Using a blotter (A$m) Position Buy 20 +20 Up 20 Buy 10 +30 Up 30 Sell 5 +25 Up 25 Sell 15 +10 Up 10 Sell 15 -5 Down 5 Sell 10 -15 Down 15 Buy 15 0 Square These cash flows can be shown as follows: AUD EUR Rates AUD/EUR 2,000,000 -1,724,000 0.8620 -5,000,000 4,312,500 0.8625 -3,000,000 2,589,000 0.8630 6,000,000 -5,172,000 0.8620 0 5,500 Q1 - Profit/Loss Calculation - EXAMPLE Profit/Loss on your FX portfolio must be reported in Australian dollars (AUD) P/L = Ending/Expected Position (AUD) - Opening Position (AUD) Example Assume: AUD/EUR 0.6070 AUD/EUR (Mid rate): 0.6071 Opening Position (current) Position in AUD (Current) Net Currency Net Position (Expected Net Position Change in (Bid/ask rate) (Mid rate) Trades in AUD (Expected) Position (AUD) AUD 658,978,583.20 658,978,583.20 CAD CHF EUR -400,000,000 -658870037.9 GBP JPY NZD USD Net Position (AUD) 108,545.31 Currency Pairs Bank A Bank B Bank C Comm/Terms Bid Ask Mid Bid Ask Mid Bid Ask Mid AUD/USD 0.7355 0.7357 0.7356 0.7354 0.7357 0.7356 0.7356 0.7359 0.7358 AUD/EUR 0.6225 0.6227 0.6226 0.6223 0.6229 0.6226 0.6224 0.6228 0.6226 EUR/AUD 1.6063 1.6066 1.6065 1.6063 1.607 1.6067 1.6060 1.6068 1.6064 AUD/GBP 0.5313 0.5316 0.5315 0.5310 0.5316 0.5313 0.5312 0.5319 0.5316 GBP/AUD 1.8808 1.8813 1.8811 1.8808 1.8816 1.8812 1.8805 1.8815 1.8810 AUD/JPY 80.80 80.83 80.82 80.78 80.84 80.81 80.79 80.86 80.83 EUR/USD 1.1814 1.1816 1.1815 1.1811 1.1816 1.1814 1.1812 1.1819 1.1816 GBP/USD 1.3839 1.3843 1.3841 1.3837 1.3844 1.3841 1.3838 1.3846 1.3842 USD/JPY 109.93 109.94 109.94 109.90 109.95 109.93 109.90 109.95 109.93 EUR/GBP 0.8538 0.8543 0.8541 0.8536 0.8545 0.8541 0.8537 0.8545 0.8541 EUR/JPY 129.79 129.83 129.81 129.75 129.84 129.80 129.77 129.87 129.82 GBP/JPY 152.09 152.14 152.12 152.04 152.16 152.10 152.05 152.15 152.10 AUD/CAD 0.9332 0.9335 0.9334 0.9330 0.9338 0.9334 0.9329 0.9337 0.9333 EUR/CHF 1.0839 1.0848 1.0844 1.0837 1.0848 1.0843 1.0836 1.0847 1.0842 GBP/CHF 1.2696 1.2701 1.2699 1.2695 1.2702 1.2699 1.2693 1.2700 1.2697 USD/CHF 0.9176 0.9179 0.9178 0.9174 0.9180 0.9177 0.9175 0.9181 0.9178 USD/CAD 1.2689 1.2693 1.2691 1.2687 1.2694 1.2691 1.2687 1.2694 1.2691 NZD/USD 0.7113 0.7114 0.7114 0.7110 0.7116 0.7113 0.7111 0.7115 0.7113 Table 1: Exchange rates on 1 August, 2021. Mid rate = (bid rate + ask rate)/2 Opening Position in Currency Position AUD Net Trades (current) (Current) Net Position (Expected) Net Position in Change in AUD (Expected) Position (AUD) AUD CAD CHF EUR GBP JPY NZD USD Net Position | (AUD) Table 2: FX portfolio position summary Note: Indicate long positions with a positive sign and short positions with a negative sign (e.g. a short position of 45,000,000 GBP should be indicated as --45,000,000). Mid rate = (bid rate + ask rate)/2 2-Month Benchmark Rates Currency Benchmark Interest Rates (%) AUD 2-Month Bank Bill Swap Rates 0.095 GBP 2-Month GBP LIBOR 0.073 CAD 2-Month Treasury Bills 0.150 EUR 2-Month Euro LIBOR -0.495 NZD 2-Month Bank Bill Yields 0.270 CHF 2-Month CHF LIBOR -0.744 JPY 2-Month JPY LIBOR -0.059 USD 2-Month USD LIBOR 0.205 Table 3: Benchmark interest rates on August 1, 2021. Comm/Terms Bid Ask Opinion (over/under/ fairly valued) Suggested Strategy AUD/CAD 0.9345 0.9349 GBP/USD 1.3858 1.3865 NZD/USD 0.7014 0.7103 Table 4: Actual forward FX rates for the end of September 2021.