CARRIER (UK) PENSION SCHEME YEAR ENDED 31 DECEMBER 2020
NOTES TO THE FINANCIAL STATEMENTS
13 Derivatives
2019 Total
2020 Total
Assets
Liabilities
Assets Liabilities
Exchange traded Futures
-
-
-
11
(11)
-
Over-the-counter contracts Forward foreign currency
397 345
(33)
364
256 452
(8)
248
Swaps
(341)
4
(565)
(113)
742
(374)
368
719
(584)
135
Objectives and policies for holding derivatives
The Trustee has authorised the use of derivative financial instruments by the investment managers as part of their investment strategy as follows;
Futures and Swaps: Interest rate swaps and bond and interest rate futures may be used by bond managers for the purposes of implementing duration, country allocation, yield curve and investment views. Forward foreign currency: FX may be used for currency hedging purposes, but not for speculative purposes.
Forward foreign currency contracts
2020 Fair value Assets
2020 Fair value Liability
Currency bought
Currency sold
Number of contracts
Expires within
Nominal value
GBP GBP USD
EUR USD GBP
1 5 3
2 months 2 months 2 months
94
1
- -
9,275
396
969
-
(33) (33)
397
The nominal value represents the sterling value of the foreign currency amount of the contract translated at the year-end spot rate.
Swaps
2020 Fair value Assets
2020 Fair value Liability
Type of swap
Expires within
Notional principal
6,447 9,135
UK interest rate swap
7 - 26 years 7 - 26 years
284
-
Overseas interest rate swap
61
(341)
345
(341)
21
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