PnLExplain Table

PnLH + I - S/P
PnL NominalH + I - S
PnL GrossH + I + E - S/P
PnL due to ResetsI - C + Fᵣ - F
PnL due to CurvesH - S/P + C - Fᵣ + F
Carry SurpriseI - C
Forward SurpriseH - F
Fwd Surp due to ResetsFᵣ - F
Fwd Surp due to CurvesH - Fᵣ
Consistency CheckS/P == C + F
Horizon PriceH
Spot Price (Hor)S/P
Spot PriceS
IncomeI
Cash Flows from FeesE
Forward PriceF
CarryC
Forward (Resets)Fᵣ
Funding DFP