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A. PnL Explained

B. CTRM Software

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CRTM Software - Main Page

 

Overview

Resources related to CTRM, which is Commodities Trading and Risk Management software.  This also includes ‘ETRM’.  While the ‘E’ stands for Energy, as a practical matter, the two terms are used interchangeably to refer to systems that work with Energy, e.g. Natural Gas, Crude Oil and Power, Metals, e.g., Gold and Silver, and Softs/Agriculture items like Coffee and Cocoa.

 

CTRM Professionals LinkedIn Group

Please join, read and contribute

Link:  CTRM Professionals

 

Quick Links

See below for Quick Links.  Then go to the following section for the same links and with short descriptions added.

 

1) CTRM Software – General Topics

1.1) Introduction to CTRM

1.2) How to Think Like a CTRM Vendor

1.3) CTRM Ecosystem

1.4) CTRM Jigsaw Puzzle Metaphor

1.5) CTRM System Design Philosophy

1.6) System Security

1.7) Quality Assurance

1.8) Operations and Support

 

2) CTRM Software – Vendor Risk

2.1) Vendor Risk Management

2.2) Vendor Risk Mitigation

2.3) Vendor Risk Audit and Audit-assist Checklist

 

3) CTRM Software – Design Considerations for Specific Functionality

3.1) Broker Fees

3.2) Initial and Variation Margin for Futures

3.3) Interbook Trades

3.4) Trade Payment Calculation Formulas

3.5) Applying Settlement Prices

3.6) VaR ‘Value-at-Risk’

3.7) PnL Benchmarking

3.8) Volatilities

 

4) CTRM Software Implementation Related Topics  

4.1) CTRM System Switching Strategies

4.2) Setup Data

 

5) Trade Information

5.1) CTRM Trade Type Taxonomy

5.2) Trade Lifecycle

5.3) Trade Type Reference

 

6) Commodity Overview/Information

6.1) Big 3 Energy Commodities

6.2) Precious Metals

6.3) Base Metals 

6.4) Softs/Ags/Dairy

 

 

1) CTRM Software – General Topics

 

1.1) Introduction to CTRM

Click the below link for a great introduction to CTRM software. 

 

Link: Introduction to CTRM Software

 

1.2) How to Think Like a CTRM Vendor

Better understand CTRM software by considering things from the point of view of a typical CTRM Vendor.

 

Link: Think Like a CTRM Vendor

 

1.3) CTRM Ecosystem

Commentary on where things are at now and where they are likely heading in the future for the Ecosystem of CTRM functionality.

 

Link: CTRM Ecosystem

 

1.4) CTRM Jigsaw Puzzle Metaphor

This page introduces a model of a CTRM based on a jigsaw puzzle metaphor.

 

Link: CTRM Jigsaw Puzzle Metaphor

 

1.5) CTRM System Design Philosophy

Provides some Design Philosophy suggestion for CTRM system designers and builders.

 

Link: CTRM System Design Philosophy

 

1.6) System Security

Introduces the topic of Security for CTRM systems.  That includes security around who can log in, functional level security around different modules of the overall system, and things like who can trade in which ‘portfolios’ (also known as ‘Trade Books’).

 

Link: System Security

 

1.7) Quality Assurance

Introduces the topic of Quality Assurance, i.e., Testing the Software, for CTRM systems.  Also makes the case of the importance of the ‘Assurance’ part of QA.

 

Link: Quality Assurance

 

1.8) Operations and Support

Introduces the topic of ongoing operations and support for a CTRM system.  This is from the point of view of the group, typically the IT/Tech group, who performs the following activities: helping the users, answering their questions, resolving minor issues, fixing bugs in custom-written code, logging software issues with the vendor and working on bigger customizations/developments.

 

Link: Operations and Support

 

 

2) CTRM Software – Vendor Risk

 

2.1) Vendor Risk Management

Provides an introduction to Vendor Risk Management in the context of CTRM Software, including observations and considerations on how the rise of Big CTRM impacted the Vendor Risk profile of impacted firms.

 

Link: Vendor Risk Management

 

2.2) Vendor Risk Mitigation

Provides things that firms can to do reduce their vendor risk and, more importantly, things that also reduce TCO (total cost of ownership) and/or increase value in other ways. 

 

Link: Vendor Risk Mitigation

 

2.3) Vendor Risk Audit and Audit-assist Checklist

Click on the link below for recommended practices for a firm using a Big CTRM system around the concept of a ‘Vendor Risk Audit’ and provides a useful checklist to help with the process.

 

Link: Vendor Risk Audit and Audit-assist Checklist

 

3) CTRM Software - Design Considerations for Specific Functionality

 

3.1) Broker Fees

CTRM Design Considerations around Broker Fees

 

Link: Broker Fees

 

3.2) Initial and Variation Margin for Futures

CTRM Design Considerations around Initial and Variation Margin for Futures

 

Link: Initial And Variation Margin for Futures

 

3.3) Interbook Trades

CTRM Design Considerations around Interbook Trades

 

Link: Interbook Trades

 

3.4) Trade Payment Calculation Formulas

CTRM Design Considerations around Trade Payment Calculation Formulas

 

Link: Trade Payment Calculation Formulas

 

3.5) Applying Settlement Prices

CTRM Design Considerations around Applying Settlement Prices onto Trades

 

Link: Applying Settlement Prices

 

3.6) Intro to VaR ‘Value-at-Risk’

This page provides readers with a high level introduction to Value-at-Risk, known as ‘VaR’. 

 

It also contains the best description and comparison of the three methodologies as used by the industry that you’ll ever read.  They go by the names of ‘parametric’, ‘historic’ and ‘Monte Carlo’. 

 

Link: Intro to VaR

 

3.7) PnL Benchmarking

This page introduces PnL Benchmarking, which compares the PnL (Profit/Loss) for actual trades to one or more benchmarks.  The Benchmark would be something like a benchmark portfolio of hedges based on a corporate standard.  The idea is to compare the PnL of the actual hedges/trades done to set of theoretical trades.

 

Link: PnL Benchmarking

 

3.8) Volatilities

Explains what are ‘Volatilities’ and how are they used by CTRM systems and how to calculate them.

 

Link: Volatilities

 

 

 

4) CTRM Software Implementation Related Topics

4.1) Strategies for Switching CTRM systems

Strategies and considerations for migrating from one Vendor system to another or for switching from a vendor-supplied system to a home-grown solution or vice-versa. 

 

Link:  CTRM Switching Strategies  

 

4.2) Setup Data

Comprehensive list of data items needed to prepare a CTRM system for trade entry. While we are calling it as an intended-to-be-generic name, note that this is commonly called other terms like ‘Static Data’ or ‘Reference Data’.

 

Link:  CTRM Setup Data

 

5) Trade Information

 

5.1) CTRM Trade Type Taxonomy

Commentary on items that are considered ‘Trades’, i.e., tradition trades with counterparties or exchange-traded and things that are not trades like physical inventory, both of which are supported by CTRM systems.

 

Link: CTRM Trade Type Taxonomy

 

5.2) Trade Lifecycle

Information on what people term as the ‘Trade Lifecycle’.  This puts together, for better understanding, all of the various events and/or things that happen to a trade from beginning to end.

 

Link: Trade Lifecycle

 

5.3) Trade Type Reference

Information on Trade Types like Commodity Swaps.

 

Link: Trade Type Reference  

 

 

6) Commodity Overview

 

6.1) Energy

Covers the Big 3 Energy Commodities, Crude Oil/Refined Products, Natural Gas and Power (a.k.a., Electricity)

 

Link: Big 3 Energy Commodities

 

6.2) Precious Metals

Introduces Precious Metals like Gold and Silver, in the context of CTRM design

 

Link:  Precious Metals

 

6.3) Base Metals

Introduces Base Metals like Copper and Aluminum, in the context of CTRM design

 

Link:  Base Metals

 

6.4) Softs/Ags/Dairy

Introduces Softs like Coffee, Agricultural Commodities like Wheat and Dairy

 

Link:  Softs/Ags/Dairy

 

 

 

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