Analysis of Change in EAL Calculation Scenarios
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Sanchir Dashnyam
ERCOT Market Credit Manager
ERCOT Public
August 16, 2023
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EAL q = Max [IEL during the first 40-day period only beginning on the date
that the Counter-Party commences activity in ERCOT markets,
RFAF *
Max
{RTLE during the previous lrq days}, RTLF
RFAF*RTLCNS*M1
] + DFAF * DALE +
Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILE qEAL t = Max [
RFAF *
Max {RTLE during the previous lrt days}, RTLF
RFAF*RTLCNS*M1
] + DFAF * DALE +
Max [RTLCNS,
Max {URTA during theprevious lrt days}
]
+ OUT t
•
RFAF = 21 ICE future / most recent days (time period of RTLCNS) – this can be 5 days
to 7 days
•
RTLCNS = average RLCNS value
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EAL q = Max [IEL during the first 40-day period only beginning on the date
that the Counter-Party commences activity in ERCOT markets,
Max{(RFAF *
Max
{RTLE
)
during the previous lrq days}, RTLF] + DFAF * DALE + Max [RTLCNS,
Max {URTA during the previous lrq days}] + OUT q + ILE qEAL t =
Max{(RFAF *
Max{RTLE
)
during the previous lrt days}, RTLF] + DFAF *
DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT tS
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EAL q = Max [IEL during the first 40-day period only beginning on the date
that the Counter-Party commences activity in ERCOT markets, RFAF * Max
{RTLE during the previous lrq days}, RTLF] + DFAF * DALE + Max [RTLCNS,Max {URTA during the previous lrq days}] + OUT q + ILE qEAL t = Max [RFAF * Max {RTLE during the previous lrt days}, RTLF] + DFAF *DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT tRFAF =
Projected Real-Time ICE Forward Average Price
/ Max RTLE date
Historic Real-Time
Settled Average Price
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EAL q = Max [IEL during the first 40-day period only beginning on the date
that the Counter-Party commences activity in ERCOT markets, RFAF * Max
{RT
N
LE during the previous lrq days},
RT
N
LF]
+ DFAF * DALE
+ Max [
RT
N
LCNS,
Max {ULE
RTA
during the previous lrq days}] + OUT q + ILE q
OUT
q
= OIA
q
+
UDAA
q
+ UFA
q
+ UTA
q
+ CARD
EAL t = Max [RFAF * Max {RT
N
LE during the previous lrt days},
RT
N
LF]
+ DFAF
* DALE
+ Max [
RT
N
LCNS, Max { ULE
RTA
during the previous lrt days}] + OUT t
OUT
t
= OIA
t
+
UDAA
t
+ UFA
t
+ UTA
t
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NLE = Total net liability extrapolated
•
(Last 14 days RTM Initial Statement Average + Last 14 days DAM Initial Statement
Average)*M1
•
RFAF =
Projected Real-Time ICE Forward Average Price
/ Max NLE date
Historic Real-
Time Settled Average Price
•
NLF =
net liability forward = 1.5 * NLCNS
•
NLCNS = RTLCNS + UDAA
•
ULE = unbilled liability extrapolated
•
(Last 14 days RTM Initial Statement Average + Last 14 days DAM Initial Statement
Average)*M2
In this analysis, Sanchir Dashnyam, the ERCOT Market Credit Manager, discusses the change in the EAL calculation formula, exploring different scenarios and their impacts on ERCOT markets. The scenarios involve adjustments to the application of RFAF against various parameters, aiming to optimize the EAL calculation process for different market conditions.
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Presentation Transcript
Change to EAL calculation: analysis of various scenarios Sanchir Dashnyam ERCOT Market Credit Manager ERCOT Public August 16, 2023
Current EAL Formula EAL q = Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, RFAF * Max {RTLE during the previous lrq days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILEq EAL t = Max [RFAF * Max {RTLE during the previous lrt days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT t EAL is driven by (1) changes in FAF and (2) how FAF s applied. 2 ERCOT Public
Scenario # 1: applying RFAF against RTCLNS instead of MAX RTLE EAL q = Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, RFAF * Max {RTLE during the previous lrq days}, RTLF RFAF*RTLCNS*M1] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILE q EAL t = Max [RFAF * Max {RTLE during the previous lrt days}, RTLF RFAF*RTLCNS*M1] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT t RFAF = 21 ICE future / most recent days (time period of RTLCNS) this can be 5 days to 7 days RTLCNS = average RLCNS value 3 ERCOT Public
Scenario # 2: applying RFAF against all RTLE in the lookback period and taking the Max EAL q = Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, Max{(RFAF * Max {RTLE) during the previous lrq days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILE q EAL t = Max{(RFAF * Max{RTLE) during the previous lrt days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT t 4 ERCOT Public
Scenario # 3: adjusting RFAF formula to reflect each MPs unique situation EAL q = Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, RFAF * Max {RTLE during the previous lrq days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrq days}] + OUT q + ILE q EAL t = Max [RFAF * Max {RTLE during the previous lrt days}, RTLF] + DFAF * DALE + Max [RTLCNS, Max {URTA during the previous lrt days}] + OUT t RFAF = Projected Real-Time ICE Forward Average Price / Max RTLE date Historic Real-Time Settled Average Price 5 ERCOT Public
Scenario # 4: Netting of RTM and DAM EAL q = Max [IEL during the first 40-day period only beginning on the date that the Counter-Party commences activity in ERCOT markets, RFAF * Max {RTNLE during the previous lrq days}, RTNLF] + DFAF * DALE + Max [RTNLCNS, Max {ULERTA during the previous lrq days}] + OUT q + ILE q OUT q = OIA q + UDAA q + UFA q + UTA q + CARD EAL t = Max [RFAF * Max { RTNLE during the previous lrt days}, RTNLF] + DFAF * DALE + Max [RTNLCNS, Max { ULERTA during the previous lrt days}] + OUT t OUT t = OIA t + UDAA t+ UFA t + UTA t 6 ERCOT Public
Scenario # 4: Netting of RTM and DAM, continued NLE = Total net liability extrapolated Average)*M1 (Last 14 days RTM Initial Statement Average + Last 14 days DAM Initial Statement Time Settled Average Price RFAF = Projected Real-Time ICE Forward Average Price / Max NLE date Historic Real- NLF = net liability forward = 1.5 * NLCNS NLCNS = RTLCNS + UDAA ULE = unbilled liability extrapolated Average)*M2 (Last 14 days RTM Initial Statement Average + Last 14 days DAM Initial Statement 7 ERCOT Public
