NOTICE DATE: November 5, 2021
NOTICE TYPE: M-D110521-01 Financial / Credit
SHORT DESCRIPTION: Error Identified in ERCOT’s Credit Monitoring and Management (CMM) System
INTENDED AUDIENCE: CRR Account Holders and Counter-Parties
DAYS AFFECTED: February 17, 2021 to Present
LONG DESCRIPTION: ERCOT has identified an error in the CMM system that occurred beginning February 17, 2021. The error affects the calculation of the Future Credit Exposure (FCE) component of Total Potential Exposure (TPE). FCE determines the amount of Financial Security that a Counter-Party (CP) must provide for activity related to Congestion Revenue Rights (CRRs).
Per Protocol Section 16.11.4.5, Determination of the Counter-Party Future Credit Exposure, Day-Ahead Market (DAM) prices are used to calculate two components of FCE: the Portfolio Weighted Adder (PWA) and the Path Specific DAM Based Adder (A ci99). The PWA is used to determine the FCE for PTP Obligations (FCEOBL). The Path Specific DAM Based Adder (A ci99 ) is used to determine the FCE for PTP Options (FCEOPT). The calculation of FCE considers DAM prices from the past three years.
Beginning February 17, 2021, DAM prices for Operating Day February 17, 2021 have not been included in the calculation of the PWA and Path Specific DAM Based Adder (A ci99). ERCOT is currently investigating the cause of this error. ERCOT will provide an update once the root cause has been identified and a solution has been developed.
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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