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.ppt

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2017-09-06 发布于江西
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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.ppt

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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

American Barrick Resources Corporation How Sensitive Would Barrick Stock Be to Changes in Gold Price in the Absence of Risk Management? Elasticity of Earnings and Profits for 1% Change in Gold Price 1% change in gold price $3.45 Number of ounces 1,280m Additional pre-tax profits $4.4m Additional after-tax profits $3.5 Additional profits as % of earnings 3.5% Cash flow = Earnings + Noncash charges = 98m + 69m = 167m Additional profits as % of cash flow 2.1% What is Barrick’s Risk Management Program? Guidelines Fully protected against price declines for 3 years output. 20-25% for next decade. Why Manage Gold Price Exposures? Arguments Pure bet on operational efficiencies for investors. Do they want that or do they want gold? Have funds available to invest when external financing is costly. Eliminating deadweight costs of distress. Tax arguments: If net income is negative, lose use of tax shields. Ownership and Risk Management If managers have large stake in firm, they don’t want the risk. Eliminating hedgeable risks makes it possible to have concentrated ownership. Barrick management owns 29.6% of Barrick for a value of $900m. Let’s look at the other firms: Exhibit 3. What Instruments Did They Use to Manage Risks? Gold Financing of Acquisitions Cullaton gold trust: 3% of mine output when gold price was below $399 per ounce. Rising to 10% when gold price was at $1,000 per ounce. How to value this? Tricky: Nonlinear Fraction paid: 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]*P Example: 0.03*600 + 0.053*600 = 32. Gold Loans Gold loan is equivalent to risk-free loan plus forward sale of gold. Forward Price and Contango To get gold at future date: Solution one: Invest at risk-free rate + Long forward. Solution two: Buy gold today. Twist: Since you don’t need gold until future date, you can lend it and earn gold lease rate. Example: Exhibit 9 Interest rate is 1