Notes to the consolidated financial statements

35.

DERIVATIVE FINANCIAL INSTRUMENTS

	2020 Rm	2019 Rm
Derivative financial instruments measured at fair value are made up as follows:
Interest rate swaps – cash flow hedges:
HPF	50	–
Net liabilities	50	–
Less: Current portion liability (net)	–	–
Non-current portion liability (net)	50	–
Non-current portion made up as follows:
Asset	–	–
Liability	50	–
Net liability	50	–

Hedge accounting is applied to the group’s interest rate swaps. The group’s primary interest-rate risk arises from long-term borrowings (excluding bank overdrafts). In line with group policy, a portion of the group debt is hedged.

Fixed interest rate swaps ranged from 6.69% to 7.42% as at 31 March 2020 referenced against the three-month JIBAR of 5.61% (2019: Fixed interest rate swaps ranged from 7.16% to 7.42% as at 31 March 2019 referenced against the three-month JIBAR of 7.15%).

The fair value of the group’s derivatives used for hedge accounting is a liability of R50 million (31 March 2019: Rnil) and is calculated as the present value of the estimated future cash flows based on observable yield curves, which is consistent with the prior year. As at 31 March 2020, the group’s interest rate hedges have been assessed as effective.

The notional amounts of the outstanding effective interest rate swap contracts at 31 March were:

	2020 Rm	2019 Rm
HPF
With a fixed rate of 7.24% maturing 30 June 2022	500	500
With a fixed rate of 7.42% maturing 31 March 2022	300	300
With a fixed rate of 7.16% maturing 31 March 2023	300	300
With a fixed rate of 6.685% maturing 30 September 2024	500	–
	1 600	1 100

INTEGRATED ANNUAL
REPORT 2020

Notes to the consolidated financial statements

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