13. |
Derivative financial instruments |
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Cross Currency Interest Rate Swap |
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| Implats entered into a Cross Currency Interest Rate Swap (CCIRS) amounting to US$200 million to hedge certain aspects of the foreign exchange risk on the US dollar convertible bonds, being: exchange rate risk on the dollar interest payments is hedged and the risk of a future cash settlement of the bonds of a rand/dollar exchange rate weaker than R9.24/US$ is hedged. No hedge accounting has been applied. (US$200 million was swapped for R1 848 million on which Implats pays a fixed interest rate to Standard Bank of 5.94%. Implats received the 1% coupon on the US$200 million on the same date which Implats pay-on externally to the bond holders. At February 2018 Implats will repay the R1 848 million in return of the US$200 million.) | |||
| 2014 Rm |
2013 Rm |
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| The CCIRS with Standard Bank was valued at R332 (2013: R90) million | |||
| Opening balance | 90 | – | |
| Interest payment | 110 | – | |
| Interest received | (21) | – | |
| Fair value adjustment – income | 153 | 90 | |
| Closing balance | 332 | 90 | |
| US dollar bond conversion option | |||
| The conversion option on the US$200 million bond was valued at R18 (2013: R30) million. The option value was calculated using the binomial option model. Refer note 3 for key assumptions used. | |||
| Opening balance | 30 | – | |
| Grant date option value | – | 137 | |
| Fair value adjustment – income | (12) | (107) | |
| Closing balance | 18 | 30 |