ERCOT's 2017 Seasonal Adjustment Factors
Learn about ERCOT's Seasonal Adjustment Factor (SAF) for 2017, its impact on credit exposure calculations, and the analytical approach used. Explore how CWG/MCWG endorsed SAF factors and the back-testing results.
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Presentation Transcript
2017 Seasonal Adjustment Factors Mark Ruane Director Settlements, Retail and Credit TAC March 23, 2017
Seasonal Adjustment Factor ERCOT is addressing the market regarding use of the Seasonal Adjustment Factor (SAF) again in 2017. As defined in Protocol Section 16.11.4.1(2), the SAF allows adjustment of the Minimum Current Exposure (MCE) component of the credit exposure calculation to reflect expected seasonal variation in prices. Seasonal Adjustment Factor Used to provide for the potential for Seasonal price increases based on historical trends. ERCOT shall initially set this factor equal to 100%. This factor will not go below 100%. ERCOT will provide Notice to Market Participants of any change at least 14 days prior to effective date along with the analysis supporting the change. 2 PUBLIC
Seasonal Adjustment Factor SAF impacts the Minimum Current Exposure (MCE) component of Total Potential Exposure (TPE) Analytical approach to estimating SAF: For the months of May, June, July, August and September ERCOT computed the average Real Time Hub prices for 2011-2016, substituting the current market price cap for previous price caps. For the months of June, July, August and September, calculate the ratio of the average Hub price in each month to the previous month. 3 PUBLIC
Seasonal Adjustment Factor CWG/MCWG has reviewed the proposed calculation and at their January 18, 2017 meeting voted to endorse 2017 SAF factors as follows: Effective Date 1-Jun 1-Jul 1-Aug 1-Sep 2017 Calculated 111% 105% 193% 49% 2017 CWG Proposed 110% 125% 200% 100% 2014 2015 2016 115% 125% 200% 100% 115% 125% 175% 100% 200% 300% 150% Note that NPRR 800, Revisions to Credit Exposure Calculations to Use Electricity Futures Market Prices, will eliminate the SAF. Implementation is expected before Summer 2018. 4 PUBLIC
Seasonal Adjustment Factor Summary back-testing of 2017 SAF factors: Back-Cast Values using 2016 Data CWG/MCWG 2017 Recommendation 2016 Without SAF Actual SAF 2016 #CPs with MCE- driven TPEA #CPs with MCE- driven TPEA #CPs with MCE- driven TPEA Month Average TPEA 152,454,444 196,517,500 224,179,916 207,167,382 Average TPEA 153,885,147 203,173,449 270,565,482 207,167,382 Average TPEA 154,632,606 203,173,449 256,195,394 207,167,382 June July August September 80 80 91 87 81 82 100 87 81 82 97 87 5 PUBLIC
Seasonal Adjustment Factor Questions 6 PUBLIC
