Adjust Strategy Profit To Zero Using Fee

In some instances, some company like to reserve the net profit in a strategy before recognizing it. For this purpose, there is a functionality that allows the platform to automatically calculate and adjust a strategy net profit to zero.

In order to utilize this functionality, some setups are required.

Setup to enable “Adjust Strategy Profit to Zero using Fee” are

1. Create a new fee type

a. Go to Reference Data → Fee Types

b. Create a new Fee Type Name : P/L Reserve (Auto)

c. Set “Fee Type to bring Total Profit to Zero?” to true



2. Create a new counterpart

a. Go to Credit → Companies

b. Create a new company: P&L Reserved Counterparty in Companies view.

c. Create a new counterparty: P&L Reserved Counterparty in Counterparty view.

d. Set “Counterparty to bring Total Profit to Zero?” to true in Counterparty view.



3. Additional Setup

Currently, this function can be triggered in Schedule Task.



*To add this function as a step in valuation, please contact CoreTRM support.*

Once the setup is done, you can start specifying strategies that requires this functionality.

1. For example: “My Strategy Apr24” Strategy consists of one buy and one sell and there is a Net Profit for this Strategy



2. To enable "Adjust Strategy Profit to Zero using Fee", go to MO Dashboard → Strategies
3. From the list of Strategies, search for the strategy name
4. Then set the “Use Fee to bring Total Profit to Zero?” to True



5. 5. Once the function is run, the platform will automatically create a fee which will bring the net profit of the strategy to zero.



In order to stop the platform from calculating the Auto P&L Reserved Fee, uncheck the “Use Fee to bring Total Profit to Zero” in the Strategies view.

Note:

1. The Auto P/L reserve fee will be created in the following order:

1) In Physical Sell Trade of the strategy.

2) If no Physical Sell Trade is in the strategy, it will be created in Physical Buy Trade

3) If no Physical Bu/Sell Trade is in the strategy, it will be created in Derivatives Trade.

*In the event if there are more than 1 Physical Sell or Buy Trade in the Strategy, the Auto P/L reserve fee will be create in the buy/sell trade with transaction start date furthest from today.*

2. It is possible to also set P&L Reserved Fee to Zero a Strategy that has a net loss. The following parameter will need to be added to the function for the platform to also automatically create a P&L Reserved Fee for a net loss strategy.:

The results will be a P&L reserved fee created to offset the net loss of the strategy.