WEEKLY REPORTING OF OTC CONTRACTS: MONTHLY ANALYSIS (SEPTEMBER 2012) [An analysis of all weekly reports (reporting period 27th August – 30th September 2012) received from licensed-traders for the month of September 2012]          

  

Economics Division Market Monitoring Cell

Central Electricity Regulatory Commission

Prepared on 9th October 2012

2

Snapshot for September 2012

The reported short-term contract volume for the

month of September 2012 (analysis of five weeks)

was 3044.42 MUs whereas the same was 1932.83

MUs for the month of August 2012 (analysis of

four weeks). There is a 58% increase in reported

contract-volume.

63% of total volume has been contracted at above

price of `4/kWh as compared to 77% during

August 2012.

Total number of contracts (including Swap &

Banking) in September (analysis of five weeks)

was 76 by 7 traders whereas in August (analysis

of four weeks) was 115 by 6 traders.

I.

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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

27th Aug. - 2nd Sept. 3.61 4.80 4.24 1378.88 3rd - 9th Sept. 3.72 5.04 4.35 212.37

10th - 16th Sept. 3.75 4.45 4.20 240.18 17th - 23rd Sept. 3.90 5.47 4.58 343.73 24th - 30th Sept. 3.74 4.60 3.85 708.46

Total 2883.62

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

(Includes Term Ahead Contracts at Power Exchanges)

Contract Date

(2012)

27th August 

28th August 

29th August 

30th August 

31st August 

1st S

eptembe

r 

2nd Septem

ber 

3rd Septem

ber 

4th Septem

ber 

5th Septem

ber 

6th Septem

ber 

7th Septem

ber 

8th Septem

ber 

9th Septem

ber 

10th Sep

tembe

r 

11th Sep

tembe

r 

12th Sep

tembe

r 

13th Sep

tembe

r 

14th Sep

tembe

r 

15th Sep

tembe

r 

16th Sep

tembe

r 

IEX* (`/kWh) 3.32  2.66  2.82  3.05  3.05  3.00  2.30  2.91  2.78  2.36  2.45  2.74  2.51  2.20  2.68  2.69  2.84  2.99  3.01  2.65  2.33 

PXIL* (` kWh) 2.77  2.56  1.83  2.64  2.78  2.15  1.94  1.67  1.76  2.05  2.42  2.75  2.15  1.92  2.05  2.18  2.13  2.26  2.24  1.96  1.50 

OTC Contracts**

(`/kWh) 4.24 (27th Aug. - 2nd Sept.) 4.35 (3rd - 9th Sept.) 4.20 (10th - 16th Sept.)

Contract Date

(2012)

17th Sep

tembe

r 

18th Sep

tembe

r 

19th Sep

tembe

r 

20th Sep

tembe

r 

21st Sep

tembe

r 

22nd

 Sep

tembe

r 

23rd Sep

tembe

r 

24th Sep

tembe

r 

25th Sep

tembe

r 

26th Sep

tembe

r 

27th Sep

tembe

r 

28th Sep

tembe

r 

29th Sep

tembe

r 

30th Sep

tembe

r 

IEX* (`/kWh) 2.44  2.59  2.56  2.68  2.97  3.03  2.95  3.21  3.44  3.53  3.76  4.00  4.44  4.61 

PXIL* (`/kWh) 2.80  1.96  1.83  1.39  1.93  1.61  1.83  2.04  3.17  2.48  4.08  3.91  3.12  3.29 

OTC Contracts**

(`/kWh) 4.58 (17th - 23rd Sept.) 3.85 (24th - 30th Sept.)

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   

5

Observations

1. It is observed that IEX and PXIL prices were generally below the average OTC contract

prices during the reported period. The minimum price in the exchanges during reported

period was `1.39/kWh (PXIL, 20th September) while that in the OTC market was

`3.61/kWh (2nd September). Maximum price in Day-Ahead market at the exchange

reached `4.61/kWh (IEX, 30th September) and in OTC Market it was `5.47/kWh (17th

September) which was a ‘Round-the-Clock’ power contract. It may be noted that Power

Exchange is a day ahead market with standardized contracts and no transmission corridor

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

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

Contracts and Power Exchanges should be seen in this light.

2. As far as the number of contracts is concerned, 36 out of totals 59♣ contracts were entered

at above `4/kWh. There were a total 76 contracts including swap & banking during the

reported period. However, the cumulative volume traded above `4/kWh was 1829.48♣

MUs which is 63% of total OTC contracts for the reported period 27th August – 30th

September 2012.

Chart 2: Frequency Distribution of Number of OTC Contracts

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

23

36

05

10152025303540

<_ Rs. 4/kWh > Rs.4/kWh

Num

ber o

f Con

tracts

No. of OTC Contracts

6

Chart 3: Cumulative Volume Traded below and above `4/kWh 27th August – 30th September 2012

Following chart shows the number of contracts reported during September 2012,

categorized according to the period of power supply.

Chart 4: Number of Contracts Reported in September 2012

1054.14

1829.48

0.00

500.00

1000.00

1500.00

2000.00

<_ Rs. 4/kWh > Rs.4/kWh

Contracted

 Volum

e (M

Us)

Price Range (`/kWh)

Volume of OTC  Contracts

Volume of OTC  Contract

28

13

35

0

10

20

30

40

50

60

70

80

Num

ber o

f Con

tracts Less than a week

One week or above

One month or above

Above three months and upto 12 months

7

II. Forward Curve of Power Prices

Chart 5: Forward Curve for the period October 2012 - June 2013

as on 9th October 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 now for

supply of power from 9th October 2012 - 15th June 2013, i.e. eight months ahead period of

power supply. This forward curve is as on 9th October 2012 but based on 59 contract prices

reported by trader’s upto 30th September 2012.

Chart 5.1: Forward Curve for the period September 2012 - June 2013

as on 9th September 2012

4.27 4.27 4.27 4.274.18

3.81

4.11 4.11 4.13 4.13 4.13

3.75

3.00

3.20

3.40

3.60

3.80

4.00

4.20

4.40

4.60

9‐Oct‐12

24‐Oct‐12

8‐Nov‐12

23‐Nov‐12

8‐Dec‐12

23‐Dec‐12

7‐Jan‐13

22‐Jan

‐13

6‐Feb‐13

21‐Feb

‐13

8‐Mar‐13

23‐M

ar‐13

7‐Apr‐13

22‐Apr‐13

7‐May‐13

22‐M

ay‐13

6‐Jun‐13

Price (`/kWh)

Delivery Dates

Forward Curve for Delivery Between (9th October, 2012‐ 15th  June, 2013)

4.17

4.204.26 4.27

4.22 4.22

3.76

4.13 4.13 4.13 4.13

3.75

3.00

3.20

3.40

3.60

3.80

4.00

4.20

4.40

4.60

9‐Sep‐12

24‐Sep

‐12

9‐Oct‐12

24‐Oct‐12

8‐Nov

‐12

23‐Nov‐12

8‐Dec‐12

23‐Dec‐12

7‐Jan‐13

22‐Jan

‐13

6‐Feb‐13

21‐Feb

‐13

8‐Mar‐13

23‐M

ar‐13

7‐Apr‐13

22‐Apr‐13

7‐May‐13

22‐M

ay‐13

6‐Jun‐13

Price (`/kWh)

Delivery DatesForward Curve for Delivery Between (9th September, 2012‐ 15th  June, 2013)

8

Observations

1. The Forward Curve for the next eight months period i.e. October 2012 - June 2013 as on

9th October 2012 is generally flat in the range of `3.75 - `4.27/kWh. Thereafter in June

2013 the curve drops down since certain higher priced contracts are getting completed

in May 2013.

2. The Forward Curve as on 9th October 2012 has been formulated for a period of eight

months based on reported contracts (for 9th October 2012 - 15th June 2013 period of

power delivery). The numbers of contracts reported for the initial months (October

and November 2012) were higher (18 and 16 contracts respectively) than those of later

months i.e. February 2013 to June 2013 (3 and 1 contracts respectively). It is in

alignment with the general trend that liquidity is higher for nearer months compared

to farther months.

   

  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). The process of calculating the data points of OTC prices is same as in the forward

curve.

Chart 5: Comparison OTC Deliveries and Power Exchange Spot Delivery Price for September 2012

4.39 4.394.17 4.18 4.19 4.18 4.18

3.68

4.21 4.21 4.21 4.214.21

4.21

3.32

2.662.82

3.053.053.00

2.30

2.912.78

2.362.452.74

2.512.20

2.682.692.84

2.993.01

2.652.332.44

2.592.562.682.973.032.95

3.213.443.53

3.764.00

4.444.61

2.772.56

1.83

2.642.78

2.151.94

1.671.762.05

2.42

2.75

2.151.922.05

2.182.132.262.241.96

1.50

2.80

1.961.83

1.39

1.931.61

1.832.04

3.17

2.48

4.083.91

3.123.29

0.00

1.00

2.00

3.00

4.00

5.00

6.00

27‐Aug

‐12

29‐Aug

‐12

31‐Aug

‐12

2‐Sep‐12

4‐Sep‐12

6‐Sep‐12

8‐Sep‐12

10‐Sep

‐12

12‐Sep

‐12

14‐Sep

‐12

16‐Sep

‐12

18‐Sep

‐12

20‐Sep

‐12

22‐Sep

‐12

24‐Sep

‐12

26‐Sep

‐12

28‐Sep

‐12

30‐Sep

‐12

Pri

ce (

`/kW

h)

Delivery Dates

Daily Weighted Avgerage OTC Price 

IEX‐Simple Average Daily Area Price

PXIL‐Simple Average Daily Area Price

  10

Observations

1. The prices in power exchanges have fluctuated over a wide range (` 1.39 to `4.61/

kWh) over the month. However the OTC - contracts delivery prices have

fluctuated over a narrower range of `3.68 to `4.39/kWh and have been generally

higher than power exchange prices during the month. It may be noted that Power

Exchange is a day ahead market with standardized contracts with no transmission

corridor assurance while the OTC - Contracts are weekly/monthly contracts with

flexibility of customization and transmission corridor assurance. The price

comparison of OTC - Contracts and Power Exchanges should be seen in this light.

  11

Annexure-I

Table 5: List of Trading Licensees who have undertaken Contracts in

the period 27th August – 30th September 2012*

Sr.No. Name of Licensee 27th Aug.-2nd Sept.

3rd - 9th Sept.

10th - 16th Sept.

17th - 23rd Sept.

24th - 30th Sept.

1 PTC India Ltd. Y(4) Y(5) Y(3) Y(5) Y(1) 2 NTPC Vidyut Vyapar Nigam Ltd. Y(18) Y(3) Y(8) Y(9) NIL 3 GMR Energy Trading Ltd. NIL Y(6) NIL NIL NIL 4 Adani Enterprises Ltd Y(1) Y(1) NIL NIL Y(3) 5 National Energy Trading & Services Ltd Y(1) Y(2) NIL NIL NIL 6 JSW Power Trading Company Ltd Y(4) NIL Y(1) NIL NIL 7 Shree Cement Ltd. Y(1) NIL NIL NIL NIL

Total No. of Contracts 29 17 12 14 4 Total for month for all traders 76

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 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

  13

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 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 hour) 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:

Hourly Average (Hn) = (A1+ A2+ E1+E2+N1+N2+N3+W1+W2+W3+S1+S2) /12

for Hour 1 to 24

Simple Average Area Price = (H1 + H2 +… +H23+ H24) / 24 for the full day.