WEEKLY REPORTING OF OTC CONTRACTS: MONTHLY ANALYSIS (DECEMBER 2012) [An analysis of all weekly reports (reporting period 3rd – 30th December 2012) received from licensed-traders for the month of December 2012]
Economics Division Market Monitoring Cell
Central Electricity Regulatory Commission
Prepared on 9th January 2013
2
Snapshot for December 2012
The reported short-term contract volume for the
month of December 2012 (analysis of four weeks)
was 2142.96MUs whereas the same was 3699.79
MUs for the month of November 2012 (analysis of
five weeks). There is a 42% decrease in reported
contract-volume.
59% of total volume has been contracted at above
price of `4/kWh as compared to 50% during
November 2012.
Total number of contracts (including Swap &
Banking) in December 2012 (analysis of four
weeks) was 150 by 8 traders whereas in
November 2012 (analysis of five weeks) was 154
by 6.
`/kW
h
I.
The sc
Exchan
of the
price w
Chart 1
Note: It
reservati
price com
3.463
2.632
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.50
8.00
8.50
9.00
2‐Dec‐12
3‐Dec‐12
`/kW
hCompariExchange
catter diagra
nge markets
contracts w
was in the ra
: Scatter Dia
may be noted th
on while the OTC
mparison of OTC-
3.513.64
3.763.6
2.762.90
3.133.1
4‐Dec‐12
5‐Dec‐12
6‐Dec‐12
7‐Dec‐12
Contracts for AMonthsContracts for 1
Contracts for o
Contracts for l
IEX ‐ Simple Av
PXIL ‐ Simple A
ison of Pre Prices (
am shows a
s for the peri
were execute
ange of `2.90
gram depicti
hat Power Excha
C Contracts are
- Contracts and P
83.59
3.25
3.603
8
2.852.662.65
2
7Dec
12
8‐Dec‐12
9‐Dec‐12
10‐Dec‐12
C
Above 3 Months b
1 Month & upto 3
one week or above
ess than one wee
verage Daily Area
Average Daily Area
rices of on Contra
a comparativ
iod of 3rd ‐ 3
ed in the 1st
0/kWh - `6.
ing Price of E
ange is a day ah
weekly/monthly
Power Exchanges
.483.573.563.45
.932.82
3.173.11
11‐Dec‐12
12‐Dec‐12
13‐Dec‐12
14‐Dec‐12
o n t r
but Less than 12
months
e
k
Price
a Price
Short Teracted Date
ve analysis
0th Decembe
and 4th wee
36/kWh.
Electricity fo
head market with
contracts with fl
s should be seen in
53.413.133.163.
13.012.812.772.7
15‐Dec‐12
16‐Dec‐12
17‐Dec‐12
18Dec
12
r a c t
rm OTC Ce)
of price mo
er 2012. As s
ek of the rep
r OTC contra
h standardized c
lexibility of custo
n this light.
15
2.83
3.143.213
79
2.342.532.60
2
18‐Dec‐12
19‐Dec‐12
20‐Dec‐12
21‐Dec‐12
D a
Contracts
ovement in O
seen in scatt
ported period
acts and in P
ontracts with no
omization and co
3.463.393.483.7
2.852.74
3.643.6
22‐Dec‐12
23‐Dec‐12
24‐Dec‐12
25‐Dec‐12
t e
s with Po
OTC and P
ter diagram,
d and the ov
Power Exchan
o transmission co
orridor reservati
763.68
4.124.38
3
60
3.933.903.964
25Dec
12
26‐Dec‐12
27‐Dec‐12
28‐Dec‐12
3
ower
Power
most
verall
nges
orridor
on. The
3.933.864.224.26
29‐Dec‐12
30‐Dec‐12
31‐Dec‐12
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
3rd - 9th Dec 12 2.90 5.90 4.08 130.23
10th - 16th Dec 12 2.90 6.27 4.07 248.86
17th - 23rd Dec 12 2.90 6.27 4.41 277.33 24th - 30th Dec 12 2.90 6.36 4.68 1195.35
Total 1851.77
Table 2: Comparison of Prices in Day ahead Market with OTC Contracts
(Includes Term Ahead Contracts at Power Exchanges)
Contract Date (2012)
3rd Decem
ber
4th Decem
ber
5th Decem
ber
6th Decem
ber
7th Decem
ber
8th Decem
ber
9th Decem
ber
10th Decem
ber
11th Decem
ber
12th Decem
ber
13th Decem
ber
14th Decem
ber
15th Decem
ber
16th Decem
ber
IEX*(`/kWh) 3.46 3.51 3.64 3.76 3.68 3.59 3.25 3.60 3.48 3.57 3.56 3.45 3.41 3.13
PXIL*(`/kWh) 2.63 2.76 2.90 3.13 3.18 2.85 2.66 2.65 2.93 2.82 3.17 3.11 3.01 2.81
OTC Contracts**
(`/kWh) 4.08 (3rd - 9th December) 4.07 (10th - 16th December)
Contract Date (2012)
17th Decem
ber
18th Decem
ber
19th Decem
ber
20th Decem
ber
21st Decem
ber
22nd
Decem
ber
23rd Decem
ber
24th Decem
ber
25th Decem
ber
26th Decem
ber
27th Decem
ber
28th Decem
ber
29th Decem
ber
30th Decem
ber
IEX*(`/kWh) 3.16 3.15 2.83 3.14 3.21 3.46 3.39 3.48 3.76 3.68 4.12 4.38 3.93 3.86
PXIL*(`/kWh) 2.77 2.79 2.34 2.53 2.60 2.85 2.74 3.64 3.60 3.93 3.90 3.96 4.22 4.26
OTC Contracts**
(`/kWh) 4.41 (17th - 23rd December) 4.68 (24th - 30th December)
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 24-hour average price in the exchanges
during reported period was `2.34/kWh (PXIL, 19th December) while that in the OTC
market was `2.90/kWh (3rd ‐ 30th December). Maximum 24-hour average price in Day-
Ahead market at the exchange reached `4.38/kWh (IEX, 28th December) and in OTC
Market it was `6.36/kWh (26th December) which was a ‘Round‐the‐clock’ power
contract. 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.
2. As far as the number of contracts is concerned, 60 out of totals 132♣ contracts were
entered at above `4/kWh. There were a total 150 contracts including swap & banking
during the reported period. However, the cumulative volume traded above `4/kWh was
1099.66♣ MUs which is 59% of total OTC contracts for the reported period 3rd ‐ 30th
December 2012.
Chart 2: Frequency Distribution of Number of OTC Contracts
♣ Excluding swap /banking contracts since they do not have any sale price.
72
60
50
55
60
65
70
75
<_ 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 3rd - 30th December 2012
Following chart shows the number of contracts reported during December 2012,
categorized according to the period of power supply.
Chart 4: Number of Contracts Reported in December 2012
752.11
1099.66
0.00
500.00
1000.00
1500.00
<_ Rs. 4/kWh > Rs.4/kWh
Contracted
Volum
e (M
Us)
Price Range (`/kWh)
Volume of OTC Contracts
Volume of OTC Contracts
25
22
103
0
20
40
60
80
100
120
140
160
Num
ber o
f Con
tracts
Less than a week
One week or above
One month or above
7
II. Forward Curve of Power Prices
Chart 5: Forward Curve for the period January - June 2013 as on 9th January 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 January ‐ 15th June 2013, i.e. upto five months ahead period of power
supply. This forward curve is as on 9th January 2013 but based on 132 contract prices reported
by trader’s upto 30th December 2012.
Chart 5.1: Forward Curve for the period December 2012 - June 2013 as on 9th December 2012
4.39 4.39
4.74 4.74
4.46 4.464.38 4.38 4.38
3.75
3.00
3.20
3.40
3.60
3.80
4.00
4.20
4.40
4.60
4.80
5.00
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)
4.31
4.13
4.31 4.31
4.65 4.65
4.374.37 4.37
4.37
3.75
3.00
3.20
3.40
3.60
3.80
4.00
4.20
4.40
4.60
4.80
9‐Dec‐12
24‐Dec‐12
8‐Jan‐13
23‐Jan
‐13
7‐Feb‐13
22‐Feb
‐13
9‐Mar‐13
24‐M
ar‐13
8‐Apr‐13
23‐Apr‐13
8‐May‐13
23‐M
ay‐13
7‐Jun‐13
Price (`/kWh)
Delivery Dates
Forward Curve for Delivery Between (9th December, 2012‐ 15th June, 2013)
8
Observations
1. The Forward Curve for the next five months period i.e. January - June 2013 as on 9th
January 2012 has fluctuated in the range of `3.75 - `4.74/kWh. Thereafter in June 2013
the curve drops down since certain higher priced contracts are expiring in May 2013.
2. The Forward Curve as on 9th January 2013 has been formulated for a period of five
months based on reported contracts (for 9th January 2012 - 15th June 2013 period of
power delivery). The numbers of contracts reported for the initial months (January and
February 2013) were higher (25 and 13 contracts respectively) than those of later
months i.e. April to June 2013 (5 and 1 contracts respectively). It is in alignment with
the general trend that liquidity is higher for nearer months compared to farther
months.
3. A comparison of forward curves (Chart 5 & Chart 5.1) gives us a picture of expected
delivery price for December 2012 - June 2013 as on 9th December (Chart 5.1) and as on
9th January (Chart 5). It is possible that the prices for the same delivery period are
different during different periods of time when contracts were being signed. For
instance prices for expected delivery for February 2013 have increased from `4.65/kWh
(in December 2012) to `4.74/kWh (in January 2013).
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 December 2012
4.314.31 4.31 4.31 4.31 4.30 4.30 4.30 4.304.13 4.12 4.08 4.09 4.09 4.09 4.09 4.09 4.09
3.46 3.513.64
3.76 3.68 3.59
3.25
3.603.48 3.57 3.56
3.45 3.41
3.13 3.16 3.15
2.83
3.14 3.21
3.46 3.39 3.483.76 3.68
4.12
4.38
3.93 3.86
2.632.76
2.903.13 3.18
2.852.66 2.65
2.932.82
3.17 3.113.01
2.81 2.77 2.79
2.342.53 2.60
2.852.74
3.64 3.60
3.93 3.90 3.96
4.22 4.26
0.00
1.00
2.00
3.00
4.00
5.00
6.00
3‐Dec‐12
4‐Dec‐12
5‐Dec‐12
6‐Dec‐12
7‐Dec‐12
8‐Dec‐12
9‐Dec‐12
10‐Dec‐12
11‐Dec‐12
12‐Dec‐12
13‐Dec‐12
14‐Dec‐12
15‐Dec‐12
16‐Dec‐12
17‐Dec‐12
18‐Dec‐12
19‐Dec‐12
20‐Dec‐12
21‐Dec‐12
22‐Dec‐12
23‐Dec‐12
24‐Dec‐12
25‐Dec‐12
26‐Dec‐12
27‐Dec‐12
28‐Dec‐12
29‐Dec‐12
30‐Dec‐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 range of `2.34 to `4.38/
kWh during the month. However the OTC - contracts delivery prices have been
more or less stable in the range of `4.08 to `4.31/ 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 5: List of Trading Licensees who have undertaken Contracts in
the period 3rd – 30th December 2012*
Sr.No. Name of Licensee 3rd - 9th Dec 12
10th - 16th Dec 12
17th - 23rd Dec 12
24th - 30th Dec 12
1 PTC India Ltd. Y(47) Y(20) Y(17) Y(14) 2 NTPC Vidyut Vyapar Nigam Ltd. Y(3) Y(6) Y(12) Y(14) 3 Adani Enterprises Ltd. Y(2) Y(2) Y(2) Y(2) 4 Reliance Energy Trading (P) Ltd NIL Y(2) NIL NIL 5 National Energy Trading & Services Ltd NIL Y(1) NIL NIL 6 JSW Power Trading Company Ltd NIL Y(1) NIL Y(1) 7 Instinct Infra & Power Ltd. NIL NIL NIL Y(2) 8 Shree Cement Ltd. NIL Y(1) Y(1) NIL
Total No. of Contracts 52 33 32 33 Total for month for all traders 150
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 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