IN: This is an email
Vince, I was thinking that max (negative) potential exposure for different counterparties could occur for different scenarios and so combining max potential exposure across counterparties may overstate cash needs. If overall scenario for overall max (negative) potential exposure is considered, then we will pick up some high exposures and some low exposures, which may be fine. Alternately, why not tweak the potential exposure program to do deterministic shifts of one sigma and two sigma and assuming one factor model and perfect correlation across commodities. Then the negative mtm values can be compared to collateral already outstanding. This method does not guarantee that we will get large exposures, but is easy to explain. Another thing to check with Winston is that the program does not automatically zero out negative exposures. If it does, then we may have to flip the sign for all positions, get the exposures, then flip back the sign. Then compare to collateral outstanding. Vasant

What is the subject?

OUT: Cash needs

IN: This is an email
I have a concern about Enron's forward-looking exposure associated with legacy deals (deals that existed during the June 2000 through the May 2001 price shock). If Edison gets its way, all customers will pay for Edison's under-recovery from June 2000 through January 2001 plus CDWR spot market purchases during 2001. This would take the form of a surcharge on future bills. My concern is that Enron will be on the hook for these future charges associated with past under-collections -- even beyond the term of our legacy deals. For example, if a deal ends in March 2002 we could be on the hook for surcharges that a legacy customer would receive on its bill after that date, provided the surcharge pertained to costs incurred by the utility during the time that the legacy customer was ours.

What is the subject?

OUT: Another Version of Negative CTC Risk?

IN: This is an email
ENA received a letter 10/30/01 stating that Man would begin margining on a risk-weighted basis rather than using the NYMEX SPAN calculation. This is prohibited under our futures agreement. Man has not formally called for additional margin (which they have the right to do) but rather is withholding about $25M based upon a misunderstanding between traders about moving option positions (I'm not entirely clear about the circumstances). Man has never claimed that the $25M was "additional margin". ENA faxed a letter this morning to Man demanding the return of margin in excess of the SPAN calculation, basically a response to the letter. ENA acounting does not have the software to execute SPAN calculations. A recommendation to purchase the software was made by Sarah Wesner (who then reported to Joe Deffner) to accounting last year. I understand that John Arnold intends to move most positions (including options) from Man to Paribas. However, this information changes frequently. Joe Deffner signed the letter and a copy was delivered to Louise Kitchen. Let me know if you need further information.

What is the subject?

OUT:
Man Financial: margin calculation