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HEDGING
Example 3 - VARIABLE RATE LOAN WITH INTEREST RATE SWAP
COMMENT
• The fair value of the interest rate swap before settlement
swap includes the accrued interest on the swap. This
means that this fair value reflects the potential profits
before actual settlement of the net interest has taken
place.
• The net interest was settled on 30 September 20.13 and 31
March 20.14. The fair value of the interest rate swap on
these dates should therefore reflect the value after
settlement of the net interest. For this reason the net
interest included in the fair value of R56 685 (30 September
20.13) and R32 515 (31 March 20.14) is excluded when
determining the fair value of the interest rate swap.
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