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LearnETRM: Visual Storyboard

Reports That Run
a Trading Desk

EoD Process · Exposure · Inventory · MtM · P&L · Price Check · Credit · Trade Recon · VaR · Settlement · Cash Flow · Risk Limits · Regulatory

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Chapter 01: Process
01
Process

End of Day
/ COB

  • EoD (End of Day) process runs each night
  • Runs every trade through the lifecycle every day
  • Ingest prices
  • Compute curves
  • Recalculate exposure and MtM/PnL
  • Value inventory, update credit
  • Run invoicing, push data to scheduling/accounting/ERP
  • Must complete on time so reports land on desks by morning
  • Critical considerations:
    • Failure handling
    • Fallbacks (e.g. missing prices)
    • Lean design
When
After business hours
Output
All reports by ~7 AM
Parallelism
Many steps parallel
Monitor
Steps, start/end times
Key Consumers
EoD Team BA Front / Mid / Back Office
When EoD fails:
  • Reports arrive late or contain errors
  • Trading and risk decisions rely on stale data
  • Exchange prices can delay steps
  • Fallbacks and monitoring are essential
EoD Process Flow
1Housekeeping & price ingestion
2Custom curves & exposure calc
3MtM & PnL calculation
4Inventory & credit valuation
5Invoicing, payments, 3rd party feeds
6Report generation & distribution
Data Lineage & Dependencies
Price ingestion Custom curves Exposure MtM P&L Missing prices ↑ Missing prices break chain downstream
  • Price ingestion feeds custom curves, then exposure
  • Exposure and curves feed MtM and P&L
  • Missing prices break the chain downstream
Typical Steps
  • Housekeeping
  • Price ingestion
  • Custom curves
  • Exposure
  • MtM/PnL
  • Inventory
  • Credit
  • Invoicing
  • Payments
  • 3rd party feeds
  • Report distribution
Chapter 02: Position
02
Position

Exposure
Report

  • Shows traders how long or short they are
  • Volume (and value) of commodity unhedged and exposed to market moves
  • Built per book, commodity, or geography
  • Wrong exposure leads to wrong hedging, then unintended speculation
Formula
Physical − Hedged
Amount
Exposure × Mkt Price
When
Overnight / EoD
Sliced by
Book, commodity, region
Front Office Mid Office (Risk) EoD Team
Wrong exposure = wrong hedging
  • Firm may think it is hedged but is effectively speculating
  • Common causes:
    • New or amended trades
    • Wrong UoM (unit of measure) or wrong book
    • Pricing terms or basis risk not considered
Interactive: Exposure
Physical (bbl)
Hedged (bbl)
Market ($/bbl)
Exposure (vol)200,000 bbl
Exposure ($)$12,000,000
Exposure = Physical − Hedged
Amount = Exposure × Market price
Mini Exposure Report (annotated)
ProductPhysicalHedgedUnhedgedMkt $Exposure $
Crude Jul1,000k800k200k6012.0M
Gas Aug500k MWh500k0450
  • Physical: Contracted volume
  • Hedged: Offset by derivatives
  • Unhedged: Physical − Hedged
  • Exposure $: Unhedged × Market price
CounterpartyBuy/SellTrade TypeProductVolumeExposureDelivery Start/EndMonthTrade NumberLocation
Chapter 03: Operations
03
Operations

Inventory
Report

  • Reflects inventory levels across the supply chain
    • Tanks
    • Pipelines
    • Trucks
    • Ships
    • Underground storage
  • Shows how much commodity is on hand
  • Shows how much needs to be bought or sold
  • ETRM captures storage asset master data
  • Often integrates with optimization software
  • Asset data: type, location, size, rates, product, capacity
  • Valuation: FIFO, LIFO, WAC, or MtM
Scope
Tanks, pipelines, ships
Valuation
FIFO, LIFO, WAC, MtM
Asset Master
Type, location, capacity
Integration
3rd party optimization
Traders Operations Scheduling Back Office
Wrong inventory or valuation leads to:
  • Misstated positions
  • Wrong P&L
  • Incorrect procurement or sales decisions
  • Audit and reconciliation issues
Inventory Snapshot
Trade NumberProductStorage TankLocationIn/OutDateQuantityUnit
Chapter 04: Valuation
04
Valuation

Mark to
Market

  • Core ETRM output
  • Extends exposure by adding price: MtM = Volume × Price
  • Answers "What are my positions worth today?"
  • Wrong prices propagate to wrong MtM, P&L, invoices, settlements
  • Price check and reconciliation are critical
  • Power and long dated contracts: millions of data points
Formula
Volume × Price
Purpose
Value at market
Scale
Millions of data pts
When
Overnight; on time for desk
Front Office Mid Office
Wrong prices cascade to:
  • Wrong MtM
  • Wrong P&L
  • Wrong invoices and settlements
  • Price data must be accurate and complete
Interactive: MtM
Volume (bbl)
Price ($/bbl)
MtM value$12,400,000
MtM = Volume × Price
Scenario
Pricing dateDelivery dateProductVolumePriceMtM valueBookPortfolio
Chapter 05: P&L
05
Valuation

P&L
Explained

  • Shows profit or loss
  • Attributes change to drivers
  • Delivered on time as part of EoD
  • Key drivers:
    • Flat price, FX
    • New, amended, or canceled trades
    • Quantity, pricing date
    • Costs, interest, other
  • Engineering P&L is one of the most challenging tasks for an ETRM BA
  • Requires understanding trade context, IT landscape, and costs in energy trades
Why Buy P&L = (Market − Trade) × Qty?
  • You bought a forward at $60/bbl, locking in your cost
  • Market rises to $62, you could sell today for $2 more
  • Example:
    • Buy 200,000 bbl @ $60
    • Market now $62
    • P&L = ($62 − $60) × 200,000 = $400,000 profit
  • For a sell: you lock in a sale price
  • If market falls below your trade price, you gain (buy cheaper to deliver)
Buy formula
(Market − Trade) × Qty
Delivery
With morning coffee
Attribution
Price, FX, new, costs
Goal
Keep unexplained low
Traders Risk Control Back Office
Unexplained or wrong P&L causes:
  • Loss of trader confidence
  • Wrong trading decisions
  • Reconciliation failures
  • Control issues
Interactive: P&L
Trade price ($)
Market price ($)
Quantity
Side
P&L$400,000
Buy: (Market − Trade) × Qty  |  Sell: (Trade − Market) × Qty
Mini P&L Report (annotated)
ProductVolumeTrade $Market $MtMPnL
Crude Jul200k606212.4M+400k
Gas Aug100k MWh45444.4M−100k
  • Product: Contract identity
  • Volume: Quantity
  • Trade $: Execution price
  • Market $: Curve price
  • MtM: Volume × Market
  • PnL: (Mkt − Trade) × Qty (buy)
Flat priceFXNew tradesAmendedQuantityPricing dateCanceledCostsInterestOther
Chapter 06: Operations
06
Operations

Price
Check

  • ETRM without correct prices is "a car without brakes"
  • Price check reconciles ETRM prices with provider
  • Any delta must be analyzed and fixed
  • Common issues:
    • Overnight copy failures
    • Server or network problems
    • Exchange holidays
    • Master data mismatches
Goal
0 delta (ETRM = Provider)
Break Causes
Copy fail, server, holidays
Tooling
Power BI, Tableau
Columns
Date, Price, Delta
EoD Team BA Mid Office
Wrong or missing prices cascade to:
  • Wrong MtM
  • Wrong P&L
  • Wrong invoices
  • Settlement and cash flow issues
  • Escalations from front, mid, back office, and accounting
Interactive: Price Check
ETRM price
Provider price
Delta0.00
Status✓ Match
Pricing DateDelivery DatePrice ETRMPrice ProviderDeltaRegion/Commodity
Chapter 07: Risk
07
Risk

Credit
Exposure

  • Reveals how much the firm owes or is owed by counterparties
  • Measures counterparty credit risk
  • Credit departments assess quality and set limits
  • Netting: buy/sell with same counterparty becomes one net value
Shows
Exposure to counterparty
Time Profile
+100k Apr, +150k May
Netting
Buy/sell becomes one value
Columns
Counterparty, Limit, Exposure, Rating
Back Office Credit Dept Risk
Unchecked credit exposure leads to:
  • Default or non performance by counterparty
  • Losses on receivables
  • Regulatory and limit breaches
Interactive: Credit Utilization
Exposure ($)
Limit ($)
Utilization75%
StatusWithin limit
Trade NumberCounterpartyCredit LimitExposureCredit TermCredit RatingNetting
Chapter 08: Operations
08
Operations

Trade
Reconciliation

  • Physical trades create exposure
  • Paper desk hedges on exchange
  • Trade recon matches ETRM to clearer/broker
  • Compares: quantities, prices, fees, accounts, margin
  • Breaks investigated by ETRM BA for root cause
Compares
ETRM vs Clearer
Checks
Qty, price, fees, margin
Flow
Exec platform to ETRM
Breaks
BA investigates root cause
Paper Desk Risk EoD Team ETRM BA
Breaks cause:
  • Wrong position view
  • Margin errors
  • Failed settlements
  • Operational and reputational risk
Interactive: Trade Recon
ETRM Qty
Broker Qty
Difference0
Status✓ Match
Trade No.Broker QtyETRM QtyQty DiffBroker PriceETRM PricePrice DeltaMargin
Chapter 09: Risk
09
Risk

Value at
Risk

  • VaR answers "How much could we lose over a period and with what probability?"
  • Example: 99% one month VaR of $50k means 1% chance losses exceed $50k in that month
  • Methods:
    • Historical simulation
    • Parametric
    • Monte Carlo
Example
$2mn / 10d @ 95%
Meaning
5% chance loss > $2mn
Methods
Historical, Parametric, MC
Uses
Limits, stress test, capital
Mid Office Risk Managers Regulators
Misestimated VaR leads to:
  • Understated risk limits
  • Unexpected losses
  • Regulatory issues
  • Capital adequacy issues
Interactive: VaR (Simplified)
Portfolio ($)
Confidence %
Horizon (days)
VaR (approx)$50,000
Simplified: ~5% of portfolio × √(days/10) for illustration
PortfolioVaR (currency, horizon, %)MethodComponents
Chapter 10: Additional Internal & Regulatory Reports
10
Additional Reports

More Reports Desks
Rely On

  • Beyond the nine core reports, trading desks depend on:
  • Internal operating reports
  • Regulatory submissions
  • Understanding these expands your grasp of real world ETRM workflows
$

Settlement reports

  • Matched trades, invoices, payments
  • What is due, when, and by whom
  • Critical for treasury, back office, dispute resolution
CF

Cash flow forecasts

  • Projected inflows and outflows by period
  • Uses settled trades and outstanding invoices
  • Treasury and finance use for liquidity planning
%

Risk limit utilization

  • Dashboard of VaR, exposure, and credit vs limits
  • Highlights breaches and near breaches
  • Mid office and risk managers monitor daily
Σ

Management summaries

  • Roll ups of P&L, exposure, and risk by desk, region, or strategy
  • Executive dashboards and board reporting
RG

Regulatory & compliance reports

  • External submissions: EMIR trade reporting, REMIT disclosures
  • Internal compliance monitoring
  • Used by compliance, legal, and control teams

Related: ETRM Landscape · Trade Lifecycle

Chapter 11: Report Family Summary
11
Comparison Summary

Report Family
Comparison Summary

  • Compares each report family by purpose and audience
  • Helps newcomers understand why multiple report sets coexist
  • Spans front, mid, back office, and compliance functions
Report Family Primary Purpose Primary Audience Typical Decisions Supported
Process
  • Run overnight lifecycle jobs
  • Deliver complete, timely data outputs
  • EoD team
  • Support analysts
  • Front, mid, back office users
  • Operational readiness
  • Rerun and escalation decisions
  • Data quality gating
Position
  • Show net physical and paper exposure
  • By book, product, and region
  • Traders
  • Hedging teams
  • Mid office risk
  • Hedge sizing
  • Rebalance actions
  • Prompt month risk containment
Operations
  • Track inventory
  • Reconciliations
  • Market data controls
  • Operations
  • Scheduling
  • Back office
  • ETRM BA teams
  • Nomination fixes
  • Reconciliation break resolution
  • Data repair priorities
Valuation
  • Mark positions to market
  • Explain profit and loss movements
  • Front office
  • Risk control
  • Finance controllers
  • Daily P&L sign off
  • Attribution validation
  • Valuation challenge workflows
Risk
  • Measure potential losses
  • Counterparty limit utilization
  • Risk managers
  • Credit teams
  • Senior management
  • Limit setting
  • Stress mitigation
  • Counterparty exposure escalation
Regulatory
  • Satisfy external market reporting obligations
  • Surveillance requirements
  • Compliance
  • Legal
  • Regulatory operations
  • Supervisors
  • EMIR trade reporting
  • REMIT event and disclosure filing
  • Audit evidence preparation