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Enron Mail |
---------------------- Forwarded by Sanjay Gupta/HOU/ECT on 12/04/2000 04:03
PM --------------------------- Kathy Reeves 12/04/2000 03:49 PM To: Sanjay Gupta/HOU/ECT@ECT cc: John D Postlethwaite/HOU/ECT@ECT Subject: Canada Currency Issues. Sanjay, In order to calc our book every day our C$ calc must be able to calc any USD deals that are in the book. Currently the book errors out. See postID 7746 deal 473233. The C$ book should take the USD MTM and multiply it by that day's fx curve in order to derive the C$ amount. Also, In order to manage our currency exposures there are certain reports that we are going to need: Daily Change Report: This report needs to be amended so that p&l due to currency curveshift is separately stated. This p&l would be calculated as: Yesterday's USD position x (today's fx rate - yesterday's fx rate) Currency position report: This is a report needs to show by month (by day for the current and prompt month) what our USD and CAD$ position is. Our USD position would be the estimated cashflows for all of our deals denominated is USD. Our C$ position would be the estimated cashflows for all of our deals denominated in C$. We will use the USD position report in order to enter into offsetting currency hedges. We are going to need this as soon as possible. Kathy
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