NPRR400  Eliminate Unsecured Credit for CRR Auctions and for Future Credit Exposure and Eliminate Netting of FCE with CCE

This Nodal Protocol Revision Request (NPRR) requires that a) the Future Credit Exposure (FCE) component of the collateral calculation and b) the CRR Auction credit limit be collateralized with cash, letter of credit or a surety bond. Unsecured credit and unsecured credit through guarantees will no longer be available for this. This NPRR also eliminates netting of FCE with Current Credit Exposure (CCE) for all Counter-Parties. To accomplish the above ERCOT considered the approaches listed below: (1) Establish separate collateral "pools" for Qualified Scheduling Entity (QSE) and CRR activities (similar to zonal); and (2) Continue with a combined collateral pool, but providing sublimits for activity that must be secured. ERCOT has used the second approach in the NPRR as it provides the most flexibility and ability to maximize use of collateral. The NPRR addresses three areas: (1) Splits the Total Potential Exposure (TPE) into two portions: (a) Total Potiential Exposure Secured (TPES) is the TPE that must be secured with cash, letter of credit or surety bond; and (b) Total Potential Exposure Any (TPEA) is the TPE that may be secured with any form of collateral. TPEA will include all exposure not included in TPES. (2) Defines subcomponents of Financial Security and establishes additional requirements to maintain adequate secured collateral: (a) Secured Collateral (cash, letter of credit or surety bond) (b) Remainder Collateral (Financial Security minus TPES minus Net Positive Exposure of approved CRR Bilateral Trades) (3) Redefines Available Credit Limit(ACL) and provides for separate calculations of ACL for the Day Ahead (DAM) (ACLD) and CRR (ACLC) markets. ACL for CRRs must be collateralized with Secured Collateral.