Cemex 2012 Annual Report Download - page 143

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Notes to the
financial
statements
143
< previous I contents I next >
II. Derivative instruments on the price of CPO
On March 15, 2011, in connection with the offering of the 2016 Notes and the 2018 Notes and to effectively increase the
conversion price for CEMEX CPOs under such notes, CEMEX, S.A.B. de C.V. entered into a capped call transaction over approximately
160 million ADSs (94 million ADS maturing in March 2016 and 66 million ADSs maturing in March 2018), by means of which,
for the 2016 Notes, at maturity of the notes in March 2016, if the price per ADS is above US$10.4327, CEMEX S.A.B. de C.V. will
receive in cash the difference between the market price of the ADS and US$10.4327, with a maximum appreciation per ADS of
US$4.8151. Likewise, for the 2018 Notes, at maturity of the notes in March 2018, if the price per ADS is above US$10.4327,
CEMEX S.A.B. de C.V. will receive in cash the difference between the market price of the ADS and US$10.433, with a maximum
appreciation per ADS of US$6.4201. CEMEX S.A.B. de C.V. paid a total premium of approximately US$222. As of December 31,
2012 and 2011, the fair value of such options represented an asset of approximately US$226 ($2,899) and US$71 ($984),
respectively. During 2012 and 2011, changes in the fair value of these instruments generated a gain of approximately US$155
($1,973) and a loss of approximately US$153 ($1,906), respectively, recognized within “Other financial income, net” in the
statements of operations. In addition, considering that the currency in which the notes are denominated and the functional
currency of the issuer differ, CEMEX S.A.B. de C.V. separates the conversion options embedded in the 2016 Notes and the 2018
Notes and recognizes them at fair value, which as of December 31, 2012 and 2011, resulted in a liability of approximately
US$301 ($3,862) and US$58 ($806), respectively. Changes in fair value of the conversion options generated a loss in 2012 of
approximately US$243 ($3,078) and a gain in 2011 of approximately US$279 ($3,482).
On March 30, 2010, in connection with the offering of the 2015 Notes and to effectively increase the conversion price for CEMEX
S.A.B. de C.V.’s CPOs under such notes, CEMEX, S.A.B. de C.V. entered into a capped call transaction over approximately 59.1
million ADSs maturing in March 2015, by means of which, at maturity of the notes, if the price per ADS is above US$12.0086,
CEMEX S.A.B. de C.V. will receive in cash the difference between the market price of the ADS and US$12.0886, with a maximum
appreciation per ADS of US$4.6494. CEMEX S.A.B. de C.V. paid a premium of approximately US$105. As of December 31, 2012
and 2011, the fair value of such options represented an asset of approximately US$58 ($751) and US$11 ($157), respectively.
During 2012, 2011 and 2010, changes in the fair value of this contract generated a gain of approximately US$47 ($594), a
loss of approximately US$79 ($984) and a loss of approximately US$16 ($201), respectively, which were recognized within
“Other financial income, net” in the statements of operations. In addition, considering that the currency in which the notes are
denominated and the functional currency of the issuer differ, CEMEX S.A.B. de C.V. separates the conversion option embedded in
the 2015 Notes and recognizes it at fair value, which as of December 31, 2012 and 2011, resulted in liabilities of approximately
US$64 ($828) and US$8 ($120), respectively. Changes in fair value of the conversion option generated a loss of approximately
US$56 ($708) in 2012, a gain of approximately US$97 ($1,211) in 2011 and a loss of approximately US$5 ($67) in 2010.
As of December 31, 2012 and 2011, CEMEX S.A.B. de C.V. had granted a guarantee for a notional amount of approximately
US$360, in connection with put option transactions on CEMEX S.A.B. de C.V.’s CPOs entered into by Citibank with a Mexican trust
that CEMEX established on behalf of its Mexican pension fund and certain of CEMEX S.A.B. de C.V.’s directors and current and
former employees in April 2008, which fair value, net of deposits in margin accounts, represented a net liability of approximately
US$58 ($740) and US$4 ($58), as of December 31, 2012 and 2011, respectively. Changes in fair value were recognized in the
statements of operations within “Other financial income, net,” representing a gain of approximately US$95 ($1,198) in 2012, a
loss of approximately US$92 ($1,145) in 2011 and a gain of approximately US$5 ($69) in 2010. As of December 31, 2012 and
2011, cash deposits in margin accounts were approximately US$76 ($975) and US$225 ($3,137), respectively.