9.2.4.1 Portfolio Event Processing

The system supports all costing methods for Futures as a part of Batch processes for managing positions.

All the deals booked during the day would be processed in the order they were booked..

The type of Portfolio event that need to be triggered for the deal, would be decided based on the following:

• Nature of the Deal – For creating Long or Short position or Liquidation deal for Exercise, Expiry or Physical Delivery
• Direction of the Position – in the same direction as the existing position or in the opposite direction
• Action performed – Deal Booking or reversal, Deal Matching or un-matching

Accounting entries would be posted which will depend on the following:

• Nature of the Instrument - Futures, Future style Options, Option style Options
• Underlying Asset type - Currency pair or Others
• Portfolio Configuration - Open Individual Position, Post Deal-wise PL Entries

For each event, accounting entries would be posted for the components as applicable.

• For the portfolios that follow FIFO/LIFO/WAC costing methods, the entries will be posted for Asset or Liability for all deals in the order they were booked and based on the direction of the deal
• For the portfolios that follow DMAT costing method, if ‘Open Individual Position’ is toggled-on, then Asset or Liability entries would be posted for opening the position individually for all the deals irrespective of the direction of the deal and whether they are matched or not. Otherwise, entries would be posted only after the deals were matched. However, basket balances would be updated by all the deals immediately after they were booked considering the direction of the deal, resulting in a Net Position in the basket.
• For the portfolios that follow WAC costing method, the existing process for Futures WAC and PL calculation would continue
• Both Notional Profit-Loss for Option style Options and Realized Profit-Loss for other instruments would be posted from the ERVL/ ERVS

Reversal entries would be posted only for Notional Profit-Loss on the next business date.

Entries would be for posted for individual PL for each pair of matched deals, if ‘Post Deal-wise PL Entries’ is toggled-on for the portfolio associated

Entries for Realized PL would be posted against ‘Broker Margin (VM) Account’, based on the setup for the broker

Entries would be for posted for individual Notional Profit-Loss for each deal, if ‘Post Deal-wise PL Entries’ is toggled-on for the portfolio associated

Otherwise, single set of entries would be posted for the net Notional Profit-Loss calculated for the basket in that portfolio.