Presentation on theme: "144A – Calculation of Value at Risk (VAR) Simon Trivella – 24 th May 2007 Distribution Workstream."— Presentation transcript:
144A – Calculation of Value at Risk (VAR) Simon Trivella – 24 th May 2007 Distribution Workstream
Background UNC Modification 114 – Non-Implementation Workstream Discussions Clarification on ‘Best Practice’ Interpretation Connection and Use of System Code (CUSC) CAP127 Alternate UNC Modification 144A
UNC Modification 114 Introduced VAR into UNC: ““Value at Risk” at any point in time is the sum of: (i) The aggregate amount (other than Energy Balancing Charges) invoiced to the User in the previous calendar month pursuant to Section S (irrespective of whether such amount has become due for payment); and (ii) the daily average of (i) above multiplied by 15.”
UNC Modification 114 Non-Implementation Decision by Ofgem –Title of Modification –Other areas of code remain unchanged –Increase in warning notices and cash calls
Workstream Discussions Non-implemented Credit Mods to be developed Concerns raised over VAR negative / zero values in new VAR calculation in draft modification
Clarification on ‘Best Practice’ (a) the aggregate value of all charges which at that time have been billed to such counterparty (but not necessarily due) but remain unpaid; and (b) a deemed amount equal to the aggregate value of all UoS charges that would be incurred in fifteen day period at the same average daily rate implicit in billed charges under (a). This additional amount provides a proxy for UoS charges that are accrued but unbilled at any point in time, broadly in line with the time- weighted average of such charges arising in each monthly billing period.
UNC Modification 144 “Value at Risk” at any point in time is: A + (15*(A/B)) A is the aggregate amount (other than in respect of Energy Balancing Charges) invoiced to the User pursuant to Section S but remaining unpaid (irrespective of whether such amount has become due for payment); and B is the number of calendar days in the month in which the amount invoiced in A was accrued.
CUSC Modification CAP127 Calculation and Securing the Value at Risk (VaR) –BizzEnergy Ltd Alternative Amendment Ofgem Decision Letter - “VaR should be determined by considering the value of unpaid invoices plus 15 days’ usage. Ofgem understands that the payment regime under CUSC is based on forecast usage, and bills are issued at the beginning of every month with payment due on the 15th day of the month in question. Therefore it can be argued that for the first 15 days of the month a User is in debit and then in credit for the remainder of the month.”
Alternate Modification 144A In the Ofgem decision letter for CAP127 it is made clear that the additional 15 days usage reflects the invoice due date for the appropriate CUSC invoices being the 15th of each month. The equivalent due date for UNC invoices is the 20th (based on the usual Capacity Invoice due date).
Alternate Modification 144A The aggregate amount of Transportation Charges invoiced to the User in the previous calendar month but remaining unpaid (irrespective of whether such amount has become due for payment); plus The average daily rate of the aggregate amount of Transportation Charges invoiced to the User in the previous calendar month multiplied by 20.