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Enron Mail |
John Nowlan is concerned that this var number isn't right. According to
john, the group significantly reduced postions (on the whole). What about the forward forward vol? Have we looked at that? My instinct is that something is not accurate with this var number today if you look at the resulting position as of Friday evening's postion report. I'd like someone to be dedicated to the crude and products group full time who can help us with "what if" scenarios throughout the trading day, and who can work with Pavel on the crude desk on the forward forward vol issue. Also, I'd like to isolate first gas holdings since that is taking up approx 2 million in var each day. Jeff To: Jeffrey A Shankman/HOU/ECT@ECT cc: Brent A Price/HOU/ECT@ECT, Sally Beck/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT Subject: Re: Liquids Limits Oct. 20 Risk Ops. had problems loading the ERAC crude options spreadsheet and VaR had to be recalc. twice to confirm the $12.7MM violation. Furthermore, we had to scrub and confirm all positions with risk ops. before limits report can be published. Christian Jeffrey A Shankman@ECT 10/23/2000 03:27 PM To: Christian LeBroc/Corp/Enron@ENRON cc: Brent A Price/HOU/ECT@ECT, Sally Beck/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT Subject: Re: Liquids Limits Oct. 20 Why did I not get this until 12:41? From: Christian LeBroc @ ENRON 10/23/2000 12:41 PM To: Hugo Moreira/LON/ECT@ECT, David J Botchlett/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT, John Chismar/SIN/ECT@ECT, John Buckner Thomas/SIN/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Risk Controls@ECT, Mary Thambiah/LON/ECT@ECT, Oliver Gaylard/LON/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT, Manfred Roenz/Corp/Enron@Enron, Lee Jackson/HOU/ECT@ECT, Homan Amiry/LON/ECT@ECT, Mark Fondren/HOU/ECT@ECT, John Swinney/HOU/ECT@ECT, Jeffrey A Shankman/HOU/ECT@ECT, Cindy Horn/LON/ECT@ECT, Michelle Bruce/HOU/ECT@ECT cc: Subject: Liquids Limits Oct. 20
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