Market Credit Exposure Update and Highlights October 2024
"Explore the market credit exposure update for October 2024, with insights on Total Potential Exposure (TPE), discretionary collateral, and issuer credit limits. Discover key highlights from August and September 2024, including changes in TPE, adjustment factors, and settlement point prices. Gain valuable information on available credit by type and compare it to TPE. Dive into details on issuer credit limits versus total LC amounts per issuer as of end-August 2024. Unveil relevant data and analysis in the world of market credit. Take an in-depth look at how various factors have influenced the market dynamics in recent months."
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Presentation Transcript
Credit Exposure Update Market Credit Work Group ERCOT Public October 23, 2024
Monthly Highlights: August 2024 September 2024 Market-wide average Total Potential Exposure (TPE) decreased from $1.88 billion in August 2024 to $1.72 billion in September 2024. TPE decreased due to both lower real-time/day-ahead prices and forward adjustment factors Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral decreased from $4.26 billion in August 2024 to $3.92 billion in September 2024 No unusual collateral call activity 2 PUBLIC
TPE and Forward Adjustment Factors: September 2023 September 2024 3 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORT:H September 2023 September 2024 4 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE): September 2023 September 2024 Numbers are as of month-end except for Max TPE Max TPE is the highest TPE for the corresponding month 5 PUBLIC
Issuer Credit Limits vs Total LC Amounts Per Issuer: End-August 2024 Unused Capacity based on Tangible Net Worth(US$) Issuer Limits based on Tangible Net Worth(US$) Total LC Amounts Per Issuer(US$) Tangible Net Worth(US$) Over CL 81% 62% 59% 58% 45% 45% 36% 33% 33% 32% 11% 21% Lloyds Bank Corporate Markets PLC (FI) Wells Fargo (FI) BNP Paribas (FI) Credit Agricole Corporate & Investment Bank SA (FI) Societe Generale (FI) CoBank ACB (FI) Natixis (FI) DNB Bank ASA (FI) Unicredit Bank AG (FI) Royal Bank of Canada (FI) Others (29 banks) Totals $ 570,471,138 44,078,296,800 $ $ 705,252,749 134,781,611 $ $ 468,528,565 132,055,000,000 $ $ 750,000,000 281,471,435 $ $ 441,782,009 126,186,026,400 $ $ 750,000,000 308,217,991 $ $ 289,159,400 31,329,928,800 $ $ 501,278,861 212,119,461 $ $ 334,284,555 63,578,169,600 $ $ 750,000,000 415,715,445 $ $ 85,700,000 11,193,000,000 $ $ 190,281,000 104,581,000 $ $ 92,080,265 17,283,074,400 $ $ 259,246,116 167,165,851 $ $ 142,650,003 25,572,097,989 $ $ 434,725,666 292,075,663 $ $ 101,440,001 22,066,041,600 $ $ 308,924,582 207,484,581 $ $ 241,000,002 69,399,812,666 $ $ 750,000,000 508,999,998 $ $ $ 1,831,565,904 4,598,661,842 1,451,289,985,763 $ 1,994,031,434,018 $ 16,468,770,969 $ 21,868,479,943 $ 14,637,205,065 $ 17,269,818,101 $ As of September 30, 2024 There are a total of 39 banks that have issued LCs. 6 PUBLIC
Discretionary Collateral August 2024 September 2024 7 PUBLIC
Discretionary Collateral by Market Segment September 2022 - September 2024 * Discretionary Collateral adjusted to exclude short pay amounts eliminating data skew 8 PUBLIC
TPE and Discretionary Collateral by Market Segment - September 2024 Load and Generation entities accounted for the largest portion of discretionary collateral 9 PUBLIC
TPEA Coverage of Settlements August 2023 - August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; and 3) Subchapter N Funds Distribution Invoice TPEA closely approximates actual/invoice exposure 1 0 PUBLIC
TPEA Coverage of Settlements August 2023 - August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; 3) Subchapter N Funds Distribution Invoice *TPEA exceeds invoice exposure 1 1 PUBLIC
TPEA Coverage of Settlements August 2023 - August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; 3) Subchapter N Funds Distribution Invoice Invoice exposure generally exceeds TPEA 1 2 PUBLIC
TPEA Coverage of Settlements August 2023 August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; 3) Subchapter N Funds Distribution Invoice *TPEA generally exceeds invoice exposure 13 PUBLIC
TPEA Coverage of Settlements August 2023 - August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; 3) Subchapter N Funds Distribution Invoice * TPEA generally exceeds Invoice exposure 1 4 PUBLIC
TPEA Coverage of Settlements August 2023 - August 2024 Invoice Exposure Historical Future Existing Invoice Exposure RTLCNS + UDAA M1 Days (including current day) Forward Charge Invoice Amounts New Invoice Exposure 7 Days Back Net Invoice Amounts (Charges & Credits) M1 Days (including current day) Forward Net Invoice Amounts (Charges & Credits); Excluding: 1) Securitization Invoices; 2) CRR Auction Invoices; 3) Subchapter N Funds Distribution Invoice *TPES exceeds actual/invoice exposure 1 5 PUBLIC
Questions 1 6 PUBLIC
