Subject: UK Submission of Positions
From: [email-masked]
To: [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Tue, 19 Dec 2000 08:02:00 -0800 (PST)

Just to follow up on James's note of yesterday - my apologies for being out

The elimination of the requirement to 'grab' the FX and IR market environment 
from Houston ( and consequently use European data ) can improve our ability 
to kick the overnight batch processing off earlier in the evening. James and 
I will be working with Brian Hudson to determine the timetable for effecting 
this change

The revised batch start time would improve the opportunity to detect any 
system failure and complete a rerun of the valuation process so as to deliver 
completed results by the time the Risk Management team arrive at their desks 
in the morning. System failures are the most significant problem we face in 
delivering timely information to Houston. Consequently the probability of 
meeting current reporting deadlines would be greatly improved given that we 
will have full IT overnight support covering for any IT failure and curve 
input validation processes on trade date.

Indeed given the successful completion of all overnight runs we are able to 
deliver

Officialisation of all valuation systems and most spreadsheets ( David Hardy 
is in final testing of the Eastern spreadsheet feed ) by the 10 AM deadline ( 
Houston 4 AM )
Flash p&l by the 1PM deadline ( Houston 7AM )
Completion of the final DPR to be submitted to Houston by the 5 PM deadline ( 
Houston 11AM )

James and I are currently finalising a document reviewing all possible 
changes to business processes that could improve these times. This is in 
addition to working with Commercial and IT to assess the possibility of 
delivering significantly faster revaluation systems that could assist in 
delivering a trade date control process.

I can confirm that there is significant work to do in this area, however, we 
are dedicated to meeting the objectives of improved/more real time control. 
Please feel free to call if the above requires any additional commentary.

Regards

Mike

---------------------- Forwarded by Mike Jordan/LON/ECT on 19/12/2000 15:06 
---------------------------

James New
18/12/2000 09:10
To: Rick Buy/HOU/ECT@ECT
cc: John Sherriff/LON/ECT@ECT, Michael R Brown/LON/ECT@ECT, Fernley 
Dyson/LON/ECT@ECT, Mike Jordan/LON/ECT@ECT, Ted Murphy/HOU/ECT@ECT, Gary 
Hickerson/HOU/ECT@ECT 

Subject: UK Submission of Positions

Rick,

Thanks you for your note below. We are today implementing a flash P&L 
process. We aim to report daily numbers at 7am Houston time and will start 
today with the P&L. We will build on this and hope to have draft positions 
and VAR for most books within a week or so. There will be a reconciliation of 
flash to final numbers which will be included in our return to Houston. 
 
I will put together a note on the London DPR production process which goes 
into the process we currently have, the process we actually need to have, and 
the obstacles that are in the way. I would expect this to be finalised 
tomorrow. Obtaining the USD interest rate curve on a more timely basis is 
just one of our problems but it is unfortunately by no means our only or most 
serious problem.

James

   

From:  Rick Buy                                                             
15/12/2000 21:59	

	                           

To: John Sherriff/LON/ECT@ECT, Michael R Brown/LON/ECT@ECT, Mike 
Jordan/LON/ECT@ECT
cc: Gary Hickerson/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT 

Subject: UK Submission of Positions

Need your help on the following: Each day we are delayed in finalising var, 
p&L and positions because the UK must wait for a USD  interest rate curves 
before submitting their data to Houston. I am also told that it is really not 
necessary to wait for this curve and the data could be submitted close of 
business London. Even if there was some minor inaccuracy from this method it 
would be better than what we have now. This would greatly improve the 
efficiency (by 4 to 6 hours) in reporting to senior management. Can you guys 
initiate this change or get me to the right person there. Thanks, Rick