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.
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
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
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.
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
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:
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
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
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.
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.
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.
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.