5.7 Process Portfolio Events
This topic describes the portfolio events and profit loss.
During EOD, the system performs the following while
processing the Long/Short and Liquidation deals:
- It identifies all deals that are booked, amended, reversed, matched or unmatched today
- It processes each deal in the same order in which the different actions were performed during the day
- It identifies all other deals that would be impacted by the action performed on a deal
- It processes each deal along with the deals impacted together.
- It decides the appropriate portfolio event that should be triggered,
based on the nature of the deal, direction of the position and the
action performed:
- All the identified events are processed in the same order
- While triggering each event, the system performs the following actions
- It updates the latest event triggered for the deal and record in the contract event log
- It creates a link between the event triggered and the deal, along with additional details like number of contracts considered, event sequence number, etc.
- It updates the settled balances for the basket
- It updates value dated balance movements for the basket
- For portfolios following WAC costing method, the system recalculates WAC and update WAC balances/movements
- It calculates the amounts (tags) required for posting accounting entries
- It posts the accounting entries configured for the event in the portfolio
- For Portfolios following FIFO/LIFO costing methods, while triggering closing event for a deal, the system:
- checks whether the deal is already matched
- automatically matches the deal with other deals in the opposite direction and having unmatched contracts, if the deal is not matched,
- calculates Realized Profit-Loss individually for each matched deal pair or for the Net PL for all contracts matched for the deal
- You can view the accounting entries posted for the basket in the ‘Basket Balances’ screen. And you can view the Settled balances and Value dated balance movements updated
- You can view the updated WAC for the basket in the ‘WAC Balances’. Also, you can view the WAC movements updated and the accounting entries posted
During EOD, while processing Option style Option deals, the system
checks and applies the rules below:
- For all new deals booked today, the system posts one of the below accounting entries as configured for EOLG / EOSH events in the portfolio
- Expense or Income against premium payable or receivable respectively
- Contingent Asset or Liability against premium payable or receivable respectively.
- For all deals with Money Settlement Date as tomorrow, the system posts one of the below accounting entries as configured for EOPL / EOPS events in the portfolio.
- Premium payable or receivable against Variation Margin Account (VM_ACCOUNT)
- Premium payable or receivable against Broker Settlement Bridge.
- For all the deals that are set-off/liquidated today, the system posts the below accounting entries if configured for the closing events in the portfolio
- Expense or Income against premium payable or receivable respectively
- Expense or Income against Contingent Asset or Liability respectively