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Platts 3rd Annual European Crude Oil Markets Keynote by Eldon Klaassen
1.
Optimizing market data
to manage risk in crude oil markets Eldon Klaassen CEO www.allegrodev.com Risk Management Commodity Trading Physical Logistics Regulatory Compliance www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
2.
Allegro Development Corporation Allegro
delivers the industry’s leading multi- commodity trading and risk management software. » 2009 Energy Risk “Software House of the Year Award” » 2008 Energy Business Awards “Gold Award Petroleum Coal for Excellence in Energy Technology” » Serving more than 100 global customers for Power Natural Gas over 26 years » Office locations in London, Zurich, Singapore, Calgary, Houston, & Dallas www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
3.
Optimizing market data
Efficient capture and validation of data Forward curves, volatility, and correlations Market metrics and attribution Market, basis, credit, and liquidity risk www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
4.
Market data sources
External Data Sources Internal » Spot prices Data Sources » Exchange prices » Trader observations » Broker quotes Trading & Risk » Production costs » Currency exchange Management System » Refinery spreads » Interest rates » Credit history » Credit ratings » Tariffs » Freight www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
5.
Automated data validation Validation
rules Correction procedures » Omission » Notifications » Source variance » Manual corrections » Time horizon variance » Automated corrections » Basis variance 90.00 85.00 80.00 75.00 70.00 65.00 4-Jan-10 6-Jan-10 8-Jan-10 10-Jan-10 12-Jan-10 14-Jan-10 16-Jan-10 18-Jan-10 20-Jan-10 22-Jan-10 24-Jan-10 26-Jan-10 28-Jan-10 30-Jan-10 1-Feb-10 3-Feb-10 5-Feb-10 7-Feb-10 9-Feb-10 11-Feb-10 13-Feb-10 15-Feb-10 17-Feb-10 19-Feb-10 21-Feb-10 23-Feb-10 25-Feb-10 Plt Dated Brent Plt Dubai 1st Mth Plt Ekofisk 1st Mth Plt Forties 1st Mth Plt Gippsland 1st Mth Plt Minas 1st Mth Plt Oman Blend 1st Mth Plt Oseberg 1st Mth Plt Tapis Blend 1st Mth www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
6.
Forward curves Forward curve
creation Multiple forward curve analysis » Current prices for future delivery » Linear, non-linear, step functions » Basis differentials-net back/net forward » Scope of historical price behavior » Interpolation/extrapolation » Deviation of forward curve assumptions » Historical simulation » Mean reversion rates 89.00 87.00 85.00 83.00 ICE Brent Crude 81.00 DME Oman Crude 79.00 NYMEX WTI Cushing 77.00 75.00 1-Apr-… 1-Apr-… 1-Apr-… 1-Apr-… 1-Apr-… 1-Apr-… 1-Jul-10 1-Jul-11 1-Jul-12 1-Jul-13 1-Jul-14 1-Jul-15 1-Oct-10 1-Jan-11 1-Oct-11 1-Jan-12 1-Oct-12 1-Jan-13 1-Oct-13 1-Jan-14 1-Oct-14 1-Jan-15 1-Oct-15 www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
7.
Volatility and correlation
Volatility » Volatility indexes—logical groupings » Historical volatility, implied volatility » Volatility smiles, skew Correlations » Historical correlation » Seasonal effects » Liquidity effects www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
8.
Market metrics
Linear positions » Simple market valuation and mark to market Non-linear positions: What is an option worth? » Option models • Differential equation approach (Black-Scholes) • Stochastic calculus approach » Option valuation methodology • Single model for all instruments • Model values complex physical options with all of the necessary constraints Option valuation » Time value, intrinsic value Sensitivities » Delta, gamma, theta, vega, rho www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
9.
Option Valuation: Financial
Options Exchange traded options » NYMEX, ICE, DME OTC Financial options » Market price options » Spread options » Multiple asset options » Strips of options » Lookback options » Calendar spreads » Compound options www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
10.
Option Valuation: Physical
Options Pricing » Floors and caps » Price triggers Logistics » Vessel loading tolerance » Take or pay contracts » Time charters Inventory and storage » Crude oil injection and withdrawal www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
11.
Option Valuation: Exercise
& Constraints Physical options tend to have complex exercise » Frequency of exercise » Number of exercises » Quantity of exercise Physical options tend to have constraints » Physical limitations » Minimum and maximum operational quantities » Contractual limits www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
12.
Basket Prices
• Brent • Mars • Minas • Forties • Poseidon • Tapis • Oseberg • Southern Green • Gippsland • Ekofisk Canyon • Dubai • Thunder Horse • Oman BFOE ACM ICP www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
13.
Option Analytics: Basket
Options Variants of basket options » Simple or weighted average » Average price over time period (Asian) » Spread options Modeling distribution of sum of lognormal random variables » Black Scholes assumes lognormal distribution » Sum of lognormal variables does not follow lognormal distribution Moment matching » Basket treated as a single underlying commodity dB(t) = (r – qB) B(t)dt + sB B(t)dzB » Moment matching approach to determination of basket volatility » Estimation of correlation coefficients www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
14.
Option Analytics: Differential
Swaptions Options on swaps for differential » Crude differential » Location differential » Calendar differential Valuation challenge » Simple spread assumes available volatility and correlation to delivery date » Differential swaption volatility is a function to expiration date » Spread is not log normally distributed Tree transformation » Transformation of variables from underlying to variables with no correlation » Construct two independent trees in these new variables » Use the inverse transformation for a three-dimensional tree for the swaps forward www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
15.
Profit and Loss
Attribution Trans Quan Price Delta Gamma Theta Vega Rho Profit(Loss) Brent (206,605) (64,751) (615,821) (248,441) (125,981) (49,443) (217,826) (1,883) (1,530,750) Dubai 392,237 31,758 568,518 210,678 91,398 16,848 180,858 (1,297) 1,491,000 Ekofisk 126,705 70,102 577,882 239,362 126,522 55,997 211,152 2,779 1,410,500 Forties (254,283) (79,693) (757,933) (305,773) (155,053) (60,853) (268,093) (2,317) (1,884,000) Gippsland (82,424) (94,949) (701,009) (296,969) (162,289) (78,114) (263,299) (4,444) (1,683,500) Minas 57,411 130,748 913,928 391,808 217,768 108,993 348,298 6,548 2,175,500 Oman (362,301) (38,405) (584,885) (220,565) (99,125) (23,225) (190,205) 713 (1,518,000) Oseberg 118,723 79,067 629,633 262,589 140,241 63,774 232,002 3,319 1,529,350 Tapis 36,363 102,951 711,531 305,811 170,571 86,046 272,001 5,224 1,690,500 WTI 91,466 59,740 477,340 198,940 106,140 48,140 175,740 2,494 1,160,000 Totals (82,708) 196,568 1,219,184 537,440 310,192 168,162 480,628 11,135 2,840,600 www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
16.
Profit and Loss
Attribution 2,500,000 2,000,000 1,500,000 1,000,000 500,000 - (500,000) (1,000,000) (1,500,000) (2,000,000) (2,500,000) Trans Quan Price Delta Gamma Theta Vega Rho www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
17.
Market and basis
risk Exposure disaggregation Value at risk Mark to market 25.000 20.000 WTI Tapis 15.000 Oseberg Oman Minas 10.000 Gippsland Forties 5.000 Ekofisk Dubai - Brent www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
18.
Liquidity risk Cash flow
disaggregation Cash flow at risk Margin requirements 400.0 300.0 200.0 100.0 Margin disbursements - Margin receipts (100.0) Cash disbursements (200.0) Cash receipts (300.0) (400.0) www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
19.
Simulation
What if market variables change? » Quantity » Price » Basis » Volatility » Correlation » Currency » Transactions How will they change? » Linear shift » Parallel/rotational shift » Absolute/relative shift » Stochastic shift www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
20.
Optimizing market data
Efficient capture and validation of data Forward curves, volatility, and correlations Market metrics and attribution Market, basis, credit, and liquidity risk www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
21.
Optimizing market data
to manage risk in crude oil markets Eldon Klaassen CEO www.allegrodev.com Risk Management Commodity Trading Physical Logistics Regulatory Compliance www.allegrodev.com © 2010 Allegro Development Corporation. All rights reserved. All trademarks and copyrights are the property of the respective owners. All Allegro information, images 6/10/2010 and graphics are the property of Allegro. This material cannot be duplicated or distributed without express written permission of Allegro Development Corporation.
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