Cemex 2012 Annual Report Download - page 87

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Notes to the
consolidated
financial
statements
87
< previous I contents I next >
III. Forward instruments over indexes
As of December 31, 2012 and 2011, CEMEX held forward derivative instruments over the TRI (Total Return Index) of the Mexican
Stock Exchange, with maturity in April and July 2013. By means of these instruments, CEMEX maintained exposure to increases
or decreases of such index. TRI expresses the market return on stocks based on market capitalization of the issuers comprising
the index. Changes in the fair value of these instruments generated a gain of approximately US$1 ($13) in 2012, a loss of US$1
($13) in 2011, and a gain of approximately US$5 ($67) in 2010, recognized in the statements of operations for each year.
IV. Options on CEMEX’s own shares
In August 2011, upon their maturity, CEMEX settled through a payment of approximately US$188 ($2,346), options based on
the price of CEMEX’s ADS for a notional amount of US$500, structured within a debt transaction of US$500 ($6,870) issued in
June 2008. By means of these options, considering that the price per ADS remained below approximately US$20.5, as adjusted
as of December 31, 2010, CEMEX paid the maximum net interest rate of 12% on the related debt transaction. CEMEX could have
gradually obtained a net interest rate of zero on this debt, had the ADS price exceeded approximately US$30.4, as adjusted as
of December 31, 2010. Changes in the fair value of these options represented losses of approximately US$2 ($29) in 2011 and
US$27 ($346) in 2010.
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
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 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 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 (expense), 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 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 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
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 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 (expense), 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 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.