NOTICE DATE: January 5, 2018
NOTICE TYPE: M-B010518-01 Financial/Credit
SHORT DESCRIPTION: Implementation Details for NPRR683, NPRR743, NPRR760, and NPRR800
INTENDED AUDIENCE: ERCOT Counter-Parties
DAY AFFECTED: February 7, 2018
LONG DESCRIPTION: On February 7, 2018, ERCOT will implement Nodal Protocol Revision Request (NPRR) 683, Revision to Available Credit Limit Calculation, NPRR743, Revision to MCE to Have a Floor for Load Exposure, NPRR760, Calculation of Exposure Variables For Days With No Activity, and NPRR800, Revisions to Credit Exposure Calculations to Use Electricity Futures Market Prices.
NPRR683 revises the calculation of Available Credit Limit for the CRR Auction (ACLC) and Available Credit Limit for the DAM (ACLD) by replacing the existing 10% discount to the ACL with a 10% gross up of the sum of the Total Potential Exposure Any (TPEA) and the Total Potential Exposure Secured (TPES).
NPRR743 revises the Minimum Current Exposure (MCE) calculation to maintain a floor for Load exposure.
NPRR760 helps to rationalize the RTLE, URTA, and DALE credit variables, as today minimal activity approaching zero is accounted for in the exposure variables, but zero activity is not.
NPRR800 revises the Real-Time Liability Extrapolated (RTLE) and Day-Ahead Liability Extrapolated (DALE) factors used in the Counter-Party Estimated Aggregate Liability (EAL) and Minimum Current Exposure (MCE) calculations to use electricity futures mark-to-market prices for estimating forward risk.
Changes to credit reports and links are listed below:
Estimated Aggregate Liability (EAL) Summary Report (EMIL ID NP16-665-SG, Report Id 13003):
· Added RFAF*, DFAF* columns in the EALQ(EAL for QSEs) Summary section
· Added RFAF*, DFAF* columns in the EALA(EAL for CRRAHs) Summary section
· Added Forward Adjustment Factors Summary Report
Estimated Aggregate Liability (EAL) Detail Report (EMIL ID NP16-669-SG, Report Id 11179):
· Added RFAF, DFAF columns, updated column name from Max(IEL, MAXRTLE, RTLF)+DALE to Max(IEL, RFAF*MAXRTLE, RTLF)+DFAF*DALE in the EAL for QSEs section
· Added RFAF, DFAF columns in the EAL for QSEs section
Minimum Current Exposure (MCE) Summary Report (EMIL ID NP16-678-SG, Report Id 13092):
· Added RFAF, MAF to MCE Operating Day Summary section column header
· Added Exposure of Load($) column to MCE Operating Day Summary section
· Added RFAF, MAF to MCE Summary section column header
· Added Exposure of Load($) column to MCE Summary section
MIS link name "Future Credit Exposure for CRR PTP Obligations Portfolio Summary Report" will change to "Future Credit Exposure for CRR PTP Obligations (FCEOBL) Summary Report" (EMIL ID NP16-681-SG, Report ID 13106)
MIS link name "Future Credit Exposure for CRR PTP Options Portfolio Summary Report" will change to "Future Credit Exposure for CRR PTP Options (FCEOPT) Summary Report" (EMIL ID NP16-682-SG, Report ID 13107).
ADDITIONAL INFORMATION: Pursuant to Nodal Protocol Section 21.6, Nodal Protocol Revision Implementation, ERCOT is required to provide notice as soon as practicable, but no later than ten days prior to implementation.
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].
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