Credit Exposure Update and Market Insights from June 2019
Stay informed with the latest market insights from June 2019, including updates on credit exposure, discretionary collateral, settlement charges, available credit types, and more. Discover key trends and changes in the market to make informed decisions.
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Presentation Transcript
Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public June 19, 2019
Monthly Highlights Apr 2019- May 2019 Market-wide average TPE increased from $322.6 million to $324.0 million The increase in TPE is due to slightly higher Forward Adjustment Factors in May Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure. Average Discretionary Collateral increased from $796.3 million to $870.7 million The increase in Discretionary Collateral is largely due to increase in Secured Collateral Number of active Counter-Parties decreased from 241 to 239 No unusual collateral call activity 2 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE) *Numbers are as of month end except for Max TPE 4 PUBLIC
Discretionary Collateral April 2019- May 2019 At a Counter-Party level, no unusual changes were noted Note: Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees 5 PUBLIC
TPE and Discretionary Collateral by Market Segment- May 2019 Load and Generation entities accounted for the largest portion of discretionary collateral 6 PUBLIC
Secured Collateral distribution/ TPE- May 2019 Posting of discretionary collateral is relatively concentrated. Secured Collateral: Letter of Credit, Surety Bond or Cash 7 PUBLIC
Secured Collateral and Unsecured Credit Limit (UCL) distribution/ TPE- May 2019 TPE in the last bucket is mostly covered by Guarantees and UCL 8 PUBLIC
ICE Daily Average Prices April-August 2019 *Daily Average Price = (Peak price*16 +Off-Peak price*8)/24 9 PUBLIC
TPE and Forward Adjustment Factors Apr 2019- May 2019 TPE moved in conjunction with forward adjustment factors The Real-Time (RFAF) and Day-Ahead (DFAF) forward adjustment factors capture the ratio of forward ERCOT North prices to actual prices. 1 0 PUBLIC
Appendix 1 1 PUBLIC
Summary of Distribution by Market Segment Average Excess Collateral Distribution Apr-19 May-19Change 2.55% 2.57% 4.20% 2.24% 11.34% 10.11% 58.27% 58.69% 23.64% 26.39% Counter-Party Distribution Average TPE Distribution Category Apr-19 10.79% 14.11% 14.52% 13.69% 46.89% May-19Change 11.30% 14.23% 13.39% 13.39% 47.70% Apr-19 0.97% 7.01% 13.10% 44.55% 34.36% May-19Change 1.63% 7.23% 10.38% 45.38% 35.38% CRR Only Generation Only Load Only Load and Gen Trader 0.51% 0.12% -1.13% -0.30% 0.81% 0.66% 0.21% -2.72% 0.83% 1.02% 0.02% -1.96% -1.23% 0.42% 2.75% 12 PUBLIC
Summary of Distribution by Rating Group Average Excess Collateral Distribution Apr-19 May-19Change 0.00% 0.00% 2.01% 1.98% 21.39% 21.89% 27.96% 28.29% 51.35% 52.16% 11.98% 11.59% 1.88% 1.71% 0.00% 0.00% 34.79% 34.54% 48.65% 47.84% Rating Group Counter-Party Distribution Average TPE Distribution Apr-19 0.00% 4.15% 7.05% 12.03% 23.24% 3.73% 2.07% 0.00% 70.95% 76.76% May-19Change 0.00% 4.18% 7.11% 12.13% 23.43% 2.93% 2.09% 0.00% 71.55% 76.57% Apr-19 0.00% 2.02% 15.54% 27.52% 45.08% 19.15% 2.96% 0.00% 32.80% 54.92% May-19Change 0.00% 2.01% 10.73% 22.90% 35.64% 24.79% 2.57% 0.00% 37.00% 64.36% 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% 0.03% 0.06% 0.10% 0.19% -0.81% 0.02% 0.00% 0.59% -0.19% 0.00% -0.01% -4.80% -4.63% -9.45% 5.64% -0.39% 0.00% 4.20% 9.45% 0.00% -0.03% 0.50% 0.33% 0.80% -0.39% -0.17% 0.00% -0.25% -0.80% 13 PUBLIC
Distribution of TPE by Rating and Category Load and Generation Rating Group CRR Only Generation Only 0 661,878 85,528 5,521 752,927 0 0 0 4,528,576 4,528,576 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 0 0 0 0 0 0 0 0 0.00% 2.01% 10.73% 22.90% 35.64% 24.79% 2.57% 0.00% 37.00% 64.36% 323,435 3,042,437 18,772,696 22,138,568 8,004,099 5,520,446 24,006,772 26,759,853 56,287,071 43,856,917 5,483,021 6,505,759 34,785,034 74,191,649 115,482,442 80,343,563 8,330,774 7,650,297 20,490,628 28,140,925 28,482,547 2,769,768 8,162,951 8,162,951 0 77,985 0 0 0 0 0 0 15,183,031 15,261,017 3,497,505 11,501,604 41,419,391 90,759,329 55,262,238 86,514,553 119,890,742 208,565,079 Total TPE Percent TPE 5,281,503 23,423,967 1.63% 33,640,171 147,046,400 10.38% 114,655,478 35.38% 324,047,520 100.00% 100.00% 7.23% 45.38% 14 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 0.00% 1.98% 21.89% 28.29% 52.16% 11.59% 1.71% 0.00% 34.54% 47.84% 6,843,426 14,114,248 3,144,479 24,102,154 20,790,585 65,557,563 62,276,543 12,955,038 318,503,754 303,258,365 634,717,156 175,898,941 30,320,205 40,589,049 448,325,269 579,340,667 50,149,704 185,407,557 235,557,262 1,068,254,986 19,374,349 4,374,826 0 281,266,792 305,015,968 25,253,724 25,253,724 148,624,691 0 251,052 0 20,446,552 20,697,605 0 0 0 42,165,462 237,438,753 34,946,084 0 0 0 0 28,433,474 28,433,474 16,260,769 58,426,231 361,114,613 567,333,760 707,522,202 979,907,038 Total Excess Collateral 52,535,628 45,951,328 207,050,922 1,202,050,915 540,573,229 2,048,162,023 100.00% Percent Excess Collateral 2.57% 2.24% 10.11% 58.69% 26.39% 100.00% Note: Excess collateral doesn t include Unsecured Credit Limit 15 PUBLIC
Bottom Quintile Distribution of Excess Collateral by Rating and Category Percent Quintile Excess Collateral Percent Total Excess Collateral 0.00% 0.00% 0.01% 0.01% 0.02% 0.00% 0.01% 0.00% 0.15% 0.16% Generation Only Load and Generation Total Quintile 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 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.00% 0.00% 5.38% 6.96% 12.34% 0.00% 3.91% 0.00% 83.75% 87.66% 198,640 146,825 345,464 198,640 257,098 455,737 103,488 103,488 6,785 6,785 0 0 0 0 0 0 0 0 144,594 144,594 0 0 88,961 88,961 232,976 232,976 306,240 306,240 84,549 84,549 2,380,420 2,525,014 3,093,146 3,237,739 Total Quintile Excess Collateral 434,425 336,464 306,240 84,549 2,531,799 3,693,477 100.00% 0.18% Percent Quintile Excess Collateral 11.76% 9.11% 8.29% 2.29% 68.55% 100.00% Percent Total Excess Collateral 0.02% 0.02% 0.01% 0.00% 0.12% 0.18% 16 PUBLIC
Bottom Quintile Distribution of Average TPE by Rating and Category Percent Quintile Average TPE 0 0 1,136 6,399 7,536 0 0 0 14,071,332 14,071,332 14,078,868 Percent Total Average TPE Generation Only Load and Generation Quintile Average TPE 0 0 0 3,215 3,215 0 0 0 2,991,829 2,991,829 2,995,044 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 Quintile Average TPE 0 0 0 0 0 9 9 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.0% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 99.9% 99.95% 100.0% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.34% 4.34% 4.34% 1,136 3,175 4,312 0 0 0 15,720 15,720 20,032 410,599 410,599 410,608 269,991 269,991 269,991 10,383,193 10,383,193 10,383,193 Percent Quintile Average TPE 0.1% 2.9% 1.9% 73.8% 21.3% 100.0% Percent Total Average TPE 0.01% 0.13% 0.08% 3.20% 0.92% 4.34% 17 PUBLIC
Questions 1 8 PUBLIC
