Annual Review of Credit Parameters

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Presentation transcript:

Annual Review of Credit Parameters Credit Work Group March 27th 2013

Protocol Requirements Background Statistics Recommendation Overview Protocol Requirements Background Statistics Recommendation March 27th 2013 Credit Work Group

Protocol Requirement 7.5.5.3 Auction Process a) iii) …The values of A and M shall be posted on the MIS Public Area. The Technical Advisory Committee (TAC) shall review these values at least annually and may recommend, to the ERCOT Board, changes to these values that become effective at least 30 days prior to a monthly CRR Auction and 60 days prior to an annual CRR Auction…. 16.11.4.5 Determination of the Counter-Party Future Credit Exposure 2) The parameters to determine ACPE (X and Y) shall be posted on the MIS Public Area. The TAC shall review these values at least annually and may recommend to the ERCOT Board changes to these values. Current values A = $0.75 and M = 0 X = $1.00 and Y = $1.50 March 27th 2013 Credit Work Group

Protocol Requirement This methodology will be replaced by NPRR484 upon implementation for both auction and ongoing CRR exposure. March 27th 2013 Credit Work Group

FCE o = FCEOBL o + FCEOPT o + FCRFGR o Background In the CRR Auction, the A (Adder) and M (Multiplier) provide a level of coverage for the ongoing liability related to CRRs. The X and Y variables are used in the ACPE component of the FCE calculation FCE o = FCEOBL o + FCEOPT o + FCRFGR o FCEOBL o = Max (ACPEOBL o, - FMMOBL o) Where: ACPEOBL o = (ACPE h, (j,k) * OBLMW o, h, (j,k)) Note: The Max(ACPEOBL, -FMMOBL) is performed daily on the portfolio of Obligations held for each CRRAH March 27th 2013 Credit Work Group

Background Auction Clearing Price Exposure (ACPE) for PTP Obligations with the source j and the sink k for hour h—Exposure level calculated as follows: if the PTP Obligation Auction Clearing Price is greater than $Y per MW, then Y * X divided by the PTP Obligation Auction Clearing Price; if the PTP Obligation Auction Clearing Price is between $0 and $Y per MW, then $X per MW; and if the PTP Obligation Auction Clearing Price is negative, then $X per MW, plus the absolute value of the PTP Obligation Auction Price per MW. March 27th 2013 Credit Work Group

Complete review at CWG / MCWG Next steps Complete review at CWG / MCWG If changes are proposed, approval is needed by the Board no later than its July meeting. To achieve this: WMS – May/June 2013 TAC – June 2013 F&A – July 2013 March 27th 2013 CWG/MCWG Meeting