Daily PnL Attribution
Decompose desk PnL across price move, FX, fees and carry and reconcile to the reported total.
The scenario
It's the morning after, and the desk's PnL print needs explaining. You're handed yesterday's positions with start and end marks, the FX rates, fees and carry, and asked the question every desk asks daily: where did the money actually come from? Split it into clean buckets and tie it back to the reported number, to the penny.
Where this shows up
Decomposing and reconciling a day's PnL is a standard desk and product-control take-home at firms of this type.
Firms such as Goldman Sachs, Morgan Stanley.
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Task brief
# Daily PnL Attribution **Role relevance:** Trading desk / product-control take-home. **Estimated time:** 60 minutes · **Difficulty:** Intermediate · **Format:** Excel (.xlsx) ## What you are given - `daily_pnl_attribution_starter.xlsx` — a **Brief** tab, a **Formula Help** tab (cheat sheet), a **Positions** tab (start/end marks, FX, fees, carry) and an **Attribution** template. Amber cells are yours to complete. ## What you must deliver 1. Split each position's daily PnL into Price, FX, Fees and Carry (formulas, not typed numbers) 2. Reconcile the book total to the Reported PnL — residual to zero 3. Identify the largest driver with a formula (INDEX/MATCH) 4. A 'PnL by bucket' chart and a one-line interpretation ## Submission note Use the Formula Help tab to structure the sheet, then check your work against the mark scheme and the solution workbook (which shows every formula).
Your tasks
- 01Split each position's daily PnL into Price, FX, Fees and Carry buckets.
- 02Price = Qty·(Px₁−Px₀)·FX₁; FX = Qty·Px₀·(FX₁−FX₀) — so the two sum exactly to the revaluation.
- 03Reconcile the book total to the Reported PnL and drive the residual to zero — with formulas, not typed numbers.
- 04Name the single largest driver of the day (a formula, e.g. INDEX/MATCH — not a guess).
- 05Read the 'PnL by bucket' chart and write a one-line interpretation of the day.
How you're assessed
The full points-based mark scheme is included with the pack.
What you'll learn
- How a day's PnL decomposes into price, FX, fees and carry — and why the FX/price cross term must be handled to reconcile.
- Why every cell should be a formula: an auditable model survives a changed input.
- How product control thinks about explaining a number to the penny.