NOTICE DATE: October 20, 2020
NOTICE TYPE: M-A102020-01 Financial / Credit
SHORT DESCRIPTION: Issue Identified for Futures Prices used in Forward Adjustment Factors
INTENDED AUDIENCE: All Counter-Parties
DAYS AFFECTED: October 16 - 19, 2020
LONG DESCRIPTION: ERCOT has identified a misalignment between ERCOT and Intercontinental Exchange (ICE) systems that impacted the calculation of the Estimated Aggregate Liability (EAL) and Minimum Current Exposure (MCE) components of Total Potential Exposure (TPE) for October 16 - 19, 2020.
TPE determines the amount of Financial Security a Counter-Party (CP) must provide related to its market activity. Per Protocol Section 18.104.22.168.3, Forward Adjustment Factors, EAL and MCE are adjusted by forward adjustment factors that are based on the ratios of electricity futures prices to historical average ERCOT Real-Time and Day-Ahead prices. The factors as reflected in the calculation are Real-Time Forward Adjustment Factor (RFAF) and Day-Ahead Forward Adjustment Factor (DFAF).
Due to the misalignment, ERCOT did not receive correct electricity futures prices from ICE for October 16 - 19, 2020. Therefore, in accordance with Section 22.214.171.124.3, ERCOT used the most recently available futures prices (i.e., prices for October 14, 2020) in RFAF and DFAF calculations for October 16 - 19, 2020. This issue was resolved on October 19, 2020, and did not trigger any requests for additional Financial Security or result in any breach or default scenarios.
ADDITIONAL INFORMATION: ERCOT will further discuss the issue at the Credit Work Group (CWG) and Market Credit Working Group (MCWG) meeting on November 17, 2020.
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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