In the past two years, PCI has significantly advanced its Energy Trading & Risk Management solution to more accurately reflect how our customers manage market and credit risks. These enhancements have been driven by existing customer requirements, industry best practices, observed RFP gaps, and analysis of ETRM competitor solutions.
Read our blog post, “CTRM vs. ETRM: Which Software Is Right for Your Business?”
In this blog post, we’ll explore these advancements and their impact on our customers, providing insights into how these improvements can enhance your risk management strategies and operational efficiency.
Adopting industry best practices
Our enhancements have been guided by industry best practices, using insights from our team members who’ve worked at other utility and software companies, as well as publicly available information.
Enhancements in energy market risk management
PCI’s energy market risk management software now enables customers to manage margin exposure workflows with counterparties more effectively. Key features include:
- Capturing and modeling CSA (Credit Support Annex) Agreements
- Calculating daily margin exposure based on current market exposures and CSA provisions
- Producing margin call notices and invoices for settlement of margin payments
- Accruing and invoicing margin interest on held or posted margins
These enhancements enable our customers to execute precise margin calls backed by supporting exposure data and forward market valuations, making our software one of the most comprehensive credit risk management solutions available.
To complement these ETRM capabilities, understanding how innovative power scheduling software is empowering utilities to optimize their operations further can offer additional benefits. Read more about the future of power scheduling and its impact on utility management.
Monitoring risk policy limits
PCI’s ETRM solution has expanded its capabilities to monitor transaction and portfolio limits stated in a company’s Market Risk Policy. Key improvements include:
- Using our existing Deal Validation Framework to accommodate various customer-defined limits
- Developing a cross-domain standard report of historical risk policy limit validations to support communication with internal risk oversight committees
- Introducing a new limit module in 2024 to facilitate easier self-configuration of limits
- Assessing integration of a new Sensitivity Module to shock forward market prices and evaluate potential breaches of Mark-to-Market (MtM) specific limits
These features provide risk managers with visibility into operational risks and tools to communicate effectively with their internal committees, further enhancing our suite of credit risk management tools.
Enhancements with PCI Kube
Our latest platform, PCI Kube, has introduced several risk management enhancements within our ETRM solution:
- A robust mark-to-market calculation engine that delivers faster compute, easier integration with other applications, and a nimble platform for future enhancements
- Greater precision in mark-to-market values through new implied volatility interpolation models and enhanced models for Black-76 and Kirk’s approximation
- An overhauled Value-at-Risk (VaR) model with support for Parametric VaR and future methodologies for Monte Carlo and Historical VaR calculations
- A new Sensitivity Analysis Module that allows risk managers to shock forward market prices and understand impacts on portfolio MtM values
These advancements ensure greater confidence in the mark-to-market accounting process and provide comprehensive risk assessment tools, solidifying our leadership in energy market risk management.
Standardized reporting and improved integration
To minimize project delivery costs, we have developed and standardized several middle office reports that are portable to customer domains. Our framework now includes:
- Standard models to import and map forward market prices from publishers into our forward curves
- Direct connections to ICE and Morningstar with customer credentials
- Enhanced communication tasks for historical deal change information, ensuring reasonable deal level changes
These improvements optimize project delivery and provide consistent, reliable data for our customers.
Exploring advanced risk analytics
As we continue to build the best possible solutions with comprehensive features, we are exploring whether to build out risk management capabilities organically or support third-party partners who may integrate with our platform. This strategic consideration aims to balance our investment to ensure a return and deliver advanced risk analytics to our clients.
Discover the benefits of PCI ETRM solutions
Two years later, the “RM” in our “ETRM” is a reality. Thanks to advancements in technology with PCI Kube and the dedication of our project and product teams, PCI is delivering the risk features and analytics demanded by our clients. We extend a special thanks to our ETRM team for their determination and commitment to customer success.
Discover how our ETRM solutions can elevate your risk management by visiting our ETRM page and scheduling a demo.
