Nprr number 620

Дата канвертавання25.04.2016
Памер13.49 Kb.

NPRR Comments

NPRR Number


NPRR Title

Collateral Requirements for Counter-Parties with No Load or Generation


May 21, 2014

Submitter’s Information


Mark Ruane

E-mail Address



Phone Number


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


  • 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.


Revised Proposed Protocol Language


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