Future Credit Exposure (FCE) Vanessa Spells Spoorthy Papudesi Credit Work Group ERCOT Public February 15, 2017

Future Credit Exposure (FCE) FCE a = FCEOBL a + FCEOPT a Future Credit Exposure for PTP Obligations (FCEOBL) Projected over current month and all future months Future Credit Exposure for PTP Options (FCEOPT) Projected over current month and next month Credit for PTP Options offsets the exposure for PTP Obligations

Future Credit Exposure for PTP Obligations FCEOBL a = ∑ [NAOBLMW ) * (-Min(0, PWA ci100, PWACP))] NAOBLMW = Net Awarded PTP Obligations for Portfolio TOU hours of current month, next month, and hours of Forward months PWA = Portfolio Weighted Adder Volume-weighted average price Based on historical CRR path values -or – PWACP = Portfolio Weighted Auction Clearing Price From most recent Auction Note: Higher of PWA or PWACP

Future Credit Exposure for PTP Obligations (FCEOBL) Portfolio Weighted Adder (PWA) Monthly average price Three-year look-back PWAci100 ci100 = 100th percentile Confidence Interval Volume-Weighted Average DAM Price per Month 4

FCEOBL FCE Obligations Portfolio Exposure Summary Report Generated at: Feb 13, 2017 8:26 AM Input Parameter(s) Value(s)   Business Date 02/13/2017 ERCOT ID: xx xxxx FCE Obligations Portfolio Exposure Summary PWACP         State Change Total              Portfolio Portfolio Total PWA (Portfolio   High Risk PWA (Portfolio       Portfolio   Adder       Operating Month MWH        Weighted Adder) Date          Weighted ACP) Exposure Exposure    Totals: 16,251,730.67 7,921.00 0.00 02/01/2017 251,730.67 0.0072 12/08/2015 0.2216 03/01/2017 2,000,000.00 0.0040 0.0996 04/01/2017 1,500,000.00 -0.0018 0.1475 2,700.00 05/01/2017 -0.0001 12/09/2015 0.1287 200.00 06/01/2017 2,300,000.00 -0.0021 0.1985 4,761.00 07/01/2017 0.0035 03/31/2015 0.2576 08/01/2017 1,900,000.00 0.0002 0.2191 09/01/2017 0.0053 0.2087 10/01/2017 0.0024 0.1854 11/01/2017 1,300,000.00 -0.0002 260.00 ERCOT Confidential * Includes the corresponding adjustments (if any) that were made to the calculations Page  1 / 2

Future Credit Exposure for PTP Options (FCEOPT) FCEOPT a = - ∑[NAOPTMW * Max(0, A ci99,] NAOPTMW = Net Awarded PTP Options for source-to-sink path All Source/sink pairs Remaining TOU hours of current month and next month (Prompt Month) A = Path-Specific DAM-Based Adder (price) Based on historical average prices Each path has its own value

Future Credit Exposure for PTP Options (FCEOPT) Path-Specific Adder Calculated for each source/sink pair Three year look-back Aci99 ci99 = 99th percentile Confidence Interval Average DAM Price per Monthly TOU Block 7

FCEOPT FCE Options Portfolio Exposure Summary Report Generated at: Feb 13, 2017 8:27 AM Input Parameter(s) Value(s)   Business Date 02/13/2017 ERCOT ID: xx-xxxxxx QSE FCE Options Portfolio Exposure Summary         Portfolio Portfolio Total Portfolio  Operating Month MWH        Exposure Totals: 900,043.00 (6,896.00) 02/01/2017 531,507.00 (4,027.00) 03/01/2017 368,536.00 (2,869.00) ERCOT Confidential * Includes the corresponding adjustments (if any) that were made to the calculations Page  1 /

Future Credit Exposure (FCE) Questions