NPRR #683 · Revision Request
NPRR683 Revision to Available Credit Limit Calculation
ReasonThe current method unfairly penalizes Counter-Parties posting excess collateral and equally incents other Counter-Parties to post little to no excess collateral. The method proposed by this NPRR better aligns collateral requirements with actual credit risk and provides a level playing field for all Market Participants.
Created2015-03-12
Approved2015-06-09
Sections Affected
16.11.4.616.11.4.6.1and 16.11.4.6.2
Summary
This Nodal Protocol Revision Request (NPRR) revises the calculation of Available Credit Limit for the CRR Auction (ACLC) and Available Credit Limit for the DAM (ACLD) by replacing the existing 10% discount to the ACL based on the Counter-Party’s unused letter of credit amount with a 10% gross up of the sum of the Total Potential Exposure Any (TPEA) and the Total Potential Exposure Secured (TPES).
Timeline
- Feb 9 '15
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Mar 12 '15
PRS PRS MeetingPRSRecommended for Approval Recommended for approval“To recommend approval of NPRR683 as submitted” — Passed→ PRS for Impact Analysis review
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Apr 16 '15
PRS PRS MeetingPRSRecommended for Approval Recommended for approval Forwarded → TAC priority 2015 · rank 1300“To endorse and forward to TAC the 3/12/15 PRS Report and Impact Analysis for NPRR683 with a recommended priority of 2015 and rank of 1300” — Passed→ TAC for consideration
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May 28 '15
TAC TAC MeetingTACRecommended for Approval Recommended for approval“To recommend approval of NPRR683 as recommended by PRS in the 4/16/15 PRS Report” — Passed→ Board for consideration
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Jun 9 '15
BOARD Board of Directors MeetingBOARDApproved Recommended for approval“To approve NPRR683 as recommended by TAC in the 5/28/15 TAC Report” — Passed
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Posted since the last meeting