Message-ID: <28955497.1075854406627.JavaMail.evans@thyme> Date: Wed, 27 Sep 2000 08:21:00 -0700 (PDT) From: darron.giron@enron.com To: kevin.radous@enron.com Subject: Basis and Index Roll-Off Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Darron C Giron X-To: Kevin P Radous X-cc: X-bcc: X-Folder: \Darron_Giron_Jun2001\Notes Folders\Sent X-Origin: Giron-D X-FileName: dgiron.nsf ---------------------- Forwarded by Darron C Giron/HOU/ECT on 09/27/2000 03:20 PM --------------------------- Enron North America Corp. From: Jeffrey C Gossett 09/27/2000 07:47 AM To: Jennifer Bagwell/NA/Enron@ENRON, Anne Bike/Corp/Enron@Enron, Chris Walker/HOU/ECT@ECT, Jason Wolfe/NA/Enron@ENRON, Dawn C Kenne/HOU/ECT@ECT, Darron C Giron/HOU/ECT@ECT cc: Subject: Basis and Index Roll-Off ---------------------- Forwarded by Jeffrey C Gossett/HOU/ECT on 09/27/2000 07:45 AM --------------------------- Enron North America Corp. From: Jeffrey C Gossett 09/27/2000 07:44 AM To: David Baumbach/HOU/ECT@ECT, Kyle Etter/HOU/ECT@ECT, William Kelly/HOU/ECT@ECT, Kam Keiser/HOU/ECT@ECT, Dutch Quigley/HOU/ECT@ECT cc: Subject: Basis and Index Roll-Off Again this month, you are going to have to calculate your basis positions (officialize) twice. Once for the TDS download, and once for the Benchmark for V@R. For the TDS calc, all (100% ) basis needs to show up for prompt month. For the V@R calculations we will need to roll 50% of basis off tonight, and 50% tommorrow. I would recommend that you use two different post ID's to do this. That way you can use your 100% calc for your curve shift report and it will reflect any change in prompt month index as curve shift and not a change deal. We will need two calcs until indexes are set. Just to be clear, calc your 100% basis calc first. Officialize. Load your positions into TDS. Unofficialize. Calc your 50% basis calc. Officialize. Run all reports off of the 100% basis calc. Also, we will roll-off 50% of all index positions (Gas Daily and Physical) tonight and roll-in 50% of physical and gas daily index. And the other 50% tommorrow. Let me know if you have any questions. Thanks, Jeff