MCWG Update to WMS 08/14/2013. MCWG Update to WMS General Update -July 31 st Joint MCWG/CWG Meeting...
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Transcript of MCWG Update to WMS 08/14/2013. MCWG Update to WMS General Update -July 31 st Joint MCWG/CWG Meeting...
![Page 1: MCWG Update to WMS 08/14/2013. MCWG Update to WMS General Update -July 31 st Joint MCWG/CWG Meeting Review NPRRs All operational except – NPRR 552 – Additional.](https://reader036.fdocuments.in/reader036/viewer/2022072006/56649f465503460f94c68d41/html5/thumbnails/1.jpg)
MCWG Update to WMS
08/14/2013
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MCWG Update to WMS
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MCWG Update to WMS
– PTP Obligation Discount Update• Carrie Bivens at ERCOT mentioned there is no short pay in the June CRR Balancing
account, except in May, a significant short fall between 17-20%.• Participants attempted to reset the PTP Obligation Discount from 80% to 90% or
95%. -The is due to to the fact that too much collateral is being held in the bid cost of a DAM PTP
Obligation bid while the settling price is low.
• Participants proposed that ERCOT can consider to rollover the CRR Balancing account amount and payout every six (6) months or even longer period.
• The group requested an update report of the CRR Balancing account from ERCOT for the next meeting to further discuss this topic.
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MCWG Update to WMS– Concepts of EAL Calculation for Non-Load/Generation Counter-
Party• ERCOT presented a proposal to the group to re-evaluate the current credit exposure methodology for Counter-Parties with no load or generation - Current methodology:» No mass transition risk» Current Protocols are silent as to IEL when there is no load or generation» MCE doesn’t cover potential real time exposure until after activity is completed
- Potential methodology:• For Counter-Parties representing no load or generation, reduce M1 multiplier (representing potential forward exposure) from 20 to 12 days.• For Counter-Parties representing no load or generation, reduce lookback for RTLE and URTA from 40 to 20 days to better reflect current trading activity• Introduce a dollar-based component in MCE for Counter-Parties.
•More discussion will follow up in the next meeting. The group may also invite COPS to discuss the Real-Time settlement timeline if they intent to reduce M1 further down.
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MCWG Update to WMS– Settlement Point-based Real-Time and Day Ahead Market (DAM)
Exposure• Market Participants have expressed interest in re-looking at seasonality-adjusted credit exposure. ERCOT presented a proposal to the group to addressed Seasonality Adjustment Factor (SAF) by using ‘Settlement Point Specific Exposure’ which can be leveraged by using information used in the implementation of NPRR 484.
• Goal: Is to better shape exposure calculations to price risk.» To ensure collateral is sufficient to cover the credit exposure when the market is experiencing in high price from different circumstance
• Focus of adjustments should be not just seasonality but:» Incorporating path-specificity» Transparent and replicable by Market Participants» Forward-looking to the extent feasible (increase exposure headed into summer, reduce heading into autumn)
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• Current methodology:» SAF is a component of MCE. This has a default value of 100% and maybe
changed by ERCOT with notice to the market» This was based on the ratio of monthly to annual average historic prices
• Proposed methodology Parameters» Adjust the exposure calculation not just for seasonality, but on a
path- specific basis» Disaggregate DALE, (URTA) and RTLE exposure factors into path-
specific price and volume components; use actual settlement volumes for the Counter-Party
» DA and RT price components based on daily average historical prices for the settlement points at which the Counter-Party has exposure.
» For each settlement point, price based on historical prices looking back up to three years (as with NPRR484).
» Prices computed as the P84 (~1 Std. Devn.) of daily settlement point prices, measured over historic calendars three weeks forward and one week back from current date (increases computed price based on sample period volatility)
» Replace 14-day averaging period in RTLE and URTA with M2 (10 days effective September 1st) to reflect RT settlement cycle
- NEXT STEP• There was some theory discussions in regarding to have a better “future price indicator” to monitor our forward credit exposure. The matter will be further discussed at the next join CWG/MCWG meeting
MCWG Update to WMS