To analyse the profit and loss changes for a selected measuring period it is possible to breakdown the change into different components.
Each effect represented in individual report columns.
The columns are:
Total profit/loss effect
The difference between Market value Dirty from one date to another.
The sum of the 5 effects below.
FX effect
Effect of changes in FX rates from one date to another.
Accrual effect
Period interest amount allocated for selected measuring period
Rate effect
Effect of changes in the interest rate curves from one date to another. Market valuation on balance date with yield curves from balance date and the selected measuring period from date.
Roll effect
The effect of a shorter time to maturity, shifting the points on the curve used for calculating the market values.
In other words discounting the market value to a later day and see the effect when time has passed but nothing else.
Shape effect
The residual that is not explained by the four other effects.
Was this article helpful?
That’s Great!
Thank you for your feedback
Sorry! We couldn't be helpful
Thank you for your feedback
Feedback sent
We appreciate your effort and will try to fix the article