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Portfolio Management for Procurement and Trade of all Commodities Print E-mail
PMSFor energy trade and energy procurement the SOPTIM PMS Portfolio Management System provides the functionalities required for the efficient management of the portfolio and the risk that goes with it as well as for conducting balancing group and schedule management.

 

 

Commodities

SOPTIM PMS supports any commodity; material flows are kept in separate portfolios while counter parties and profit & loss are combined in the super-ordinate client. Especially for the commodities electricity and gas processes connected with the management of schedules, nominations and balancing groups and the corresponding communication are supported.

 

 

PMS Struktur

Portfolio Management

For each commodity market participants are modeled in regard to management of schedules, balancing groups and contracts, forecasts are imported and aggregated, products defined and transactions closed. The high-performance portfolio editor is the core operating element; it provides a quick overview over the current situation in the whole portfolio or in parts of it. Output, energy, costs, and, most of all, open positions are displayed for the short-, medium- and long-term procurement situation.

 

 

Management of Schedules and Nominations

Schedules and nominations are generated based on the closed transactions for each balancing group and exported and dispatched in DVG-EXCEL-, ETSO-XML format (ESS) or according to EDIG@S; communication to EDIG@S additionally requires the SOPTIM EDI server. The receipt of feedback from the DSO and balancing group operators is monitored in regard to time and automatedly imported, evaluated and displayed.

 

 

Balancing Group Management

The actual data for consumption and customer generation is imported and aggregated. The specifications of GABi are taken into consideration. Balance deviations result from the difference between the balance of registered transactions, the balance of actual values of consumption and customer generation and the balance of sub-ordinate sub-balancing groups. Finally, the quantities of balancing energy are determined and evaluated.

 

 

Risk Management

The risks included in the portfolio are structured using books and limited using limits. Limits are defined and monitored for adherence for books, counter parties and traders as well as for the complete portfolio. For the evaluation of risks functions for analysis like market-to-market, stress test, what-if report, and scenarios are available. Calculated risk and portfolio indexes like value at risk, conditional value at risk, value at chance and risks of loss of receivables and risk of replacement and resale are determined. The corresponding utilization of equity or the provided securities can be observed and monitored using corresponding limits. Additionally, functions for the calculation of a prize forward curve, to balance open positions and to optimally fill open positions or any consumption with standard products according to different strategies are included. Furthermore, the insecurities, potentials, and reserves included in the portfolio are combined in classes and displayed.

 

 

Support of Distribution

The actual usage, for example, of a major customer, is taken into a scenario where it is analyzed and priced either separately or in combination with an existing portfolio.

 

 

 

 

Flexibility

  • Client-capability
  • Multi-currency capability
  • Multi-language capability

 

 

Definition of Several Commodities

  • Electricity, natural gas, carbon dioxide, coal, oil
  • Support of market rules for electricity and gas
  • Keeping material flows in separate portfolios
  • Aggregation of credit risks and profit & loss in the subordinate client

 

 

Price-Forward-Curves

  • Management and archiving of forward market prices
  • Calculation of PFC
  • Index price time series

 

 

Management of Market Participants and their Relationships

  • Trading zones, controlled zones/market areas, balancing groups, sub-balancing groups
  • Storage and transfer points
  • Counter parties including master contracts, conditions of payment and criteria for creditworthiness
  • Time series transactions to model the distribution, consumption and customer generation
  • Capacity transactions at the transfer points define possible transports

 

 

Transactions

  • Definition of products, product categories, and pricing models as basis for transactions
  • Modeling of indexed prices (e.g., combination of different linkages between prices of natural gas and oil)
  • Definition of scaled/zoned additional costs like fees or risk surcharges
  • Management of transactions, including transaction identifiers and transaction confirmations
  • Transactions of a physical or financial fulfillment as well as open contracts
  • Reserve contracts and option transactions including the corresponding evaluation
  • Cascading and exchange for physicals for transactions with financial fulfillment
  • Management of the cash flows going with the transactions

 

 

Portfolio Management

  • Editor to display the portfolio or partial portfolios in the form of graphs and tables
  • Functions to analyze the short-, medium-, and long-term procurement situation
  • Creation and change of balancing transactions to model separate procurement strategies, can be automated

 

 

Management of Schedules and Nominations

  • Energetic balancing between own balancing groups
  • Consideration of transport routes and transport bottlenecks
  • Generation of schedules and nominations
  • Generation of Data in either DVG-KISS-, ETSO-XML- or EDIG@S format
  • Dispatch of schedules and nominations via e-mail, Internet-FTP or ISDN-FTP
  • Monitoring, import, evaluation, and display of feedback from DSO/balancing group operators

 

 

Balancing Group Management

  • Import and aggregation of actual data of consumption, customer generation and supply contracts
  • Calculation and evaluation of quantities of balancing energy
  • Calculation of balancing energy (GABi)

 

 

Risk Management

  • Management of market prices in the form of price time series and forward price structures
  • Definition of calculated price time series for the evaluation of transactions and open positions
  • Calculation of one or several price-forward-curves
  • Management of any number of books (partial portfolios)
  • Display of the insecurities and potentials included in the portfolio
  • Optimal segmentation of open positions and any actual usages into predefined products using the strategies energy or costs balance or "to minimum"
  • Calculation of value at risk, conditional value at risk and value at chance
  • Calculation of risks of loss of receivables, risks of replacement/resale
  • Calculation and historicizing of portfolio indexes
  • Limitation of open position, value at risk, credit risks and user-defined portfolio indexes on the levels whole and partial portfolios, counter parties, traders
  • Depositing of equity and securities and calculation of their utilization
  • Monitoring of the utilization of equity and securities using limits
  • Conducting stress tests, what-if and scenario analysis

 

 

Support of Distribution

  • Scenarios with distribution inquiry as additional load
  • Pricing the distribution inquiry
  • Modeling of segment- and tranche-oriented procurement

 

 

Interfaces and Communication

  • Management of freely-definable import filters and functions for automated export
  • Electronic communication between counter parties

 

 

Workflow and Automating

including management of tasks, job controlling and services for

  • Import of time series and energy data (distribution usage, customer generation, transactions)
  • Monitoring of limits
  • Download of EEX prices
  • Calculation and export of price forward curves
  • Calculation of portfolio indexes which can be historicized
  • Import, processing, export and dispatch of schedules/nominations
  • Creation of evaluations and reports

 

 

Reporting

  • High-performance flexible reporting based on EXCEL templates
  • Content and layout can be configured freely

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