FOCUS^SQL has recently introduced support of weather and emissions derivatives. The Weather and Emissions module supports trading of CDD and HDD swaps and options on all of the weather stations in the U.S. The module pre-defines all the stations and back-up stations. Deal entry supports various types of swaps and options including credit/debit swaps. Trade entry and processing are configured to support payout limits and multiple settlement dates. Like all FOCUSSQL modules, the Weather and Emissions module can be a stand-alone system with its own trade-confirmation functionality conforming to industry standards.

Intermark has developed a sophisticated weather derivatives pricing model, a proprietary methodology based on an analytical distribution function. The model uses open statistical methods of distribution function feed and calculates the option's price via Monte Carlo simulation. Regions can easily be grouped, baskets of stations can be created and swaps/options on the baskets can be traded.

The emissions derivatives functionality includes support for NOx and SOx contracts. The integrated forward-curve generator maintains consistency between the swap ratios and vintages of the emission contracts. Emissions swap trade entry supports a wide variety of instruments, including forward swaps, vintage swaps, uneven swaps and no-cash-flow swaps.

The integrated Inventory Manager enables monitoring of the emission contract IDs and supports both FIFO and LIFO methods of delivery. The Risk Scenario manager can create and analyze user-defined stress tests on the emissions portfolio. The Baskets Manager can even create baskets of emission contracts from which users can structure, price, analyze and execute various options strategies.

• HDD/CDD swaps and options
• Baskets on weather and emissions
• NOx/SOx spot, forwards, swaps and options
• Exotic options on emissions
• Exchange-traded weather futures and options

• Integrated emissions forward curve generator
• Instrument definition supporting all weather stations
• Instrument definition supporting all vintages
• Risk scenarios
• Confirmations
• Position keeping
• Intraday feeds for instantaneous market-to-market and P&L reporting
• Cash flow management
• Emission contract inventory management
• Sophisticated and flexible reporting - realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs

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