Resident Money Market and Investment Funds Return (MMIF) Worked examples - derivatives, securities borrowing/lending and overdrafts

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1 Resident Money Market and Investment Funds Return (MMIF) Worked examples - derivatives, securities borrowing/lending and overdrafts Version 2 March Website:

2 Contents Lending/Borrowing, including Repurchase Agreements and Reverse Repurchase Agreements... 2 borrowing...2 lending...3 lending and borrowing...4 s... 5 Swaps...5 Forward Contract...7 Exchange Traded Futures and Options...8 OTC Options bought and sold...9 Contract for difference (CFD) Accounts with Overdraft Facilities

3 Lending/Borrowing, including Repurchase Agreements and Reverse Repurchase Agreements The securities lending and borrowing worksheets, and the securities lending cells in the A-Equities (3.1.3) and A-Debt (3.2.3), capture the reporting requirement for securities lending and securities borrowing. Where securities borrowed are subsequently short sold, this needs to be reported on security-bysecurity on the A-Equities and A-Debt worksheets. NB, where borrowed securities are not short sold; they should not be recorded on the A-Equities or A-Debt worksheets. All cash movements in these arrangements are recorded. borrowed or lent are only recorded if they are not collateral only. employed as collateral only means that the recipient of the securities can only reuse the securities in the event of the counterparty defaulting on the agreement. The examples below relate to securities borrowing, securities lending and a combination of both. Example 1: borrowing A Fund undertakes 4 transactions: Row 1: A reverse repo with another Irish Fund, rolled over on a daily basis, which lends 100,000 in cash and takes in 102,000 in securities as collateral into an escrow account, started 4 working days before end. Fees receivable accumulate at a rate of 200 per day and are paid daily. The daily rollovers of the 100,000 lent out accumulate in transactions. The closing position is the 100,000 cash lent out. The 102,000 in securities are collateral and are not recorded. Funds receivable amount to 800 by -end and are all paid so none accrue. Rows 2 and 3: A securities borrowing arrangement with another Irish Fund where; 1) 50,000 in securities are borrowed, all with permission to be re-used, and 51,000 in securities is provided to the other Fund as collateral. 2) 20,000 of the above borrowed securities are re-used as collateral in order to borrow 20,000 more securities from a US Fund, and 25,000 are short-sold. The 20,000 in borrowed securities from the US Fund are also short-sold. Where no cash is involved, there are no records in market movements. All securities that can be either re-used as collateral or short-sold are recorded as securities borrowing, i.e. the 50,000 in securities originally borrowed and the 20,000 in securities borrowed following rehypothecation but not the 51,000 in securities originally provided as collateral. All short-sold securities should be recorded in the A-Equities or A-Debt worksheets. Under rehypothecation, the split between securities re-used as collateral and securities short-sold is on the basis of totals for all securities borrowed, i.e. this should be recorded on the total line in and no individual breakdown is necessary. borrowed are not recorded in the A-Equities or A-Debt, as the exposure to market movements in these securities remains with the counterparty (except where the borrowed securities are subsequently short-sold). 2

4 Row 4: 2 reverse repos with Barclays bank in the UK, lending 200,000 in cash and taking in securities as collateral, and RBS bank in the UK, lending 50,000 in cash and taking in securities as collateral. Since both of these instruments have the same characteristics for all non-market movement columns, they can be merged into one row. Section 3.4: Borrowing and Reverse Repurchase Agreements Instrument Cash Movements Increases 3..2 Decreases Value of Borrowed Rehypothecation Sold Reused as Collateral Interest Instrument Characteristics 650, , , , , , , , , EUR IE IF 1 01/04/14 2 EUR 50, IE IF 1 07/04/14 2 USD 20, US IF 1 07/04/ , , STG UK DTC 1 01/04/ Original Section 3.2: Debt Other Market Price per Security at end Amount of involved in Lending Interest Interest Contractual Price / Par Value Yield Investment Grade Purchases Sales , ISIN XXX , , AA 31/06/15 ISIN XXX , , AAA 31/12/21 Example 2: lending A Fund undertakes 2 transactions: A repo in which the Fund borrows 1,000,000 from a US bank and lends 1,005,000 in debt securities to the bank. This repo is rolled over on each of the 2 days before -end. Fees are payable and paid at 200 per day. A securities lending arrangement in which the Fund lends 2,000,000 in debt securities to a German bank and receives 2,010,000 in debt securities as collateral. The cash element of the repo is recorded under cash movements. As there is no cash element to the securities lending arrangement, it is not recorded in Section 5.2. The securities lent out are recorded as totals only in Section 3.1 and/or Section 3.2. In this case, the 1,005,000 in debt securities lent out in the repo and the 2,000,000 in debt securities lent out in the securities lending arrangement are combined as a total in the Debt worksheet in column Amount of position involved in Lending. 3

5 lent out continue to be recorded on a security-by-security basis as the Fund remains exposed to market movements in securities lent out. Section 5.2: Lending and Repurchase Agreements Instrument Cash Movements Interest/Fees Interest Instrument Characteristics Increases Section 3.2: Debt Decreases Original ,000, ,000, ,000, ,000, ,000, ,000, US DTC 1 01/04/ Amount of involved in Lending Interest Interest Other Identificatio n Market Price per Security at -end Contractual Price / Par Value Yield Investment Grade Purchases Sales 3,005, ,005, ,005, YYY ,005, ,005, AA 31/06/15 1 YYY ,000, ,000, AAA 31/12/21 Example 3: lending and borrowing A Fund undertakes the following transaction: are lent to a US Fund amounting to 1,000,000, with permission to be re-used, in exchange for equity securities borrowed from the US Fund, amounting to 1,000,000. The securities borrowed are short sold. This is treated as both securities borrowing and securities lending. As no cash is involved, cash movements within the Lending and Borrowing worksheets are not filled in. In fact, the Lending worksheet is ignored. The securities lent out are recorded on the A- Equities worksheet. The securities borrowed are recorded in column of the Borrowing worksheet. The short-sold securities are recorded in both the Borrowing worksheet, under rehypothecation, and in the A-Equities worksheet. 4

6 Section 3.4: Borrowing and Reverse Repurchase Agreements Instrument Cash Movements 3..1 Increases Decreases Value of Borrowed Rehypothecation Sold Reused as Collateral Interest ,000, ,000, Instrument Characteristics 2 USD 1,000, US IF 1 07/04/ Original Section 3.1: Equities Other Identificatio n Market Movements Purchases Sales Market Price per Share at -end Amount of involved in Lending Dividends Dividends (line-by-line option) Instrument Characteristics Instrument Quoted/Unq uoted ,000, ,000, ,000, Non-ISIN coded securities only: 2 XXX1234 1,000, ,000, USD 1 1 US NFC Issuer s For all derivative positions, the following rules apply: All settlement receipts or payments are recorded as transactions under market movements these are realised gains/losses. Other receipts or payments, such as trading fees, are recorded as income or expenses receivable, payable or accrued; Initial margin, since it is repayable, should be recorded in the Other Assets and Other Liabilities worksheets, not in the derivatives worksheet; to margin accounts to maintain the initial margin after gains/losses are essentially realised gains/losses and so are recorded as transactions; Premium payments, such as for exchange traded options, are recorded as transactions in derivatives; Only if the derivative contract has expired, the following fields are not required: nominal amount (.4), or any of the columns in - derivative type, underlying asset type, long/short and maturity date. Where there is no closing position but the derivative contract remains in place, these fields are required, such as where daily settlement occurs. The following examples relate to Swaps, Forward Contracts, Exchange Traded Futures and Options, OTC Options and Contracts for Difference. Swaps Swaps can be recorded on either one or multiple rows, where one row reflects the merging of valuations and characteristics of each leg and multiple rows reflect the separation of each leg of a swap. 5

7 For the long/short column,.3, this is only filled in where the Fund is long or short just one leg, where the other leg or legs represent fixed payments. Otherwise, it can be left blank. For example, in the interest rate swap example below, the Fund is only long with respect to the floating interest rate, not the fixed payments. Example: Interest rate swap The Fund enters into an interest rate swap where it pays a fixed annual rate of interest of 4%, paid ly, on a notional amount of 10 million which expires in 6 months. The counterparty agrees to pay to the Fund ly LIBOR + 1% on the same notional amount, ly, over a period of 6 months. Table: Background information for valuing swap market movements Time period (t) LIBOR futures + 1% Quarterly floating interest rate Quarterly fixed interest rate Fund receipts Fund payments Net receipts Discount factor Valuation of Fixed leg Q , , , ,750 Q , , ,776 The net present value (NPV) of the floating leg of the swap is 10m ( 10m x.9776) = 224,000. The NPV of the fixed leg of the swap is 98, ,776 = 196,526. This represents the combination of the value of the fixed leg in Q1 and the value of the fixed leg in Q2 payments multiplied by discount factors. For the Fund, the net value of the swap is 27,474 ( 224, ,526), before any receipts or payments. The Fund receives a fee of 1,000 per, payable when the derivative matures. This is in addition to settlement payments on the derivative. In Q1, the value of the swap at closing is the unrealised gain of 14,794, which is the total gain of 27,474 less the 12,500 received in the. In Q2, the balance of the swap is paid upon settlement, which we assume here is the unrealised gain from Q1. receivable and accrued is reported only once where more than one leg is reported. In Q2, the change in position of - 1,000 reflects the fact that 1,000 in fees fell due in the while 2,000 was paid upon maturity. The example presents both choices netting both legs or reporting each leg separately. Where more than one leg of a derivative is reported separately, market movements are reported in gross terms. So transactions reflect the 112,500 received on the floating leg and the 100,000 paid on the fixed leg, even though the actual payment was likely to have been the net 12,500. positions for each leg are the NPV of the leg minus these gross transactions. amounts for swaps refer to the amount of the underlying asset upon which the percentage cash flows are based. In this example, the nominal amount is 10 million. 6

8 Q1.1 Other Amount , , , , , Asset.3 1 TW000GTFF406 12,500 14,974 10,000, EUR 1,000 1,000 1,000 1 de 1 31/03/14 UK DTC OR 1 TW000GTFF ,000-96,526 10,000, EUR 1 d 31/03/14 UK DTC 1 TW000GTFF , ,500 10,000, EUR 1,000 1,000 1,000 1 e 1 31/03/14 UK DTC Q2.1 Other Amount , , , , Asset.3 1 TW000GTFF406 14,974 14,974 EUR 1,000-1,000 UK DTC OR 1 TW000GTFF406-96,526 96,526 EUR 1,000-1,000 UK DTC 1 TW000GTFF , ,500 EUR UK DTC Forward Contract These contracts should be recorded at mark to market rates using spot exchange/interest rates prevailing at the beginning/end of the period. Example The Fund enters into a forward contract with a US bank at end-february to buy $10 million for euro ( ) at a rate of 1 = $1 at end-may. At the start of the contract, the contract has a value of zero. At the end of the, the forward rate is 1 = $0.95. So the mark to market position is positive for the Fund Q1 and should be reported as an asset: ($10,000,000/0.95) ($10,000,000/1.00) = 526,315; The forward contract is worth 526,315 at the end of Q1 to the Fund. This is an unrealised gain and should be recorded by the Fund as a closing position. are only recorded when there is a realised gain/loss at the expiry of the forward contract. At the time of delivery in Q2 the market rate is 1 = $1.05 and the forward contracts value is: ($10,000,000/1.05) ($10,000,000/1.00) = - 909,091. Therefore, the forward contract is now worth - 909,091 at expiry. This is recorded as a transaction (realised loss) and the position is closed out. 7

9 The nominal amount is the amount of underlying asset upon which the cash flows are based. In this example, the nominal amount is 10,526,315 ($10,000,000 converted at a spot rate (assume equals forward rate for simplicity) rate of 1 = $0.95). Q1.1 Other Amount , Asset.3 4 BBGG00FGHI 526,315 10,526, USD 5 f 1 15/04/14 US DTC Q2.1 Other Amount , , Asset.3 4 BBGG00FGHI 526, ,091 USD US DTC Exchange Traded Futures and Options /closing positions are recorded at zero as exchange traded derivatives have daily settlement of positions. Where the contract has not expired at -end, the nominal amount and instrument characteristics fields are filled; Daily settlements arising from variation margin calls result in receipts from/payments to your margin accounts with the clearing house should be recorded as transactions; If the option results in a transaction in the underlying financial instrument, this should be recorded under the appropriate instrument worksheet; A central clearing counterparty, such as an exchange, is classified in the OFI sector. Example: Futures contract A Fund buys a commodities futures contract that agrees to buy 100,000 barrels of oil at a price of $91.50 on the London stock exchange at the end of Q1. The contracts are held for 4 days and are closed out in Q2. The Fund reports in US dollars. The daily price movements and variation payments are as follows: Quarter Day Price at which contract is traded price Price Movement Variation Margin (cash flow) Q1 1 Bought at ,000 Q ,000 Q ,000 Q2 4 Sold at ,000 8

10 On day 1, the variation margin reflects the movement in the closing price per barrel of oil multiplied by the number of barrels in the contract ($0.10 x 100,000 = $10,000). Due to daily settlement, this is a realised gain under transactions. Any initial margin is recorded in the Other Assets worksheet. On day 2, a $5,000 payment is similarly calculated and the closing position is zero since all gains/losses have been realised. The nominal amount, the total upon which cash flow percentages are calculated, is the number of contracts multiplied by the price of the underlying asset at end (100,000 x = $9,155,000). Similarly, on day 3, there is no opening position. On day 4 the position closes out so there is no closing position at the end of Q2 and, with the expiry of the contract, no requirement for the nominal amount or instrument characteristics. Since no barrels of oil are purchased or sold by the Fund, there is no impact on any non-derivative worksheet. Q1.1 Other Amount Asset , ,00 4 BBG004QJLTVO 10,000 5,000 9,155, USD 6 G 1 04/04/14 GB OFI Q2.1 Other Amount , ,00.1 Asset.3 4 BBG004QJLTVO 30,000 5,000 USD GB OFI OTC Options bought and sold For options bought, the related premium payments should be recorded as transactions payments; For options sold, the related premium receipts should be recorded as transactions receipts; If the option is exercised, the net settlement flows should be recorded by the purchaser as transactions in derivatives. Example: OTC Option bought A Fund purchases an OTC call option (buying the right to purchase the stock at a fixed price) in Q1 on an equity currently trading at 1 from a US investment corporation. If the Fund sells a put option (selling the right to the counterparty to sell the stock to the Fund at a fixed price), the recording below also applies. The premium is The strike price is The market price of the equity at the expiry date 3 months later in Q2 is

11 At the end of Q1, the market price of the equity was The option is for 10,000,000 shares. The premium payment of 600,000 (10,000,000 x 0.06) is recorded as a transaction. The option has an unrealised value of 200,000 at the end of Q1 (10,000,000 x 0.02). This is the difference between the strike price and the prevailing price. The nominal amount is the end- share price multiplied by the number of shares in the contract (10,000,000 x 1.17), which is 11,700,000. At expiry in Q2, the Fund records a transaction of 500,000 (10,000,000 x 0.05). This is the difference between the strike price and the prevailing price at settlement. When the option is triggered, the equities purchased should be valued at the prevailing market price of 11,200,000 (i.e. 10,000,000 x 1.20) and recorded under purchases in equity assets transactions in Section 3.1. Q1.1 Other Amount , , Asset.3 1 TW000GTFF , ,000 11,700, EUR 2 a 1 15/05/14 US NFC Q2.1 Other Amount , , Asset.3 1 TW000GTFF , ,000 EUR US NFC Example: OTC Option sold A Fund sells an OTC call option (sell to the counterparty the right to purchase the stock from the Fund at a fixed price) in Q1 on an equity currently trading at 1 to a UK bank. If the Fund buys a put option (buying the right to sell the stock at a fixed price), the recording below also applies. The premium is The strike price is The price at end-q1 is The market price of the equity at the expiry date 3 months later in Q2 is The option is for 1,000,000 shares. The premium receipt is 30,000 (1,000,000 x 0.03) is recorded as a transaction. 10

12 At end-q1, the Fund records a closing position of 10,000, which is the 0.01 difference between the end-q1 market price and the strike price multiplied by 1,000,000 shares. The nominal amount at end-q1 is 97,000 (1,000,000 shares multiplied by 0.97). When the option is triggered, the Fund makes a payment of 10,000 which reflects the total profit on the option of 40,000 (the 0.04 difference between the market price and the strike price multiplied by 1,000,000 shares) minus the premium receipt of 30,000. The equities sold should be valued at the prevailing market price of 94,000 (i.e. 1,000,000 x 0.94) and recorded under sales in equity assets transactions in Section 3.1. Q1.1 Other Amount / Expenses , , Asset.3 1 TW000GTFF406 30,000 10,000 97,000 EUR 1 a 1 10/05/14 GB DTC Q2.1 Other Amount / Expenses , , Asset.3 1 TW000GTFF406 10,000 10,000 EUR GB DTC Contract for difference (CFD) A minimum margin has to be maintained for CFDs. Cash flows to/from the Fund to maintain this minimum margin are recorded as transactions; CFDs have no expiry date and can be exercised at any time during the contract. Example: CFD bought A Fund takes a long CFD position with a German bank that bets on the price of a German company. The share price of the German company is in Q1. The CFD provider is quoting an offer price of Buy 1,000,000 CFDs for the above company (1,000,000 x 10.52) = 10,520,000. The initial margin requirement in relation to this German company is 5%, is recorded in other assets ( 10,520,000 x 0.05) = 526,000. The price drops to on day 2, so a payment needs to be made into the margin account as follows (1,000,000 x 0.12 x 0.05) = 6,000. This is a transaction payment. 11

13 The price drops to and the Fund decides to close out the position (1,000,000 x x 0.05) = 515,000. The net loss is 10,000 which is recorded as a transactions payment. Quarter Day Price at which contract is traded price Price Movement Margin of 5% Cash flow required to maintain initial margin Q1 1 Bought at ,000 Q ,000 Q2 3 Sold at ,000 5,000 Q1.1 Other Amount / Expenses ,00.1 Asset.3 4 NGH ,000 10,520,000 EUR 7 a L DE DTC Note: 526,000 is recorded as a transactions increase and closing position in the Other Assets worksheet. Q2.1 Other Amount / Expenses ,00.1 Asset.3 4 NGH ,000 EUR DE DTC Note: 526,000 is recorded as an opening position and transactions decrease in the Other Assets worksheet. Accounts with Overdraft Facilities A Fund, reporting in euro, has 4 accounts with overdraft facilities: Account 1, in euro with an Irish Bank, opens with positive balance of 1,000,000. Cash paid in amounts to 550,000 in the and cash paid out amounts to 40,000. Interest receivable is 1,000 of which 500 is paid. Note that cash in and cash out are both recorded as positive figures. The system automatically assumes transactions decreases represent a cash outflow; Column , Interest accrued - change in, represents the interest receivable but not received, i.e. accrued. 12

14 Account 2, in US dollars with a US bank, opens with an overdraft of negative $6,000. Over the, it repays and closes the account. Interest payable and paid amounts to $150. The exchange rate is 1:$1.5 at the start of the and 1:$1.2 when the account closes. All figures must be converted into euro: 6,000 at 1:$1.5 = 4,000, interest payable = $150 at an average exchange rate of $1.35 = ; Exchange rate differences account for the fact that the transaction increase more than offsets the opening balance even though the account is closing. Account 3, in euro with an Irish bank, opens with a positive balance of 250,000. Over the, it withdraws 320,000 from the account and finishes in an overdraft position of 70,000. Interest receivable is 500 and interest payable is 100, none of which is received or paid. An account moving from a positive to a negative figure only requires one row of data; Interest receivable/payable and accrued are net figures. 400 is the balance between interest receivable, of 500, and payable, of 100. Account 4, in euro with an Irish bank, opens with an overdraft of negative 100,000. Over the, it borrows another 50,000 and moves further into overdraft. Interest accrued amounts to 2,000, none of which is paid. Q1 and closing positions are negative but not transactions; Any interest accrued but not paid accumulates in and Account Movements Interest / Interest Debtor/Creditor Increases Decreases 1,250, , , ,460, , , , , , , ,000, , , ,460, EUR 1, IE DTC -4, , USD US DTC 250, , , EUR IE DTC -100, , , EUR -2, , , IE DTC 13

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