Reply To: Identifying Fees in PNL Detail

Tom Graham

It can be confusing identifying which cashflow types do or do not reference a fee in some cases.

“Broker Fee” – I think this only ever refers to a broker fee, so is always a fee, although maybe for your credit reporting purposes it does not count as such.

“Premium” is certainly not a fee, neither is “Interest”.

For some (most) deal types, everything that is not a fee – i.e. is a deal payment – will have a cashflow type of “None”. But for others it is “Commodity”; the confusing case is for COMFUT & COMOPTFUT, the equivalent non-fee cashflow elements in PnL Details are called “Premium” & “Interest”.
Oh, then there is also “FX Forward” for FX Toolset.

Maybe there is no way to universally define the set of cashflow yypes that are not Fees. Then of course you don’t want to hard code a set of cashflow types that are fees, since this can always be added to with new fee types.

Even comparing the Cashflow Type & Fee Def tables doesn’t seem to work: In the instance I am looking at, there are some Cashflow types which are fees and match by name an entry in the fee table, but then there are some things that are in the former that certainly are fees, but not in the latter – and conversely there are entries in the Fee Def table for things that I wouldn’t consider to be a fee (Rebate, Prepayment, Premium).

I don’t think you can use ‘Event Source’ to identify fees either.

Download PDF version

This field is for validation purposes and should be left unchanged.