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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

How to use this demo

  1. Select a portfolio — Choose the book (e.g. Gas-EMEA) where the new trade will be added.
  2. Select a delivery month — Pick the contract month (e.g. Jun 26) for the trade.
  3. Enter quantity (MW) — Use a positive number for a long trade, negative for short. A sample value is pre-filled so you can see the heat map update immediately.
  4. The heat map updates live: the highlighted cell shows the (portfolio, month) you changed, and the colour reflects the new net position (green = long, red = short).
Book that will receive the new trade
Month of delivery; net position for this cell will change
+ long, − short; pre-filled with 80 so you can see the update

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

Concentration metrics (from table above)

Top-month share — Share of a portfolio’s total absolute exposure in its single largest month:

Top-month share = max(|netm|) / Σ |netm|

where the sum is over all delivery months m for that portfolio. High values mean exposure is clustered in one month.

Herfindahl–Hirschman Index (HHI) — Sum of squared shares (each month’s share of total absolute exposure):

HHI = Σ (sharem)²,   sharem = |netm| / Σ |netm|

HHI ranges from 0 (perfectly spread) to 1 (all in one month). Regulators often use HHI for market concentration; here it measures time concentration.

Why concentration matters: Exposure clustered in a single month increases risk — e.g. one bad price move in that month hits a large share of the book. Diversification across months reduces that effect. Limits and HHI help spot when the book is too lumpy.

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.

Limit monitoring — how breaches are shown: In the heat map above, when a portfolio’s maximum absolute net position exceeds its limit, all cells in that portfolio row are outlined in red to show the breach. The limit check panel below the table shows each book’s max |net| vs limit (green = OK, red = BREACH).

Gross vs net limits: Net limits cap the net position (long minus short) per book/month or per book in total — what you see in this heat map. Gross limits cap total long plus short (e.g. total notional) and are used when you want to limit turnover or total exposure regardless of sign. Middle office typically monitors operational and gross limits (deal count, ticket size, daily volume). Risk management monitors net position and concentration limits (e.g. max |net| per book, HHI, VaR) and acts on breaches with escalation or hedging.

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