Company

Small IPP operating power plants in ERCOT with limited credit.

Challenge

Develop accurate Potential Future Exposure (PFE) and enable trading manager to negotiate lowest possible collateral to allow trading needed to meet hedging needs.

SATURN

• Enabled stochastic simulation of market prices, trade values, trade settlement, and exposure analysis.
• Developed expected, P95, and maximum potential exposures across complete trade timeframe.
• Empowered effective negotiation with counterparty of adequate credit requirements.

Impact

• Facilitated trading under restrictive credit limits.
• Reduced requested credit limit by 20%.
• Established credibility with counterparty.

SATURN Applications