Message-ID: <11093155.1075858753390.JavaMail.evans@thyme>
Date: Fri, 5 Oct 2001 14:44:31 -0700 (PDT)
From: wanda.curry@enron.com
To: sally.beck@enron.com
Subject: FW: Accrual Books
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Sally,

The below e-mail is one of the items I had hoped to talk with you about today, just to make you aware of my request.  Also, I would like to talk to you re Rick's e-mail and identify a representative from your group for the operational risk management committee.  And lastly, I want to share my perspectives re the scope of Project Greenlight.  If you can work me into your calendar sometime on Tuesday or Wednesday, that would be great. 

Thanks,

Wanda

 -----Original Message-----
From: 	Curry, Wanda  
Sent:	Friday, October  5, 2001 3:26 PM
To:	Brackett, Debbie R.; Bradford, William S.; Port, David
Cc:	Schultz, Cassandra
Subject:	FW: Accrual Books


An update, 

As you know, as a result of someone in the coal group officializing accrual books in "error", we discovered third party credit exposures which were not being reported 
because accrual books do not get officialized.  The books COAL-ACCRUAL-BAS AND COAL-ACCRUAL-PRC held transactions with Sempra Energy with MTM values in excess of $88 million dollars ( a physical and financial transaction).  

As a result of this finding, I have asked each of the groups below to provide information re their accrual and affiliate books.  Based on my understanding, accrual books are used primarily for transactions which qualify as hedges, and therefore follow hedge accounting vs. MTM accounting.  There may still be some instances where these books are used because the transaction can not be accounted for via MTM, and it is not considered a hedge.  However, all 3rd party credit exposures in accrual books should be monitored for aggregate credit exposure, margin requirements, etc, but excluded for the credit reserve calculation.  

As I get responses from each of the groups,  I hope to be able to quantify the magnitude of this issue and work with GRMO and Debbie to determine the best way to immediately start monitoring these 3rd party exposures.  

Thanks,
Wanda

 -----Original Message-----
From: 	Curry, Wanda  
Sent:	Thursday, October  4, 2001 4:09 PM
To:	White, Stacey W.; Gossett, Jeffrey C.; Hall, D. Todd; Sweeney, Kevin
Cc:	Hall, Bob M; Price, Brent A.
Subject:	Accrual Books


Can you please let me know the following as it relates to accrual books:

	Number of Books
	Do any of them contain 3rd party transactions?
	Are these transactions physical or financial or both?
	Are these books routinely officialized?
	Can you determine if these books are excluded from the VAR portfolio?
	Are these books included for CreditAg?

I need this information ASAP in order to access whether they contain credit exposures with 3rd parties which is not currently reported to credit on a daily basis. 

I would like to also gain an understanding re any other books that may not be officialized on a daily basis.  How are affiliate books handled?   Do any of these books contain positions with non-wholly owned affiliates.   

Please let me know by return e-mail your estimate of time to complete.

Thanks,
Wanda