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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Credit Assessment Price
The Credit Assessment Price (CAP) is used to determine a Party’s Energy Indebtedness. These graphs show the reference CAP and the live CAP and are used by Elexon to support the regular CAP Review process. On a particular date, these values may not match as the reference CAP is the value used to assess whether the CAP value needs to be reviewed and the live CAP is the value used in Credit Cover calculations.
The Reference Price is derived from average monthly forward market prices currently provided by ICIS Heren. The Reference Price is essentially a forward price which covers a two month period.
Once the reference price has been calculated, it will be compared against the latest reference CAP value. Where these two prices deviate by more than the trigger level value, it will be termed a trigger event and trigger a review of the CAP.
This graph shows the Reference Price in comparison to the CAP value and the upper and lower trigger level limits.
The area shaded in yellow on this graph indicates periods where the CAP value was under review under the normal CAP review process and the area shaded in red indicates periods where the Alternative CAP review process is in place.
Under the normal CAP review process, a review can be triggered by the absolute difference between the CAP and the reference price being greater than the upper trigger level or below the lower trigger level whereas under the alternative CAP review process, the Credit Committee reviews the CAP at least once every two weeks.
As of 1 November 2021, the Credit Committee have decided to move to the alternative Credit Assessment Price (CAP) Review process due to fast market conditions. This alternative process allows the Credit Committee to set a new CAP faster and based on a wider range of data sources. A consultation on including an alternative CAP review process in the CAP review guidance note was concluded on 22 October 2021 and the CAP Review Process Guidance has been updated to reflect this. Under the alternative CAP Review process, the Credit Committee will review the CAP every two weeks and decide whether it should continue using the alternative CAP Review process.
The CAP value of £75/MWh was implemented on 20 February 2024.
Rolling average SBP and CAP
This graph shows a rolling average System Buy Price (SBP) and the live CAP. This is a measure of how effective the current CAP review process is as CAP is intended to be a proxy for outturn System Prices. There is an option to choose the number of days in calculating the rolling average System Price on the right-hand side of the graph.
There are no major highlights.
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 December 2023, 23 Credit Default notices were sent to 17 different Parties, compared to 14 notices sent to 7 Parties in November 2023. A Credit Default notice is issued to a Party whose Credit Cover Percentage exceeds 80%. This month no BSC Parties were in Level 1 or 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 December 2023, Elexon held just over £1.3bn of Credit Cover. There were 29 BSC Parties that added collateral throughout the month totalling just over £32m and 11 BSC Parties withdrew collateral totalling just over £10.8m.
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 December 2023, 20% of Parties had a negative average indebtedness. This represents an estimated net credit in Trading Charges over the 29-day period before payment. 27% of Parties had a positive average indebtedness, whilst the remainder had zero average indebtedness.
326 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.