seasonal adjustment factor mark ruane credit work group ercot public july 23, 2014
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Seasonal Adjustment Factor Mark Ruane Credit Work Group ERCOT Public July 23, 2014. Seasonal Adjustment Factor. - PowerPoint PPT PresentationTRANSCRIPT
Seasonal Adjustment Factor
Mark Ruane Credit Work GroupERCOT PublicJuly 23, 2014
ERCOT Public
Seasonal Adjustment Factor
High price intervals can significantly increase ERCOT market exposure. ERCOT has performed stress testing to approximate the relative impact of higher cap prices on RT credit exposure.
Seasonal Adjustment Factor
The Seasonal Adjustment Factor (SAF) is a component of the Minimum Current Exposure (MCE) calculation that serves as a price multiplier
ERCOT Public
MCE = Max[{ [[[Lo, i, d, k * T2 - G o, i, d, k * (1-NUCADJ
o) * T3] * RTSPP i, d, k *SAF] + [RTQQNETES o, i,
d, k * T1]]/n}, { [G o, i, d, k * NUCADJ o * T1 * RTSPPidk*SAF]/n},{ DARTNET o, i, d, k * T4/n}]
RTQQNETES o, i, d, k = Max [0, [[RTQQES o, i, d, k, c * RTSPP i, d, k*SAF] - [RTQQEP o, i, d, k, c * RTSPP i,
d, k *SAF]]]
16.11.4.1 Determination of Total Potential Exposure for a Counter-Party
Note that the SAF is not applied to the Estimated Aggregated Liability component of the credit calculation, which is typically larger than MCE.
Seasonal Adjustment Factor
The Seasonal Adjustment Factor (SAF is a component of the Minimum Current Exposure (MCE) calculation that serves as a price multiplier.
ERCOT Public
SAF = Seasonal Adjustment Factor—Used to provide for the potential for Seasonal price increases based on historical trends. ERCOT shall initially set this factor equal to 100%. This factor will not go below 100%. ERCOT will provide Notice to Market Participants of any change at least 14 days prior to effective date along with the analysis supporting the change.
16.11.4.1 Determination of Total Potential Exposure for a Counter-Party
Seasonal Adjustment Factor
ERCOT Public
The current Seasonal Adjustment Factor variable replaced the former SAF with the implementation of NPRR 347/400. The former SAF was a fixed value for each month based on the ratio of prices during historic months with average annual prices.
The current SAF has remained at 100% since implementation of NPRR 347/400.
The impact of SAF at different values is shown on the following slides using data from August 2013, March 2014, April 2014 and May 2014 .
Impact of changing SAF (based on August 31, 2013 market data)
ERCOT Public
Seasonal Adjustment Factor
* Total collateral and unsecured credit, less amounts locked for CRR auction
# CPs with TPE set by: Aggregate Collateral ExcessSAF MCE EAL Exposure Calls Collateral *
100% 80 50 571,944,064$ 0 2,212,866,470$ 200% 85 45 614,684,172$ 9 2,170,126,363$ 300% 88 42 674,381,402$ 17 2,110,429,133$ 400% 90 40 758,505,223$ 19 2,026,305,312$ 500% 93 37 851,845,907$ 19 1,932,964,627$ 600% 95 35 948,935,833$ 26 1,835,874,702$ 700% 95 35 1,053,917,497$ 29 1,730,893,037$
Impact of changing SAF (based on March 31, 2014 market data)
ERCOT Public
Seasonal Adjustment Factor
* Total collateral and unsecured credit, less amounts locked for CRR auction
# CPs with TPE set by: Aggregate Collateral ExcessSAF MCE EAL Exposure Calls Collateral *
100% 36 97 624,481,836$ 4 2,100,956,321$ 200% 45 88 639,879,814$ 4 2,085,558,343$ 300% 56 77 669,604,224$ 4 2,055,833,933$ 400% 65 68 720,585,349$ 6 2,004,852,808$ 500% 74 59 778,012,197$ 12 1,947,425,960$ 600% 79 54 849,579,572$ 19 1,875,858,585$ 700% 84 49 933,757,292$ 20 1,791,680,865$
Impact of changing SAF (based on April 30, 2014 market data)
ERCOT Public
Seasonal Adjustment Factor
* Total collateral and unsecured credit, less amounts locked for CRR auction
# CPs with TPE set by: Aggregate Collateral ExcessSAF MCE EAL Exposure Calls Collateral *
100% 46 87 562,007,377$ 1 1,817,841,472$ 200% 60 73 613,405,131$ 1 1,766,443,717$ 300% 66 67 678,938,065$ 4 1,700,910,784$ 400% 75 58 746,329,238$ 11 1,633,519,610$ 500% 86 47 834,842,323$ 19 1,545,006,525$ 600% 89 44 938,529,384$ 24 1,441,319,465$ 700% 92 41 1,044,682,926$ 28 1,335,165,922$
Approx. March 2014 impact
Approx. March 2014 impact
Impact of changing SAF (based on May 31, 2014 market data)
ERCOT Public
Seasonal Adjustment Factor
* Total collateral and unsecured credit, less amounts locked for CRR auction
# CPs with TPE set by: Aggregate Collateral ExcessSAF MCE EAL Exposure Calls Collateral *
100% 61 67 384,460,761$ 1 2,092,109,380$ 200% 75 53 454,793,307$ 4 2,021,776,834$ 300% 78 50 540,792,044$ 8 1,935,778,098$ 400% 83 45 635,625,707$ 17 1,840,944,435$ 500% 85 43 734,126,656$ 21 1,742,443,485$ 600% 87 41 835,277,581$ 24 1,641,292,560$ 700% 88 40 938,055,008$ 27 1,538,515,133$
Impact of changing SAF
ERCOT Public
Seasonal Adjustment Factor
Impact of changing SAF
ERCOT Public
Seasonal Adjustment Factor
Seasonal Adjustment Factor
ERCOT Public
ERCOT staff recommends increasing the Seasonal Adjustment Factor to a value of 200% effective July 15, 2014, 300% effective August 1, 2014, 150% effective September 1, 2014, and 100% effective October 1, 2014.
Questions
ERCOT Public
Seasonal Adjustment Factor