ERCOT Credit Exposure Update and Highlights Jan 2022
Stay informed with the latest credit exposure update and highlights from ERCOT, covering TPE increases, discretionary collateral changes, and market segment insights from January 2022. Explore data on TPE adjustments, average settlement point prices, available credit compared to TPE, and more.
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Presentation Transcript
Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public February 16, 2022
Monthly Highlights Dec 2021 Jan 2022 Market-wide average TPE increased from $ 782.5 million in December to $ 848.8 million in January TPE increased mainly due to higher Real-Time and Day-Ahead Forward Adjustment Factors and Settlement Point prices in January than in December Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral increased from $1,787.4 million to $1,906.1 million The increase in Discretionary Collateral is largely due to increase in Secured Collateral, and decrease in CRR Locked ACL No unusual collateral call activity 2 PUBLIC
TPE and Forward Adjustment Factors May 2021- Jan 2022 *TPE adjusted to exclude short pay entities eliminating data skew 3 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORTH May 2021- Jan 2022 * TPE adjusted to exclude short pay entities eliminating data skew 4 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE) Jan 2021- Jan 2022 Numbers are as of month-end except for Max TPE Max TPE is the highest TPE for the corresponding month TPE less Defaulted Amounts: TPE Short-Paid Invoices 5 PUBLIC
Discretionary Collateral Dec 2021 - Jan 2022 * Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees * TPE adjusted to exclude short pay entities eliminating data skew 6 PUBLIC
TPE and Discretionary Collateral by Market Segment- Jan 2022* Load and Generation entities accounted for the largest portion of discretionary collateral *Discretionary collateral doesn t include Unsecured Credit Limit or parent guarantees * TPE adjusted to exclude short pay amounts eliminating data skew 7 PUBLIC
Discretionary Collateral by Market Segment Jan 2020- Jan 2022 * Discretionary Collateral adjusted to exclude short pay amounts eliminating data skew 8 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 Invoice exposure generally exceeds TPEA TPEA adjusted to exclude short pay entities eliminating data skew 9 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 *TPEA exceeds invoice exposure *TPEA adjusted to exclude short pay entities eliminating data skew 1 0 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 *TPEA generally exceeds invoice exposure 11 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 * TPEA generally exceeds Invoice exposure 1 2 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 *TPES exceeds actual/invoice exposure 1 3 PUBLIC
TPEA Coverage of Settlements May 2021 Dec 2021 *TPEA closely approximates actual/invoice exposure *TPEA adjusted to exclude short pay entities eliminating data skew 1 4 PUBLIC
Appendix 1 5 PUBLIC
Summary of Distribution by Market Segment* Average Excess Collateral Distribution Counter-Party Distribution Average TPE Distribution Category Dec-21 14.09% 12.75% 11.74% 11.1% 50.3% Jan-22 Change 12.77% 13.48% 11.70% 9.9% 52.1% Dec-21 9.50% 12.65% 10.70% 33.94% 33.21% Jan-22 Change 8.99% 12.28% 8.92% 35.57% 34.24% Dec-21 3.85% 8.22% 9.77% 54.62% 23.54% Jan-22 Change 4.24% 11.88% 12.69% 45.45% 25.73% CRR Only Generation Only Load Only Load and Gen Trader -1.33% 0.72% -0.04% -1.14% 1.79% -0.51% -0.37% -1.78% 1.63% 1.03% 0.40% 3.66% 2.92% -9.17% 2.19% * Excess collateral doesn t include Unsecured Credit Limit and is defined as Collateral in excess of TPE * TPE adjusted to exclude short pay amounts eliminating data skew 16 PUBLIC
Summary of Distribution by Rating Group* Counter-Party Distribution Rating Group Average TPE Distribution Average Excess Collateral Dec-21 0.00% 3.69% 6.38% 12.42% 22.48% 3.36% 0.67% 0.34% 73.15% 77.52% Jan-22 Change 0.00% 3.70% 6.40% 12.46% 22.56% 3.37% 0.67% 0.34% 73.06% 77.44% Dec-21 0.00% 1.30% 6.04% 23.37% 30.72% 27.09% 1.92% 0.98% 39.29% 69.28% Jan-22 Change 0.00% 1.64% 6.52% 20.55% 28.71% 28.07% 2.64% 0.89% 39.69% 71.29% Dec-21 0.00% 2.32% 13.83% 38.18% 54.32% 11.95% 2.01% 0.06% 31.66% 45.68% Jan-22 Change 0.00% 2.06% 13.23% 36.85% 52.14% 14.35% 2.74% 0.06% 30.70% 47.86% 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% 0.01% 0.02% 0.04% 0.08% 0.01% 0.00% 0.00% -0.09% -0.08% 0.00% 0.34% 0.48% -2.83% -2.01% 0.97% 0.73% -0.09% 0.40% 2.01% 0.00% -0.26% -0.59% -1.33% -2.18% 2.41% 0.74% 0.00% -0.96% 2.18% * TPE adjusted to exclude short pay amounts eliminating data skew 17 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% 1.64% 6.52% 20.55% 28.71% 28.07% 2.64% 0.89% 39.69% 71.29% 100.00% 122,095 421,646 5,404,045 5,947,786 11,954,798 33,608,518 52,344,113 97,907,429 150,644,134 22,420,654 1,870,239 5,138,003 28,533,796 35,542,037 78,728,609 13,947,132 55,315,581 174,417,834 243,680,547 238,253,740 22,420,654 7,572,884 336,888,596 605,135,874 848,816,421 15,507 16,131,908 5,108,377 21,240,285 3,430,212 83,027,503 83,043,010 5,450,785 0 0 0 0 0 0 0 0 0 7,572,884 148,104,633 234,406,126 269,948,163 64,624,614 64,624,614 70,572,400 7,695,179 13,145,963 96,188,973 61,307,412 64,737,624 85,977,909 55,156,758 228,221,546 326,128,976 8.31% 11.33% 10.13% 38.42% 31.80% 100.00% * TPE adjusted to exclude short pay amounts eliminating data skew 18 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% 2.06% 13.23% 36.85% 52.14% 14.35% 2.74% 0.06% 30.70% 47.86% 1,817,701 2,469,513 21,752,949 26,040,162 60,573,856 346,992,121 563,005,678 970,571,656 379,755,075 87,033,009 3,052,989 57,949,256 173,968,323 234,970,568 46,415,791 65,444,546 420,273,052 1,170,410,174 1,656,127,772 455,881,317 87,033,009 1,944,791 975,062,413 1,519,921,530 3,991,065 277,091,418 281,082,483 19,549,374 8,871,097 134,591,806 143,462,903 10,161,077 0 0 0 0 0 0 0 0 0 1,944,791 416,587,014 464,947,596 90,233,697 90,233,697 20,601,685 40,151,059 198,447,168 208,608,245 249,192,849 715,980,933 Total Excess Collateral Percent Excess Collateral 116,273,859 321,233,542 352,071,148 1,686,552,589 699,918,164 3,176,049,302 100.00% 3.66% 10.11% 11.09% 53.10% 22.04% 100.00% *Excess collateral doesn t include Unsecured Credit Limit * TPE adjusted to exclude short pay amounts eliminating data skew 19 PUBLIC
TPEA 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, Dec 2020 - Dec 2021 Only Settlement invoices due to ERCOT are considered in the calculation 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 Invoice Exposure 2 0 PUBLIC
Questions 2 1 PUBLIC
