What's New In BookRunner® v10.2.3
By Brian Nicholson & Andrew Du Preez
Portfolio & Matrix Enhancements
BookRunner® version 10.2.3 includes new enhancements for working with and maintaining portfolios and matrices. These enhancements make it easier to use portfolio and matrix functionality, improve processing time, and reduce the amount of database storage space.
In previous versions of BookRunner®, you had to run the update portfolio process to create a portfolio list for a particular date. The need to run this process has been eliminated in BookRunner® 10.2.3, and has been replaced with a real-time engine that automatically generates portfolio lists for any date and portfolio name. The portfolio data is more timely, since you no longer have to run or re-run the portfolio update process to see your results. The new architecture also cuts down on the amount of nightly BookRunner® server processing time, since the update portfolio process is no longer required.
The BookRunner® enhancements to matrices provide you with more flexibility and significantly reduce the size of the matrix table in the database. In previous versions of BookRunner®, matrices were directly associated to a portfolio date and name, and would get duplicated each time a new update portfolio process was run. This lead to both size and usability issues. In BookRunner® 10.2.3 matrices are associated to VaR reports, which means that the same matrix can be linked to multiple portfolio names and dates, if you choose to do so. By changing one matrix you can see the effect on multiple VaR report scenarios, which wasn't possible with earlier versions of BookRunner®. This architecture requires fewer matrices to be stored in the Matrix table, which reduces the table size considerably. BookRunner® 10.2.3 is also smarter at storing matrix data in that it only stores non-default values, which for certain matrices results in much less data storage.
Asset Tracking
Since the days of the Enron bankruptcy, energy companies require a more pro-active approach in addressing and managing credit risk exposures. For energy clients, in efforts to mitigate their credit risk exposure, counterparties have the option of posting collateral. With the addition of the Asset Tracking Module in BookRunner® version 10.2.3, clients have the ability to track the various forms of collateral that are available to their counterparties for credit risk purposes. Letters of Credit, Cash Collateral, Valued Securities, and Treasury Bills and Bonds are some of the different assets that can be deposited by a counterparty in order to satisfy their margin requirements.
The financial institutions that provide the necessary assets to the various counterparties are established and maintained in the new Issuer Information form. This Static Data form allows users to track information regarding the different issuers including bank name, location, transaction currency, and account number. Once the data is saved in BookRunner®, asset records are entered into the Asset Management form with the respective issuer assigned to them. The Asset Management form allows users to track the specifics of, for example, a Letter of Credit deposited by a client in the satisfaction of margin requirements. The margin value posted by a counterparty is calculated on a daily basis and includes various inputs such as the face value, haircut value and market price of the asset class. BookRunner® enables clients the advantage of withdrawing one asset (by inactivating it) and depositing another one upon request.
Any asset values entered and maintained on the new Asset Management form are reflected in the BookRunner® Credit Risk calculations. The Credit Risk report now displays the available collateral based on the counterparty/company combination and the associated excess/deficit amount (Asset Value less the total Credit Risk). This allows clients to run a summary on a particular counterparty and view their total credit limit, as well as their posted collateral. With this additional information, energy companies will have a more accurate depiction of a counterparty's assets and overall credit exposure.
BookRunner® Batch Reporting
New functionality has been added to BookRunner® v10.2.3 for clients who do not make use of or for those clients who have not licensed the Oracle batch reporting module.
This new functionality has been designed to work with the Microsoft scheduler that comes standard with NT, Windows 2000 or XP. This piece of functionality is currently outside of the BookRunner® core system and runs as a standalone Java application. This Java application produces a reporting batch file that has a run time argument for each BookRunner® report that the user wants to run.
The Java application is scheduled via the Windows scheduler and upon invocation (runs in silent mode, no viewable user interface) it produces a reporting file that in turn calls the Oracle reports engine and creates the required BookRunner® reports in PDF format. The reports are generated for a given set of parameters and stored on disk at a user defined location. This application produces a log file that captures any errors and process encountered at run time.
A future release of this batch reporting module will be invoked from within the BookRunner® application providing a user interface that will allow users to dynamically select the desired reports, modify the report parameters and save the current settings for future use.
For more information concerning this article, please contact Brian Nicholson at bnicholson@riskadvisory.com , or by calling 403.263.7475