curve mapping issues on deals RESOLVED

Please note that Risk has changed the mapping of WestWing 230KV and WestWing 500KV deals to be valued against WestWing curve now. The "unreal" curve shift you observed on your 10/5/01 P&L has been corrected on your 10/8/01 P&L. Please let us know if you have any questions.

Thanks,
Fran

-----Original Message-----
From: Chang, Fran
Sent: Monday, October 08, 2001 11:41 AM
To: Lee, Norman; Yang, Zhiyun
Cc: Postlethwaite, John; Law, Samantha; Alonso, Tom; Fisher, Mark; Salisbury, Holden; Motley, Matt
Subject: curve mapping issues on deals
Importance: High

Dear Zhiyun and Norman:

Due to legal reasons we are in the process of changing deals with delivery point of WestWing to either WestWing 230KV or WestWing 500KV. However, in PortCalc if the delivery point is changed to WestWing 230KV or WestWing 500KV the deals will be valued against WSCC-S curve, not WestWing curve. Due to this we have observed unfavorable prior day and curve shift; this is not what our traders expected and wanted the deals to be valued. An example is deal#802862.1 in which delivery point was changed from WestWing to WestWing 500KV on 10/5/01 and we suffered a $294K loss due to the deal change. (post id 13377 on 10/5/01 vs. post id 13337 on 10/4/01)

We would like the deals to be still looking at WestWing curve when delivery points are WestWing 230KV or WestWing 500KV. Please change the mapping of the valuation in PortCalc so the traders can get their deal change and "unreal" curve shift back.

Please let me know your timeline on this and if you have any questions.

Thanks,

Fran
503.464.7973