Re: Primary curves missing from Factor Loading

Tanya,

We are very close to generating factors for all primary curves. Jin almost
get it done.

But we are still waiting on the expiration dates for those London curves. If
anyone can help, please help.

Also, we have some curves that don't have Futures. How to decide these
curves's expiration dates?

Matthew Adams helped us deciding many curves expiration rules. But there are
still many primary curves that don't have expiration dates.

If no expiration dates, then there will be no factor loadings. Whoever wants
to generate factor loadings then give us the expiration dates first! :)

Winston

Tanya Tamarchenko
09/21/2000 09:00 AM
To: Bjorn Hagelmann/HOU/ECT@ECT, Wenyao Jia/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT, Rodrigo
Lamas/LON/ECT@ECT, Xochitl Figueroa/NA/Enron@Enron, Manfred
Roenz/Corp/Enron@Enron, Christian LeBroc/Corp/Enron@ENRON, Bjorn
Hagelmann/HOU/ECT@ECT, Homan Amiry/LON/ECT@ECT, Naveen
Andrews/Corp/Enron@ENRON
Subject: Re: Primary curves missing from Factor Loading

Bjorn,
you are absolutely right that we should run the factors for every primary
curve.
IT has been working for a while on this.
The problem is data, as always (missing price curves, zero prices, not
changing prices, etc.)
Most of these problems come from London curves, so Winston and Jin Yu are
debugging the code,
fixing the problems for every curve.

Winston,
do you think we are ready to calculate factors for US curves? (while continue
working on the rest).

Tanya

From: Bjorn Hagelmann
09/20/2000 10:06 PM

To: Tanya Tamarchenko/HOU/ECT@ECT, Naveen Andrews/Corp/Enron@ENRON
cc: Vince J Kaminski/HOU/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT, Rodrigo
Lamas/LON/ECT@ECT, Xochitl Figueroa/NA/Enron, Manfred Roenz/Corp/Enron,
Christian LeBroc/Corp/Enron, Bjorn Hagelmann/HOU/ECT@ECT, Homan
Amiry/LON/ECT@ECT
Subject: Re: Primary curves missing from Factor Loading

Tanya, Naveen:

I am confused, I thought that when we identified primary curves they would
then have factors run against them. Does this not distort what we are trying
to do with the primary and VAR?

Regards

Bjorn H.
---------------------- Forwarded by Bjorn Hagelmann/HOU/ECT on 20/09/2000
21:57 ---------------------------

Xochitl Figueroa@ENRON
20/09/2000 18:16
To: Manfred Roenz/Corp/Enron@Enron, Christian LeBroc/Corp/Enron@ENRON, Homan
Amiry/LON/ECT@ECT
cc: Bjorn Hagelmann/HOU/ECT@ECT
Subject: Re: Primary curves missing from Factor Loading

I am in the same situation as Manfred. I have one primary curve for Southern
Cone Gas and one for Southern Cone Power and I am not getting factors for
either. For my power curves I am getting WTI factors and for Gas I am
getting NG factors.

But I do agree with you Manfred, I think all the primary curves should have
their own factor loadings.
Xochitl

Manfred Roenz
09/20/2000 05:33 PM
To: Christian LeBroc/Corp/Enron@ENRON, Xochitl Figueroa/NA/Enron@Enron, Homan
Amiry/LON/ECT@ECT
cc: Bjorn Hagelmann/HOU/ECT@ECT

Subject: Re: Primary curves missing from Factor Loading

Christian,
at least you have 2 curves that you get factors for. I get none. I have
four primary curves for coal but factors from NBSK are used. In emissions I
have one primary curve but WTI factors are used. I think all the primary
curves should have their own factor loadings. Xochitl, what factors are used
for your primary curves?
Manfred

From: Christian LeBroc 09/20/2000 11:28 AM

To: Homan Amiry/LON/ECT@ECT, Manfred Roenz/Corp/Enron@Enron, Xochitl
Figueroa/NA/Enron@Enron
cc: Bjorn Hagelmann/HOU/ECT@ECT

Subject: Primary curves missing from Factor Loading

I was in the process of setting up Sunil's template for calculating
co-variance on all Liquids primary curves using the "factor loading" data.
Unfortunately, I did not get very far, because I noticed that the factor
loading table contains only 2 (WTI & HU) out of 13 liquids primary curves. I
am concern that Liquids VaR could conceivably be over or understated due to
the absence of 11 other curves which are listed below. Please verify your
perspective commodity desk on this issue.

61NY
BRENT
C2GC
C3GC
C5XT
CONDENSATE
DUBAICRUDE
IC4
MTBE
NC4
NXHO

Christian