| Tue 15 May 2007, 9:59 | | CBN - Sterling Waterford CCN SPV 2 - Posting of co |
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JSE CBN
CBN
CBN - Sterling Waterford CCN SPV 2 - Posting of collateral at the fifth mark to
market date
CARBON CREDIT NOTES
ISSUED BY STERLING WATERFORD CCN SPV 2
(Incorporated in Mauritius)
(Registration number 53784c1/GBL)
Share code: CBN & ISIN code: MU0184E06084
POSTING OF COLLATERAL AT THE FIFTH MARK TO MARKET DATE
1. INTRODUCTION
As previously disclosed:
- in order to hedge its obligations to the holders of the Carbon Credit
Notes, the Issuer has concluded a hedging agreement with Ecosecurities
Limited ("Ecosecurities") for the forward delivery of Carbon Credits;
- to hedge the risk of non-delivery by Ecosecurities under the hedging
agreement, Ecosecurities is obliged, at six-monthly mark to market dates,
to post collateral equivalent to the amount by which Carbon Credit Market
Price is higher than the forward price it will receive under the hedging
agreement ("the exposure"). The collateral is to be posted with The
Standard Bank of South Africa Limited ("SBSA") as Collateral Escrow Agent;
- the Carbon Credit Market price is the US$ bid price of Carbon Credits on
the relevant date as determined by SBSA by obtaining quotes from four
nominated brokers, disregarding the lowest and highest of such quotes and
determining the average of the two remaining quotes to be the Carbon Credit
Market Price;
- the collateral to be posted by Ecosecurities must comprise a combination of
cash, near cash and non-near cash assets provided that at least 60% of the
collateral posted at the fifth mark to market date is required to be cash
and near cash assets and the value of any non-near cash assets posted as
collateral is to be discounted by 50%.
2. POSTING OF COLLATERAL
In the risk factors relating to the Carbon Credit Notes in the circular,
investors were advised that at the date of the circular there was no spot price
for Carbon Credits and that trading in Carbon Credits was limited to project
specific forward contracts.
This is still the case and, accordingly, in determining the Carbon Credit Market
price for the fifth mark to market date of 7 May 2007, the brokers polled
provided quotes for the price that they would bid for Carbon Credits which are
defined as issued Certified Emission Reductions generated in any year between
2000 and 2007 inclusive. Based on these polls, the Carbon Credit Market Price at
the fifth mark to market date was US$18.31 per Carbon Credit.
Based on the relevant Carbon Credit Market Price and the forward price under the
hedging agreement, SBSA have determined that the amount of the exposure for
which collateral needs to be placed is US$9,441,901.
The exposure of US$9,441,901 has been collateralised by the posting with SBSA
of:
- US$5,665,141 in near cash assets; and
- non-near cash assets in the form of forward contracts for Carbon Credits
with a value of US$9,471,075,
- resulting in collateral with a total value of US$15,136,216 having been
placed. The value of the collateral after discounting the value of the non-
near cash collateral by 50% equates to US$10,400,678, in excess of the
US$9,441,901 required.
Johannesburg
15 May 2007
Manager
Sterling Waterford Securities (Proprietary) Limited
Sponsor
Java Capital (Proprietary) Limited
Collateral Escrow Agent
The Standard Bank of South Africa Limited
Trustee
Sentinel International Trust Company (Proprietary) Limited
Date: 15/05/2007 09:59:01 Produced by the JSE SENS Department.
