Table of Contents for NPRR484/NPRR554: Frequently Asked Questions
V1.0
10/16/2013
Initial Version
1.
What is NPRR484/NPRR554 with respect to the CRR Auction process? ......................................................3
2.
When will NPRR484/NPRR554 be implemented and part of the CRR auction process? ..............................3
3.
Exactly how does NPRR484/NPRR554 benefit the CRR auctions and the Market Participants? .................3
4.
Will ‘A’ and ‘M’ still be part of the pre-screening calculations? ..................................................................3
5.
Are OBL sells part of the potential estimated exposure calculations? .........................................................3
6.
Are OPT sells part of the potential estimated exposure calculations?.........................................................3
7.
How is my Counter-Party's potential exposure calculated? ........................................................................4
8.
What are the pre-screening scenarios for creating budget records to the central engine between
Account Holders and Counter-Parties? ..........................................................................................................................4
9.
How does the pre-screening differ between the monthly auctions and the Long-Term Auction Sequence
(multi-month) type auctions? ........................................................................................................................................5
10.
When is the pre-screening performed? .......................................................................................................5
11.
What is the credit lock period? ....................................................................................................................5
12.
If my exposure is less than what I locked, will you send the new estimated exposure amount to CMM
instead of the locked amount? ......................................................................................................................................5
13.
What's the difference between the way credit is used by the central engine now and after
NPRR484/NPRR554 is implemented? ............................................................................................................................5
14.
What does it mean that no credit is sent to the central engine for an Account Holder after the prescreening? 6
15.
Will we still have budget binding constraints? ............................................................................................6
16.
How is the pre-screening performed for a Counter-Party that has more than one Account Holder? .........6
17.
Can an Account Holder have a budget constraint but not the Counter-Party? ...........................................6
18.
Can a Counter-Party have a budget constraint but not the Account Holders? ............................................6
19.
If my Counter-Party did not lock credit, do my portfolios still get analyzed and pre-screened? .................6
20.
If my Counter-Party locks less credit than the potential exposure of my submitted portfolios, what will
get sent to the central engine? ......................................................................................................................................7
21.
What happens if I don't lock credit? ............................................................................................................7
22.
How do I know if I ran into a budget constraint? ........................................................................................7
23.
Results?
How do I use the new columns for ACI99, ACP, S and Credit Consumed in the Private Downloads Market
7
24.
How do I calculate my potential credit exposure under NPRR484/NPRR554? ............................................8
1
OBL Buy Bids Exposure .......................................................................................................................... 8
Example 1: Exposure calculation for pre-auction screening process for OBL buy bids for PeakWD
TOU in a Long-Term Auction Sequence with multi-month bids. ..................................... 10
Example 2: Exposure calculation for pre-auction screening process for OBL buy bids with 24hour TOU for a Monthly Auction .................................................................................... 12
OPT Buy Bids Exposure .......................................................................................................................... 14
Example 1: Exposure calculation for pre-auction screening process for OPT buy bids for PeakWD
TOU in a Long-Term Auction Sequence with multi-month bids ...................................... 14
Example 2: Exposure calculation for pre-auction screening process for OPT buy bids with 24hour TOU for a Monthly Auction .................................................................................... 15
OBL Sell Offers Exposure ....................................................................................................................... 16
Example 1: Exposure calculation for pre-auction screening process for OBL sell offers for
PeakWD in a Long-Term Auction Sequence with multi-month offers. .......................... 16
Example 2: Exposure calculation for pre-auction screening process for OBL sell offers for a
monthly auction.............................................................................................................. 17
2
1. What is NPRR484/NPRR554 with respect to the CRR Auction process?
NPRR484/NPRR554 is a change in the way the pre-screening portfolio valuation is calculated by the CRR
application before an auction optimization in order to create a budget constraint for the central engine.
Prior to NPRR484/NPRR554’s implementation, credit adders named ‘A’ and ‘M’ were added to OBL bids
in order to capture future potential risky awards. These adders (at the time of retirement, A=0.75 and
M=0) were applied to all OBL bids regardless of the historical valuation of the path in subsequent daily
settlements. This NPRR will now use specific adders for each unique path based on historical values.
2. When will NPRR484/NPRR554 be implemented and part of the CRR auction process?
NPRR484/NPRR554 will be placed into service on October 21, 2013, with credit pre-screening and budget
constraint logic commencing with the first Long-Term Auction Sequence (LTAS) taking place in fall 2013
(2014.1st6.AnnualAuction.Seq1) and all subsequent monthly and LTAS auctions thereafter.
No action or changes in submissions to the CRR Auctions are required by the Counter-Party and CRR
Account Holders unless they desire reducing the amount of credit they currently post for the CRR
Auctions. Below is an extensive explanation of the mechanics for these calculations to demonstrate
how to calculate the credit exposure from submitted CRR portfolios.
3. Exactly how does NPRR484/NPRR554 benefit the CRR auctions and the Market Participants?
This NPRR was designed to correct deficiencies in the collateral requirements for the CRR auctions where
too much collateral was required for locking credit by not considering the historical value of the past
clearing prices for that product. Note that NPRR357/430 logic for calculating the ‘stacked’ bids has been
preserved.
4. Will ‘A’ and ‘M’ still be part of the pre-screening calculations?
No.
5. Are OBL sells part of the potential estimated exposure calculations?
Yes. OBL/buy, OBL/sell, and OPT/buy are all part of the budget constraint pre-screening process.
6. Are OPT sells part of the potential estimated exposure calculations?
No. OPT/sells incur no risk, and hence, are not part of the budget constraint pre-screening process.
3
7. How is my Counter-Party's potential exposure calculated?
For the pre-screening logic, the first step is to group all of the Account Holders’ portfolio bids and offers
into a single portfolio for the Counter-Party. If a Counter-Party has more than one Account Holder, then
all of the bids and offers from each Account Holder would be concatenated together to create a single
portfolio for the Counter-Party. This is not saved anywhere or submitted to the auction; this is purely for
pre-screening. Once that is performed, the pre-screening logic is the same as the Account Holder. Note
that the Counter-Party’s exposure may or may not be the sum of its Account Holders’ exposures,
depending on how the bids are aggregated across all of the Account Holders’ portfolios.
8. What are the pre-screening scenarios for creating budget records to the central engine between
Account Holders and Counter-Parties?
Scenario
Counter-Party
Self-imposed
Credit Limit
Counter-Party Credit Exposure
(grouped bids and offers of all of
CP’s Account Holders)
Records to Engine
1
$xx
> $xx
Create a budget constraint for CP
where limit = $xx
2
$xx
<= $xx
No budget constraint for CP
3
No Entry
Any number
Create a budget constraint for CP
where limit = $0
Account Holder
Self-imposed
Credit Limit
Account Holder
Creditworthy?
1
$xx
Yes
> $xx
Create a budget constraint for AH
where limit = $xx
2
$xx
Yes
<= $xx
No budget constraint for AH
3
No Entry
Yes
Any number
No budget constraint for AH
4
Any number or
No Entry
No
Any number
Create a budget constraint for AH
where limit = $0
Scenario
Account
Holder Credit
Exposure
Records to Engine
4
9. How does the pre-screening differ between the monthly auctions and the Long-Term Auction
Sequence (multi-month) type auctions?
When a monthly auction is executed, all bids and offers for all TOUs (i.e. PeakWE, PeakWD, Off-peak and
24-hour) are included in the credit exposure calculation. When a Long-Term Auction Sequence for each
TOU is executed, only bids and offers for the particular TOU are included in the credit exposure
calculation and the total exposure amount is compared with the self-imposed credit limit for the
particular TOU. Note that 24-hour TOU bids and offers are currently not allowed to be submitted to the
Long Term Auction Sequence type auctions.
10. When is the pre-screening performed?
The pre-screening for NPRR484/NPRR554 is performed as soon as the last bid window closes, prior to the
data being sent to the central engine for the optimization.
11. What is the credit lock period?
There are no changes in the credit lock period. It is from midnight CPT on the morning that the Auction
Notice is posted until 5:00pm CPT on the published lock date. Counter-Parties must submit credit during
this period in order for their Account Holders to be eligible to participate in the auction. No exceptions
will be made beyond an ERCOT system-wide failure on the lock date. Should this occur, a Market Notice
will be sent advising Market Participants of any adjustments to the credit lock period. If a Counter-Party
does not submit credit by the lock date and time, their Account Holders will not be permitted to submit
buy bids in the auction. They may, however, submit sell offers in the auction. Note that no estimated
exposures are sent to the Credit Management system until the lock date and time have passed. After
that event, the locked credit supplied by the Counter-Party will be sent to the Credit Management system
daily until the morning that the Invoices for the posted auction results are sent out.
12. If my exposure is less than what I locked, will you send the new estimated exposure amount to
CMM instead of the locked amount?
No. What is locked for the auction is what is sent to Credit during the lock period (from 5:00pm CPT on
Lock date until 8:00am CPT the day after the auction results have been posted).
13. What's the difference between the way credit is used by the central engine now and after
NPRR484/NPRR554 is implemented?
None – the central engine will still see budget constraints and handle them exactly the same way it does
now. The core logic of the NPRR484/NPRR554 implementation is in pre-processing what gets sent to the
central engine with respect to budget constraints. Only Counter-Parties and Account Holders whose
potential exposure is greater than or equal to their locked credit will get a record sent to the central
engine. This reduces the computation time to solve the auction. The biggest benefit, however, is that this
5
allows a Counter-Party to lock less credit for an auction, but still be potentially capable of receiving the
same awards as today, depending on network capacity and other binding constraints.
14. What does it mean that no credit is sent to the central engine for an Account Holder after the prescreening?
If the locked credit is greater than the calculated potential maximum credit exposure for the value of the
Account Holder's portfolios after the pre-screening, then no record will be created for the Account Holder
for a potential binding budget constraint in the engine.
15. Will we still have budget binding constraints?
Yes. The central engine did not change how it optimizes the auction. What did change was the
information regarding the Account Holder’s and Counter-Party’s credit limits. If a budget record is sent to
the central engine, then the Account Holder and/or Counter-Party will still be subject to a possible
budget binding constraint.
16. How is the pre-screening performed for a Counter-Party that has more than one Account Holder?
All of the portfolios submitted by the Account Holders of a Counter-Party are combined into one portfolio
for purposes of the pre-screening. From that point, the pre-screening logic remains the same. At the end
of the calculation, the Counter-Party will have its own potential credit exposure for the auction which
may or may not be the sum of the separate Account Holders under that Counter-Party.
17. Can an Account Holder have a budget constraint but not the Counter-Party?
Yes, this will occur when an Account Holder has a position in the auction, and successfully submits a
portfolio, but the Counter-Party did not lock any credit. Even though only sell offers that result in a
payment to the Account Holder will be awarded, a budget constraint record will still be created for that
Account Holder.
18. Can a Counter-Party have a budget constraint but not the Account Holders?
Yes, this may occur when the aggregated portfolio of all of the Counter-Party’s Account Holders exceeds
the credit locked by the Counter-Party.
19. If my Counter-Party did not lock credit, do my portfolios still get analyzed and pre-screened?
Yes, the pre-screening will still create a potential exposure amount for whatever portfolios are submitted
to the auction. An Account Holder must be "Participating" in the auction; that is, either the Counter-Party
locked credit for the auction or the Account Holder owns a position in the auction. In the event that the
Counter-Party does not lock credit, the Account Holder can only sell existing positions in the auction that
will result in a payment to the Account Holder.
6
20. If my Counter-Party locks less credit than the potential exposure of my submitted portfolios, what
will get sent to the central engine?
No changes with this NPRR and it will be exactly as it is today – a budget constraint record will be sent to
the central engine for the Counter-Party in the amount of the locked credit, and no budget constraint
record will be sent for their Account Holder(s) who did not set self-imposed credit limits. The central
engine will apply the Counter-Party's maximum credit limit to the awards and use the tie-breaking logic
once the budget constraint is met for the final clearing of the awards auction wide.
21. What happens if I don't lock credit?
No changes with this NPRR. In order to successfully submit bids or offers in a CRR auction, an Account
Holder must be "Participating". A Participating CRR Account Holder has credit locked for the auction by
the Counter-Party or owns a position in the auction, or both. In order to be awarded CRRs for bids, your
Counter-Party must have locked credit for the auction. In order to be awarded CRRs for offers that will
result in a payment to you, you must be a Participating CRR Account Holder in good standing (i.e.,
creditworthy).
22. How do I know if I ran into a budget constraint?
With this NPRR, new columns have been added to the Private Downloads->Market Results files for the
auction results. These columns contain the ACI99, ACP (averaged over a multi-month bid), and S
coefficients for OBL Buy bids, and the computed Credit Consumed used in the budget constraint for this
bid in the central engine. If the Credit Consumed column has data, then a budget constraint was
encountered. If the Credit consumed column is blank, there was no budget constraint. Prior to this
NPRR, the only way to know if a budget constraint was encountered was to observe that awards were
not made even when the bid price was higher than the clearing price for the bid.
23. How do I use the new columns for ACI99, ACP, S and Credit Consumed in the Private
Downloads Market Results?
The ACI99, ACP, and S fields contain the credit coefficients used in the pre-screening calculation for OBL
Buy Bids in creating the budget constraint. For multi-month OBL Buy bids, the displayed ACP is averaged
over the effective period of the transaction; however, in order to duplicate the displayed credit
consumed, the actual monthly values from the Credit Coefficients download for each month must be
used. The Credit Consumed field contains the computed value that is sent to the central engine in order
to create the budget constraint. Prior to Phase 1B of the NPRR484 implementation (Spring 2014), the
Credit Consumed field is not fully implemented.
7
24. How do I calculate my potential credit exposure under NPRR484/NPRR554?
OBL Buy Bids Exposure
Download the “Credit Coefficient” file from the Common->Market tab in the CRR application Downloads
page so that you have the ACI99, ACP and S values for the OBL buy bids.
Calculate the value using the following equation for each bid
APOBLBj = ∑k [H j,k*max(Pj,0) - H j,k*Min(0,A ci99, j, ACP j, k ) + H j,k*S j, k]
The above variables are defined as follows:
Variable
Unit
Description
APOBLB j
$/MW
Adjusted bid price for PTP Obligation buy bid j in dollars per MW
considering Path-specific DAM-based Adder, Historical Auction
Clearing Price and State Change Adder
Pj
$/MW per
hour
Bid price for PTP Obligation buy bid j.
H j, k
Hour
Total Number of Hours – The total number of operating hours in the
month of k in the TOU of PTP Obligation buy bid j
A ci 99, j
$/MW per
hour
Path-Specific DAM-Based Adder – The path-specific DAM-based adder
with the source, sink and TOU of bid j
ACPj, k
$/MW per
hour
Historical Auction Clearing Price – The auction clearing price with the
source, sink and TOU of bid j for the month of k. The ACP is omitted if
its value is not available. If TOU of bid j is 24-hour, use ACPs for the
source, sink and TOUs for PeakWD, PeakWE and Off-peak for the
month of k.
S j, k
$/MW per
hour
State Change Adder – The state change adder with the source, sink
and TOU of bid j for the month of k; it will be set at a default of
$0/MW per hour. A change to this value will be initiated by ERCOT to
mitigate against unforeseen increases to potential credit exposure
and will require TAC approval to be in place for more than 60 days. S
is either zero or positive. If S is not defined, it is implied as a zero
value. If TOU of bid j is 24-hour, use S values for the source, sink and
TOUs for PeakWD, PeakWE and Off-peak for the month of k.
8
Sort the CRR Account Holder’s or Counter-Party’s obligation bids which have the same source, sink, TOU
and effective period in descending order of adjusted bid prices (APOBLB). Create a multiple segment bid
curve in such a way that each segment has MW quantity and bid price as:
where i = segment number, QOBLBi ≥ QOBLBi-1, APOBLBi ≤ APOBLBi-1, MWr is the bid MW of the bid at the
rank r while r ≤ i.
Use Aci99, S and ACP to calculate credit exposure for PTP Obligation bids for a CRR Account Holder or
Counter-Party (CEOBLBID) in the pre-auction screening process as:
CEOBLBIDb = max [QOBLB b,I,k * APOBLB b,I,k, QOBLB b,i+1,k * APOBLB b,i+1,k,
…, QOBLB b,i=R,k * APOBLB b,i=R,k]
The above variables are defined as follows:
Variable
Unit
Description
CEOBLBIDb
$
Credit Exposure for PTP Obligation bids having the same source,
sink, TOU and effective period for a CRR Account Holder or
Counter-Party b.
APOBLB b,i,k
$/MW
Bid price segment i for PTP Obligation buy bid aggregated per
effective period, source, sink and TOU k submitted by Account
Holder or Counter-Party b
QOBLB b,i,k
MWh
Bid MW segment i for PTP Obligation buy bid aggregated per
effective period, source, sink and TOU k submitted by Account
Holder or Counter-Party b
R
none
Total number of segments for PTP Obligation bids aggregated
per effective period, source, sink and TOU submitted by an
Account Holder or Counter-Party.
9
Example 1: Exposure calculation for pre-auction screening process for OBL buy bids for PeakWD TOU
in a Long-Term Auction Sequence with multi-month bids.
Data from the downloaded Credit Coefficient file for the auction and the corresponding hours in each
TOU from the published TOU file:
TOU
SOURCE
SINK
Off-peak
HB_WEST
HB_NORTH
START_DATE
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
1/1/2014
Off-peak
HB_WEST
HB_NORTH
2/1/2014
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
2/1/2014
2/28/2014
Off-peak
HB_WEST
HB_NORTH
3/1/2014
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
Off-peak
HB_WEST
HB_NORTH
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
Off-peak
HB_WEST
HB_NORTH
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
5/1/2014
Off-peak
HB_WEST
HB_NORTH
6/1/2014
PeakWD
HB_WEST
HB_NORTH
PeakWE
HB_WEST
HB_NORTH
1/1/2014
END_DATE
ACI99
ACP
S
Hours
1/31/2014
-0.107
0.7
248
1/1/2014 1/31/2014
-2.948
0.29
352
1/31/2014
-1.872
0.29
144
2/28/2014
-0.107
0.91
224
2/1/2014 2/28/2014
-2.948
0.28
320
-1.872
0.45
128
3/31/2014
-0.107
1.7
247
3/1/2014 3/31/2014
-2.948
0.79
336
-1.872
0.64
160
3/1/2014
3/31/2014
4/1/2014
4/30/2014
-0.107
1.74
240
4/1/2014 4/30/2014
-2.948
0.83
352
-1.872
0.92
128
4/1/2014
4/30/2014
5/1/2014
5/31/2014
-0.107
0.92
248
5/1/2014 5/31/2014
-2.948
0.21
336
5/31/2014
-1.872
0.26
160
6/30/2014
-0.107
0.4
240
6/1/2014 6/30/2014
-2.948
-0.11
336
-1.872
-0.42
144
6/1/2014
6/30/2014
Portfolio OBL buy bids grouped by source, sink, TOU, and effective dates (start date, end date) – note
that a bid for the same source, sink, TOU, start date is grouped separately based on end dates:
Group
1
2
3
4
5
6
7
OBL BUYS with stacked, and multi-month bids for PeakWD (Group by Source/Sink/TOU/Start/End)
Bid
Hours in Start
APOBLB
Bid ID
Source
Sink
TOU
Price
MW
Bid
Date
End Date ($/MW)
1 HB_WEST HB_NORTH PeakWD
2
6
1008 1/1/2014 3/31/2014
4987.58
2 HB_WEST HB_NORTH PeakWD
10
2
352 1/1/2014 1/31/2014
4557.70
3 HB_WEST HB_NORTH PeakWD
1
10
352 1/1/2014 1/31/2014
1389.70
4 HB_WEST HB_NORTH PeakWD
2
1
2032 1/1/2014 6/30/2014
10054.34
5 HB_WEST HB_NORTH PeakWD
1
2
2032 1/1/2014 6/30/2014
8022.34
6 HB_WEST HB_NORTH PeakWD
0.5
4
2032 1/1/2014 6/30/2014
7006.34
7 HB_WEST HB_NORTH PeakWD
-0.5
5
1680 2/1/2014 6/30/2014
4952.64
8 HB_WEST HB_NORTH PeakWD
-0.01
10
1680 2/1/2014 6/30/2014
4952.64
9 HB_WEST HB_NORTH PeakWD
1
1
1680 2/1/2014 6/30/2014
6632.64
10 HB_WEST HB_NORTH PeakWD
7
3
688 4/1/2014 5/31/2014
6844.22
11 HB_WEST HB_NORTH PeakWD
5
6
336 5/1/2014 5/31/2014
2670.53
12 HB_WEST HB_NORTH PeakWD
1.0
2
336 6/1/2014 6/30/2014
1326.53
10
APOBLB for Bid 4 in Group 3 =
= { (2032 * max(0,2)} – { (352 * min(0,-2.948,.29)) + (320 * min(0,-2.948,.28)) + (336 * min(0,2.948,.79)) + (352 * min(0,-2.948,.83)) + (336 * min(0,-2.948,.21)) + (336 * min(0,-2.948,-.11)) }
+ { (352 * 0) + (320 * 0) + (336 * 0) + (352 * 0) + (336 * 0) + (336 * 0) }
= (2032 * 2) – { (-1037.696) + (-943.36) + (-990.528) + (-1037.696) + (-990.528) + (-990.528) }
+{0}
= 4064 – ( - 5990.336) + 0
= 4064 + 5990.336 + 0
= 10054.336
Each bid’s APOBLB is computed using the individual ACI99, ACP and S coefficients for each month of the
effective period of the bid.
The next step is to reverse sort on APOBLB in each group, and then aggregate the total MW in each
group. Multiply the aggregated bid MW times the sorted APOBLB for each line to get the individual bid
exposures. The max exposure for all OBL buy bids is the sum of the maximum value for each *group*, not
the sum of the individual bid exposures. Note: in the case where the APOBLB is the same (as in
negatively priced OBL bids within the same TOU), the sub-sort is based on descending order of the bid
price (highest price to lowest price), then on descending order of bid MW (highest MW bid to least MW).
11
OBL BUYS with stacked, and multi-month bids for PeakWD (sort APOBLB largest to smallest in each Group, then MW largest to smallest for tie-breaking in the groups)
Bid
Hours in Start
APOBLB
Aggregated Segment
Group Bid ID
Source
Sink
TOU
Price MW
Bid
Date
End Date ($/MW) MW
Exposure Max Exposure
1
1 HB_WEST HB_NORTH PeakWD
2
6 1008 1/1/2014 3/31/2014
4987.58
6 29925.504
29925.504
2 HB_WEST HB_NORTH PeakWD
10
2
352 1/1/2014 1/31/2014
4557.70
2 9115.392
2
16676.352
3 HB_WEST HB_NORTH PeakWD
1
10
352 1/1/2014 1/31/2014
1389.70
12 16676.352
4 HB_WEST HB_NORTH PeakWD
2
1 2032 1/1/2014 6/30/2014 10054.336
1 10054.336
3
49044.352
5 HB_WEST HB_NORTH PeakWD
1
2 2032 1/1/2014 6/30/2014 8022.336
3 24067.008
6 HB_WEST HB_NORTH PeakWD
0.5
4 2032 1/1/2014 6/30/2014 7006.336
7 49044.352
9 HB_WEST HB_NORTH PeakWD
1
1 1680 2/1/2014 6/30/2014
6632.64
1
6632.64
4
79242.24
8 HB_WEST HB_NORTH PeakWD
-0.01
10 1680 2/1/2014 6/30/2014
4952.64
11 54479.04
7 HB_WEST HB_NORTH PeakWD
-0.5
5 1680 2/1/2014 6/30/2014
4952.64
16 79242.24
5
10 HB_WEST HB_NORTH PeakWD
7
3
688 4/1/2014 5/31/2014
6844.22
3 20532.672
20532.672
6
11 HB_WEST HB_NORTH PeakWD
5
6
672 5/1/2014 5/31/2014 2670.528
6 16023.168
16023.168
7
12 HB_WEST HB_NORTH PeakWD
1
2
336 6/1/2014 6/30/2014 1326.528
2 2653.056
2653.056
Total OBL BUY Bid Exposure for Stacked, Multi-month BUY Bids for PeakWD
214097.344
Example 2: Exposure calculation for pre-auction screening process for OBL buy bids with 24-hour TOU
for a Monthly Auction
Data from the downloaded Credit Coefficient file for the auction, and the corresponding hours in each
TOU from the published TOU file:
TOU
24-Hours
Off-peak
PeakWD
PeakWE
SOURCE
HB_WEST
HB_WEST
HB_WEST
HB_WEST
SINK
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
START_DATE END_DATE HOURS
11/1/2013 11/30/2013
11/1/2013 11/30/2013
11/1/2013 11/30/2013
11/1/2013 11/30/2013
ACI99
721
241
320
160
ACP
S
-0.107
-2.948
-1.872
2.08
0.31
0.48
Portfolio OBL buy bids grouped by source, sink, TOU and effective dates, with APOBLB computed per bid
(Note that the 24-hour bid APOBLB is a composite of each of the TOU hours and ACI99, ACP and S
values):
Source
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
Sink
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
TOU
24-Hours
24-Hours
24-Hours
PeakWD
PeakWD
PeakWD
PeakWE
PeakWE
PeakWE
Off-peak
Off-peak
Off-peak
Bid Price
MW
0.1
-0.5
-0.5
3.0
1.0
-0.1
1.0
-0.2
-1.3
3.0
2.0
1.0
Hours
25
9
6
2
3
4
1
6
4
4
3
2
ACI99
721
721
721
320
320
320
160
160
160
241
241
241
-2.948
-2.948
-2.948
-1.872
-1.872
-1.872
-0.107
-0.107
-0.107
ACP
S
0.31
0.31
0.31
0.48
0.48
0.48
2.08
2.08
2.08
APOBLB
($/MW)
1340.77
1268.67
1268.67
943.36
943.36
911.36
459.52
299.52
299.52
748.79
507.79
266.79
APOBLB for first line in the above table =
12
= { (721 * max(0,0.1)} – { (320 * min(0, -2.948, .31)) + (160 * min(0,-1.872, .48)) + (241 * min(0,
-0.107, 2.08)) } + { (320 * 0) + (160 * 0) + (241 * 0) }
= (721 * .1) – { (-943.36) + (-299.52) + (-25.787) + { 0 }
= 72.1 – ( - 1268.667) + 0
= 4064 + 1268.667
= 1340.77
Sort each bid based on APOBLB. Note: in the case where the APOBLB is the same (as in negatively priced
OBL bids within the same TOU), the sub-sort is based on descending order of the bid price (highest price
to lowest price).
Source
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
Sink
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
HB_NORTH
OBL BUYS with Stacked bids including 24-hour bids (sort BP largest to smallest, MW largest to smallest)
APOBLB Aggregated Segment Max
TOU
Bid Price
MW
Hours
ACI99
ACP
S
($/MW) MW
Exposure Exposure
24-Hours
0.1
25
721
1340.77
25 33519.175
24-Hours
-0.5
9
721
1268.67
34 43134.678
24-Hours
-0.5
6
721
1268.67
40 50746.68 50746.68
PeakWD
3.0
2
320
-2.948
0.31
943.36
2
1886.72
PeakWD
1.0
3
320
-2.948
0.31
943.36
5
4716.8
PeakWD
-0.1
4
320
-2.948
0.31
911.36
9
8202.24 8202.24
PeakWE
1.0
1
160
-1.872
0.48
459.52
1
459.52
PeakWE
-0.2
6
160
-1.872
0.48
299.52
7
2096.64
PeakWE
-1.3
4
160
-1.872
0.48
299.52
11
3294.72 3294.72
Off-peak
3.0
4
241
-0.107
2.08
748.79
4 2995.148
Off-peak
2.0
3
241
-0.107
2.08
507.79
7 3554.509
Off-peak
1.0
2
241
-0.107
2.08
266.79
9 2401.083 3554.509
TOTAL OBL BUY EXPOSURE
65798.149
13
OPT Buy Bids Exposure
There is no change in how the OPT buy bids exposure is calculated since NPRR357/430.
Sort option bids in the descending order of bid prices. Create a multiple segment bid curve in such a way
that each segment has MW quantity and bid price as:
where i = segment number, and MWi ≥ MWi-1 and Pricei ≤ Pricei-1
Calculate credit exposure of each segment in the multiple segment bid curve by using the following
equation:
where i = segment number,
Hour = number of effective hours of bid (every bid in the group has the same number of effective
hours)
Example 1: Exposure calculation for pre-auction screening process for OPT buy bids for PeakWD TOU
in a Long-Term Auction Sequence with multi-month bids
OPT BUYS with stacked, and multi-month bids for PeakWD (sort Bid Price largest to smallest in each Group, then MW largest to smallest for tiebreaking in the groups)
Bid
Hours in Start
Aggregated Segment Max
Group Bid ID
Source
Sink
TOU
Price MW
Bid
Date
End Date MW
Exposure Exposure
1
1 HB_WEST HB_NORTH PeakWD
2
6 1008 1/1/2014 3/31/2014
6
12096 12096
2 HB_WEST HB_NORTH PeakWD
10
2
352 1/1/2014 1/31/2014
2
7040
2
3 HB_WEST HB_NORTH PeakWD
1
10
352 1/1/2014 1/31/2014
12
4224 7040
4 HB_WEST HB_NORTH PeakWD
2
1 2032 1/1/2014 6/30/2014
1
4064
5 HB_WEST HB_NORTH PeakWD
1
2 2032 1/1/2014 6/30/2014
3
6096
3
6 HB_WEST HB_NORTH PeakWD
0.5
4 2032 1/1/2014 6/30/2014
7
7112 7112
9 HB_WEST HB_NORTH PeakWD
1
1 1680 2/1/2014 6/30/2014
1
1680
8 HB_WEST HB_NORTH PeakWD
0.5
10 1680 2/1/2014 6/30/2014
11
9240
4
7 HB_WEST HB_NORTH PeakWD
0.5
5 1680 2/1/2014 6/30/2014
16
13440 13440
5
10 HB_WEST HB_NORTH PeakWD
7
3
688 4/1/2014 5/31/2014
3
14448 14448
6
11 HB_WEST HB_NORTH PeakWD
5
6
336 5/1/2014 5/31/2014
6
12096 12096
7
12 HB_WEST HB_NORTH PeakWD
1
2
336 6/1/2014 6/30/2014
2
672
672
Total OPT BUY Bid Exposure for Stacked, Multi-month BUY Bids for PeakWD
66904
14
Example 2: Exposure calculation for pre-auction screening process for OPT buy bids with 24-hour TOU
for a Monthly Auction
Source
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
HB_WEST
OPT Buy with 24-hour and stacked bids (sort BP largest to smallest, then MW largest to smallest)
Aggregated Segment
Max
Sink
TOU
Bid Price
MW
Hours
MW
Exposure
Exposure
HB_NORTH
24-Hours
0.2
100
721
100
14420
HB_NORTH
24-Hours
0.2
50
721
150
21630
HB_NORTH
24-Hours
0.1
25
721
175
12617.5 21630
HB_NORTH
PeakWD
3.0
10
320
10
9600
HB_NORTH
PeakWD
3.0
5
320
15
14400
HB_NORTH
PeakWD
3.0
2
320
17
16320 16320
HB_NORTH
PeakWE
10.0
25
160
25
40000
HB_NORTH
PeakWE
5.0
10
160
35
28000
HB_NORTH
PeakWE
1.0
1
160
36
5760 40000
HB_NORTH
Off-peak
5.0
4
241
4
4820
HB_NORTH
Off-peak
4.0
4
241
8
7712
HB_NORTH
Off-peak
3.0
4
241
12
8676 8676
Total OPT Buy Exposure
86626
15
OBL Sell Offers Exposure
There is no change in how the OPT buy bids exposure is calculated since NPRR357/430.
Sort obligation offers in the ascending order of bid prices. Create a multiple segment bid curve in such a
way that each segment has MW quantity and bid price as:
where i = segment number, and MWi ≥ MWi-1 and Pricei ≥ Pricei-1
Calculate credit exposure of each segment in the multiple segment bid curve by using the following
equation:
where i = segment number,
Hour = number of effective hours of bid (every bid in the group has the same number of effective
hours)
Example 1: Exposure calculation for pre-auction screening process for OBL sell offers for PeakWD in a
Long-Term Auction Sequence with multi-month offers.
Group
1
2
3
4
5
6
7
OBL Sell Offers (sort BP smallest to largest, then MW smallest to largest)
Bid
Hours in Start
Aggregated Segment Max
Bid ID
Source
Sink
TOU
Price MW
Bid
Date
End Date MW
Exposure Exposure
1 HB_WEST HB_NORTH PeakWD
2
6 1008 1/1/2014 3/31/2014
6
0
0
3 HB_WEST HB_NORTH PeakWD
-1
10
352 1/1/2014 1/31/2014
10
3520
2 HB_WEST HB_NORTH PeakWD
10
2
352 1/1/2014 1/31/2014
12
0 3520
6 HB_WEST HB_NORTH PeakWD
-0.5
4 2032 1/1/2014 6/30/2014
4
4064
5 HB_WEST HB_NORTH PeakWD
1
2 2032 1/1/2014 6/30/2014
6
0
4 HB_WEST HB_NORTH PeakWD
1
4 2032 1/1/2014 6/30/2014
10
0 4064
7 HB_WEST HB_NORTH PeakWD
-0.5
5 1680 2/1/2014 6/30/2014
5
4200
8 HB_WEST HB_NORTH PeakWD
-0.01
10 1680 2/1/2014 6/30/2014
15
252
9 HB_WEST HB_NORTH PeakWD
0.01
1 1680 2/1/2014 6/30/2014
16
0 4200
10 HB_WEST HB_NORTH PeakWD
7
3
688 4/1/2014 5/31/2014
3
0
0
11 HB_WEST HB_NORTH PeakWD
-0.05
6
336 5/1/2014 5/31/2014
6
100.8 100.8
12 HB_WEST HB_NORTH PeakWD
1
2
336 6/1/2014 6/30/2014
2
0
0
Total OBL Offer Exposure for Stacked, Multi-month SELL Offers for PeakWD
11884.8
16
Example 2: Exposure calculation for pre-auction screening process for OBL sell offers for a monthly
auction.
Source
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
HB_SOUTH
Sink
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
LZ_SOUTH
OBL Sell Offers (sort BP smallest to largest, then MW smallest to largest)
Aggregated Segment
Max
TOU
Bid Price
MW
Hours
MW
Exposure
Exposure
Off-peak
-0.5
4
241
4
482.00
Off-peak
-0.5
4
241
8
964.00
Off-peak
-0.05
1
241
9
108.45
Off-peak
-0.05
1
241
10
120.50
Off-peak
-0.05
25
241
35
421.75
Off-peak
0
10
241
45
0.00
Off-peak
1
3
241
48
0.00
964
PeakWD
-0.1
2
320
2
64.00
PeakWD
-0.1
3
320
5
160.00
PeakWD
-0.05
1
320
6
96.00
PeakWD
-0.05
5
320
11
176.00
PeakWD
-0.01
1
320
12
38.40
176
PeakWE
-1
1
160
1
160.00
PeakWE
-1
2
160
3
480.00
PeakWE
-1
3
160
6
960.00
PeakWE
-1
4
160
10
1600.00
PeakWE
-1
5
160
15
2400.00 2400
Total OBL Offer Exposure
3540
17