weekly reporting of otc contracts: monthly analysis · weekly reporting of otc contracts: monthly...

MMC – Report 1

WEEKLY REPORTING OF OTC CONTRACTS: MONTHLY ANALYSIS (JANUARY 2012) [An analysis of all weekly reports (reporting period 26th December 2011 - 29th January 2012) received from licensed-traders for the month of January 2012]

Market Monitoring Cell, CERC

Prepared on 9th February 2012

Weekly Reporting of OTC Contracts: Monthly Analysis

MMC ‐ Report 2

Snapshot for January 2012

The reported short-term contract volume for the

month of January 2012 (analysis of five weeks)

was 1895.48MUs whereas the same was

1611.92MUs for the month of December

2011(analysis of four weeks). There is an 18%

increase in reported contract-volume.

95% of total volume has been contracted at above

price of ` 4/kWh.

Total number of contracts (including Swap &

Banking) in January 2012 (analysis of five weeks)

was 137 by 6 traders whereas in December

2011(analysis of four weeks) it was 120 by 5

traders.

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MMC ‐ Report 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 26th December 2011 - 1st January 2012 2.96 5.60 4.71 655.83

2nd - 8th January 2.96 5.60 5.00 422.38 9th - 15th January 2.96 4.31 3.02 3.35 16th - 22nd January 2.96 4.31 4.24 182.16 23rd - 29th January 2.96 4.40 4.17 187.95

Total _ 1451.69 Table 2: Comparison of Prices in Day Ahead Market with OTC Contracts (Includes Term Ahead Contracts

at Power Exchanges)

Contract Date (Dec. 2011- Jan.

2012)

26th Dec.

27th Dec.

28th Dec.

29th Dec.

30th Dec.

31st Dec.

1st Jan.

2nd Jan.

3rd Jan.

4th Jan.

5th Jan.

6th Jan.

7th Jan.

8th Jan.

9th Jan.

10th Jan.

11th Jan.

12th Jan.

13th Jan.

14th Jan.

15th Jan.

IEX (` / kWh) 3.97 4.06 4.00 3.99 3.91 3.68 3.25 3.25 3.20 3.24 3.50 3.58 3.38 2.97 3.20 3.18 3.10 3.05 3.18 3.25 3.03

PXIL (` / kWh) 3.93 4.05 4.10 3.78 4.13 3.68 3.28 3.40 3.40 4.40 3.53 3.56 3.57 3.29 3.65 3.52 3.39 3.94 3.87 3.38 2.75

OTC Contracts (`/ kWh)

4.71 5.00 3.02

26th December 2011 - 1st January 2012 2nd - 8th January 9th - 15th January

Contract Date

(Dec. 2011- Jan. 2012)

16th Jan.

17th Jan.

18th Jan.

19th Jan.

20th Jan.

21st Jan.

22nd Jan.

23rd Jan.

24th Jan.

25th Jan.

26th Jan.

27th Jan.

28th Jan.

29th Jan.

IEX (` / kWh) 3.21 3.12 3.14 3.40 3.48 3.33 3.17 3.78 3.37 3.49 3.04 3.33 3.31 3.12

PXIL (` / kWh) 3.11 3.43 3.27 3.45 3.51 3.58 3.04 3.62 3.18 3.34 3.08 3.32 3.25 3.08

OTC Contracts (`/ kWh)

4.24 4.17

16th - 22nd January 23rd - 29th January

Source: Indian Energy Exchange & Power Exchange of India Ltd. Websites


MMC ‐ Report 5

Observations

1. In the month of January, OTC contract prices were higher than the Indian Energy

Exchange (IEX) and Power Exchange of India Ltd (PXIL) spot prices except in the third

week of the reported period where prices at Power Exchanges were slightly higher than

that of OTC.

2. The minimum price in the exchanges during reported period was `2.75/kWh (PXIL, 15th

January 2012) while that in the OTC market was `2.96/kWh (26th December 2011 – 29th

January 2012). Maximum price in Day-Ahead market at the exchange reached `4.40/kWh

(PXIL, 4th January 2012) and in OTC Market it was `5.60/kWh (30th December 2011)

which was a ‘peak’ power contract. It may be noted that Power Exchange is a day ahead

market with standardized contracts and no corridor assurance while the OTC Contracts

are weekly/monthly contracts with flexibility of customization and corridor assurance.

The price comparison of OTC- Contracts and Power Exchanges should be seen in this

light.

3. As for as the number of contracts are concerned, 44 out of totals 116♣ contracts were

entered above `4/kWh. There were a total 137 contracts including swap & banking

during the month.

Chart 2: Histogram of Number of OTC Contracts

♣ Excluding swap /banking contracts since they do not have any sale price.

72

44

0

20

40

60

80

<_ Rs. 4/kWh > Rs.4/kWh

Freq

uency

Histograms:Frequency Distribution of Number of OTC Contracts

No. of OTC Contracts


MMC ‐ Report 6

4. The cumulative volume traded above ` 4/kWh was 1384.36♣ MUs which is 95% of total

OTC contracts for the reported period 26th December 2011 – 29th January 2012).

Chart 3: Cumulative Volume Traded below and above ` 4/kWh during 26th December 2011- 29th January 2012

67.33

1384.36

0.00200.00400.00600.00800.00

1000.001200.001400.001600.00

<_ Rs. 4/kWh > Rs.4/kWh

Contracted

Volum

e (M

Us)

Price Range (Rs./kWh)

Volume of OTC Contract

Volume of OTC Contract


MMC ‐ Report 7

II. Forward Curve of Power Prices

Chart 4: Forward Curve for 9th February - 15th June 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 for

supply of power from 9th February 2012 - 15th June 2013, i.e. sixteen months ahead

period of power supply. This forward curve is as on 9th February 2012 but based on 137

contract prices reported by trader’s upto 29th January 2012.

Observations

1. The forward curve for the next sixteen months period i.e. 9th February 2012 - 15th

June 2013 generally followed a declining trend till May 2012 and then followed an

upward trend till June 2013.

2. The Forward Curve has been formulated for a period of sixteen months based on

reported contracts (for 9th February 2012 - 15th June 2013 period of power delivery).

3.89 3.96

3.71

3.05

3.803.75 3.75

2.50

2.70

2.90

3.10

3.30

3.50

3.70

3.90

4.108‐Feb‐12

23‐Feb

‐12

9‐Mar‐12

24‐M

ar‐12

8‐Apr‐12

23‐Apr‐12

8‐May‐12

23‐M

ay‐12

7‐Jun‐12

22‐Jun

‐12

7‐Jul‐1

2

22‐Jul‐12

6‐Aug

‐12

21‐Aug

‐12

5‐Sep‐12

20‐Sep

‐12

5‐Oct‐12

20‐Oct‐12

4‐Nov

‐12

19‐Nov

‐12

4‐Dec‐12

19‐Dec‐12

3‐Jan‐13

18‐Jan

‐13

2‐Feb‐13

17‐Feb

‐13

4‐Mar‐13

19‐M

ar‐13

3‐Apr‐13

18‐Apr‐13

3‐May‐13

18‐M

ay‐13

2‐Jun‐13

Price (`/kWh)

Delivery DatesForward Curve for Delivery Between (9th Feb. 2012‐ 15th Jun. 2013)


MMC ‐ Report 8

The price followed a declining trend during February 2012 to May 2012 during which

price declined from `3.89 to `3.05/kWh. The curve followed a rising trend till June

2013 during which price increased from `3.05 to `3.75/kWh. The numbers of contracts

reported for the initial months (Feb. and March) were higher (23 to 26 contracts) than

those of later months (1 or 2 contracts). It is in alignment with the general trend that

liquidity is higher for nearer months compared to farther months.


MMC – Report 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 delivered prices with OTC

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

days). The process of calculating the data points is same as in the forward curve.

It is observed that IEX and PXIL prices were above the average OTC contract prices

except at the end of the reported period.

Chart 5: Comparison OTC deliveries and Power Exchange Spot Delivery Price for January 2012

3.974.06

4.003.993.91

3.68

3.253.25

3.203.24

3.503.58

3.38

2.97

3.20

3.183.10

3.05

3.183.25

3.03

3.213.12

3.14

3.403.48

3.33

3.17

3.78

3.37

3.49

3.04

3.333.31

3.12

3.93

4.054.10

3.78

4.13

3.68

3.28

3.403.40

4.40

3.533.56

3.57

3.29

3.65

3.52

3.39

3.943.87

3.38

2.75

3.11

3.43

3.27

3.453.51

3.58

3.04

3.62

3.18

3.34

3.08

3.323.25

3.08

2.50

2.70

2.90

3.10

3.30

3.50

3.70

3.90

4.10

4.30

4.50

26‐Dec‐11

28‐Dec‐11

30‐Dec‐11

1‐Jan‐12

3‐Jan‐12

5‐Jan‐12

7‐Jan‐12

9‐Jan‐12

11‐Jan

‐12

13‐Jan

‐12

15‐Jan

‐12

17‐Jan

‐12

19‐Jan

‐12

21‐Jan

‐12

23‐Jan

‐12

25‐Jan

‐12

27‐Jan

‐12

29‐Jan

‐12

Pri

ce (

`/kW

h)

Delivery DatesDaily Weighted Avg. OTC Price

IEX‐Simple Average Daily Area Price

PXIL‐Simple Average Daily Area Price


MMC – Report 10

Observations

1. The Post-Facto graph shows that for the first week of the reported period the

power exchanges’ prices remained lower than OTC-contracts’ prices however for

the next weeks the trend was reverse. It may be noted that Power Exchange is a

day ahead market with standardized contracts with no corridor assurance while

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

customization and corridor assurance. The price comparison of OTC- Contracts

and Power Exchanges should be seen in this light.

Overall Comparative View between December 2011 and January 2012

2. Following table shows the number of contracts reported during December 2011

and December categorized according to the period of power supply.

Table 3: Number of Contracts Reported in December 2011 and January 2012ψ

Dec-11 (four weeks) Jan-12 (five weeks)

Above three months and upto 12 months 1 1

One month or above 28 43

One week or above 15 8

Less than a week 76 85

Total 120 137

From the above table it is clear that the total numbers of contracts for power

deliveries for the category one month or above; were more in January 2012 ( 44

Contracts) than in December, 2011( 29 Contracts).

ψ Including swap/ banking contracts between different DISCOMS


MMC – Report 11

A comparative table to represent maximum and minimum prices at both the

exchanges vis-à-vis OTC contracts prices is given below:

Table 3: Maximum and Minimum Prices - A Comparative View `/ kWh (Dates)

December 2011 (28th November - 25th December) January 2012 (26th December 2011 - 29th January 2012)

Maximum Minimum Maximum Minimum

IEX 4.77 (7th Dec.) 3.16 (18th Dec.) 4.06 (27th Dec. 2011) 2.97 (8th Jan. 2012) PXIL 4.87 (6th Dec.) 3.28 (20th Dec.) 4.40(4th Jan. 2012) 2.75 (15th Jan. 2012)

OTC Contracts 5.60 (23rd Dec.) 2.96 (28th Nov.- 25th Dec.)

5.60 (30th Dec. 2011 & 6th Jan. 2012)

2.96 (26th Dec. 2011 - 29th Jan. 2012)

Overall inferences

1. From Chart-1 (Contracted date price analysis), it is observed that for most of OTC

contract, prices were higher than the IEX and PXIL spot prices during the month.

2. From Chart-5 (post facto power delivery date analysis), it is observed that for the

first week of the reported period the power exchanges’ prices remained lower than

OTC-contracts’ prices however for the next weeks the trend was reverse.

3. It is also seen that there have been a large number (85) of contracts for less than week

period of delivery in the reported period.


MMC – Report 12

Annexure-I

Table 4: List of Trading Licensees who have undertaken Contracts in

the period 26th December 2011 – 29th January 2012*

Sr.No. Name of Licensee 26th December

2011 - 1st January 2012

2nd - 8th January

9th - 15th January

16th - 22nd January

23rd - 29th January

1 PTC India Ltd. Y(23) Y(25) Y(14) Y(14) Y(18) 2 NTPC Vidyut Vyapar Nigam Ltd. Y(9) Y(1) Y(6) Y(11) Y(10) 3 National Energy Trading & Services Ltd. Y(2) NIL NIL NIL NIL 4 JSW Power Trading Ltd. NIL Y(2) NIL NIL NIL 5 RPG Power Trading Co. Ltd. Y(1) NIL NIL NIL NIL 6 GMR Energy Trading Ltd. NIL NIL NIL NIL Y(1)

Total No. of Contracts 35 28 20 25 29

Total for month for all traders 137

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.


MMC – Report 13

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 average OTC price vis-à-vis power exchanges prices

for the last month’s power deliveries. Hence this compares the spot delivered prices

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


MMC – Report 14

these same days). The process of calculating the data points is same as in the

forwards curve.

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 four 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.

weekly reporting of otc contracts: monthly analysis · weekly reporting of otc contracts: monthly...

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