  We develop a method to decompose the PnL of a portfolio of assets into four
parts: (a) PnL due to FX rate changes, (b) PnL due to interest rate changes,
(c) carry gain due to time passing, (d) PnL due to residual market risk changes
(credit risk, liquidity risk, volatility risk etc.). We demonstrate the
usefulness of our approach by decomposing the performance of an FX- and
interest rate-hedged negative basis position in our fund XAIA Credit Basis II,
and we apply the methodology to decompose the performance of our fund XAIA
Credit Debt Capital in the first quarter of 2022 into PnL contributions of the
single positions.
