Portfolio & P&L

Overview

The Portfolio & P&L module provides real-time visibility into the financial performance of energy derivative positions. All MtM valuations are computed against forward curves built from live ASX Energy Futures data.

Mark-to-Market Valuation

Mark-to-market (MtM) is calculated daily for all active deals:

MtM_value = (Forward_price - Strike_price) × Volume_MW × Hours_remaining × Direction

Where:

Forward_price: the current forward price for the deal’s tenor from the ASX futures-derived curve
Strike_price: the fixed price in the deal
Volume_MW: notional MW volume
Hours_remaining: hours from valuation date to deal end date
Direction: +1 for buy, -1 for sell

For options (caps, floors, collars), the MtM uses a Black-76 option pricing model:

Underlying: forward electricity price
Volatility: implied from observable ASX options prices (or historical volatility if not available)
Risk-free rate: RBA cash rate + credit spread

Dashboard Pages

Portfolio Summary (`/middle-office/portfolio-summary`)

The top-level portfolio dashboard shows:

Total portfolio MtM: current net present value of all positions
P&L attribution: today’s change in MtM broken down by portfolio, deal, and driver (price move, theta, vega)
Position heat map: regions × tenors coloured by net exposure
Limit utilisation gauges: how close each portfolio is to its position limits

Screenshot: Portfolio summary dashboard showing 3 portfolios with MtM bars, P&L waterfall chart, and limit gauges.

Deal-Level MtM (`/middle-office/deal-mtm`)

MtM table for every active deal
Sort by MtM value, region, counterparty, or tenor
Colour coding: green (positive MtM), red (negative MtM)
Export to Excel for reconciliation

P&L Attribution Waterfall

The daily P&L is decomposed into:

Attribution Component	Description
Delta P&L	P&L from price movement in the forward curve
Theta P&L	P&L from time decay (closer to expiry each day)
Vega P&L	P&L from changes in implied volatility (options only)
New Trades	MtM of deals entered today
Expired Positions	Realised P&L from deals that settled

Position Limits

Position limits are defined per portfolio and monitored in real time:

Limit Type	Example	Alert Threshold
Net MW exposure per region	±500 MW per region	80% of limit
Gross notional value	$100M total	85% of limit
Counterparty credit exposure	$50M per counterparty	90% of credit limit
Delta equivalent MW (options)	±200 MW delta	80% of limit
VaR (1-day, 95%)	$2M	75% of limit

When a limit is breached, the platform triggers an alert and prevents new deals (unless approved by a risk manager role).

Realised P&L

When a deal expires or is settled, the realised P&L is calculated against actual NEM settlement prices:

Realised_PnL = Σ (Settlement_Price_t - Strike_Price) × Volume_MW × 0.5h × Direction

Where the sum is over all 30-minute trading intervals during the deal’s life.

Realised P&L feeds into:

gold.realised_pnl table
The Back Office settlement reconciliation workflow
GL journal generation for accounting systems

API Endpoints

# Portfolio summary (MtM, P&L, limits)
GET /api/portfolio/summary

# P&L attribution for date
GET /api/portfolio/pnl-attribution?date=2025-03-21

# Per-deal MtM
GET /api/portfolio/mtm?portfolio_id=1

# Realised P&L for period
GET /api/portfolio/realised-pnl?start=2025-01-01&end=2025-03-21&portfolio_id=1

Gold Table Schemas

-- gold.mtm_valuations
-- valuation_date    DATE
-- deal_id           BIGINT
-- portfolio_id      INT
-- mtm_value_aud     DOUBLE
-- delta_pnl_aud     DOUBLE
-- theta_pnl_aud     DOUBLE
-- vega_pnl_aud      DOUBLE (options only)
-- forward_price     DOUBLE
-- strike_price      DOUBLE
-- volume_mw         DOUBLE
-- hours_remaining   DOUBLE

-- gold.realised_pnl
-- settlement_date   DATE
-- deal_id           BIGINT
-- settlement_price  DOUBLE
-- strike_price      DOUBLE
-- volume_mw         DOUBLE
-- realised_pnl_aud  DOUBLE
-- region_id         STRING