company financial statements
NOTES TO THE COMPANY FINANCIAL STATEMENTS – for the year ended 30 June 2014

   

5.  

Derivative financial instruments  

 
Cross Currency Interest Rate Swap  
 

Implats entered into a Cross Currency Interest Rate Swap (CCIRS) amounting to US$200 million to hedge certain aspects of the foreign exchange risk on the US$ convertible bonds, being: exchange rate risk on the dollar interest payments is hedged and the risk of a future cash settlement of the bonds at 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.) 

  The CCIRS with Standard bank was valued by external valuators at R332 (2013: R90) million.  
    2014  
Rm  
2013  
Rm  
  Opening balance   90   –  
  Interest payment   110   –  
  Interest received   (21)  –  
  Fair value adjustment   153   90  
  Closing balance   332   90  
 
US$ 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 due option value   –   137  
  Fair value adjustment   (12)  (107) 
  Closing balance   18   30