1

 WEEKLY REPORTING OF OTC CONTRACTS: MONTHLY ANALYSIS (JANUARY 2013) [An analysis of all weekly reports (reporting period 31st December 2012 – 27th January 2013) received from licensed-traders for the month of January 2013]          

  

Economics Division Market Monitoring Cell

Central Electricity Regulatory Commission

Prepared on 7th February 2013

  2

Snapshot for January 2013

The reported short-term contract volume for the

month of January 2013 (analysis of four weeks)

was 1883.75MUs whereas the same was

2142.96MUs for the month of December 2012

(analysis of four weeks). There is a 12% decrease

in reported contract-volume.

95% of total volume has been contracted at above

price of `4/kWh as compared to 59% during

December 2012.

Total number of contracts (including Swap &

Banking) in January 2013 (analysis of four weeks)

was 110 by 5 traders whereas in December 2012

(analysis of four weeks) was 150 by 8 traders.

I.

The sc

Exchan

diagram

and th

Chart

Note: It m

while the

OTC- Co

3

3

2.00

2.50

3.00

3.50

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

30‐Dec‐12

`/kW

hCompariExchange

catter diagra

nge markets

m, most of t

he overall pri

t 1: Scatter D

may be noted tha

OTC Contracts

ontracts and Pow

3.753.58

3.30

3.64

3.893.81

3.39 3.38

31‐Dec‐12

1‐Jan‐13

2‐Jan‐13

3‐Jan‐13

Contracts 12 MonthContracts 

Contracts 

Contracts 

IEX ‐ Simp

PXIL ‐ Sim

ison of Pe Prices (

am shows a

s for the peri

the contract

ice was in th

Diagram depi

at Power Exchang

are weekly/mont

wer Exchanges sho

43.75

3.933.80

3.

83.57 3.62

3.49

3.

4‐Jan‐13

5‐Jan‐13

6‐Jan‐13

7Jan13

C

for Above 3 Mohsfor 1 Month & u

for one week o

for less than on

ple Average Daily

ple Average Dai

Prices of on Contra

a comparativ

iod of 31st D

ts were exec

he range of `2

icting Price o

ge is a day ahead

thly contracts wi

ould be seen in thi

91

4.234.31 4.33

4

87 3.87

4.083.98

4

7‐Jan‐13

8‐Jan‐13

9‐Jan‐13

10‐Jan

‐13

C    o    n     t   

onths but Less th

upto 3 months

r above

ne week

y Area Price

ly Area Price

Short Tacted Date

ve analysis

ecember 201

cuted in the

2.81/kWh - `

of Electricity

d market with sta

th flexibility of cu

is light.

4.01

4.58

3.97

3.674.22

4.52

3.92

3.48

11‐Jan

‐13

12‐Jan

‐13

13‐Jan

‐13

14‐Jan

‐13

  r      a       c   

han 

Term OTCe)

of price mo

12 – 27th Jan

e 1st and 4th

`6.27/kWh.

for OTC con

andardized contr

ustomization and

7 3.723.88

3.553.4

8

3.69 3.76

3.493.3

15‐Jan

‐13

16‐Jan

‐13

17‐Jan

‐13

18Jan13

  t           D     

C Contra

ovement in O

nuary 2013. A

week of the

ntracts and in

racts with no tran

d corridor reserv

423.29

2.83

3.23

232

3.13

2.40

2.762

18‐Jan

‐13

19‐Jan

‐13

20‐Jan

‐13

21‐Jan

‐13

  a      t     e   

acts with

OTC and P

As seen in sc

e reported p

n Power Exch

nsmission corrido

vation. The price c

2.98 3.04

3.27

2.71

2.852.76 2.76

2.52

22‐Jan

‐13

23‐Jan

‐13

24‐Jan

‐13

25‐Jan

‐13

3

h Power

Power

catter

eriod

hanges

or reservation

comparison of

1

2.33

2.89

22.39 2.34

26‐Jan

‐13

27‐Jan

‐13

28‐Jan

‐13

  4

The following table shows the weighted average sale prices of all the contracts reported on a

particular week and total contracted volume for the same. (Weights being the respective

contracted volume).

Table 1: Price and Volume of OTC Contracts

Weeks

Range of Sale Price (`/kWh) Weighted Average of

Sale Price (`/kWh)

Total Volume (MUs) Min Max

31st Dec. 2012-6th Jan 2013 2.90 4.99 4.66 1506.58

7th-13th Jan. 2013 2.90 3.75 3.73 15.98 14th-20th Jan. 2013 2.81 6.27 6.25 89.00 21st-27th Jan. 2013 2.90 5.47 5.34 74.20

Total 1685.77

Table 2: Comparison of Prices in Day ahead Market with OTC Contracts

(Includes Term Ahead Contracts at Power Exchanges)

Contract Date (2012-13)

31th Decem

ber 20

12 

1st January 2013 

2nd Janu

ary 2013

 

3rd Janu

ary 20

13 

4th Janu

ary 20

13 

5th Janu

ary 20

13 

6th Janu

ary 20

13 

7th Janu

ary 20

13 

8th Janu

ary 20

13 

9th Janu

ary 20

13 

10th Ja

nuary 2013

 

11th Ja

nuary 2013

 

12th Ja

nuary 2013

 

13th Ja

nuary 2013

 

IEX*(`/kWh) 3.75  3.58  3.30  3.64 3.75 3.93 3.80 3.91 4.23 4.31 4.33  4.01  4.58 3.97

PXIL*(`/kWh) 3.89  3.81  3.39  3.38 3.57 3.62 3.49 3.87 3.87 4.08 3.98  4.22  4.52 3.92

OTC Contracts** (`/kWh)

4.66 (31st Dec, 2012 - 6th January 2013) 3.73 (7th Jan - 13th Jan.2013)

Contract Date (2013)

14th Ja

nuary 2013

 

15th Ja

nuary 2013

 

16th Ja

nuary 2013

 

17th Ja

nuary 2013

 

18th Ja

nuary 2013

 

19th Ja

nuary 2013

 

20th Ja

nuary 2013

 

21st Ja

nuary 2013

 

22nd

 Janu

ary 2013

 

23rd Ja

nuary 20

13 

24th Ja

nuary 2013

 

25th Ja

nuary 2013

 

26th Ja

nuary 2013

 

27th Ja

nuary 2013

 

IEX*(`/kWh) 3.67 3.72  3.88  3.55 3.42 3.29 2.83 3.23 2.98 3.04 3.27  2.71  2.33 2.89

PXIL*(`/kWh) 3.48 3.69  3.76  3.49 3.32 3.13 2.40 2.76 2.85 2.76 2.76  2.52  2.39 2.34

OTC Contracts** (`/kWh)

6.25 (14th Jan - 20th Jan 2013) 5.34 (21st Jan - 27th Jan 2013)

 Source: Indian Energy Exchange & Power Exchange of India Ltd. Websites *: Simple Average Area Prices for the Day for all the Bid Areas **: Weekly Weighted Average Prices for OTC‐ Contracts   

Observa

1. It i

pri

du

ma

Ah

Ma

con

con

we

res

see

2. As

at

M

27

rep

♣ Exclud

ations

is observed

ices during t

ring reporte

arket was `

head market

arket it was

ntract. It m

ntracts with

eekly/month

servation. Th

en in this ligh

s far as the n

above `4/k

Us which is

7th January 2

ported perio

Chart 2: F

ding swap /bank

0200400600800

1000

Volum

e (M

U) &

 No. Of C

ontracts

Volume (M

No. of Co

that IEX an

the reported

ed period w

`2.81/kWh (

at the exch

`6.27/kWh

may be noted

h no trans

hly contracts

he price com

ht.

number of co

kWh. Howev

s 95% of tot

013. There w

od.

Frequency D

king contracts s

0.00

‐3.00

3.01

‐3.50

0.00‐3.0MUs) 2.08

ntracts 73

nd PXIL pric

d period. Th

was `2.33/kW

(19th January

hange reache

h (18th Januar

d that Power

mission cor

s with flexi

mparison of

ontracts is co

ver, the cum

tal OTC con

were a total

Distribution o

ince they do not

3.51

‐4.00

00 3.01‐3.5051.19

1

ces were gen

he minimum

Wh (IEX, 2

y 2013). Ma

ed `4.58/kW

ry 2013) whi

r Exchange i

rridor reser

ibility of cu

OTC - Con

oncerned, 10

mulative volu

ntracts for th

110 contract

of Number of

t have any sale p

4.01

‐4.50

451

‐500

3.51‐4.00 4.0127.03 572

11 5

nerally below

24-hour ave

26th Decemb

aximum 24-

Wh (IEX, 12t

ich was an ‘O

is a day ahea

rvation whi

ustomization

ntracts and P

out of total

ume traded a

he reported

ts including

OTC Contra

price.

4.51

5.00

5.01

‐5.50

‐4.50 4.51‐5.002.52 876.00

5 1

w the averag

erage price i

ber) while t

-hour averagth January 20

Other–than-

ad market w

le the OTC

n and trans

Power Exch

s 95♣ contra

above `4/kW

period 31st D

swap & ba

cts, Volume 5.51

‐6.00

0 5.01‐5.50 5.68.45

2

ge OTC con

in the excha

that in the

ge price in

013) and in

-Off-peak’ p

with standard

C Contracts

mission cor

hanges shou

acts were en

Wh was 1605

December 2

nking durin

and Price Ra

6.01

‐6.50

51‐6.00 6.01‐60.00 88.5

0 2

5

ntract

anges

OTC

Day-

OTC

power

dized

s are

rridor

ld be

tered

5.47♣

012 –

ng the

ange

6.5050

Chart

Follo

t 3: Frequenc

owing chart

according to

No. of C

ontracts & Volum

e (M

Us)

cy Distributio

t shows the

o the period

Chart

500

1000

1500

2000

Volume ofContrac

No. of OTC

12

LeOnOnAb

on of No. of O

e number o

of power su

4: Number of

0

0

0

0

<_ Rs.

f OTC  cts

C Contracts

10

ess than a wene month orne week or above three m

OTC ContracJanuary 201

of contracts

upply.

Contracts Re

. 4/kWh

<_ Rs. 

80

8

02

eekr aboveabovemonths and 

cts above `4/3

reported d

eported in Jan

> Rs.4/kW

4/kWh

.30

85

8

upto 12 mo

/kWh 31st Dec

during Janua

uary 2013

Wh

> Rs.4

160

1

86

nths

cember 2012

ary 2013, ca

4/kWh

05.47

10

6

2 – 27th

ategorized

  7

II. Forward Curve of Power Prices

Chart 5: Forward Curve for the period February 2013 – May 2014 as on 9th February, 2013

A forward curve reflects present day’s expectation of spot prices for a future period. Accordingly a

forward curve has been drawn based on prices of contracts executed now for supply of power

from 9th February 2013 – 31st May 2014, i.e. upto fifteen month ahead period of power supply. This

forward curve is as on 9th February 2013 but based on 95 contract prices reported by trader’s upto

27th January 2013.

Chart 5.1: Forward Curve for the period January - June 2013 as on 9th January 2013

4.77

4.474.38

3.75

4.21

4.83 4.83 4.83 4.83 4.83 4.83

3.00

3.50

4.00

4.50

5.00

5.50

9‐Feb‐13

24‐Feb

‐13

11‐M

ar‐13

26‐M

ar‐13

10‐Apr‐13

25‐Apr‐13

10‐M

ay‐13

25‐M

ay‐13

9‐Jun‐13

24‐Jun

‐13

9‐Jul‐1

3

24‐Jul‐13

8‐Aug

‐13

23‐Aug

‐13

7‐Sep‐13

22‐Sep

‐13

7‐Oct‐13

22‐Oct‐13

6‐Nov

‐13

21‐Nov

‐13

6‐Dec‐13

21‐Dec‐13

5‐Jan‐14

20‐Jan

‐14

4‐Feb‐14

19‐Feb

‐14

6‐Mar‐14

21‐M

ar‐14

5‐Apr‐14

20‐Apr‐14

5‐May‐14

20‐M

ay‐14

Price (`/kWh)

Delivery Dates

Forward Curve for Delivery Between (9th February, 2013 ‐ 31st May, 2014)

4.39 4.39

4.74 4.74

4.46 4.46 4.38 4.38 4.38

3.75

3.00

3.50

4.00

4.50

5.00

5.50

9‐Jan‐13

24‐Jan

‐13

8‐Feb‐13

23‐Feb

‐13

10‐M

ar‐13

25‐M

ar‐13

9‐Apr‐13

24‐Apr‐13

9‐May‐13

24‐M

ay‐13

8‐Jun‐13

Price (`/kWh)

Delivery Dates

Forward Curve for Delivery Between (9th January ‐ 15th  June, 2013)

  8

Observations

1. In the December 2012 report, the Forward Curve could be created only upto June 2013

since contracts reported expired in June 2013. Since new long duration contracts have

been reported in January 2013, the forward curve has been extended upto May 2014.

2. It can be observed from Chart 5 the forward curve jumps up from June 2013 since the

new contracts reported are higher price contracts.

  9

III. Post-facto Comparison of Prices in OTC Contracts and Power Exchanges (on Power Delivery Dates)

The post facto graph shows the average OTC price vis-à-vis power exchanges prices for the

last month’s power deliveries. Hence this compares the spot Power Exchange prices with

OTC deliveries (OTC contracts may have been executed earlier but delivered on the same

days as on the exchange spot deliveries). The process of calculating the data points of OTC

prices is same as in the forward curve.

Chart 6: Comparison OTC Deliveries and Power Exchange Spot Delivery Price for January 2013

4.09

4.384.38 4.38 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.38 4.38

3.753.58

3.30

3.643.75

3.933.80

3.91

4.234.314.33

4.01

4.58

3.97

3.673.723.88

3.553.42

3.29

2.83

3.232.983.04

3.27

2.71

2.33

2.89

3.893.81

3.393.383.573.623.49

3.873.874.08

3.984.22

4.52

3.92

3.483.693.76

3.493.32

3.13

2.40

2.762.852.762.762.52

2.392.34

0.00

1.00

2.00

3.00

4.00

5.00

6.00

31‐Dec‐12

1‐Jan‐13

2‐Jan‐13

3‐Jan‐13

4‐Jan‐13

5‐Jan‐13

6‐Jan‐13

7‐Jan‐13

8‐Jan‐13

9‐Jan‐13

10‐Jan

‐13

11‐Jan

‐13

12‐Jan

‐13

13‐Jan

‐13

14‐Jan

‐13

15‐Jan

‐13

16‐Jan

‐13

17‐Jan

‐13

18‐Jan

‐13

19‐Jan

‐13

20‐Jan

‐13

21‐Jan

‐13

22‐Jan

‐13

23‐Jan

‐13

24‐Jan

‐13

25‐Jan

‐13

26‐Jan

‐13

27‐Jan

‐13

Pri

ce (

`/kW

h)

Delivery Dates

Daily Weighted Avgerage OTC Price IEX‐Simple Average Daily Area PricePXIL‐Simple Average Daily Area Price

  10

Observations

1. The prices in power exchanges have fluctuated over a range of `2.33 to `4.58/ kWh during

the month. However the OTC - contracts delivery prices have been more or less stable in

the range of `4.09 to `4.39/ kWh. The power exchanges prices were generally lower than

the OTC’s prices during the reported period. It may be noted that Power Exchange is a day

ahead market with standardized contracts with no transmission corridor reservation

while the OTC - Contracts are weekly/monthly contracts with flexibility of customization

and transmission corridor reservation. The price comparison of OTC - Contracts and

Power Exchanges should be seen in this light.

  11

Annexure-I

Table 3: List of Trading Licensees who have undertaken Contracts in

the period 31th December 2012 – 27th January 2013*

Sr.No. Name of Licensee 31st Dec. 2012 - 6th Jan 2013

7th - 13th Jan. 2013

14th - 20th Jan. 2013

21st- 27th Jan.2013

1 PTC India Ltd. Y(22) Y(26) Y(22) Y(14)

2 NTPC Vidyut Vyapar Nigam Ltd. Y(11) NIL Y(4) Y(5)

3 Instinct Infra & Power Ltd. Y(3) NIL NIL NIL 4 GMR Energy Trading Ltd. NIL NIL Y(2) NIL

5 JSW Power Trading Company Ltd. NIL NIL NIL Y(1)

Total No. of Contracts 36 26 28 20

Total for month for all traders 110

Note 1: Y ( ): Contracts had been struck (Number of Contracts)

NIL: No Contracts was made during the week

NR: Not Reported

*Note 2: This table shows list of traders who have reported & undertaken at least one contracts during

the reported period. There could be some traders who have reported but did not undertake any

contracts.

  12

Annexure-II

I. The Scatter Diagram: Comparison of prices of Short Term OTC

Contracts with Power Exchange Prices ( on Contracted Date)

Process of Formulation: The scatter diagram represents the details of OTC

contracts undertaken by traders during any particular time period (e.g. for last four or

five weeks) for short-term (upto less than a year) transactions of electricity. Each data-

point represents contract sale-price on a particular contract date.

The varied shapes are to depict contracts for different time-span, e.g. the squares are for

contracts of more than three months but less than a year, largest circles are for contracts

which have been made for one or upto three months ahead, the triangles are to represent

contracts made for a week or more but for less than one month and smallest ones

(daimond shaped) are for one day or more but less than a week period of contracts. In

this diagram, no distinction has been made among the traders. The black and red

markers connected with lines show the spot prices at the two power exchanges, viz. the

Indian Energy Exchange (IEX) and the Power Exchange of India Ltd. (PXIL) on the

respective contract dates.

II. The Forward Curve of Power Price

Process of Formulation

The forward curve has been made based on OTC sale prices reported every week by the

traders. For a contract of a full month, the average monthly contract price is considered

discretely as the price for each day. Finally, the average daily price for the forward curve

is the weighted average daily price for all contracts existing in these days. (Weights

being the respective contracted daily volume).

III. The Post-Facto Graph: Post-facto Comparison of Prices in OTC

Contracts and Power Exchanges (on Power Delivery Dates)

Process of Formulation

The post facto graph shows the comparison of daily average OTC price vis-à-vis simple

average daily area power exchanges prices for the last month’s daily power deliveries.

Daily average OTC price is calculated by considering all OTC contracts including daily,

  13

weekly, monthly and more than 3-month and up to one year contracts delivered in the

period. The average daily price is the weighted average daily price for all contracts

delivered on that day. (Weights being the respective contracted daily volume). For

example for a weekly contract the same price is considered for discretely as the price for

each day of the week, for monthly contract the same price is considered discretely as the

price for each day of the month. Then the daily volume weighted average of these

weekly/monthly, as the case may be, is calculated and termed a daily average OTC price.

IV. The difference between Scatter Diagram and Post Facto Graph is as follows:

a) The scatter diagram represents the details of OTC contracts undertaken by

traders during any particular time period (e.g. for last five weeks) for short-term

(upto less than a year) transactions of electricity. Each data-point represents

contract sale-price on a particular contract date.

b) The post facto graph shows the average OTC price vis-à-vis power exchanges

prices for the last month’s power deliveries. It gives a comparison between the

spot delivered prices and OTC deliveries (OTC contracts may have been

executed earlier but delivered on these same.

V. The 96 Blocks (24 hours) simple average prices of the 12 bid areas is being termed as

simple average daily area price. The Power Exchanges’ prices used in the report are

calculated using following formulas:

Simple Average Daily Area Price (`/kWh)

 ∑   /96000

Where Pi is the price for different 15 minute time blocks in a day