February 2006 Market Clearing in the Energy Industry 52 © Copyright 2006, CCRO. All rights reserved. ISO/ RTO/ Pool Credit topic CAISO ERCOT MISO ISO-NE NYISO PJM SPP Generic Trans- mission Owner WSPP Exposure Methodol ogy Weekly assessme nt of SCALE 43 , which incorporat es outstandin g obligations , actual settlement charges, & predictive settlement obligations . Calculated between seven and ten days after the trade date, and average historical predictive settlement obligations . See appendix for details ERCOT Protocols 16.2.7.3. Average daily balance multiplied by 40 (days) plus unpaid invoices, forward TCR auction revenue, seasonal factor and any potential uplift Invoices outstandin g, transaction s measured but not invoiced plus an estimate of potential activity Three week rolling average of market activity exposures multiplied by a factor TADO (Total Amount Due and Outstandin g) with limits set at 80% and 90%. For TADO example, see web site http://www .iso- ne.com/stl mnts/assur _crdt/sprd _shts/inde x.html Credit requireme nts are calculated separately for each of the four NYISO administer ed markets including energy, capacity Transmissi on Congestio n Contracts, and Virtual Transactio ns. Refer to Attachmen ts K or W of the MST or OATT, respectivel y Sum of two highest consecutiv e months of market activity for rolling 12 months. Collateral calls are made at 85% of exposure to cover gaps in settlement data and accommod ate market moves Greater of the highest prior months exposure or last 10 days of charges, capacity and TCC exposures with virtual bidding 100% collateraliz ed by cash or letter of credit Prior 24 month peak activity, or estimate of future use (if no history) reduced to a daily rate, multiplied by 50 Exposure is calculated as unpaid invoices, plus transaction s for days that have been calculated but not invoiced, and an estimated value. The estimated value is a determinat ion of the highest day of activity in the last year, multiplied by the number of days from the current date to the next invoice date. Exposure is based on one month or less, or, one month or more of estimated transmissi on services Bilateral methodolo gy Virtual Markets Policy No Market No Market Allocation of unsecured line. Allocation of Unsecured line, or 100% liquid collateral. Requires minimum of $500.0M 100% Liquid Collateral Allocation of Unsecured line No Market No Market No Market 43 Scheduling Coordinator Aggregate Liability Estimate (SCALE http://www.caiso.com/docs/2004/02/25/2004022511011914971.pdf )