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Enron Mail |
Tanya,
We have checked the RiskTrac system and (1) The spreadoption, and other, mappings in Risktrac are correct. ie, E1S1B has both power(PPP) and gas(NBP) and the deltas/gammas tie out. The LOLP and SMP mappings all tie out. (2) However, the UK power in Risktrac has 25TWH more of Power. This has something to do with the Enpower-Risktrac communication. (3) UK-Gas positions tie out in aggregate (off by a single BcF) For VaR discrepancies, other than positions, the following will contrbute (1) In Risktrac power is mapped to R4 (Cinergy) while in the spreadsheet it is US-NG. (2) Gas-Power and EFA-EFA correlations are different. Matthew is coordinating with Oliver and London IT to resolve the position issues. Naveen Tanya Tamarchenko@ECT 01/03/2001 02:09 PM To: Naveen Andrews/Corp/Enron@ENRON, Matthew Adams/Corp/Enron@ENRON cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Vince J Kaminski/HOU/ECT@ECT Subject: Re: UK portfolios and books setup in RisktRac Naveen and Matthew, I started looking systematically through UK positions and corresponding VAR numbers in the RisckRac. I found a few inconsistencies so far. 1. The portfolio E1SB1-NBP has a book E1SB1 under it. The sum of delta positions for this book is 239,021,655, the sum of gamma positions is -211,031,450. VAR for the portfolio E1SB1-NBP is zero. The same refers to a few other portfolios, for example E1SB2-NBP, E1SB3-NBP, E2XX1-NBP. 2. The portfolio E1SBP1-PPP also has the book E1SB1 under it. This book contains the positions on PPPWD1 through PPPWD6 and PPPWE1 through PPPWE4. The same refers to the other books, for example E1SB2. This looks messy. Can someone in RAC go over all the portfolios, all the corresponding books and curves in RisktRac and make sure they are set up properly? Thank you, Tanya.
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