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Energy trading risk                                                           ENERGY TR
    management system
         fea...
Transaction cost
37 analysis
38 Scalability
   Flexibility and
39 configurability
40 Risk modelling
41 Volumetric exposure...
77 Supply exposure
    Prompt month and near
 78 month exposure
    Production quantity by
 79 business units
 80 Hedge ex...
14 Invoicing & Costing
15 Accounts receivables
16 Accounts payable
   Sales, revenues and
17 costs
18 P&L Reporting
19 Ris...
ENERGY TRADING RISK MANAGEMENT SYSTEMS VENDORS MATRIX

                    Global Energy/                           Open L...
Global Energy/                           Open Link   TradeCapture,
EnerXDevelopment                    Kiodex   Murex   OA...
RIX

                                                SunGard
      TriplePoint   Sakonnet Siemens   SolArc             Zai...
SunGard
TriplePoint   Sakonnet Siemens   SolArc             Zai*Net
                                           Energy
Energy Trading and Treasury - Risk, Valuation and Exposure Matrix
          Reporting                          Compliance ...
Consumption                   Political risk
Production Report (Petroleum,
Hydrocarbons                  Real-time risk ma...
EOD Queries                       Mean reversion                           European Union Allowances
EOD Simulations      ...
RTO - Regional Transmission
                      Organization

                      LIFFE London Futures and Options
   ...
and Exposure Matrix
               Counterparty           Trade Management

         Credit                    Mark to mar...
Crude         Error handling

Crude Products        Data mapping
WTI                   Message monitoring
                ...
Levy Exemption
Certificate System     EOD Simulations
RECS                   Deal Modeling
Renewable Energy       Real-tim...
Energy Commodity Products - Europe

Emissions
EUA Forward           Power              Oil                Coal            ...
cts - Europe

          Freights   Greens              Metals
                     Guarantees of
          Futures    Orig...
Energy Trading Risk Management Systems Matrix
Energy Trading Risk Management Systems Matrix
Energy Trading Risk Management Systems Matrix
Energy Trading Risk Management Systems Matrix
Energy Trading Risk Management Systems Matrix
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Energy Trading Risk Management Systems Matrix

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Downloadable Excel spreadsheet matrix of energy trading and commodity terms and systems, commodities, derivatives and risk.
(c) 2009 by Philip Green

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Transcript of "Energy Trading Risk Management Systems Matrix"

  1. 1. Energy trading risk ENERGY TR management system features Allegro Algorithmics ArcIT Caminus Excelergy Real-time transaction 1 management 2 Quoting 3 Reporting Connectivity to market 4 operators Extrapolation and 5 interpolation 6 Pricing 7 Billing Revenue cycle 8 management Drill-down into data for 9 decision support 10 Multiple commodity Manage information throughout lifecycle of 11 the contract 12 Forecast volumes 13 Net Valuation 14 Allocations 15 Force majeure Counterparty 16 concentration 17 Liquidity Settlement, physical 18 and financial 19 Invoicing 20 Scheduling 21 Trading/transacting 22 Forecasting 23 Structured contracts 24 Execution 25 Structured deals 26 Emissions 27 Green energy 28 Power 29 Gas 30 Accounting 31 Transportation 32 FAS 133 33 FERC and regulatory 34 Ease of implementation Support and 35 maintenance issues 36 Cost of ownership
  2. 2. Transaction cost 37 analysis 38 Scalability Flexibility and 39 configurability 40 Risk modelling 41 Volumetric exposure 42 Data vendors Connectivity to reduce integration and interface 43 issues 44 Nomination 45 Logistics 46 Decision support 47 Inventory 48 Production output 49 Counterparty credit 50 Portfolio positions 51 Imbalance management 52 Multiple pricing options Integration with market 53 data providers Link and connectivity to 54 exchanges OTC markets and 55 participants 56 Audit trail Compliance and 57 surveillance 58 Position reporting 59 Central data repository 60 ISDA documentation 61 Real-time calculations 62 Historical data 63 Batch processing 64 Ad-hoc reporting Data warehouse 65 integration STP and flow-through middle ofice and to back 66 office 67 Cancel and corrects 68 Funding liquidity 69 Position concentration 70 Trade notifications 71 Technical analysis 72 Fundamental analysis 73 Notional quotation 74 Contract specifications 75 Basis pricing Transporation cost 76 management
  3. 3. 77 Supply exposure Prompt month and near 78 month exposure Production quantity by 79 business units 80 Hedge exemption Pre-trade and post- 81 trade compliance 82 Risk monitoring Integration with 83 downstream systems 84 Error and process logs Web browser/Web- 85 enabled 86 Secure access 87 Physicals 88 Swaps 89 OTC options Futures and exchange 90 traded options 91 VaR 92 Real-time P&L 93 What-if Analysis Sarbanes-Oxley 94 compliance 95 ClearPort clearing 96 Platt's pricing feed System availability - 97 down-time metrics Consolidated global 98 trading platform 99 Deal entry 100 Credit control Allegro Algorithmics ArcIT Caminus Excelergy Energy trading life cycle 1 Deal details 2 Deal capture 3 Credit checks 4 Exposure reports 5 Contracts administration 6 Completed contracts 7 Shipping 8 Operations 9 Load details 10 Actuals details 11 Inventory management Transportation cost 12 control 13 Freight cost
  4. 4. 14 Invoicing & Costing 15 Accounts receivables 16 Accounts payable Sales, revenues and 17 costs 18 P&L Reporting 19 Risk management 20 Margins calculation c. 2009 Philip Green
  5. 5. ENERGY TRADING RISK MANAGEMENT SYSTEMS VENDORS MATRIX Global Energy/ Open Link TradeCapture, EnerXDevelopment Kiodex Murex OATI KWI Endur Inc.
  6. 6. Global Energy/ Open Link TradeCapture, EnerXDevelopment Kiodex Murex OATI KWI Endur Inc.
  7. 7. RIX SunGard TriplePoint Sakonnet Siemens SolArc Zai*Net Energy
  8. 8. SunGard TriplePoint Sakonnet Siemens SolArc Zai*Net Energy
  9. 9. Energy Trading and Treasury - Risk, Valuation and Exposure Matrix Reporting Compliance Business Intelligence Decision support package FSA - Finanial Services Authority Data Governance CFTC - Commodity Futures Trading End of day reports Commision Reference Data Summary Compliance Information LTO - License to Operate Exposure calculation Open Interest FEA Business rules FERM - Financal and Energy Risk Summary Gross Exposure Management Actual reports, layouts FERC - Federal Energy Regulatory Net Exposure Commission Ad hoc queries Hedge Exemption Application Report NFA - National Futures Association Operational Data Store NASD - National Association Securities Dealers Limit management FASB - Financial Accounting Standards Real-time risk management Board Real-time risk management Drill Down Reports FINRA Price discovery International Energy Agency - SOX - Sarbanes-Oxley IEA Forward-looking Position Reports FAS 133 Price data Front Months GAAP Open Interest Spot Market prices SEC - Securities Exchange Commission Spot Market prices Liquidity IFRS Commitment of traders Deal level Data Historical Market Data Energy Information Risk Administration - EIA BP Statistical Review Gross Long and Short Positions Credit exposure Indicative data Volumetric Position Reports Risk adjusted rates of return Time series data Daily Exposure Summaries Credit worthiness News and other feeds Profitability of commodity-based Supply Report (Asset) investments Data warehouse Production Report (Petroleum, Hydrocarbons Hedge and risk policy Accurate master data Inventory (Delivered Deals) Global energy markets risk Market Data Longest Long/Shortest Short Country Risk Instruments
  10. 10. Consumption Political risk Production Report (Petroleum, Hydrocarbons Real-time risk management Futures Trck Rack (Marketing) Currency risk Options Inter BU Bulk Credit risk (default) Swaps Deferrals Deferral Paper Deals Full Settlement Cash Flow at Risk Tolling contracts Exchange Report (NYMEX - Pricing and Calculating VaR product specific) Contracts for differences Physical delivery PnL deviation Green certificates Volumes Sensitivity analysis Bilateral Trans-Adriatic pipeline What-if analysis OTC Renewable energies Parametric value at risk Exchange-traded Hydroelectric Deal capture Country Spread Nuclear Novation Product Spread Consolidation Black-Scholes Cross-border Natural gas pipeline FX FX Procurement Monte Carlo simulations Tolling agreements Deregulation Brownian motion Capacity agreements Trans--European Energy Netwoirk Gaussian Caps Fee types Hull Floors Historic Prices variance-covariance Strips Holiday schedules Historical simulation Carbon credits Index locations Extreme value theory Heating Degree days Index subgroups Profit at Risk Cooling Degree days Indexes Volume risk Synthetic positions Netting Agreements Weather risk Interest Rate Swaps Operation Services Liquidity risk EUA Forwards Settlement Instructions Stress testing CER Futures Settlements Earnings at risk Metal Swaps STP Exceptions Cash flow at risk Metal Options Trade Blotter Principal Components Analysis EUA-CER Swap Trading terms PCA Term Forward Units Forward prices Imbalance Batch simulation Forward Electricity price curve Electricty Broker and Fee setup Volatilities Hybrids Energy delivery Correlations Base Metals Tax events Turbill Wakeman Exchange for Physicals VAT Kirks approximation ECX Pipelines Multi-variate normal EUA Contract Code © Zones Historical sampling Exotics Locations Regime switching Forwards EOD Binomial Tree CO2 Allowances BOD Trinomial Tree ERU Confirmations Lattices Emissions Reduction Unit Currencies Forward curve CER Electricity Delivery Implied Volatility Certified Emission Rights Deal Modeling Parameter estimation EUA
  11. 11. EOD Queries Mean reversion European Union Allowances EOD Simulations Hedge transactions ETS Inventory treated` as "LONG" Exchanges position report Emission Trading Scheme Supply Exposue reports Inventory + Net Change Natural Gas Exchange - Canada Forwards Limits reports Tokyo Commodity Exchange Crack Spreads "Wet" deals - physical delivery FT IDC - Financial Times Interactive Data reports Corporation "Wet Deals" Financial deals - cash settled reports Reuters EFP Trading calendar NYMEX - New York Mercantile Exchange RBOB Physical and Paper transactions Intercontinental Exchange Electricty Supply - and Market based Activity Chicago Mercantile Exchange Weather Derivatives Crude and Product-related trading Chicago Board of Trade Congestion pricing Initial Inventory report Commodity Exchange Grids Commodity Research Bureau Index - CRB Master Agreement Ins = Actual Production and Bulk Receipt Dow Jones-AIG Commodity Index EU ETS Outs = Bulk Delivery and European Union Emissions Refinery Run MISO Trading Schemes Accurate master data ERCOT Carbon credits metric tonnes Front and Near Month Exposure PJM Interconnection Cap and trade EEX - European Energy Exchange - Credit limits Germany Power Credit Use Rogers International Commodities Index Carbon C02 Volatility definitions Clearport Emissions Trading partners GLOBEX Cascading futures Brokers FEA Calendar Strips Exchanges COMEX EUA-CER Spreads Pipelines Nordic Exchange Index Trades Risk Exposure Defintions NORD Pool Volume Swaps Market Risk Use Deutsche Bank Liquid Commodity Index Volatility Swaps Price Curves Kansas City Board of Trade EUA Indexes London Metals Exchange CER Risk Limit Checking New York Board of Trade European Union Allowances Credit Risk GSCI - Goldman Sachs Commodity Index Certified Emission Reductions EUREX European Derivatives
  12. 12. RTO - Regional Transmission Organization LIFFE London Futures and Options MATIF French Futures and Derivatives SIMEX - Singapore Mercantile Exchange TIFFE - Tokyo Futures and Options Tokyo Stock Exchange OTCCL - OTC Cleared SGX - Singapore Exchange NYMEX - New York Mercantile Exchange Chicago Mercantile Exchange © 2009 Philip Green
  13. 13. and Exposure Matrix Counterparty Trade Management Credit Mark to market Bi-lateral transactions End of day report Over-the-counter markets Contract management Clearing and settlement Futures exchanges risk Credit quality Confirmations Ratings VaR Real-time credit control and monitoring Position Management Limit management Limits and Controls Real-time risk Real-time risk management management Price Discovery Accurate master data Derivatives accounting Derivatives accounting Trade capture Enterprise Functions Deal level Limit management Book level Treasury Pricing engine Asset Management Portfolio level Derivatives Group level Logistics, Nomination, Scheduling Trade workflow Accounting (Settlement, Billing & Invoicing) Blotter Hedge Funds Trade entry Risk repository Infrastructure (consolidated risk) Real-time risk management Treasury Inter-connected, scalable Cross Asset applications Business to Business and Business to Customer interfaces Common, shared (Transmission, integration of applications Pipelines, Storage, to reduce costs marketing, customer database and vendor management)
  14. 14. Crude Error handling Crude Products Data mapping WTI Message monitoring Shared maintenance Brent services Sweet Deferrals Sour Full Settlement RBOB Gasoline Futures Audit LNG Asset Development Softs Natural Gas procurement Metals Electricty portfolio Agricultural products Natural Gas Portfolio Precious Metals Exchanges Oil Brokers Coal Trading Base Metals Asset Management Copper Origination Aluminum Structured Products Precious Metals Structured solutions Gold Energy rading analysis Silver Natural Gas Marketing Structured trades Wholesale Customers Spots Counterparties Directionals Logistics Spreads Confirmations Capacity Settlements Optimization Delivery schedules Cross-border trades Settlements Desktop Cross-commodity trades Invoicing Green certificates Accounting Openlink Account Certificate Verdi Manager Origination AcuRisk Peak QRM Off-peak Nostro Hybrids Vostro Power Term Forwards Counterparty accounts Location Swap Discount Indexes Transport deal Parties Brent Crude Futures Portfolios Gas Oil Futures Project Indexes WTI Crude Date sequences Heating Oil Credit exposure Entry Capacity Exit Capacity Confirmations Storage Currencies Guarantees of Origin Electricity delivery LECS EOD Queries
  15. 15. Levy Exemption Certificate System EOD Simulations RECS Deal Modeling Renewable Energy Real-time risk certificate System management Unleaded Gasoline Energy Trading Risk Management Propane Naptha Openlink Endur Gasoline Sungard Jet Fuel Allegro Gas Oil Kiodex Diesel Fuel Triple Point Lubricating Oil gMotion gas scheduling Heavy Gas Oil cMotion © Crude Oil pMotion © Residual Fuel SolArc Right Angle Palladium Murex MX.3 v1 Lead Calypso Nickel Reval Natural Gas Encompass Gas-fired combined cycle power plants OATI Plastics SAS Polyethylene TradeCapture Polypropylene AcuRisk Power Connex Tin Algorithmics Zinc Commodity XL Calypso energy Ethanol derivatives Openlink Settlements Desktop - module of the Electricity Openlink Endur system providing invoicing and settlement functionality Openlink Endur EEM European Emissions Gas Europe Model © Rotterdam Coal Nucleus Richards Bay Coal Futures Entegrate
  16. 16. Energy Commodity Products - Europe Emissions EUA Forward Power Oil Coal Gas (EUA, EU Forward Standard Brent Crude Allowances) Profile Futures Rotterdam Coal Futures Richards Bay Coal EUA Spot Spot Gas Oil Futures Futures Spot EUA Futures (CER Capacity CER Forward WTI Crude Swaps Forward Certified Emission Reductions) Transport Heating Oil Entry Capacity RBOB Gasoline CER Spot Term Forward Futures Exit Capacity CER Futures Country Spread Swaps P2P Transport EUA Average Out Product Spread Swaps Forward Custom Contracts for EUA Interest Yield Profile Differences EUA CO2 Loans VPP Location Swap EUA-CER Swaps Option Standard Storage EUA Lending Generator Long-term Contract Pumps Fee Swaps Imbalance Futures VTP OTC Cleared LNG © 2009 Philip Green
  17. 17. cts - Europe Freights Greens Metals Guarantees of Futures Origin Base Metals Certificate Verdi Copper LECS Aluminum Levy of Exemption Certificate System Precious Metals RECS Gold Renewable Energy Certificate System Silver Power Platinum Palladium

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