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Enron Mail |
I wasn't wanting to bother you with this as I was handling w/Jordan and co.,
but given our later issue re: the UK positions and Skilling's request for component VaR for Agg Enron (Ted's call to you just know), I'm forwarding after all. Cassandra. ---------------------- Forwarded by Cassandra Schultz/NA/Enron on 12/06/2000 03:04 PM --------------------------- From: Cassandra Schultz 12/06/2000 01:55 PM To: Michael Kass/EU/Enron@Enron, Chris Abel/HOU/ECT@ECT, James New/LON/ECT@ECT cc: Oliver Gaylard/LON/ECT@ECT, David Port/Market Risk/Corp/Enron@ENRON, Mike Jordan/LON/ECT@ECT, Shona Wilson/NA/Enron@Enron Subject: Loss Notification - "Structured Derivatives" Per discussion with Ted Murphy, P/L related to the Eastern spread options should be included in our Loss Notification monitoring in accordance with the Risk Management Policy. However, my understanding is that the positions and VaR are captured in European Gas and UK Power, but the P/L is reported separately in "Structured Derivatives". This reporting is perhaps further complicated by related prudencey being released in the line item European Gas. The 12/5 DPR reflects a ($43MM) loss in Structured Derivatives, and Oliver indicated this represents the market moving against our Eastern spread option position. This is a Ken Lay level notification by any measurement standards, regardless of whether you compare it to the $7,500 VAR limit for Gas, or the $15,300 VaR limit for UK Power. Or even split it between them. Chris, please include this loss in today's notification letters to Ken Lay and Jeff Skilling for the 5th. Per Oliver, the loss was due to power price curve shift and gas volatility curve shift against the Eastern spread options. Going forward, James, perhaps you could work with Oliver and the commercial team to determine a reasonable methodology to support the allocation of P/L and related DPR reporting for these positions so we can continue to evaluate in compliance with the policy. Thank you, Cassandra.
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