IN: DDechiaro@nyiso.com writes to the NYISO_TECH_EXCHANGE Discussion List: Michael Mackles, NYISO Credit Manager writes, Reminder Re: October 1, 2001 ICAP Strip Auction In order to participate in the October 1, 2001 Strip Auction to procure ICAP for the six month capability period of November 1, 2001 through April 30, 2002, please be reminded of the following: 1. To ensure that your bid will be considered, collateral consisting of NYISO approved letter of credit, surety bond or corporate guarantee must be received by the NYISO by September 24, 2001. 2. This instrument must have an expiration date no earlier than June 30, 2002. 3. This collateral should be sent to the attention of: Michael Mackles, Credit Manager NYISO, Inc. 290 Washington Avenue Extension Albany, NY 12203

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OUT: NYISO - ICAP Strip Auction Reminder
IN: This is an email
Sam: Please get on my calendar for Friday. We need to update agreements, status, etc. Also, we need to add a "Futures Agreement" designation to Lotus Notes. Please bring your latest printouts for existing agreements and provide a copy for me. Let's take about an hour. Thanks. Sara ps Also, if you have any questions about masters, etc., bring them along!

What is the subject?

OUT: Lotus Notes - Brokerage Agreements
QUESTION: Lindy, Just wanted to let you know that we have started working on the TW contract and capacity release system. I believe there will be a kick-off meeting sometime next week which you will be invited to attend. We are due to implement on January 14th which gives us very little time to get everything we need to get accomplished so I will be calling and asking you alot of questions in the next month or two. I'd like to try and get together with you soon on two items, inside/outside the path and flow direction. I will be out on vacation next week. If you have time on Friday that would be great, otherwise could we talk by phone next week? Please let me know. Thanks Linda
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ANS: New TW Contract System
There is a P&L Summary for east desk in the Netco directory located at O:/ERMS/erms_adm/Netco/2002/0102/Regions0102/_Converted/East P&L Summ. Please take a look at it and tell me what you think. To simplify and speed up the reporting process, I added buttons that will link to the P&L's. The format may or may not resemble formats used on other desks, but I do believe the data shown is comprehensive. Errol - This may not fit your needs on the financial desk. You may need to design your own. If so, let me know if I can help. Thanks.
Q: What is a potential subject line for this email?
answer: P&L summ
Q: 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
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A:
Pug's Fax