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NPRR206 Examples using CWG Recommendations

NPRR206 Examples using CWG Recommendations. Shams Siddiqi, Ph.D. Crescent Power, Inc. shams@crescentpower.net Tel. (512) 263-0653 February 12, 2010. Principal Changes of NPRR206.

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NPRR206 Examples using CWG Recommendations

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  1. NPRR206 Examples using CWG Recommendations Shams Siddiqi, Ph.D. Crescent Power, Inc. shams@crescentpower.net Tel. (512) 263-0653 February 12, 2010

  2. Principal Changes of NPRR206 • DAM Energy Only Offers (EOO) and Three Part Supply Offers (TPOs) not required to collateralize for exposure when the offer is not likely to clear • Likely-to-clear TPOs not required to collateralize for exposure but rather provided credit in exposure calculations • Likely-to-clear EOOs may be required to collateralize for exposure but at a reduced rate if 1>e3>0 or may even be provided credit in exposure calculations if 1>e2>0 • DAM Energy Bids required to collateralize for exposure at a reduced rate if 1>e1>0 • Exposure for DAM Energy Bids and DAM Energy Offers at the same settlement point will no longer equal the maximum of bid exposure or offer exposure. Crescent Power, Inc.

  3. Ex1 – DAM Energy Bid • Collateral Req. = Bid Quantity x Max[0, {Min(Bid Price, SPPd%) + e1 x (Bid Price – Min(Bid Price, SPPd%)}] • SPPd% is dth percentile of DAM SPP over past 30 days, say $60/MWh Crescent Power, Inc.

  4. Ex2 – DAM Energy Only Offer • Collateral Req. = 0, EOO Quantity w/Offer Price>SPPa% =[EOO Quantity w/Offer Price<SPPa% ] x [e2 x (-1)*SPPb% + e3 x ∆SPP95%] • SPPa% is ath percentile of DAM SPP over past 30 days, say $60/MWh • SPPd% is bth percentile of DAM SPP over past 30 days, say $40/MWh • ∆SPP95% is 95th percentile of difference between RTM SPP and DAM SPP over past 30 days, say $5/MWh Crescent Power, Inc.

  5. Ex3 – Three Part Supply Offer • Collateral Req. = 0, if Energy Offer Curve Price > SPPy% = [MEO Quantity+{EOC<SPPy%} Quantity] x [(-1)*SPPz%] • SPPy% is yth percentile of DAM SPP over past 30 days, say $60/MWh • SPPd% is zth percentile of DAM SPP over past 30 days, say $40/MWh • ∆SPP95% is 95th percentile of difference between RTM SPP and DAM SPP over past 30 days, say $5/MWh • Startup Offer (SUO)=$3000; Min Energy Offer (MEO)=$100/MWh Crescent Power, Inc.

  6. Ex3a – TPO Credit for One Hour • Collateral Req. = 0, if Energy Offer Curve Price > SPPy% = [MEO Quantity+{EOC<SPPy%} Quantity] x [(-1)*SPPz%] • SPPy% is yth percentile of DAM SPP over past 30 days, say $60/MWh • SPPd% is zth percentile of DAM SPP over past 30 days, say $40/MWh • ∆SPP95% is 95th percentile of difference between RTM SPP and DAM SPP over past 30 days, say $5/MWh • SUO=$3000; MEO=$100/MWh; EOC=$30@500MW & $120@1100MW • Assuming SUO is spread over 10 hours, total offer cost for 900MW is $75.89/MWh – SUO and MEO and Min Energy quantities vary by resource and NPRR206 changes may inappropriately provide credit Crescent Power, Inc.

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