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Enron Mail |
Tanya
The books were set up incorrectly when the spreadsheet feeds were implemented. This has since been corrected. Currently the European risk trac numbers do not feed into the corporate reporting of VaR. The books should now contain gas exposures in UK gas and Power in UK power and have no duplication. I have previously discussed with Naveen and Kirstee that it would be a good idea if we set up a regular meeting to projecct manage the implementation of European VaR numbers, from risk trac, into the daily reporting. If you have no objections I suggest we discuss this at the next weekly RAC/Research meeting. Rgds Oliver Tanya Tamarchenko 03/01/2001 21:05 To: David Port/Market Risk/Corp/Enron@ENRON, Vince J Kaminski/HOU/ECT@ECT cc: Kirstee Hewitt/LON/ECT@ECT, Oliver Gaylard/LON/ECT@ECT Subject: Re: UK portfolios and books setup in RisktRac David and Vince, in my e-mail below I pointed out to a inconsistency in the portfolio hierarchy for UK positions in RisktRac that I found out, namely: some books (for example E1SB1 and E1SB2) belong to UK-GAS portfolio and to UK-POWER portfolio. I wanted to clarify this in order to reconcile positions in RisktRac and in the spreadsheet. Tanya. Tanya Tamarchenko 01/03/2001 02:09 PM To: Naveen Andrews/Corp/Enron@ENRON, Matthew Adams/Corp/Enron@ENRON cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Vince J Kaminski/HOU/ECT@ECT Subject: Re: UK portfolios and books setup in RisktRac Naveen and Matthew, I started looking systematically through UK positions and corresponding VAR numbers in the RisckRac. I found a few inconsistencies so far. 1. The portfolio E1SB1-NBP has a book E1SB1 under it. The sum of delta positions for this book is 239,021,655, the sum of gamma positions is -211,031,450. VAR for the portfolio E1SB1-NBP is zero. The same refers to a few other portfolios, for example E1SB2-NBP, E1SB3-NBP, E2XX1-NBP. 2. The portfolio E1SBP1-PPP also has the book E1SB1 under it. This book contains the positions on PPPWD1 through PPPWD6 and PPPWE1 through PPPWE4. The same refers to the other books, for example E1SB2. This looks messy. Can someone in RAC go over all the portfolios, all the corresponding books and curves in RisktRac and make sure they are set up properly? Thank you, Tanya.
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