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Enron Mail |
Rick Buy informed us this morning that the BOD approved, effective today, a
one week extension of the Temporary VaR allocation of $5MM to UK Power that was made last week in the e-mail referenced below. So the limit changes as of 12/12/00 for Enron Europe: through 12/22/00 12/23/00 - 12/31/00 1/1/01 1) UK Power VaR $20.3MM $15.3MM $13.95MM UK Power NOP 68 Twh 68 Twh 59.5 Twh If UK Power feels they need a VaR limit in excess of the schedule above, they will need to meet with Ted Murphy and Rick Buy to discuss it further. Currently, we have no Discretionary VaR available for allocation, but re-allocation from another commodity group may be technically possible at some point. Although several other commodity groups are vying for the same VaR capital. 2) European Gas - NOP and Maturity/Gap Limits revert to permanent limits on 1/1/01 (as previously scheduled), of 60 Bcf and 90 Bcf, respectively 3) Credit Trading - now includes the Debt Trading commodity group, and has one combined limit structure: NOP Maturity/Gap VaR $750,000 DV01/bp total N/A $5 MM $ 50,000 DV01/bp individual 4) Commodity Group Loss Notification requirements were changed as follows (note: business units are encouraged to establish sub-limits): Effective 12/12/00 Previous Daily Loss in any Commodity group or Portfolio: ? Report to Business Unit Office of the Chairman 100% of VaR not specifically stated ? Report to Enron Corp. President 125% of VaR 50% of VaR ? Report to Enron Corp. Chairman 150% of VaR 75% of VaR ? Report to Audit Committee no reporting at commodity all are reported quarterly group level Cumulative 5-day Loss in any Commodity Group or Portfolio: ? Report to Business Unit Office of the Chairman 125% of VaR not specifically stated ? Report to Enron Corp. President 150% of VaR 75% of VaR ? Report to Enron Corp. Chairman 175% of VaR 100% of VaR ? Report to Audit Committee no reporting at commodity all are reported quarterly group level Please share with whoever else needs to know, the change in loss notification requirements as these are applicable to all commodity groups. Regards, Cassandra Schultz. x30429. ---------------------- Forwarded by Cassandra Schultz/NA/Enron on 12/13/2000 01:15 AM --------------------------- From: Cassandra Schultz 12/07/2000 12:49 PM To: James New/LON/ECT@ECT, Michael Kass/EU/Enron@Enron, Mike Jordan/LON/ECT@ECT cc: Fernley Dyson/LON/ECT@ECT, Oliver Gaylard/LON/ECT@ECT Subject: Limit Changes Today, December 7th, the Executive Committee of the BOD met and approved the following temporary limit increase for Enron Europe: Temporary $5MM increase in VaR: 12/7/00 - 12/15/00 UK Power VaR 12/7 - 12/15 $20.3 MM Please revise the DPR accordingly, as will Global Energy Operations here in Houston to incorporate this and other changes. The BOD meeting is this coming Tuesday, and I will then let you know what the permanent or more extended temporary limit adjustments are. Regards, Cassandra Schultz.
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