Position and MTM Calculations for Instruments

This topic describes the Position and MTM calculations can be done through the batch process.

Position and MTM calculations can be done through the batch process for Position and MTM calculation the next day with effective date as the previous day. To facilitate this, maintain the parameters specified in the table below in the Batch EOD Function Inputs screen:

Table 4-44 Parameters for Position and MTM Calculations

Parameter	Remarks
PROCESS_FROM_DT	Specify the Effective Date on which the ETD Intraday Batch is required to be triggered. The default value is the previous working date.
PORTFOLIO	Choose the specific Portfolio ID for which batch reprocessing is required. The default value is ALL.
CURRENCY	Choose the specific currency for which batch reprocessing is required. The default value is ALL.
INSTRUMENT	Choose the specific Instrument for which batch reprocessing is required.The default value is ALL.
SERIES	Choose the specific Instrument series for which batch reprocessing is required.The default value is ALL.
BROKER	Choose the specific Broker for which batch reprocessing is required.The default value is ALL.
BROKER_ACC	Choose the specific Broker account for which batch reprocessing is required.The default value is ALL.
BASKET_REFERENCE	Choose the specific Basket for which batch reprocessing is required.The default value is ALL.
IMPACTED_BASKETS	This box is applicable during the MTM Recalculation process. When you trigger the normal ETD batch process, set the Effective date and do not check the Impacted Baskets box. After a price correction or on receiving a new back dated deal, set the effective date to today and then check the Impacted Baskets box. FLEXCUBE picks up all the baskets which are impacted as part of Price Modification or Back value dated deal for MTM processing. This box is not checked by default.

As part of the MTM process, the system:

• checks that Closing prices are available for all the instruments in which the bank has Positions
• calculates and posts entries for the Realized profit or loss using the appropriate costing methods applicable for the portfolio, for the positions squared off or liquidated on the given date
• calculates and posts entries for the MTM gain or loss using the costing method applicable for the portfolio with the closing prices available as of the given date

You can run this batch for a past date too, depending on the maximum back value days maintained at the ETD bank parameters level.

If the date is greater than Maximum number of backdated days captured in ETD Bank parameter or the date is lesser than the last EOM execution date (even if the backdated days is within the limit), the system displays an appropriate error message.