Mark-to-market UK Gas example
A member buys NBP MAY10, 10 lots, at price 40 pence/therm the 15th of February 2010.
The closing price the next day is set to 42 pence/therm.
Daily Profit Loss Report 15-02-2010
|
Instrument |
Position |
Traded Price (p) |
Closing T (p) |
Trade Value (£) |
Market Value (£) |
Profit/Loss (£) |
Settled (£) |
To be Settled (£) |
|
NBP MAY10 |
10 |
40 |
42 |
124 000 |
130 200 |
6 200 |
0,00 |
6 200 |
| Position | 10 lots equals 10 000 therms per day in the delivery period |
| Trade Price | the traded price in pence/therm. |
| Closing | the closing price the 15.02.2010 |
| Trade Value | the value of the contract based on the traded price [10x1000x31x40/100] |
| Market Value | the value of the contract based on the closing price [10x1000x31x42/100] |
| Profit/Loss | the total profit/loss for the net position in that contract. Difference between the Trade Value and The Market Value for the net position. In this example the clearing member has gained GBP 6 200 |
| Settled | the amount that has been settled on the Collateral and Settlement account up until the previous trading day. Calculated based on the difference between the traded price and the closing T-1 (Historical settlements). |
| To be Settled | the amount being settled on the Collateral and Settlement account. The difference between Profit/Loss and Settled which equals the change in closing price multiplied by the position. |
The last day of the delivery period the closing price is equal to the settlement price (average spot price during the delivery period) and the number in the Profit/Loss column is therefore the total realised profit/loss for the net position in the specific contract.
| NBP MAY 10 | Position | Traded Price (p) | Closing Price (p) | M2M (£) |
| 15 Feb | +10 | 40 | 42 | 6 200 |
| 16 Feb | +10 | 43 | 3 100 | |
| 17 Feb | +10 | 40 | - 9 300 | |
| ... | +10 | ... | ... | |
| ... | +10 | ... | ... | |
| 29 May | +10 | 47 | 2 000 | |
| 30 May | +10 | 48 | 3 100 | |
| 31 May | +10 | 46 | - 6 200 |