Message-ID: <998971.1075856949655.JavaMail.evans@thyme>
Date: Thu, 30 Dec 1999 08:33:00 -0800 (PST)
From: vince.kaminski@enron.com
To: vkaminski@aol.com
Subject: Re: Model Development Review
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X-From: Vince J Kaminski
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---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/30/99 
04:33 PM ---------------------------


Vince J Kaminski
09/21/99 12:46 PM
To: Derek Claybrook/AA/Corp/Enron@ENRON
cc: Patty Grutzmacher/AA/Corp/Enron@Enron, Vince J Kaminski/HOU/ECT@ECT, 
Stinson Gibner/HOU/ECT@ECT, Andrew Schuleman/AA/Corp/Enron@Enron, Ted 
Murphy/HOU/ECT@ECT 
Subject: Re: Model Development Review  

Derek,

I am sending you the information you requested in your message.

Please, keep in mind that:

1. Even if we develop the model, in most cases we don't control it  and have 
no
    oversight over its uses. A spreadsheet or generic tools we develop can be 
easily
    used and/or  modified by the end user, without our knowledge
    and involvement.  

2. We typically act as internal consultants and solve narrow, highly complex 
problems that require 
    special skills. We  may not provide solutions to the entire problem,  
though our involvement may
    be interpreted later as our unconditional endorsement of the proposed 
solution.


Vince Kaminski







Derek Claybrook@ENRON
09/01/99 05:28 PM
To: Stinson Gibner/HOU/ECT@ECT
cc: Patty Grutzmacher/AA/Corp/Enron@Enron, Andrew 
Schuleman/AA/Corp/Enron@Enron, Vince J Kaminski/HOU/ECT@ECT 
Subject: Model Development Review

Over the past few weeks, we have spent time talking to you as well as others 
involved in model development.  As we have completed the first phase of our 
project, we are know moving into the second phase which is testing.  As part 
of this phase, we need your help in identifying Research Group's involvement 
in specific models.  We would appreciate if you could please respond back to 
us with your involvement in developing/reviewing these models based on the 
criteria set forth below.  

Based on our review of Schedule B, we have determined the following Exotic 
Options were valued by models that are not included in the Research Group 
Library.

Commodity  Book   Description (per Schedule B)

Gas   NG Price  FPL - PV Effect
Gas   NG Price  FPL - PV Effect
Gas   NG Price  FPL - PV Effect
Gas   West   West Basis Options 2 Model
Gas   Central   Basis Options

Power   Power-East  LCRA - Spread Option
Power   Power-West  Swaption - Welded Tube

Liquids   Refined Products Heating Oil Exotic Options - Valued in Lotus 
(ASPREAD)

NOX   NOX   Exotic Option
Interest Rate  Interest Rate  Interest Rate

In addition, we would appreciate if you could describe Research Group's 
involvement on the models listed below.

Aruba
Oglethorpe
NPI (JEDI)
Peakers
Bug
Snake River
Structured Credit (Fair Value)


Developing/Reviewing Criteria:
 Low - discussed modeling issues over the phone and/or answered one or two 
general questions

 Medium - answered several questions and were consulted on coding issues

 High - discussed the model in detail, provided assistance with coding and 
may have developed a portion of the   model

 Total Review - completely reviewed the model

 Complete Development - Research Group developed the entire model

Once we have an understanding of Research Group's involvement, we will 
perform more detailed testing procedures. 
Thanks for your cooperation in this matter, and if you have any questions, 
please give myself (x3-6496) or Andy (x3-3348) a call.