PROPPL - F&O Proprietary P&L
What is
These procedures enable viewing of F&O P&L for open and settled trading for selected accounts and/or strategies. The view of settled trades is only for the current fiscal year. To view the movements, previous operations of PROPPL have needed to click ‘secure report positions’, this process will keep a permanent copy (xx_fut20) of the results of the cutoff days analysis.
It is important that the responsible controller of these positions actions the ‘secure’ procedure regularly i.e. when they have agreed that the positions are correct for C.O.B cutoff date. A feature that can be setup by Hivedome in the overnight procedures is to always secure a COB snapshot, which can be superseded by the following re-secure of PROPPL . Failure to action will result in NO movement values WITH a notation at the bottom of the report column stating ‘No records ‘. If there are MISSING days being secured, the movement values will be nonsensical, especially when the missing day is end of a Month. Missing last working (ITAS) day values will corrupt month-to-date as the opening balance would be applied = ZERO. If the missing day was last working day of Fiscal Year, then YTD movements will be correspondingly rubbish.
Strategy codes that are to be handled as Spread Positions e.g. NY11 Mar/May will need to show the opening position instead of the Net lots. This is achieved by the TERMCODES/Strategy Group being setup correctly i.e. ‘No Spread’ is not ticked. Conversely if the position is to be shown as Net then that setting must be ticked. In the case of a strategy including more than one position, the position column will show XXX symbol.
F&O trades are collected. basis their trade date.
The summary view illustrates movement from cutoff date to previous working day, cutoff date to COB previous Friday, cutoff date to COB of previous month and cutoff date to COB previous year end. The values include open and settled/liquidated. The column named as ‘Posn on’ will report the net lots for the position if there is only 1 prompt month involved else will show the code ‘XXX’
The detail view illustrates the position as at the cutoff date, it will list a row per account (or Strategy) / instrument with columns for F&O showing open VM and Commissions, settled P&S and Commissions.
Each of the columns is representative of its’ heading:-
Open Futures VM, standard variation margin – same as TOPEN.
Open Futures Comsn, commission amount payable per trades above.
Liq. Futures P&S, liquidated/settled value, this value is the VM (basis the off-the-board price) for the trades settled (fut02_arcdate) in the current fiscal year.
Liq. Futures Comsn, commission amount payable per trades above.
Open Options VM, non-standard Option handling. TOPEN applies market VM = replacement market value when Market is Pay Premium at Trade time else if premium is held then the VM is standard Trade price minus Market price. PROPPL applies all VM as Trade price minus Market Price.
Open Options Comsn, commission amount payable by the account.
Liq. Options P&S, reports the current fiscal year Liquidations; i.e. Option trades settled/exercised/abandoned in current fiscal year. The standard is record/report their premiums. And alternative mode (style=NA div) is to calculate a VM which will also apply off-the-board TPRICE where relevant. Use TENQ/settled trades to view the detail applying correct filter parameters i.e. Accounting/Archive date >= start of fiscal year
Liq. Options Comsn, commission amount payable by the account for the current fiscal year.
Adjustments, there is a right-click feature (on the main form) that enables the user to maintain monetary adjustments per date/code/instrument – prompt month – strategy. There is an alternative mode where user only maintains 1 value for the day’s total P&L adjustment and those values are applied on summary page only.
Ex Opts Mkt Value, exercised Options market value.
The Summary 1 day illustrates detail for the cutoff date and the previous working day. The report will sequence by Account/Strategy/Commodity-Instrument. It will show for each date the Futures Net Position, Open VM, settled P&S and a total $. There are also corresponding columns showing the variance between the 2 dates
NOTE: There is a TENQ feature ‘Summary By strategy’ that will report a simple grid of lots for strategy columns and instrument/month rows. This is useful complement for the P&L movement of PROPPL.
Technical. For specific companies, only trading accounts (CLI .T) maintained with Department coding specifying a Spec/Proprietary type operation will be included in the reporting.