Spreadsheet: sally_beck__35259__Caminus vs Enron Risk System
Sheet: Transaction Mgmt

 | Risk Management System Requirements
 |  | Caminus | Enron Risk System
 |  | Zai*Net Manager | RAC - Risk Manager
 |  |  | Enpower- Deal capture
 |  |  | DECAF - Deal Confirmation
 |  |  | PORTCALC/TAGG/ERMS - Price curves and calc
 |  |  | UNIFY- Billings
 |  |  | Global Counterparty- Trading Partner & Credit
 |  |  | Desktop Models - Settlement
A | DEAL ENTRY | x | Enpower - intended for power market
 | Deal Capture support for either Power, Gas, Crude/Products, NGLs, So2/No2 Allowances, Coal, Degree Days (Weather), or FX.  Instruments captured include Physicals, OTC Options and Swaps. |  | Possible enhancements to add more gas related transactions
1 | Cash Adjustments Input Screen | x | Unify System - for billing
 | Captures Broker Equity Adjustments, Margin Payments, Invoice A/R and A/P information.  Cash Entry/Sub Ledger Screen.
B | REPORTS
 | Integrated Report Writer that allows changes to existing reports or ad-hoc creation of custom reports to fit specific needs.  Includes standard suite of Zai*Net reports.  Outputs to printer, screen, file, temporary table or cubes and includes drill-down and graphing capability. | x | Possible system modifications to any of the 7 separate systems.
2 | [NAME] | x | Possible modifications
 | Stacks reports/statements for automated runs to screen, printer or temporary table.
3 | Statement/Confirmation Design | x | modifications to UNIFY and DECAF
 | Creates customized confirmations or invoices.  Allows for header/footer word processing and mail merge capability within ZAI*NET and with Microsoft Word.
4 | Standard ZAI*NET Reports | x
 | Standard suite of ZAI*NET reports for deal listing, position, P&L, invoice templates, confirmation templates, scheduling, credit, Value-At-Risk, etc. |  | Requires system modifications to any of the 7 separate systems.
C | REAL TIME VIEWS
 | Customizable screens that update Position and [NAME]-to-Market numbers as deals are entered or prices change in the system.  Provides intraday overview of portfolio - useful for traders and managers. | x | Modifications to RAC, EnPower
1 | Position View
 | Real Time View of portfolio - updates as deals or prices change in system.  Sorted by counterparty, book or trader. | x | Enpower
2 | Current Credit Exposure View
 | Real time tracking of credit line availability as deals are entered into the system or prices update.  Includes real-time updates of A/R and A/P in credit line calculations and warnings when lines are being violated. | x | [NAME] - possible modifications to segregate regulated and non-regulated activity
D | PRICE CAPTURE
 | Forward curve, volatility, correlation, etc. data capture.  Essential to correctly mark trades to market and provide accurate invoicing. | x | Portcalc/TAGG/ERMS
1 | Price Capture Screen | x | "
 | Capture and display of all non-hourly price curves, including forward and actualized prices and listed option prices.
2 | Price Formulae Screen | x | "
 | [NAME] setup screen to enable user-defined complex pricing using curves captured in the system.
3 | Volatilities/Correlations Input Screen | x | "
 | Enables capture of volatilities and correlations essential for pricing options and calculating Value-At-Risk. Includes Volatility smile capture.
4 | Volatility Skew Screen | x | "
 | Enables user defined formula setup to describe volatility "skewness".
5 | Support for Real Time Price Feed | x | "
 | Accepts prices in real-time from ticker feeds such as Reuters SSL Triarch, [NAME], etc.
E | RISK MANAGEMENT
 | Middle Office/Trader tools to evaluate "risk" by portfolio, counterparty, organization or commodity. | x | Possible modifications to several systems
1 | What-If Risk Analysis (Stress) Reporting | x | Possible modifications to several systems
 | Portfolio evaluation tool shows "risk" in P&L and other theoretical values given user-specified underlying curve, volatility, interest rate or time shifts.
 |  | x | RAC
2 | Value-at-Risk Analysis (Riskmetrics)
 | Variance-Covariance (cross-correlation) RiskMetrics calculator provides a "Value-at-Risk" number across an organization based on user-specified confidence levels and time intervals. | x | RAC
3 | Current Exposure Credit Reporting | x | Global Counterparty
 | Calculates credit line available via reports as deals are entered into the system or prices update.  Includes real-time updates of A/R and A/P in current credit exposure calculations and a flexible formula for calculating current credit exposure. |  | Possible modifications to segregate regulated & non-regulated activity
4 | Real Time Credit Alerts (Current Exposure Calculation) | x | Global Counterparty
 | Real time tracking of credit line availability as deals are entered into the system or prices update.  Supports real-time updates of A/R and A/P in credit line calculations and warnings when lines are being violated. |  | Possible modifications to segregate regulated & non-regulated activity
5 | Book Security | x
 | Prevents different groups inside an organization from viewing each other's trade information.  For example, separates regulated from deregulated groups or GenCo from TransCo. |  | Required testing and possible modifications to enhance security - Required 3rd party certification to avoid Market Affiliate issues
6 | Basis Breakdown Reporting | x | RAC,
 | Decomposes risk into fixed-price, basis, index books (buckets) enabling accurate management of risk and exposure.
7 | P&L Attribution Reporting | x | RAC
 | Analyzes P&L change and attributes it to price curve shifts, volatility shifts, time decay, new deals, edits/voids or adjustments.