NPRR 206 (Nodal Market Day-Ahead Market Credit
Requirements) Design
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Credit Exposure Calculation – DAM Energy Bids
1
1.1
Checks
1.
Make the first (Q,P) pair as (q0,p0) = (0,p1)
where p1 = price of the first submitted price from (q1,p1)
1.
If abs(q1-q0) < 0.01, then ignore the first segment for credit check.
2.
For a line segment, if abs[q(i+1)-q(i)) < 0.01, then consider it as vertical line
segment. No area under curve, no credit check required. Proceed to next line
segment.
1.2
Credit Exposure for a Line Segment
First pair
Second pair
= (q(i), p(i))
= (q(i+1), p(i+1))
Credit Exposure =
[q(i+1)-q(i)] *
0.5 * [bidExposurePrice(p(i)) + bidExposurePrice(p(i+1))]
where
bidExposurePrice(p(i)) =
IF
(bidprice(p(i)) <= 0)
THEN
bidExposurePrice(p(i)) = 0
ELSE
bidExposurePrice(p(i)) = MAX[0, sum(A + B) ]
A=
B=
MIN (dth%DA-SPP, bidprice(p(i)))
IF
(bidprice(p(i)) > A)
THEN
B = e1 * (bidprice(p(i)) – A)
ELSE
B=0
If the dth%DA-SPP lies between q(i) and q(i+1), then find the intercept q(d), p(d).
Calculate Credit Exposure for two segments [(q(i), p(i)) – (q(d), p(d))] and [(q(d), p(d)) –
(q(i+1), p(i+1))]. Total Credit Exposure for the entire segment is sum of the two credit
exposures.
Also see Figures 1 and 2 for visual interpretation of the Credit Exposure calculation.
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Trapezoid Area
A = 0.5 * h * (a+b)
where
h is the height, and
a and b are the lengths of the parallel sides
X-intercept with dth Percentile / X-axis
Find Slope for the line segment
m = (y2-y1) / (x2-x1)
BidPrice ($/MW)
(q1, p1)
(10,800)
(q0, p0))
Find Line equation using either first or second (x,y) pair
tmp
y-y0 = m * (x-x0)
(50,600)
(q5, p5)
Find x-intercept on the dth percentile / x-axis
Line equation:
y = mx + b
x = (y-b) / m
Case 2
Scan
(q6, p6)
e1*A1'
(100,110)
e1*A2'
e1*A3'
dth Percentile DA-SPP
Case 4
Scan
(x,70)
(125,65)
A1
Case 3
Scan
A2
A3
(150,15)
A5
A4
A6
Quantity (MW)
(175,-30)
(200,-45)
Figure 1 – Credit Exposure Calculation (Energy Bids) – Positive dth Percentile DA-SPP
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BidPrice ($/MW)
Credit Exposure
Credit Exposure = Max ( 0, sum(A+B) )
(0,800)
(50,600)
where
A = area A1
B = e1* (A1' - A1)
Case 1
Scan
X-intercept with dth Percentile / X-axis
Find Slope for the line segment
m = (y2-y1) / (x2-x1)
(100,110)
Find Line equation using either first or second (x,y) pair
y-y0 = m * (x-x0)
A1'
A2'
Find x-intercept on the dth percentile / x-axis
Line equation:
y = mx + b
x = (y-b) / m
(125,65)
A3'
(150,15)
A4'
A5'
Quantity (MW)
A1
A2
A3
A4
A5
(175,-30)
dth Percentile DA-SPP (x,-40)
(200,-45)
Figure 2 – Credit Exposure Calculation (Energy Bids) – Negative (or zero) dth Percentile DA-SPP
1.3
Verification – Case 1-Scan for Line Segment (q5,p5),
(q6,p6) where dth SPP < 0
bidExposurePrice(q5) = MAX[0, sum(A + B) ]
where
A = MIN (dth%DA-SPP, bidprice) = d
B = e1 * (bidprice – A) = e1 * (p5 – d)
bidExposurePrice(q5) = MAX[0, (d + e1 * (p5 – d))]
bidExposurePrice(q6) = MAX[0, (d + e1 * (p6 – d))]
Credit Exposure = [q(6)-q(5)] * 0.5 * [bidExposurePrice(q5) + bidExposurePrice(q6)]
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= (q6-q5) * 0.5 *
[MAX[0, (d + e1 * (p5 – d))] + MAX[0, (d + e1 * (p6 – d))]
1.4
Verification – Case 2-Scan for Line Segment (q5,p5),
(q6,p6) where p6 >= dth SPP >= 0
bidExposurePrice(q5) = MAX[0, sum(A + B) ]
where
A = MIN (dth%DA-SPP, bidprice) = d
B = e1 * (bidprice – A) = e1 * (p5 – d)
bidExposurePrice(q5) = MAX[0, (d + e1 * (p5 – d)}]
= (d + e1 * (p5 – d))
bidExposurePrice(q6) = (d + e1 * (p6 – d))
Credit Exposure = [q(6)-q(5)] * 0.5 * [bidExposurePrice(q5) + bidExposurePrice(q6)]
= (q6-q5) * 0.5 * [2d + e1*(p5+p6-2d)]
= (q6-q5) * d * [1-e1] + 0.5 * (p5+p6)*(q6-q5)
1.5
Verification – Case 3-Scan for Line Segment (q5,p5),
(q6,p6) where 0 <= p6 <= p5 <= dth SPP
bidExposurePrice(q5) = MAX[0, sum(A + B) ]
where
A = MIN (dth%DA-SPP, bidprice) = p5
B=0
bidExposurePrice(q5) = MAX[0, p5] = p5
bidExposurePrice(q6) = MAX[0, p6] = p6
Credit Exposure = [q(6)-q(5)] * 0.5 * [bidExposurePrice(q5) + bidExposurePrice(q6)]
= [q(6)-q(5)] * 0.5 * (p5+p6)
1.6
Verification – Case 4-Scan for Line Segment (q5,p5),
(q6,p6) where 0 <= p6 <= dth SPP <= p5
bidExposurePrice(q5) = MAX[0, sum(A + B) ]
where
A = MIN (dth%DA-SPP, bidprice) = d
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B = e1 * (bidprice – A) = e1 * (p5 – d)
bidExposurePrice(q5) = MAX[0, (d + e1 * (p5 – d)}]
= (d + e1 * (p5 – d))
bidExposurePrice(qd) = MAX[0, sum(A + B) ]
where
A = MIN (dth%DA-SPP, bidprice) = d
B=0
bidExposurePrice(qd) = MAX[0, d] = d
bidExposurePrice(q6) = MAX[0, p6] = p6
CreditExposure1 = [q(d)-q(5)] * 0.5 * [bidExposurePrice(q5) + bidExposurePrice(qd)]
= [q(d)-q(5)] * 0.5 * [(d + e1 * (p5 – d)) + d]
CreditExposure2 = [q(6)-q(d)] * 0.5 * [bidExposurePrice(qd) + bidExposurePrice(q6)]
= [q(6)-q(d)] * 0.5 * [d + p6]
CreditExposure = CreditExposure1 + CreditExposure2
= [q(d)-q(5)] * 0.5 * [(d + e1 * (p5 – d)) + d] +
[q(6)-q(d)] * 0.5 * [d + p6]
= (q(d)-q(5)) + 0.5 * (q(d)-q(5)) * [ e1*(p5-d)] +
[q(6)-q(d)] * 0.5 * [d + p6]
= (q(d)-q(5))*d*[1-e1] + 0.5 * e1 * (q(d)-q(5)) * (p5+d) +
[q(6)-q(d)] * 0.5 * [d + p6]
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Credit Exposure Calculation – DAM Energy Offers
2
2.1
Checks
1.
Make the first (Q,P) pair as (q0,p0) = (0,p1)
where p1 = price of the first submitted price from (q1,p1)
3.
If abs(q1-q0) < 0.01, then ignore the first segment for credit check.
4.
For a line segment, if abs[q(i+1)-q(i)) < 0.01, then consider it as vertical line
segment. No area under curve, no credit check required. Proceed to next line
segment.
2.2
Credit Exposure for a Line Segment
First pair
Second pair
B=
IF
THEN
= (q(i), p(i))
= (q(i+1), p(i+1))
[q(i+1)-q(i)] * 95% [the Hrly diff of RT-SPP-DA-SPP)] * e3
[p(i) <= ath%DA-SPP]
//Figures 3,4,5,6
q(a) = q(i+1)
ELSE
IF
THEN
[p(i+1) > ath%DA-SPP]
Calculate intercept q(a)
IF
THEN
ELSE
[bth%DA-SPP > 0]
A = - ( (q(a)-q(i)) * bth%DA-SPP * e2)
A = -((q(a)-q(i)) * bth%DA-SPP)
A=0
//Figures 5,6
//Figures 7,8
Credit Exposure = A+B
Also see Figures 3-8 for visual interpretation of the Credit Exposure calculation.
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OfferPrice ($/MW)
ath Percentile DA-SPP
(x,150)
(q6, p6)
(40,100)
(q5, p5)
(25,50)
Quantity (MW)
Figure 3 – Credit Exposure Calculation (Energy Offers) – Positive ath Percentile above the Line
Segment
Quantity (MW)
ath Percentile DA-SPP
OfferPrice ($/MW)
(x,-15)
(q6, p6)
(40,-100)
(q5, p5)
(25,-500)
Figure 4 – Credit Exposure Calculation (Energy Offers) – Negative ath Percentile above the Line
Segment
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OfferPrice ($/MW)
(q6, p6)
(40,100)
(qa,75)
ath Percentile DA-SPP
(x,75)
(q5, p5)
(25,50)
Quantity (MW)
Figure 5 – Credit Exposure Calculation (Energy Offers) – Positive ath Percentile intercepting the Line
Segment
Quantity (MW)
OfferPrice ($/MW)
(q6, p6)
(40,-100)
(qa,-150)
ath Percentile DA-SPP
(q5, p5)
(x,-150)
(25,-500)
Figure 6 – Credit Exposure Calculation (Energy Offers) – Negative ath Percentile intercepting the
Line Segment
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OfferPrice ($/MW)
(q6, p6)
(40,100)
(q5, p5)
(25,50)
ath Percentile DA-SPP
(x,15)
Quantity (MW)
Figure 7 – Credit Exposure Calculation (Energy Offers) – Positive ath Percentile below the Line
Segment
Quantity (MW)
(q6, p6)
(40,-100)
OfferPrice ($/MW)
(q5, p5)
(25,-500)
ath Percentile DA-SPP
(x,-650)
Figure 8 – Credit Exposure Calculation (Energy Offers) – Negative ath Percentile below the Line
Segment
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Credit Exposure Calculation – Three-Part Offers
3
3.1
Checks
1.
Make the first (Q,P) pair as (q0,p0) = (0,p1)
where p1 = price of the first submitted price from (q1,p1)
5.
If abs(q1-q0) < 0.01, then ignore the first segment for credit check.
6.
For a line segment, if abs[q(i+1)-q(i)) < 0.01, then consider it as vertical line
segment. No area under curve, no credit check required. Proceed to next line
segment.
3.2
Credit Exposure Calculation
The Credit Exposure calculation for a Three-Part offer is calculated by identifying the
target line segment first.
The target line segment is one of the following line segments –
(a) The last segment of the Three-Part offer curve, if yth percentile is above or below
the offer curve, or
(b) The segment of the Three-Part offer curve that is intercepting the yth percentile.
Target Segment first pair
Target Segment second pair
IF
THEN
= (q(i), p(i))
= (q(i+1), p(i+1))
[p(i) <= yth%DA-SPP]
//Figures 9,10,11,12
q(y) = q(i+1)
IF
THEN
[p(i+1) > yth%DA-SPP]
Calculate intercept q(y)
//Figures 11,12
Credit Exposure = - [q(y) * (zth%DA-SPP)]
ELSE
Credit Exposure = 0
//Figures 13,14
Also see Figures 9-14 for visual interpretation of the Credit Exposure calculation.
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OfferPrice ($/MW)
yth Percentile DA-SPP
(x,150)
(40,100)
(25,50)
(q(i+1), p(i+1))
(q(i), p(i))
Quantity (MW)
Figure 9 – Credit Exposure Calculation (Three-Part Offers) – Positive yth Percentile above the Line
Segment
Quantity (MW)
yth Percentile DA-SPP
OfferPrice ($/MW)
(x,-15)
(q(i+1), p(i+1))
(40,-100)
(q(i), p(i))
(25,-500)
Figure 10 – Credit Exposure Calculation (Three-Part Offers) – Negative yth Percentile above the Line
Segment
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OfferPrice ($/MW)
(40,100)
(q(i+1), p(i+1))
(qy,75)
yth Percentile DA-SPP
(x,75)
(25,50)
(q(i), p(i))
Quantity (MW)
Figure 11 – Credit Exposure Calculation (Three-Part Offers) – Positive yth Percentile intercepting the
Line Segment
Quantity (MW)
OfferPrice ($/MW)
(40,-100)
(q(i+1), p(i+1))
(qy,-150)
(q(i), p(i))
(25,-500)
yth Percentile DA-SPP
(x,-150)
Figure 12 – Credit Exposure Calculation (Three-Part Offers) – Negative yth Percentile intercepting
the Line Segment
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OfferPrice ($/MW)
(40,100)
(25,50)
(q(i+1), p(i+1))
(q(i), p(i))
yth Percentile DA-SPP
(x,15)
Quantity (MW)
Figure 13 – Credit Exposure Calculation (Three-Part Offers) – Positive yth Percentile below the Line
Segment
Quantity (MW)
OfferPrice ($/MW)
(q(i+1), p(i+1))
(40,-100)
(q(i), p(i))
(25,-500)
yth Percentile DA-SPP
(x,-650)
Figure 14 – Credit Exposure Calculation (Three-Part Offers) – Negative yth Percentile below the Line
Segment
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4
Credit Exposure Calculation – PTP Obligation Bids
Credit Exposure = [Q * (max(bidPrice,0) + uth%RTSourcePrice-RTSinkPrice)]
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5
Credit Exposure Calculation – AS Not self-arranged
Credit Exposure =
[Q * tth%(DAM-AS-MCPC)]
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