SCR #778 · Revision Request
SCR778 Credit Exposure Calculations for NOIE Options Linked to RTM PTP Obligations
ReasonTo more closely align calculated credit exposure with Real-Time Market (RTM) Settlement risk and with the intent of existing Protocol language.
Created2013-12-19
Approved2014-02-11
Sections Affected
16.11.4.3
Summary
Changes to the Credit Monitoring and Management (CMM) System. 1. Modifies the Real-Time Liability (RTL) calculation to reduce credit exposure to an estimated amount based on calculations defined in paragraph (1) of Protocol Section 7.9.2.1, Payments and Charges for PTP Obligations Settled in Real-Time. 2. Modifies the Outstanding Unpaid Transactions (OUT) calculation to include credit exposure to an estimated amount based on calculations defined in paragraphs (3) and (4) of Protocol Section 4.6.3, Settlement for PTP Obligations Bought in DAM.
Action Log 4 milestones
-
Dec 19
PRSRecommended for Approval→ PRS for IA review
-
Jan 16
PRSRecommended for Approval→ TAC for consideration
-
Jan 28
TACRecommended for Approval→ Board for consideration
-
Feb 11
BOARDApproved
Documents 6
| Name | Type | Posted | Classification |
|---|---|---|---|
| 778SCR-01 Credit Exposure Calculations for NOIE Options Linked t | doc | Nov 15 '13 | Revision Request |
| 778SCR-02 Impact Analysis 111513 | doc | Nov 15 '13 | Staff Report |
| 778SCR-03 PRS Report 121913 | doc | Dec 20 '13 | Committee Report |
| 778SCR-04 PRS Report 011614 | doc | Jan 20 '14 | Committee Report |
| 778SCR-05 TAC Report 012814 | doc | Jan 30 '14 | Committee Report |
| 778SCR-06 Board Report 021114 | doc | Feb 14 '14 | Committee Report |
Meetings That Took It Up 4
| Date | Meeting | Committee | Status |
|---|---|---|---|
| Feb 11 '14 | Board of Directors Meeting | BOARD | Concluded |
| Jan 28 '14 | TAC Meeting | TAC | Concluded |
| Jan 16 '14 | PRS Meeting | PRS | Concluded |
| Dec 19 '13 | Protocol Revision Subcommittee (PRS) Meeting | PRS | Concluded |