The monthly meeting of the CMSE (Electricity Sector Monitoring Committee), scheduled for the afternoon of this Wednesday (10), has become one of the most anticipated events of the year for the energy market.
On the agenda is the definition of risk aversion parameters – the so-called CVaR – which will guide the computational models responsible for the operation of the SIN (National Interconnected System) and the formation of the PLD (Price of Settlement of Differences) from 2027 onwards.
The topic gained significant relevance in a context of high prices, difficulties faced by energy trading companies, and growing dispute over the balance between energy security and affordable tariffs.
The decision was initially scheduled for May, but was eventually postponed so that the ONS (National Electric System Operator) and the CCEE (Electric Energy Trading Chamber) could conduct additional studies considering the effects of the LRCAP (Capacity Reserve Auction), held in March.
The contracting of approximately 20 GW of power has become a new element in the debate, as it expands the resources available to guarantee the system's supply. Currently, the CVaR 15/40 parameter, adopted since January 2025, is in effect.
In practice, it assigns a weight of 40% to the 15% worst hydrological scenarios, making the operation more conservative and inducing the early dispatch of thermoelectric plants to preserve the reservoirs.
The discussion now revolves around the possibility of relaxing this criterion, reducing risk aversion without compromising security of supply.
Debate pits cost against safety.
The CVaR directly influences the Marginal Cost of Operation (CMO) and, consequently, the PLD, a benchmark for settlements in the short-term market and an important indicator of future energy prices.
The more conservative the parameter, the more frequent the preventive activation of thermal power plants tends to be, increasing operating costs.
On the other hand, less risk-averse criteria reduce immediate thermal dispatch, but may increase the system's exposure in the event of adverse hydrological scenarios.
Therefore, the CMSE's decision is seen as a turning point for generation agents, traders, and free consumers, especially at a time of strong market tension.
Comerc defends CVaR 15/30
Among the contributions presented to the debate is the study prepared by Comercwhich concludes that the current process for defining risk aversion still has significant methodological limitations.
According to the trading company, the model currently used suffers from the use of a NEWAVE model that does not converge adequately, the use of extreme scenarios with low discriminatory capacity, the absence of objective quantitative criteria for decision-making, and a lack of transparency regarding the assumptions considered in the technical studies.
The company also criticizes the restriction of analyses to the CVaR (15,x) family and the absence of assessments involving the entire chain of optimization models in the sector. Another point questioned is the use of VMinOp (Minimum Operating Volume) as an additional reinforcement of energy security.
According to Comerc, this is an instrument designed to reflect structural and operational constraints, whose use as an additional risk aversion mechanism introduces distortions and may increase costs without proportional benefits.
Given this diagnosis, the company recommends adopting CVaR 15/30 as the primary alternative, considering that this parameter preserves the established safety criteria, especially during the critical months of reservoir recovery, offering a better cost-risk ratio.
As a subsidiary option, the CVaR 15/35 is suggested, which is also considered more efficient than the currently existing model.
Comerc also advocates for a structural review of the methodology in the coming cycles, including improvements in the construction of hydrological scenarios, greater predictability regarding the assumptions used, and the incorporation of the impacts of CVaR changes in the results of the DESSEM model.
Manifesto increased pressure
In the days leading up to the CMSE meeting, seven associations in the electricity sector released the manifesto "Energy security in the right measure," increasing pressure for a relaxation of the criteria currently adopted.
The document was signed by the following entities:
- ABEEólica (Brazilian Wind Energy Association);
- FNCE (National Front of Energy Consumers);
- Cogen (Association of the Cogeneration Energy Industry);
- Anace (National Association of Energy Consumers);
- Abraceel (Brazilian Association of Energy Traders);
- Abrace (Brazilian Association of Large Energy Consumers and Free Consumers);
- Abiape (Brazilian Association of Investors in Self-Production of Electrical Energy).
The entities advocate for the adoption of the CVaR 15/30, arguing that the parameter would provide a reduction of approximately R$ 85/MWh in the CMO and a negative tariff impact of 1,74%, preserving the security of supply even in the face of severe hydrological scenarios.
According to the manifesto, maintaining the current CVaR 15/40 would mean imposing an additional cost of around R$ 3 billion on consumers to obtain a marginal gain of only 0,4 percentage points in reservoir storage.
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