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Enron Mail |
Oliver correctly pointed out that UK Power's Temporary VaR and NOP ratchet
down by $1.35MM VaR and 8.5 Twh, respectively, on 1/1/01. So instead of the limits in the e-mail message below, UK Power's VaR and NOP are as follows: now - 12/22/00 12/23/00 - 12/31/00 1/1/01 - 1/5/01 1/6/01 UK Power VaR $20.3MM $20.3MM $18.95MM $13.95MM UK Power NOP 68 Twh 68 Twh 59.5 Twh $59.5 Twh Regards, Cassandra. ---------------------- Forwarded by Cassandra Schultz/NA/Enron on 12/19/2000 07:56 PM --------------------------- From: Cassandra Schultz 12/16/2000 10:46 PM To: Naveen Andrews/Corp/Enron@ENRON, Matthew Adams/Corp/Enron@ENRON, Sunil Dalal/Corp/Enron@ENRON, LaCrecia Davenport/Corp/Enron@Enron, Frank Economou/NA/Enron@Enron, Xochitl Figueroa/NA/Enron@Enron, Frank Hayden/Corp/Enron@Enron, Christian LeBroc/Corp/Enron@ENRON, Nick Paraschos/Corp/Enron@ENRON, David Port/Market Risk/Corp/Enron@ENRON, Manfred Roenz/Corp/Enron@Enron, Vladimir Gorny/HOU/ECT@ECT, Rebecca Phillips/HOU/ECT@ECT, John Suttle/HOU/ECT@ECT, Veronica Valdez/HOU/ECT@ECT, Rudi Zipter/HOU/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT, Minal Dalia/HOU/EES@EES, Darin Schmidt/NA/Enron@ENRON, Bharat Khanna/NA/Enron@Enron, Lloyd Fleming/LON/ECT@ECT, Oliver Gaylard/LON/ECT@ECT, Suzanne Bain/LON/ECT@ECT, Jitendra Patel/Market Risk Management/LON/ECT@ECT, Homan Amiry/LON/ECT@ECT, Michael Pitt/EU/Enron@Enron, Sally Beck, Chris Abel/HOU/ECT@ECT, Michael Benien/Corp/Enron@ENRON, Kenneth Thibodeaux/NA/Enron@ENRON, Daniel Falcone/Corp/Enron@ENRON cc: Ted Murphy Subject: Upcoming Discretionary VaR Limit Changes Per discussion with Ted Murphy and Rick Buy, the following policy limit changes are anticipated. Note: these are subject to change given market volatility. EES - $2MM Discretionary VaR expiring on 12/22/00 ------------------------< EXTENDED THROUGH 1/5/01 Aggregate VaR Limit of $140MM - $40MM expiring on 12/22/00 ----------< EXPIRES AFTER 12/22/00 - reduced to permanent Aggregate VaR Limit of $100MM NA Gas - $35MM Discretionary VaR expiring on 12/22/00 ------------------< EXPIRES AFTER 12/22/00 (with reduction in Aggregate VaR Limit to $100MM) UK Power - $5MM Discretionary VaR expiring on 12/22/00 ----------------< EXPIRES AFTER 12/22/00 (with reduction in Aggregate VaR Limit to $100MM) NA Gas - $15MM Discretionary VaR expiring on 12/22/00 -----------------< EXTEND $10MM THROUGH 1/5/01 -----------------< REALLOCATE $5MM to UK Power THROUGH 1/5/01. Therefore, the following VaR limits are/will be in place: now - 12/22/00 12/23/00 - 1/5/01 1/6/01 EES $7MM $7MM $5MM NA Gas $110MM $70MM $60MM UK Power $20.3MM $20.3MM $15.3MM Aggregate VaR Limit $140MM $100MM $83MM Vlady/Frank - Ted told Lavorato the NA Gas information on Friday. Vlady/Minal - nothing to my knowledge has been communicated to EES yet. You can check with Ted to see if he did already. Oliver, please communicate the anticipated limit changes for UK Power to the commercial and risk management/energy ops people who need to know. If an extension is needed in the Discretionary VaR, at this point an analysis and presentation will be required to justify the extension to get Rick Buy and Ted Murphy to approve. Feel free to call me with any questions. I'm out on vacation this week, but can be reached at home or on my cell phone. Happy Holidays, Cassandra. home 936 321 2185 cell 713 858 2618
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