1 | All calculations are done on a basis of 1 tonne of Cu | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
2 | Paramters | Assumption | ||||||||
3 | d1 | Minimum discount A receives from C | In $/tonne | $10.00 | ||||||
4 | d2 | Maximum discount A receives from C | In $/tonne | $15.00 | ||||||
5 | c1 | Minimum iterations over LC term | # of circulations | 10 | ||||||
6 | c2 | Maximum iterations over LC term | # of circulations | 30 | ||||||
7 | Cu | Copper spot price | $ / tonne | 4797 | ||||||
8 | TermLC | Term for LC | months | 6 | ||||||
9 | r¥6m | 6 month China interbank rate | % | 2.849 | ||||||
10 | rLC | Margin on LC (spread over libor) | bps | 100 | ||||||
11 | $Libor | USD Libor | % | 0.9 | ||||||
12 | USD:¥ | Exchange rate | ¥ per dollar | 6.6468 | ||||||
13 | fx6m | 6 month Forward rate on USD:¥ | points | 397 | ||||||
14 | ||||||||||
15 | (Item 1) Payoff for A : Between (t1*c1) to (t2*c2) | Min | Max | |||||||
16 | $100 | $450 | ||||||||
17 | ||||||||||
18 | Payoff for B and C (combine to single entity): (In USD) | |||||||||
19 | Revenues | $679 | $2,038 | |||||||
20 | Less: | |||||||||
21 | Interest and Hedging | -$456 | -$1,367 | |||||||
22 | Margin to Party A (Item 1) | -$100 | -$450 | |||||||
23 | $124 | $221 | ||||||||
24 | ||||||||||
25 | Total Notional LC extended to Party B | $47,970 | $143,910 | |||||||
26 | Total Security provided | $4,797 | $4,797 |
