ITAS enables Commitment and Risk checking (Counter Party and Commodity Position).

All Counter Party Limits are maintained in the ITAS procedure CLI; the limits can be maintained at CP level and Family level.

If the Counter Party is nominated as a Group account (CLI), no limit checking is executed.

Trading checks are applied according to S01 configurations :-

a) ctrl30_forwardlimit, applied when New Business has been entered. The value being checked is the sum of Open status TRADE that are not invoiced. If a Purchase trade is being entered then sum of ALL Purchase trades else sum of ALL Sales. This configuration enables Quotes, Bids, Offers and Tickets to be included.

b) ctrl30_marketlimit, applied when New Business has been entered. The value being checked is the VM of ALL trades that are currently a Performance Risk i.e. the CP may default.

c) ctrl30_positionlimit, applied when New Business has been entered. The value being checked is sum of Open Position (not allocated), not Inter or Intra Trading and the Product/Commodity code has been setup with a currency code + Limit (PHYSCODES/ Commodity/umbrella - group code).

d) ctrl30_mktvalfplimits, applied in Position Limit checking that will dictate to use Market Value instead of Contract Value in determining Commodity value.

e) ctrl02_familylimits, dual checking on Limit breach can be actioned by activate this S01 configuration. The standard CP checking will be executed and additionally any family limit assigned to this CP will be checked in the same manner but including all members of the Risk Family. See Hivedome Consultancy for details of a variation of use Family only process.

Messages are shown to the user  with alert emails being sent to the nominated address (ctrl30_limitemail)

1. The Commitment value (CV) is sum of the current contract values for ALL TRADEs. Note S01 configuration Ctrl30_forwardlimit=P will operate CV as sum of the priced TRADEs PLUS the premium value of un-priced TRADEs.

2. Configuration ctrl30_forwardlimit also checks Priced Tonnage, Unpriced tonnage, total tonnage and number of trading periods

Limit checking is activated on the following conditions:

1.     On Creation of new contract ( not third party nor brokerage )

2.     Confirm Quote

3.     Approval if ctrl30_approvalextra =Y

4.     When contract value changed by updating a split in Update Splits

5.     Add Tonnage to Header TRADE

6.     Image a contract

7.     Call Off when a new contract is created i.e. not a split of existing TRADE

8.     Right click check limit ( ctrl30_fullquality = “O” )

Tech Note:  itaslimits.dll