weekly reporting of otc contracts: monthly analysis · 2011-11-10 · weekly reporting of otc...

MMC – Report 1

WEEKLY REPORTING OF OTC CONTRACTS: MONTHLY ANALYSIS (OCTOBER 2011) [An analysis of all weekly reports (reporting period 26th September – 30th October) received from licensed-traders for the month of October 2011]

Market Monitoring Cell, CERC

Prepared on 8th November 2011

Weekly Reporting of OTC Contracts: Monthly Analysis

MMC ‐ Report 2

Snapshot for October 2011

The reported short-term contract volume for the

month of October was 3474.94 MUs whereas the

same was 3603.35 MUs for the month of

September. There is a 4% decrease in reported

contract-volume.

56% of total volume has been contracted at above

price of ` 4/kWh.

Total number of contracts (including Swap &

Banking) in October was 97 by 7 traders whereas

in September it was 48 by 8 traders.

Weekl

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2.00

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3.00

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4.00

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12-

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MMC ‐ Report 4

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 Sep. - 2nd October 3.42 7.86 3.53 743.49

3rd - 9th October 3.42 6.26 4.10 688.34

10th-16th October 3.72 6.00 4.50 413.78

17th - 23rd October 3.60 5.64 4.24 530.82

24th - 30th October 3.60 5.50 3.94 466.38

Total _ 2842.81

Source: Based on Electricity Traders’ weekly reports

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

at Power Exchanges)

Contract Date

(2011) 26th Sept

27th Sept

28th Sept

29th Sept

30th Sept

1st Oct

2nd Oct

3rd Oct

4th Oct

5th Oct

6th Oct

7th Oct

8th Oct

9th Oct

10th Oct

11th Oct

12th Oct

13th Oct

14th Oct

15th Oct

16th Oct

IEX (` / kWh) 3.95 4.14 5.00 5.16 5.95 6.66 5.09 5.32 5.54 5.41 4.83 5.30 5.44 5.48 5.90 6.55 6.84 7.51 7.89 7.11 5.19

PXIL (` / kWh) 3.87 4.52 4.89 5.21 6.10 6.67 5.84 4.80 5.47 5.41 5.14 5.19 5.33 5.42 6.01 6.13 6.92 6.91 7.54 7.33 5.76

OTC Contracts (`/ kWh)

3.53 4.10 4.50

26th Sep. - 2nd October 3rd - 9th October 10th-16th October

Contract

Date (2011)

17th Oct

19th Oct

20th Oct

21st Oct

22nd Oct

23rd Oct

24th Oct

25th Oct

26th Oct

27th Oct

28th Oct

29th Oct

30th Oct

IEX (` / kWh) 5.22 5.73 5.10 4.88 4.10 3.86 5.00 5.45 4.10 3.37 3.00 2.82 2.58

PXIL (` / kWh) 5.77 5.57 6.47 5.64 5.14 4.39 5.02 6.38 3.31 3.40 2.52 2.71 2.48

OTC Contracts (`/ kWh)

4.24 3.94

17th - 23rd October 24th - 30th October

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

Observations

1. In the month of October, OTC contract prices were lower than the Indian Energy

Exchange (IEX) and Power Exchange of India Ltd (PXIL) spot prices. During the month,

prices at both the exchanges followed an upward trajectory except at the end of the


MMC ‐ Report 5

reported period where prices at Power Exchanges were slightly lower than that of OTC.

This is an interesting deviation from the normal trend observed during last 3 months. The

minimum price in the exchanges during reported period was ` 2.48/kWh (PXIL, 30th

October 2011) while that in the OTC market was `3.42/kWh (1st – 7th October 2011).

Maximum price in Day-Ahead market at the exchange reached `7.89/kWh (IEX, 14th

October 2011) and in OTC Market it was `7.86/kWh (29th September 2011) which was a

peak power contract.

2. As for the number of contracts, 53 out of totals 79♣ contracts were entered above `4/kWh.

There were a total 97 contracts including swap & banking during the month.

3. There has been one peak contract at `7.86/kWh executed for one day and floating rate

contracts (at different hours of the day) benchmarked to day ahead Power Exchange price

for 13 and 14 days duration respectively.

Chart 2: Histogram of Number of OTC Contracts

4. The cumulative volume traded above ` 4/kWh was 1583.93♣ MUs which is 56% of total

OTC contracts for the reported period 26th September –30th October).

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

26

53

0

10

20

30

40

50

60

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

Freq

uency

Histograms:Frequency Distribution of Number of OTC Contracts

No. of OTC Contracts


MMC ‐ Report 6

Chart 3: Cumulative Volume Traded below and above ` 4/kWh during 26th September – 30th October 2011

1258.88

1583.93

0.00

500.00

1000.00

1500.00

2000.00

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

Volum

e (M

Us)

Price Range (Rs./kWh)

Volume of OTC Contract

Volume of OTC Contract


MMC ‐ Report 7

II. Three-Month Forward Curve of Power Prices

Chart 4: Forward Curve for 9th November 2011 - 9th February 2012

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 November 2011 - 9th February 2012, i.e. 90 days ahead period of

power supply. This forward curve is as on 9th November 2011 but based on 79 contract

prices reported by trader’s upto 30th October 2011.

Observations

1. The forward curve for the next three month period i.e. 9th November 2011 - 9th February

2012 generally followed a downward trajectory across the period. The prices for

November and December deliveries have remained almost same `3.85/kWh in contracts

executed in October. This is due to the fact that new contracts for November &

December delivery executed in October have been contracted at prices similar to

contacts executed in September (around `3.8/kWh).

3.90

3.86

3.78

3.80

3.70

3.72

3.74

3.76

3.78

3.80

3.82

3.84

3.86

3.88

3.90

3.92

9‐Nov

‐11

12‐Nov‐11

15‐Nov‐11

18‐Nov‐11

21‐Nov‐11

24‐Nov‐11

27‐Nov‐11

30‐Nov‐11

3‐Dec‐11

6‐Dec‐11

9‐Dec‐11

12‐Dec‐11

15‐Dec‐11

18‐Dec‐11

21‐Dec‐11

24‐Dec‐11

27‐Dec‐11

30‐Dec‐11

2‐Jan‐12

5‐Jan‐12

8‐Jan‐12

11‐Jan

‐12

14‐Jan

‐12

17‐Jan

‐12

20‐Jan

‐12

23‐Jan

‐12

26‐Jan

‐12

29‐Jan

‐12

1‐Feb‐12

4‐Feb‐12

7‐Feb‐12

Price (`/kWh)

Delivery DatesForward Curve for Delivery Between (Nov. 2011‐Feb. 2012)

MMC –

Chart 4:

Marke

3.00

3.40

3.80

4.20

4.60

9‐Nov‐11

12‐Nov‐11

Pri

ce (

`/kW

h)

Forwa

– Report

: Forward Cu

et, Novembe

3.90 3

15‐Nov‐11

18‐Nov‐11

21‐Nov‐11

24‐Nov‐11

27‐Nov‐11

30‐Nov‐11

3‐Dec‐11

6‐Dec‐11

9‐Dec‐11

12‐Dec‐11

ard Curve for Delivery Be

rve in Novem

er 2011 ‐ Febr

.86

12Dec

1115

‐Dec‐11

18‐Dec‐11

21‐Dec‐11

24‐Dec‐11

27‐Dec‐11

30‐Dec‐11

2‐Jan‐12

5‐Jan‐12

8‐Jan‐12

etween (Nov. 2011‐Feb

mber for OTC

ruary 2012

3.78 3.80

11‐Jan

‐12

14‐Jan

‐12

17‐Jan

‐12

20‐Jan

‐12

23‐Jan

‐12

26‐Jan

‐12

29‐Jan

‐12

1‐Feb‐12

4‐Feb‐12

7‐Feb‐12

Delivery Dateb. 2012)

C

0

7Feb12

s

Pri

ce (

``/k

Wh)

Chart 4.1: Forw

Market, O

3.89 3.8

3.00

3.40

3.80

4.20

4.60

9‐Oct‐11

12‐Oct‐11

15‐Oct‐11

18‐Oct‐11

21‐Oct‐11

24‐Oct‐11

27‐Oct‐11

()

Forward Curve

ward Curve i

ctober 2011

6 3.85 3.8

7Oct

30‐Oct‐11

2‐Nov‐11

5‐Nov‐11

8‐Nov‐11

11‐Nov‐11

14‐Nov‐11

17‐Nov‐11

20‐Nov‐11

23‐Nov‐11

e for Delivery Between (

n October fo

‐ January 201

85 3.85

26‐Nov‐11

29‐Nov‐11

2‐Dec‐11

5‐Dec‐11

8‐Dec‐11

11‐Dec‐11

14‐Dec‐11

17‐Dec‐11

20‐Dec‐11

23D

11

De(Oct. 2011‐Jan. 2012)

8

r OTC

12

3.77

23‐Dec‐11

26‐Dec‐11

29‐Dec‐11

1‐Jan‐12

4‐Jan‐12

7‐Jan‐12

elivery Dates


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 October 2011

3.663.87 3.89

4.35 4.29

5.17

5.26

4.06

2.00

3.00

4.00

5.00

6.00

7.00

8.00

26‐Sep

‐11

28‐Sep

‐11

30‐Sep

‐11

2‐Oct‐11

4‐Oct‐11

6‐Oct‐11

8‐Oct‐11

10‐Oct‐11

12‐Oct‐11

14‐Oct‐11

16‐Oct‐11

18‐Oct‐11

20‐Oct‐11

22‐Oct‐11

24‐Oct‐11

26‐Oct‐11

28‐Oct‐11

30‐Oct‐11

`/kW

h

Delivery DatesWeighted Avg. OTC Price (Rs. /kWh) IEX‐Simple Average Daily Area PricePXIL‐Simple Average Daily Area Price IEX‐Monthly Average PricePXIL‐Monthly Average Price Traders Prices


MMC – Report 10

Overall Comparative View between September and October 2011

1. Following table shows the number of contracts reported during August and

September categorized according to the period of power supply.

Table 3: Number of Contracts Reported in September and October 2011ψ

Sep-11 Oct-11 Above three months and upto 12 months 2 2 One month or above 19 37 One week or above 14 15 Less than a week 13 43

Total 48 97

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 October ( 39

Contracts) than September, 2011 ( 21 Contracts).

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

exchanges vis-à-vis OTC contracts prices.

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

September 2011 (29th August-25th September)

October 2011 (26th September - 30th October)

Maximum Minimum Maximum Minimum IEX 3.70 (24th September) 2.10 (18th September) 7.89 (14th October) 2.58(30th October) PXIL 3.30 (25th September) 2.14 (11th September) 7.54 (14th October) 2.48(30th October) OTC Contracts 7.07 (30th August) 3.03 (14th September) 7.86 (29th September) 3.42(1st-7th October)

ψ Including swap/ banking contracts between different DISCOMS


MMC – Report 11

Overall inferences

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

contract prices were lower than the IEX and PXIL spot prices during the month. This

is generally not the case.

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

average OTC price was lower than the average exchange prices. It can be concluded

that for a buyer entering into OTC contract in September month for October delivery

the price would be much lesser than the purchasing power in day ahead market

Power Exchange in October . It is also seen that there have been a large number (43)

of contracts for less than week period of delivery.

3. In Chart 4, the Forward Curve for 90 days ahead period (for 9th November 2011 to 9th

February 2012 period of power delivery) is almost flat in the range of `3.80 -

`3.90/kWh.


MMC – Report 12

Annexure-I

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

the period 26th September – 30th October 2011* Name of Licensee 26th Sep. -

2nd October 3rd - 9th October

10th-16th October

17th - 23rd October

24th - 30th October

1 PTC India Ltd. Y(10) Y(13) Y(6) Y(15) Y(8) 2 NTPC Vidyut Vyapar Nigam Ltd. Y(4) Y(2) Y(3) Y(8) Y(8) 3 JSW-PTCL Y(2) Y(2) NIL NIL NIL 4 RPG NIL NIL NIL NIL Y(1) 5 GMR NIL NIL NIL Y(2) NIL 6 TPTCL Y(2) Y(1) Y(4) NIL Y(5) 7 SCL Y(1) NIL NIL NIL NIL

Total No. of Contracts 19 18 13 25 22

Total for month for all traders 97

Note 1: NR: Not Reported

NIL: No Contracts was made during the week

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

*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

Process of Formulation: 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.

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 (like dots) 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

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

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

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

forwards curve.

weekly reporting of otc contracts: monthly analysis · 2011-11-10 · weekly reporting of otc...

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