MOCK This is an invented portfolio to demonstrate the P&L logic. Positions are fictional; no real money is involved.
P&L today (USD)
-109,767
Gross exposure
60,684,351
Net exposure
18,242,109
Net DV01
1,000
By book
| Book | P&L | Gross | Net | DV01 | n/a |
|---|---|---|---|---|---|
| commodities | -15,020 | 7,061,420 | 6,313,420 | 0 | |
| equity_ls | -45,200 | 31,012,250 | 12,082,850 | 0 | |
| fx | 34,453 | 22,610,681 | -154,161 | 0 | |
| macro_rates | -84,000 | 0 | 0 | 1,000 |
By asset class
| Asset class | P&L | Gross | Net |
|---|---|---|---|
| commodities | -15,020 | 7,061,420 | 6,313,420 |
| equities | -45,200 | 31,012,250 | 12,082,850 |
| fx | 34,453 | 22,610,681 | -154,161 |
| rates | -84,000 | 0 | 0 |
Shock scenarios linear approximations
| Scenario | P&L (USD) |
|---|---|
| Rates +50bp parallel | -50,000 |
| Rates -50bp parallel | 50,000 |
| Equities +5% | 604,143 |
| Equities -5% | -604,143 |
| Oil +10% | 445,230 |
| Oil -10% | -445,230 |
| USD +3% | -355,375 |
| USD -3% | 355,375 |
First-order: DV01 × bp, exposure × %, FX notional × %. No convexity, correlation or spillover.
Positions
| ID | Instrument | Book | Kind | Size | As of | Move | P&L (USD) | Exposure | Note |
|---|---|---|---|---|---|---|---|---|---|
| R01 | UST 10Y | macro_rates | dv01 | DV01 25,000 | 2026-11-05 | -6.00bp | 150,000 | 0 | MOCK long 10y duration (receiver) |
| R02 | UST 2Y | macro_rates | dv01 | DV01 -18,000 | 2026-11-05 | -12.00bp | -216,000 | 0 | MOCK short 2y duration (steepener leg) |
| R03 | UST 30Y | macro_rates | dv01 | DV01 -6,000 | 2026-11-05 | -3.00bp | -18,000 | 0 | MOCK short 30y duration |
| E01 | S&P 500 (SPY) | equity_ls | shares | 20,000 | 2026-11-06 | +0.31% | 45,800 | 14,705,800 | MOCK long S&P 500 beta |
| E02 | Nasdaq 100 (QQQ) | equity_ls | shares | -9,000 | 2026-11-06 | +1.40% | -81,450 | -5,904,900 | MOCK short Nasdaq 100 (tech hedge) |
| E03 | Russell 2000 (IWM) | equity_ls | shares | 25,000 | 2026-11-06 | +0.99% | 67,250 | 6,841,750 | MOCK long small caps |
| E04 | EM equities (EEM) | equity_ls | shares | -60,000 | 2026-11-06 | +2.21% | -76,800 | -3,559,800 | MOCK short EM equities |
| F01 | EUR/USD | fx | fx_notional | 10,000,000 | 2026-11-06 | -0.06% | -6,685 | 11,228,260 | MOCK long EUR 10m vs USD |
| F02 | USD/JPY | fx | fx_notional | -6,000,000 | 2026-11-06 | -0.54% | 32,724 | -6,000,000 | MOCK short USD 6m vs JPY |
| F03 | GBP/USD | fx | fx_notional | -4,000,000 | 2026-11-06 | -0.16% | 8,415 | -5,382,421 | MOCK short GBP 4m vs USD |
| C01 | Oil ETF (USO) | commodities | shares | 30,000 | 2026-11-06 | +0.13% | 6,000 | 4,452,300 | MOCK long oil via ETF |
| C02 | Gold ETF (GLD) | commodities | shares | 6,000 | 2026-11-06 | -0.79% | -17,820 | 2,235,120 | MOCK long gold via ETF |
| C03 | Nat gas ETF (UNG) | commodities | shares | -40,000 | 2026-11-06 | +0.86% | -3,200 | -374,000 | MOCK short nat gas via ETF |