Profit and Loss Reporting
The calculation of trading P&L may occur in a number of
functions and steps along the trading process. The P&L measures
that finally enters the G/L is generally calculated in the
BO/Accounting process although the P&L reporting - ideally -
should be consistent throughout all instances of the trading
organisation. From a Middle Office perspective, the trading P&L
is used actively for a number of purposes such as calculation of
risk adjusted return, back testing of risk models and
decomposition into P&L drivers.
Mindwell helps you define business rules for correct recognition
and breakdown of P&L components across all intruments in your
portfolio.
P&L rules
P&L reporting is
constructed from basic principles and specific rules determining
how to recognise realised and unrealised P&L based on components
such as carry, funding, matching principles etc. Our P&L
specialists help you set up and implement rules for P&L
calculations and create transparent definitions of depreciation
schemes, fee recognition, accruals etc in your Middle Office
reporting process.
P&L
decomposition
From a capital
allocation perspective, it has become increasingly important to
break down P&L into explanatory components. We help clients
construct P&L decomposition frameworks that facilitate detail
analysis of the drivers behind period-P&L, such as Interest
Rates, FX Rates, Volatilities, Time, Equity Prices, Portfolio
Composition etc.
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