| Wed 21 Nov 2007, 9:46 | | CBN - Carbon Credit Notes - Posting Of Collateral |
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JSE CBN
CBN
CBN - Carbon Credit Notes - Posting Of Collateral At The Sixth 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 SIXTH 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 80% of the collateral posted at the sixth 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 sixth mark to market date of
7 November 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 sixth mark to market date was US$23.22 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$13,870,584.
The exposure of US$13,870,584 has been collateralised by the posting
with SBSA of:
- US$11,096,467 in near cash assets; and
- non-near cash assets in the form of forward contracts for Carbon
Credits with a value of US$12,528,754,
resulting in collateral with a total value of US$23,625,221 having
been placed. The value of the collateral after discounting the value
of the non-near cash collateral by 50% equates to US$17,360,844, in
excess of the US$13,870,584 required.
Johannesburg
21 November 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: 21/11/2007 09:46:43 Produced by the JSE SENS Department.
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