american barrick resources corporation - georgia state university美国巴里克资源有限公司-乔治亚州立大学

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1、AmericanBarrickResourcesCorporationHowSensitiveWouldBarrickStockBetoChangesinGoldPriceintheAbsenceofRiskManagement?ElasticityofEarningsandProfitsfor1%ChangeinGoldPrice1%changeingoldprice$3.45Numberofounces1,280mAdditionalpre-taxprofits$4.4mAdditionalafter-taxprofits$3.5Additionalprofitsas%ofear

2、nings3.5%Cashflow=Earnings+Noncashcharges=98m+69m=167mAdditionalprofitsas%ofcashflow2.1%WhatisBarrick’sRiskManagementProgram?GuidelinesFullyprotectedagainstpricedeclinesfor3yearsoutput.20-25%fornextdecade.WhyManageGoldPriceExposures?ArgumentsPurebetonoperationalefficienciesforinvestors.Dotheywa

3、ntthatordotheywantgold?Havefundsavailabletoinvestwhenexternalfinancingiscostly.Eliminatingdeadweightcostsofdistress.Taxarguments:Ifnetincomeisnegative,loseuseoftaxshields.OwnershipandRiskManagementIfmanagershavelargestakeinfirm,theydon’twanttherisk.Eliminatinghedgeablerisksmakesitpossibletohave

4、concentratedownership.Barrickmanagementowns29.6%ofBarrickforavalueof$900m.Let’slookattheotherfirms:Exhibit3.WhatInstrumentsDidTheyUsetoManageRisks?GoldFinancingofAcquisitionsCullatongoldtrust:3%ofmineoutputwhengoldpricewasbelow$399perounce.Risingto10%whengoldpricewasat$1,000perounce.Howtovaluet

5、his?Tricky:NonlinearFractionpaid:Min[(0.03+0.07*Max((P-400)/600),0),0.1]Example:600,0.03+0.07*0.33=0.053.Payoff:Min[(0.03+0.07*Max((P-400)/600),0),0.1]*PExample:0.03*600+0.053*600=32.GoldpricePayoffGoldLoansGoldloanisequivalenttorisk-freeloanplusforwardsaleofgold.ForwardPriceandContangoTogetgol

6、datfuturedate:Solutionone:Investatrisk-freerate+Longforward.Solutiontwo:Buygoldtoday.Twist:Sinceyoudon’tneedgolduntilfuturedate,youcanlenditandearngoldleaserate.Example:Exhibit9Interestrateis16.83%;leaserate2%.Costofforwardstrategyforoneyear:F/1.1683Costofspotstrategy.Sinceyougain2%byleasing,yo

7、uneed1/1.02unitsofgoldtogetoneatmaturity:S/1.02F=S*1.1683/1.02=S*1.1545orforwardexceedsspotby15.45%CollarsBarrickwaswillingtouseoptions,butonlyintheformofcostlesscollars.Buyputandsellcallsothatpremiumofputequalspremiumofcall.Examp