Credit; PRR SCR

Mon, May 18, 2020 03:26 PM

M- A042920-02 Reminder - Implementation Details for NPRR887, NPRR907, and NPRR985


NOTICE DATE: May 18, 2020 

NOTICE TYPE: M- A042920-02 NPRR

SHORT DESCRIPTION: Reminder - Implementation Details for NPRR887, NPRR907, and NPRR985

INTENDED AUDIENCE: All Market Participants, User Security Administrators (USAs), Resource Entities

DAYS AFFECTED: May 29, 2020

LONG DESCRIPTION: On May 29, 2020, Protocol language related to Nodal Protocol Revision Requests (NPRRs) 887, Monthly Posting of Default Uplift Exposure Information, NPRR907, Revise Definition of M1a to Reflect Actual Calendar Days, and NPRR985, Modify Forward Adjustment Factors to Include Pricing for the Current Operating Day, will be implemented.

NPRR887 Monthly Posting of Default Uplift Exposure Information

This NPRR creates a new Market Information System (MIS) Certified Area monthly report posting which provides insight to the potential risk associated with default uplift charges to Counter-Parties. The report will reflect the Counter-Party’s Maximum MWh Activity, Maximum MWh Activity Ratio Share and the Market-wide Maximum MWh Activity, which are used in calculating a Counter-Party’s Default Uplift Invoice as defined in Protocol Section 9.19.1, Default Uplift Invoices.

NPRR907 Revise Definition of M1a to Reflect Actual Calendar Days

The M1a component of the Total Potential Exposure (TPE) calculation sets a time period meant to reflect the number of days between an Operating Day and the initiation of a Mass Transition of the Market Participant’s Electric Service Identifiers (ESI IDs) (Mass Transition days are reflected in the M1b component).  This NPRR replaces the existing fixed value of M1a with a value that can vary based on non-Bank Business Days and ERCOT holidays following the specific Operating Day.

NPRR985 Modify Forward Adjustment Factors to Include Pricing for the Current Operating Day

Currently an externally-sourced vendor’s forward prices for the three weeks following the current Operating Day are used to compute forward adjustment factors.  However, forward prices are available for the current Operating Day. 

By beginning the three-week period on the Operating Day, rather than after it, ERCOT will incorporate the most recent available forward Market pricing data in the credit calculation, thereby reflecting updated Market price expectations and improving the accuracy of the calculation. 

Changes to credit reports are listed below:

Estimated Aggregate Liability (EAL) Detail Report (EMIL ID NP16-669-SG, Report ID 11179):

  • Added new columns “M1a” and “M1b in "RTLE, URTA and DALE Details for QSEs of the Counter-Party Section"

New credit report link is listed below: Default Uplift Supporting Data Report (EMIL ID NP9-194-M, Report ID 19306):

  • First report will be posted on June 05, 2020.

ADDITIONAL INFORMATION: Pursuant to Nodal Protocol Section 21.6, Nodal Protocol Revision Implementation, ERCOT is required to provide notice as soon as practicable, but no later than ten days prior to implementation.

NPRR887, NPRR907, and NPRR985 and associated documents can be found on the ERCOT website.

CONTACT: If you have any questions, please contact your ERCOT Account Manager. You may also call the general ERCOT Client Services phone number at (512) 248-3900 or contact ERCOT Client Services via email at ClientServices@ercot.com.

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dg