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NPRR241

Summary

Title: Aggregate Incremental Liability (AIL) Calculation and Credit Reports Publish Corrections
Next Group:
Next Step:
Status: Approved on 09/21/2010
Effective Dates:
12/01/2010

All sections except for Section 16.11.4.7(3)

Action

Date Gov Body Action Taken Next Steps
09/21/2010 BOARD Approved
09/02/2010 TAC Recommended for Approval BOD consideration
08/19/2010 PRS Recommended for Approval TAC consideration
07/22/2010 PRS Recommended for Approval PRS consider the Recommendation Report and Impact Analysis
06/17/2010 PRS Referred WMS consideration

Voting Record

Date Gov Body Motion Result
09/21/2010 BOARD Passed
09/02/2010 TAC To recommend approval of NPRR241 as recommended by PRS in the 8/19/10 PRS Report with a recommended priority of Medium for the proposed grey-box language. Passed
08/19/2010 PRS To endorse and forward the 7/22/10 PRS Report with a recommended priority of Medium for the proposed grey-box language and Impact Analysis for NPRR241 to TAC. Passed
07/22/2010 PRS To recommend approval of NPRR241 as amended by the 7/21/10 WMS comments and as revised by PRS. Passed
06/17/2010 PRS To refer NPRR241 to WMS Passed

Vote tallies here reflect individual votes, not the weight of the votes by market segment. Affirmative votes are not recorded in these vote tallies. For additional details on the voting record, please consult the Recommendation or Action Report, or the official vote tally if available, as posted in the key documents.

Background

Status: Approved
Date Posted: May 26, 2010
Sponsor: Vanessa Spells, Credit Manager
Urgent: No
Sections: 16.11.4.4, Determination of Counter-Party Aggregate Incremental Liability 16.11.4.7, Credit Monitoring and Management Reports
Description: 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.
Reason: 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 7.3.1.2, 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.

Key Documents

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