Docusign Envelope ID: 7C07248F-983B-4F8B-904D-FCB9B680B5CE
THE UTC COMMON INVESTMENT FUND
NOTES TO THE FINANCIAL STATEMENTS YEAR ENDED 31 DECEMBER 2023
Forward foreign currency contracts
Currency bought
Currency sold
Number of contracts
Fair value Assets
Fair value Liability
Expires within
Nominal value
5,496
- -
GBP GBP USD
USD Euro GBP
7 2 1
3 months 3 months 3 months
162,979
36
6,172
-
(8)
169
5,532
(8)
The nominal value represents the sterling value of the foreign currency amount of the contract translated at the year-end spot rate.
Swaps
Type of swap
Fair value Assets
Fair value Liability
Expires within
Notional principal
UK interest rate swap
1 – 33 years 1 – 39 years
145,800 152,600
- (19,323)
Overseas interest rate swap
16,028
(67)
16,028 (19,390)
The notional principal of the swap is the amount used to determine the swapped receipts or payments. Collateral of £2,984k (2022: (£2,516k)) is held for the unrealised loss or gain on swaps, comprising cash. This is held in accounts with seven (2022; seven) different banking institutions and is not included within the CIF assets.
8 Cash and other net investment balances
2023
2022
Cash
463 508
Cash - sterling
3,521
Cash – foreign currency
160
971
Total cash
3,681
Other
6,871
Amounts receivable
7,657
Cash balances include collateral amounts of £nil (2022: £730k).
16
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