English, Article, Journal or magazine article edition: Do Ranking das Distribuidoras ao risco de Crédito no Pool- A remuneração dos Investimentos em Geração Elétrica no Brasil Katia Rocha; Francisco A. Alcaraz Garcia

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Bookmark: http://trove.nla.gov.au/version/2034
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Do Ranking das Distribuidoras ao risco de Crédito no Pool- A remuneração dos Investimentos em Geração Elétrica no Brasil
Author
  • Katia Rocha
  • Francisco A. Alcaraz Garcia
Physical Description
  • preprint
Notes
  • The new Brazilian Electric Sector Regulation issued in 2004 introduced twonegotiation markets for the energy supply: the regulated pool (ACR) and the freemarket (ACL). Competition is enforced via energy auctions, where the winninggenerator has to sign long-term power purchase agreements (PPA) simultaneouslywith all distributors at the bidding-price. In order to estimate the appropriate creditrisk spread of the pool, we implement a clustering methodology to rank and rate thedistributors. The results show an average spread between 5.75% and 8.5% for thepool, which corresponds to a credit rating of B? (two levels below the Braziliancountry risk). This estimation is at least 208 basis points higher than the credit ratingBa1/​BB+ assigned to the distributors by the National Electric Energy Agency (Aneel)in the periodic tariff revisions, which implies an underpricing of risk. On average,distributors with higher risk/​spread are located in the South-Southeast region,compared to the low risk/​spread ones that are concentrated in the North-Northeast.This behavior is kept during the period of study (2001-2004). Due to the risksharing mechanism of the pool, a generator that used to trade just in the North-Northeast market is now bearing a risk 480 basis points higher.We estimate the opportunity cost of capital in real terms in the range 13%-16% toaccount for the credit risk of the pool. Essential to determine the bidding price at theauctions, this estimation is considerably higher than the 11.26% opportunity costestimated by Aneel in the 2003-2004 periodic revisions. Since efficient marketsshould correctly price the risks and returns, the pool?s credit risk has to be taken intoconsideration, especially for compensating private capital investments in Brazilianpower generation.
  • RePEc:ipe:ipetds:1086
Language
  • English
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