1 / 9

Exposure Stress Testing CWG/MCWG Suresh Pabbisetty, CQF, CSQA. ERCOT Public March 22, 2014

Exposure Stress Testing CWG/MCWG Suresh Pabbisetty, CQF, CSQA. ERCOT Public March 22, 2014. Exposure Stress Testing. Background: SWCAP of $7000 will be effective June 1, 2014 and of $9000 by June 1, 2015.

walker-higgins
Download Presentation

Exposure Stress Testing CWG/MCWG Suresh Pabbisetty, CQF, CSQA. ERCOT Public March 22, 2014

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Exposure Stress Testing CWG/MCWG Suresh Pabbisetty, CQF, CSQA. ERCOT Public March 22, 2014

  2. Exposure Stress Testing • Background: • SWCAP of $7000 will be effective June 1, 2014 and of $9000 by June 1, 2015. • Operating Reserve price adders will be effective by June 1, 2014. This could increase the frequency of above-average prices. • ERCOT is seeking to measure the impact of price scenarios on exposure. • Risk: • Increased volatility and high prices could result in a significant increase in exposure under stress conditions. ERCOT Public

  3. Exposure Stress Testing • Uncovered Exposure: • Exposure in excess of security posted in a stress scenario over one day. • Increased Exposure = ΣiΣ p[(Volume Escalation Factor * Real Time Imbalance Volume) * (Stressed RTSPP – RTSPP)] • Where i = stress interval, p = settlement point, RTSPP = Real Time Settlement Point • Uncovered Exposure = Increased Exposure + TPE – CRR Locked ACL - Collateral Held • A stress scenario is a market condition in which certain intervals have prices at the SWCAP and potential imbalance volume escalation. ERCOT Public

  4. Exposure Stress Testing • Notes: • Stress scenarios are applied only to Real Time Market. • Does not recalculate the affect on TPE (especially RTLE) once the high prices are settled. • Requires an assumption of the number of stress intervals, price, and volume escalation levels. ERCOT Public

  5. Exposure Stress Testing • Assumptions: • April 10, 2014 data used for base case. • Prices are scaled based on January 6, 2014 Operating Day, hour 7. • Stress case intervals begin at 15-minute interval #61 (ie 15:15). • Imbalance volume escalation is applied uniformly across all Settlement Points. • Derived incremental exposure is added to existing TPE calculation. ERCOT Public

  6. Exposure Stress Testing • Scenarios: • One high price interval with no imbalance volume escalation. • Ten high price intervals with no imbalance volume escalation. • One high price interval with 10% imbalance volume escalation. • Ten high price intervals with 10% imbalance volume escalation. ERCOT Public

  7. Exposure Stress Testing • Results: • Note incremental exposure includes positive values only. ERCOT Public

  8. Exposure Stress Testing Results: ERCOT Public

  9. Q & A ERCOT Public

More Related