RMA Committee on Securities Lending
|
|
- Brenda Underwood
- 8 years ago
- Views:
Transcription
1 RMA Committee on Securities Lending Statement of Best Practice Valuation of Accrued Interest and Collateral held against loans of Fixed Income securities borrowed under an MSLA Goal of this paper The U.S. Securities Lending and Borrowing (SLB) industry has a variety systems at its disposal for automating the various processes involved in maintaining open loan positions, and ensuring the loan collateral valuations meet contractual requirements agreed between the parties to the loan. However, the language of the industry s commonly used contractual agreements does not provide enough detailed guidance on the methodology of determining collateral value. This paper seeks to provide sufficient clarity on the appropriate method for determining collateral value. This is viewed as necessary guidance for the various software vendors who provide software tools and services to the industry. Background on bonds and US accounting treatment In essence, a bond is a contractual agreement between 2 parties an issuer and an investor to exchange a stream of payments. While there are variations from bond to bond, in the most basic example, an issuer receives an up-front principal payment from an investor, and in exchange agrees to pay the principal amount back to the investor at a future maturity date, and a series of interest payments at agreed upon payment dates. Interest payments are sometimes called coupon payments, giving rise to the commonly used term coupon date. US accounting rules state that investors who hold interest-bearing bonds should track the number of days between the most recent and the next interest payment dates. Each business day, they will record on their accounting records an Interest Receivable equal to: (Interest amount / # of days in payment period ) * # days since last update. This record keeping is called accruing interest. On the interest payment date, two actions happen: a) the receipt of the payment reduces the prior day s Interest Receivable balance, and b) the investor continues the accrual process so that the Interest Receivable balance is increased by the appropriate number of calendar days since the last accrual. Valuation of bonds The bond market functions to assign a price to each bond, which is used to determine its market value. For bonds which pay periodic interest, this price has two components, both commonly expressed as a percentage: 1. The Clean Price. This is market value of the instrument itself, and is the price bond investors have assigned to all the future payments of interest and principal except the next interest payment. Page 1 of 6 Published: March 1, 2013
2 2. The Accrued Interest. This represents the Interest Receivable for the next interest payment due to the bond holder. If an investor sells a bond, he will only do so if he is compensated for the Interest Receivable balance he has recorded on his books, but for which he has not yet been paid. If he were not compensated, he would have to write down the receivable, and record a loss. The Accrued Interest is determined by dividing the Receivable by the quantity of shares. Both components give us the bond s Dirty Price : ( Clean Price% + Accrued Interest% ) Both of these valuation components are well understood, and practices for determining their values are well defined. Application to Securities Lending and Borrowing (SLB) Several components are used to calculate the collateral value for fixed income securities: 1. The most recent market clean price of the asset on loan there are a number of data services that provide this information. 2. The agreed-upon additional collateral required by the lender, commonly called the margin or haircut. This is generally expressed as a percentage of the market price, and functions as a cushion to secure against price swings in the market. 3. The accrued interest. 4. Rounding of the Price per share. This serves as a computational convenience to allow the parties to deal in round numbers. There are a variety of legal agreements under which SLB participants operate. In the US, the most commonly used agreement is the Master Securities Lending Agreement (MSLA). The MSLA language is excerpted in Appendix A, and provides that market participants can determine whether it is market practice to apply the margin to the clean price or dirty price. It is established that US market practice is to value collateral as follows: Collateral Price = ((Clean Price% * Margin %) + Accrued Interest%), rounded up Collateral Value = (Collateral Price * Share Quantity) The process of maintaining the collateral value at appropriate levels is accomplished via the mark-tothe-market (mark) process which revalues individual loans, generally on a daily basis. Marking to market serves to protect both the lender and the borrower in the event of a contra party default by ensuring the loan collateral is close to the value of the underlying security. It ensures that the lender has received sufficient collateral from the borrower to repurchase the assets on loan in the event of a contra party default; on the other side, the mark ensures that the borrower is holding sufficient value in the securities borrowed to recover his collateral in the event of a lender default. In the US in particular, there are very specific regulatory expectations that shape the process. These practices are well defined and well understood in the marketplace, which has led to a very high degree of automation in the mark process. Best practice recommendation How many days to accrue interest? Page 2 of 6 Published: March 1, 2013
3 A gap does exist, related to the application of accrued interest in the price and value calculation. While the calculation of a single day s accrued interest is well understood, the number of days of accrued to apply to the mark price on any given day is open to interpretation. The MSLA and other documents that govern lending practices are vague on this subject. So, returning to our formula for Collateral Price ((Clean Price% * Margin %) + Accrued Interest%) how many days should we count when determining the Accrued Interest? We believe that the strongest case can be made for using the same methodology that is used in the cash markets, where bonds are bought and sold. Established practice is to begin accrual on the date of the most recent cash event interest payment date, purchase date, or issue date and to end accrual on the date of the most recent calendar date. So a loan booked or marked on a Friday would include interest accrued through Thursday. If booked or marked on a Monday, it would include interest accrued through Sunday. Conclusion In conclusion, we are recommending the RMA endorse the concept that interest should accrue from the most recent payment date through the most recent calendar date. This is applicable to both initial collateral valuations of new loans and variation collateral requirements of existing loans. This seems particularly beneficial as the industry seeks to further automation in the re-pricing/markto-market process for a larger universe of assets and loans. In the traditional fixed income markets (Fed-eligible government or agency bonds) re-pricing is a relatively manual procedure involving active reconciliation and pre-agreement on prices and terms. Because there is substantial human intervention in the process, differing views on the application of accrued interest are worked out by the individuals performing the task. As we contemplate a more automated environment, agreement on this valuation methodology will be necessary to support re-pricing automation. Page 3 of 6 Published: March 1, 2013
4 Appendix A: MSLA language on determination of Market Value Market Value Unless otherwise agreed by Borrower and Lender: 1. If the principal market for the Securities to be valued is a national securities exchange in the United States, their Market Value shall be determined by their last sale price on such exchange at the most recent Close of Trading or, if there was no sale on the Business Day of the most recent Close of Trading, by the last sale price at the Close of Trading on the next preceding Business Day on which there was a sale on such exchange, all as quoted on the Consolidated Tape or, if not quoted on the Consolidated Tape, then as quoted by such exchange. 2. If the principal market for the Securities to be valued is the over-the-counter market, and the Securities are quoted on The Nasdaq Stock Market ( Nasdaq ), their Market Value shall be the last sale price on Nasdaq at the most recent Close of Trading or, if the Securities are issues for which last sale prices are not quoted on Nasdaq, the last bid price at such Close of Trading. If the relevant quotation did not exist at such Close of Trading, then the Market Value shall be the relevant quotation on the next preceding Close of Trading at which there was such a quotation. 3. Except as provided in Section 4 of this Annex, if the principal market for the Securities to be valued is the over-the-counter market, and the Securities are not quoted on Nasdaq, their Market Value shall be determined in accordance with market practice for such Securities, based on the price for such Securities as of the most recent Close of Trading obtained from a generally recognized source agreed to by the parties or the closing bid quotation at the most recent Close of Trading obtained from such a source. If the relevant quotation did not exist at such Close of Trading, then the Market Value shall be the relevant quotation on the next preceding Close of Trading at which there was such a quotation. 4. If the Securities to be valued are Foreign Securities, their Market Value shall be determined as of the most recent Close of Trading in accordance with market practice in the principal market for such Securities. 5. The Market Value of a letter of credit shall be the undrawn amount thereof. 6. All determinations of Market Value under Sections 1 through 4 of this Annex shall include, where applicable, accrued interest to the extent not already included therein (other than any interest credited or transferred to, or applied to the obligations of, the other party pursuant to Section 8 of the Agreement), unless market practice with respect to the valuation of such Securities in connection with securities loans is to the contrary. 7. The determinations of Market Value provided for in this Annex shall apply for all purposes under the Agreement, except for purposes of Section 13 of the Agreement. Page 4 of 6 Published: March 1, 2013
5 Appendix B: To demonstrate this discussion, consider a hypothetical bond with these characteristics. Periodic interest rate 10% Period length 10 days Payment frequency Once every 10 calendar days Accrual Basis Actual / Actual Share quantity 100,000 Loan Margin 102% Rounding (0.01) 2 places to right of decimal Event Issue Date Pay date Day Accrued Interest (%) 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 1% 2% Int. Receivable ($) 1,000 2,000 3,000 4,000 5,000 6,000 7,000 8,000 9,000 10,000 1,000 2,000 Clean Price (%) 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% Margin (%) 102% 102% 102% 102% 102% 102% 102% 102% 102% 102% 102% 102% Loan Price (%) 103.0% 104.0% 105.0% 106.0% 107.0% 108.0% 109.0% 110.0% 111.0% 112.0% 103.0% 104.0% Dirty Price (%) 101.0% 102.0% 103.0% 104.0% 105.0% 106.0% 107.0% 108.0% 109.0% 110.0% 101.0% 102.0% Graph of Loan Price (%) ( Clean Price * Margin% ) + Accrued Interest % % % % % % % Page 5 of 6 Published: March 1, 2013
6 Modification History Date Edited by Description Version # Feb. 1, 2013 Jim Clancy, eseclending Inc. Initial Document 1.00 Mar. 1, 2013 Jim Clancy, eseclending Inc. Edits, based on RMA member firm feedback Page 6 of 6 Published: March 1, 2013
For personal use only
Master Securities Loan Agreement 2000 Version Dated as of: Between: and 1. Applicability. From time to time the parties hereto may enter into transactions in which one party ( Lender ) will lend to the
More informationSECURITIES AND FUTURES ACT (CAP. 289)
Monetary Authority of Singapore SECURITIES AND FUTURES ACT (CAP. 289) NOTICE ON RISK BASED CAPITAL ADEQUACY REQUIREMENTS FOR HOLDERS OF CAPITAL MARKETS SERVICES LICENCES Monetary Authority of Singapore
More informationClaiming a Fails Charge for a Settlement Fail in U.S. Treasury Securities
Claiming a Fails Charge for a Settlement Fail in U.S. Treasury Securities January 5, 2009 During the past several months, transactions in U.S. Treasury securities have exhibited widespread and chronic
More informationANALYSIS OF FIXED INCOME SECURITIES
ANALYSIS OF FIXED INCOME SECURITIES Valuation of Fixed Income Securities Page 1 VALUATION Valuation is the process of determining the fair value of a financial asset. The fair value of an asset is its
More informationAccounting for Derivatives. Rajan Chari Senior Manager rchari@deloitte.com
Accounting for Derivatives Rajan Chari Senior Manager rchari@deloitte.com October 3, 2005 Derivative Instruments to be Discussed Futures Forwards Options Swaps Copyright 2004 Deloitte Development LLC.
More informationCONSUMER PRICE INDEX (CPI) INDEXED GOVERNMENT BONDS
REPUBLIC OF TURKEY PRIME MINISTRY UNDERSECRETARIAT OF TREASURY CONSUMER PRICE INDEX (CPI) INDEXED GOVERNMENT BONDS INVESTORS GUIDE DECEMBER 2009 TABLE OF CONTENTS I. GENERAL ISSUES... 1 II. TERMS OF THE
More informationCollateral Fundamentals
COLLATERAL INITIATIVES COORDINATION FORUM Collateral Fundamentals A Dictionary Definition of Collateral: Something pledged as security for repayment of a loan, to be forfeited in the event of a default
More informationThe logo on this form may have been updated. The content of this document has not been modified since its original website posting.
The logo on this form may have been updated. The content of this document has not been modified since its original website posting. In light of rapidly changing business and regulatory environments, current
More informationSECURITIES LOAN AGREEMENT (without set-off) THIS AGREEMENT made in duplicate as of the day of, 20. a corporation incorporated pursuant to the laws of
SECURITIES LOAN AGREEMENT (without set-off) THIS AGREEMENT made in duplicate as of the day of, 20. BETWEEN: a corporation incorporated pursuant to the laws of a corporation incorporated pursuant to the
More informationDescription of business processes. ISO 20022 Securities dashboard - Description of business processes
of business processes ISO 20022 Securities dashboard - of business processes Securities of Business Processes Issuer Pre-Investment Decision This covers the information from the issuer to Edgar, etc. which
More informationLifecycle of transactions
Guy Usher Fieldfisher This chapter looks at the lifecycle of a repo and securities lending transaction, from inception (trading and settlement), during its term (income payments and corporate events) through
More informationCash Flow Equivalence
Cash Flow Equivalence Introduction This document is intended to demonstrate the level of cash flow equivalence between an Eris credit futures contract and a cleared or un-cleared OTC swap contract referencing
More informationInternational Accounting Standard 39 Financial Instruments: Recognition and Measurement
EC staff consolidated version as of 18 February 2011 FOR INFORMATION PURPOSES ONLY International Accounting Standard 39 Financial Instruments: Recognition and Measurement Objective 1 The objective of this
More informationHow To Value Bonds
Chapter 6 Interest Rates And Bond Valuation Learning Goals 1. Describe interest rate fundamentals, the term structure of interest rates, and risk premiums. 2. Review the legal aspects of bond financing
More informationThe Repo Market. Outline Repurchase Agreements (Repos) The Repo Market Uses of Repos in Practice
The Repo Market Outline and Readings Outline Repurchase Agreements (Repos) The Repo Market Uses of Repos in Practice Buzzwords Repo, Reverse repo, Repo rates, Collateral, Margin, Haircut, Matched book,
More informationETN Type. CUSIP ISIN Amount Inverse VIX Short Term ETNs
PRICING SUPPLEMENT No. VLS ETN-1/A37 To the Prospectus Supplement dated May 4, 2015 and Prospectus dated May 4, 2015 Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-202913 and 333-180300-03
More informationBond Return Calculation Methodology
Bond Return Calculation Methodology Morningstar Methodology Paper June 30, 2013 2013 Morningstar, Inc. All rights reserved. The information in this document is the property of Morningstar, Inc. Reproduction
More informationAmerican Options and Callable Bonds
American Options and Callable Bonds American Options Valuing an American Call on a Coupon Bond Valuing a Callable Bond Concepts and Buzzwords Interest Rate Sensitivity of a Callable Bond exercise policy
More informationFinancial Instruments: Recognition and Measurement
STATUTORY BOARD FINANCIAL REPORTING STANDARD SB-FRS 39 Financial Instruments: Recognition and Measurement This version of the Statutory Board Financial Reporting Standard does not include amendments that
More informationCentrale Bank van Curaçao en Sint Maarten. Manual Coordinated Portfolio Investment Survey CPIS. Prepared by: Project group CPIS
Centrale Bank van Curaçao en Sint Maarten Manual Coordinated Portfolio Investment Survey CPIS Prepared by: Project group CPIS Augustus 1, 2015 Contents Introduction 3 General reporting and instruction
More informationALMONTY INDUSTRIES INC. INSIDER TRADING POLICY
1. Introduction and Purpose ALMONTY INDUSTRIES INC. INSIDER TRADING POLICY Almonty Industries Inc. (the Corporation ) is a Canadian company, it is a reporting issuer in Canada and its securities are listed
More informationHow To Account In Indian Accounting Standards
Indian Accounting Standard (Ind AS) 39 Financial Instruments: Recognition and Measurement Contents Paragraphs Objective 1 Scope 2 7 Definitions 8 9 Embedded derivatives 10 13 Recognition and derecognition
More informationShip Finance International Limited 3 months NIBOR + 4.00% Senior Unsecured Bond Issue 2010/2014 ( the Bonds )
Term sheet written in connection with application of listing on Oslo ABM Date: 2.12 2010 Status indication Final ISIN: NO 001058883.3 Ship Finance International Limited 3 months NIBOR + 4.00% Senior Unsecured
More informationATACHMENT TO FORM 8937 REPORT OF ORGANIZATIONAL ACTIONSAFFECTING BASIS OF SECURITIES
ATACHMENT TO FORM 8937 REPORT OF ORGANIZATIONAL ACTIONSAFFECTING BASIS OF SECURITIES Part I, Items 1-2 Issuer Name and EIN Sears Holdings Corporation Taxpayer Identification # 20-1920798 Part I, Items
More informationPERMANENT HEALTH FUND FINANCIAL STATEMENTS
FINANCIAL STATEMENTS Years Ended August 31, 2001 and 2000 Deloitte & Touche LLP Suite 2300 333 Clay Street Houston, Texas 77002-4196 Tel: (713) 982-2000 Fax: (713) 982-2001 www.us.deloitte.com INDEPENDENT
More informationTax Treatment of Stocklending/Sale and Repurchase (repo) Transactions
Tax Treatment of Stocklending/Sale and Repurchase (repo) Transactions 4.6.13 1. Background The purpose of this manual is to set out a tax treatment, which may be followed for the purposes of corporation
More informationIntroduction to Eris Exchange Interest Rate Swap Futures
Introduction to Eris Exchange Interest Rate Swap Futures Overview Eris Exchange interest rate swap futures ( Eris contracts ) have been designed to replicate the net cash flows associated with plain-vanilla,
More informationACCOUNTING POLICY INVESTMENTS AND OTHER FINANCIAL ASSETS
Responsible Officer ACCOUNTING POLICY INVESTMENTS AND OTHER FINANCIAL ASSETS Director, Shared Services and Corporate Finance & Advisory Services Contact Officer Senior Group Statutory Reporting Manager,
More informationBond Market Overview and Bond Pricing
Bond Market Overview and Bond Pricing. Overview of Bond Market 2. Basics of Bond Pricing 3. Complications 4. Pricing Floater and Inverse Floater 5. Pricing Quotes and Accrued Interest What is A Bond? Bond:
More informationGOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES
CONSOLIDATED STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2010 30 HUDSON STREET JERSEY CITY, NJ 07302 CONSOLIDATED STATEMENT OF FINANCIAL
More informationAttachment A to Rules Notice 14-0214 INVESTMENT INDUSTRY REGULATORY ORGANIZATION OF CANADA
INVESTMENT INDUSTRY REGULATORY ORGANIZATION OF CANADA PERFORMANCE REPORTING AND FEE / CHARGE DISCLOSURE AMENDMENTS TO DEALER MEMBER RULE 200 AND FORM 1 (THE IIROC 2015 AND 2016 CRM2 AMENDMENTS ) TEXT OF
More informationHow To Sell Treasury Bills
Vol. 78 Wednesday, No. 147 July 31, 2013 Part II Department of the Treasury Fiscal Service 31 CFR Part 356 Sale and Issue of Marketable Book-Entry Treasury Bills, Notes, and Bonds; Final Rule VerDate Mar2010
More informationApex Clearing Corporation
Statement of Financial Condition (Unaudited) Apex Clearing Corporation is a member of FINRA, Securities Investor Protection Corporation (SIPC), NYSE MKT LLC, NYSE Arca, Inc., BATS Y Exchange, Inc., BATS
More informationLong-Term Debt. Objectives: simple present value calculations. Understand the terminology of long-term debt Par value Discount vs.
Objectives: Long-Term Debt! Extend our understanding of valuation methods beyond simple present value calculations. Understand the terminology of long-term debt Par value Discount vs. Premium Mortgages!
More informationAccounting Standard (AS) 30 Financial Instruments: Recognition and Measurement
Accounting Standard (AS) 30 Financial Instruments: Recognition and Measurement Limited Revisions to AS 2, AS 11 (revised 2003), AS 21, AS 23, AS 26, AS 27, AS 28 and AS 29 Issued by The Institute of Chartered
More informationHow To Invest In Stocks And Bonds
Review for Exam 1 Instructions: Please read carefully The exam will have 21 multiple choice questions and 5 work problems. Questions in the multiple choice section will be either concept or calculation
More informationINCOME TAX : THE TREATMENT OF GAINS AND LOSSES ON FOREIGN EXCHANGE TRANSACTIONS IN TERMS OF SECTION 24I OF THE INCOME TAX ACT, 1962 (the Act)
REPUBLIC OF SOUTH AFRICA SOUTH AFRICAN REVENUE SERVICE PRACTICE NOTE : NO. 4 DATE : 8 MARCH 1999 INCOME TAX : THE TREATMENT OF GAINS AND LOSSES ON FOREIGN EXCHANGE TRANSACTIONS IN TERMS OF SECTION 24I
More informationStatement of Financial Condition unaudited
Statement of Financial Condition unaudited June 30, 2015 Vanguard Marketing Corporation (a wholly owned subsidiary of The Vanguard Group, Inc.) Vanguard Marketing Corporation (a wholly owned subsidiary
More informationU.S. Treasury Securities Fails Charge Trading Practice
U.S. Treasury Securities Fails Charge Trading Practice Introductory Note: The Treasury Market Practices Group ( TMPG ) 1 and the Securities Industry and Financial Markets Association, including its Asset
More informationBank Gospodarstwa Krajowego (Issuer)
LETTER OF ISSUE No. 1/2014 of Bank Gospodarstwa Krajowego of 20 May 2014 regarding the issue of bonds of Bank Gospodarstwa Krajowego on behalf of the National Road Fund with maturity date of 25 October
More informationSOURCE CAPITAL, INC.
SOURCE CAPITAL, INC. DIVIDEND REINVESTMENT AND DIRECT STOCK PURCHASE PLAN A Dividend Reinvestment and Direct Stock Purchase Plan ( Plan ) is available to all record holders of Common Stock of Source Capital,
More informationFORM X-17A-5 PART IIA (FOCUS Report)
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 OMB APPROVAL OMB Number: 3235-0123 Expires: March 31, 2016 Estimated average burden hours per response......12.00 FORM X-17A-5 PART
More informationCHAPTER 17 Short-Term Financing
17-1 17-2 CHAPTER 17 Short-Term Financing Working capital financing policies Accounts payable (trade credit) Commercial paper Short-term bank loans Secured short-term credit Working Capital Financing Policies
More informationAttachment A to Rules Notice 14-0066
INVESTMENT INDUSTRY REGULATORY ORGANIZATION OF CANADA MARGIN REQUIREMENTS FOR CERTAIN CASH AND SECURITY BORROWING AND LENDING ARRANGEMENTS - AMENDMENTS TO SCHEDULES 1, 7 AND 7A OF DEALER MEMBER FORM 1
More informationAnswers to Review Questions
Answers to Review Questions 1. The real rate of interest is the rate that creates an equilibrium between the supply of savings and demand for investment funds. The nominal rate of interest is the actual
More informationIAS 39 Financial Instruments: Recognition and Measurement Accounting for term-structured repo transactions
STAFF PAPER IFRS Interpretations Committee Meeting November 2013 Project Paper topic IAS 39 Financial Instruments: Recognition and Measurement Accounting for term-structured repo transactions CONTACT(S)
More information1 CONSOLIDATED FINANCIAL STATEMENTS (1) Consolidated Balance Sheets
1 CONSOLIDATED FINANCIAL STATEMENTS (1) Consolidated Balance Sheets As of March 31,2014 As of March 31,2015 Assets Cash and due from banks 478,425 339,266 Call loans and bills bought 23,088 58,740 Monetary
More informationACI THE FINANCIAL MARKETS ASSOCIATION
ACI THE FINANCIAL MARKETS ASSOCIATION EXAMINATION FORMULAE 2009 VERSION page number INTEREST RATE..2 MONEY MARKET..... 3 FORWARD-FORWARDS & FORWARD RATE AGREEMENTS..4 FIXED INCOME.....5 FOREIGN EXCHANGE
More informationi T-bill (dy) = $10,000 - $9,765 360 = 6.768% $10,000 125
Answers to Chapter 5 Questions 1. First, money market instruments are generally sold in large denominations (often in units of $1 million to $10 million). Most money market participants want or need to
More informationFORM G-405, PART IIA REPORT ON FINANCES AND OPERATIONS OF GOVERNMENT SECURITIES BROKERS AND DEALERS
FORM G-405, PART IIA REPORT ON FINANCES AND OPERATIONS OF GOVERNMENT SECURITIES BROKERS AND DEALERS GENERAL INSTRUCTIONS This report on the finances and operations of government securities brokers and
More informationBalanced fund: A mutual fund with a mix of stocks and bonds. It offers safety of principal, regular income and modest growth.
Wealth for Life Glossary Aggressive growth fund: A mutual fund that aims for the highest capital gains. They often invest in smaller emerging companies that offer maximum growth potential. Adjustable Rate
More informationHow To Read Your Brokerage Account Statement
Understanding Your Brokerage Account Statements Understanding Your Brokerage Account Statements INTRODUCTION How am I doing financially? The best way to track your brokerage account activity and performance
More informationYield-bearing Financial Assets
Yield-bearing Financial Assets (YBFAs) The quiet market (until lately) (c) 2009-2013, Gary R. Evans. May be used only for non-profit educational purposes only without permission of the author. Primary
More informationNational Policy Statement 29 Mutual Funds Investing in Mortgages SECTION III INVESTMENT POLICY SECTION IV DISCLOSURE
National Policy Statement 29 Mutual Funds Investing in Mortgages SECTION I SECTION II APPLICABILITY DEFINITIONS SECTION III INVESTMENT POLICY SECTION IV DISCLOSURE National Policy Statement 29 Mutual Funds
More informationVERSION: JANUARY 2010 GLOBAL MASTER SECURITIES LENDING AGREEMENT
VERSION: JANUARY 2010 GLOBAL MASTER SECURITIES LENDING AGREEMENT CONTENTS CLAUSE PAGE 1. APPLICABILITY...3 2. INTERPRETATION...3 3. LOANS OF SECURITIES...9 4. DELIVERY...9 5. COLLATERAL...10 6. DISTRIBUTIONS
More informationWelcome to ORB. Website tutorial for retail investors
Welcome to ORB Website tutorial for retail investors ORB Retail bonds page http://www.londonstockexchange.com/exchange/prices-and-markets/retail-bonds/retail-bonds-search.html Search You can filter search
More informationInterest Rate Futures. Chapter 6
Interest Rate Futures Chapter 6 1 Day Count Convention The day count convention defines: The period of time to which the interest rate applies. The period of time used to calculate accrued interest (relevant
More informationGUARDIAN CANADIAN BOND FUND
GUARDIAN CANADIAN BOND FUND FINANCIAL STATEMENTS DECEMBER 31, 2010 March 11, 2011 PricewaterhouseCoopers LLP Chartered Accountants PO Box 82 Royal Trust Tower, Suite 3000 Toronto-Dominion Centre Toronto,
More informationRISK DISCLOSURE STATEMENT
RISK DISCLOSURE STATEMENT You should note that there are significant risks inherent in investing in certain financial instruments and in certain markets. Investment in derivatives, futures, options and
More informationRULES CONCERNING HANDLING OF SHORT SELLING, AND BORROWING AND LENDING TRANSACTIONS OF BONDS
RULES CONCERNING HANDLING OF SHORT SELLING, AND BORROWING AND LENDING TRANSACTIONS OF BONDS (July 30, 1992) (Purpose) Article 1 The purpose of the Rules Concerning Handling of Short Selling, and Borrowing
More informationThe structure of interest-bearing financial instruments at nominal values is as follows:
The structure of interest-bearing financial instruments at nominal values is as follows: In CHF million 31.12.2013 31.12.2012 Fixed interest-bearing financial liabilities 6,498 6,472 Variable interest-bearing
More informationIPSAS 29 FINANCIAL INSTRUMENTS: RECOGNITION AND MEASUREMENT
IPSAS 29 FINANCIAL INSTRUMENTS: RECOGNITION AND MEASUREMENT Acknowledgment This International Public Sector Accounting Standard (IPSAS) is drawn primarily from International Accounting Standard (IAS) 39,
More informationBusiness Regulations (as of September 24, 2015)
Business Regulations (as of September 24, 2015) Tokyo Stock Exchange, Inc. Contents: Chapter 1: General Provisions Chapter 2: Trading Sessions Chapter 3: Trading During Trading Sessions Section 1: Types
More informationChapter 6 Interest rates and Bond Valuation. 2012 Pearson Prentice Hall. All rights reserved. 4-1
Chapter 6 Interest rates and Bond Valuation 2012 Pearson Prentice Hall. All rights reserved. 4-1 Interest Rates and Required Returns: Interest Rate Fundamentals The interest rate is usually applied to
More informationTREASURY BONDS LINKED TO EURO-ZONE INFLATION (BTP is)
TREASURY BONDS LINKED TO EURO-ZONE INFLATION (BTP is) Treasury Bonds linked to Euro-zone inflation are securities that provide investors with protection against price increases. Both the principal to be
More informationISSUE BRIEF SECURITIES LENDING AGREEMENTS I. DEFINITION C ALIFORNIA D I
C ALIFORNIA D I EBT AND I NVESTMENT A C DVISORY OMMISSION ISSUE BRIEF California Debt and Investment Advisory Commission May 2005 SECURITIES LENDING AGREEMENTS Nova Edwards CDIAC Policy Research Unit I.
More informationIFRS Practice Issues for Banks: Loan acquisition accounting
IFRS Practice Issues for Banks: Loan acquisition accounting August 2011 kpmg.com/ifrs Contents 1. Addressing complexity in loan acquisitions 1 2. When should the acquisition of a loan be recognised in
More information3. Classification of Financial Instruments
3. Classification of Financial Instruments C lassification of financial instruments and identification of their nature is one of the most important phases for compilation and presentation of monetary statistics.
More informationSSAP 24 STATEMENT OF STANDARD ACCOUNTING PRACTICE 24 ACCOUNTING FOR INVESTMENTS IN SECURITIES
SSAP 24 STATEMENT OF STANDARD ACCOUNTING PRACTICE 24 ACCOUNTING FOR INVESTMENTS IN SECURITIES (Issued April 1999) The standards, which have been set in bold italic type, should be read in the context of
More information2003 ISDA. Credit Derivatives. Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
2003 ISDA Credit Derivatives Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. Copyright 2003 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 360 Madison Avenue, 16 th Floor
More informationCredit Suisse Tailored Loan and Options Facility Terms and Conditions
Dated 4 June 2013 Issued by Credit Suisse Investment Services (Australia) Limited (ABN 26 144 592 183 AFSL 370450) Credit Suisse Tailored Loan and Options Facility Terms and Conditions 1. OPTIONS FACILITY...
More informationGOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES
CONSOLIDATED STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2011 200 WEST STREET NEW YORK, NY 10282 CONSOLIDATED STATEMENT OF FINANCIAL
More informationRULES AND REGULATIONS OF NASDAQ OMX DERIVATIVES MARKETS
CONTENTS 4 CONTRACT SPECIFICATIONS Part II 4.30 VINX30 Options (Options in the Nordic VINX30 share index)... 2010-06-22 4.31 VINX30 Futures (Futures Contract in the Nordic VINX30 share index)2010-06-22
More informationGOLDMAN SACHS EXECUTION & CLEARING, L.P. STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION
STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2012 200 WEST STREET NEW YORK, NY 10282 STATEMENT OF FINANCIAL CONDITION INDEX Page No.
More informationChapter 11. Stocks and Bonds. How does this distribution work? An example. What form do the distributions to common shareholders take?
Chapter 11. Stocks and Bonds Chapter Objectives To identify basic shareholder rights and the means by which corporations make distributions to shareholders To recognize the investment opportunities in
More informationGUIDE TO THE SURVEY FINANCIAL BALANCE STATISTICS
1(16) GUIDE TO THE SURVEY FINANCIAL BALANCE STATISTICS 1 GENERAL INFORMATION... 3 2 DEFINITION OF DATA... 3 2.1 Positions... 3 2.2... 3 2.3... 4 3 DEFINITION OF VARIABLES... 4 3.1 Financial assets... 4
More informationSprogo - A Guide to reportingarteries in Sweden
STATISTICS SWEDEN 1(10) Instructions for the quarterly reporting of AP funds, excluding the 7th AP fund. General Quarterly reports for AP funds are to be sent to Statistics Sweden (SCB) at the latest 45
More informationTERMS AND CONDITIONS FOR CALL OPTIONS 2013/2016 REGARDING PURCHASE OF SHARES IN LAGERCRANTZ GROUP AB (publ.)
TERMS AND CONDITIONS FOR CALL OPTIONS 2013/2016 REGARDING PURCHASE OF SHARES IN LAGERCRANTZ GROUP AB (publ.) DEFINITIONS 1 All references to the following definitions in these terms and conditions shall
More informationGlossary of Common Derivatives Terms
DRAFT: 10/03/07 Glossary of Common Derivatives Terms American Depository Receipts (ADRs). ADRs are receipts issued by a U.S. bank or trust company evidencing its ownership of underlying foreign securities.
More informationCANADIAN CONVENTIONS IN FIXED INCOME MARKETS
INVESTMENT INDUSTRY ASSOCIATION OF CANADA CANADIAN CONVENTIONS IN FIXED INCOME MARKETS A REFERENCE DOCUMENT OF FIXED INCOME SECURITIES FORMULAS AND PRACTICES Release: 1.1 www.iiac.ca FORWARD This document
More information4,000,000 ETNs* Credit Suisse X-Links Monthly Pay 2xLeveraged Mortgage REIT Exchange Traded Notes (ETNs) due July 11, 2036 General
Pricing Supplement No. ETN-19 To the Prospectus Supplement dated May 4, 2015 and the Prospectus dated May 4, 2015 Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-202913 and 333-180300-03
More informationAuditing Derivative Instruments, Hedging Activities, and Investments in Securities 1
Auditing Derivative Instruments 1915 AU Section 332 Auditing Derivative Instruments, Hedging Activities, and Investments in Securities 1 (Supersedes SAS No. 81.) Source: SAS No. 92. See section 9332 for
More informationDeliverable Obligation Characteristics for North American Corporate Transaction Type
ISDA International Swaps and Derivatives Association, Inc. 360 Madison Avenue, 16th Floor New York, NY 10017 United States of America Telephone: 1 (212) 901-6000 Facsimile: 1 (212) 901-6001 email: isda@isda.org
More informationDerivatives, Measurement and Hedge Accounting
Derivatives, Measurement and Hedge Accounting IAS 39 11 June 2008 Contents Derivatives and embedded derivatives Definition Sample of products Accounting treatment Measurement Active market VS Inactive
More informationCREDIT RISK MANAGEMENT
GLOBAL ASSOCIATION OF RISK PROFESSIONALS The GARP Risk Series CREDIT RISK MANAGEMENT Chapter 1 Credit Risk Assessment Chapter Focus Distinguishing credit risk from market risk Credit policy and credit
More informationFinancial Instruments: Disclosures
Compiled Accounting Standard AASB 7 Financial Instruments: Disclosures This compiled Standard applies to annual reporting periods beginning on or after 1 July 2007 but before 1 January 2009 that end on
More informationAccounting for Bonds and Long-Term Notes
Accounting for Bonds and Long-Term Notes Bond Premiums and Discounts Effective interest method Bond issuance Interest expense Types of Debt Instruments Zero-Coupon Bonds Convertible Bonds Detachable Warrants
More information18 BUSINESS ACCOUNTING STANDARD FINANCIAL ASSETS AND FINANCIAL LIABILITIES I. GENERAL PROVISIONS
APPROVED by Resolution No. 11 of 27 October 2004 of the Standards Board of the Public Establishment the Institute of Accounting of the Republic of Lithuania 18 BUSINESS ACCOUNTING STANDARD FINANCIAL ASSETS
More informationManagement of Receivables
Management of Receivables Different costs involved in maintaining the debtors: 1. Interest. 2. Discount. 3. Collection Charges. 4. Bad Debts. Different approaches of calculating Interest: Total Cost approach.(priority)
More informationHKAS 39 Financial Instruments: Recognition and Measurement
1 Hong Kong Financial Reporting Standards: HKAS 39 Financial Instruments: Recognition and Measurement (Relevant to PBE Paper I Financial Reporting) Lindy W W Yau, ACA, FCCA, FAIA, FCPA and Morris Y M Kwok,
More informationInternational Financial Reporting Standard 7. Financial Instruments: Disclosures
International Financial Reporting Standard 7 Financial Instruments: Disclosures INTERNATIONAL FINANCIAL REPORTING STANDARD AUGUST 2005 International Financial Reporting Standard 7 Financial Instruments:
More information- Short term notes (bonds) Maturities of 1-4 years - Medium-term notes/bonds Maturities of 5-10 years - Long-term bonds Maturities of 10-30 years
Contents 1. What Is A Bond? 2. Who Issues Bonds? Government Bonds Corporate Bonds 3. Basic Terms of Bonds Maturity Types of Coupon (Fixed, Floating, Zero Coupon) Redemption Seniority Price Yield The Relation
More informationHMBS Overview. Ginnie Mae s Program to Securitize Government Insured Home Equity Conversion Mortgages
HMBS Overview Ginnie Mae s Program to Securitize Government Insured Home Equity Conversion Mortgages Table of Contents Tab A: Program Overview Tab B: Home Equity Conversion Mortgage (HECM) Trends Tab C:
More informationCHAPTER 4. Definition 4.1 Bond A bond is an interest-bearing certificate of public (government) or private (corporate) indebtedness.
CHAPTER 4 BOND VALUATION Gentlemen prefer bonds. Andrew Mellon, 1855-1937 It is often necessary for corporations and governments to raise funds to cover planned expenditures. Corporations have two main
More informationAccounting and Reporting Treatment for Repurchase/Reverse Repurchase Agreements Over 1 Year in Duration. May 2014
Accounting and Reporting Treatment for Repurchase/Reverse Repurchase Agreements Over 1 Year in Duration May 2014 Agenda Executive Summary Background on Repo Agreements What is a Repo Agreement? Use of
More informationCathay Life Insurance Co., Ltd. Financial Statements As of December 31, 2006 and 2007 With Independent Auditors Report
Financial Statements With Independent Auditors Report The reader is advised that these financial statements have been prepared originally in Chinese. These financial statements do not include additional
More information33 Financial risk management and supplementary disclosures regarding financial instruments
33 Financial risk management and supplementary disclosures regarding financial instruments Swisscom is exposed to various financial risks resulting from its operating and financial activities. The most
More informationDetailed Trading Rules of China Financial Futures Exchange for. 5-year Treasury Bond Futures Contract
Detailed Trading Rules of China Financial Futures Exchange for 5-year Treasury Bond Futures Contract (Implemented on August 30, 2013; amended for the first time on November 3, 2014) Chapter I General Provisions
More informationMULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question.
ECON 4110: Sample Exam Name MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. 1) Economists define risk as A) the difference between the return on common
More informationHead Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders. Exchange-Traded Fund Symbol CUSIP #
Information Circular: Reality Shares ETF Trust To: From: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders NASDAQ / BX / PHLX Listing Qualifications
More information