September 20 2017 Current CRR Credit Dynamics Each auction has 360000 600 points 600x600 unique paths to be bid on Looking at the most recent auctions Oct Monthly Credit Coefficients posted on MIS for 2813 paths ID: 641628
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Slide1
CRR Credit Calculator
Credit Working Group and Market Credit Working Group
September 20, 2017Slide2
Current CRR Credit Dynamics
Each auction has ~360,000 (600 points, 600x600) unique paths to be bid on.
Looking at the most recent auctions:
Oct Monthly Credit Coefficients posted on MIS for 2,813 paths
Last rolling auction was Seq. 4 1
st
6 2019: there were no credit coefficients posted on MIS for market participants to use, as this was the first time 2019 CRRs were open to biding
Next previous rolling auction Seq. 3 2
nd
6 2018 Credit Coefficients posted on MIS for 6,845 pathsSlide3
Option 1 – Better information on ERCOT website – update calculation methodology
This does not address the main issue of missing ACI99/ACP values.
Requires market participants to estimate the credit requirements internally which can:
Be error prone\impossible due to missing coefficients
Can result in overlocking
Can result in limited or under bidding from market participants due to the inability to calculate credit requirements internally Slide4
Option 2 – ERCOT to provide calculator outside of CRR system
If ERCOT is providing a calculator, why not just provide it within the CRR system to get more accurate results.
Unclear if this option would have all ACI99/ACP values available or if participant must upload/provide.
This option would only be an aid and decoupled from the system actually calculating credit exposure which could lead to a lack of faith in the tool.Slide5
Option 3 – CRR Calculator (vendor solution)
This option encompasses all the needs.
Market Participants would have the most information and maximize their bidding.
A higher confidence in market participant’s credit requirements should result in higher CRR values to load.