NOTICE DATE:  May 18, 2012
NOTICE TYPE:  W-A051812-01 Financial/Credit
SHORT DESCRIPTION:  DAM credit exposure price percentile calculation defect for PTP Obligation Bids and Energy Only Offers
INTENDED AUDIENCE:  Counter-Parties and QSEs
DAYS AFFECTED:  February 24, 2012, to current
LONG DESCRIPTION:  ERCOT has identified a defect in the Day-Ahead Market (DAM) credit exposure percentile calculations. On February 24, 2012, ERCOT implemented Nodal Protocol Revision Request (NPRR) 355, Adjust the Calculation of the Real-Time Settlement Point Price for a Load Zone, which created two Load Zone prices for each Real-Time settlement interval. Two of the 30-day historical price percentiles that ERCOT uses to evaluate credit exposure in the DAM use Real-Time prices in the calculation, and the calculation began using eight Load Zone prices (both the energy-weighted and non-energy-weighted) to calculate an hourly average in the intermediate stage of the percentile calculation, rather than just four. The maximum difference in the hourly average price between the current and correct method is $1.82. The two impacted price percentiles are the uth percentile and the Real-Time/Day-Ahead price percentile.
Once the defect is corrected, only the non-energy-weighted Load Zone price will be used in the calculation. Any submission of Point-to-Point (PTP) Obligation Bids with a Load Zone as either the source or sink Settlement Point, or Energy Only Offers where the Settlement Point is a Load Zone, is potentially affected.
ADDITIONAL INFORMATION:  ERCOT is targeting the June production release for the correction to the uth percentile, and the August production release for the Real-Time/Day-Ahead price percentile correction.
CONTACT:  If you have any questions, please contact your ERCOT Account Manager. You may also call the general ERCOT Client Services phone number at (512) 248-3900 or contact ERCOT Client Services via email at [log in to unmask]<mailto:[log in to unmask]>.

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