1. Credit Updates Vanessa Spells Credit Work Group ERCOT Public
April 19, 2017

2. Credit Updates Approved Revision / Change Requests
* Estimated Target Release Date is May 2018 (not firmed up until the project moves to Execution (E) phase)
Project Status Codes: NS = Not Started, I = Initiation, P = Planning, E = Execution, H = On Hold
TBD = To Be Determined

3. Credit Updates CMM Tech Refresh
Project (phrase 1) execution in process
Project (phrase 2) planning in process
Audited financials and Standard Form Agreement Attachment A required by April 30th for Counter-Parties with December 31, 2015 financial year ends
Regular CWG/MCWG update at June F&A/Board
Seasonal Adjustment Factor (SAF) revision:
June 110%
July 125%
August 200%
September 100%

4. Credit Updates Implemented Change Requests
NPRR Correction to Estimated Aggregate Liability (EAL) for a QSE that Represents Neither Load nor Generation
NPRR 671 – Incorporation of DAM Credit Parameters into Protocols
NPRR 670 – Clarification of Portfolio-Weighted Auction Clearing Price (PWACP)
NPRR 612 – Reduction of Cure Period Subsequent to Event of Default
SCR – Credit Exposure Calculations for NOIE Options Linked to RTM PTP Obligations
NPRR 559 – Revisions to MCE Calculation
NPRR Utilize Initial Estimated Liability (IEL) Only During Initial Market Activity
NPRR Inclusion of Incremental Exposure in Mass Transitions to Counter Parties that are Registered as QSEs and LSEs and Provide POLR Service
NPRR Correction to Minimum Current Exposure
NPRR 690 – Incorporation of Creditworthiness Standards in Protocols
NPRR 692 – Removal of MIS Posting Requirement of DAM Credit Parameters
NPRR Removal of Language Related to NPRR484, Revisions to Congestion Revenue Rights Credit Calculations and Payments, and NPRR554, Clarification of Future Credit Exposure Calculation
ERCOT Public

5. Credit Updates Implemented Change Requests
NPRR Clarifications to TPE and EAL Credit Exposure Calculations
Implemented only language clarifications part
Change for removal of “abs” from MCE formula is not yet implemented
NPRR 773 – Broadening Scope of Acceptable Letter of Credit Issuers
NPRR 791 – Clarifications to IEL, MCE, and Aggregate Amount Owed by Breaching Party
NPRR 803 – Remove Grey-boxed Language from NPRR 439, Updating a Counter-Party’s Credit Limit for Current Day DAM
Withdrawn Change Requests
SCR 785 – Update RTL calculation to include Real-Time Reserve Price Adder-based components
NPRR 811 – Two Day Cure Period for Foreign Market Participant Guarantee Agreements

6. 2017 Credit Working Group Goals
Provide support to the ERCOT stakeholder process incorporating a forward price curve-based methodology (NPRR800) in collateral requirement calculations
Clarify the market’s risk tolerance/appetite level and provide regular updates on credit exposure to the ERCOT Board
Evaluate and quantify potential market risk under current credit rules and examine a framework for reviewing rules in flight
Explore methodologies to incorporate Counter-Party specific ratings into ERCOT collateral requirement calculations
Participate in TAC/WMS-lead discussions related to credit in the event of a market continuity business interruption
Explore potential usage of letter of credit/credit insurance

7. 2017 Credit Working Group Goals
Pursue a calculator to allow market participants to calculate their requirements for CRR auctions
ERCOT’s comments: Prior to the auction, the CRR Calculator would estimate the collateral needed to participate in the CRR auction. The CRR Calculator would require an SCR for implementation. Also, the SCR would allow for an IA to estimate the cost of the application.

8. Credit Updates
Questions