DAILYPL - Daily TRADE P&L
What is DAILYPL
The idea is to show daily P&L movement by book/dept of physicals forecast (VALUATION) and futures variation margin and commission (TOPEN).
Automatically each night a copy (FREEZE) of the relevant Trading tables would need to be created.
DAILYPL can apply any set of tables with any other e.g. last month end against current positions, last nights against current, the default will be current against last nights’)
In the example below we are actioning DAILYPL for the 1st July.
Summary Report
| Daily Movement 30 Jun 2003 to 01 Jul 2003 | Physicals M2M | Futures M2M | Monthly Mvmnt | Yearly Mvmnt | ||||
| Book | Physicals P&L | Futures P&L | Realised | Total P&L | M/End Jun 2003 | M/End Mar 2003 | ||
| to 01 Jul 2003 | to 01 Jul 2003 | |||||||
| 110 | 1,000 | -1,200 | 0 | -200 | 12,000 | -2,500 | -300 | 500 |
| 1104 | 2,000 | 3,000 | 0 | 5,000 | 0 | 0 | -400 | 600 |
| Total | 3,000 | 1,800 | 0 | 4,800 | 12,000 | -2,500 | -700 | 1,100 |
The P&L in this case will be E – F + G Where:
E; Current position: Current D/B, trade date <=1st July, Mkt prices/roes @1st July, %sales invoiced: Null
F; Previous position: 30June D/B, trade date <=30th June, Mkt prices/roes @30th June, %sales invoiced: Null
G; Realised: Current D/B, trade date <=1st July, Mkt prices/roes @1st July, Sales invoiced date: 1st July
The monthly movement will be the same formulas but using 1st July vs Jun 2003 month end database and 30th June filters and market rates/roes.
The Yearly movement will be the same formulas but using 1st July vs Mar 2003 month end database and 31st March filters and market rates/roes.
Drill-down to view the detail is enabled for most of the columns:
a) Daily Movement Physical; will show Market price changes and any data changes
b) Daily Movement Futures; will show Market price changes and any data changes
c) Realised; ALEX...........................................................................
d) Physicals M2M, will list closing positions in VALUATION style
e) Futures M2M; will list Closing positions in TOPEN style
Please note the Options icon on task bar , which allows for User customisation of drill-downs and some general inclusion parameters e.g. Polarisation
In addition there is the feature to manually adjust (right-click on front screen) the physical forecast for all departments which will be added into the Daily Physicals P&L movement. NOTE: This is only a single adjustment factor per Dept, so the value will apply to every report run, irrespective of dates selected!
Detail Report
| New Trades | Contract Amendments | Market P&L | Invoiced Amendments | Total P&L | Opening Position | Closing Position | Sales Invoiced | Invoiced Amendments | |
| 110 – Brazil | |||||||||
| Physicals | 10.00 | 30.00 | 40.00 | 0 | 100.00 | 0 | 0 | 20.00 | 0 |
| Futures | 40.00 | 60.00 | 90.00 | 0 | 240.00 | 0 | 0 | 50.00 | 0 |
| Total 110 | 50.00 | 90.00 | 130.00 | 0 | 340.00 | 0 | 0 | 70.00 | 0 |
| 1104 - Brazil | |||||||||
| Etc. | |||||||||
| Etc. | |||||||||
| Grand Totals | |||||||||
| Physicals | 10.00 | 30.00 | 40.00 | 0 | 100.00 | 0 | 0 | 20.00 | 0 |
| Futures | 40.00 | 60.00 | 90.00 | 0 | 240.00 | 0 | 0 | 50.00 | 0 |
| 50.00 | 90.00 | 130.00 | 0 | 340.00 | 0 | 0 | 70.00 | 0 | |
New Trades: Current database, trade date=1st July, Mkt prices/roes @1st July
Sales Invoiced: Current database, trade date<=1st July, Mkt prices/roes @1st July, sales invoiced date: 1st July
Contract amendments: A - B i.e. only includes contract amendments, the mkt prices and rates are the same and new business and realised for the 1st of july are excluded.
Market P&L: C-D i.e. all data and contracts is exactly the same, only market prices and fx rates are different
A = Current database, trade date <=30th June, Mkt prices/roes @30th June, sales invoiced date: Null or > 30th June
B = 30th June database, trade date <=30th June, Mkt prices/roes @30th June, sales invoiced date: Null
C = Current database, trade date <=30th June, Mkt prices/roes @1st July,sales invoiced date: Null
D = Current database, trade date <=30th June, Mkt prices/roes @30th June,sales invoiced date: Null
Market prices and exchange rates will automatically follow the database e.g. 4th July database will use 4th July prices and exchange rates. Month end such as Jun 03 will use 30 June 03 (i.e. last working day) prices/rates
The displays above will be on a grid with a drill down facility
As the columns represent differences between 2 reports, the drill down will show the 2 sets of data in the Valuation/Topen report format grouped by contract (6 digits) where there is a difference in the forecast
e.g.
Contract 123456
Database: 30 Jun 03
123456.000 comod, client etc…………………forecast 1,000
123456.001 comod, client etc…………………forecast 1,100
123456.002 comod, client etc…………………forecast 500
Database: 01 Jul 03
123456.000 comod, client etc…………………forecast 1,100
123456.002 comod, client etc…………………forecast 500
Contract 123499
Database: 30 Jun 03
etc