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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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Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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)
Weekly Reporting of OTC Contracts: Monthly Analysis
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.
Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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.
Weekly Reporting of OTC Contracts: Monthly Analysis
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.
Weekly Reporting of OTC Contracts: Monthly Analysis
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
Weekly Reporting of OTC Contracts: Monthly Analysis
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.