Market Credit Exposure Update September 2024
"Discover the latest credit exposure updates in the market for September 2024, including insights on Total Potential Exposure (TPE), Discretionary Collateral, and issuer credit limits. Stay informed on the changing dynamics impacting credit work groups in the ERCOT Public. Explore detailed statistics and data trends from August 2023 to August 2024. No unusual collateral call activity reported. Gain valuable insights into available credit compared to TPE and issuer credit limits versus total LC amounts per issuer. Stay ahead with comprehensive information on market-wide averages and settlement point prices. Stay informed, manage risks effectively, and make strategic decisions based on real-time data."
Uploaded on | 0 Views
Download Presentation
Please find below an Image/Link to download the presentation.
The content on the website is provided AS IS for your information and personal use only. It may not be sold, licensed, or shared on other websites without obtaining consent from the author. If you encounter any issues during the download, it is possible that the publisher has removed the file from their server.
You are allowed to download the files provided on this website for personal or commercial use, subject to the condition that they are used lawfully. All files are the property of their respective owners.
The content on the website is provided AS IS for your information and personal use only. It may not be sold, licensed, or shared on other websites without obtaining consent from the author.
E N D
Presentation Transcript
Credit Exposure Update Market Credit Work Group ERCOT Public September 18, 2024
Monthly Highlights July 2024 - August 2024 Market-wide average Total Potential Exposure (TPE) increased from $1.81 billion in July 2024 to $1.88 billion in August 2024. TPE increased mostly due to higher real-time and day-ahead prices Discretionary Collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure Average Discretionary Collateral increased from $4.15 billion in July 2024 to $4.23 billion in August 2024 No unusual collateral call activity 2 PUBLIC
TPE and Forward Adjustment Factors: August 2023 August 2024 3 PUBLIC
TPE/Real-Time & Day-Ahead Daily Average Settlement Point Prices for HB_NORT:H August 2023 August 2024 4 PUBLIC
Available Credit by Type Compared to Total Potential Exposure (TPE): August 2023 August 2024 Numbers are as of month-end except for Max TPE Max TPE is the highest TPE for the corresponding month 5 PUBLIC
Issuer Credit Limits vs Total LC Amounts Per Issuer: End-August 2024 Unused Capacity based on Tangible Net Worth(US$) Issuer Limits based on Tangible Net Worth(US$) Total LC Amounts Per Issuer(US$) Tangible Net Worth(US$) Over CL 92% 68% 63% 48% 47% 45% 44% 35% 33% 31% 11% 23% Lloyds Bank Corporate Markets PLC (FI) BNP Paribas (FI) Wells Fargo (FI) Credit Agricole Corporate & Investment Bank SA (FI) Royal Bank of Canada (FI) CoBank ACB (FI) Societe Generale (FI) Sumitomo Mitsui Banking Corporation (FI) DNB Bank ASA (FI) Bank of Nova Scotia (FI) Others (29 banks) Totals $ 645,471,139 44,078,296,800 $ $ 705,252,749 $ 59,781,610 $ 510,782,007 126,186,026,400 $ $ 750,000,000 239,217,993 $ $ 473,528,565 132,055,000,000 $ $ 750,000,000 276,471,435 $ $ 242,159,399 31,329,928,800 $ $ 501,278,861 259,119,462 $ $ 355,000,002 69,399,812,666 $ $ 750,000,000 394,999,998 $ $ 86,400,000 11,193,000,000 $ $ 190,281,000 103,881,000 $ $ 331,484,555 63,578,169,600 $ $ 750,000,000 418,515,445 $ $ 261,279,006 69,538,314,379 $ $ 750,000,000 488,720,994 $ $ 142,650,003 25,572,097,989 $ $ 434,725,666 292,075,663 $ $ 216,429,259 42,977,880,251 $ $ 687,646,084 471,216,825 $ $ $ 1,687,973,004 4,953,156,940 1,378,122,907,133 $ 1,994,031,434,018 $ 15,599,295,583 $ 21,868,479,943 $ 13,911,322,579 $ 16,915,323,003 $ As of August 31, 2024 There are a total of 39 banks that have issued LCs. 6 PUBLIC
Discretionary Collateral by Market Segment August 2022 - August 2024 * Discretionary Collateral adjusted to exclude short pay amounts eliminating data skew 8 PUBLIC
TPE and Discretionary Collateral by Market Segment - August 2024 Load and Generation entities accounted for the largest portion of discretionary collateral 9 PUBLIC
TPEA Coverage of Settlements July 2023 - July 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 July 2023 - July 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 July 2023 - July 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 July 2023 July 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 July 2023 - July 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 July 2023 - July 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
