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Credit Exposure Update Spoorthy Papudesi

Credit Exposure Update Spoorthy Papudesi. Credit Work Group ERCOT Public February 20, 2019. Monthly Highlights Dec 2018- Jan 2019. Market-wide average TPE decreased from $338.6 million to $330.5 million

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Credit Exposure Update Spoorthy Papudesi

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  1. Credit Exposure Update Spoorthy Papudesi Credit Work Group ERCOT Public February 20, 2019

  2. Monthly Highlights Dec 2018- Jan 2019 • Market-wide average TPE decreased from $338.6 millionto $330.5 million • The decrease in TPE is due to change in Real Time and Day Ahead settlement point prices. • Discretionary collateral is defined as Secured Collateral in excess of TPE,CRR Locked ACL and DAM Exposure. • Average Discretionary collateral decreased from $ 1,071.7 million to $996.7 million. • The decrease in discretionary collateral is due to the number of days of CRR auctions. • Number of active Counter-Parties remained flat at 228 • No unusual collateral call activity

  3. Settlement Invoice Charges/TPE Dec 2018- Jan 2019

  4. Available Credit by Type Compared to Total Potential Exposure (TPE) *Numbers are as of month end except for Max TPE

  5. Discretionary Collateral Dec 2018- Jan 2019 Discretionary Collateral was relatively constant during December and January. At a Counter-Party level, no unusual changes were noted Note: Discretionary collateral doesn’t include Unsecured Credit Limit or parent guarantees

  6. TPE and Discretionary Collateral by Market Segment- Jan 2019 Load and Generation entities accounted for the largest portion of discretionary collateral

  7. Secured collateral distribution/ TPE- Jan 2019 Counterparties are sorted by discretionary collateral

  8. ICE Daily Average Prices April-August 2019 *Daily Average Price = (Peak price*16 +Off-Peak price*8)/24

  9. TPE and Forward Adjustment Factors Dec 2018- Jan 2019 TPE moved in conjunction with forward adjustment factors in January The Real-Time (RFAF) and Day-Ahead (DFAF) forward adjustment factors capture the ratio of forward ERCOT North prices to actual prices.

  10. Questions

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