Service Type: Governance, Strategy and Operations
Project: Evaluation and Reconfiguring of ETRM Book Structure
Our client was in the process of evaluating its supply and trading book structure and needed help assessing the current and planned book structure configuration associated with its current version of the OpenLink™ Endur application.
Approach & Results:
Approach: We assessed the design and operating effectiveness of the current ETRM book structure, application configuration, deal capture/contract modeling, and risk reporting. We worked closely with Middle Office and IT personnel to:
- Understand current commodity transacting activities and corresponding book structure and attributes configuration of the ETRM application.
- Understand relationships between current risk policy documentation and guidelines (e.g., transacting mandate, intent, and/or attributes) and existing book structure configuration and transacting activities.
- Understand key executive and line management reporting needs, objectives, and expectations.
- Assess the data gathered and establish preliminary thoughts regarding current book structure and proposed alternative book structures.
- Reconfigure ETRM book structure.
- Remodel transactions and assets to represent constituent trade and exposure components.
- Enhance performance measurement and risk reporting.
Results: Several benefits were garnered from this project:
- Increased transparency to PnL attribution across all business entities through better deal capture and representation.
- Identified investments with attractive risk-return trade-offs.
- Aligned commercial strategies with corporate risk tolerances and mandates.
- Enabled consistent performance measures (e.g., daily and monthly risk reporting) using CTRM application results.
- Facilitated application of VaR, stress testing, and Monte Carlo simulation.