2 Legal Disclaimers and Admonitions PROTOCOL DISCLAIMERThis presentation provides a general overview of NPRR 484/554 and is not intended to be a substitute for the ERCOT Nodal Protocols (available at as amended from time to time. If any conflict exits between this presentation and the ERCOT Nodal Protocols, the ERCOT Nodal Protocols shall control in all respects.ANTITRUST ADMONITIONERCOT strictly prohibits market participants and their employees, who are participating in ERCOT activities, from using their participation in ERCOT activities as a forum for engaging in practices or communications that violate antitrust laws. The ERCOT Board has approved Guidelines for Members of ERCOT Committees, subcommittees, and working Groups to be reviewed and followed by each market participants attending ERCOT meetings. If you have not received a copy of these Guidelines, please take one now, review it at this time, and remember your ongoing obligation to comply with all applicable laws, including antitrust laws.
3 Gain an understanding of… Workshop objectivesGain an understanding of…Credit Changes related to implementation of NPRR 484/554High Level FCE CalculationsCredit Report TemplatesImplementation PhasesPhase 1a Transition / Go-Live Plan and Key Dates
4 Workshop outline Introduction NPRR 484/554 Overview Total Potential Exposure - TPES & TPEANPRR 484/554 Credit CalculationsFuture Credit Exposure - FCEFuture Credit Exposure for CRR Point to Point Obligations – FCEOBLFuture Credit Exposure for CRR Point to Point Options – FCEOPTFuture Credit Exposure for CRR Flow gate Rights – FCEFGRCalculations TemplateCredit Report TemplatesFCEOBL Summary ReportFCEOPT Summary ReportFCEOBL Details ReportFCEOPT Details ReportImplementation PhasesPhase 1a Transition / Go-Live Plan & Key DatesQ & A
5 NPRR 484NPRR 484 : Revisions to Congestion Revenue Rights Credit Calculations and PaymentsDescription: This Nodal Protocol Revision Request (NPRR) replaces the Congestion Revenue Right (CRR) Auction credit calculations with path-specific exposure calculations based on Day-Ahead Market (DAM) clearing prices over a rolling period and revises the Future Credit Exposure (FCE) calculations for CRR Account Holders; which results in a modification to the payment schedule for CRRs.On 3/19/13, the ERCOT Board approved NPRR484 as recommended by TAC in the 2/7/13 TAC Report.
6 NPRR 554 : Clarification of Future Credit Exposure Calculation This Nodal Protocol Revision Request (NPRR) clarifies certain language in Section that was introduced by NPRR484, Revisions to Congestion Revenue Rights Credit Calculations and Payments. In particular, this NPRR proposes (1) revisions to the Future Credit Exposure (FCE) calculation to explicitly recognize deferred Invoice-related exposure separate from mark-to-market exposure; (2) modification of certain variables and subscripts that would otherwise appear to require calculation of certain portfolio-level values based on path-specific inputs; and (3) various administrative revisions. These changes are intended to be consistent with, and in furtherance of, the purposes of NPRR 484.Scheduled for Board approval at the upcoming BoD meeting .
7 NPRR 484/554 - OverviewCRR Auction Credit Requirement (ACR) for obligations valued at maximum of bid price, most recent auction clearing price, or path-specific P99 adderFCE for PTP Obligations based on net portfolio obligation MWs at the minimum of P100 portfolio-weighted adders or most recent portfolio-weighted auction clearing priceFCE for PTP Options and FGRs based on net portfolio options/FGRs at P99 path-specific adderInvoice exposures beyond current and prompt months will be collateralized rather than invoiced until operating month becomes prompt monthProvision for “State Change Adder” adjustment for both auction and future exposures to reflect changes in path conditions
9 Credit Calculations - Summary Once the NPRR about removing FGRs is approved, please take out the FGR references from this slide.
10 Credit Calculations - Summary Once the NPRR about removing FGRs is approved, please take out the FGR references from this slide.
11 Credit Calculations – FCE Overview FCE o = FCEOBL o + FCEOPT o + FCEFGR o + DIEOBL o + DIEOPT o + DIEFGR oFCE = Future Credit Exposure based on Mark to Market valuationFCEOBL = Future Credit Exposure for PTP ObligationsFCEOPT = Future Credit Exposure for PTP OptionsFCEFGR = Future Credit Exposure for Flow Gate RightsDIE = Deferred Invoice Exposure to cover exposure due to deferred invoicing of purchased or sold CRR AwardsDIEOBL = Deferred Invoice Exposure for PTP ObligationsDIEOPT = Deferred Invoice Exposure for PTP OptionsDIEFGR = Deferred Invoice Exposure for Flow Gate Rights
12 Credit Calculations – FCEOBL Overview Based on Monthly Portfolios of PTP Obligations(group of PTP Obligation Awards owned by Counterparty for the operating month)Each PTP Obligation award is valued based on 30 day historical rolling average DAM Settlement Point Prices.Portfolio value w.r.t to given operating day is aggregated value of its PTP Obligation awards.Portfolio Weighted Adder (PWA)Percentile of volume weighted value of portfolio per MWH based on historical DAM pricesPortfolio Weighted Auction Clearing Price (PWACP)Volume weighted value of portfolio per MWH based on most recent Auction Clearing PricesPortfolio exposure is highest risk (highest –ve value) of PWA and PWACP.
13 Credit Calculations – FCEOPT / FCEFGR Overview Based on Monthly Portfolios of PTP Options(group of PTP Option Awards owned by Counterparty for the operating month)Exposure calculated only for remaining days of current and prompt operating monthsPath Specific Adder (Aci99)Value per MWH is calculated based on 99th percentile confidence interval of 30 day historical rolling average DAM Settlement Point PricesEach PTP Option Award value is Aci99 * MWHPortfolio value is aggregated value of its PTP Option awardsCurrently there are no active FGRs
14 Credit Calculations – NPRR 484/554 Calculations Template A semi-automatic template for NPRR 484/554 Calculations provided, this template has its own limitations and data dependencies.DISCLAIMER :This template is created for demonstration and training purposes of NPRR 484/554 calculations which is highly dependent on data entered, and is not intended to be a substitute for the ERCOT Protocols or Other Binding Documents (available at Should a conflict exist between this document and the ERCOT Protocols or an Other Binding Document, the ERCOT Protocols or Other Binding Document shall control.
17 NPRR 484/554 – Implementation Plan Implementation is planned to occur in phasesto bring potential benefits to the market as soon as feasibleto avoid conflicts with other major initiatives (i.e. Settlements system rewrite)PHASE 1A: Path specific adders (Aci99) in CRR credit lock calculations (Protocol Sections 7.5.3, )FCEOBL calculations based on PWA and PWACP (Protocol Section, )FCEOPT / FCEFGR calculations based on Path Specific Adder (Aci99) (Protocol Section, , No FGRs active)FCEOBL Summary Report (Protocol Sections )FCEOPT Summary Report (Protocol Sections )FCEFGR Summary Report (Protocol Sections , No FGRs active)Note: Any functionality that cannot be implemented due to system / timeline limitations will be deferred later phases; ERCOT will provide updates on the progress of implementation.
18 NPRR 484/554 – Implementation Plan PHASE 1B: FCE Detail ReportsFCEOBL Detail Report (Protocol Sections )FCEOPT Detail Report (Protocol Sections )FCEFGR Detail Report (Protocol Sections , No FGRs active).Portion of PWA functionality;Specific historic DAM settled prices for source – sink pairings can be excluded from the calculation if deemed no longer relevant following TAC review and ERCOT Board approvalAny functionality deferred from Phase 1A (excluding PHASE 2 functionality) due to system / timeline limitations.PHASE 2:Deferred Invoice Responsibility (Protocol Sections 7.8, 9.8, 9.9, 9.9.1, 9.9.2)Deferred Invoice Exposure Calculations (Protocol Section )