ERCOT Issuer Credit Limit Breaches Analysis
"Explore the latest data on ERCOT issuer credit limit breaches, issuer limits vs. LC amounts issued, historical TPE, and average settled prices. Dive into insights on bank issuer credit limits exceeding thresholds and the overall impact on the market. Stay informed on the trends affecting ERCOT's financial landscape."
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Presentation Transcript
LC Issuing Bank Credit Limit Breaches Sanchir Dashnyam ERCOT Market Credit Manager ERCOT Public November 15, 2023
Overall limit per letter of credit issuer: ERCOT Protocol Section 16.11.3 (1) (a) 2 ERCOT Public
Issuer credit limits vs LC amounts issued Issuer Limits based on Tangible Net Worth(US$) 228,846,942 $ 336,159,380 $ 86,909,848 $ 207,264,000 $ 480,291,951 $ 750,000,000 $ 559,046,851 $ 327,642,875 $ 750,000,000 $ 362,438,985 $ 13,159,965,524 $ Unused Capacity based on Tangible Net Worth(US$) (219,062,458) $ (63,840,621) $ 2,209,848 $ 21,163,998 $ 117,632,388 $ 186,437,989 $ 180,046,851 $ 117,171,736 $ 359,699,224 $ 202,437,978 $ 8,612,965,887 $ Total LC Amounts Per Issuer(US$) 447,909,400 $ 400,000,000 $ 84,700,000 $ 186,100,002 $ 362,659,563 $ 563,562,011 $ 379,000,000 $ 210,471,139 $ 390,300,776 $ 160,001,007 $ 4,546,999,637 $ Tangible Net Worth(US$) 28,605,867,700 $ 48,022,768,500 $ 10,224,688,000 $ 24,384,000,000 $ 64,038,926,800 $ 120,721,538,800 $ 65,770,217,758 $ 40,955,359,400 $ 128,401,000,000 $ 48,325,197,960 $ 1,854,928,001,308 $ Issuer Name Credit Agricole Corporate & Investment Bank SA (FI) BBVA(FI) CoBank ACB (FI) DNB Bank ASA (FI) Societe Generale (FI) BNP Paribas (FI) Royal Bank of Canada (FI) Lloyds Bank Corporate Markets PLC (FI) Wells Fargo (FI) Credit Suisse AG (FI) Totals Over CL 196% 119% 97% 90% 76% 75% 68% 64% 52% 44% 65% ERCOT LC concentration limit report is published daily https://www.ercot.com/services/rq/credit As of 11/7/23, ERCOT has two banks currently in breach of Bank Issuer Credit Limits. CICB hit 120 day mark on 11/10/23 and BBVA will hit 120 day on 11/17/23. Issuer limits are usually breached during summer and resolved by the fall, when prices come down and market TPE is reduced. 2023 is the first year when ERCOT is observing issuer limit breaches hit the 120 day mark, i.e., this never happened before. Overall, there are 38 banks with $13.2B total issuer limit, of which ERCOT received 313 LC s with aggregate total amount of $4.5B. This leaves 65% of aggregate issuer limit available. 3 ERCOT Public
Historical TPE 4 ERCOT Public
Historical RFAF and Average settled prices Historical Avg. Price $1,400 $1,200 $1,000 $800 $600 $400 $200 $0 1-Jan 1-Feb 1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1-Nov 1-Dec -$200 2019 2020 2021 2022 2023 * For 2021, the $9K high prices in Feb 2021 were kept at less than $400 to avoid having a huge spike in the graph. 5 ERCOT Public
