Subject: Component V@R Calculations for Skilling - 10:00 am London  Requirement


As you know, exceeding this limit would require contacting the Enron Board of  Directors.
Jeff Skilling is keenly interested in this measurement.
In  conversations with Ted Murphy today, Jeff has asked that he receive a daily  report from Ted on component V@R.  Ted called me about 3:00 pm today (Houston  time) to let me know about this requirement.
Obviously, we want to meet  Skilling's request with information that is as timely, accurate and  complete  as possible.
Therefore, we were concerned about feeds from London that over  the past several weeks have caused one London commodity or another to be  excluded from the first run of component V@R.  (Mike:  I assume that you are  very familiar with these feed problems from your representative that you send  to the daily 8:30 meeting.)
I pulled Steve Stock out of a pre-PRC meeting to meet with Ted, Shona, Ramesh  and me at 4:00 today.
Realizing that the time was very late in London, we  tried to reach you both at home numbers and by cell phone to include you in  the meeting.
Since we could not do so, we continued without you given that  Skilling will want to see this report daily starting tomorrow.
Here is the key fact to know:  It takes 3 hours to run the component V@R  calculations, once all inputs have been received and processed.
The  Component V@R calculations are kicked off at 6:30 am Houston time, producing  an approximate completion time of 9:30 am Houston time.
With this  timeframe, our goal would be to have the component V@R report to Jeff by  approximately 10:00 am Houston time.
Given current calculation times, in order to consistently calc component V@R  including all London feeds, London books (UK power, UK gas and Nordic power)  will have to be completed, calculated and officialized by 4:00 am Houston  time (10:00 am London time).
If this time frame is not met, then component  V@R reports for Jeff will be incomplete.
We had hoped to discuss this with  you today so that you could work with your operations staff, systems support  and traders to insure that you could consistently meet a 10:00 am London  requirement for officialized books.
The other immediate action to take is to ask Mike to work with David Hardy on  what we understand to be an almost-completed task of including UK spread  options in V@R calculations using the V@R engine.
Those V@R calculations  that are done through Excel calculations are not captured and included in the  component V@R calculations.
While there are other commodities that will  currently be excluded from component V@R reports, they are deemed to be less  material than the UK spread options.
Ramesh felt that it is only a matter of  days before this is completed.
Mike, we would like for you to stay on top of  this from an operations perspective to insure that this happens.
I should note that the firm 10:00 am deadline for officializing books in the  UK will only result in producing a report for Jeff by 10:00 am Houston time.
We don't know what Jeff's expectation will be regarding timing.
It is  probably safe to say that we should be actively looking at process and  systems changes that could result in the ability to deliver such a report  earlier in the morning.
Mike, I will call you during my morning commute on Thursday to see whether or  not you have any questions or if there are concerns about consistently  meeting the 10:00 am deadline in London.