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Do Ranking das Distribuidoras ao risco de Crédito no Pool- A remuneração dos Investimentos em Geração Elétrica no Brasil

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  • Katia Rocha
  • Francisco A. Alcaraz Garcia

Abstract

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.

Suggested Citation

  • Katia Rocha & Francisco A. Alcaraz Garcia, 2005. "Do Ranking das Distribuidoras ao risco de Crédito no Pool- A remuneração dos Investimentos em Geração Elétrica no Brasil," Discussion Papers 1086, Instituto de Pesquisa Econômica Aplicada - IPEA.
    • Handle: RePEc:ipe:ipetds:1086
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    References listed on IDEAS

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