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Enron Mail |
Attached is the latest correlation matrix being used in VaR (08/31/00). As
expected, correlations between NYMEX and SoCal weaken, moving from 87% to 82% , Malin tightened from 94% to 96%, Rockies from 94% to 99%, ElPaso SJ from 94% to 98%, Permian from 99% to 1, AECO from 96% to 97%. The most significant change in correlations came from SoCal. The old factor loading had SoCal/Rockies 95% correlated, today it is in the system as 74%. The SoCal/San Juan relationship fell apart moving from 98% to 75%. SoCal/AECO from 95% to 76%, SoCal/Permian from 92% to 82%. Additionally, note that IF-HeHub was dropped as a primary curve and Transco Z6 was added as a primary curve. Thanks, Frank
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