Subject: VaR Limit Usage Graphs
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Fri, 25 Aug 2000 08:36:00 -0700 (PDT)

We have created two new graphs that will be published daily along with the 
DPR.

For each business unit or commodity group in the DPR the graphs show the VaR 
compared to its limit.  

When VaR is under the limit (as in the example on the right), it appears 
green, and the unused portion of the limit appears yellow, which together add 
up to the limit amount.  When VaR exceeds the limit (as on the left), the 
limit is represented in red, and the excess is shown as a red box outlined in 
black.  One graph shows usage in dollar terms and the other as a percentage 
of the individual limits.

We should be able to publish this graph to the web report viewer as soon as 
the web masters have completed the set up.  Meanwhile, we will e-mail these 
graphs to you every day after the DPR is finalized.  Today's are attached 
below.  Please launch the Excel file instead of using the Lotus Notes viewer.

Over the past several months we have been putting together a database to 
standardize and capture the information that flows to the DPR (it is very 
much like the database we created for EOL to report numbers).  With it we can 
perform a variety of analyses (correlations between books, back-testing, 
estimating sensitivities to risk factors, P&L decomposition and attribution, 
etc.).  We are nearly finished with its construction, and we hope to provide 
you superior analytics and reports in the future.

Next week we hope to publish two new graphs: for each business unit in the 
DPR one will have 30 day rolling and 5 day rolling ROVARs (average P&L 
divided by average VaR) and the other will have 30 day rolling and 5 day 
rolling curve shift Sharpe ratios (average delta - gamma P&L divided by its 
standard deviation) .

We hope you find these useful.

Regards,

Eugenio Perez
Risk Analytics
Energy Operations