Valuations

Mark-to-Market Valuations

Mark-to-market valuations can be run on demand and are run at the end of each day to determine the unrealized profit or loss for each individual contract based on the contract price, the closing market price, the open quantity and the value date of the contract.

Mark-to-market methodology varies slightly, depending on the market.

  • Futures and foreign exchange contracts are marked to specific quoted prices.
  • Physicals and inventory are marked to a derived market price, where the market price is expressed as a premium or discount to an established futures contract price; the premium may be in a different unit of measure or a different currency than the underlying futures contract. Each combination of commodity, grade, brand and location may have a unique premium or discount.
  • Options may be marked either to a quoted premium, or calculated using the Black-Scholes model based on the underlying market price, volatility and cost of funds. Option contracts can be exchange traded or options on physicals.
  • Swaps may be measured on a mark-to-market basis or on a discounted cash flow.
  • Commodity loans/leases and short-term investments are valued on an accrual basis. For metal-return leases (lease payable in metal), the metal is first accrued, and then the accrued metal is marked-to-market.
  • Anticipated expenses may be entered as the contract is entered and are reported as follows:

    For futures and options contracts, as the contracts are entered, commissions may be entered and will be considered when calculating unrealized results and final liquidation results. Default commissions and fees may be entered by broker for each market/commodity traded.

    For physicals, estimated completion costs (such as freight or duty) may be entered and these estimates may be expressed in different units or different currencies than the underlying contract. These estimated costs will be considered and reported in the valuation process.