ORCA provides tools to make informed trading decisions.
A premier source of assessment, risk management of the marketplace, and analysis of actual trades as-they-happen.
ORCA analyzes Canadian and Bakken Markets by directly pulling data from the Ne2 Trading Platform.
Trade Capture from DirectDeal
ORCA automatically develops a data warehouse consisting of all transactions that have been conducted in the NE2 marketplace. This gives users the ability to capture transactions from diverse marketplaces and from bilateral counter parties with or without counterparty confirmation.
ORCA allows clients to view current market valuations of their trades, both for exposure on delivered volumes, and for an up-to-date-market on any forward transactions. This is handled through ORCA’s Trade Exposure reporting package.
ORCA’s trade capture tools provide a complete repository of transactions for clients. From this repository, ORCA develops a current assessment of the value of each transaction in the portfolio.
First, transactions are grouped by counter party to isolate and sum the exposures for each counterparty the client has traded with. These transactions are then further grouped by currency into denominated USD settlements and denominated CAD settlements.
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 and CMA pricing, and indexes to determine settlement exposure to each counter party 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 counter party 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 with 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 for quick 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 perform more complex risk assessments on their portfolio of transactions. Access to these risk assessments provide an 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 deals with determining positions in similar products. Position generation considers all the trades in each portfolio that have the same (or substantially similar) market-location-index pipeline traits and groups them into delivery months. ORCA can then produce 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 enable detailed risk metrics to be populated, from basic Value-at-Risk (Var) analysis to much more advanced and comprehensive customizable solutions.
Market Stress Reporting
Using detailed risk analysis, ORCA gives you the tools to analyze potential volatility, develop VaR assessments and view stress components of the market using data from your existing portfolio. Using this analysis, users are given the option to place hypothetical levels of stress on market prices that utilize a correlation of underlying data to gauge like reactions across multiple markets in the portfolio. These correlations themselves can be stressed along with external 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 consider other transactions. Simply enter mock transactions into the portfolio and choose to add mock transactions to the various other reporting included within ORCA’s toolset.
Codeli can customize ORCA to provide specific data for a unique individual or role within the client’s organization. For example, risk managers could set up a summary exposure dashboard, and corporate executives could create an average sales and procurement dashboard.
The integration of ORCA with all other Codeli programs will offer the full range of necessary tools to complete more accurate risk assessed trades. Included in the ORCA package is historical data from the NE2 platform dating back to 2008. This data will further enhance your risk assessment and accuracy of your current market position. Tell codeli what you want to see, how you want to see it, and how often you will view it, and your experience will be personalized.