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Review of Credit Parameters for NPRR 800 Implementation

The Credit Work Group (CWG) will review the parameters associated with NPRR 800 within 6 months of implementation. This includes the M1 Estimated Aggregate Liability and Minimum Current Exposure calculations that use electricity futures mark-to-market prices for estimating forward risk.

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Review of Credit Parameters for NPRR 800 Implementation

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  1. Credit Parameters Credit Work Group ERCOT Public June 20, 2018

  2. Credit Parameters ERCOT implemented NPRR 800, Revisions to Credit Exposure Calculations to Use Electricity Futures Market Prices, in February 2018. NPRR 800 revised  the Real-Time Liability Extrapolated (RTLE) and Day-Ahead Liability Extrapolated (DALE) factors used in the Counter-Party Estimated Aggregate Liability (EAL) and Minimum Current Exposure (MCE) calculations to use electricity futures mark-to-market prices for estimating forward risk. Credit Work Group (CWG) committed to review the parameters associated with NPRR 800 within 6 months of implementation. • CWG will review: • NPRR 800 parameters • M1

  3. Estimated Aggregate LiabilityMinimum Current Exposure • EAL q= Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, RFAF * Max {RTLE during the previous lrqdays}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILE q • MCE = RFAF * MAF * Max[{ [L i, od, p * RTSPP i, od, p ]/n}, { [[[L i, od, p * T2 - G i, od, p * (1-NUCADJ) * T3] * RTSPP i, od, p] + [RTQQNET i, od, p * T5]]/n}, { [G i, od, p * NUCADJ * T1 * RTSPP i, od, p]/n}, { ( (DARTNET i, od, p)) * T4/n}]

  4. Parameters for Review

  5. Credit Components

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