Canadian VaR

---------------------- Forwarded by Robin Rodrigue/HOU/ECT on 11/18/2000
04:58 PM ---------------------------

Enron North America Corp.

From: Frank Hayden @ ENRON 11/18/2000 04:53 PM

To: John J Lavorato/Corp/Enron@Enron, Robin Rodrigue/HOU/ECT@ECT, Bilal
Bajwa/NA/Enron@Enron
cc: Brian Gillis/CAL/ECT@ECT, Ganapathy Ramesh/HOU/ECT@ECT, Chris
Abel/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT
Subject: Canadian VaR

I spoke with Bilal. It is our understanding that the morning VaR report
regarding Canada represents how we are capturing positions right now. We are
currently decomposing/reconstructing Disturnal's book to capture by region
code (overall positions would remain the same). This would impact Disturnal
positions which will be moved to either McKay or Lambie. From our side we
are waiting on the IT resolution.. We have set a deadline of the last week
in November to get this in motion. On Monday, Bilal will give you a detail
breakout of the deadline for Canada.

Regarding the the Canadian P&L report, I left a message for Gillis to get the
numbers out there.

Additionally, last week we resolved the Canadian derived curve problem
(derived curves were improperly mapped and position was not be captured....)
We re-ran VaR and the e-mail below summarizes the breakout. Overall, desk
VaR decreased because Canadian VaR increased (hedges out portfilio).

Hope this gives you an idea of our progress.
Frank
PS. We will be moving Enovate out of Hunter Shively's VaR and give it is own
place on the bench. This will probably impact the Central Desk VaR by approx.
200K

Bilal Bajwa@ECT
11/17/2000 06:43 PM
To: Frank Hayden/Corp/Enron@Enron, Vladimir Gorny/HOU/ECT@ECT, Susan D
Trevino/HOU/ECT@ECT, Chris Abel/HOU/ECT@ECT, Burton McIntyre/HOU/ECT@ECT,
Ganapathy Ramesh/HOU/ECT@ECT
cc:

Subject: VAR change!

Below is the new var after the derived curve/primary-secondary mapping issue
in RisktRac was resolved.

EFF_DT PORTFOLIO_ID DOWN95 NEW VAR
11/16/2000 CANADA 7,411,853. 10,723,189
11/16/2000 AGG-GASIV 36,777,800. 30,861,483
11/16/2000 AGG-GASIII 36,777,800. -30,861,483
11/16/2000 AGG-GAS 37,015,232. -31,053,419.

EFF_DT PORTFOLIO_ID NEW OLD
11/16/00 LAVORATO-FIN -36,060,600. -36,060,600.
11/16/00 LAVORATO-TEXAS -6,716,337. -6716337.
11/16/00 LAVORATO-CND -10,455,397. -7,411,853.
11/16/00 LAVORATO-CNT -7,823,233. -7,479,112.
11/16/00 LAVORATO-WEST -29,332,789. -29,332,789.
11/16/00 LAVORATO-EAST -14,962,485. -14,962,485

Bilal