Credit Exposure Update: Market Trends and Collateral Analysis
"Explore the latest credit exposure trends and collateral analysis for ERCTO Public, including changes in Total Potential Exposure (TPE), Discretionary Collateral, and market segment insights. Stay informed on key financial data and adjustments made in February compared to January."
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Presentation Transcript
Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public March 25, 2021
Monthly Highlights Jan 2021- Feb 2021 Market-wide average TPE increased from $ 362.8 million in January to $ 4,521.1 million in February TPE increased mainly due to higher Real-Time and Day-Ahead Settlement Point prices and higher Forward adjustment Factors in February compared to January Due to the winter event, adjustments were made to the TPE calculation in February TPE ranged from $ 317.01 million to $13.95 billion in February Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral increased from $ 1,378.5 million to $3,251.2 million The increase in Discretionary Collateral is largely due to increase in Secured Collateral. Number of active Counter-Parties decreased by 6 2 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORTH Feb 2020- Feb 2021 3 PUBLIC
TPE and Forward Adjustment Factors Feb 2020- Feb 2021 4 PUBLIC
TPE by Market Segment- Feb 2021 5 PUBLIC
Total Collateral vs TPE by Market Segment- Feb 2021 7 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE) * Numbers are as of month-end except for Max TPE 8 PUBLIC
Discretionary Collateral Jan 2021 - Feb 2021 Average Discretionary Collateral increased to $3.2 bn in February Secured Collateral: $19.1bn (2/19,2/20,2/21) Note: Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees 9 PUBLIC
TPE and Discretionary Collateral by Market Segment- Feb 2021 Load and Generation entities accounted for the largest portion of discretionary collateral 1 0 PUBLIC
Discretionary Collateral by Market Segment Feb 2019- Feb 2021 1 1 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 TPEA generally exceeds actual/invoice exposure 12 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 Please note that spike in February invoices is reflected in January invoice exposure calculations 1 3 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 TPEA closely approximates actual/invoice exposure 1 4 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 TPEA generally exceeds actual/invoice exposure 1 5 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 TPES mostly exceeds actual/invoice exposure 1 6 PUBLIC
TPE Coverage of Settlements Jan 2020 - Jan 2021 TPEA closely approximates actual/invoice exposure except during weather event 1 7 PUBLIC
Appendix 1 8 PUBLIC
Summary of Distribution by Market Segment Average Excess Collateral Distribution Counter-Party Distribution Average TPE Distribution Category Jan-21 13.41% 11.59% 13.41% 12.0% 49.6% Feb-21 Change 13.38% 11.52% 13.38% 12.3% 49.4% Jan-21 8.91% 14.69% 8.45% 35.65% 32.30% Feb-21 Change 0.70% 4.90% 15.16% 62.66% 16.59% Jan-21 3.31% 5.10% 9.07% 52.72% 29.80% Feb-21 Change 1.30% 3.23% 17.30% 58.34% 19.83% CRR Only Generation Only Load Only Load and Gen Trader -0.02% -0.07% -0.02% 0.31% -0.20% -8.21% -9.80% 6.71% 27.01% -15.71% -2.00% -1.87% 8.23% 5.62% -9.97% Note: Excess collateral doesn t include Unsecured Credit Limit and is defined as Collateral in excess of TPE 19 PUBLIC
Summary of Distribution by Rating Group Counter-Party Distribution Rating Group Average TPE Distribution Average Excess Collateral Jan-21 0.00% 5.07% 8.33% 12.32% 25.72% 2.54% 1.09% 0.00% 70.65% 74.28% Feb-21 Change 0.00% 4.46% 6.32% 13.38% 24.16% 3.72% 1.12% 0.00% 71.00% 75.84% Jan-21 0.00% 3.65% 10.12% 31.90% 45.66% 15.82% 2.93% 0.00% 35.59% 54.34% Feb-21 Change 0.00% 2.99% 4.94% 46.97% 54.89% 13.21% 1.12% 0.00% 30.78% 45.11% Jan-21 0.00% 2.00% 25.77% 32.35% 60.11% 9.53% 1.21% 0.00% 29.15% 39.89% Feb-21 Change 0.00% 1.29% 14.16% 51.60% 67.06% 21.78% 1.35% 0.00% 9.81% 32.94% 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% -0.61% -2.01% 1.06% -1.56% 1.18% 0.03% 0.00% 0.35% 1.56% 0.00% -0.66% -5.18% 15.06% 9.22% -2.60% -1.81% 0.00% -4.81% -9.22% 0.00% -0.70% -11.61% 19.26% 6.95% 12.25% 0.14% 0.00% -19.33% -6.95% 20 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% 2.99% 4.94% 46.97% 54.89% 13.21% 1.12% 0.00% 30.78% 45.11% 100.00% 1,143,746 104,737,027 167,001,668 1,335,034,107 1,606,772,802 332,545,399 44,273,406 29,116,237 3,640,649 549,353,594 582,110,480 32,912,189 6,403,224 134,997,010 223,116,408 2,123,342,268 2,481,455,686 597,435,692 50,676,629 0 8,029 52,466,062 178,032,457 230,498,519 125,549,569 2,074,205 3,217,951 58,847,905 58,855,934 106,428,535 0 0 0 0 0 0 0 0 0 0 28,357,008 28,357,008 31,574,959 56,022,903 162,451,438 221,307,372 329,385,446 454,935,015 685,433,534 849,309,050 1,226,127,855 2,832,900,657 128,445,056 167,760,469 749,870,949 1,391,519,464 2,039,631,785 4,521,087,471 0.70% 4.90% 15.16% 62.66% 16.59% 100.00% 21 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% 1.29% 14.16% 51.60% 67.06% 21.78% 1.35% 0.00% 9.81% 32.94% 6,565,483 116,644 19,436,707 26,118,834 65,779,908 670,799,384 9,669,521 103,507,104 574,177,385 687,354,009 112,642,783 2,711,779 82,014,912 898,234,884 3,273,861,805 4,254,111,601 1,381,851,357 85,573,012 991,971 64,748,581 65,740,552 131,385,890 122,819,781 447,301,911 2,168,197,222 570,121,692 2,904,776,513 132,575,729 1,005,246,955 0 0 394,966,068 527,541,797 0 0 0 0 0 82,861,233 0 0 0 56,428,995 56,428,995 7,673,763 139,059,652 (291,663,595) 796,444,594 455,198,416 570,552,978 622,603,647 2,090,028,015 Total Excess Collateral Percent Excess Collateral 82,547,829 204,800,205 1,097,663,489 3,701,221,107 1,257,906,987 6,344,139,616 100.00% 1.30% 3.23% 17.30% 58.34% 19.83% 100.00% Note: Excess collateral doesn t include Unsecured Credit Limit 22 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, Jan 2020 - Jan 2021 Only Settlement invoices due to ERCOT are considered in the calculation M1 values as of May 28, 2020 were used for the period Jan 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 InvoiceExposure 2 3 PUBLIC
Questions 2 4 PUBLIC
