RE: curve mapping issues on deals

Dear Fran:

West Wing, West Wing 500 kV and West Wing 230 kV are all mapped to WSCC-S, but West Wing has a basis, B2, while the other two delivery points don't. So if you want the other two delivery points to use the same curves as West Wing, all you need to do is to associate them with basis B2 -- you should be able to do it through Global Facility.

Please feel free to give me a call if you need any assistance. Thanks.

- Zhiyun

-----Original Message-----
From: Chang, Fran
Sent: Monday, October 08, 2001 1:41 PM
To: Lee, Norman; Yang, Zhiyun
Cc: Postlethwaite, John; Law, Samantha; Alonso, Tom; Fisher, Mark; Salisbury, Holden; Motley, Matt
Subject: curve mapping issues on deals
Importance: High

Dear Zhiyun and Norman:

Due to legal reasons we are in the process of changing deals with delivery point of WestWing to either WestWing 230KV or WestWing 500KV. However, in PortCalc if the delivery point is changed to WestWing 230KV or WestWing 500KV the deals will be valued against WSCC-S curve, not WestWing curve. Due to this we have observed unfavorable prior day and curve shift; this is not what our traders expected and wanted the deals to be valued. An example is deal#802862.1 in which delivery point was changed from WestWing to WestWing 500KV on 10/5/01 and we suffered a $294K loss due to the deal change. (post id 13377 on 10/5/01 vs. post id 13337 on 10/4/01)

We would like the deals to be still looking at WestWing curve when delivery points are WestWing 230KV or WestWing 500KV. Please change the mapping of the valuation in PortCalc so the traders can get their deal change and "unreal" curve shift back.

Please let me know your timeline on this and if you have any questions.

Thanks,

Fran
503.464.7973