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.
The graphs may take a couple of seconds to load. To expand the graphs, tap the double-headed arrow in the bottom right corner of the graph.
Complete our survey about this report
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 reference CAP value and the upper and lower trigger level limits.
The area shaded in yellow on this graph indicates periods where the value of the CAP was under review.
A review can be triggered by the absolute difference between the reference CAP value and the reference price being greater than the upper trigger level or below the lower trigger level.
The current CAP value of £77/MWh has been implemented since Wednesday 16 June 2021. Following a CAP Trigger Event on 5 July 2021, a consultation was issued on increasing the CAP value to £96/MWh. The consultation closed on Tuesday 13 July 2021. No responses disagreed with the proposed value and therefore, the new CAP value will be effective from 3 August 2021.
A rise in the CAP is unusual during Spring as forward prices usually drop as demand decreases and warmer temperatures set in. Using BMRS data in our recent Insight article, Forward Market Prices drive six CAP value reviews this year, we discussed how cold temperature, lower availability of wind and nuclear generation, and less import from interconnectors have driven several CAP trigger events this year.
30 day moving average SBP and CAP
This graph shows the 30 day moving 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.
The CAP value changed from £70/MWh to £77/MWh from 16 June 2021. The 30-day rolling average System Price was greater than during the first half of June 2021 and was smaller than CAP during the second half. The difference between CAP and the 30-day rolling average System price averaged at zero in June 2021.
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 April 2021, 48 Credit Default notices were sent to 27 different Parties, compared to 28 notices sent to 17 Parties in March 2021. A Credit Default notice is issued to a Party whose Credit Cover Percentage exceeds 80%. This month two BSC Parties were 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 April 2021, Elexon held just over £538m of Credit Cover. There were 43 BSC Parties that added collateral throughout the month totalling £11.5m and 14 BSC Parties withdrew collateral totalling £21.8m. 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. Elexon are investigating the drop in excess credit, which occurred on the 8 March 2021.
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 April 2021, 19% 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.
274 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.