Analysis of Credit Cover Data Impact on Bank Holidays and Weekends
Significant impacts observed in Credit Cover data during Bank Holidays compared to weekends. Limited or no impact seen in some weekend samples. System changes require Panel approval, raising considerations on trading hindrances and risk management.
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Working Group on Mod_04_19 Samples of Credit Cover data 19th September 2019 Katia Compagnoni
Background Initial proposal to run Indicative on weekend considered unachievable; Various options considered only two remaining: Cancelling some or all Credit Cover Report on the first Working Day after a bank holiday; or Applying a scaling factor to the Traded Non Delivered Quantity with different values for Working Days and Non Working Days; Action on SEMO to provide some figures on changes to Credit Cover Requirements after a Bank Holiday or a weekend;
Bank Holiday sample 1 Oct 2018 Average of Required increase Sum of Increase value 465,301.91 26% 86% 11% 233% 21% 24% 67% 18,021.45 105,521.28 58,274.68 42,136.64 75,974.64 765,230.60
Bank Holiday sample 2 Easter 2019 140 Average of Required increase Sum of Increase value 888% 118 528,403.66 120 109 0% 0% 25% 125% 66% 24% 33% 48% 1243% 22% 125% 56% 0.00 0.00 100 14,234.11 102,360.54 57,149.04 6,967.87 1,518,756.12 81,394.08 489,940.34 721.52 330,348.04 72,667.91 80 60 45 45 40 20 9 5 5 0 0 OK EXCEED WARNING BREACH 0% 0.00 190% 3,202,943.23 Thursday 18/04/2019 Tuesday23/04/2019
Bank Holiday sample 3 Aug 2019 140 125 120 120 Average of Required increase Sum of Increase value 0% 0% 18% 12% -12% 7% 0% 0% 3% 0.00 0.00 100 175,460.52 4,383.31 - 4,767.96 200,769.72 80 60 49 43 40 0.00 0.00 20 375,845.59 6 6 2 1 0 OK EXCEED WARNING BREACH Friday 02/08/2019 Tuesday 06/08/2019
Weekend sample 1 Jun 2019 Average of Required increase Sum of Increase value 58% 0% 0% 46% 55% 0% 0% 0% 0% 0% 16% 187,823.58 0.00 0.00 36,720.38 117,918.03 0.00 0.47 0.00 0.00 0.00 342,462.46
Weekend sample 2 Sep 2019 Average of Required increase Sum of Increase value 0% 0% 11% 16% 0% 0% 0% 4% 0 0 128,329 10,224 0 0 0 138,553
Summary More definite impact noticed in Bank Holidays rather than weekends; A number of sample weekends found with limited or no impact; Changes to system have not been impacted without prior approval of the Panel Considerations needed on: Is this issue preventing PTs from trading in Ex-Ante? Are PTs comfortable with potential increased risks by cancelling some or all Credit reports after Bank Holidays/weekend? Does this affect our obligations to inform ECC for any suspension order issued in the Balancing Market?
