Oil Risk Credit and Accounting (ORCA)

Package Overview

ORCA (“Oil Risk Credit and Accounting”) provides companies with the tools necessary to assess and mitigate risks to make informed trading decisions. The increasing activity of the crude oil market demands a commensurate gain in our understanding of its dynamics, especially when it comes to matters of exposure and risk assessment.

There is no better source of assessments and risk management than the marketplace and actual trades as-they-happen. Codeli is able to provide this through its direct access to the Net Energy marketplace and its NE2 Trading Platform.


Trade Capture

Through its direct connection to the Net Energy marketplace, ORCA automatically creates a data warehouse of transactions that a firm has conducted via the NE2 marketplace. Additionally, ORCA offers the ability to capture transactions from the diverse marketplaces and bilateral counterparties that its clients might utilize. The ability to capture over-the-counter transactions can function either with or without counterparty confirmation.

Direct Deal is a very fast and efficient way of automating the processing trades seamlessly from a single entry and retrieving them from a single repository. Direct Deal is an additional feature in the ORCA package that allows trades and back office personnel to create and confirm deal tickets for any crude oil trades they have conducted over-the-counter.

Direct Deal Business Process Flow

The business process flow for the Direct Deal system allows a user to initiate a deal ticket with a counterparty in a wide variety of standard or bespoke transaction types, and then notify that counterparty immediately online of the pending deal ticket. The counterparty may then amend the deal ticket to correct any terms and re-send it back to the original user, or confirm the deal ticket. Once confirmed, the deal ticket is processed and available for reporting within the rest of the ORCA toolset.

Direct Deal allows the buyer and seller to ensure accuracy of their confirmation directly through the online amendment tool. Transaction parameters can be amended and sent back and forth between buyer and seller until both sides electronically confirm.

Counterparty Deal is an extension of Direct Deal technology within ORCA allowing for a client to capture private over-the-counter transactions without the necessity of a counterparty confirmation. Counterparty Deal utilizes Codeli cloud storage and web interfaces to store OTC transactions for internal governance and regulatory compliance. Counterparty Deal is not limited to uploading single transactions, it can also upload batches of transactions which can be edited at any time. All data of transactions are stored within ORCA.

The combination of NE2 platform transactions, Direct Deal confirmed transactions, and Counterparty Deal transactions make up the trade capture tools within ORCA. Further custom solutions can also be designed to take transactions from external data sources and translate them into the ORCA repository.

Transaction Valuation

Using ORCA, clients can view current market valuations of their trades, both for exposures on delivered volumes but also for an up-to-date-market on any forward transactions. This is handled through ORCA’s Trade Exposure reporting package.

Through the utilization of ORCA’s trade capture tools, a complete repository of transactions is available to clients. From this repository ORCA provides a current assessment of the value of each transaction in the portfolio.

First, transactions are grouped by counterparty to isolate and sum the exposures for each counterparty the client has traded with. These transactions are then further grouped by currency into USD denominated settlements and CAD denominated settlements. Within these groupings, valuation is conducted based on the delivery month into two basic categories:

  • Accounts Payable/Receivable

    Transactions that have been scheduled or deemed delivered but have not yet been settled fall into the Accounts Payable/Receivable category. These transactions are valued using the transaction parameters, WTI CMA pricing and indexes to determine settlement exposure to each counterparty in each currency.

  • Forward Market Exposure

    Forward market risks are those from transactions with a delivery month in the future. The Trade Exposure reporting tool allows clients to see an estimated future Accounts Payable/Receivable for each counterparty and currency.

The forward market exposure values the mark-to-market position of each transaction. This is achieved through the direct linkages that ORCA has to the Net Energy marketplace and the NE2 trading platform. ORCA determines an accurate proxy value for each transaction and a real-time valuation based on current market prices.

The transaction valuation tools within ORCA allow clients to easily draw reporting of a full repository of their transactions with an unbiased, external estimate of the valuation of those transactions. All ORCA valuations can be drawn as reports in HTML format or output as CSV files for further manipulation and information processing.

Risk Metrics

Using ORCA, clients can begin to perform more complex risk assessments on their portfolio of transactions. The usefulness of these risk assessments are intended to provide a more extensive view of what could happen to a portfolio if conditions were to change in the marketplace.

Position Gathering

The first step ORCA takes in providing risk assessments is to determine positions in like products. Position generation takes into account all the trades in each portfolio that have the same (or substantially similar) market-location-index-pipeline traits and groups them into delivery months. In this manner ORCA can make portfolio evaluations on a position rather than individual trades in exclusion of others.

Volatility and other Risk Metrics

ORCA takes organized position data and applies market-based quantitative calculations to the positions to perform the assessments. For each position in the portfolio, ORCA examines the underlying traded product and performs volatility analysis to reach a high level of certainty on the historical behaviour of the market. These calculations lead to the ability of much more detailed risk metrics to be produced, starting with a basic Value-at-Risk (VaR) analysis to much more detailed and comprehensive custom solutions.

Market Stress Reporting

With detailed risk analysis ORCA’s risk metrics tools allow you to take your existing portfolio and the various underlying volatility and VaR assessments and stress components of the market. Users can select to place various levels of stress on market prices that will utilize correlation of the underlying data to gauge like reactions across multiple markets in the portfolio. These correlations themselves can be stressed, as can outside factors such as exchange rates, global oil prices, indexes and external markets.

Codeli Scenario Builder

In addition to stressing the current portfolio, ORCA allows the user to create custom scenarios that take into account other transactions that they may want to enter into. Simply enter mock transactions into the portfolio and choose to add mock transactions to the various other reporting within ORCA’s toolset.

Custom Dashboards

With Custom Dashboards, Codeli can customize ORCA to provide specific, detailed, and up to date data for a unique individual or role within the client’s organization. Allow risk managers to see a summary exposure dashboard, or corporate executives to see average sales and procurement dashboards. The integration of ORCA with all other Codeli programs such as Brocom, Blotter, and MOTO, will offer the full range of necessary actions and tools to complete easier and more accurate risk assessed trades. Included in the ORCA package is the NE2 platform historical data dating back to 2008. This data will only further enhance your risk assessment and accuracy for futures and current trades. Tell Codeli what you want to see, how you want to see it, and how often you will view it, and we can make it happen from your web browser.