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Enron Mail |
pls set up an hour on this sometime tomorrow am if possible. thanks df
---------------------- Forwarded by Drew Fossum/ET&S/Enron on 08/28/2000 11:56 AM --------------------------- From: Drew Fossum 08/28/2000 11:55 AM To: Tony Pryor/ET&S/Enron@ENRON cc: Susan Scott/ET&S/Enron@ENRON Subject: ET&S Hedged and Open Positions/Financial Exposure Positions Interesting. I remember vaguely that we had some concern with how VAR was calculated. I recall that Dave Neubauer didn't think that we were doing it right for TW. Do you remember this issue? If so, does this change address the same issue? Also, I'll line up a meeting today or tomorrow on the TW options filing in general, and we can discuss the customer meeting and also touch on this internal controls issue. Thanks DF ---------------------- Forwarded by Drew Fossum/ET&S/Enron on 08/28/2000 11:18 AM --------------------------- Debbie Moseley 08/25/2000 04:05 PM To: Bob Chandler/ET&S/Enron@ENRON, Paul Cherry/GPGFIN/Enron@ENRON, Bill Cordes/ET&S/Enron@ENRON, John Dushinske/ET&S/Enron@ENRON, Dan Fancler/ET&S/Enron@ENRON, Jeffery Fawcett/ET&S/Enron@ENRON, Drew Fossum/ET&S/Enron@ENRON, Steve Gilbert/ET&S/Enron@ENRON, Steven Harris/ET&S/Enron@ENRON, Rod Hayslett/FGT/Enron@ENRON, Carolyn Henry/ET&S/Enron@ENRON, Stanley Horton/Corp/Enron@Enron, Mike McGowan/ET&S/Enron@ENRON, Mary Kay Miller/ET&S/Enron@ENRON, Heather Mueck/AA/Corp/Enron@ENRON, Dave Neubauer/ET&S/Enron@ENRON, Tony Pryor/ET&S/Enron@ENRON, Susan Scott/ET&S/Enron@ENRON, Ray Stelly/ET&S/Enron@ENRON cc: Subject: ET&S Hedged and Open Positions/Financial Exposure Positions Please Note: The Corporate Risk Management Department prepares ET&S's Value at Risk calculation. They recently completed a review of our historical experience and correlation on our hedged positions. Based on this review, we have agreed to increase the correlation to .90. This change has caused the V@R to decrease significantly to more appropriately reflect the risk in our positions. We will continue to work with Risk Management to assure that our exposures are being appropriately reflected in the V@R calculation. If there are any question regarding the V@R calculation, please contact Dan Fancler or Bob Chandler.
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