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P&L Attribution




Using advanced data analytics to understand financial performance

Our client, a global soft commodity company, engaged Calimere Point to leverage our advanced analytics and financial markets expertise to deliver a cutting-edge P&L attribution solution.

Industry: Commodities - Trading/Exchange


Data Complexity of Delta 1 Products

Delta 1 products are financial instruments that aim to replicate the performance of an underlying asset or index. They require accurate and timely data on the asset's price movements, dividends, interest rates, and other relevant factors. Obtaining and processing such data can be complex, especially when dealing with a wide range of assets or indices. Delta 1 products can still present a data challenge due to the number of rules involved.

Poor Data Quality

The accuracy and quality of the data used to create and manage Delta 1 products are crucial. Errors or discrepancies in the data can result in inaccurate tracking and performance deviations from the underlying asset. Ensuring data accuracy often involves thorough data validation, cleansing, and reconciliation processes.

Inconsistent, Manually Adjusted P&L Process

The client was calculating its P&L and P&L explain in excel across multiple locations. It needed a standard process that worked with and accepted the data nuances across all centres, complicated by a mix of trading and physical processing.

Excel P&L Process Issues

Excel is great. It’s flexible, powerful and quick. In general, it’s the number one choice for ad hoc analysis. But it’s not so good at connecting to data sources, or for large amounts of data or repeatable workflow. And the latter is where we see it so often because it is so flexible and quick to react to the nuances and variations in data. A full revaluation P&L attribution is conceptually simple. Isolate the drivers and re-run the P&L calculation by varying the drivers one at a time. The practical difficulties often arise in getting all the requisite data from different sources and running all the scenarios whilst isolating second order effects. Often, the underlying P&L reporting process is not fully automated or may not allow for multiple scenario data to be generated and then run through it. So parallel excel spreadsheets are made.

Practical Issues

Spreadsheets had evolved in different directions to take into account local data nuances and trading conventions.
FIFO waterfall calculation was required to allocate contracts to physical forecasts so variations in scheduling, volumes or planning would change P&L due to phasing.
The P&L model meant that data variations could have upstream and downstream effects.
Management overlay rules created additional second order effects
Fifty to sixty single and pairwise scenarios would typically be required to explain the P&L.

Data Solution

Our P&L Attribution engine a is flexible, rapid and modular platform for obtaining the information you need. P&L attribution analysis and reporting can provide users with a coherent breakdown of the drivers of P&L movements between two points in time with reference to a select number of easily understandable pricing factors.

Building a better P&L process

An automated process had to have a standard set of rules. Working with finance to identify some of the inconsistencies, reduce redundancies and duplication and streamline the logical processes was key.

Mark to observable market calculations were streamlined, formulae were made consistent for the different pricing combinations and the number of intermediate calculations was reduced.

P&L explain is simply a re-run of the P&L calculation but with carefully controlled variations of input data. Our modular data analytical tool can easily share developed logic across multiple processes.

Dashboard development

The existing output was in excel and static ppt slides which have limited flexibility. Historical trend data was also not available.

The client chose to use Tableau as its data visualisation tool so our P&L process outputted data in the optimal format for Tableau.

Calimere Point’s finance expertise was used to design and develop the dashboards for subsequent review by the client: it was faster than asking users to provide the design ideas from scratch.

Implementation of a full reval P&L explain

The client was calculating its P&L and P&L explain in excel across multiple locations. It needed a standard process that worked with and accepted the data nuances across all centres, complicated by a mix of trading and physical processing.

Calimere Point designed and implemented a full reval P&L explain with 200+ single and pairwise components for volume, plan and market data variations. Results were displayed in a dynamic dashboard.

Average 99+% P&L explain.

The detail: what does our P&L process do?

Inputs include:

  • Location variables
    - Starting stock
    - Yield assumptions
    - Conversion costs
    - Forecast processing
    - Logistics and grade premiums
  • Market variables
    - Exchange prices
    - Conversion factors
    - FX
  • Contract data
    - Type
    - Underlying
    - Quantity
    - Cost price
    Ship to/from port


  • Processing waterfall of inventory and physical contract delivery
  • Contract allocation to waterfall and prices
  • Carry costs based on contract delivery schedule
  • Contract cost calculation
  • Isolating changes in plan from changes in supply and scheduling of such supply
  • Application of custom limitations of physical processing
  • Diversion of physical to cash settlement and re-calculation of logistics costs
  • Processing P&L
  • KPIs eg P&L:sell side contract ratio
  • Contract analysis and breakdown into new, expired, amended and unchanged contracts
  • Input variable analysis and delta calculated
  • Full revaluation P&L attribution for each scenario

A robust and repeatable framework delivered fast

Accuracy and Precision

- Increased accuracy of contract usage, contract costs and carry calculations.
- Systematic breakdown of P&L drivers into components rather than aggregation of user defined scenarios.

User Functionality

- Access to fast, consistent and complex calculation that existing tools could not do.
- Dynamic dashboard including historical trends.
- Ability to run and track multiple data versions.

Audit and Stability

- Automated, consistent P&L process, eliminating 150+ MB spreadsheets.
- Audit trail from new protected data environment.
- Open source database used to provide a more stable data environment.
- Signed off logic controlled and protected by IT.
- Elimination of manual untraceable adjustments.

The result was a P&L Average explain of 99+%

Related Data Solutions

Calimere Point have helped our clients gain value from the data revolution.

Peter Griffiths

Co-Founder & CEO
Peter is the co-founder and CEO of Calimere Point and has been with the firm since its inception in 2009. Prior to founding Calimere Point he spent the first 15 years of his career in Investment Banking, working within trading, structuring and risk management disciplines across a number of asset classes. Peter has a Masters in Finance from London Business School, a BSc in Economics and Finance from Oxford Brookes University and is a qualified accountant (CIMA qualification).

Dominique Nelson-Esch

Chief Marketing Officer

Dominique is a multi-disciplinary visual designer, communications and brand strategist, with a two-decade journey in collaborating with startups and SMEs. Her portfolio includes consulting for over 100 businesses globally, where she managed branding, design, and digital communications.

Dominique’s extensive background in financial services equips her with a nuanced understanding of our industry landscape, including 14 years in financial services, holding key roles such as Head of Portfolio Risk Audit and Niche Portfolio Management for major Insurers.

In her current role as Chief Marketing Officer (CMO) at Calimere Point, Dominique focuses on strategically positioning and promoting the firm. Her goal is to enhance brand awareness and establish market leadership through innovative marketing strategies that highlight Calimere Point’s expertise in delivering impactful data-driven solutions.