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Enron Mail |
I still don't understand. But we are net short crude, and Crude, company=
=20 wide got longer 1000 contracts yesterday. This is counter to what you are= =20 saying below... Jeff To: Jeffrey A Shankman/HOU/ECT@ECT cc: John L Nowlan/HOU/ECT@ECT=20 Subject: Re: Liquids Violation Memo: Nov. 6 =20 You are correct, JBLOCK got longer 495K barrels. However, crude is a huge= =20 hedge component on this deal and net crude position for Liquids is short. As you can see on the Component VaR graph, with the short position in crude= ,=20 it is eating up most of Agg-Liquids VaR. Therefore, putting on any long=20 position in products (this includes LPG's) would act as a hedge. =20 Jeffrey A Shankman@ECT 11/07/2000 12:41 PM To: Christian LeBroc/Corp/Enron@ENRON cc: John L Nowlan/HOU/ECT@ECT=20 Subject: Re: Liquids Violation Memo: Nov. 6 =20 how did it reduce var if we added to the underlying positions? To: Jeffrey A Shankman/HOU/ECT@ECT cc: John L Nowlan/HOU/ECT@ECT=20 Subject: Re: Liquids Violation Memo: Nov. 6 =20 JBlock does take up some of the VaR for Agg-Liquids; however, it is not a= =20 contributor of VaR violation for effective date Nov. 6. As matter of fact,= =20 the VaR for JBlock went down. The component VaR graph below shows that=20 heating oil was a hedge but no longer as of yesterday. Gasoil is still a= =20 hedge for Agg-Liquids but the hedge is reduced. =20 Jeffrey A Shankman@ECT 11/07/2000 12:07 PM To: Christian LeBroc/Corp/Enron@ENRON cc: John L Nowlan/HOU/ECT@ECT=20 Subject: Re: Liquids Violation Memo: Nov. 6 =20 Where is the mention of J Block hedges.=20 =20 =09 =09 =09From: Christian LeBroc @ ENRON 11/07/2000 12:= 04 PM =09 To: Chris Abel/HOU/ECT@ECT, Susan D Trevino/HOU/ECT@ECT, Michael=20 Benien/Corp/Enron@ENRON, Homan Amiry/LON/ECT@ECT, Bjorn=20 Hagelmann/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT, Jeffrey A=20 Shankman/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT cc: John Swinney/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Michelle=20 Bruce/HOU/ECT@ECT=20 Subject: Liquids Violation Memo: Nov. 6 Liquids desk has a VaR violation for effective date Nov. 6 of $8.2MM, over= =20 its limit by 3 percent.=20 The violation was due to heating and gasoil going shorter by 939K barrels. = =20 Essential, shorten the heat/gasoil position reduced the overall net long=20 products=01, portfolio causing the crack spreads to widen when crude oil is= net=20 short 5MM barrels. Furthermore, volatility on crude was up 3 percent with 15 cents upward move= =20 in price.=20 Christian =20
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