Configuration Guide for: CRR Hourly Settlement / Date: 098/1728/109
Settlements & Billing
BPM Configuration Guide:CRR Hourly Settlement
CC 6700
Version 5.65
Confidential / CAISO, 2018 / Page 1 of 15Settlements & Billing / Version: 5.65
Configuration Guide for: CRR Hourly Settlement / Date: 098/1728/109
Table of Contents
1.Purpose of Document
2.Introduction
2.1Background
2.2Description
3.Charge Code Requirements
3.1Business Rules
3.2Predecessor Charge Codes
3.3Successor Charge Codes
3.4Inputs – External Systems
3.5Inputs - Predecessor Charge Codes or Pre-calculations
3.6CAISO Formula
3.7Outputs
4.Charge Code Effective Dates
1.Purpose of Document
The purpose of this document is to capture the requirements and design specification for a SaMC Charge Code in one document.
2.Introduction
2.1Background
Consistent with the adoption of Locational Marginal Pricing (LMP) under the new market design in place of zonal pricing under the current zonal market design, the current Congestion hedging instrument, Firm Transmission Rights (FTR), will be replaced with a new instrument called Congestion Revenue Rights (CRRs). In effect, zones will be eliminated and the new instrument will make use of CRR source(s) and CRR sink(s) that are based on nodes or group of nodes.
FERC orders have approved the ISO’s proposal to allocate CRRs to Load-Serving Entities (LSEs) that serve customers located within the ISO control area, and to certain other partiesdescribed in the CAISO white paper on CRR Allocation Rules. “The central principle behind allocation of CRRs to LSEs serving internal customers is that these customers have supported and continue to support the embedded costs of the transmission system through their payment of access charges, which entitles them to utilize the grid to bring power from their power sources to the points where they take power off the grid without being exposed to additional charges for such use of the grid. This principle is made operational by allocating financial hedging instruments – CRRs – that enable the LSE to hedge the charges for grid congestion that will be assessed in their regular Settlements with the ISO.” [CAISO White Paper: CRR Allocation Rules, 06/14/05]
CRRs may come from allocations by CAISO, given free of charge to select market participants. CRRs may also come from auctions by CAISO for any remaining available CRR capacities after the allocations. CRRs from auctions are bought at a Market Clearing Price. Furthermore, the CRRs can be subdivided and can be traded in the secondary market but no new CRRs will be released by CAISO in the secondary market.
CAISO conducts an annual CRR Allocation once a year for the entire year. The annual CRR Allocation releases Seasonal CRRs for four seasonal periods. The CAISO also conducts monthly CRR Allocation twelve times a year in advance of each month. In addition, CAISO also conducts yearly and monthly CRR Auctions which can release monthly as well as seasonal CRRs.There is also a special type of CRRs - the Long-Term CRRs (LT-CRR) – which have a validity of ten years as opposed to the short–term ones. These LT-CRRs are seasonal in nature and are released via the annual CRR allocation process but not through CRR Auction.
Ownership of a CRR may change hands. However, only one entity can own the CRR in any Trading Hour and CAISO will settle with that owner.
The CRR charge codes, consisting of CC 6798 (CRR Auction Transaction Settlement), CC 6700 (CRR Hourly Settlement), CC 6790 (CRR Balancing Account), and CC 6791 (CRRBA Accrued Interest Allocation) shall conform to the Tariff language on CRR Settlements (Section 11.2.4) and Full Funding of CRRs (Section 36.2.8).
CC 6700 settles the entitlement amounts (payments and charges) of all valid CRR holdings for each Trading Hour. This is funded by the CRR Balancing Account (CC 6790). The CRRBA is a daily account consistingof the IFM Congestion Fund,which is composed of hourly congestion revenues from Day-Ahead AS imports,and Energy schedules, DA Virtual Awards,and of CRR Charges. In addition, the CRRBA contains the net revenues from CRR Auctions applicable to each day. At the end of each day, the CRRBA is cleared through distribution of surplus or allocation of shortfall to Measured Demand excluding Measured Demand associated with valid ETC, TOR, and CVR Self-Schedules. Furthermore, at each month-end, accrued interest from investment of auction revenues shall be allocated to monthly Measured Demand excluding Measured Demand associated with valid ETC, TOR, and CVR Self-Schedules.
2.2Description
This Charge Code settles with CRR Holders for all their valid CRR holdings for each Trading Hour. A CRR is valid for a Trading Hour based on its start and end dates and its time of use attribute.Generally speaking, CRRs are financial instruments that give the Holder the right to receive or the obligation to pay a share of the total congestion revenue attributable to a given Trading Hour of the Day-Ahead Market. Consistent with the principle of full funding of CRRs, the settlement of CRRs for each Trading Hour shall reflect the full financial value of each CRR.
CRR holders are either charged or paid the net entitlement amounts of all their CRR holdings. The entitlement amount per CRR holding is computed as: (a) the product of the MW quantity of the CRR multiplied by the marginal cost of congestion (MCC) associated with the sink nodeof the CRR, minus (b) the product of the MW quantity of the CRR multiplied by the marginal cost of congestion (MCC) associated with the source node of the CRR.
This charge code also computes for the hourly CAISO congestion fund net CRR entitlement (also known as IFM congestion balance in this document) that eventually goes to the CRRBA.
3.Charge Code Requirements
3.1Business Rules
Bus Req ID / Business Rule1.0 / CRR Hourly Settlement applies to CRR Holders, which have the right to receive revenue (refunds) from or the obligation to pay for congestion attributable to a given Trading hour of the Day-Ahead market, based on their CRR holdings.
1.0.1 / This charge code must be computed daily on an hourly basis.
1.0.2 / Actual CRR Holders are referenced by Business Associate ID, and CAISO settles with Business Associates (BA) through these IDs. (Fact)
1.0.3 / The formulas adopt the convention that payments made by CAISO to BAs will be negative, while payments received by CAISO from BAs (charges to BAs) will be positive.
1.1 / The hourly settlement amount per hour per Business Associate (CRR Revenue Allocation) is the amount owed or paid to the CRR Holder on the Settlement Statement and Invoice.
1.2 / A CRR has a direction from its source(s) to its sink(s) PNodes/APNodes, MW amounts or quantities for these sources and sinks, a validity as defined by its start and end dates and its time of use, an external settlement attribute, and a hedge type (Option or Obligation) aka revenue stream type.
1.2.1 / Only CRRs valid for the Trading Day will be sent to Settlements by an external system.
1.2.2 / To determine whether a CRR is valid for a Trading Hour within a valid Trading Day, that CRR’s time of use (TOU) attribute will be mapped by Settlements with standing data definition.
1.2.3 / A point-to-point (PTP) CRR has a single source and a single sink.
1.2.4 / A multi-point (MPT) CRR can have one or more sources and one or more sinks, but an MPT CRR can never have a single source and a single sink at the same time. (However, for computation purposes and in these business rules, a PTP will be treated as a special case of MPT.)
1.2.5 / Only CRRs tagged for external settlement shall be settled externally with Business Associates using this charge code.
1.2.6 / Each CRR quantity (MW amount) for a source/sink is constant for all the hours of a single day, and this constant daily value shall be used and replicated for all hours of the day in the hourly settlement calculations.
2.0 / A CRR can be either an Option or an Obligation, although MPT CRRs are only modeled as Obligations.
2.1 / A CRR Obligation Holder receives a CRR Payment if congestion is in the same direction as the CRR direction but receives a CRR Chargeif congestion is in the opposite (counterflow) direction as the CRR direction.
2.1.1 / A CRR Option Holder receives a CRR Payment if Congestion is in the same direction as the CRR direction but receives no chargeif congestion is in the opposite (counterflow) direction as the CRR direction.
2.2 / A CRR is said to be in the same direction as congestion if the Sink Congestion Amount is higher than the Source Congestion Amount.
2.2.1 / A CRR is said to be in the opposite (counterflow) direction as congestion if the Sink Congestion Amount is less than the Source Congestion Amount.
2.3 / The Sink Congestion Amount is the sum of the product of the sink quantity and the MCC at that sink for all sinks of the CRR.
2.3.1 / The Source Congestion Amount is the sum of the product of the source quantity and the MCC at that source for all sources of the CRR.
2.4 / The prices for the CRR sinks and sources are the IFM provided Day Ahead MCCs (marginal congestion cost, a component of LMP) at the relevant sink and source nodes (PNodes/APNodes), respectively.
2.5 / The CRR Entitlement Amount for a CRR Obligation is the value of (Sink Congestion Amount – Source Congestion Amount).
2.6 / The CRR Entitlement Amount for a CRR Option (also Payment Amount) is the maximum of zero and the value of (Sink Congestion Amount – Source Congestion Amount).
3.0 / The settlement amount per BA will be its full net CRR Entitlement amount.
3.1 / The full net CRR Entitlement Amount per Business Associate per hour is the sum of all the CRR Entitlement amounts from its CRR Obligation holdings and the CRR Payments from its CRR Option holdings.
3.2 / The CAISO total full net CRR Entitlement amount is the sum of the full net CRR Entitlement amounts for all Business Associates per hour.
3.3 / In conformance with the Tariff, all CRR Entitlement Amounts shall be fully funded. (Fact)
4.0 / For every Trading Hour, the IFM Congestion Charge is the revenues from congestion charges attributable to the Day Ahead market for both Energy and Ancillary Services Imports less the reversals of congestion charges to ETC, TOR, and Converted Rights Holders. The IFM Congestion Charge also includes the congestion revenues from DA Virtual Awards assessed at the Day-Ahead MCC prices.
5.0 / The CAISO hourly IFM congestion balance, which is the sum of IFM Congestion Charge and the CAISO total full net CRR entitlement amount for the Trading Hour, shall be computed, and used by a successor charge code. This amount is equivalent to IFM congestion charges and CRR Charges net CRR Payments and is the hourly IFM net congestion amount that goes to the CRR Balancing Account.
6.0 / CRR level computation for the full entitlement amount shall be provided for informational purposes.
3.2Predecessor Charge Codes
Charge Code/ Pre-calc NameCC 6011 - Day Ahead Energy, Congestion, Loss Settlement
CC 6710 - Day Ahead Congestion - AS Spinning Reserve Import Settlement
CC 6720 - Day Ahead Congestion - AS Non-Spinning Reserve Import Settlement
CC 6750 - Day Ahead Congestion - AS Regulation Up Import Settlement
CC 6760 - Day Ahead Congestion - AS Regulation Down Import Settlement
CC 6013 – Convergence Bidding Day Ahead Energy, Congestion, Loss Settlement
3.3Successor Charge Codes
Charge Code/ Pre-calc NameCC 6790 - CRR Balancing Account
3.4Inputs – External Systems
Row # / Variable Name / Description1 / SourceQty Bj’zt’MH’d
Or
BADailyFinancialNodeCRRQty Bj’zt’MH’d
(with a positive value) / The MW quantity of source Pnode/APNode j’of CRR z, Hedge Type H’, CRR Holder Type M, Time of Use t’,valid for the Trading Day d and is held by Business Associate B.
TheSourceQty Bj’zt’MH’d
is a positive value.This BD will be mapped to the alternative BD, BADailyFinancialNodeCRRQty Bj’zt’MH’das a positive value.
Hedge type H’ = NO for Obligation, or YES for Option.
Note that the change in keyword name from “Resource” to “FinancialNode” of this BD reflects at which locations the quantities and matching prices are to be settled.
2 / SinkQty Bj’zt'MH’d
Or
BADailyFinancialNodeCRRQty Bj’zt’MH’d
(with a negative value) / The MW quantity in sink PNode/APNode j’of CRR z, Hedge Type H’, CRR Holder Type M,time of use attribute t’,valid for Trading Day d and is held by Business Associate B. The SinkQty Bj’zt’MH’d
is a positive value.This BD will be mapped to the alternative BD, BADailyFinancialNodeCRRQty Bj’zt’MH’d
with a negative value.
Hedge type H’ = NO for Obligation,or YES for Option.
3 / HourlyDAFinancialNodeMCCPricej’h / Marginal Cost of Congestion (MCC) for financial node ID j’ for Trading Hour h of the Day Ahead Market. This is mapped from Pnode/APnode Day-Ahead Energy MCC prices. ($/MWh)
4 / CRRSettlementExceptionFlagB / A flag indicating that Business Associate B shall be excluded from external settlement of CRRs. If the exception applies, then the flag will have a value of 1 (or TRUE).
In particular, the BA ID B currently having this exception flag is a CAISO BA ID. This is needed to be able to compute entitlement amounts for certain CRRs not owned by market participants, mainly for analysis purposes related to CRR allocation.
5 / CRRHourlyTOU dh / The CRR Time of Use for Trading Hour h of Trading Day d. This definition is kept in Masterfile with values ON (or 1 for on-peak hours) or OFF (or 0 for off-peak hours).
This data will also be provided as part of the CAISO Bill Determinants file.
3.5Inputs - Predecessor Charge Codes or Pre-calculations
Row # / Variable Name / Predecessor Charge Code/ Pre-calc Configuration1 / CAISOTotalNetHourlyDAEnergyCongestionNetOfCreditsAmt h / CC 6011 – Day Ahead Energy, Congestion, Loss Settlement
2 / CAISOHourlyTotalDACongestionSpinAmount h / CC 6710 - Day Ahead Congestion - AS Spinning Reserve Import Settlement
3 / CAISOHourlyTotalDACongestionNonSpinAmount h / CC 6720 - Day Ahead Congestion - AS Non-Spinning Reserve Import Settlement
4 / CAISOHourlyTotalDACongestionRegUpAmount h / CC 6750 - Day Ahead Congestion - AS Regulation Up Import Settlement
5 / CAISOHourlyTotalDACongestionRegDownAmount h / CC 6760 - Day Ahead Congestion - AS Regulation Down Import Settlement
6 / CAISOTotalHourlyDAVirtualAwardCongAmount mdh / CC 6013 - Convergence Bidding Day Ahead Energy, Congestion, Loss Settlement
3.6CAISO Formula
3.6.1The CRR Settlement Amount per hour h
BAHourlyCRRSettlementAmountBh =
BAHourlyTotalCRREntitlementAmountBh
Where CRRSettlementExceptionFlagB > 1 (TRUE)
3.6.1.1BAHourlyTotalCRREntitlementAmount BhBAHourlySingleCRREntitlementAmount Bzt’MH’h=
(BAHourlyCRRObligationEntitlementBzt’MH’h +
BAHourlyCRROptionEntitlementAmountBzt’MH’h)
3.8.1.1.1 Where
BAHourlyCRRObligationEntitlementAmountBzt’MH’h =
BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h
WHERE Hedge Type (H’) = NO for Obligation
3.8.1.1.2 Where
BAHourlyCRROptionEntitlementAmountBzt’MH’h =
Min(0, BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h)
WHERE Hedge Type (H’) = YES for Option
3.8.1.1.3And Where
IF
Time of Use attribute (t’) of BADailyFinancialNodeCRRQty Bj’zt’MH’d = 1
THEN
BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h =
[CRRHourlyTOU dh *
(HourlyDAFinancialNodeMCCPricej’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d) ]
ELSE
BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h =
[(1- CRRHourlyTOU dh ) *
(HourlyDAFinancialNodeMCCPricej’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d) ]
END IF
Implementation Note: In order to speed up CAISO processing time, theis charge types, BAHourlyCRRObligationEntitlementAmount , BAHourlyCRROptionEntitlementAmount, and BAHourlyTotalCRREntitlementAmount BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h , areis calculated outside of Configuration. These It will be reflected in the Configuration Output file as a primary raw inputs. The intermediate BD, BAHourlyCRREntitlementIntermediateAmount, will no longer be shown. No change or minimal change is expected of market participants’ systems since the original data inputs are kept and will continue to be provided to market participants.
3.6.1.2BAHourlyTotalCRREntitlementAmount Bh =
BAHourlySingleCRREntitlementAmount Bzt’MH’h
3.6.1.33.6.1.2CAISOHourlyTotalCRREntitlementAmounth=
BAHourlyTotalCRREntitlementAmount BhBAHourlySingleCRREntitlementAmount Bzt’MH’h
Where CRRSettlementExceptionFlagB> 1 (TRUE)
3.6.1.43.6.1.3CAISOHourlyIFMCongestionChargeh=
(CAISOTotalNetHourlyDAEnergyCongestionNetOfCreditsAmt h
+ CAISOHourlyTotalDACongestionSpinAmount h
+ CAISOHourlyTotalDACongestionNonSpinAmount h
+ CAISOHourlyTotalDACongestionRegUpAmount h
+ CAISOHourlyTotalDACongestionRegDownAmount h
+ CAISOTotalHourlyDAVirtualAwardCongAmount mdh))
3.6.2CAISOHourlyIFMCongestionBalanceAmount h =
(CAISOHourlyIFMCongestionCharge h +
CAISOHourlyTotalCRREntitlementAmount h)
Note:The following are derivation of implementation formulas above, relating those formulas closer to the business rules.
(1) BAHourlyCRRObligationEntitlementAmount Bzt’MH’h
= [(-1) x (HourlyDAFinancialNodeMCCPrice j’h x SinkQty Bj’zt’MH’d
- HourlyDAFinancialNodeMCCPrice j’h x SourceQty Bj’zt’MH’d)]
= [HourlyDAFinancialNodeMCCPrice j’h x SourceQty Bj’zt’MH’d
- HourlyDAFinancialNodeMCCPrice j’h x SinkQty Bj’zt’MH’d]
= [(HourlyDAFinancialNodeMCCPrice j’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d )
- (HourlyDAFinancialNodeMCCPrice j’h x (-1)*BADailyFinancialNodeCRRQty Bj’zt’MH’d )]
= [(HourlyDAFinancialNodeMCCPrice j’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d )
+ (HourlyDAFinancialNodeMCCPrice j’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d)]
= (HourlyDAFinancialNodeMCCPrice j’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d )
which is summed over all sources and sinks (node) j’ of CRR z.
Where H’ = NO for Obligation
Where CRR z is valid for Trading Hour h based on CRR z’s time of use (TOU) t’ attribute definition (Refer to business rule 1.2.2).
(2) BAHourlyCRROptionEntitlementAmountBzt’MH’h
= [(-1) x Max(0, HourlyDAFinancialNodeMCCPrice j’h x SinkQty Bj’zt’MH’d
- HourlyDAFinancialNodeMCCPrice j’h x SourceQty Bj’zt’MH’d)]
= Min(0, [HourlyDAFinancialNodeMCCPrice j’h x SourceQty Bj’zt’MH’d
- HourlyDAFinancialNodeMCCPrice j’h x SinkQty Bj’zt’MH’d])
which can be simplified to the following formula because only PTP CRRs (no MPT CRRs) can be Options and since PTP CRRs can only have a single source and a single sink,
= Min[0, ((HourlyDAFinancialNodeMCCPrice j’h x SourceQtyBj’zt’MH’d)
- (HourlyDAFinancialNodeMCCPrice j’h x SinkQtyBj’zt’MH’d))]
Similar to the previous formula derivation, using BADailyFinancialNodeCRRQty for both SourceQty and SinkQty but with a negative sign for the SinkQty, the above formula is equivalent to:
= Min[0, (HourlyDAFinancialNodeMCCPrice j’h x BADailyFinancialNodeCRRQty Bj’zt’MH’d ) ]
which is summed over the source and sink nodesj’ of CRR z.
Where H’ = YES for Option
Where CRR z is valid for Trading Hour h based on CRR z’s time of use (TOU) t’ attribute definition (Refer to business rule 1.2.2).
3.7Outputs
.
Output Req ID / Name / DescriptionIn addition to any outputs listed below, all inputs shall be included as outputs.
1 / BAHourlyCRRSettlementAmountBh / The net settlement amount paid to or owed by Business Associate B for all its CRR holding (either Obligation or Option) for hour h. This is the actual settlement amount for this charge code.
2 / Not used. BAHourlySingleCRREntitlementAmount Bzt’MH’h / The full entitlement amount for a single CRR with CRR ID z, time of use t’, CRR Holder Type M, Hedge Type H’ for Trading Hour h.
3 / BAHourlyTotalCRREntitlementAmountBh / The sum of all the entitlement amounts from CRR Obligation holdings and all the CRR Payments from CRR Option holdings of Business Associate B for Trading Hour h.
4 / CAISOHourlyTotalCRREntitlementAmounth / The sum of all BAHourlyTotalCRREntitlementAmount over all BAs.
5 / CAISOHourlyIFMCongestionChargeh / The net congestion revenues from Energy and AS in the Day Ahead market.
6 / BAHourlyCRRObligationEntitlementAmountBzt’MH’h / The full entitlement amount from an obligation CRR.This pertains to CRR z, time of use t’, CRR Holder Type M, Hedge Type H’, held by BA ID B for Trading Hour h.
7 / BAHourlyCRROptionEntitlementAmountBzt’MH’h / The full entitlement amount from an option CRR.This pertains to CRR z, time of use t’, CRR Holder Type M, Hedge Type H’, held by BA ID B for Trading Hour h.
8 / Not used.BAHourlyCRREntitlementIntermediateAmount Bzt’MH’h / The full entitlement amount from an Obligation CRR or the BAHourlyCRROptionEntitlementIntermediateAmount from an Option CRR. This pertains to CRR z, time of use t’, CRR Holder Type M, Hedge Type H’, held by BA ID B for Trading Hour h.
9 / CAISOHourlyIFMCongestionBalanceAmounth / The hourly IFM net congestion revenues amount that goes to the CRR Balancing Account.