Re: Doorstep and Risk Reviews

I don't think that the doorstep reviews are the right venue for this. I
believe that to address what seems to be David's concerns would be better
handled with an appropriate person deemed to lead a special project in a
directed timeframe with a well defined scope. We purposefully utilize
differing personal on the doorstep reviews and it would seem that concerns
over proper valuation should be addresses in a timeframe that is not
dependent on the schedule of doorstep reviews around the world.

From: David Port @ ENRON
01/12/2001 12:49 PM

To: Shona Wilson/NA/Enron@Enron
cc: Cassandra Schultz/NA/Enron@Enron, Bjorn Hagelmann/HOU/ECT@ECT, Rudi
Zipter/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT, Oliver Gaylard/LON/ECT@ECT,
Lloyd Fleming/LON/ECT@ECT, Ted Murphy/LON/ECT@ECT, Sally Beck/HOU/ECT@ECT
Subject: Re: Doorstep and Risk Reviews

Whatever we need to do, we should do.

Shona Wilson
01/12/2001 12:26 PM
To: David Port/Market Risk/Corp/Enron@ENRON
cc: Cassandra Schultz/NA/Enron@Enron, Bjorn Hagelmann/HOU/ECT@ECT, Rudi
Zipter/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT, Oliver Gaylard/LON/ECT@ECT,
Lloyd Fleming/LON/ECT@ECT, Ted Murphy/LON/ECT@ECT, Sally Beck/HOU/ECT@ECT

Subject: Re: Doorstep and Risk Reviews

Doorstep is a joint MRM RAC and Energy Ops review process. If we want to
include a full review of all the mtm methodologies we need to start building
this into the doorsteps by ensuring that the RAC person attending the
doorstep has the relevant experience to perform this review and that the time
scheduled to do the review is adequate.

To: Cassandra Schultz/NA/Enron@Enron, Shona Wilson/NA/Enron@Enron, Bjorn
Hagelmann/HOU/ECT@ECT, Rudi Zipter/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT,
Oliver Gaylard/LON/ECT@ECT, Lloyd Fleming/LON/ECT@ECT
cc: Ted Murphy/LON/ECT@ECT

Subject: Doorstep and Risk Reviews

I am getting a strong sense that there are many holes, patches and
workarounds in the upstream risk systems, relating to their ability to
reflect accurately the valuation, and the risk attached to the products that
get traded.

I would like to use the doorstep process and the risk review process to
establish precisely what those holes are, if we don't already know. Here is
an example:

"All of our systems value options at-the-money, regardless of moneyness."
True or False ?

Can you please include this concept in those exercises. The aim is, at least
by the end of Q1 we can put our hands on a summary of everything.

Thanks
DP