THE UTC COMMON INVESTMENT FUND
NOTES TO THE FINANCIAL STATEMENTS YEAR ENDED 31 DECEMBER 2024
Futures contracts
Type of future
Fair value Assets
Fair value Liability
Expires within
Nominal value
UK exchange traded
< 1 year < 1 year
214
-
(411)
Overseas exchange traded
(185)
418
-
418
(411)
Included within the cash deposits and other net investment assets is an asset of £1,401k (2023: asset of £1,329k) in respect of initial and variation margins arising from open futures contracts at the year end.
Forward foreign currency contracts
Currency bought
Currency sold
Number of contracts
Fair value Assets
Fair value Liability
Expires within
Nominal value
GBP GBP USD Euro
USD Euro GBP GBP
8 4
2 months 2 months 2 months 2 months
118,977 10,718 39,085
-
(6,038)
107 391
- -
10
1
3,346
-
(34)
498
(6,072)
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 32 years 1 38 years
80,518 93,057
-
(8,128)
Overseas interest rate swap
14,972
-
14,972
(8,128)
The notional principal of the swap is the amount used to determine the swapped receipts or payments. Collateral of £1,057k (2023: £2,984k) is held for the unrealised loss or gain on swaps, comprising cash. This is held in accounts with eight (2023: seven) different banking institutions and is not included within the CIF assets.
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