Subject: ET&S Hedged and Open Positions/Financial Exposure Positions
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Mon, 28 Aug 2000 04:55:00 -0700 (PDT)

Interesting.  I remember vaguely that we had some concern with how VAR was 
calculated.  I recall that Dave Neubauer didn't think that we were doing it 
right for TW.  Do you remember this issue?  If so, does this change address 
the same issue?  Also, I'll line up a meeting today or tomorrow on  the TW 
options filing in general, and we can discuss the customer meeting and also 
touch on this internal controls issue.  Thanks  DF
---------------------- Forwarded by Drew Fossum/ET&S/Enron on 08/28/2000 
11:18 AM ---------------------------

Debbie Moseley
08/25/2000 04:05 PM
To: Bob Chandler/ET&S/Enron@ENRON, Paul Cherry/GPGFIN/Enron@ENRON, Bill 
Cordes/ET&S/Enron@ENRON, John Dushinske/ET&S/Enron@ENRON, Dan 
Fancler/ET&S/Enron@ENRON, Jeffery Fawcett/ET&S/Enron@ENRON, Drew 
Fossum/ET&S/Enron@ENRON, Steve Gilbert/ET&S/Enron@ENRON, Steven 
Harris/ET&S/Enron@ENRON, Rod Hayslett/FGT/Enron@ENRON, Carolyn 
Henry/ET&S/Enron@ENRON, Stanley Horton/Corp/Enron@Enron, Mike 
McGowan/ET&S/Enron@ENRON, Mary Kay Miller/ET&S/Enron@ENRON, Heather 
Mueck/AA/Corp/Enron@ENRON, Dave Neubauer/ET&S/Enron@ENRON, Tony 
Pryor/ET&S/Enron@ENRON, Susan Scott/ET&S/Enron@ENRON, Ray 
Stelly/ET&S/Enron@ENRON
cc:  

Subject: ET&S Hedged and Open Positions/Financial Exposure Positions

Please Note:

The Corporate Risk Management Department prepares ET&S's Value at Risk 
calculation.  They recently completed a review of our historical experience 
and correlation on our hedged positions.  Based on this review, we have 
agreed to increase the correlation to .90.  This change has caused the V@R to 
decrease significantly to more appropriately reflect the risk in our 
positions.  We will continue to work with Risk Management to assure that our 
exposures are being appropriately reflected in the V@R calculation.

If there are any question regarding the V@R calculation, please contact Dan 
Fancler or Bob Chandler.