Future Credit Exposure in ERCOT
Explore the concept of Future Credit Exposure (FCE) in ERCOT for PTP obligations, including calculations and portfolio exposure summaries. Learn about the projected exposures, weighted prices, and confidence intervals.
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Future Credit Exposure (FCE) Vanessa Spells Spoorthy Papudesi Credit Work Group ERCOT Public February 15, 2017
Future Credit Exposure (FCE) FCE a= FCEOBL a+ FCEOPT a Future Credit Exposure for PTP Obligations (FCEOBL) Projected over current month and all future months Future Credit Exposure for PTP Options (FCEOPT) Projected over current month and next month Credit for PTP Options offsets the exposure for PTP Obligations 2 PUBLIC
Future Credit Exposure for PTP Obligations FCEOBL a= [NAOBLMW ) * (-Min(0, PWA ci100, PWACP))] NAOBLMW = Net Awarded PTP Obligations for Portfolio TOU hours of current month, next month, and hours of Forward months PWA = Portfolio Weighted Adder Volume-weighted average price Based on historical CRR path values -or PWACP = Portfolio Weighted Auction Clearing Price Volume-weighted average price From most recent Auction Note: Higher of PWA or PWACP 3 PUBLIC
Future Credit Exposure for PTP Obligations (FCEOBL) Portfolio Weighted Adder (PWA) Monthly average price Three-year look-back Occurrences ci100 = 100th percentile Confidence Interval -$14 -$12 -$10 -$8 -$6 -$4 -$2 $0 $2 $4 $6 $8 $10 4 4 PUBLIC
FCEOBL FCE Obligations Portfolio Exposure Summary Report Generated at: Feb 13, 2017 8:26 AM Input Parameter(s) Value(s) Business Date 02/13/2017 ERCOT ID: xx xxxx FCE Obligations Portfolio Exposure Summary PWACP State Change Total Portfolio Portfolio Total PWA (Portfolio High Risk PWA (Portfolio Portfolio Adder Portfolio Operating Month MWH Weighted Adder) Date Weighted ACP) Exposure Exposure Exposure Totals: 16,251,730.67 7,921.00 0.00 7,921.00 02/01/2017 251,730.67 0.0072 12/08/2015 0.2216 0.00 0.00 0.00 03/01/2017 2,000,000.00 0.0040 12/08/2015 0.0996 0.00 0.00 0.00 04/01/2017 1,500,000.00 -0.0018 12/08/2015 0.1475 2,700.00 0.00 2,700.00 05/01/2017 2,000,000.00 -0.0001 12/09/2015 0.1287 200.00 0.00 200.00 06/01/2017 2,300,000.00 -0.0021 12/08/2015 0.1985 4,761.00 0.00 4,761.00 07/01/2017 2,000,000.00 0.0035 03/31/2015 0.2576 0.00 0.00 0.00 08/01/2017 1,900,000.00 0.0002 12/08/2015 0.2191 0.00 0.00 0.00 09/01/2017 1,500,000.00 0.0053 12/08/2015 0.2087 0.00 0.00 0.00 10/01/2017 1,500,000.00 0.0024 12/08/2015 0.1854 0.00 0.00 0.00 11/01/2017 1,300,000.00 -0.0002 12/08/2015 0.1854 260.00 0.00 260.00 * Includes the corresponding adjustments (if any) that were made to the calculations ERCOT Confidential Page 1 / 2 5 PUBLIC
Future Credit Exposure for PTP Options (FCEOPT) FCEOPTa = - [NAOPTMW* Max(0, A ci99,] NAOPTMW = Net Awarded PTP Options for source-to-sink path All Source/sink pairs Remaining TOU hours of current month and next month (Prompt Month) A = Path-Specific DAM-Based Adder (price) Based on historical average prices Each path has its own value 6 PUBLIC
Future Credit Exposure for PTP Options (FCEOPT) Path-Specific Adder Calculated for each source/sink pair Three year look-back Occurrences ci99 = 99th percentile Confidence Interval $0 $2 $4 $6 $8 $10 $12 $14 $16 $18 $20 $22 $24 7 7 PUBLIC
FCEOPT FCE Options Portfolio Exposure Summary Report Generated at: Feb 13, 2017 8:27 AM Input Parameter(s) Value(s) Business Date 02/13/2017 ERCOT ID: xx-xxxxxx QSE FCE Options Portfolio Exposure Summary Portfolio Portfolio Total Portfolio Operating Month MWH Exposure Totals: 900,043.00 (6,896.00) 02/01/2017 531,507.00 (4,027.00) 03/01/2017 368,536.00 (2,869.00) * Includes the corresponding adjustments (if any) that were made to the calculations ERCOT Confidential Page 1 / 1 8 PUBLIC
Future Credit Exposure (FCE) Questions 9 PUBLIC
