credit management nprr 484/554
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Credit Management NPRR 484/554. Legal Disclaimers and Admonitions. PROTOCOL DISCLAIMER - PowerPoint PPT PresentationTRANSCRIPT
Credit Management NPRR 484/554
Legal Disclaimers and Admonitions
PROTOCOL DISCLAIMER This presentation provides a general overview of NPRR 484/554 and is not
intended to be a substitute for the ERCOT Nodal Protocols (available at http://nodal.ercot.com/protocols/index.html), as amended from time to time. If any conflict exits between this presentation and the ERCOT Nodal Protocols, the ERCOT Nodal Protocols shall control in all respects. ANTITRUST ADMONITIONERCOT strictly prohibits market participants and their employees, who are participating in ERCOT activities, from using their participation in ERCOT activities as a forum for engaging in practices or communications that violate antitrust laws. The ERCOT Board has approved Guidelines for Members of ERCOT Committees, subcommittees, and working Groups to be reviewed and followed by each market participants attending ERCOT meetings. If you have not received a copy of these Guidelines, please take one now, review it at this time, and remember your ongoing obligation to comply with all applicable laws, including antitrust laws.
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Workshop objectives
Gain an understanding of…• Credit Changes related to implementation of NPRR 484/554• High Level FCE Calculations• Credit Report Templates• Implementation Phases• Phase 1a Transition / Go-Live Plan and Key Dates
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Workshop outline
Introduction NPRR 484/554 Overview Total Potential Exposure - TPES & TPEA NPRR 484/554 Credit Calculations
Future Credit Exposure - FCE Future Credit Exposure for CRR Point to Point Obligations – FCEOBL Future Credit Exposure for CRR Point to Point Options – FCEOPT Future Credit Exposure for CRR Flow gate Rights – FCEFGR Calculations Template
Credit Report Templates FCEOBL Summary Report FCEOPT Summary Report FCEOBL Details Report FCEOPT Details Report
Implementation Phases Phase 1a Transition / Go-Live Plan & Key Dates Q & A
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NPRR 484
NPRR 484 : Revisions to Congestion Revenue Rights Credit Calculations and Payments Description: This Nodal Protocol Revision Request (NPRR) replaces the
Congestion Revenue Right (CRR) Auction credit calculations with path-specific exposure calculations based on Day-Ahead Market (DAM) clearing prices over a rolling period and revises the Future Credit Exposure (FCE) calculations for CRR Account Holders; which results in a modification to the payment schedule for CRRs.
On 3/19/13, the ERCOT Board approved NPRR484 as recommended by TAC in the 2/7/13 TAC Report.
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NPRR 554
NPRR 554 : Clarification of Future Credit Exposure Calculation This Nodal Protocol Revision Request (NPRR) clarifies certain language in
Section 16.11.4.5 that was introduced by NPRR484, Revisions to Congestion Revenue Rights Credit Calculations and Payments. In particular, this NPRR proposes (1) revisions to the Future Credit Exposure (FCE) calculation to explicitly recognize deferred Invoice-related exposure separate from mark-to-market exposure; (2) modification of certain variables and subscripts that would otherwise appear to require calculation of certain portfolio-level values based on path-specific inputs; and (3) various administrative revisions. These changes are intended to be consistent with, and in furtherance of, the purposes of NPRR 484.
Scheduled for Board approval at the upcoming BoD meeting .
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NPRR 484/554 - Overview
CRR Auction Credit Requirement (ACR) for obligations valued at maximum of bid price, most recent auction clearing price, or path-specific P99 adder
FCE for PTP Obligations based on net portfolio obligation MWs at the minimum of P100 portfolio-weighted adders or most recent portfolio-weighted auction clearing price
FCE for PTP Options and FGRs based on net portfolio options/FGRs at P99 path-specific adder
Invoice exposures beyond current and prompt months will be collateralized rather than invoiced until operating month becomes prompt month
Provision for “State Change Adder” adjustment for both auction and future exposures to reflect changes in path conditions
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Credit Calculations
Credit Calculations - Summary
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EALq = Max[(IELq during the first 40-days + DALEq), (Max{RTLE during the previous 40-days} + DALEq), (RTLFq + DALEq)] + Max[RTLCNSq,Max{URTAq during previous 40-days}] + OUTq + PULq
TPEA=
Max [0, MCE, Max(0, (EALQ + CRRA*EALA))]
EALa = Max[Max[RTLCNSa, Max{URTAa during previous 40-days}] + OUTa + PULa
TPES=
Max [0,((1-CRRA)*EALA)] + Max [0, FCEA] + IA
FCEa
IEL = DEL x Max[0.2, RTEFL] x RTAEP x (M1+M2)IEL = DEG x Max[0.2, RTEFG] x RTAEP x (M1+M2)IEL = DEL x Max[0.1, RTEFL] x RTAEP x (M1+M2) + DEG x Max[0.1, RTEFG] RTAEP x (M1+M2)
DALE = Average of CP level total of DAM Statements of QSEs by operating date * M1
RTLE = Average of CP level total of RTM Initial Statements of QSEs by operating date * M1
URTA = Average of CP level total of RTM Initial Statements of QSEs by operating date * M2
RTLF = 7 days Sum of CP level total of RTM Estimates of QSEs by operating date * 150%
OUT = OIA + UFTA + UDAA + CARD
RTLCNS = Sum of CP level total of RTM Estimates of QSEs by operating date for all RTM completed and not settled operating days
PUL = Estimated Potential Uplift for the CP for QSEs
OIA = CP level sum of (Invoice Amount - Payment Amount)
of all Invoices of all QSEs
UFTA = Average of CP level total of RTM Final Statements of QSEs by operating date * 57 + Average of CP level total of RTM True-Up Statements of QSEs by operating
date * 180
UDAA = Sum of CP level total of DAM Estimates of QSEs by operating date for all DAM completed and not settled
operating days
CARD = CP Level Estimated Credit of CRR Auction Revenue
Distribution
URTA = Average of CP level total of RTM Initial Statements of CRRAHs by operating date * M2
OUT = OIA + UFTA + UDAA
RTLCNS = Sum of CP level total of RTM Estimates of CRRAHs by operating date for all RTM completed and not settled operating days
PUL = Estimated Potential Uplift for the CP for CRRAHs
OIA = CP level sum of (Invoice Amount - Payment Amount) of all Invoices of all CRRAHs
UFTA = Average of CP level total of RTM Final Statements of CRRAHs by operating date * 57 +
Average of CP level total of RTM True-Up Statements of CRRAHs by operating date * 180
UDAA = Sum of CP level total of DAM Estimates of CRRAHs by operating date for all DAM
completed and not settled operating days
Credit Exposure Calculations Summary
Credit Calculations - Summary
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FCEOBL o = ∑m [(∑h ∑j, k NAOBLMW m, h, (j, k), o ) * (-Min(0,PWA ci100, m, o, PWACP m, o)) + SEAOBL m, o]
FCE = FCEOBL o + FCEOPT o + FCEFGR o +
DIEOBL o + DIEOPT o+ DIEFGR o
FCE Calculation Summary
DIEOBL o = ∑m ∑h ∑j, k
[(FPOBLMW m, h, (j, k), o * POBLACP m, h, (j, k), o) – (FSOBLMW m, h, (j, k), o * SOBLACP m, h, (j, k), o)]
O= Owner / Counter-Partym = Operating Monthh = Operating Hourk = Sink Settlement Pointj = Source Settlement Pointf = Flow Gate RightS = Stage Change Adder
SEAOBL m, o = ∑h ∑j, k
[(FPOBLMW m, h, (j, k), o – FSOBLMW m, h, (j, k), o ) * S m, h, (j, k)]
DIEOPT o = ∑m ∑h ∑j, k
[(FPOPTMW m, h, (j, k), o * POPTACP m, h, (j, k), o) - (FSOPTMWm, h, (j, k), o * SOPTACP m, h, (j, k), o)]
DIEFGR o = ∑m ∑h ∑f
[(FPFGRMW m, h, f, o * PFGRACP m, h, f, o) - (FSFGRMW m, h, f, o * SFGRACP m, h, f, o)]
FCEOPT o = - ∑m ∑h ∑j, k [(NAOPTMW m, h, (j, k), o) * Max(0,A ci99, ctou, (j, k))]
FCEFGR o =- ∑m ∑h ∑f [(NAFGRMW m, h, f, o) * Max(0,A ci99, ctou, f)]
Credit Calculations – FCE Overview
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FCE o = FCEOBL o + FCEOPT o + FCEFGR o + DIEOBL o + DIEOPT o + DIEFGR o
FCE = Future Credit Exposure based on Mark to Market valuation FCEOBL = Future Credit Exposure for PTP Obligations FCEOPT = Future Credit Exposure for PTP Options FCEFGR = Future Credit Exposure for Flow Gate Rights
DIE = Deferred Invoice Exposure to cover exposure due to deferred invoicing of purchased or sold CRR Awards
• DIEOBL = Deferred Invoice Exposure for PTP Obligations• DIEOPT = Deferred Invoice Exposure for PTP Options• DIEFGR = Deferred Invoice Exposure for Flow Gate Rights
Credit Calculations – FCEOBL Overview
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FCEOBL Based on Monthly Portfolios of PTP Obligations(group of PTP Obligation
Awards owned by Counterparty for the operating month) Each PTP Obligation award is valued based on 30 day historical rolling
average DAM Settlement Point Prices. Portfolio value w.r.t to given operating day is aggregated value of its PTP
Obligation awards. Portfolio Weighted Adder (PWA)
Percentile of volume weighted value of portfolio per MWH based on historical DAM prices
Portfolio Weighted Auction Clearing Price (PWACP) Volume weighted value of portfolio per MWH based on most recent Auction Clearing
Prices Portfolio exposure is highest risk (highest –ve value) of PWA and PWACP.
Credit Calculations – FCEOPT / FCEFGR Overview
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FCEOPT / FCEFGR Based on Monthly Portfolios of PTP Options(group of PTP Option
Awards owned by Counterparty for the operating month) Exposure calculated only for remaining days of current and prompt
operating months Path Specific Adder (Aci99)
Value per MWH is calculated based on 99th percentile confidence interval of 30 day historical rolling average DAM Settlement Point Prices
Each PTP Option Award value is Aci99 * MWH Portfolio value is aggregated value of its PTP Option awards Currently there are no active FGRs
Credit Calculations – NPRR 484/554 Calculations Template
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A semi-automatic template for NPRR 484/554 Calculations provided, this template has its own limitations and data dependencies.
DISCLAIMER :This template is created for demonstration and training purposes of NPRR 484/554 calculations which is highly dependent on data entered, and is not intended to be a substitute for the ERCOT Protocols or Other Binding Documents (available at http://www.ercot.com/mktrules/). Should a conflict exist between this document and the ERCOT Protocols or an Other Binding Document, the ERCOT Protocols or Other Binding Document shall control.
Credit Report Templates(Templates spreadsheet provided)
Implementation Phases
NPRR 484/554 – Implementation Plan
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Implementation is planned to occur in phases to bring potential benefits to the market as soon as feasible to avoid conflicts with other major initiatives (i.e. Settlements system rewrite)
PHASE 1A: Path specific adders (Aci99) in CRR credit lock calculations (Protocol Sections
7.5.3, 7.5.5.3) FCEOBL calculations based on PWA and PWACP (Protocol Section, 16.11.4.5) FCEOPT / FCEFGR calculations based on Path Specific Adder (Aci99) (Protocol
Section, 16.11.4.5, No FGRs active) FCEOBL Summary Report (Protocol Sections 16.11.4.7) FCEOPT Summary Report (Protocol Sections 16.11.4.7) FCEFGR Summary Report (Protocol Sections 16.11.4.7, No FGRs active)Note: Any functionality that cannot be implemented due to system / timeline limitations will be deferred later phases; ERCOT will provide updates on the progress of implementation.
NPRR 484/554 – Implementation Plan
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PHASE 1B: FCE Detail Reports FCEOBL Detail Report (Protocol Sections 16.11.4.7) FCEOPT Detail Report (Protocol Sections 16.11.4.7) FCEFGR Detail Report (Protocol Sections 16.11.4.7, No FGRs active). Portion of PWA functionality;
Specific historic DAM settled prices for source – sink pairings can be excluded from the calculation if deemed no longer relevant following TAC review and ERCOT Board approval
Any functionality deferred from Phase 1A (excluding PHASE 2 functionality) due to system / timeline limitations.
PHASE 2: Deferred Invoice Responsibility (Protocol Sections 7.8, 9.8, 9.9, 9.9.1, 9.9.2) Deferred Invoice Exposure Calculations (Protocol Section 16.11.4.5)
Contact Information
ERCOT Credit Staff
Zaldy Zapanta• PHN: 512 225 7015
Maruthi Gaddam• PHN: 512 275 7441
Julio Dovalina• PHN: 512 225 7412
Suresh Pabbisetty• PHN: 512 225 7244
Vanessa Spells • PHN: 512 225 7014
Please send any credit inquiries to:» [email protected]
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Questions?