Credit Exposure Trends and Collateral Dynamics in ERCOT Market
Explore the latest updates on credit exposure and collateral trends for Spoorthy Papudesi's credit work group in ERCOT. Discover how Total Potential Exposure (TPE) and Discretionary Collateral have evolved from June 2021 to July 2021, along with insights on Forward Adjustment Factors and Daily Average Settlement Point Prices. Gain valuable information on available credit types compared to TPE and the significance of Discretionary Collateral in managing risks effectively.
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Presentation Transcript
Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public Aug 18, 2021
Monthly Highlights June 2021 - July 2021 Market-wide average TPE increased from $ 610.6 million in June to $ 704.3 million in July TPE increased mainly due to higher Forward Adjustment Factors in July compared to June Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral increased from $1,791.3 million to $2,081.8 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 July 2020 - July 2021 *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 July 2020 - July 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 June 2021- July 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) July 2020- July 2021 Numbers are as of month-end except for Max TPE Max TPE is the highest TPE for the corresponding month TPE less Defaulted Amounts: TPE Short-Paid Invoices 6 PUBLIC
Discretionary Collateral June 2021 - July 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- July 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 July 2019- July 2021 *Short pay entities are excluded from the above calculations from March 2021 to remove data skew 9 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *TPEA generally exceeds invoice exposure *During the 2021 winter event, invoice exposure was slightly higher than TPEA 10 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *During the 2021 winter event, invoice exposure was higher than TPEA 1 1 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *TPEA closely approximates invoice exposure except during the winter 2021 event 1 2 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *TPEA generally exceeds invoice exposure except during the 2021 winter event 1 3 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *TPES mostly exceeds actual/invoice exposure 1 4 PUBLIC
TPE Coverage of Settlements June 2020 June 2021 *TPEA closely approximates actual/invoice exposure except during the 2021 winter event 1 5 PUBLIC
ICE Daily Average Future Prices Aug 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 Jun-21 14.44% 12.64% 11.91% 11.2% 49.8% Jul-21 Change 14.70% 12.54% 11.47% 11.1% 50.2% Jun-21 6.61% 10.79% 17.58% 35.87% 29.15% Jul-21 Change 6.12% 10.08% 19.98% 36.94% 26.88% Jun-21 2.82% 6.03% 6.53% 61.73% 22.90% Jul-21 Change 2.67% 5.56% 6.98% 63.43% 21.36% CRR Only Generation Only Load Only Load and Gen Trader 0.25% -0.09% -0.44% -0.08% 0.36% -0.49% -0.71% 2.40% 1.07% -2.27% -0.15% -0.47% 0.45% 1.70% -1.54% *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* Average Excess Collateral Distribution Counter-Party Distribution Average TPE Distribution Rating Group Jun-21 0.0% 4.0% 6.9% 13.0% 3.6% 1.1% 0.0% 71.5% 23.83% 76.17% Jul-21 Change 0.0% 3.6% 6.8% 12.9% 3.6% 0.7% 0.4% 72.0% 23.30% 76.70% Jun-21 0.0% 2.0% 7.5% 26.5% 25.9% 4.0% 0.0% 34.2% 35.95% 64.05% Jul-21 Change 0.0% 1.9% 8.9% 25.9% 25.1% 1.7% 1.9% 34.5% 36.72% 63.28% Jun-21 0.0% 1.1% 22.4% 39.2% 10.5% 1.3% 0.0% 25.6% 62.64% 37.36% Jul-21 Change 0.0% 1.0% 21.5% 41.0% 10.5% 1.0% 0.2% 24.8% 63.54% 36.46% AAA AA- to AA+ A- to A+ BBB- to BBB+ BB- to BB+ B- to B+ CCC+ and below Not Rated Investment Grade Non-investment Grade 0.00% -0.39% -0.05% -0.09% -0.03% -0.37% 0.36% 0.56% -0.53% 0.53% 0.00% -0.06% 1.39% -0.56% -0.86% -2.23% 1.94% 0.38% 0.77% -0.77% 0.00% -0.06% -0.86% 1.81% 0.02% -0.33% 0.16% -0.74% 0.89% -0.89% *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% 1.90% 8.90% 25.92% 36.72% 25.08% 1.73% 1.94% 34.53% 63.28% 100.00% 468,230 1,664,345 2,605,973 4,738,548 12,785,656 33,260,020 63,120,038 109,165,714 119,271,871 12,182,045 97,837 3,466,246 40,592,855 44,156,937 51,364,959 13,351,723 62,707,458 182,547,801 258,606,982 176,613,078 12,182,045 13,680,076 243,203,061 445,678,260 704,285,242 11,720 24,305,127 17,348,114 41,653,241 2,921,861 58,880,821 58,892,541 3,054,388 0 0 0 0 0 0 0 0 0 13,680,076 80,132,082 145,177,117 189,334,055 38,385,267 38,385,267 43,123,815 9,036,024 12,090,411 70,982,953 96,130,867 99,052,727 140,705,968 19,518,822 150,972,737 260,138,452 6.12% 10.08% 19.98% 36.94% 26.88% 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% 1.03% 21.54% 40.97% 63.54% 10.51% 0.97% 0.16% 24.83% 36.46% 1,157,887 4,549,153 21,710,077 27,417,117 28,619,183 614,423,138 823,479,030 1,466,521,352 260,725,726 30,561,426 2,402,208 59,033,757 214,624,024 276,059,988 36,201,536 32,179,278 675,839,330 1,285,637,974 1,993,656,582 329,647,243 30,561,426 4,888,295 779,112,498 1,144,209,462 988,280 (3,154,998) 99,617,696 96,462,698 10,774,177 126,207,147 127,195,427 21,945,771 33 0 0 0 0 0 0 0 0 4,888,295 353,193,866 394,283,697 56,413,315 56,413,348 25,305,194 47,250,965 111,772,471 122,546,648 232,427,652 523,714,803 Total Excess Collateral Percent Excess Collateral 83,830,465 174,446,392 219,009,346 1,990,236,155 670,343,685 3,137,866,044 100.00% 2.67% 5.56% 6.98% 63.43% 21.36% 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, Jun 2020 - Jun 2021 Only Settlement invoices due to ERCOT are considered in the calculation M1 values as of May 28th, 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
