Securities costs in Infront Portfolio Manager - An overview

The integration of securities costs from the cost service into the Infront Portfolio Manager is being continuously developed. In this chapter you will find a compact overview of the current status.

The instrument costs consist of the three known cost categories:

• Entry costs
• Exit costs
• Ongoing costs

The total securities costs are included in the securities account valuation. A start and end date and a valuation currency are required for the calculation.

Entry costs

Entry costs (WM data field "JV001") can be delivered for the following security types via the cost service:

• Certificates
• Warrants
• Futures
• Options
• Bonds
• Profit participation certificates
• Subscription rights

The issuer of the instrument calculates these entry costs as the difference between the offer price and the fair price at a certain point in time on a given day. If several values are determined on one day, the last value of this day applies. Depending on the quotation of the security, absolute or percentage values are provided.

For purchases of unit-listed securities, the entry costs in the valuation currency are then multiplied by the number of units purchased. When purchasing percentage-quoted securities, the (percentage) entry costs of an instrument are multiplied by the investment amount. The total entry costs in the valuation period are then the sum of the entry costs of all purchases of these securities in this period.

Exit costs

Exit costs (WM data field "JV002") can be delivered for the following security types via the cost service:

• Certificates
• Warrants
• Futures
• Options
• Bonds
• Profit participation certificates
• Subscription rights

The issuer of the instrument calculates these exit costs as the difference between the bid price and the fair price at a specific point in time on a given day. If several values are determined on one day, the last value of this day applies. Depending on the quotation of the security, absolute or percentage values are provided.

In the case of sales of unit-listed securities, the exit costs in the valuation currency are then multiplied by the number of units sold. In the case of sales of percentage-quoted securities, the (percentage) exit costs of an instrument are multiplied by the sales amount. The total exit costs in the valuation period are then the sum of the exit costs of all sales of these securities in this period.

Ongoing costs

In addition to the security types listed above, ongoing charges are also provided for funds via the cost service.

Ongoing costs of funds

The running costs of funds are delivered via the WM data field "JV005" ("total costs per NAV per year").

WM data field "JV005": This link field contains the costs reported by the KVG that were incurred in the specified period. These are annualized values for the cost type incurred in the respective period. The figures are given as a percentage of the average NAV.

The ongoing charges of funds are calculated iteratively by dividing the value from the "JV005" field by 261 (days) per day and then multiplying it by the assets invested in the fund on that day.

The costs calculated in this way are then totaled per day for the total running costs of the fund in the valuation period.

Ongoing costs for other types of securities

Ongoing costs via the WM data field "JV003" can be delivered for the following security types via the cost service:

• Certificates
• Warrants
• Futures
• Options
• Bonds
• Profit participation certificates
• Subscription rights

The quotation of the costs (absolute or percentage) is based on the quotation of the instrument.

WM data field "JV003": This link field contains the actual ongoing costs of the financial instrument as reported by the issuer. The respective amount is an accumulation over the calendar year. The information is given in the quotation type of the respective instrument (amount per unit or percentage in the case of nominal quotation).

For unit-listed securities, the current costs are calculated as an absolute value in the corresponding currency. The value corresponds to the costs per year and can vary from day to day. The running costs of securities are calculated iteratively by dividing the value from the "JV003" field by 261 (days) per day and then multiplying it by the number of units of the security on that day.

The costs calculated in this way are then totaled per day for the total running costs of the security in the valuation period.

For percentage-quoted securities, the ongoing charges are also calculated as a percentage. The calculation is comparable to the calculation of the ongoing charges of funds.

The running costs of percentage-quoted securities are calculated iteratively by dividing the percentage value from the "JV005" field by 261 (days) per day and then multiplying it by the assets invested in the security on that day.

The costs calculated in this way are then totaled per day for the total running costs of the security in the valuation period.

Short transactions in options and futures

Currently, the cost service does not (yet) provide these values in the fields "JV001", "JV002" and "JV003".

Short sale

Short sales open a position in the portfolio, so the value from the "JV001" field is set here.

Short purchase

Short purchases close the positions opened via short sales in the portfolio, so the value from the "JV002" field is set here.

Ongoing costs of short positions

As the value of a short position is negative, the amount of the position value is assumed. The running costs of short positions can then also be calculated using the values from the "JV003" field as described above in the Running costs section.

Manually maintain or merge securities costs

You can overwrite the values for the securities costs supplied via the cost service locally in the securities master data on the "WM 2" tab. If new data is supplied by the cost service, it is merged with the locally maintained data, whereby the local entries have priority.

Maintain securities costs of funds manually

For funds, the percentage value in the "Total costs (fund)" field - which corresponds to the WM data field "JV005" - can (only) be set or overwritten manually in the list of cost components.

The "In percent" checkbox is always activated for funds, a currency cannot be selected (default setting "n/a").

Manually maintain security costs of other security types

In contrast to funds, "Entry costs", "Exit costs" and "Ongoing costs (derivatives)" can be edited in the list of cost components. These fields correspond to the WM data fields "JV001", "JV002" and "JV003". The WM data field "JV005" ("Total costs (fund)") is again not editable here.

You can select a valuation currency via the selection list and decide for each cost item in the history via the "In percent" checkbox whether it contains absolute or percentage values.

For some types of securities (shares, foreign exchange, indices...) it is not useful or possible to enter these securities costs. However, values entered incorrectly in older program versions can be deleted.

Merge local securities costs with the costs from the cost service

Securities costs received via the cost service are merged with the manually maintained local securities costs, whereby the local entries have priority (if entered).

Beispiel

If a user has manually entered a value of "1" in the history for the cost item "Total costs (fund)" for the period from 01.01.2019 to 30.09.2019 and a new empty entry in the history from 01.10.2019, as the cost service is to deliver from then on, then the following values apply for this cost item ("JV005"):

Until 31.12.2018: Value from the cost service

01.01.2019 - 30.09.2019: 1%

From 01.10.2019 Value from the cost service

Please note that the entry of "0" is interpreted as 0% in contrast to an empty input field.

Effects on the standard templates

Effects on the Ex-post cost statement

The running costs are listed as absolute or percentage values in the cost category "Running costs". The entry and exit costs determined as described above are now included in the existing cost categories "Entry costs" and "Exit costs" (in addition to other entry and exit costs such as the front-end load and redemption fee).

Effects on the Report ex-post cost statement

In the "Ex-post cost breakdown report", the total running costs are listed in the "Running costs/WP costs" column for each security. The total entry and exit costs per security are displayed in the columns of the same name.

Effects on the income and expenses report

In the "Income and expenses report", the total running costs are listed in the "Running costs/WP costs" column for each security. The entry and exit costs per security are displayed in the columns of the same name.

Effects on the calculation of performance

Securities costs are taken into account as exogenous costs when calculating performance. The ongoing costs per valuation day are determined as described above and added to the exogenous costs of that day. The entry and exit costs are also added on the basis of the day on which the transaction is recorded.

When configuring the performance components, the security costs can be activated and deactivated via parameters.

MM-Talk extensions for securities costs

Depot valuation

The calculation of the total securities costs is integrated into the securities account valuation. The function"TotalInstrumentCosts" on positions returns an object with licensed cost service, on which in turn the shares of the individual cost categories in the total securities costs can be determined using the three functions"OngoingCosts","EntryCosts" and"ExitCosts" .

Performance components

When configuring the performance components, the security costs can be activated and deactivated via parameters. Current costs are switched on and off via the separate parameter "Product costs", while entry and exit costs are switched on and off via the common parameter "Entry_exit costs".

By default, the securities costs are not included in the MM-Talk function"SetAllFeeComponents" . This can only be switched on via a special configuration setting.