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Texas Nodal Settlements Mini-Market - CRR July 31, 2007

Texas Nodal Settlements Mini-Market - CRR July 31, 2007. Roadmap. Introduction of CRR in Texas Nodal Market Nodal Settlements Mini-Market – CRR Day-Ahead Market CRR Settlements Real-Time CRR Settlements Daily CRR Balancing Account.

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Texas Nodal Settlements Mini-Market - CRR July 31, 2007

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  1. Texas NodalSettlements Mini-Market - CRR July 31, 2007 http://nodal.ercot.com 1

  2. Roadmap • Introduction of CRR in Texas Nodal Market • Nodal Settlements Mini-Market – CRR • Day-Ahead Market CRR Settlements • Real-Time CRR Settlements • Daily CRR Balancing Account http://nodal.ercot.com 2

  3. Texas Nodal- Texas Nodal CRR Introduction - July 31, 2007 http://nodal.ercot.com 3

  4. What is a CRR? • Congestion Revenue Rights • Definition: • A Congestion Revenue Right (CRR) is a financial instrument that entitles the CRR Owner to be charged or to receive compensation for congestion rents that arise when the ERCOT Transmission Grid is congested in the Day-Ahead Market (DAM) or in Real-Time (RT). • CRRs do not represent a right to receive, or obligation to deliver, physical energy. • Types of CRRs: • Point-to-Point (PTP) CRR: • Obligations (some maybe PCRRs) • Options (some maybe PCRRs) • Obligations with Refund (all PCRRs) • Options with Refund (all PCRRs) • Flowgate Right (FGR) http://nodal.ercot.com 4

  5. CRR Traits • Traits of a CRR • Acquired in 3 Time of Use Blocks: • Weekday Peak (5*16, excluding holidays) • Weekend Peak (2*16, including holidays) • Off Peak (7*8) • Same MW amount for each hour in the TOU block • Defined in Unit of MW • Financially Binding (Owners are paid/charged regardless of their actual energy schedule or generation) • Do not represent a right for physical delivery http://nodal.ercot.com 5

  6. PTP CRR • PTP CRR : • PTP Obligation, PTP Option, PTP Obligation with Refund, PTP Option with Refund • Described from a Source (Injection) Settlement Point to a Sink (Withdrawal) Settlement Point: • Source/Sink Settlement Point can be: • Resource Node • Load Zone • Trading Hub http://nodal.ercot.com 6

  7. PTP Obligation • PTP Obligation can be either a payment or charge to CRR Owners depending on the direction of congestion in relation to the PTP Obligation. • A revenue entitlement from ERCOT to CRR Owners when congestion is in the same direction as the PTP Obligation Source Sink Limit: 100 MW 100 MW 50 MW LMP = $20/MWh LMP = $30/MWh 150 MW PTP Obligation Price = LMP sink – LMP source = 10 $/MW http://nodal.ercot.com 7

  8. PTP Obligation - continued • PTP Obligation can be either a payment or charge to CRR Owners depending on the direction of congestion in relation to the PTP Obligation. • A charge to CRR Owners when congestion is in the opposite direction as the PTP Obligation Sink Source Limit: 100 MW 100 MW 50 MW LMP = $20/MWh LMP = $30/MWh 150 MW PTP Obligation Price = LMP sink – LMP source = - 10 $/MW http://nodal.ercot.com 8

  9. PTP Option • PTP Option never results in a charge to CRR Owners. • A revenue entitlement from ERCOT to CRR Owners when congestion is in the same direction as the PTP Option Source Sink Limit: 100 MW 100 MW 50 MW LMP = $20/MW LMP = $30/MW 150 MW Same Value as PTP Obligation PTP Option Price = Max(0, LMP sink – LMP source ) = 10 $/MW per hour http://nodal.ercot.com 9

  10. PTP Option - continued • PTP Option never results in a charge to CRR Owners. • Zero value when congestion is in the opposite direction as the PTP Option Sink Source Limit: 100 MW 100 MW 50 MW LMP = $20/MW LMP = $30/MW 150 MW PTP Obligation would be negative value PTP Option Price = Max(0, LMP sink – LMP source ) = 0 $/MW per hour http://nodal.ercot.com 10

  11. PTP CRR with Refund • PTP Obligations with Refund and PTP Options with Refund • It is evaluated in the same manner as a PTP Obligation or PTP Option. • All are PCRRs. • The NOIE will be paid the minimum of: PCRR Actual Usage or PCRR with refund MW amount. http://nodal.ercot.com 11

  12. Flowgate Right • Flowgate • Predefined directional network element or a predefined bundle of directional network elements • Flowgate Right • McCamey Area flowgates are the only flowgates where FGRs are available in ERCOT • It never results in a charge to CRR Owners http://nodal.ercot.com 12

  13. CRR Acquisition Day-Ahead Market CRR Market Annual / Monthly CRR Auction PCRR Allocation McCamey Area Flowgate Rights Allocations Bilateral Market PTP Obligation Settlements http://nodal.ercot.com 13

  14. Texas NodalOverview:Settlements Mini-Market - CRRJuly 31, 2007 http://nodal.ercot.com 14

  15. Settlement Mini-Market CRR Overview • “Settlements Mini-Market – CRR” cover: • CRR Settlements in Day-Ahead Market • CRR Settlements in Real-Time (when there’s Day-Ahead Market) • CRR Settlements in Real-Time (when there’s no Day-Ahead Market) • Daily CRR Balancing Account Settlements • “Settlements Mini-Market – CRR” set Scenarios for: • CRR Types: • Point-to-Point Obligation • Point-to-Point Obligation with Refund • Point-to-Point Option • Point-to-Point Option with Refund • Flowgate Right • CRR Account Owners: • NOIE CRR Owner • Non-NOIE CRR Owner • Power Company • Financial Institute http://nodal.ercot.com 15

  16. Mini-System Description http://nodal.ercot.com 16

  17. Mini-System Description – Continued http://nodal.ercot.com 17

  18. Texas NodalSettlements Mini-Market - CRR Day-Ahead Market - CRR Settlements July 31, 2007 http://nodal.ercot.com 18

  19. Day-Ahead CRR Settlement Overview • DA CRR Settlement Scenarios: • Unconstrained Network (No Congestion) • Interval 2, Interval 6, and Interval 20 • Constrained Network (with Congestion) • Other Intervals http://nodal.ercot.com 19

  20. High-Level Day-Ahead CRR Settlement Dependencies http://nodal.ercot.com 20

  21. Day-Ahead CRR Global Calculations • Global Calculations • Day-Ahead Option (DAOPT) and Day-Ahead Option with Refund (DAOPTR) • Minimum Resource Price for Source Settlement Point (MINRESPR) • Maximum Resource Price for Sink Settlement Point (MAXRESPR) • Day-Ahead Obligation Price (DAOBLPR) • Obligation Deration Price (OBLDRPR) • Day-Ahead Obligation Hedge Value Price (DAOBLHVPR) • Day-Ahead Option Price (DAOPTPR) • Option Deration Price (OPTDRPR) • Day-Ahead Option Hedge Value Price (DAOPTHVPR) http://nodal.ercot.com 21

  22. Day-Ahead CRR Charge Types Day-Ahead Market Charge Types (5) Payments and Charges for PTP Obligations Settled in DAM (DAOBLAMT) Payments and Charges for PTP Obligations with Refund Settled in DAM (DAOBLRAMT) Payments for PTP Options Settled in DAM (DAOPTAMT) Payments for PTP Options with Refund Settled in DAM (DAOPTRAMT) Payments for FGR Settled in DAM (DAFGRAMT) http://nodal.ercot.com 22

  23. Day-Ahead Obligation Price (DAOBLPR) Day-Ahead Obligation Price (DAOBLPR) is the difference between the Day-Ahead Settlement Point Prices at the sink Settlement Point and the source Settlement Point DAOBLPR = DASPP_<SKSP> - DASPP_<SRSP> The value of DAOBLPR ($/MW per hour) could be negative, zero, or positive Example: DASPP = Day-Ahead Settlement Point Price; DAOBLPR = Day-Ahead Obligation Price <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point http://nodal.ercot.com 23

  24. Day-Ahead Option Price (DAOPTPR) Day-Ahead Option Price (DAOPTPR) is the positive difference between the Day-Ahead Settlement Point Prices at the sink Settlement Point and the source Settlement Point DAOPTPR = Max(0, DASPP_<SKSP> - DASPP_<SRSP>) The value of DAOPTPR ($/MW per hour) shall always be ≥ zero Example: DASPP = Day-Ahead Settlement Point Price; DAOBLPR = Day-Ahead Obligation Price <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point http://nodal.ercot.com 24

  25. Obligation Deration Price (OBLDRPR) For PTP Obligations that has a positive value (i.e., DAOBLPR > 0) and either its source or sink is a Resource Node, the PTP Obligation payment may be reduced (derated) due to directional network elements that are oversold in previous CRR auctions. Obligation Deration Price (OBLDRPR) is one of the prices calculated for CRR deration. OBLDRPR_<SRSP>_<SKSP> =  {Max (0, DAWASF_<SRSP>_<C>- DAWASF_<SKSP>_<C>) c * DASP_<C> * DRF_<C>} Example: Table 1: Day-Ahead Weighted Average Shift Factor (Hour Ending 18) Table 2: Day-Ahead Shadow Price and Deration Factor (Hour Ending 18) Table 3: Calculated Obligation Deration Price (Hour Ending 18) • DAWASF = Day-Ahead weighted average shift factor for source/sink Settlement Point for the Constraint • DASP = Day-Ahead Shadow Price for the Constraint • DRF = Deration Factor for the Constraint • <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point ;<C> = A Constraint http://nodal.ercot.com 25

  26. Option Deration Price (OPTDRPR) For PTP Options with a source or a sink that is a Resource Node, the PTP Option payment may be reduced (derated) due to directional network elements that are oversold in previous CRR auctions. Option Deration Price (OPTDRPR) is one of the prices calculated for CRR deration. OPTDRPR_<SRSP>_<SKSP> =  {Max (0, DAWASF_<SRSP>_<C>- DAWASF_<SKSP>_<C>) c * DASP_<C> * DRF_<C>} Example: Table 1: Day-Ahead Weighted Average Shift Factor (Hour Ending 18) Table 2: Day-Ahead Shadow Price & Deration Factor (Hour Ending 18) Table 3: Calculated Option Deration Price (Hour Ending 18) • DAWASF = Day-Ahead weighted average shift factor for source/sink Settlement Point for the Constraint • DASP = Day-Ahead Shadow Price for the Constraint • DRF = Deration Factor for the Constraint • <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point ;<C> = A Constraint http://nodal.ercot.com 26

  27. Minimum Resource Price (MINRESPR) Minimum Resource for Resource located at source Settlement Point (MINRESRPR) If a Generation Resource is RMR unit, MINRESRPR = (FIP + RMRCEFA) * RMRCHRLSL (RMRCEFA and RMRCHRLSL are RMR Contract specified values) If a Generation Resource is not RMR unit, and belongs to: Nuclear, Hydro, Coal and Lignite, Wind, or Other Renewable generating units, MINRESRPR = MINRESPRVALUE If a Generation Resource is not RMR Unit, and belongs to: Combined Cycle, Gas-Steam Supercritical Boiler, Gas-Steam Reheat Boiler, Gas-Steam Non-Reheat or Boiler without Air-Preheater, Simple Cycle, or Diesel generating units, MINRESRPR = FIP * MINRESHR (MINRESPRVALUE, and MINRESHR are specified by Nodal Protocols for various Resource Types) Minimum Resource Price for source Settlement Point (MINRESPR) The lowest Minimum Resource Price for the types of Resources (MINRESRPR) located at the source Settlement Point ($/MWh) rn MINRESPR_<SRSP> = MIN (MINRESRPR_<R>_<SRSP>) Example:R=r1 MINRESPRVALUE = Minimum Resource Price for Resource Type specified by Protocols; MINRESHR = Minimum Resource Price Heat Ratespecified by Protocols FIP = Fuel Index Price http://nodal.ercot.com 27

  28. Maximum Resource Price (MAXRESPR) • Maximum Resource for Resource located at sink Settlement Point (MAXRESRPR) • If a Generation Resource is RMR unit, MAXRESRPR = (FIP + RMRCEFA) * RMRCHRHSL (RMRCEFA and RMRCHRHSL are RMR Contract specified values) • If a Generation Resource is not RMR unit, and belongs to: Nuclear, Hydro, Coal and Lignite, Wind, or Other Renewable generating units, MAXRESRPR = MAXRESPRVALUE • If a Generation Resource is not RMR Unit, and belongs to: Combined Cycle, Gas-Steam Supercritical Boiler, Gas-Steam Reheat Boiler, Gas-Steam Non-Reheat or Boiler without Air-Preheater, Simple Cycle, or Diesel generating units, MAXRESRPR = FIP * MAXRESHR (MAXRESPRVALUE, and MAXRESHR are specified by Nodal Protocols for various Resource Types) • Maximum Resource Price for sink Settlement Point (MAXRESPR) • The highest Maximum Resource Price for the types of Resources (MAXRESRPR) located at the sink Settlement Point ($/MWh)rn MAXRESPR_<SRSP> = MAX (MAXRESRPR_<R>_<SRSP>) Example:R=r1 MAXRESPRVALUE = Maximum Resource Price for Resource Type specified by Protocols; MAXRESHR = Maximum Resource Price Heat Ratespecified by Protocols FIP = Fuel Index Price http://nodal.ercot.com 28

  29. Day-Ahead Obligation Hedge Value Price (DAOBLHVPR) For PTP Obligations that has a positive value (i.e., DAOBLPR > 0) and either its source or sink is a Resource Node, the PTP Obligation payment may be reduced (derated) due to directional network elements that are oversold in previous CRR auctions. Day-Ahead Obligation Hedge Value Price (DAOBLHVPR) is one of the prices calculated for CRR deration. Calculation of DAOBLHVPR depends on the source and sink Settlement Point pair configuration If source Settlement Point is a Load Zone/Hub and sink Settlement Point is a Resource Node DAOBLHVPR_<SRSP>_<SKSP>= Max (0, MAXRESPR_<SKSP> – DASPP_<SRSP>) If source Settlement Point is a Resource Node and sink Settlement Point is a Load Zone/Hub DAOBLHVPR_<SRSP>_<SKSP>= Max (0, DASPP_<SKSP> – MINRESPR_<SRSP>) If both source and sink Settlement Points are Resource Nodes DAOBLHVPR_<SRSP>_<SKSP>= Max (0, MAXRESPR_<SKSP> – MINRESPR_<SRSP>) Example: Table 1: Day-Ahead Settlement Point Price, Minimum Resource Price, & Maximum Resource Price (Hour Ending 18) Table 2: Calculated Day-Ahead Obligation Hedge Value Price (Hour Ending 18) • MINRESPR = Minimum Resource Price for source Settlement Point • MAXRESPR = Maximum Resource Price for sink Settlement Point • DASPP = Day-Ahead Settlement Point Price http://nodal.ercot.com 29

  30. Day-Ahead Option Hedge Value Price (DAOPTHVPR) For PTP Options with a source or a sink that is a Resource Node, the PTP Option payment may be reduced (derated) due to directional network elements that are oversold in previous CRR auctions. Day-Ahead Option Hedge Value Price (DAOPTHVPR) is one of the prices calculated for CRR deration. Calculation of DAOPTHVPR depends on the source and sink Settlement Point pair configuration If source Settlement Point is a Load Zone/Hub and sink Settlement Point is a Resource Node DAOPTHVPR_<SRSP>_<SKSP>= Max (0, MAXRESPR_<SKSP> – DASPP_<SRSP>) If source Settlement Point is a Resource Node and sink Settlement Point is a Load Zone/Hub DAOPTHVPR_<SRSP>_<SKSP>= Max (0, DASPP_<SKSP> – MINRESPR_<SRSP>) If both source and sink Settlement Points are Resource Nodes DAOPTHVPR_<SRSP>_<SKSP>= Max (0, MAXRESPR_<SKSP> – MINRESPR_<SRSP>) Example: Table 1: Day-Ahead Settlement Point Price, Minimum Resource Price, & Maximum Resource Price (Hour Ending 18) Table 2: Calculated Day-Ahead Option Hedge Value Price (Hour Ending 18) • MINRESPR = Minimum Resource Price for source Settlement Point • MAXRESPR = Maximum Resource Price for sink Settlement Point • DASPP = Day-Ahead Settlement Point Price http://nodal.ercot.com 30

  31. Day-Ahead Option (DAOPT) and Day-Ahead Option with Refund (DAOPTR) Day-Ahead Option (DAOPT) and Day-Ahead Option with Refund (DAOPTR) DAOPT – CRR Owner’s PTP Options that are settled in the Day-Ahead Market for a source and sink Settlement Point pair (MW) DAOPT = OPT – RTOPT DAOPTR – NOIE CRR Owner’s PTP Options with Refund that are settled in the Day-Ahead Market (MW) DAOPTR = OPTR – RTOPTR Example: OPT – CRR Owner’s PTP Options, acquired through PCRR Allocations, CRR Auctions, and CRR Bilateral Trades, with the source and sink pair, prior to Day-Ahead Market execution OPTR – NOIE CRR Owner’s PTP Options with Refund, acquired through PCRR Allocations by NOIEs, with the pair of source and sink, prior to Day-Ahead Market execution RTOPT / RTOPTR– NOIE CRR Owner’s PTP Options / PTP Options with Refund with the pair of source and sink, settled in Real-Time http://nodal.ercot.com 31

  32. Day-Ahead Obligation Amount (DAOBLAMT) Day-Ahead Obligation Amount (DAOBLAMT) is the payment or charge to a CRR Owner for its PTP Obligations with the pair of source/sink settled in the Day-Ahead Market Exception: For a PTP Obligation that has a positive value (DAOBLPR > 0) and source or sink at a Resource Node, the payment may be reduced due to directional network elements that are oversold in previous CRR auctions. If DAOBLPR ≤ 0 OR both source and sink Settlement Points are Load Zones/Hubs DAOBLAMT = (-1) * DAOBLTP If DAOBLPR > 0 AND either source or sink Settlement Point is a Resource Node DAOBLAMT = (-1) * Max {(DAOBLTP – DAOBLDA), Min (DAOBLTP, DAOBLHV)} Where: DAOBLTP = DAOBLPR * DAOBL ; DAOBLDA = OBLDRPR * DAOBL; DAOBLHV = DAOBLHVPR * DAOBL Example: Table 1: Calculated Day-Ahead Obligation Target Payment, Day-Ahead Obligation Derated Amount, & Day-Ahead Obligation Hedge Value (Hour Ending 18) Table 2: Calculated Day-Ahead Obligation Amount (Hour Ending 18) “-” is a payment DAOBL= Day-Ahead Obligation; DAOBLPR = Day-Ahead Obligation Price;DAOBLTP = Day-Ahead Obligation Target Payment; OBLDRPR = Obligation Deration Price; DAOBLDA = Day-Ahead Obligation Derated Amount; DAOBLHVPR = Day-Ahead Obligation Hedge Value Price; DAOBLHV = Day-Ahead Obligation Hedge Value http://nodal.ercot.com 32

  33. Day-Ahead Obligation Other Calculations • Other Output Bill Determinants DAOBLCROTOT_<CO> =   Min (0, DAOBLAMT_<CO>) SRSP SKSP DAOBLCHOTOT_<CO> =   Max (0, DAOBLAMT_<CO>) SRSP SKSP DAOBLAMTOTOT_<CO> = DAOBLCROTOT_<CO> + DAOBLCHOTOT_<CO> DAOBLCRTOT =  DAOBLCROTOT_<CO> CO DAOBLCHTOT =  DAOBLCHOTOT_<CO> CO http://nodal.ercot.com 33

  34. Day-Ahead Option Amount (DAOPTAMT) Day-Ahead Option Amount (DAOPTAMT) is the payment to a CRR Owner for its PTP Options with the pair of source/sink settled in the Day-Ahead Market Exception: For a PTP Option that source or sink at a Resource Node, the payment may be reduced due to directional network elements that are oversold in previous CRR auctions. If both source and sink Settlement Points are Load Zones/Hubs DAOPTAMT = (-1) * DAOPTTP If either source or sink Settlement Point is a Resource Node DAOPTAMT = (-1) * Max {(DAOPTTP – DAOPTDA), Min (DAOPTTP, DAOPTHV)} Where: DAOPTTP = DAOPTPR * DAOPT; DAOPTDA = OPTDRPR * DAOPT; DAOPTHV = DAOPTHVPR * DAOPT Example: Table 1: Calculated Day-Ahead Option Target Payment, Day-Ahead Option Derated Amount, & Day-Ahead Option Hedge Value (Hour Ending 18) Table 2: Calculated Day-Ahead Option Amount (Hour Ending 18) DAOPT= Day-Ahead Option; DAOPTPR = Day-Ahead Option Price;DAOPTTP = Day-Ahead Option Target Payment; OPTDRPR = Option Deration Price; DAOPTDA = Day-Ahead Option Derated Amount; DAOPTHVPR = Day-Ahead Option Hedge Value Price; DAOPTHV = Day-Ahead Option Hedge Value http://nodal.ercot.com 34

  35. Day-Ahead Option Other Calculations • Other Output Bill Determinants DAOPTAMTOTOT_<CO> =   DAOPTAMT_<CO> SRSP SKSP DAOPTAMTTOT =  DAOPTAMTOTOT_<CO> CO http://nodal.ercot.com 35

  36. Day-Ahead FGR Amount (DAFGRAMT) - MCFRI If all directional network elements associated with the FGR are Competitive Constraints, the payment to each CRR Owner for its FGRs determined by the principle network element of each flowgate for a given hour is: DAFGRAMT = (-1) * DAFGRTP If one or more directional network elements associated with MCFRI are Non-Competitive, the payment to each CRR Owner for its FGRs determined by the principle network element of each flowgate for a given hour is: DAFGRAMT = (-1) * Max {(DAFGRTP – DAFGRDA), Min (DAFGRTP, DAFGRHV)} Where: DAFGRTP = DAFGRPR * DAFGR; DAFGRHV = DAFGRHVPR * DAFGR; DAFGRDA = FGRDRPR * DAFGR Example: Table 1: Calculated Day-Ahead FGR Target Payment, Day-Ahead FGR Derated Amount, & Day-Ahead FGR Hedge Value (Hour Ending 11) Table 2: Calculated Day-Ahead FGR Amount (Hour Ending 11) DAFGR= Day-Ahead FGR; DAFGRPR = Day-Ahead FGR Price;DAFGRTP = Day-Ahead FGR Target Payment; FGRDRPR = FGR Deration Price; DAFGRDA = Day-Ahead FGR Derated Amount; DAFGRHVPR = Day-Ahead FGR Hedge Value Price; DAFGRHV = Day-Ahead FGR Hedge Value http://nodal.ercot.com 36

  37. Day-Ahead FGR Other Calculations • Other Output Bill Determinants DAFGRAMTOTOT_<CO> =  DAFGRAMT_<CO>_<F> F DAFGRAMTTOT =  DAFGRAMTOTOT_<CO> CO http://nodal.ercot.com 37

  38. Day-Ahead Obligation with Refund Amount (DAOBLRAMT) ERCOT shall pay the owner of a PTP Obligation with Refund the difference in the Day-Ahead Settlement Point Prices between the sink Settlement Point and the source Settlement Point, subject to a charge for refund, when the price difference is positive (DAOBLRAMT) Exception: The payment of PTP Obligations with Refund may be further reduced due to transmission elements that are oversold in previous CRR Auctions If DAOBLPR ≤ 0: DAOBLRAMT = (-1) * DAOBLRTP If DAOBLPR > 0: DAOBLRAMT = (-1) * Max {(DAOBLRTP – DAOBLRDA), Min (DAOBLRTP, DAOBLRHV)} Where: DAOBLRTP = DAOBLPR * Min (DAOBLR, OBLRACT); DAOBLRDA = OBLDRPR * Min (DAOBLR, OBLRACT); DAOBLRHV = DAOBLHVPR * Min (DAOBLR, OBLRACT) Example: Table 1: Calculated Day-Ahead Obligation with Refund Target Payment, Day-Ahead Obligation with Refund Derated Amount, & Day-Ahead Obligation with Refund Hedge Value (Hour Ending 11) Table 2: Calculated Day-Ahead Obligation Amount (Hour Ending 11) OBLRACT = Obligation with Refund Actual Usage DAOBLR= Day-Ahead Obligation with Refund; DAOBLPR = Day-Ahead Obligation Price; DAOBLRTP = Day-Ahead Obligationwith Refund Target Payment; OBLDRPR = Obligation Deration Price; DAOBLRDA = Day-Ahead Obligation with Refund Derated Amount; DAOBLHVPR = Day-Ahead Obligation with Refund Hedge Value Price; DAOBLRHV = Day-Ahead Obligation Hedge Value http://nodal.ercot.com 38

  39. Day-Ahead Obligation with Refund Other Calculations • Other Output Bill Determinants DAOBLRCROTOT_<CO> =   Min (0, DAOBLRAMT_<CO>) SRSP SKSP DAOBLRCHOTOT_<CO> =   Max (0, DAOBLRAMT_<CO>) SRSP SKSP DAOBLRAMTOTOT_<CO> = DAOBLRCROTOT_<CO> + DAOBLRCHOTOT_<CO> DAOBLRCRTOT =  DAOBLRCROTOT_<CO> CO DAOBLRCHTOT =  DAOBLRCHOTOT_<CO> CO http://nodal.ercot.com 39

  40. Day-Ahead Option with Refund Amount (DAOPTRAMT) ERCOT shall pay the owner of a PTP Option with Refund the difference in the Day-Ahead Settlement Point Prices between the sink Settlement Point and the source Settlement Point, if positive, subject to a charge for refund (DAOPTRAMT) Exception: The payment of PTP Options with Refund may be further reduced due to transmission elements that are oversold in previous CRR Auctions DAOPTRAMT = (-1) * Max {(DAOPTRTP – DAOPTRDA), Min (DAOPTRTP, DAOPTRHV)} Where: DAOPTRTP = DAOPTPR * Min (DAOPTR, OPTRACT * DAOPTR / (DAOPTR + RTOPTR)) DAOPTRDA = OPTDRPR * Min (DAOPTR, OPTRACT * DAOPTR / (DAOPTR + RTOPTR)) DAOPTRHV = DAOPTHVPR * Min (DAOPTR, OPTRACT * DAOPTR / (DAOPTR + RTOPTR)) Example: Table 1: Calculated Day-Ahead Option with Refund Target Payment, Day-Ahead Option with Refund Derated Amount, & Day-Ahead Option with Refund Hedge Value (Hour Ending 24) Table 2: Calculated Day-Ahead Option with Refund Amount (Hour Ending 24) OPTRACT = Option with Refund Actual Usage DAOPTR= Day-Ahead Option with Refund; RTOPTR= Real-Time Option with Refund; DAOPTPR = Day-Ahead Option Price; DAOPTRTP = Day-Ahead Optionwith Refund Target Payment; OPTDRPR = Option Deration Price; DAOPTRDA = Day-Ahead Option with Refund Derated Amount; DAOPTHVPR = Day-Ahead Optionwith Refund Hedge Value Price; DAOPTRHV = Day-Ahead Option Hedge Value http://nodal.ercot.com 40

  41. Day-Ahead Option other Calculations • Other Output Bill Determinants DAOPTRAMTOTOT_<CO> =   DAOPTRAMT_<CO> SRSP SKSP DAOPTRAMTTOT =  DAOPTRAMTOTOT_<CO> CO http://nodal.ercot.com 41

  42. Texas NodalSettlements Mini-Market - CRR Real-Time - CRR SettlementsJuly 31, 2007 http://nodal.ercot.com 42

  43. High-Level Real-Time CRR Settlement Dependencies http://nodal.ercot.com 43

  44. Real-Time CRR Calculations • Global Calculations • Real-Time Obligation Price (RTOBLPR) • Real-Time Option Price (RTOPTPR) • Real-Time Option Hedge Value Price (RTOPTHVPR) http://nodal.ercot.com 44

  45. Real-Time CRR Charge Types • Real-Time Charge Types (when DAM is executed) • Payments and Charges for Real-Time Obligations Settled in Real-Time (RTOBLAMT) • Payments for NOIE’s PTP Options Settled in Real-Time (RTOPTAMT) • Payments for NOIE’s PTP Options with Refund Settled in Real-Time (RTOPTRAMT) • Real-Time Charge Types (when DAM is not executed) • No-DAM Real-Time Obligation Amount (NDRTOBLAMT) • No-DAM Real-Time Option Amount (NDRTOPTAMT) • No-DAM Real-Time Option with Refund Amount (NDRTOPTRAMT) • No-DAM Real-Time FGR Amount (NDRTFGRAMT) • No-DAM Real-Time Obligation with Refund Amount (NDRTOBLRAMT) http://nodal.ercot.com 45

  46. Real-Time Obligation Price (RTOBLPR) • Real-Time Obligation Price (RTOBLPR) is the difference between the Real-Time Settlement Point Prices at the sink Settlement Point and the source Settlement Point 4 RTOBLPR =  (RTSPP_<SKSP> - RTSPP_<SRSP>)i / 4 i = 1 Example: i = 15-minute Settlement Interval; RTSPP = Real-Time Settlement Point Price ; RTOBLPR = Real-Time Obligation Price <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point http://nodal.ercot.com 46

  47. Real-Time Option Price (RTOPTPR) • Real-Time Option Price (RTOPTPR) is the difference between the Real-Time Settlement Point Prices at the sink Settlement Point and the source Settlement Point 4 RTOPTPR =  Max (0, RTSPP_<SKSP> - RTSPP_<SRSP>)i / 4 i = 1 Example: i = 15-minute Settlement Interval; RTSPP = Real-Time Settlement Point Price ; RTOPTPR = Real-Time Option Price <SRSP> = Source Settlement Point; <SKSP> = Sink Settlement Point http://nodal.ercot.com 47

  48. Real-Time Option Hedge Value Price (RTOPTHVPR) • For PTP Options with a source or a sink that is a Resource Node, the PTP Option payment may be reduced (derated) due to directional network elements that are oversold in previous CRR auctions. Real-Time Option Hedge Value Price (RTOPTHVPR) is one of the prices calculated for CRR deration. • Calculation of RTOPTHVPR depends on the source and sink Settlement Point pair configuration • If source Settlement Point is a Load Zone/Hub and sink Settlement Point is a Resource Node 4 RTOPTHVPR =  Max (0, MAXRESPR_<SKSP> – RTSPP_<SRSP>)i / 4 i=1 • If source Settlement Point is a Resource Node and sink Settlement Point is a Load Zone/Hub 4 RTOPTHVPR =  Max (0, RTSPP_<SKSP> – MINRESPR_<SRSP>)i / 4 i=1 • If both source and sink Settlement Points are Resource Nodes 4 RTOPTHVPR =  Max (0, MAXRESPR_<SKSP> – MINRESPR_<SRSP>)i / 4 i=1 MAXRESPR = Maximum Resource Price for sink Settlement Point MINRESPR = Minimum Resource Price for source Settlement Point RTSPP = Real-Time Settlement Point Price for source/sink Settlement Point http://nodal.ercot.com 48

  49. Real-Time Obligation Amount (RTOBLAMT) • ERCOT shall pay or charge the QSE of each PTP Obligation acquired in the Day-Ahead Market the difference in Real-Time Settlement Point Prices between the sink Settlement Point and the source Settlement Point RTOBLAMT = (-1) * RTOBLPR * RTOBL RTOBLAMTQSETOT_<Q> =   RTOBLAMT_<Q>_<SRSP>_<SKSP> SRSP SKSP Example: Table 1: Calculated Real-Time Obligation Amount (Hour Ending 2) RTOBL = Real-Time Obligation RTOBLPR = Real-Time Obligation Price <SRSP> = Source Settlement Point <SKSP> = Sink Settlement Point http://nodal.ercot.com 49

  50. Real-Time Option Amount (RTOPTAMT) • ERCOT shall pay the NOIE CRR Owner that owns a PTP Option that was declared before Day-Ahead Market execution by the NOIE to be settled in Real-Time and not cleared in the Day-Ahead Market, the positive difference in Real-Time Settlement Point Prices between the sink and the source. (RTOPTAMT) • Exception: For a PTP Option that source or sink at a Resource Node, the payment may be reduced due to directional network elements that are oversold in previous CRR auctions. • If both source and sink Settlement Points are Load Zones/Hubs RTOPTAMT = (-1) * RTOPTTP • If either source or sink Settlement Point is a Resource Node RTOPTAMT = (-1) * Max {(RTOPTTP – RTOPTDA), Min (RTOPTTP, RTOPTHV)} Where RTOPTTP = RTOPTPR * RTOPT; RTOPTDA = OPTDRPR * RTOPT; RTOPTHV = RTOPTHVPR * RTOPT Example: Table 1: Calculated Real-Time Option Target Payment, Real-Time Option Derated Amount, & Real-Time Option Hedge Value (Hour Ending 11) Table 2: Calculated Real-Time Option Amount (Hour Ending 11) RTOPT = Real-Time Option RTOPTPR = Real-Time Option Price RTOPTTP = Real-Time Option Target Payment OPTDRPR = Option Deration Price RTOPTDA = Real-Time Option Derated Amount RTOPTHVPR = Real-Time Option Hedge Value Price RTOPTHV = Real-Time Option Hedge Value http://nodal.ercot.com 50

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