Nprr number 620




Дата канвертавання25.04.2016
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NPRR Comments


NPRR Number

620

NPRR Title

Collateral Requirements for Counter-Parties with No Load or Generation







Date

May 21, 2014







Submitter’s Information

Name

Mark Ruane

E-mail Address

mruane@ercot.com

Company

ERCOT

Phone Number

512-225-7094

Cell Number




Market Segment

Not applicable




Revised Cover Page Language




Business Case

Qualitative Benefits

Revises credit requirements for Counter-Parties that represent neither Load nor generation to more accurately reflect their market risk profile.

  • The specification of M1 as 12 for traders reflects the fact that affected Counter-Parties are not subject to Mass Transition and thereby more accurately reflects Counter-Party risk.

  • New components to the Minimum Current Exposure (MCE) and Initial Estimated Liability (IEL) calculations specify collateral requirements in situations where under existing Protocol language no collateral might be required and thereby expose the market to credit risk.

  • Reduced look-back periods in the Real Time Liability Extrapolated (RTLE) and Day Ahead Liability Extrapolated (DALE) calculations will result in collateral requirements for affected Counter-Parties more closely reflecting market positions, which tend to be more variable than for Counter-Parties with Load or generation.

Quantitative Benefits




Impact to Market Segments




Credit Implications

Yes

  • Credit calculations. A shorter “look back” period is expected to result in more variable exposure calculations for affected Counter-Parties. The effect of revised MCE calculations will depend on the activity of specific Counter-Parties.

Other







Revised Proposed Protocol Language

None.

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