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

2. 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

3. 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

4. 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

5. FCEOBL FCE Obligations Portfolio Exposure Summary Report
Generated at: Feb 13, :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
0.1475
2,700.00
05/01/2017
12/09/2015
0.1287
200.00
06/01/2017
2,300,000.00
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
260.00
ERCOT Confidential
* Includes the corresponding adjustments (if any) that were made to the calculations
Page  1 / 2

6. 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

7. 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

8. FCEOPT FCE Options Portfolio Exposure Summary Report
Generated at: Feb 13, :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 /

9. Future Credit Exposure (FCE)
Questions