Explore the feedback from ERCOT staff on NRG Energy's proposal regarding the EAL/RFAF lookback calculations. The proposal aims to adjust how invoice exposures are factored into Total Potential Exposure (TPE) calculations, potentially impacting collateral requirements in market fluctuations. Understand the implications and considerations outlined by ERCOT Market Credit Manager, Sanchir Dashnyam.
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Presentation Transcript
Feedback from ERCOT staff on EAL- RFAF lookback proposal from NRG Energy Sanchir Dashnyam ERCOT Market Credit Manager ERCOT Public February 15, 2023
EAL/RFAF Lookback discussion The group requested ERCOT staff to layer in the invoice exposures into a proposed TPE calculations from NRG vs. existing TPE formula. The proposal is as follows: Invoice exposure is defined as Invoices * M1 days + RTLCNS + UDAA . Invoices include charges only and do not include credits. The period covered included December 2022 and beginning of 2023. TPE s exclude URI short pay invoices and PUL. 2 ERCOT Public
Invoice exposures vs. current TPE vs. TPE with the new proposal Overall Market Overall Market $1,400,000,000 $1,200,000,000 $1,000,000,000 $800,000,000 $600,000,000 $400,000,000 $200,000,000 $- TPEA TPE_NEW INV_Exposure The proposed change will apply RFAF to most recent RTLE, not MAXRTLE. MAXRTLE is calculated based on 14-day average invoices and by taking the maximum over 40-day historical lookback period. Potentially, the proposed change will lower collateral going into the high price events and increases the collateral requirement when the prices are falling. We do not support the proposed change because it lowers the collateral cushion afforded by the existing methodology going into the high price environment. 3 ERCOT Public
Invoice exposures vs. current TPE vs. TPE with the new proposal Load & Gen Load & Gen $1,000,000,000 $900,000,000 $800,000,000 $700,000,000 $600,000,000 $500,000,000 $400,000,000 $300,000,000 $200,000,000 $100,000,000 $- 12/23/2022 12/29/2022 12/11/2022 12/13/2022 12/15/2022 12/17/2022 12/19/2022 12/21/2022 12/25/2022 12/27/2022 12/31/2022 1/4/2023 1/2/2023 1/6/2023 1/8/2023 12/1/2022 12/3/2022 12/5/2022 12/7/2022 12/9/2022 1/10/2023 1/12/2023 1/14/2023 1/16/2023 1/18/2023 1/20/2023 1/22/2023 1/24/2023 1/26/2023 1/28/2023 1/30/2023 TPEA TPE_NEW INV_Exposure 6 ERCOT Public
Invoice exposures vs. current TPE vs. TPE with the new proposal Generation Generation $50,000,000 $40,000,000 $30,000,000 $20,000,000 $10,000,000 $- $(10,000,000) $(20,000,000) $(30,000,000) $(40,000,000) $(50,000,000) $(60,000,000) TPEA TPE_NEW INV_Exposure 7 ERCOT Public
