Canada curve issue

Dear Sally,

Here is where we are on researching the Canada issue. In a nutshell, certain curves, which had been there in the past/yesterday, did not show up today. We are still working with Canada to determine why - either an IT problem or Human Error. We will rerun VAR & positions once we get the curves in.

Regards

-----Original Message-----
From: Considine, Keith
Sent: Tuesday, November 27, 2001 1:09 PM
To: Wilson, Shona
Subject: FW:

-----Original Message-----
From: Considine, Keith
Sent: Tuesday, November 27, 2001 10:08 AM
To: Reeves, Kathy; Gillis, Brian
Cc: Basu, Nilay; Victorio, Tom; Hayden, Frank; Jia, Winston; Khanna,
Bharat; Gillis, Brian; Trevino, Susan; Hernandez, Nancy
Subject: FW:

Kathy/Brian

In regards to Franks comment below I have a suspicion that the issue may be related to the following curves that are showing up on Winston's VaR error log. Brian, I've copied you as well since they are gas curves. Below are the error description followed by the actual portfolios that are missing curves. Have these curves been loaded?

DESCRIPTION
These curves are not in the database. (This means atleast for last 15 calender days
these curves are not loaded into database.) For example if we get position for
Curve Code = NGI-SOCAL and risk type code = 'M' and in the database there is no curve
loaded with the combination of Curve Code = 'NGI-SOCAL' and risk type code = 'M',
VaR Engine will give this error. The curves need to be loaded from the source
system. For example GAS curves need to be loaded in ERMS and all other commodities
are loaded into RMS database

ERRORS
CAN-B-GD-XL-GDL [Portfolio_Id: CAN-B-GD-XL-GDL ] Can't Find Original curve : 23-NOV-01,AECO-CND/IM , risk type =M, curve type code = PR and data source = ERMS

CAND-PWR-GD-G1 [Portfolio_Id: CAND-PWR-GD-G1 ] Can't Find Original curve : 23-NOV-01,GD-AECOCD/FRWKD , risk type =M, curve type code = PR and data source = ERMS

CAND-PWR-GD-G1 [Portfolio_Id: CAND-PWR-GD-G1 ] Can't Find Original curve : 23-NOV-01,GD-CGPR-AECO/AV , risk type =M, curve type code = PR and data source = ERMS

CAND-PWR-GD-G1 [Portfolio_Id: CAND-PWR-GD-G1 ] Can't Find Original curve : 23-NOV-01,GD-CGPR-AECO/DA , risk type =M, curve type code = PR and data source = ERMS

-----Original Message-----
From: Victorio, Tom
Sent: Tuesday, November 27, 2001 8:30 AM
To: Considine, Keith
Subject: Fw:

Pls. Check into this

-----Original Message-----
From: Hayden, Frank <Frank.Hayden@ENRON.com<
To: Reeves, Kathy <Kathy.Reeves@ENRON.com<
CC: Gossett, Jeffrey C. <Jeffrey.C.Gossett@ENRON.com<; Davenport, Lacrecia <LaCrecia.Davenport@ENRON.com<; Khanna, Bharat <Bharat.Khanna@ENRON.com<; Victorio, Tom <Tom.Victorio@ENRON.com<
Sent: Tue Nov 27 08:12:11 2001
Subject:

Kathy,
It doesn't look like the Canadian positions didn't hit VAR last night. Can you re-check?
Also, I understand Zufferli bot a ton of NG and I thought he was short? (Why is system showing he is long?)

Frank

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 J_ZUFFERLI NG 8241559.1328
11/26/2001 J_ZUFFERLI NG 8568832.813

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 CANADA-PWR-BU NG 8298324.949
11/26/2001 CANADA-PWR-BU NG 8691997.5495

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 CANADA_PWR_GAS NG 8298324.949
11/26/2001 CANADA_PWR_GAS NG 8691997.5495