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

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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