Credit Exposure and Collateral Analysis for ERCOT Market Updates
Gain insights into the credit exposure and collateral trends in the ERCOT market from May 2021 to June 2021. Explore the increase in Total Potential Exposure (TPE), Discretionary Collateral, and more. Understand the impact of Forward Adjustment Factors and Real-Time prices on the market dynamics. Examine available credit types and their comparison to TPE, along with a breakdown by market segment. Short pay entities are excluded to ensure data accuracy.
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Presentation Transcript
Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public Jul 21, 2021
Monthly Highlights May 2021- June 2021 Market-wide average TPE increased from $ 594.12 million in May to $ 610.6 million in June TPE increased mainly due to higher Forward Adjustment Factors on 06/15/2021 and higher Real-Time prices 06/13/2021 and higher Day-Ahead prices on 06/15/2021 Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral increased from $1,230.5 million to $1,791.3 million The increase in Discretionary Collateral is largely due to increase in Secured Collateral. Short pay entities are excluded from the above calculations to remove data skew No unusual collateral call activity 2 PUBLIC
TPE and Forward Adjustment Factors June 2020- June 2021 RFAF *Short pay entities are excluded from the above calculations to remove data skew 3 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORTH June 2020- June 2021 *Short pay entities are excluded from the above calculations to remove data skew 4 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORTH May 2021- June 2021 *Short pay entities are excluded from the above calculations to remove data skew 5 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE) June 2020- June 2021 * Numbers are as of month-end except for Max TPE 6 PUBLIC
Discretionary Collateral May 2021 - June 2021 *Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees *Short pay entities are excluded from the above calculations to remove data skew 7 PUBLIC
TPE and Discretionary Collateral by Market Segment- June 2021* Load and Generation entities accounted for the largest portion of discretionary collateral *Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees *Short pay entities are excluded from the above calculations to remove data skew 8 PUBLIC
Discretionary Collateral by Market Segment June 2019- June 2021 *Short pay entities are excluded from the above calculations from March 2021 to remove data skew 9 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *TPEA generally exceeds invoice exposure *During the 2021 winter event, invoice exposure was slightly higher than TPEA 10 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *During the 2021 winter event, invoice exposure was higher than TPEA 1 1 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *TPEA closely approximates invoice exposure except during the winter 2021 event 1 2 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *TPEA generally exceeds invoice exposure except during the 2021 winter event 1 3 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *TPES mostly exceeds actual/invoice exposure 1 4 PUBLIC
TPE Coverage of Settlements May 2020 - May 2021 *TPEA closely approximates actual/invoice exposure except during the 2021 winter event 1 5 PUBLIC
ICE Daily Average Future Prices Jul 2021 - Sep 2021 1 6 PUBLIC
Appendix 1 7 PUBLIC
Summary of Distribution by Market Segment* Average Excess Collateral Distribution Counter-Party Distribution Average TPE Distribution Category May-21 13.87% 12.04% 12.04% 11.3% 50.7% Jun-21 Change 14.44% 12.64% 11.91% 11.2% 49.8% May-21 6.39% 11.51% 18.98% 34.86% 28.25% Jun-21 Change 6.61% 10.79% 17.58% 35.87% 29.15% May-21 3.49% 7.10% 5.60% 56.58% 27.23% Jun-21 Change 2.82% 6.03% 6.53% 61.73% 22.90% CRR Only Generation Only Load Only Load and Gen Trader 0.57% 0.59% -0.13% -0.12% -0.91% 0.22% -0.72% -1.40% 1.00% 0.90% -0.67% -1.07% 0.92% 5.15% -4.33% *Excess collateral doesn t include Unsecured Credit Limit and is defined as Collateral in excess of TPE *Short pay entities are excluded from the above calculations to remove data skew 18 PUBLIC
Summary of Distribution by Rating Group* Counter-Party Distribution Rating Group Average TPE Distribution Average Excess Collateral May-21 0.00% 4.01% 6.93% 13.14% 24.09% 3.65% 1.09% 0.00% 71.17% 75.91% Jun-21 Change 0.00% 3.97% 6.86% 13.00% 23.83% 3.61% 1.08% 0.00% 71.48% 76.17% May-21 0.00% 1.26% 5.62% 29.08% 35.95% 25.32% 3.18% 0.00% 35.55% 64.05% Jun-21 Change 0.00% 1.95% 7.52% 26.48% 35.95% 25.94% 3.96% 0.00% 34.15% 64.05% May-21 0.00% 1.62% 17.40% 37.57% 56.58% 11.54% 1.72% 0.00% 30.15% 43.42% Jun-21 Change 0.00% 1.08% 22.40% 39.16% 62.64% 10.48% 1.31% 0.00% 25.56% 37.36% AAA AA- to AA+ A- to A+ BBB- to BBB+ Investment Grade BB- to BB+ B- to B+ CCC+ and below Not Rated Non-investment Grade 0.00% -0.04% -0.08% -0.14% -0.26% -0.04% -0.01% 0.00% 0.31% 0.26% 0.00% 0.69% 1.90% -2.59% 0.00% 0.62% 0.78% 0.00% -1.40% 0.00% 0.00% -0.54% 5.00% 1.60% 6.06% -1.06% -0.41% 0.00% -4.59% -6.06% *Short pay entities are excluded from the above calculations to remove data skew 19 PUBLIC
Distribution of TPE by Rating and Category* Generation Only Load and Generation Rating Group CRR Only Load Only Trader Total TPE Percent TPE AAA AA- to AA+ A- to A+ BBB- to BBB+ Investment Grade BB- to BB+ B- to B+ CCC+ and below Not Rated Non-Investment Grade Total TPE Percent TPE 0 0 0 0 0 0 0 0 0.00% 1.95% 7.52% 26.48% 35.95% 25.94% 3.96% 0.00% 34.15% 64.05% 100.00% 1,965,092 84,691 2,775,743 4,825,526 9,850,652 24,343,238 53,409,796 87,603,686 103,565,435 8,672,068 96,941 2,889,076 38,515,419 41,501,436 50,845,735 15,478,408 11,912,685 45,896,040 161,705,516 219,514,242 158,390,978 24,150,476 9,102 18,569,932 9,940,399 28,510,332 2,113,850 57,064,159 57,073,261 1,865,957 0 0 0 0 0 0 0 0 0 0 35,545,918 35,545,918 40,371,444 6,925,861 8,791,818 65,865,079 76,718,335 78,832,185 107,342,517 19,163,456 131,400,959 219,004,645 70,184,060 136,508,204 178,009,640 208,537,629 391,079,084 610,593,325 6.61% 10.79% 17.58% 35.87% 29.15% 100.00% *Short pay entities are excluded from the above calculations to remove data skew 20 PUBLIC
Distribution of Excess Collateral by Rating and Category* Generation Only Load and Generation Excess Collateral Percent Excess Collateral Rating Group CRR Only Load Only Trader AAA AA- to AA+ A- to A+ BBB- to BBB+ Investment Grade BB- to BB+ B- to B+ CCC+ and below Not Rated Non-Investment Grade 0 0 0 0 0 0 0 0 0.00% 1.08% 22.40% 39.16% 62.64% 10.48% 1.31% 0.00% 25.56% 37.36% 2,400,097 2,768,709 21,538,174 26,706,979 27,610,523 605,073,695 718,370,648 1,351,054,866 239,598,917 34,154,537 2,403,103 59,651,534 216,740,748 278,795,385 39,994,952 5,041,594 32,413,723 671,065,033 1,173,410,612 1,876,889,367 314,060,097 39,196,131 990,898 2,580,197 89,820,193 92,400,390 11,331,992 126,940,849 127,931,747 23,134,202 33 0 0 0 0 0 0 0 0 0 57,775,766 57,775,799 29,500,550 52,634,752 91,820,714 103,152,705 224,535,667 498,289,121 362,314,459 407,351,005 765,947,154 1,119,203,382 Total Excess Collateral Percent Excess Collateral 84,482,778 180,566,499 195,553,096 1,849,343,987 686,146,390 2,996,092,750 100.00% 2.82% 6.03% 6.53% 61.73% 22.90% 100.00% *Excess collateral doesn t include Unsecured Credit Limit *Short pay entities are excluded from the above calculations to remove data skew 21 PUBLIC
TPE Coverage of Settlements TPEA covers Settlement/Invoice exposure and estimated Real-Time and Day- Ahead completed but not settled activity (RTLCNS and UDAA) The analysis was performed for the period, May 2020 - May 2021 Only Settlement invoices due to ERCOT are considered in the calculation M1 values as of May 28, 2020 were used for the period Feb 2020- May 2020 and M1 values effective as of each day were used since Jun 2020 Example For business date 2/1/2020, if a Counter-Party has M1 value of 20, then all the charge invoices till 2/21/2020 including RTLCNS and UDAA as of 2/1/2020 is summed up to arrive at Invoice Exposure 2 2 PUBLIC
Questions 2 3 PUBLIC
