Reply To: In “Impact Of Amendment” why isn’t Yesterdays value showing correctly ?

Israr Ahmed

Impact Of Amendment = MtM ( current tran num ) – MtM ( yesterdays tran num )

One issue with this is that the “MtM ( yesterdays tran num )” is not just taken as yesterdays Blob PnL but is in act RECALCULATED. So there are two consequences of this :

(1) With deals that show Impact of Amendment you will also see Impact Of Delta as the latter explains the move from yesterday to today ( using yesterdays exposures) and then the Impact Of Amendment will show the incremental further change due to Amendment [ this is not really an issue as such ]

(2) Interaction of Volume Updates and Amendment on same day. Volume Updates do not change tran numbers . So in the following scenario during a day

§ Volume uploaded via tran schedule change { tran num doesn’t change }

§ Deal Amended { tran num changes }

In this situation the Impact Of Amendment does not capture the affect of the Volume Upload. This is because in this calculation “Impact Of Amendment = MtM ( current tran num ) – MtM ( yesterdays tran num )” its recalculating the MtM ( yesterdays tran num ) which actually now has volume change on it … so both terms MtM ( current tran num ) and MtM ( yesterdays tran num ) are calculating MtM on deal versions that have volume updated … so the change due to volume upload is not captured.

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