Credit

Mon, Oct 26, 2020 05:05 PM

M-A102620-01 Total Potential Exposure (TPE) calculations affected by system issues


NOTICE DATE: October 26, 2020

NOTICE TYPE: M-A102620-01 Financial/Credit

SHORT DESCRIPTION: Total Potential Exposure (TPE) calculations affected by system issues

INTENDED AUDIENCE: ERCOT Counter-Parties

DAYS AFFECTED: October 23, 2020

LONG DESCRIPTION: On October 23, 2020, ERCOT identified a system issue related to the calculation of estimated Load volumes for Operating Day (OD) October 23, 2020, which impacted Estimated Aggregate Liability (EAL) values contained in credit reports generated on October 24, 2020. ERCOT has determined that historical Load Ratio Share (LRS) was not used to estimate Load volume for OD October 23, 2020.

ERCOT must calculate Available Credit Limits for CRR Auctions (ACLC) and the Day-Ahead Market (ACLD). See ERCOT Protocol Section 16.11.4.6(1). LRS data is used in the Real-Time Liability Completed and Not Settled (RTCLNS) and Real-Time Liability Forward (RTLF) components of Total Potential Exposure (TPE).

“If all or part of a Counter-Party’s ACLC and/or ACLD cannot be computed due to an ERCOT computer system failure... then ERCOT shall estimate ACLC and/or ACLD for that Counter-Party and provide the information used to determine such estimates to that Counter-Party.  If  all or part of ACLC and/or ACLD cannot be estimated with current data, then the most recently available values shall be used to determine the Counter-Party’s ACLC and/or ACLD.”  See ERCOT Protocol Section 16.11.4.6(1)(c).

Due to the system issue, ERCOT estimated Counter-Party Load volumes for OD October 23, 2020, with LRS values from October 22, 2020. Please be advised that these estimated values for OD October 23, 2020, will continue to appear in RTLCNS and RTLF credit reports until October 28, 2020, and October 30, 2020, respectively.

At this time, the root cause of the issue is under investigation. ERCOT will provide Market Participants with additional information in a follow-up Market Notice.

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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