1. Credit Reports Vanessa Spells COPS Meeting ERCOT Public
November 9, 2016

2. Credit Monitoring and Management Reports
ERCOT credit reports reflect Counter-Party credit exposure as documented in Section in the ERCOT Protocols.
Total Potential Exposure Any
Total Potential Exposure Secured
TPEA = Max [0, MCE, Max [0, (EAL q + EAL a)]] + PUL
TPES = Max [0, FCE a] + IA
TPEA is the positive net exposure (real-time and day-ahead) of the Counter-Party that may be satisfied by Financial Security in the forms of cash, letter of credit, surety bond. Also, unsecured credit and guarantee agreements can be used.
TPES is the positive net exposure (CRR and minimum capitalization amount) of the Counter-Party that may be satisfied by Financial Security in the form of cash, letter of credit, or surety bond.

3. Credit Monitoring and Management Reports
Real-Time/
Day-Ahead Activity
CRR Activity
Available Credit Limit (ACL) Summary Report x
Total Potential Exposure (TPE) Summary Report
Estimated Aggregate Liability (EAL) Summary Report
Estimated Aggregate Liability (EAL) Detail Report
Minimum Current Exposure (MCE) Summary Report
DAM Aggregate Credit Limit Report
Future Credit Exposure for CRR PTP Obligations (FCEOBL) Summary Report
Future Credit Exposure for CRR PTP Options (FCEOPT) Summary Report

4. Credit Monitoring and Management Reports
Available Credit Limit (ACL) Summary Report
Total Potential Exposure (TPE) Summary Report
Estimate Aggregate Liability (EAL) Summary Report
Estimated Aggregate Liability (EAL) Detail Report
Minimum Current Exposure (MCE) Summary Report
Future Credit Exposure for CRR PTP Obligations (FCEOBL) Summary Report
Future Credit Exposure for CRR PTP Options (FCEOPT) Summary Report

5. Credit Monitoring and Management Reports
Available Credit Limit (ACL) Summary Report
The ACL Summary Reports displays the total credit exposure which is documented in the other credit reports. Also, the report includes: Congestion (CRR) and Day-Ahead Market (DAM) credit limits, unsecured credit limits, CRR locked amounts, collateral calls, and collateral and prepay transactions/balances.

6. ACL Summary Report

7. Credit Monitoring and Management Reports
Total Potential Exposure (TPE) Summary Report
The TPE Summary report summarizes the Real-Time and Day-Ahead Market exposure for the CRR Account Holder (CRRAH) and the Qualifying Scheduling Entity (QSE). Also, the minimum capitalization requirement is reflected as appropriate (CPIA).

8. TPE Summary Report

9. Credit Monitoring and Management Reports
Estimated Aggregate Liability (EAL)Summary Report
The EAL Summary Report summarizes exposure for: Real-Time and Day-Ahead activity for QSEs/CRRAHs, activity that is actual and estimated, billed and unbilled activity. Also, it includes potential uplift amounts.
Estimated Aggregate Liability (EAL) Detail Report
The EAL Detail Report provides details related to Real-Time and Day-Ahead activity (as mentioned above). In addition, the report includes volumes as well as prices.

10. Estimated Aggregate Liability (EAL) Summary Report

11. Estimated Aggregate Liability Detail Report

12. Estimated Aggregate Liability Detail Report

13. Estimated Aggregate Liability Detail Report

14. Credit Monitoring and Management Reports
Minimum Current Exposure (MCE) Summary Report
The report calculates the minimum amount of credit exposure for a Counter-Party. The credit formula looks at the higher of the EAL or the MCE.
MCE is captured as follows for:
Load and Generation – 5 days of load less 5 days of 80% plus (5 days of Q2Q Net Energy Trades for load or 2 days of Q2Q Net Energy Trades for others)
Generation – 2 days of generation 20%
Day Ahead Net Trades – 1 day of Day-Ahead Net Trades

15. MCE Summary Report

16. Credit Monitoring and Management Reports
Future Credit Exposure for CRR PTP Obligations (FCEOBL) Summary Report
The FCEOBL Report reflects credit exposure related to CRR Obligations (volume and price). The price used in the calculation is based on the higher of the historical CRR path values or the values from the most recent CRR Auction.
Future Credit Exposure for CRR PTP Options (FCEOPT) Summary Report
The FCEOPT Report reflects credit offset related to CRR Options (volume and price). The price is based on historical CRR path values.

17. FCE Obligations Portfolio Exposure Summary Report

18. FCE Options Portfolio Exposure Summary Report

19. ERCOT Notices Market Notice Miscellaneous Notice Credit Notice
Notification of Miscellaneous Invoice for Interest Payments on Cash Collateral
Counter-Party financial statements and risk certification
Exposure parameter changes (SAF)
Miscellaneous Notice
System Issues
Credit Notice
90% TPE Notice
Collateral Calls
Late Payments
Breach Notice
eFactor Changes
Exposure parameter changes (M1)

20. Credit Monitoring and Management Reports
Credit monitoring and management reports are posted twice each Business Day on the MIS Certified Area. The first posting is made by 1200 and the second posting is made by the close of the Business Day but no later than On non-Business Days, the credit reports are posted once on the MIS Certified Area.
Updated invoice payments and/or collateral increase/decrease will reflect in the afternoon credit reports
Credit reports can be accessed using the Counter-Party digital certificate with the roles of CRR_Extracts.
Below is the link to the ERCOT Market Credit Training.

21. ERCOT Credit Staff Name Phone Number ERCOTcredit@ercot.com
Name
Phone Number
Vanessa Spells
Julio Dovalina
Maruthi Gaddam
Suresh Pabbisetty
Spoorthy Papudesi
Rizaldy Zapanta

22. Credit Monitoring and Management Reports
Questions