The riskGRID™ ETRM Game –CFVG October 09 16 2014 CFVG October 09-16, 2014

Hanoi & HCMC• We are proud to announce that we will be offering a new and excitingWe are proud to announce that we will be offering a new and exciting

opportunity to learn and practise Energy Trading and Risk Management at CFVG MEBF this year.

• The course teaches the groundwork on Day 1-3 and then runs a • The course teaches the groundwork on Day 1-3 and then runs a competitive team game on Day 4. Day 1-3 will be different for Hanoi (09-11) and HCMC (13-16), Day 4 will be a Saturday or Sunday and common to both Campusescommon to both Campuses.

• http://www.cfvg.org/index.php/en/news/news/item/527-cfvg-specialized-master-in-finance-mebf--marketing-mmss-application-2011-is-openingg pp p g

The riskGRID™ ETRM Game

Sponsored by

1

Sponsored by …

Content & Learning Outcomeg

• ETRM first principles.p p• Fundamental analysis, Technical trading, Futures, Swaps, Options and

Deal structuring (financial engineering).• How trading companies banks and hedge funds work How indexHow trading companies, banks and hedge funds work. How index

trades and deal structuring work.• Deal booking, trading the price curve, trading the volatility surface,

recognising and either leveraging or neutralising market moves by typerecognising and either leveraging or neutralising market moves by type.• Defining a Risk adjusted Framework and managing an ETRM strategy.• You will be graded as a team and individually.

• This is a market-driven course lead by practitioners. We don’t teachfrom books, this is a pro-am event where our aim is to get you buckledin, down the runway and airborn as quickly as possible – with someonehelping you. Whether front, middle, or back office; or any of the STCB or CPG ETRM roles ….

2You will be ideally prepared for an interview…

or simply superbly introduced to ETRM.

Who learns ETRM/CTRM¹ ?/

Commercially Academically Professionally

“for traders, trader new-hiresand the teams who work withthem”

” for students and their teachers” “corporate risk managers, accountants, lawyers”

1 live price and vols

2 futures physical and freight

1 practitioner dominated facultyyet academically sound

2 trading structuring role

1 Explains curve constructionand management

2 Teaches accounting and 2 futures, physical and freightcapability, index (Platts etc)

3 real market curves and surfaces (price vol and correl)

2 trading, structuring, role-playing, financial engineering

3 a gradable case study in ETRM/CTRM

2 Teaches accounting and regulatory best practice

3 Teaches risk management best practicesurfaces (price, vol and correl)

4 trading, structuring, roleplaying, financial engineering

ETRM/CTRM

4 constant assessment by pop-quiz and a variety of games and tests

best practice

4 Captures structured dealsallowing reverse engineering

playing, financial engineering

5 look at ourrecommendations on linkedin

tests

5 ideal preparation for trading and risk management front/middle/back office positions

5 teaches “as its taught” byyour risk management service providers

3

recommendations on linkedin front/middle/back office positions

¹ ETRM – Energy Trading & Risk Mgmt, CTRM – Commodity Trading & Risk Mgmt

How do we know its good?g

• Its like flying a fighter jet. When properly designed and built anyexperienced (pilot)trader can pick up the game and fly it after onlyminutes of familiarisation.

• We were constrained in academia by poor IT when compared to the i l ld O th i t t th t d tcommercial world. Our game runs across the internet on the students

laptop. Every problem you solve is an opportunity and becomes a critical success factor while slowing the competition.

• We developed software with “live prices and live vols”• We developed software with live prices and live vols .• The game content is based on real events as they happened – it is not

a simulation but like the techniques used in the commercial world it isbased on actual market action and information and heavilybased on actual market action and information and heavilydependent on role playing within a real commercial environment.

• The game itself runs for 8 hours – its a dense and intense day, just likethe trading (ETRM) world.

• Students work in teams of four to build a strategy, execute, evaulateand rebalance within a Risk άdjusted Framework (RάF ™ by riskGRID) while their corporate world and its needs change with a dynamic

k tmarket

4We were challenged to build something special

How do we know its unique?q

• Its like flying a fighter jet.

• With an experienced design, engineering and delivery team westripped down actual commercial software to first principles and built a student version with as few compromises as possible and many whichwere practical.

• We then rigorously trained and taught with it, honing and developingour ETRM game.

t ll ti ill h i d i l k t l • At all times you will have experienced commercial market people training you hands on and taking the controls with you for the more complicated manouvers.

• We hired others to teach with their software as a benchmark. We out-performed at every level.

5

We built something special –riskGRID™ for Academia

riskGRID™ the GUI feed…

h h i l O C F d

Generators Transaction types Database

VolGEN

Exchange, Physical, OTC

Futures, Swaps, OptionsData

Price Fundamentals

CurveGEN

PriceGEN Basis, Index, EFP

Data

Commodities Biz Mgmt, Compliance & ControlsriskGRID™ Architecture

Oil Gas Electricity CRM• Customer positions, limits, reports...

C dit Li it Ri k Li it tRegional & Global

Carbon, LNG, Weather, Structured i t b dd d

CRO • Credit Limits , Risk Limits, reports…

Risk • By commodity, strike, expiry…

6 Stack Agrimax

Finance etc can be addedRisk

riskGRID™ - the front end of the Trader Systemthe Trader System

Account: All 1 +/- day 0 30-Mar-12Prices riskGRID AS OF: March 30 2012

“Give me a lever long enoughAccount: All 1 +/ day 0 30-Mar-12Prices riskGRID AS OF: March 30, 2012

Commodity last ∆ +/- IVol% +/- TDelta TGamma $Theta $Vega $Rho $P&L YTD $P&L TDY Futs Swaps TDelta 1d ∆ IV%1w ∆IV%

0 0 0WTI (CL)

Apr-12 103.02 (4.50) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%May-12 103.54 (4.41) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%J 12 104 03 (4 22) 0 00 20 00% 0 00 (0) (2) 139 (92) 25 (1 503) $ 200 100 300 400 0 01% 0 01%

and a fulcrum strong enough,Jun-12 104.03 (4.22) 0.00 20.00% 0.00 (0) (2) 139 (92) 25 (1,503) $ 200 100 300 400 0.01% 0.01%Jul-12 104.40 (3.90) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%Aug-12 104.66 (3.55) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%Sep-12 104.86 (3.23) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%Oct-12 105.05 (2.92) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%Nov-12 105.23 (2.63) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%Dec-12 105.33 (2.35) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01%

(0) (1.6) $ 139 $ (92) $ (1,503) $ 200 100 300 400

and I will move the world.”

HEAT (HO)Apr-12 316.84 (3.75) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%May-12 317.01 (3.49) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Jun-12 317.94 (2.50) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Jul-12 318.91 (2.11) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Aug-12 319.81 (1.78) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Sep-12 320.53 (1.55) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%

Archimedes

p ( ) $ $ $ $Oct-12 321.07 (1.51) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Nov-12 321.48 (1.65) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Dec-12 321.76 (1.74) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%

0 0.0 $ - $ - $ - $ - 0 0 0

RBOB (RB)Apr-12 338.99 13.27 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%May-12 330 81 5 74 0 00 20 00% 0 00 0 0 0 $ - $ - 0 $ - $ - 0 0 0 0 01% 0 01%Archimedes

Greece ca. 300 BCMay 12 330.81 5.74 0.00 20.00% 0.00 0 0.0 $ $ 0 $ $ 0 0 0 0.01% 0.01%Jun-12 324.93 2.69 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Jul-12 319.47 1.00 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Aug-12 313.91 (0.15) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Sep-12 308.24 (0.84) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Oct-12 292.10 (1.41) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Nov-12 287.40 (1.38) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%Dec-12 284.94 (0.85) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01%

7 Stack Agrimax

0 0.0 $ - $ - $ - $ - 0 0 0

STCB – Short Term Commercial Bank

8

CGP – Consumer Packaged Goods g

e.g. A Tesco

9

The full Academic CourseDynamic Commodity Trading

ABC Modules Overview

• 3 hrs Fundamentals

Modules elements and duration

A i ti

ABC ModulesA, B, C Common elements

• 3 hrs

Duration

AA• Booking deals• 3 hrs Fundamentals

• 1 hrs Technicals• 2 hrs Futures • 1 hrs Swaps • 1 hrs Options • 1 hrs Swaptions

Appreciation30 Hours

• 3 hrs• 3 hrs• 3 hrs• 3 hrs• 9 hrs

• Booking deals • Curve Structure – Price• Curve Structure - Vol• Market Moves • Trading Game

• 1 hrs Deal Structuring

Basic60 Hours cumulative

• 1 hrs Fundamentals• 1 hrs Technicals• 1 hrs Options• 1 hrs Swaptions

• Booking deals • Curve Structure – Price• Curve Structure - Vol• Market Moves

• 3 hrs• 3 hrs• 3 hrs• 3 hrs

BB

ABC module total duration

p• 1 hrs Deal Structuring • 1 hrs How Trading Companies Work • 1 hrs How Banks Work • 1 hrs How Hedge Funds Work • 1 hrs How Index Trades Work • 1 hrs How Structured Trades Work

• A Module allows total of 30 teaching hours

• B Module allows total of 30

• Trading Game • 9 hrs

Competent90 Hours

• 1 hrs How Structured Trades Work

• 2 hrs Indices • 2 hrs Platts

teaching hours• C Module

allows total of 30 teaching hours

• 2 hrs• 3 hrs

CC• Booking deals • Curve Structure – Price

90 Hours cumulative

• 1 hrs Swaptions & Financing • 1 hrs Deal Structuring - for Finance • 1 hrs How Trading Companies Trade• 1 hrs How Banks Trade • 1 hrs How Hedge Funds Trade • 1 hrs How Index & Structured Trades Leverage

• 3 hrs• 3 hrs• 9 hrs

• Curve Structure - Vol• Market Moves • Trading Game

• 1 hrs How Index & Structured Trades Leverage