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Tom-Next Rollovers

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					Saxo Bank A/S
Reporting    &      Accounting                 for      Tom-Next
Rollovers

 7 March 2005




            White Label Partners\Tom-Next Rollovers.doc - version 1.0 - ROP/
        Saxo Bank A/S - Reporting & Accounting for Tom-Next Rollovers



Contents                                                                                                                                Page

1. Introduction to Tom-Next Rollovers........................................................................................... 1

2. Basis for Tom-Next Rollovers.................................................................................................... 1

3. Accounting for the Tom-Next Rollover ...................................................................................... 3




                                                                                       White Label Partners\Tom-Next Rollovers.doc - version 1.0 - ROP/
               Saxo Bank A/S - Reporting & Accounting for Tom-Next Rollovers                                                           1



         1. Introduction to Tom-Next Rollovers

         This document describes the principal methods employed by Saxo Bank to perform the Tom-
         Next rollovers on spot foreign exchange trading activities.

         The T/N rate (based on the LIBOR/LIBID interest rate) is the price adjustment for a specified
         period when trading, and is included in the price for the forward date. It is a function of the
         interest rate differential between the two currencies and may be in your favour of against you.

         2. Basis for Tom-Next Rollovers

         Saxo Bank automatically roll over any net traded exposures in any currency-pair held by the
         WLP client at the end of a given trading day on a tom/next basis, for all spot foreign exchange
         positions 1 business day before the expected value date.
         The calculation is done by using the prevailing "Saxo Bank retail Tom/Next rates”.
         Saxo Bank’s retail Tom/Next rate is based on the prevailing market rate +/- 0,25%.

         If the client chooses not to realize profit/loss against market price at the time of executing the
         Tom/Next, Saxo Bank will calculate a financing surcharge of the unrealized profit and loss that
         is being carried forward, using the prevailing "Saxo Bank retail interest rates”. Saxo Bank’s retail
         interest rate is based on the prevailing market rate +/- 0,75%.


         For example:

         In the event that a WLP client is trading spot foreign exchange transactions on a margin basis
         and has entered into the following transaction:

 Trade       Maturity                          Open/      Trade        Trade                Open
                           B/S      Inst.
 Date         Date                             Close     Amount        Rate                 Rate

30-Nov-04   02-Dec-04       B     EURUSD       Open      100,000      1.3260              1.3260


         The above trade will be registered and posted to the relevant client’s margin trading account.
         The trade will be reported using a mark-to-market revaluation rate and the realising unrealised
         profit and loss will also be reported to the client.

         So let’s assume that this position remains open at the start of the next trading – i.e. 1st
         December 2004. In that case, since the trade remains as an open position and the maturity date
         – 2nd December 2004 is only one more working day away, in accordance with market principles
         and Saxo Bank trading procedures, Saxo Bank will rollover the open position using:

             (a) The applicable Tom-Next swap points; and

             (b) The applicable market rate at the time of execution the tom/next currently at 8.15 CET

             (c) The applicable interest accrual or financing charge that the client will receive or pay for
                 the unrealised profit or loss attributed to the open position. Mark to market value will be
                 calculated using the current market rate (b). The applicable interest accrual will then be
                 calculated using the prevailing libor/libid interest rate for the relevant profit or loss
                 currency.




                                                                          White Label Partners\Tom-Next Rollovers.doc - version 1.0 - ROP/
               Saxo Bank A/S - Reporting & Accounting for Tom-Next Rollovers                                                         2


             Lets assume that the market rate on the 1. December at 8.15 CET is 1.3321, this will bring
             the value of the client position to:

                                                                                                                                  Un-realized
  Trade      Maturity                         Open/      Trade       Trade                Open                M-T-M
                          B/S      Inst.                                                                                           Profit &
  Date        Date                            Close     Amount       Rate                 Rate                Rate
                                                                                                                                     Loss

30-Nov-04    02-Dec-04     B     EURUSD       Open      100,000      1.326                1.326               1.3321                       610.00



             The Tom-Next rollover will be performed in the following steps, and in a manner whereby
             the rollover does not realise any profit or loss as result, which would have to be either
             debited or credited to the clients’ account.

             (a)   The original open position will be closed out using a new closing trade executed at the
                   same rate as the prevailing opening rate of the position; and

             (b)   A new open position will then be created with a trade rate, which is the sum of the
                   prevailing opening rate of the position plus the swap points plus the financing charge
                   (expressed as number of pips).


             Original Position

                                                                                                                                  Un-realized
  Trade      Maturity                         Open/      Trade       Trade                Open                M-T-M
                          B/S      Inst.                                                                                           Profit &
  Date        Date                            Close     Amount       Rate                 Rate                Rate
                                                                                                                                     Loss

30-Nov-04    02-Dec-04     B     EURUSD       Open      100,000      1.326                1.326               1.3321                       610.00



             Tom-Next Rollover – Close of original position

                                                                                                                                  Un-realized
  Trade      Maturity                         Open/      Trade       Trade                Open                 Close
                          B/S      Inst.                                                                                           Profit &
  Date        Date                            Close     Amount       Rate                 Rate                 Rate
                                                                                                                                     Loss

30-Nov-04    02-Dec-04     S     EURUSD       Close     100,000      1.326                1.326                1.326                         0



             Tom-Next Rollover – Open of position at new rollover rate

              Maturity                       Open/Cl     Trade      Trade           Swap
Trade Date                B/S      Inst.                                                                Inst. Points                  New Rate
               Date                           ose       Amount      Rate            Points

30-Nov-04    02-Dec-04     B     EURUSD       Open      100,000     1.3260        +0,00002              -0,00000021                  1.32601979




             The position is therefore restated on the trading day (i.e. 01-Dec-2004) before the original
             maturity date (i.e. 02-Dec-2004) at a new rate of 1.32601979, which is an all-inclusive rate
             with no realised profit or loss arising from the rollover.


                                                                        White Label Partners\Tom-Next Rollovers.doc - version 1.0 - ROP/
    Saxo Bank A/S - Reporting & Accounting for Tom-Next Rollovers                                                       3




3. Accounting for the Tom-Next Rollover

  In order to account for the Tom-Next Rollover, we recommend that the following values are
  to be posted to the profit and loss account:

  (a)   On the day of the Tom-Next Rollover, the implied interest income or expense related
        to the Tom-Next Rollover should be posted as an interest accrual

        i.e. 100,000 * (+0.00002 + -0.00000021) = -1,98 USD




                                                           White Label Partners\Tom-Next Rollovers.doc - version 1.0 - ROP/

				
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