,000 ounces committed in 48 equal monthly
deliveries of 8,500 ounces at $340/oz from January 2002 to
December 2005. The quantities of gold to be delivered will be set
on each test date at the end of the months of January 2002 to
December 2003 for the deliveries of January 2002 to December 2003,
as well as for the deliveries of January 2004 to December 2005.
The nominal quantities have been set based on a gold price of
$270/oz at the test dates. The actual quantities deliverable under
this tranche will vary from 80 % of nominal quantity (if the spot
price of gold on the relevant test date is $243/oz or less) to 200
% of nominal quantity (if the spot price of gold on the relevant
test date is $405/oz or higher).
This variable forward structure also includes a gold lease rate
swap based on a lease rate of 1.50 % per annum. Payments resulting
from differences between the swap lease rate and actual lease
rates will be settled in gold equivalent using the same payment
schedule as the delivery schedule of the forward structure.
(3) The deferred gains were realized by the conversion of gold loans
into US dollar loans during 1997 and 1998. The balance of $18.5
million at January 31, 2000 will be amortized as follows: $12.8
million in 2000 and $5.7 million in 2001.
GOLD CALL OPTIONS SOLD
-----------------------------------------------------------------------
2000 2001 2002 Total
-----------------------------------------------------------------------
Call options sold (000) 100 382 302 784
Average price ($/oz) 340 352 348 349
The call position for 2000 consists of one contract expiring in
December at $340$/oz. The position for 2001 includes a number of
positions throughout the year at prices between $340/oz and $400/oz
for an average price of $352/oz. The 2002 positions consist of a
number of contracts for the second half of 2002 at strike prices
varying between $340/oz and $354/oz for an average of $348/oz.
Historically, these call positions, when exercised, have been
converted into spot deferred positions.
GOLD LEASE RATE SWAPS
-----------------------------------------------------------------------
2001 2002 Total
-----------------------------------------------------------------------
Swap ounces (000) 260 388 648
Fixed rate (%) 1.5 1.5 - 1.75 1.5 - 1.75
In addition, the variable forward positions detailed above have
an imbedded gold lease rate swap on 984,000 ounces at 1.5 % per annum.
The swap has the same amortization schedule as the underlying variable
forward structure and is based on the nominal quantity of 984,000
ounces. The swap is payable in gold, and payments are deferred at the
prevailing gold lease rates until amortization of the underlying
forward structure.
MARK-TO-MARKET VALUATION
-----------------------------------------------------------------------
The estimated mark-to-market valuation of the above hedging
position as of January 31, 2000, is shown below on the basis of the
spot price of $283 on January 31, 2000. The table also shows the
estimated valuation sensitivity to the spot price of gold at $300/oz
and $320/oz under the same market conditions.
$ Million 283 300 320
-----------------------------------------------------------------------
Forwards (3) (34) (72)
Optionality (26) (32) (44)
Lease rate swap (12) (13) (14)
(41) (79) (130)
Deferred gain 19 19 19
-----------------------------------------------------------------------
(22) (60) (111)
The mark-to-market estimates are derived from estimates received
from hedging counterparties and are based on a gold spot price of
$283/oz and the market conditions prevailing as at January 31, 2000.
(1) The indicated loss of $3 million for the forward positions
includes the valuation of the fixed forward positions without the
benefit of the $8 million reinvestment (i.e. forward positions at
$276/oz instead of $291/oz) and also includes the valuation of the
variable forwards on the basis of their nominal volumes. The
valuation is essentially a function of the spot price and of the
forward contango rates as compared to the strike price of the
Cambior forward positions.
Market conditions on January 31, 2000 are based on contango rates
derived from a yield curve with rates of 5.4% per annum for one
month, 5.09 % per annum for one year and 4.38 % per annum for ten
years. These contango rates are relatively high as compared to
long term historical averages. Lower contango rates would normally
reduce the forward valuation loss.
(2) The mark-to-market estimate for optionality includes call options
sold and the optionality included in the volume exposure of the
variable volume forward positions. Market conditions on January
31, 2000 assume a volatility of 15 % over three months reducing to
11 % over ten years. These levels of volatility are relatively
high as compared to long term historical averages. Lower
volatility levels and the passage of time would normally reduce
the exposure to this portion of Cambior`s hedge portfolio.
Conversely, higher volatility levels would normally increase the
exposure.
(3) The mark-to-market valuation estimate of the gold lease rate swaps
is based on the long term gold lease rate curve with rates of 2.8
% per annum over ten years as compared to fixed rate obligations
of 1.5 % per annum and 1.75 % per annum. Short term rates on
January 31, 2000 were indicating 0.6 % per annum for three months
and 0.88 % per annum for six months. Cambior normally manages its
lease rate exposure with roll-overs of three to six months and is
therefore currently benefiting from these arrangements. Based on
historical average short term rates of 1.6 %, the management of
the lease rate exposure should average close to breakeven over
time.
The number of ounces committed (Delta) by counterparties in this
hedge position is equivalent to 2.1 million ounces of gold.
Beim gegenwärtigen Goldpreis sind diese doch managebar? OK, Cambior muß schleunigst versuchen, die naked calls zu covern; die fixed forwards sind bei der jetzigen Produktion aber ungefährlich.
Gruß
Sovereign
MONTREAL--(BUSINESS WIRE)--Feb. 11, 2000-- (TSE:CBJ. - news; AMEX:CBJ - news)
All amounts in US dollars
Cambior Inc. (``Cambior``) reports its gold hedging program as of January 31, 2000 amounted to 1.7 million ounces at an average strike price of $334 per ounce. Highlights of the Cambior hedging program are provided in this press release and the program details are presented in the attached appendix.
GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
2000 2001 2002 2003 to 2007 Total
-----------------------------------------------------------------------
Fixed forward
-----------------------------------------------------------------------
Ounces (`000) 290 240 205 -- 735
Average price ($/oz) 301 291 291 -- 295
Variable forward
----------------------------------------------------------------------
Ounces (`000) 112 192 102 578 984
Average price ($/oz) 340 340 340 347 344
Total forward position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 578 1,719
Average cash price ($/oz) 312 313 307 347 323
-----------------------------------------------------------------------
Deferred gain ($/oz) 32 13 -- -- 11
-----------------------------------------------------------------------
Total realizable price($/oz) 344 326 307 347 334
-----------------------------------------------------------------------
-----------------------------------------------------------------------
The composition of the gold hedge position has not changed materially since the last update provided in Cambior`s December 23, 1999 press release, except for the delivery of gold produced by Cambior against various hedging contracts. These deliveries amounted to 80,000 ounces at $307/oz, thereby generating a cash hedging gain of $1.8 million ($23/oz) as compared to the market price of gold during this period.
The fixed forward position consists of 735,000 ounces maturing at fixed monthly delivery dates from February 2000 to December 2002. These positions include 168,000 ounces at $308/oz maturing over the next four months of 2000 and 567,000 ounces at $291/oz maturing over the next three years. These latter positions are shown on the basis that Hedge Counterparties and Cambior have agreed to commit $8 million of net proceeds from future asset sales to support this average price of $291 per ounce. Without this reinvestment of $8 million, the strike price on these forward contracts would be at $276/oz.
The variable forward position is for a nominal quantity of 984,000 ounces, maturing at fixed delivery dates from June 2000 to October 2007. This positions consists of 712,000 ounces at $340/oz maturing between June 2000 and December 2005 and 272,000 ounces at $357/oz maturing between June 2006 and October 2007. The delivery dates and strike price are fixed, but the quantity to be delivered during any specific month may vary from a minimum of 80 % to a maximum of 200 % of the nominal quantity based on the gold spot price (within a range of $243/oz to $450/oz) on monthly test dates set between June 2000 and December 2003.
CALL OPTIONS SOLD
As of January 31, 2000, Cambior also had commitments to deliver over the next three years up to 784,000 ounces under call options sold, as indicated in the following table:
2000 2001 2002 Total
-----------------------------------------------------------------------
Ounces (`000 oz) 100 382 302 784
Average strike price (US$/oz) 340 352 348 349
The call options expire over a two year period, from December 2000 to December 2002. They have a strike price ranging from $340 to $400 per ounce for an average price of $349 per ounce. Cambior`s contingent delivery obligation under such contracts will only take effect if the gold price is above the strike price of the relevant contract at its maturity date.
LEASE RATE SWAP
Some of the call options sold were structured with a gold lease rate swap on a total of 647,500 ounces, including 260,000 oz expiring in 2001 and 387,500 oz expiring in 2002. Under such swaps, Cambior pays the floating rate and receives a fixed rate of 1.5 % or 1.75 % per annum as stipulated for the relevant contract.
The variable forwards also include a gold lease rate swap under which Cambior pays the floating rate and receives 1.5 % per annum. The swap has the same amortization schedule as the underlying variable forward structure and applies to the nominal quantity of 984,000 ounces. Payments under the swap are payable in gold, and payments are capitalized at the prevailing gold lease rates until amortization of the underlying forward structure.
MARK-TO-MARKET VALUATION
The mark-to-market value of Cambior`s gold hedge position as of January 31, 2000, based on market conditions on such date and using a gold price of $283/oz, is estimated to constitute a liability of $41 million. Cambior also has deferred gold hedging gains of $19 million from prior periods which will be amortized over the next two years. Net of these deferred gains, the total mark-to-market value of Cambior`s gold hedge position is estimated as a net liability of $22 million as of January 31, 2000.
MARK-TO-MARKET VALUATION SUMMARY
-----------------------------------------------------------------------
January 31, 2000
-----------------------------------------------------------------------
$ Million
-----------------------------------------------------------------------
Forwards (3)
Optionality (26)
Lease Rate Swaps (12)
-----------------------------------------------------------------------
TOTAL (41)
-----------------------------------------------------------------------
Deferred gains 19
-----------------------------------------------------------------------
NET TOTAL (22)
This mark-to-market valuation was computed based on the PM fix price of $283/oz on January 31, 2000 and on reasonable estimates of short term and long term market conditions on that day using mid-market rates. This valuation is presented as an indicative valuation of the Cambior gold hedge position based on prevailing market conditions on that day. Gold market conditions (i.e. spot price, volatility, lease rates) can change materially over short periods of time and such changes may significantly affect the mark-to-market valuation estimates at any specific date. Likewise, the actual hedging gain or loss that would result from delivering into this hedge position over time may differ significantly from the indicated mark-to-market value.
The indicated estimated liability of $3 million for the forward positions includes the valuation of the fixed forward positions without the benefit of the $8 million reinvestment (i.e. forward positions at $276/oz instead of $291/oz) and also includes the valuation of the variable forwards on the basis of their nominal volumes. This valuation is essentially a function of the spot price with the forward contango as compared to the strike price of the Cambior forward positions.
The estimated liability indicated for the optionality includes the valuation of call options sold and the volume optionality imbedded in the variable volume forwards. This mark-to-market valuation is primarily a function of the spot price, current interest rates and implied volatility to maturity. This liability would normally be expected to diminish over time as contracts approach maturity, particularly if implied volatility rates return to more historically normal levels.
The estimated liability under the lease rate swaps results from the difference between the long term gold lease rate (currently 2.5 % to 3.0 % per annum) and the fixed rate of 1.5 % or 1.75 % per annum to be received by Cambior under the swap agreements. If short term gold lease rates, which are currently under 1 % per annum, remain within the range of historically average rates, these would normally expire over time at near breakeven.
The number of ounces committed (Delta) by counterparties in this hedge position is equivalent to 2.1 million ounces. This provides an indication that under the same market conditions, a $1 change in the spot price of gold would change the mark-to-market valuation by approximately $2.1 million. Furthermore, this also indicates that Cambior`s gold reserves and resources in excess of this 2.1 million ounces are unhedged and are exposed to fluctuations in the market price of gold.
SIMULATION OF HEDGE POSITION
The following table presents the simulation of the hedge portfolio under varying gold price assumptions. This simulation accounts for the impact of all instruments under current hedge commitments including the variable forwards and the call options sold.
HEDGE POSITION $300 $325 $350
-----------------------------------------------------------------------
Ounces (`000) 1,810 1,981 2,647
Average cash price ($) 320 322 327
Hedge gain (loss) ($ M) 36 (6) (60)
PV (5 %) gain (loss) ($M) 28 (9) (56)
This simulation is based on fixed prices of gold for the remaining period of the hedge position and excludes the benefit of both the $8 million reinvestment referred to above and the deferred hedging gain. The hedge gain shown compares the hedge position over time with the flat gold price indicated.
Thus, under the scenario of a flat gold price of $325/oz, the gold hedging position will deliver 2.0 million ounces at an average price of $322/oz. This would generate a present value loss of $9 million as compared to the gold price assumption of a flat $325/oz over the period.
MANAGEMENT OF HEDGE PORTFOLIO
--------------------------------------------------------------------------------
As per the agreements with its lenders and hedging counterparties, Cambior is restricted from adding new hedging positions and has committed to deliver its gold production into maturing hedge positions or the spot market. All forward positions have fixed maturities in the years indicated with monthly allocations. Cambior`s current agreements with its lenders and hedging counterparties do not provide for margin calls or other like obligations that are affected by changes in the mark-to-market valuation of the gold hedging portfolio.
Cambior Inc. is an international diversified gold producer with operations, development projects and exploration activities throughout the Americas. Cambior`s shares trade on the Toronto and American (AMEX) stock exchanges under the symbol ``CBJ``.
This press release contains certain ``forward-looking statements``, as defined in the United States Private Securities Litigation Reform Act of 1995, that involve a number of risks and uncertainties. There can be no assurance that such statements will prove to be accurate and actual results and future events could differ materially from those anticipated in such statements.
Such risks and uncertainties are disclosed under the heading ``Risk Factors`` in Cambior`s Annual Information Form (AIF) filed with the Ontario Securities Commission, the Quebec Securities Commission, the United States Securities and Exchange Commission (Form 40-F) and other regulatory authorities.
APPENDIX
-----------------------------------------------------------------------
CAMBIOR GOLD HEDGING PROGRAM
-----------------------------------------------------------------------
(As of January 31, 2000)
GOLD FORWARD HEDGING
-----------------------------------------------------------------------
(000 ounces of gold)
2000 2001 2002 2003 2004 2005 2006 2007 Total
Fixed forward
-----------------------------------------------------------------------
Ounces (`000)(1) 290 240 205 -- -- -- -- -- 735
Average price
($/oz) 301 291 291 -- -- -- -- -- 295
Variable forward
Ounces (`000)(2) 112 192 102 102 102 102 112 160 984
Average price
($/oz) 340 340 340 340 340 340 357 357 344
Total forward
position
-----------------------------------------------------------------------
Ounces (`000) 402 432 307 102 102 102 112 160 1,719
Average cash price
($/oz) 312 313 307 340 340 340 357 357 323
-----------------------------------------------------------------------
Deferred gain
($/oz)(3) 32 13 -- -- -- -- -- -- 11
Total realizable
price ($/oz) 344 326 307 340 340 340 357 357 334
(1) These positions consist of fixed forwards on 167,531 ounces at
$308/oz maturing on a monthly basis over the period of February
2000 to May 2000 and 567,000 ounces at $291/oz maturing on a
monthly basis for the period from June 2000 to December 2002.
These latter positions include 123,000 ounces with monthly
maturities of 17,500 ounces from June to December 2000, 240,000
ounces with monthly maturities of 20,000 ounces in 2001 and
205,000 ounces with monthly maturities of 17,000 ounces in 2002.
These positions (i.e. 567,000 ounces at $291/oz) are shown on the
basis that Hedge Providers and Cambior have agreed to commit $8
million of net proceeds from asset sales to support this average
price for the fixed forwards at $291/oz. Without the support of
this $8 million, these forward positions are currently at $276/oz
and the total fixed forward positions of 735,000 ounces have an
average price of $284/oz.
(2) These positions consist of variable-volume forward contracts and
are presented in the table at the nominal volume of gold delivery
commitments. The variable-volume forwards have been contracted
under two tranches with the following terms:
The first tranche provides forwards on 576,000 ounces in 36 equal
monthly deliveries of 16,000 ounces at $340/oz from June 2000 to
December 2001, and at $356.60/oz from June 2006 to October 2007.
The quantities of gold to be delivered will be set on each test
date at the end of the months of June 2000 to December 2001, for
the deliveries of June 2000 to December 2001, as well as for the
deliveries of June 2006 to October 2007. The nominal quantities
have been set based on a gold price of $300/oz at the test date.
Actual quantities to be delivered will vary from 80 % of nominal
quantity (if the spot price of gold on the relevant test date is
$270/oz or less), to 200% of nominal quantity (if the spot price
of gold on the relevant test date is $450/oz or higher).
The second tranche consists of a very similar arrangement with a
nominal quantity of 408,000 ounces committed in 48 equal monthly
deliveries of 8,500 ounces at $340/oz from January 2002 to
December 2005. The quantities of gold to be delivered will be set
on each test date at the end of the months of January 2002 to
December 2003 for the deliveries of January 2002 to December 2003,
as well as for the deliveries of January 2004 to December 2005.
The nominal quantities have been set based on a gold price of
$270/oz at the test dates. The actual quantities deliverable under
this tranche will vary from 80 % of nominal quantity (if the spot
price of gold on the relevant test date is $243/oz or less) to 200
% of nominal quantity (if the spot price of gold on the relevant
test date is $405/oz or higher).
This variable forward structure also includes a gold lease rate
swap based on a lease rate of 1.50 % per annum. Payments resulting
from differences between the swap lease rate and actual lease
rates will be settled in gold equivalent using the same payment
schedule as the delivery schedule of the forward structure.
(3) The deferred gains were realized by the conversion of gold loans
into US dollar loans during 1997 and 1998. The balance of $18.5
million at January 31, 2000 will be amortized as follows: $12.8
million in 2000 and $5.7 million in 2001.
GOLD CALL OPTIONS SOLD
-----------------------------------------------------------------------
2000 2001 2002 Total
-----------------------------------------------------------------------
Call options sold (000) 100 382 302 784
Average price ($/oz) 340 352 348 349
The call position for 2000 consists of one contract expiring in
December at $340$/oz. The position for 2001 includes a number of
positions throughout the year at prices between $340/oz and $400/oz
for an average price of $352/oz. The 2002 positions consist of a
number of contracts for the second half of 2002 at strike prices
varying between $340/oz and $354/oz for an average of $348/oz.
Historically, these call positions, when exercised, have been
converted into spot deferred positions.
GOLD LEASE RATE SWAPS
-----------------------------------------------------------------------
2001 2002 Total
-----------------------------------------------------------------------
Swap ounces (000) 260 388 648
Fixed rate (%) 1.5 1.5 - 1.75 1.5 - 1.75
In addition, the variable forward positions detailed above have
an imbedded gold lease rate swap on 984,000 ounces at 1.5 % per annum.
The swap has the same amortization schedule as the underlying variable
forward structure and is based on the nominal quantity of 984,000
ounces. The swap is payable in gold, and payments are deferred at the
prevailing gold lease rates until amortization of the underlying
forward structure.
MARK-TO-MARKET VALUATION
-----------------------------------------------------------------------
The estimated mark-to-market valuation of the above hedging
position as of January 31, 2000, is shown below on the basis of the
spot price of $283 on January 31, 2000. The table also shows the
estimated valuation sensitivity to the spot price of gold at $300/oz
and $320/oz under the same market conditions.
$ Million 283 300 320
-----------------------------------------------------------------------
Forwards (3) (34) (72)
Optionality (26) (32) (44)
Lease rate swap (12) (13) (14)
(41) (79) (130)
Deferred gain 19 19 19
-----------------------------------------------------------------------
(22) (60) (111)
The mark-to-market estimates are derived from estimates received
from hedging counterparties and are based on a gold spot price of
$283/oz and the market conditions prevailing as at January 31, 2000.
(1) The indicated loss of $3 million for the forward positions
includes the valuation of the fixed forward positions without the
benefit of the $8 million reinvestment (i.e. forward positions at
$276/oz instead of $291/oz) and also includes the valuation of the
variable forwards on the basis of their nominal volumes. The
valuation is essentially a function of the spot price and of the
forward contango rates as compared to the strike price of the
Cambior forward positions.
Market conditions on January 31, 2000 are based on contango rates
derived from a yield curve with rates of 5.4% per annum for one
month, 5.09 % per annum for one year and 4.38 % per annum for ten
years. These contango rates are relatively high as compared to
long term historical averages. Lower contango rates would normally
reduce the forward valuation loss.
(2) The mark-to-market estimate for optionality includes call options
sold and the optionality included in the volume exposure of the
variable volume forward positions. Market conditions on January
31, 2000 assume a volatility of 15 % over three months reducing to
11 % over ten years. These levels of volatility are relatively
high as compared to long term historical averages. Lower
volatility levels and the passage of time would normally reduce
the exposure to this portion of Cambior`s hedge portfolio.
Conversely, higher volatility levels would normally increase the
exposure.
(3) The mark-to-market valuation estimate of the gold lease rate swaps
is based on the long term gold lease rate curve with rates of 2.8
% per annum over ten years as compared to fixed rate obligations
of 1.5 % per annum and 1.75 % per annum. Short term rates on
January 31, 2000 were indicating 0.6 % per annum for three months
and 0.88 % per annum for six months. Cambior normally manages its
lease rate exposure with roll-overs of three to six months and is
therefore currently benefiting from these arrangements. Based on
historical average short term rates of 1.6 %, the management of
the lease rate exposure should average close to breakeven over
time.
The number of ounces committed (Delta) by counterparties in this
hedge position is equivalent to 2.1 million ounces of gold.
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