|
Instrument |
|
Instrument’s main risk events |
|
Probable |
|
Scenario I |
|
Scenario II |
|
|
|
|
|
|
|
|
|
|
|
|
|
CDI vs. US$ fixed rate swap |
|
R$ depreciation |
|
(33 |
) |
(300 |
) |
(567 |
) |
|
|
|
US$ interest rate inside Brazil decrease |
|
(33 |
) |
(42 |
) |
(53 |
) |
|
|
|
Brazilian interest rate increase |
|
(33 |
) |
(35 |
) |
(37 |
) |
|
Protected item: R$ denominated debt |
|
R$ depreciation |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
TJLP vs. US$ fixed rate swap |
|
R$ depreciation |
|
(380 |
) |
(705 |
) |
(1,029 |
) |
|
|
|
US$ interest rate inside Brazil decrease |
|
(380 |
) |
(395 |
) |
(409 |
) |
|
|
|
Brazilian interest rate increase |
|
(380 |
) |
(405 |
) |
(427 |
) |
|
|
|
TJLP interest rate decrease |
|
(380 |
) |
(403 |
) |
(425 |
) |
|
Protected item: R$ denominated debt |
|
R$ depreciation |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
TJLP vs. US$ floating rate swap |
|
R$ depreciation |
|
(54 |
) |
(83 |
) |
(112 |
) |
|
|
|
US$ interest rate inside Brazil decrease |
|
(54 |
) |
(54 |
) |
(56 |
) |
|
|
|
Brazilian interest rate increase |
|
(54 |
) |
(55 |
) |
(57 |
) |
|
|
|
TJLP interest rate decrease |
|
(54 |
) |
(55 |
) |
(56 |
) |
|
Protected item: R$ denominated debt |
|
R$ depreciation |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
R$ fixed rate vs. US$ fixed rate swap |
|
R$ depreciation |
|
25 |
|
(57 |
) |
(138 |
) |
|
|
|
US$ interest rate inside Brazil decrease |
|
25 |
|
13 |
|
1 |
|
|
|
|
Brazilian interest rate increase |
|
25 |
|
(2 |
) |
(25 |
) |
|
Protected item: R$ denominated debt |
|
R$ depreciation |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
IPCA vs. US$ fixed rate swap |
|
R$ depreciation |
|
(34 |
) |
(150 |
) |
(266 |
) |
|
|
|
US$ interest rate inside Brazil decrease |
|
(34 |
) |
(39 |
) |
(44 |
) |
|
|
|
Brazilian interest rate increase |
|
(34 |
) |
(50 |
) |
(64 |
) |
|
|
|
IPCA index decrease |
|
(34 |
) |
(43 |
) |
(52 |
) |
|
Protected item: R$ denominated debt |
|
R$ depreciation |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
IPCA vs. CDI swap |
|
Brazilian interest rate increase |
|
85 |
|
53 |
|
25 |
|
|
|
|
IPCA index decrease |
|
85 |
|
67 |
|
50 |
|
|
Protected item: R$ denominated debt linked to IPCA |
|
IPCA index decrease |
|
n.a. |
|
(67 |
) |
(50 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
EUR fixed rate vs. US$ fixed rate swap |
|
EUR depreciation |
|
23 |
|
(158 |
) |
(338 |
) |
|
|
|
Euribor increase |
|
23 |
|
15 |
|
8 |
|
|
|
|
US$ Libor decrease |
|
23 |
|
6 |
|
(12 |
) |
|
Protected item: EUR denominated debt |
|
EUR depreciation |
|
n.a. |
|
158 |
|
338 |
|
|
Instrument |
|
Instrument’s main risk events |
|
Probable |
|
Scenario I |
|
Scenario II |
|
|
|
|
|
|
|
|
|
|
|
|
|
Bunker Oil protection |
|
|
|
|
|
|
|
|
|
|
Forwards and options |
|
Bunker Oil price decrease |
|
— |
|
— |
|
— |
|
|
Protected item: Part of costs linked to bunker oil prices |
|
Bunker Oil price decrease |
|
n.a. |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
Nickel sales fixed price protection |
|
|
|
|
|
|
|
|
|
|
Forwards |
|
Nickel price decrease |
|
24 |
|
(6 |
) |
(37 |
) |
|
Protected item: Part of nickel revenues with fixed prices |
|
Nickel price fluctuation |
|
n.a. |
|
6 |
|
37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase protection program |
|
|
|
|
|
|
|
|
|
|
Nickel forwards |
|
Nickel price increase |
|
(0 |
) |
(1 |
) |
(2 |
) |
|
Protected item: Part of costs linked to nickel prices |
|
Nickel price increase |
|
n.a. |
|
1 |
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Copper forwards |
|
Copper price increase |
|
(0.0 |
) |
(0.2 |
) |
(0.3 |
) |
|
Protected item: Part of costs linked to copper prices |
|
Copper price increase |
|
n.a. |
|
0.2 |
|
0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
WPM warrants |
|
WPM stock price decrease |
|
39 |
|
19 |
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Conversion options - VLI |
|
VLI stock value increase |
|
(57 |
) |
(92 |
) |
(137 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Options - MBR |
|
MBR stock value decrease |
|
251 |
|
150 |
|
74 |
|
|
Instrument |
|
Main risks |
|
Probable |
|
Scenario I |
|
Scenario II |
|
|
|
|
|
|
|
|
|
|
|
|
|
Embedded derivatives - Raw material purchase (nickel) |
|
Nickel price increase |
|
1 |
|
(7 |
) |
(14 |
) |
|
Embedded derivatives - Raw material purchase (copper) |
|
Copper price increase |
|
0 |
|
(5 |
) |
(9 |
) |
|
Embedded derivatives - Gas purchase |
|
Pellet price increase |
|
(2 |
) |
(4 |
) |
(7 |
) |
|
Embedded derivatives - Guaranteed minimum return (VLI) |
|
VLI stock value decrease |
|
(133 |
) |
(262 |
) |
(472 |
) |