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Market Credit Working Group Update to WMS. Wed. March 18, 2009. MCWG March 2009 Update Overview. Meetings by MCWG since Feb WMS meeting Market Credit Risk Standard Update Committee of Chief Risk Officers Update to MCWG Call for Vice-Chair Other business. MCWG Meetings .

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Mcwg march 2009 update overview
MCWG March 2009 Update Overview

  • Meetings by MCWG since Feb WMS meeting

  • Market Credit Risk Standard Update

  • Committee of Chief Risk Officers Update to MCWG

  • Call for Vice-Chair

  • Other business

Mcwg meetings
MCWG Meetings

  • MCWG has met twice since the last WMS meeting

    • Friday March 6, 2009

    • Friday March 13, 2009

  • March 6, 2009 Meeting

    • Updated MCWG on update to CWG

    • Discussed Market Credit Risk Standard (MCRS) and decided to table for separate meeting on March 13, 2009 (also to discuss CCRO efforts on ISO/RTO best practices)

    • Discussed NPRR 147

      • Discussed alternative proposal by Reliant. Second alternative raised by ACES

      • Need to consider the cap on the amount of the Reserve Fund

      • Refund Mechanism

      • Need for a joint CMWG and MCWG meeting

        • Timing (??) Question for WMS –do we put this into the parking lot for now??

    • Other items raised for future discussion/consideration

      • Direction of invoice timing change

      • Perform bottom up review of existing creditworthiness standards

March 13 2009 market credit risk standard meeting
March 13, 2009 Market Credit Risk Standard Meeting

  • Attended by 18 stakeholders

  • Bob Anderson of the Committee of Chief Risk Officers updated MCWG on CCRO efforts on ISO/RTO best practices (discussed after)

  • Consensus reached on MCRS with the following caveats (next page)

Consensus recommendations for the mcrs
Consensus Recommendations for the MCRS

  • ERCOT will modify the MCRS to bifurcate all scenarios > 99% as a new bullet titled “large impact stress scenarios” to clearly delineate that these runs represent “black swan” events

  • ERCOT will revise the MCRS to incorporate previous CWG recommendation to have an entity that is relying on a guarantor, to take on the rating of the guarantor, up to the amount of the guaranty

    • previously the unrated entity would take the midpoint between the guarantors rating and CCC+

    • Presently the models engine will not allow for this and Staff is investigating what is needed to run the model with the revised methodology

  • ERCOT will provide the MCWG with its plan to manage the MCRS, including plans for staffing with persons with the requisite skill set in financial engineering

  • ERCOT will report back to MCWG on the feasibility of running the MCRS on a frequency greater than quarterly

  • ERCOT will run a simulation of the MCRS using the present methodology and the revised methodology for entities providing a guarantor, for the same period, to demonstrate the difference from applying the different methodologies

  • ERCOT will publish the detail components of the MCRS engine as a procedure document for stakeholders

Ccro update to mcwg
CCRO Update to MCWG

  • Bob Anderson, Executive Director of the CCRO spoke to MCWG

    • Detailed the mission of the CCRO, prior efforts and whitepapers

  • Discussed current initiatives in the area of ISO/RTO best practices

    • CCRO planning a task force of senior industry participants to look at ISO/RTO best practices

      • Outreach will include regulators including FERC, PUCT and the CFTC, other stakeholders

    • Timing….Panel set by end of March. Work product released by June 2009

Call for vice chair
Call for Vice-Chair

  • If interested, let Vanessa Spells know, and we will work to nominating someone for WMS to approve for the April WMS meeting

Other business
Other Business

  • Will schedule a meeting of MCWG to update the group on action items from March WMS meeting

  • Plan to update CWG on MCWG activities

  • Plan for a face-to-face meeting of MCWG (May-June??), to discuss NPRR-147 and other items to be added

  • Anything else?