Carol: Here's another paper & pulp master with a relatively new deal person (Steve Klein). The file has sat for ages and it looks like outside counsel has some time (he's a good guy). Please let me know. Also, I spoke with Mark and I'd like to sit down with you to do some brainstorming/planning, e.g., a group offsite, in-house training, form changes. Today is not a good day but tomorrow is fine. How about 2 pm?
Answer: Enron/Corrugated Services
I had an idea for a project which might eventually do away with the need to have 15 people in a room at 8.30 every day to talk about, amongst other things, data feed timings, content etc. and I would love your input. Don't know if you have seen the application they use in the Gas Control Center for monitoring flows etc but it occurred to me that we might like to build something similar that showed all the upstream systems, processes etc, and data feeds to the risk aggregation tools, summary DPR, which would serve as a diagnostic tool for us to assess our risk process every day. As you know we have been using 3 dimensional real estate to depict market and credit risk like this and I am experimenting with this concept from a process flow angle, because when looking at this stuff it would be nice to get a feel for the "freshness" of the data and the status of the various tasks in the chain. Views ? DP
Answer: Those 8.30 meetings....
Per our conversation of date, attached is ECT's most recent version of the ISDA Schedule and Credit Support Annex designed for use with Argentine counterparties. As we discussed, I would like for you to review this format and determine whether changes are required as a result of legal developments in Argentina. Please call me when you have had an opportunity to review the document. We have had sent out several recent drafts using the attached format. Also, any written materials which might prove useful are always greatly appreciated. Thanks. Sara P.S. I will try to schedule some time when I am in the B.A. office.
Answer: ISDA Schedule for Argentina
Here are my thoughts on some of Pug's comments (Karen has faxed the memo from Pug I believe): 1 Roles of Audit and Finance Committees I agree with the distinction he draws and I don't see why the entire Board should not see risk/return information. We can tweak the policy to bring this to the fore. 2 Post-Audit I'll talk to Gorte 3 Capital Allocation Complex. Charges for risk capital would not be as difficult as allocating funding. Building balance sheets is key. 4 Trading Limits In my last tome I have effectively limited the use of D-VaR to the levels specified by the concentration buckets, so I think we have satisfied that concern. With position limits I would argue that ones needs them where VaR does not "callibrate" well, for example with Steel trading where there is no observable options market, you need more metrics to tell you about the risk. Conversely in US Gas I think the market is fairly deep and the VaR tells us much about the risk. Also, in a similar fashion to "model approval" under Basle Capital Adequacy rules, the quality of the risk administration process and other controls could make us more comfortable about just using VaR. 5 Reporting Policy Section 4.1.2.3.1 talks about violations and notifications. He is asking should he not be called for a five day loss (c) and an ETL excess (d), in addition to the usual corporate VaR breach and one day loss > VaR. I think the five day loss actually would warrant a Pug call because under the new method (5 day loss > 225% of VaR), the number could be very large (but also less likely). For ETL I would advise against having a Pug call on this since we still need to get the metric bedded down properly (and all the usual arguments about the math played out). The phrase "at their discretion" to which he refers means that the Risk Committee can tell who they like about violations, as they deem necessary - so its just built-in flexibility. 6 Liquidity We are cranking this right now. Other news Gas off approximately 15c across the strip today - Friday was quiet. George has made $9m over the last 5 days as crude has come off 50 - 60c ENE is $36 (horrible) DP
Answer:
Pug's Fax