1. Annual Review of Credit Parameters
Credit Work Group
March 27th 2013

2. Protocol Requirements Background Statistics Recommendation
Overview
Protocol Requirements
Background
Statistics
Recommendation
March 27th 2013
Credit Work Group

3. Protocol Requirement 7.5.5.3 Auction Process
a) iii) …The values of A and M shall be posted on the MIS Public Area. The Technical Advisory Committee (TAC) shall review these values at least annually and may recommend, to the ERCOT Board, changes to these values that become effective at least 30 days prior to a monthly CRR Auction and 60 days prior to an annual CRR Auction….
Determination of the Counter-Party Future Credit Exposure
2) The parameters to determine ACPE (X and Y) shall be posted on the MIS Public Area. The TAC shall review these values at least annually and may recommend to the ERCOT Board changes to these values.
Current values
A = $0.75 and M = 0
X = $1.00 and Y = $1.50
March 27th 2013
Credit Work Group

4. Protocol Requirement
This methodology will be replaced by NPRR484 upon implementation for both auction and ongoing CRR exposure.
March 27th 2013
Credit Work Group

5. FCE o = FCEOBL o + FCEOPT o + FCRFGR o
Background
In the CRR Auction, the A (Adder) and M (Multiplier) provide a level of coverage for the ongoing liability related to CRRs.
The X and Y variables are used in the ACPE component of the FCE calculation
FCE o = FCEOBL o + FCEOPT o + FCRFGR o
FCEOBL o = Max (ACPEOBL o, - FMMOBL o)
Where: ACPEOBL o = (ACPE h, (j,k) * OBLMW o, h, (j,k))
Note: The Max(ACPEOBL, -FMMOBL) is performed daily on the portfolio of Obligations held for each CRRAH
March 27th 2013
Credit Work Group

6. Background
Auction Clearing Price Exposure (ACPE) for PTP Obligations with the source j and the sink k for hour h—Exposure level calculated as follows:
if the PTP Obligation Auction Clearing Price is greater than $Y per MW, then Y * X divided by the PTP Obligation Auction Clearing Price;
if the PTP Obligation Auction Clearing Price is between $0 and $Y per MW, then $X per MW; and
if the PTP Obligation Auction Clearing Price is negative, then $X per MW, plus the absolute value of the PTP Obligation Auction Price per MW.
March 27th 2013
Credit Work Group

7. Complete review at CWG / MCWG
Next steps
Complete review at CWG / MCWG
If changes are proposed, approval is needed by the Board no later than its July meeting. To achieve this:
WMS – May/June 2013
TAC – June 2013
F&A – July 2013
March 27th 2013
CWG/MCWG Meeting