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Enron Mail |
Please see the BOD approved limit changes and notification level changes
currently in effect for today's business, 12/12/00: 1) see Risk Mgmt memo for summary of changes to policy, see Policy for summary of limits in effect except for Temporary Limits noted below (I sent you these same documents a week ago, so you're probably already familiar with them). As you make these changes, I'd suggest revising the order of the commodity listings on the DPR to conform more closely with the management / trading responsibility organization structure announced November 8th (let me know if you do not have the e-mail from Skilling/lay with the attached org. charts.) Also see the assignment of Head Traders to specific commodities below - the EWS memo below was approved by Greg Whalley yesterday. So I'd suggest deleting the South America and Asia Africa subtotals and putting under Enron Americas and Enron Europe, respectively. Other changes we've discussed: removing Structured Derivatives reporting as that P/L should be aligned against power or gas risk limits Other DPR Issues to address: The Risk Management policy requires Loss notification monitoring and reporting to be measured without the effect of change in prudency and without origination: Reporting changes in prudency - we'd like this to be a bit more transparent, there's Lavorato's "Management Book", and Schedule C, and we're not clear what drives the changes, so it's more rather than less difficult to measure/evaluate trading results Developing a consistent approach among commodities to report origination vs. trading - - - few commodity groups report origination separately, yet the area at the bottom of the DPR that says "US and International Originations" implies that the amounts reported above exclude origination when that in fact is not the case Need to get EES and the UK to report earlier so we can see preliminary DPR with all risk and P/L by 8 a.m. Houston time Temporary Limits and Discretionary VaR Allocations approved by the BOD, but not reflected in the Policy above: 12/7 - 12/22 Permanent Aggregate VaR Limit $140 MM $100 MM NA Gas $110 MM $60 MM ($60 permanent limit, + $15 Discretionary VaR on 12/6 + $35 Temporary VaR) UK Power $20.3 MM $15.3 MM ($15.3 limit until 1/1/01 + $5MM Temporary VaR) Other Limit Issues - I'll let you know if these are extended or modified: EES's $2MM of Discretionary VaR expires Friday, the 15th After 12/22, we'll need to re-evaluate the $15MM Discretionary VaR allocated to NA Gas Regards, Cassandra.
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