ETRM risk & exposure

Position Aggregation Heat Map

See how net positions sit across portfolios and delivery months. Toggle Before/After and add a “new trade” to watch the heat map update — just like in your ETRM.

What you’re looking at

Heat map

X-axis = delivery months, Y-axis = portfolio/book. Color = net long (green) vs net short (red). Intensity shows size. One view for exposure across time and book.

Netting

Raw trades are long or short. Aggregation nets them per (portfolio, month): gross long and short collapse into a single net exposure (MW or volume). The heat map shows that net.

Limits

Position limits cap how much exposure you can have per book. The system compares |net| to the limit and flags breaches. Green = OK, red = over limit.

Concentration

Concentration risk = exposure clustered in few months or names. Metrics like top-month share and HHI show how “lumpy” the book is. High concentration → less diversification.

Heat Map

+ = long, − = short. Change values to see the heat map update.
Net long Net short Zero / no exposure

Position aggregation explained

Position aggregation is the process of rolling up many individual trades into a single net exposure view along dimensions that matter for risk.

  • Dimensions: Typically portfolio (or book) and delivery period (e.g. month).
  • Result: Instead of looking at hundreds of long and short deals, you see one number per (portfolio, month): the net.
  • What the net drives: Price risk, limit usage, and concentration.
  • Why it matters: Traders and risk managers need one clear picture of where the firm is long or short, and by how much, before they hedge, add volume, or report to senior management.
  • Without aggregation: Exposure is hidden inside a pile of tickets.
  • With aggregation: Breaches of position limits and clusters of risk in certain months or books become visible.
  • In ETRM: This view is often produced overnight (EoD) and is the basis for limit monitoring, VaR inputs, and daily risk reporting.

Bottom line: Getting the aggregation right is essential for both control and decision-making.