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1 Forward FX Contracts 1. Direct Pricing for Forward FX Transactions In previous releases, if you opened a forward FX contract by entering a Forward FX transaction for Forward Cash investments, you had to let Geneva interpolate forward FX rates whenn calculating the forward FX contract value. As of Geneva 10.0 Update 1, you can have Geneva reference lot specific forward FX rates when processing Forward FX transactions. Note that you can leave the Price Directly check box cleared in Forward FX transactions t to have Geneva interpolate forward FX rates as it has in previouss releases. In addition, Geneva includes a new report, Investment Prices Detail, that you can use to troubleshoot forward FX rate interpolation. For details, see New Investment Prices Detail Report on page 29.. For details about how this change impacts Geneva Loader record formats, look up PR in the Geneva PR Search.

2 2. New Forward FX Close Transaction Screen As of Geneva 10.0 Update 1, you can use a new Forward FX Close Transaction screen to close existing forward FX contracts created with Forward FX transactions. You can now choose to settle cash on the specified close date, on the original contract settlement date, or any date in between them. You can also either close all of an existing contract (a full close), or part of an existing contract (a partial close). Currency or FX gain/loss is realized on the close date for the portion of the contract that is closed. Whether you choose to settle cash on the close date or the contract settle date, or some date in between, the different options merely control the timing of the related cash flows. Previously, Geneva supported the settlement of forward FX contracts only on original contract settlement date. So if you created FX contracts for which the underlying currencies were the same but reversed, the settle dates were the same, and the custodian accounts matched, then the matching contracts would offset in reports, but the payables and receivables would be live and outstanding until the contract settle date. To enable offsetting contracts to liquidate one other, the Sec 1256 FFX check box was added to Forward Cash investments, and if enabled for both currencies of a Forward FX transaction, any matching offsetting contracts would result in closing behaviour meaning that payables and receivables that matched would close out or liquidate, and on the date of the offsetting FX transaction, FX gain/loss (Section 988) would be realized. This method does not support settling cash earlier than contract settle date, and also does not allow for the separation of the closing behaviour and the recognition of FX gain/loss on the close transaction. With the new Forward FX Close transaction, you no longer need to create offsetting FX contracts to close existing contracts. Using the new method for closing FX contracts, you can specify: The Forward FX transaction ID of the contract that you want to close. (In a future release, you ll be able use the UserTranId1 or UserTranId2 fields for contracts created outside of Geneva.) A close date on which payables/receivables are closed, and when gain/loss is calculated. A cash settlement date on which realized gain/loss is paid or received. You can choose any cash settle date, as long as it s the same date as the close date or afterwards, or the same date as the original settlement date or prior to it. The side of the transaction you want to close. (You do not need to enter the other side of the transaction.) The amount or how much of the contract you want to close from the specified side. The close FX rate used to calculate the realized gain/loss. In the new closing method, the forward FX position is closed, meaning that payables and receivables are cancelled out on the specified close date, in the amount of the close transaction. On the date of the close transaction, the unrealized gain/loss on the closed portion of the FX contract converts to realized gain/loss, which becomes cash receivable/payable. For early settlement of cash receivables, Geneva does not currently support defining the discount factor as a separate value. Until it does, you can apply the discount factor to the closing FX rate to achieve the desired cash flow. Advent recommends that you use the new Forward FX Close transaction to close existing forward FX contracts created with Forward FX transactions. As of Geneva 10.0 Update 1 Patch A, you can enter secondary keys, or system IDs created outside of Geneva, in the Forward FX Tran ID field on the Forward FX Close Transaction screen. This is provided the IDs are saved as either UserTranId1 or UserTranId2 in the original Forward FX transaction. Use the following syntax: <key>=<id>. Example: The original Forward FX transaction with the Tran ID of has a User Tran ID 1 value of AB4568. Instead of entering in the Forward FX Tran ID field, enter UserTranId1=AB4568. Similarly, to search by the UserTranId1 value, enter UserTranID1= AB4568 in the Forward FX Tran ID field.

3 3. Non-Deliverable Forwards (NDFs) As of Geneva 15.1, Geneva can now account for a non deliverable forward (NDF). You can create a Forward FX transaction where one leg contains a non deliverable currency (that is, a Forward Cash Investment linked to a nondeliverable MOE). The Forward cash investment s underlying non deliverable MOE identifies the Forward F FX transaction as a Non Deliverable Forward transaction. To support this enhancement, the Forward FX transaction screen includes a new Non Delivera able Forward FX check boxx and the Medium of Exchange screen includes a new Non Deliverable Currency check box. For details about how this change impacts Geneva Loader record formats, look up GEN in Fixes & Requests. Use this new setup to account for a forward contract where two counterparties settle the net profit/loss on the contract based on the agreed upon notional amount. The net profit/loss is calculatedd on Fixing Date, typically two days prior to the settlement date, by multiplying the notional amount by the difference between the Forward FX rate and the spot rate on Fixing Date. There is no exchange of principal or upfront out of currency, typically USD. A typical use case for an NDF would be would be too gain exposure to a currency for pocket costs with an NDF. Instead, on the settlement date the exchange occurs in a predetermined deliverable which there is no deliverable market offshore, such as the Taiwan Dollar (TWD), Korean Won (KRW), Chinese Yuan (CNY), Brazilian Real (BRL), or Argentine Peso (ARS). What s Changed The process for defining a non deliverable forward is similar to the recommended workflow for creating a Forward FX transaction for a Forward Cash investment.

4 On the fixing date, Geneva queries the t FX rate from the price schedule and multiplies that by the notional amount. It compares this to the notional amountt and FX rate you entered in the openingg transaction. The difference represents the payable amount a (or thee unrealized FX gain/loss on a mark to market), and itt is settled in the deliverable currency (in( this example, USD). 7/8/2014 Opening transaction: = notional amount x FX rate = 5,000,000 CHN x 1/5 = 5,000,000 CHN x 0.2 = $1,000,,000 USD 713/2014 Fixing Date: = 5,000,000 CHN x 1/8 = 5,000,000 CHN x = $625,000 USD

5 7/8/2014 Opening transaction s notional amountt minus 713/2014 Fixing Date notional amount = $1,000,,000 USD $625,000 USD = $375,000 USD Identify the Investment Leg of a Forward FX Transaction As of Geneva , the Forward FX Transaction screen includes a new Investment Leg (Buy) check box. Use this to identify the investment leg of the Forward FX transaction. If you select the Investment Legg (Buy) check box in the Buy section (default), this represents a long position in thee currency pair, with the Sell leg as the counter currency. In this scenario, the Investment Leg (Sell) check boxx is cleared byy default. If you clear the Investment Leg (Buy) check box, then Geneva automatically selects thee Investmentt Leg (Sell) check box. This represents a short positionn in the currency pair, with the Buy leg as the counterr currency. NOTE The Investment Leg (Sell) check c box is not editable. For details about how this change impacts Geneva Loader record formats, look up GEN in Fixes & Requests.