Subject: New Graph
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Fri, 22 Sep 2000 10:58:00 -0700 (PDT)

As you know, now that we are nearly done in capturing the DPR numbers in the 
database, we have been working to present the data in compelling ways.  We 
have started to do this by creating the VaR Limit Usage graphs and the 
Sharpe, Rovar, and Risk - Return graphs.  

I am sorry for the misunderstanding with Ted concerning the latter.  I had 
explained what I wanted to produce in an e-mail and during a Risk Forum 
Luncheon.  Therefore, Shona and I did not expect the reaction we got.  I have 
talked to Naveen and Rudi since then, and we have changed the graphs to be 
agreeable to RAC.

Today I worked on the graphs below.  They show the P&L decomposition for the 
month (rolling 20 business days) up to 9/20 (one in dollar terms and the 
other as a percentage of P&L).  I showed them to Shona, and she thought you 
should see them before Naveen, Rudi, and Ted, because these graphs are very 
powerful and are likely to be controversial.  The graphs show that European 
Gas and UK Power released a lot of prudency.  Half of total P&L for European 
Gas is prudency, and UK Power would have had a loss of about $20 million 
(instead of a gain of $27 million) were it not for prudency.   In the case of 
North American Gas, $46 million gain in new deals partly offset about $106 
million in trading losses.  

Please note that these are rough drafts intended to show what we can do.  I 
do not think that there are problems with the data, but I threw these 
together today, and I have not yet double-checked the accuracy of my 
aggregating calculations.

Please launch the attached spreadsheet, and feel free to call or page me with 
questions or concerns.

Thank you,

Eugenio