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Aggregate mark to market values across an entire portfolio of options and
complex contracts.
Lacima's range of advanced single factor and multi factor models can be used to
mark to market and mark to model a wide array of energy and commodity contracts
in a consistent way, enabling the user to compare the value of different
product types in liquid and illiquid markets. 
Price complex multi-commodity contracts with advanced single factor, multi
factor and hybrid models
Based on pioneering industry research, Lacima's single factor, multi factor and
hybrid models provide an accurate representation of commodity price behaviour,
with the ability to incorporate the effects of seasonality, mean reversion and
exposure to spikes, differences in construction of regional energy markets,
complex contracts with embedded optionality and physical asset operational
constraints.
Lacima offers a range of analytical pricing models from the simple the
Black-Scholes types to sophisticated mean reversion, jump diffusion and mean
reversion jump diffusion types. The derivatives priced by these models include
the most commonly traded instruments such as various swaps, standard options,
caps & floors, swaptions, and asian options.
If the pricing technique used is mean reversion jump diffusion, then the
implied pricing parameters for one derivative type could be used to price other
derivative contract types for which there may be no price in the market.
Achieve greater accuracy in representation of value at risk across an
entire portfolio
Lacima riskAnalytics provides the ability to not only aggregate VaR
calculations across several commodities and achieve a single VaR figure, but to
also group VaR by any attribute (examples may include the counterparty, book,
trader contract type etc), for any number of horizons and percentiles.
Furthermore, the ability to jointly model several commodities and observe
correlations between price changes affords greater accuracy in Lacima's VaR
metrics.
Based on Monte-Carlo simulation, a VaR figure is generated by incorporating data
from clients' existing databases of price histories, contract specifications,
market forward curves and volatilities. All risk factors are simulated at a
user defined granularity. Analytical VaR calculations can also be computed.
Determine the effect of trading decisions on cash flow at risk over time
Lacima riskAnalytics provides the ability to not only aggregate EaR
calculations across several commodities and achieve a single EaR figure but to
also group EaR by any attribute (e.g.s. counterparty, book, trader contract
type), for any number of time periods and percentiles. Furthermore, the ability
to jointly model several commodities and observe correlations between price
changes affords greater accuracy in Lacima's EaR metrics.
Based on Monte-Carlo simulation, an EaR figure is generated by incorporating
data from clients' existing databases of price histories, contract
specifications, market forward curves and volatilities. All risk factors are
simulated at a user defined granularity in either a single factor or multi
factor framework.
Assess the impact of potential future exposure to cash flow at any given
time
Lacima riskAnalytics provides the ability to calculate potential future exposure
for any number of risk horizons or cash flow at risk for any number of time
periods grouped by counterparty, while accounting for changes in their credit
ratings and the possibility of default. This is achieved by linking a company's
market or asset value to credit rating changes via historical credit rating
transition probabilities and simulating future transition outcomes. Each credit
outcome then has an associated estimated change in the value or cash flows of
the portfolio providing on of the most sophisticated credit metric available in
energy markets.
Identify the best hedge combinations
Lacima riskAnalytics provides outputs ranked by user defined selection criteria
together with plots to visualize the effectiveness of each listed hedge
combination. Users can input, view, edit and run hedging decision analysis over
a portfolio of contracts over a desired evaluation period. A hedge position
comprises the combination of one or many contract types (forward, strip of
call/put options, call/put option), and is determined to be the best choice
based on a user defined criteria (e.g. profit at risk limit).
Identify the best possible revenue outcomes from contract flexibility
Lacima riskAnalytics provides the ability to capture intrinsic, extrinsic and
full values from complex contracts such as gas storage, swing and generation
assets, in order to identify the best possible revenue outcomes from contract
flexibility. Furthermore, user-defined what-if scenario analysis can be
performed and sensitivities to prices measured.
Accurately determine the risk and value associated with power generation
assets
Lacima provides the ability to incorporate a diverse range of operational
constraints when valuing generation assets as real options. Lacima
riskAnalytics' ability to model these constraints helps companies to dispatch
generation assets more accurately than valuing them purely as a spread options
between the electricity price and gas or fuel price. Parameters captured
include:
Unit characteristics: capacity, contracted minimum run, minimum stable
generation, variable O&M cost, start-up cost (hot, warm, cold), ramp- up
rate (hot, warm, cold), ramp-down rate, minimum-up time, minimum-down time,
O&M cost, fixed cost, other annual and monthly charges, heat rate for
different generation levels
Fuel data: fuel cost adders, fuel cost multipliers, tax rate
Emissions costs: CO2, NOX and SOX charges for different generation levels
Transmission loss data: monthly location specific loss factor
Outages: scheduled production levels (by hour), mean-time to forced outage,
mean-time to repair
Make more accurate demand forecasts by modeling volatility of retail loads
Most retail loads in power or gas markets are closely related to either the
weather or some other diurnal supply or demand effect. Lacima's retail load
model automatically estimates this relationship and the residual variability
relationship. The model accurately represents the future load outcome and
simulates the variability in the load over both short and long time frames
around the load forecasts.
Make optimal decisions on dispatch of power generation assets
Lacima riskAnalytics provides the ability to estimate and model the relationship
between price and demand (load) in power markets, to help to make optimal
decisions on the dispatch of generation assets. Lacima's bid stack model
estimates the historical relationship between price and load at a user defined
granularity (e.g. hourly, or on a business day / non-business day, peak /
off-peak basis). The model combines simulations of load and price, such that
the fat tails and spikes that are observed in real world electricity prices are
captured, to provide a more accurate assessment of the value and risk of a
physical unit or electricity contract.
Value a portfolio of storage contracts and assets with a holistic view of
reporting on optimal strategies
Lacima's storage solution provides decision support for intrinsic, rolling
instrinsic, extrinsic and optimal spot trading strategies, with the ability to
analyze contract information in detail and extend valuations to earnings at
risk, profit at risk and hedge analysis in an instant. Parameters captured
include maximum injection/withdrawal rates, ratchets (inventory-dependent
injection/withdrawal rates), fixed injection and withdrawal costs, proportional
costs, initial and final capacity constraints, required reserves/intermediate
capacity constraints, storage start and end dates, total storage capacity and
current capacity level.
A comprehensive range of outputs is provided including distributions of gas
takes, scenario analysis yielding cost/revenue outcomes, sensitivity analysis
with Greeks including delta for hedging, critical prices at which to make
decisions around the purchase/sale of storage assets, distribution of possible
outcomes on optimal decisions and optimal daily decision reports.
Value the flexibility of a portfolio of swing contracts and assets with a
holistic view of reporting on optimal strategies
Lacima's swing solution calculates the values and hedge statistics for gas
swing contracts as well as a range of gas supply agreements and take or pay
contracts. The solution allows users to specify time-dependent constraints and
make-up provisions. Optimal swing decisions are part of the output that is
generated. Intrinsic, extrinsic and full option values are calculated,
consistent with the input forward curve, with the solution also providing a
comprehensive set of risk sensitivities.
Swing contract functionality includes; annual contract quantity, daily contract
quantity, contract price (per period), maintenance periods, minimum bill, carry
forward, make-up, clawback, early termination / depletion, indexation
(including to baskets), rolling multi-year constraints, excess gas,
interruptions, price tranches, nomination lead time.
Identify revenue outcomes relating to shipping and delivery of LNG and
Cargo
Lacima has helped clients to address issues relating LNG and cargo through its
highly acclaimed advisory expertise.
Effectively analyze price data
Lacima riskAnalytics' simulation and analysis capability allows the user to
closely observe the distribution of spot prices produced by Lacima's range of
single and multi factor models. The user can drill down to any level of
granularity and see the statistics displayed at these granularities.
Generate detailed forward curves for multiple commodities
Lacima riskAnalytics provides the ability to generate detailed forward curves
for different commodities including forward market quotes, intra-day,
intra-week and seasonal price profiles at user-specified output granularities.
Overlapping forward quotes are easily incorporated as well as user defined
holiday tables and peak/off-peak definition. The solution provides the ability
to easily create a detailed forward curve from sparse market and historical
data.
Obtain detailed results and output reports into other reporting systems
with ease
Lacima riskAnalytics provides a wide array of flexible reporting options. Each
module of the Lacima riskAnalytics application has comprehensive displays of
the output results and the data used as inputs. Results can be output into csv,
Excel, or pdf and images can be copied into bitmap or jpeg formats. Results can
be reported with ease into reporting tools, data warehouses, dashboard
facilities or any general energy trading and risk management system ("ETRM") .
Effectively calibrate price data
Lacima riskAnalytics provides the ability to calibrate any of its single factor,
multi factor and hybrid simulation models to historical spot or forward quote
prices.
Assess the impact of trading strategies on earnings at risk outcomes
Lacima riskAnalytics allows the user to enter a single load variation (forward
curve variation), parameter variation, pricing date, contract set and
correlation set, and then compare the differences in the earnings at risk
outcomes. This solution is currently in the process of being upgraded to allow
the inclusion of multiple scenarios of a single type.
Generate detailed load profiles from historical load data
Lacima has helped clients to improve modeling of load forecasts through its
highly acclaimed advisory expertise.
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Overview
