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Background

Mod_31_11: Calculation of Estimated Energy Price (EEP) and Estimated Mod_31_11: Calculation of Estimated Energy Price (EEP) and Estimated Capacity Price (ECP) Modifications Committee Meeting 11 October 2011. Background.

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Background

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Presentation Transcript

  1. Mod_31_11: Calculation of Estimated Energy Price (EEP) and Estimated Mod_31_11: Calculation of Estimated Energy Price (EEP) and Estimated Capacity Price (ECP)Modifications Committee Meeting11 October 2011

  2. Background • During Intra-Day modification development, a discrepancy between the Code and the actual calculation of EEP and ECP was identified. • The Code specifies the use of Trading Period SMP/CPDP for calculation of variance used in EEP/ECP, while the market systems use daily average SMP/CPDP. • The EEP and ECP are used for New or Adjusted Participants only. • Proportion of accounts affected is small (less than 5%). • Only used for 100 days until sufficient historical information is available.

  3. Comparison of Daily Average/Trading Period Credit Cover Calculation to the Standard Calculation

  4. Analysis • Accuracy of the standard calculation is reported on a 3 monthly basis and the market has had no concerns with the level of credit cover calculated for Standard Participants. • Daily average calculation gives a comparable estimate to the standard calculation. • Trading Period calculation would increase the Required Credit Cover for new participants by approximately 26%. • Daily average calculation results in a conservative estimate of approx. 35% above the outturn actual exposure • Trading Period calculation results in an estimate of approx. 70% above the outturn actual exposure.

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