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Quantitative Finance · Begrippenlijst

Wat is Franchise P&L?

Ook bekend als: franchise P\&L

Definition 24.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 24 — Flow Market Making at a Bank

The franchise P&L of a flow desk is its profit from serving clients, decomposed into spread capture (the price clients pay relative to mid), the marks of the inventory their trades leave (where adverse selection shows), and the cost of hedging what it does not internalise.

Mark-out curves of the synthetic desk’s filled trades by client type: the mid’s move after the trade in the client’s favour, in basis points, against the number of requests since. Data: s2_flowmm.markout_curve.
Figure 24.1. Mark-out curves of the synthetic desk’s filled trades by client type: the mid’s move after the trade in the client’s favour, in basis points, against the number of requests since. Data: s2_flowmm.markout_curve.
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