In the Coal and Freight space, ROITI has been involved in a project designing and building the front office reporting. Our team has worked on various tasks, including, but not limited to:
Financial and physical curve modelling
Modelling the specific averaging rules in order to produce the daily delta rollof correctly – for example, API2 and API4 are published by Argus daily, averaged on the Friday, and then the Friday prices are averaged on the last Friday of the month to arrive at a final settlement price
Modelling the correct deal capturing and position reporting of EUR settled USD indexed deals (including ensuring the right FX rates (Fridays in most cases) were used for the relevant prices (the Friday averages of daily prices) and the correct FX and commodity exposures were reported)
Coal front office reporting of physical and financial positions, including traded curve vs liquid curve positions reporting, and daily rolloff for financial products. We had to make sure reporting was available in all Deal NCV, traded curve NCV, and 6000 basis NCV
Logistics reporting – across traded, nominated, and actual volumes, accounting for planned and observed measures
Freight curve modelling and positions
Freight reporting for us included things like converting days (from time charter deals) into Metric Tons equivalent for consistent reporting, making sure traders got numbers both for traded physical freight curve (modelling a certain voyage), and the underlying exposures to a liquid financial curve, used for hedging, as well as the respective oil exposures (depending on the fuel usage a certain type of ship would have).