New Curve Manager. Term traders please read.

Please note a new version of curve manager has been tested in the Stage environment which include below features:

1. We will be able to mark Swaption Volatility -- In the past (current version of curve manager you are using) we only have one set of volatility curves which is being applied to the calculations of both option and swaption deal types. The new version of curve manager allow us the flexibility to more accurately mark volatility curves seperately for swaption deal type. If you decided that you are not going to use this feature by not marking a seperate set of volatility for swaptions, our calculation system will by default use our option volatility curves.

2. In the past if you mark the long term (by month) price "change" column directly in the curve manager for certain month, the curve manager will automatically apply the same change to be the same price change for the same month in all other years. In the new version, this "automatic" feature will be removed. Please note if you mark long term curves by doing copy and paste from Excel rather than by marking the curve change directly in the curve manager, this "automatic" feature has not affected you in the past and will not affect you in the new version.

Risk has tested above changes to the curve manager successfully. Please let us know as soon as possible if you have other concerns by Monday (10/22) or we will ask IT to release the new version.

Thanks,

Fran

-----Original Message-----
From: Govindasamy, Sivakumar
Sent: Wednesday, October 17, 2001 1:45 PM
To: Evans, Casey; Chen, Hai; Dahlke, Andrea; Postlethwaite, John; Chang, Fran; Law, Samantha; Dunton, Heather
Cc: Nommensen, Dave; Lee, Norman; Balasundaram, Arun; Ramakotti, Anand; Yang, Zhiyun
Subject: New Curve Manager in Stage (V 2.1.016

We have new Curve Manager system (version 2.1.0.16) in stage and can be accessed through Enpower Launchpad (Stage).

New Feature: Swaption Volatility is included.
Change: Year on Year spread has been removed.
Data : We have data for all the curves for Effective date Oct 9th through Oct 15th. Only Nepool have Swaption Volatility curve.

Since we have to move the year on year spread change to East soon, your early response on the test would be highly appreciated. Please feel free to call me at x 57926. Thanks

-Shiva