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Riverbend's loan floats on ZARONIA, the rand overnight rate that replaces JIBAR, so the model prices every period from its parts.
ZARONIA 7.10% plus a 285 bps margin. 75% of the balance swapped to a fixed 8.40%, plus the hedge bank's 15 bps credit spread. The swap amortises with the loan, so it prices off the middle of today's ZARONIA swap curve.
Blended all-in rate:
0.75 x (8.40% + 0.15% + 2.85%) + 0.25 x (7.10% + 2.85%) = 11.04%
The same rate accrues during construction on drawn debt (R41.8m of IDC by COD), with a 0.75% commitment fee on the undrawn balance.
Then the test that matters: move ZARONIA only, keep the loan exactly as financial close set it, and re-run everything else.
+200 bps: minimum DSCR 1.53x hedged against 1.49x unhedged; equity IRR 20.7% against 19.9%.
-100 bps: the swap costs return. Unhedged equity IRR 26.2%, hedged 22.1%.
One result looks wrong until you trace it. With no shock, the unhedged loan is cheaper (R531m of interest against R589m), yet its minimum DSCR is lower: 1.50x against 1.57x.
Lower interest means more taxable income, so the unhedged deal uses its assessed loss faster. By year 9 it has less loss left and pays R19.4m of tax against R8.4m, while the repayment due stays where financial close fixed it. A model that links interest, tax and CFADS shows it.
Next: where every rand of CFADS goes.
Riverbend Solar is an illustrative case study: a fictional deal with no real counterparty.