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May 26, 2010
Vanessa Spells, Credit Manager
220.127.116.11, Determination of Counter-Party Aggregate Incremental Liability 18.104.22.168, Credit Monitoring and Management Reports
This Nodal Protocol Revision Request (NPRR):
1. Updates AIL calculation to reflect Max (Average Daily Transaction Extrapolated (ADTE) during the previous 60-day period) instead of ADTE to match Estimated Aggregate Liability (EAL) calculation.
2. Removes Flowgate Rights-related Credit Monitoring and Management Reports.
3. Corrects Credit Monitoring and Management Reports format from Extensible Markup Language (XML) to Microsoft Excel (XLS) format.
4. Updates the posting requirements of Future Credit Exposure (FCE) Details Reports.
1. The AIL is intended to calculate the incremental liability incurred by a Counter-Party based on more recent estimates to the extent that the EAL fails to account for such liability. Specifically, the AIL determines the amount by which the Real-Time Liability (RTL) estimate exceeds the corresponding liability calculated by the EAL for a comparable period.
Currently, the formula prescribed in the Nodal Protocols compares the RTL with the ADTE. However, since the EAL calculation uses the Max (ADTE during the previous 60-day period) and not simply the ADTE, the change is needed to reflect the actual incremental liability.
2. Based on recently approved revisions to Nodal Protocol Section 22.214.171.124, Defined Flowgates, there are currently no defined flowgates. Hence the Credit Monitoring and Management Reports related to flowgates are being removed from the list.
3. Credit Monitoring and Management Reports format was incorrectly listed as XML where as it is actually supposed to be Microsoft XLS format.
The FCE Details Reports are large and resulting into system constraints to generate them in time for posting.