Potential Modification for Issuing CCINs Following Delay of Indicative Settlement Processing
Market review reveals delays in indicative processing impacting Traded Not Delivered (TND) exposure. Proposed solution involves rescinding CCINs via email for Participants with completed trades matching meter quantities. Specific rules outlined for implementation in the attached slides. Example scenarios demonstrate the impact on Participants' credit reports due to delays in settlement processing.
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Potential Modification: Issuing CCIN s following delay of Indicative settlement processing which impacts Traded Not Delivered
Potential Modification Issue: In some instances we have seen Participants required collateral being adversely impacted due to delays of indicative runs processing which is being caused by increased Traded Not Delivered Exposure (ETND). Proposed Solution: Rescind CCIN s via email where a Participant (PT) has completed day ahead/intraday trades and the settlement team can verify the units meter quantity match these trades*. * Rules around when to implement are outlined in attached slides
Market Review Settlement team encountered significant delays to indicative processing from 10thto 22ndApril 2020. The maximum number of settlement days behind schedule peaked on 16thApril (7 indicative runs behind). # PT's Credit Status in Breach or Warning in last Credit Report 18 16 14 5 12 10 8 2 6 0 11 4 7 6 2 0 4/9/2020 4/16/2020 4/23/2020 WARNING BREACH
Market Review Cont. Approximately 15M extra in ETND on 16thApril compared to 9thor 23rdApril. Of this ~ 15M, approximately 11M (70%) related to 7 PT s who did not breach or go into warning. The remaining 30% was spread across 60+ PT s. Of these, two PT s were in breach and two PT s were in warning status due to increase of ETND. Monetary impact and number of days in TND calculations 12 25,000,000 TND days in Credit report 10 20,000,000 8 15,000,000 6 10,000,000 4 5,000,000 2 0 0 4/9/2020 4/16/2020 4/23/2020 4/9/2020 6,565,692 4/16/2020 21,702,206 4/23/2020 6,224,688 Sum of TND related to Generation PT's TND days in Credit report 3 10 3
Potential Modification When modification would apply: Indicative runs are more than two runs behind schedule due to internal processing issues such as Instruction Profiler faults. i.e. The number of calculated days in ETND is 5+. Total metering volume for additional ETND days would be subtracted from day ahead / intraday trade volume and/or dispatch quantities. Surplus ETND would be applied to updated credit calculation. Delays in meter data would not trigger this process. The credit report would not be altered. An email would be issued to rescind the breach status in the last credit report of the day (i.e. no system modifications required).
Potential Modification Example: The participants credit report is displaying a breach amount of 25k. On a normal working day ETND is based on 2 days of trades. Indicative settlement is delayed by 3 runs (trade dates) due to internal processing issues. ETND in this scenario is based on 5 days and the credit report for participant is displaying a ETND value of 50k.
Potential Modification Example continued: Settlements team will review the trades relating to the participant and breakdown how much of 50k ETND is related to additional ETND days (Days 1, 2 and 3 below). Day 3 ETND 10k Day 1 ETND 10k Day 2 ETND 10k Day 4 ETND 10k Day 5 ETND 10k Total ETND 50k In this scenario the additional days are adding 30k ( 10k + 10k + 10k) to ETND.
Potential Modification Example continued: Metering volumes match the trade volumes for days 1, 2 and 3. As metering and trade volumes match there is no surplus ETND and therefore ETND from days 1, 2 and 3 should be excluded from credit calculation. In this scenario an email would be issued by credit team to rescind the breach (CCIN) as the additional days ETND value ( 30k) is greater than the breach amount ( 25k).
