1 NPRR638 Back-casting Updated Results CWG/MCWG Suresh
Pabbisetty, ERP, CQF, CSQA. ERCOT Public May 01, 2015
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2 Updated Prototype - Fixes CWG/MCWG asked ERCOT to evaluate
the NPRR638 back-casting model to better understand the resulting
values and volatilities. ERCOT staff evaluated the model and
determined that: Certain Operating Days prices had been dropped
from the input data, thereby causing excess volatility. The model
code included an incorrect statement type for DAM, which resulted
in an incorrect calculation of DAM ancillary service and other
non-energy amounts. Updated results are corrected for these errors.
ERCOT Public
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3 Updated Prototype - Scenarios The following scenarios were
run: For RTLE, 1-, 3-, 5-, 7- and 10-day lookbacks Historical price
horizons of one and three years Price confidence levels of P50,
P60, P70, P80 and P84 Selection for traders-only, load-only,
generation-only and both generation and load ERCOT Public
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4 Updated Prototype - Observations Observations on updated
results Modelled DALE value is similar to current DALE Modelled
RTLE is highly sensitive to lookback days Modelled RTLE is more
variable than current RTLE Higher lookback values result in RTLE
amounts that are significantly higher than under the current
methodology As expected, RTLE and DAM increase with confidence
levels The RTLE volatility impacts are greatest for Counter-Parties
with both load and generation This appears to result from greater
volatility of Resource Node settlement point prices This causes
generators to receive materially greater credits than load is
charged ERCOT Public
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5 Options for consideration Options to moderate volatility of
RTLE Reduce overall confidence level to P50 Assign different
confidence level to Resource Node settlement point prices Reduce
lookback days ERCOT Public
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6 Updated Prototype - Results ERCOT Public Price Analysis
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7 Updated Prototype - Results ERCOT Public
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8 Updated Prototype - Results ERCOT Public
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9 Updated Prototype - Results ERCOT Public
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10 Updated Prototype - Results ERCOT Public
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11 Updated Prototype - Results ERCOT Public
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12 Updated Prototype - Results ERCOT Public
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13 Updated Prototype - Results ERCOT Public
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14 Updated Prototype - Results ERCOT Public
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15 Updated Prototype - Results ERCOT Public Volume
Analysis
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16 Updated Prototype - Results ERCOT Public No Load or
Generation
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17 Updated Prototype - Results ERCOT Public Generation
Only
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18 Updated Prototype - Results ERCOT Public Load Only
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19 Updated Prototype - Results ERCOT Public Load +
Generation
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20 Updated Prototype - Results ERCOT Public No Load or
Generation Generation Only Load Only Load + Generation
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21 Updated Prototype - Results ERCOT Public Exposure Analysis 3
years price lookback
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22 Updated Prototype - Results ERCOT Public
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23 Updated Prototype - Results ERCOT Public
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24 Updated Prototype - Results ERCOT Public
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25 Updated Prototype - Results ERCOT Public
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26 Updated Prototype - Results ERCOT Public No Load or
Generation
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27 Updated Prototype - Results ERCOT Public Generation
Only
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28 Updated Prototype - Results ERCOT Public Load Only
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29 Updated Prototype - Results ERCOT Public Load +
Generation
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30 Updated Prototype - Results ERCOT Public No Load or
Generation Generation Only Load Only Load + Generation
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31 Updated Prototype - Results ERCOT Public Exposure Analysis 1
year price lookback
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32 Updated Prototype - Results ERCOT Public
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33 Updated Prototype - Results ERCOT Public
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34 Updated Prototype - Results ERCOT Public
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35 Updated Prototype - Results ERCOT Public
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36 Updated Prototype - Results ERCOT Public No Load or
Generation
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37 Updated Prototype - Results ERCOT Public Generation
Only
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38 Updated Prototype - Results ERCOT Public Load Only
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39 Updated Prototype - Results ERCOT Public Load +
Generation
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40 Updated Prototype - Results ERCOT Public No Load or
Generation Generation Only Load Only Load + Generation