Module 2: Congestion Revenue RightsSlide 14 Allocation of CRRs Pre-Assigned CRRs (PCRRs) •...
Transcript of Module 2: Congestion Revenue RightsSlide 14 Allocation of CRRs Pre-Assigned CRRs (PCRRs) •...
Module 2: Congestion Revenue
Rights
Slide 2
Module Objectives: Congestion Revenue Rights
Upon completion of this module,
learners will be able to:
• Describe the Congestion Revenue
Rights (CRRs) Settlement process
• Identify the settlement charges and
payments associated with the CRR
Auction
• Explain how CRR Auction Revenues
are disbursed.
Day 1
Course Introduction 9:00 A
Congestion Revenue
Day-Ahead Market
9:30 A
Rights
1:00 P
Slide 3
Purpose of Congestion Revenue Rights
• Financial instruments
• Hedge against
congestion costs
• Financial Investment
• Payment or charge when
Grid is congested
Congestion Revenue Rights
A CRR is not a right to
deliver physical energy
Slide 4
Types of Congestion Revenue Rights
Point-to-Point Congestion
Revenue Rights
Congestion Revenue Rights
Flowgate Rights (FGRs)
Slide 5
Types of Congestion Revenue Rights
• Defined between source and
sink Settlement Points
• Two Instruments:
• Point-to-Point Options
• Point-to-Point Obligations
• Settlement based on difference
between sink and source
Settlement Point Prices
Point-to-Point Congestion
Revenue Rights
Congestion Revenue Rights
Slide 6
Types of Congestion Revenue Rights
Point-to-Point Congestion
Revenue Rights
Point-to-Point Options
• Can only result in a payment
Point-to-Point Obligation
• Can result in a payment or charge
Congestion Revenue Rights
Slide 7
Point-to-Point (PTP) Options
Source A
Sink B
Source C
$5/MWh
$10/MWh
$15/MWh
Congestion Revenue Rights
Option AB Payment = $5.00
Option CB Payment = $0.00 ?
Slide 8
Point-to-Point (PTP) Obligations
Source A
Sink B
Source C
$5/MWh
$10/MWh
$15/MWh
Congestion Revenue Rights
Obligation AB Payment = $5.00
Obligation CB Payment = -$5.00 ?
Slide 9
Types of Congestion Revenue Rights
Flowgate Rights (FGRs)
• Defined for a specific Flowgate
• Flowgate is directional network
element or bundle of network
elements
Congestion Revenue Rights
A Flowgate Right can
only result in a payment
Slide 10
Flowgate Rights (FGRs)
Types of Congestion Revenue Rights
• Settlement based on Shadow
Price of Flowgate
• Shadow Price is marginal cost to
relieve a MW of congestion on a
Flowgate.
Congestion Revenue Rights
Slide 11
Congestion Revenue Rights
Three ways of acquiring CRRs:
• CRR Auction
• Allocation (Special Case)
• Bilateral Trades
Auction
Allocation
Trade
CRRs
Congestion Revenue Rights
CRRs are allocated, traded or auctioned in:
• One month strips
• Time-of-Use Blocks
Mon. Tues. Wed. Thurs. Fri. Sat. Sun.
Off-Peak (0100 – 0600)
Off-Peak (2300 – 2400)
Peak Weekday (0700 – 2200) Peak Weekend
(0700-2200)
Slide 12
Slide 13
CRR Auction
• Monthly and Semi-Annual Auctions
• Single-round simultaneous auction
• Based on Network Operations Model
Congestion Revenue Rights
Slide 14
Allocation of CRRs
Pre-Assigned CRRs (PCRRs)
• Allocated to Non-Opt-In Entities (NOIEs)
• Based on long-term supply contracts
• Cost based on Auction clearing price
Congestion Revenue Rights
Slide 15
Trading CRRs Bilaterally
• PTP Options
• PTP Obligations
• Flowgate Rights
• Characteristics remain unchanged
• Both parties must meet credit requirements.
Congestion Revenue Rights
Slide 15
CRR Settlements
Three Settlement Processes
• CRR Auction Settlement
• CRR Settlement
• CRR Balancing Account
Congestion Revenue Rights
Slide 16
Slide 17
CRR Auction
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 18
Auction Settlements: Outcomes
Charge to CRR Account Holder for Awarded Bid in the CRR Auction
Outcome
#2
Outcome
#3
Outcome
#1
Payment to CRR Account Holder for
Awarded Offer in the CRR Auction
Charge to NOIE for Allocated CRRs
Slide 19
Auction Settlements: Charge of an Awarded Bid
• CRRAH5 bids to buy a Peak WD block of 10
MWs of PTP Options in a Monthly Auction
• Sets a Not-to-Exceed Price of $10/MW
Trigger
#1
CRR
ID Source Sink MW Price
Time
Of
Use
Buy
or
Sell
Hedge
Type Start Date End Date
54321 RN1 LZ1 10 10 Peak
WD Buy OPT 07/01/2013 07/31/2013
Monthly Auction
Slide 20
Auction Settlements: Charge of an Awarded Bid
• ERCOT executes Auction Process Trigger
#1 • Auction clears CRRAH5’s PTP Options at
Clearing Price of $2/MW
• Clearing Price less than Not-to-Exceed Price
and Bid is Awarded
Slide 21
Auction Settlements: Charge of an Awarded Bid
• CRRAH5 bought:
• 10 MWs
• Peak WD (5x16) block of PTP Options
• Price of $2/MW
• 352 hr in July 2013
Trigger
#1
Outcome
#1
• For one hour:
(Price) * (Quantity)
($2/MW) * (10 MW) = $20
• For Entire Block:
$20 * 352 = $7040
Slide 22
OPTPAMT crrh, (j, k), a = OPTPR (j, k), a * OPTP crrh, (j, k), a
Auction Settlements: Charge of an Awarded Bid
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
PTP Option Purchase Amount
Option Price
Option Purchase
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 23
OBLPAMT crrh, (j, k), a = OBLPR (j, k), a * OBLP crrh, (j, k), a
Obligation Price
Obligation Purchase
Auction Settlements: Charge of an Awarded Bid
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
PTP Obligation Purchase Amount CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 24
Auction Settlements: Outcomes
Charge to CRR Account Holder for Awarded Bid in the CRR Auction
Outcome
#2
Outcome
#3
Outcome
#1
Payment to CRR Account Holder for
Awarded Offer in the CRR Auction
Charge to NOIE for Allocated CRRs
Slide 25
Auction Settlements: Payment of an Awarded Offer
• CRRAH3 offers a Peak WD block of 5 MWs of
PTP Obligations in a Monthly Auction
• Sets Minimum Reservation Price At $8/MW
Trigger
#2
CRR
ID Source Sink MW Price
Time
Of
Use
Buy
or
Sell
Hedge
Type Start Date End Date
12345 RN4 LZ3 5 8 Peak
WD Sell OBL 07/01/2012 07/31/2012
Monthly Auction
Slide 26
Auction Settlements: Payment of an Awarded Offer
• ERCOT executes Auction Process Trigger
#2 • Auction clears CRRAH3’s PTP Obligation at
Clearing Price of $8/MW
• Clearing Price meets CRRAH3’s Minimum
Reservation Price and Offer is Awarded
Slide 27
Auction Settlements: Payment of an Awarded Offer
• CRRAH3 sold:
• 5 MWs
• Peak WD (5x16) block of PTP Obligations
• Price of $8/MW
• 336 hr in July 2012
Trigger
#2
Outcome
#1
• For one hour:
(-1) * (Price) * (Quantity)
(-1) * ($8/MW) * (5 MWs) = -$40
• For Entire Block:
-$40 * 336 = -$13440
Slide 28
Auction Settlements: Payment of an Awarded Offer
OBLSAMT crrh, (j, k), a = (-1) * OBLPR (j, k), a * OBLS crrh, (j, k), a
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
Obligation Price
Obligation Sale
PTP Obligation Sale Amount CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 29
Auction Settlements: Payment of an Awarded Offer
OPTSAMT crrh, (j, k), a = (-1) * OPTPR (j, k), a * OPTS crrh, (j, k), a
PTP Option Sale Amount
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
Option Price
Option Sale
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 30
Auction Settlements: Outcomes
Charge to CRR Account Holder for Awarded Bid in the CRR Auction
Outcome
#2
Outcome
#3
Outcome
#1
Payment to CRR Account Holder for
Awarded Offer in the CRR Auction
Charge to NOIE for Allocated CRRs
Slide 31
Auction Settlements: Charge for an Allocated CRR
• CRRAH4 (QSE4) nominates CAPACITY
option of CRRs
Trigger
#3
PCRR Pricing Factors
Slide 32
CRR
ID Source Sink MW
Time
Of
Use
PCRR
Type
Hedge
Type Start Date End Date
14916 RN4 LZ2 15 Peak
WD Capacity OPT 07/01/2013 07/31/2013
Auction Settlements: Charge for an Allocated CRR
Trigger
#3
• CRRAH4 nominates CAPACITY option of CRRs
• CRRAH4 nominates for 15 MWs of PTP Options
• CRR Account Holder / NOIE has a Coal
Resource
Monthly Auction
Slide 33
Auction Settlements: Charge for an Allocated CRR
• ERCOT executes PCRR Allocation Process
• Allocation Process awards PCRRs
• ERCOT executes Auction Process
• Auction Process sets price of awarded PCRRs
Trigger
#3
• Auction sets Clearing Price at $10/MW
• NOIE is charged for its allocation
Slide 34
Auction Settlements: Charge for an Allocated CRR
• CRRAH4 was allocated:
• 15 MWs
• Peak WD (5x16) block of PTP Options
• Price of $10/MW
• Pricing Factor of 10% for Coal
Trigger
#3
Outcome
#3
• For one hour:
• For Entire Block:
$15 * 352 = $5280
[(Price) * (Quantity)] * (Pricing Factor)
[($10/MW) * (15 MW)] * (10%) = $15
Slide 35
PCRROPTAMT crrh, (j, k), a, tech = PCRROPTF tech * OPTPR (j, k), a *
PCRROPT crrh, (j, k), a, tech
PCRR Option
pricing Factor Option Price
PCRR PTP
Option quantity
Auction Settlements: Charge for an Allocated PCRR
PCRR PTP Option Amount
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
tech Resource Technology
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 36
PCRROBLAMT crrh, (j, k), a, tech = PCRROBLF tech * OBLPR (j, k), a *
PCRROBL crrh, (j, k), a, tech
Auction Settlements: Charge for an Allocated PCRR
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
tech Resource Technology
PCRR PTP Obligation Amount
If the Price is greater than Zero, then:
PCRR Obligation
pricing Factor Obligation Price
PCRR PTP
Obligation quantity
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 37
PCRROBLAMT crrh, (j, k), a, tech = OBLPR (j, k), a *
PCRROBL crrh, (j, k), a, tech
Auction Settlements: Charge for an Allocated PCRR
PCRR PTP Obligation Amount
Obligation Price
PCRR PTP
Obligation quantity
If the Price is less than Zero, then:
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
tech Resource Technology
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 38
Auction Settlements: Charge for an Allocated CRR
• CRRAH4 (QSE4) nominates REFUND
option of CRRs
Trigger
#3
CRRAH4 receives the PCRRs at no cost.
Slide 39
CRR Auction
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 40
CRR Auction Settlement
Pay to QSEs
representing Load
CRR Auction Net
Receipts
+
PCRR Revenues
Distribution occurs once a month.
Auction Settlements: CRR Auction Revenues
Slide 41
Auction Settlements: CRR Auction Revenues
Collection & Distribution of CRR Auction Revenues
Charges for
Awarded
CRR Bids
(same Zone)
Payments for
Awarded
CRR Offers
(same Zone)
Charges for
Awarded
CRR Bids
(different Zones)
Payments for
Awarded
CRR Offers
(different Zones)
Slide 42
Auction Settlements: CRR Auction Revenues
• CRR Sale Amount Totals for Zone 1: -$25,000
• $0 for FGRs
• -$15,000 for Options
• -$10,000 for Obligations
• CRR Purchase Amount Totals for Zone 1: $50,000
• $0 for FGRs
• $30,000 for Options
• $20,000 for Obligations
Trigger
Outcome
Sum of Sales and Purchases
-$15,000 + -$10,000 + $30,000 + $20,000 = $25,000
Total Revenue
Slide 43
Auction Settlements: CRR Auction Revenues
CRRZREV z,a =
( OBLSAMTcrrh,(j,k),z,a,h +
OPTSAMTcrrh,(j,k),z,a,h + FGRSAMTcrrh,f,z,a,h +
OBLPAMT crrh,(j,k),z,a,h +
OPTPAMTcrrh,(j,k),z,a,h + FGRPAMTcrrh,f,z,a,h )
h
j
k
crrh
j
k
crrh
crrh
f
j
k
crrh
j
k
crrh
crrh
f
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
z Congestion Zone
h Hour
CRR Zonal Revenue CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 44
Auction Settlements: CRR Auction Revenues
• CRR Sale Amount Totals inter-Zone: -$13,000
• -$0 for FGRs
• -$8,000 for Options
• -$5,000 for Obligations
• CRR Purchase Amount Totals inter-Zone: $40,000
• $0 for FGRs
• $30,000 for Options
• $10,000 for Obligations
Trigger
Outcome
Sum of Sales and Purchases
-$8,000 + -$5,000 + $30,000 + $10,000 = $27,000
Total Revenue
Slide 45
Auction Settlements: CRR Auction Revenues
CRRNZREV a =
( OBLSAMTcrrh,(j,k),a,h +
OPTSAMTcrrh,(j,k),a,h + FGRSAMT crrh,f,a,h +
OBLPAMT crrh,(j,k),a,h +
OPTPAMTcrrh,(j,k),a,h + FGRPAMT crrh,f,a,h)
h
j
k
crrh
j
k
crrh
crrh
f
j
k
crrh
j
k
crrh
crrh
f
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
h Hour
CRR Non-Zonal Revenue CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 46
Auction Settlements: CRR Auction Revenues
Collection & Distribution of CRR Auction Revenues
Slide 47
Auction Settlements: CRR Auction Revenues
• PCRR Purchase Amount Totals for Zone 1:
$12,000
• $10,000 for Options
• $2,000 for Obligations
Trigger
Outcome
Sum of Purchases
$10,000 + $2,000 = $12,000
Total Revenue
Slide 48
PCRRZREV z, a =
( PCRROBLAMT crrh,(j,k),z,a,tech,h +
PCRROPTAMT crrh,(j,k),z,a,tech,h )
Auction Settlements: PCRR Auction Revenues
tech
j
k
crrh
h
tech
j
k
crrh
PCRR Zonal Revenue
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
tech Resource Technology
h Hour
z Congestion Zone
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 49
Auction Settlements: CRR Auction Revenues
• PCRR Purchase Amount Totals inter-Zone:
$8,000
• $6,500 for Options
• $1,500 for Obligations
Trigger
Outcome
$6,500 + $1,500 = $8,000
Sum of Purchases
Total Revenue
Slide 50
Auction Settlements: PCRR Auction Revenues
PCRRNZREV a =
( PCRROBLAMT crrh,(j,k),a,tech,h +
PCRROPTAMT crrh,(j,k),a,tech,h)
tech
j
k
crrh
h
tech
j
k
crrh
PCRR Non-Zonal Revenue
crrh CRR Account Holder
j Source
k Sink
a CRR Auction
f FGR
tech Resource Technology
h Hour
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 51
CRR Auction Revenue Disbursement
The CRR Auction Revenue Disbursement
(CARD) invoice will pay the net Auction
revenues to QSEs who represent Load
Disbursement based on:
• Monthly Load Ratio Share
• Zonal and Non-Zonal
• ERCOT Peak load interval
CARD CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 52
CRR Auction Revenue Disbursement
Zonal Revenue Disbursement
Slide 53
CRR Auction Revenue Disbursement
• Zone 1 Amount Totals: $37,000
• $25,000 for Options, Obligations, FGRs
• $12,000 for PCRRs
• QSE4’s LRS = 10%
• Zonal peak load interval for month
• LRS at peak interval
Trigger
Outcome
(Sum of Revenue) * (Monthly Load Ratio Share Zonal)
-1 * ($25,000 + $12,000) * 0.1 = -$3,700
CRR Monthly Revenue
Slide 54
CRR Auction Revenue Disbursement
LACMRZAMT z, q = (-1) * (CRRZREV z, a + PCRRZREV z, a) * MLRSZ z, q a
z A 2003 ERCOT CMZ.
a CRR Auction
q A QSE
Monthly Load Ratio
Share Zonal
Load-Allocated CRR Monthly Revenue
Zonal Amount
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 55
CRR Auction Revenue Disbursement
Non-Zonal Revenue Disbursement
Slide 56
CRR Auction Revenue Disbursement
• Inter-Zone Amount Totals: $35,000
• $27,000 for Options, Obligations, FGRs
• $8,000 for PCRRs
• QSE4’s LRS = 20%
• ERCOT peak load interval for month
• LRS at peak interval
Trigger
Outcome
(Sum of Revenue) * (Monthly Load Ratio Share)
-1 * ($27,000 + $8,000) * 0.2 = -$7,000
CRR Monthly Revenue
Slide 57
CRR Auction Revenue Disbursement
LACMRNZAMT q = (-1) * (CRRNZREV a + PCRRNZREV a) * MLRS q a
Load-Allocated CRR Monthly Revenue
Non-Zonal Amount
a CRR Auction
q A QSE
Monthly Load
Ratio Share
CRR Auction
Revenue
Distribution
Charges and Payments for CRRs
Slide 58
Module Summary
$ Describe the Congestion Revenue
Rights (CRRs) Settlement process
$ Identify the settlement charges and
payments associated with the CRR
Auction
$ Explain how CRR Auction Revenues
are disbursed
Day 1
Course Introduction 9:00 A
Congestion Revenue
Day-Ahead Market
9:30 A
Rights
1:00 P