Credit data from the Trading Operations Report
The page below details highlighted Credit data from the previous month. This data is acquired from BSC Agents and inputted to the Trading Operation Monitoring Analysis System (TOMAS) database.
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Weekly CAP trigger checks
The Credit Committee sets the trigger level and reviews this level from time to time. The Credit Assessment Price (CAP) value of £54/MWh became effective on 23 March 2021.
Following a CAP breach of the upper CAP trigger level on 18 January 2021, Elexon issued a consultation on an increase of the CAP to £64/MWh from the last notified value of £62/MWh. All responses and Credit Committee members were not in agreement with the proposed value and therefore, in accordance with the CAP Review Guidance, a Credit Committee meeting was held. The Credit Committee decided that on Tuesday 23 February 2021 the CAP would increase to £64/MWh.
Credit Defaults/Credit Cover Percentages
The chart covers credit cover breach and default information for a period of one year. A credit breach is determined when a Party’s energy indebtedness is greater than 80% of the credit cover in place for that trading Party. In this event the trading party will enter a Credit Default Query Period. If at the end of this period the Party has not resolved it’s position, they will be either in Credit Default Level 1 or 2 depending on its credit cover percentage (indebtedness against credit cover).
The total number of credit breaches shown each month includes occasions where trading Parties have entered Credit default level 1 or 2 and a notice of this has been published on the BMRA service.
During February 2021, 17 Credit Default notices were sent to 10 different Parties, compared to 79 notices sent to 37 Parties in January 2020. A Credit Default notice is issued to a Party whose Credit Cover Percentage exceeds 80%. This month one BSC Party was in Level 1 and Level 2 Credit Default.
Excess Credit and Indebtedness
The difference between the Actual and Calculated Indebtedness is determined for each Settlement Day and for each Trading Party. This calculation is only undertaken when the Actual value is greater than the Calculated value and for the purpose of this exercise any negative values are assumed to be zero. The Indebtedness Error is this calculation summed across all Trading Parties. It provides an indication of the level of Indebtedness that has not been covered by the Credit Cover calculation.
For each Settlement Day and for each Trading Party, the difference between the Actual Indebtedness and the Credit Cover lodged is determined whenever the Calculated Indebtedness is less than the Credit Cover. In the event that the Calculated Indebtedness is greater than the Credit Cover and the Actual Indebtedness is greater than the Calculated Indebtedness then the difference between these two latter items is determined.
On 1 February 2021, Elexon held £504m of Credit Cover. There were 20 BSC Parties that added collateral throughout the month totalling £41.7m and 33 BSC Parties withdrew collateral totalling £14.3m. The spike indebtedness error seen at the beginning of January was due to the significant increase in system prices. This resulted in increased overall indebtedness for a large number of parties.
Average Indebtedness and Average Credit Cover
The chart below displays for each Party (represented by a point on the chart) the relationship between a Party’s Credit Cover and the associated Indebtedness calculated in the BSC Central Systems. The values are an average of the Settlement Period 48 values over a month. The straight line plot represents the situation where Parties level of indebtedness would be 80% of their Credit Cover. If the Party reaches 80% it would trigger a Credit Default warning.
On 1 February 2021, 20% of Parties had a negative average indebtedness. This represents a net credit in Trading Charges over the 29 day period before payment. 30% of Parties had a positive average indebtedness, whilst the remainder had zero average indebtedness.
254 Parties do not have any indebtedness. These are Parties that have no Credited Energy, new entrants that have yet to incur any indebtedness or are Non-Physical Traders that can balance out their position perfectly by the submission deadline, or Parties that reallocate 100% of their volumes to another Party Account using MVRNs.
Comparison of Actual and Calculated Indebtedness
The chart below shows the difference between the average Calculated Indebtedness held and the average Total Energy Indebtedness (TEI) incurred (as billed at SF) in that month is determined. The differences are grouped in £100,000 blocks and a count is made of the number of Trading Parties that fall in to each block.
Negative values on the x-axis of the chart show the number of Parties with average /TEI exceeding their average Credit Cover and hence an indication of the potential material exposure of the market to unsecured trading charges.
There are no major highlights.
Declared DC and Monthly Maximum Demand
In general, maximum demand exceeding the declared Demand Capacity (DC) value indicate that the DC needs to be increased (in magnitude) by the Trading Party to avoid the Energy Indebtedness being underestimated. This would result in the Trading Party not having to lodge sufficient Credit Cover to cover its potential Actual Indebtedness to the market. This is based on Settlement Run data.
Any value above the red line in the graph below denotes a BM Unit where its maximum demand or generation has exceeded its declared GC (Generation Capacity) or DC value. Elexon monitors the values on a regular basis and updates the GC or DC values for any BM Units found to be breaching their declared GC or DC by more than the Limits set out on the BSC Website. The values are also re-declared prior to the start of each BSC Season.
There are no major highlights.
Comparison between Declared GC and Monthly Maximum Generation
The majority of Production BM Units are now Credit Qualifying and the GC is used to determine the Production/Consumption status only. Where the GC is used in the Credit Cover Percentage calculation an inaccurate value could result in Trading Parties not lodging enough Credit Cover.
Any value above the red line in the graph below denotes a BM Unit where its maximum demand or generation has exceeded its declared GC or DC value. Elexon monitors the values on a regular basis and updates the GC or DC values for any BM Units found to be breaching their declared GC or DC by more than the Limits set out by the BSC. The values are also re-declared prior to the start of each BSC Season.
There are no major highlights.
FPN and Metered Volume for Credit Qualifying BM Units
The chart below shows the average Final Physical Notification (FPN) of each Credit Qualifying BM Unit against its average metered volume over the reporting month.
The purpose of this chart is to demonstrate the accuracy of the FPNs submitted by the Credit Qualifying BM Units relative to their metered volume.
FPN is used as an estimate for metered volume in the credit cover percentage calculations until metered data is collected and available two working days after the Settlement Date.
The FPN that is above average meter volume might indicate higher bid/offer volumes, which can happen to facilitate settlement and do not result in any non-compliance.
Different types of Qualifying BM Units will be less accurate than others due to the nature of the generation. For example, the generation output from a wind farm is less predictable than the output from a nuclear power plant.