Mbali Ndlovu, a trader on Mafadi’s derivatives desk, works closely with Fourie to implement solutions for his clients. Fourie asks Ndlovu to review and calculate the value of a five-year ZAR20,000,000 swap into which Global Bullion entered two years ago. It is a receive-fixed, Libor-based interest rate swap with annual resets (30/360 day count). The fixed rate in the swap contract established two years ago was 3%. Exhibit 1 estimates the present value factors.

EXHIBIT 1

PRESENT VALUE FACTORS FOR FIVE-YEAR SWAP

Maturity (years) Present Value Factor 1 0.9802 2 0.9560 3 0.9311

My answer 342,400/- regarding current value of the swap. CFAI says its 344,076/-.