The Energy Suite is made up of the following modules:
Margin Direct ASP
Accurate, high performance margin and valuation of global exchange traded derivative positions via an Internet browser. It also performs what-if analysis and independent verification of brokers’ margin calls. A robust margin solution for users of all sizes.
Energy exchanges supported include:
NYMEX, ICE, ICE Futures, EEX, ENDEX, Powernext
Coming soon:
Nord Pool, APX
Alerts Direct
A real-time risk monitoring solution that enables the risk management team to instantly identify possible margining, valuation and lot limit problems and identify remedial action. Alerts Direct can either be interfaced to the user’s back office system or delivered as an ASP solution.
Energy exchanges supported include:
NYMEX, ICE, ICE Futures, EEX, ENDEX, Powernext
Coming soon:
Chicago Climate Exchange (CCX), Nord Pool, Dubai Merchantile Exchange (DME)
Intraday Risk Array Generator / ‘Margin Call Predictor’
A much requested new feature that dynamically recalculates the theoretical price arrays based on the latest underlying price, instead of relying on last night’s. Delivers a more accurate picture of your end-of-day margin figure, enabling you to reduce your risk exposure and manage your cash more efficiently.
Factoring current market conditions into the calculation of your risk, the module accurately replicates the exchange’s risk calculation and effectively predicts the SPAN® theoretical values.
Inaccurate prediction of your margin calls can result in over or under funding.Overfunding unnecessarily ties up money to cover margin calls. Underfunding can be even more expensive,with funds required at short notice.
Correlation Risk Management / ‘Margin Offset’
Enables user to offset cross exchange products that have a degree of correlation.
Gives the user – typically an investment bank or general clearing member – the ability to calculate risk offset on related portfolios and finance the gap between the ‘official’ calculated margin and the offset margin.
Example:
NYMEX – customer has WTI portfolio margin call of $3m.
ICE – customer has WTI portfolio margin call of $2m.
Full regulatory call amount is $5m.
The cross exchange offset amount is calculated
to be $3.5m.
The clearing member can then choose to offer the client funding of $1.5m to top up their $3.5m to cover the full $5m.This facility can be used as a competitive edge to win or retain customer business.
Portfolio Risk Assessment / ‘StressTester’
This module enables users to stress the portfolio on parameters such as:
- Underlying price movement (% or currency value).
- Volatility shift.
- Days to expiry.
Portfolios can be ‘shocked’ to see how they perform under strong price swings.
Margin Engine
The full ‘industrial strength’ global margin and valuation solution. A dedicated enterprise solution where users develop interfaces to their downstream systems.
Managed Price Service
Exchange prices, provided by a leading quote vendor are interfaced into Alerts Direct. Rolfe & Nolan can map to over 40 F&O exchanges, leaving customers free to focus on risk management rather than the accuracy of their price feeds.
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