Message-ID: <13634419.1075854379813.JavaMail.evans@thyme>
Date: Wed, 27 Sep 2000 08:21:00 -0700 (PDT)
From: darron.giron@enron.com
To: kevin.radous@enron.com
Subject: Basis and Index Roll-Off
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---------------------- Forwarded by Darron C Giron/HOU/ECT on 09/27/2000 
03:20 PM ---------------------------
   
	Enron North America Corp.
	
	From:  Jeffrey C Gossett                           09/27/2000 07:47 AM
	

To: Jennifer Bagwell/NA/Enron@ENRON, Anne Bike/Corp/Enron@Enron, Chris 
Walker/HOU/ECT@ECT, Jason Wolfe/NA/Enron@ENRON, Dawn C Kenne/HOU/ECT@ECT, 
Darron C Giron/HOU/ECT@ECT
cc:  
Subject: Basis and Index Roll-Off


---------------------- Forwarded by Jeffrey C Gossett/HOU/ECT on 09/27/2000 
07:45 AM ---------------------------
   
	Enron North America Corp.
	
	From:  Jeffrey C Gossett                           09/27/2000 07:44 AM
	

To: David Baumbach/HOU/ECT@ECT, Kyle Etter/HOU/ECT@ECT, William 
Kelly/HOU/ECT@ECT, Kam Keiser/HOU/ECT@ECT, Dutch Quigley/HOU/ECT@ECT
cc:  
Subject: Basis and Index Roll-Off

Again this month, you are going to have to calculate your basis positions 
(officialize) twice.  Once for the TDS download, and once for the Benchmark 
for V@R.  For the TDS calc, all  (100% ) basis needs to show up for prompt 
month.  For the V@R calculations we will need to roll 50% of basis off 
tonight,  and 50% tommorrow.  I would recommend that you use two different 
post ID's to do this.  That way you can use your 100% calc for your curve 
shift report and it will reflect any change in prompt month index as curve 
shift and not a change deal.  We will need two calcs until indexes are set.  
Just to be clear,  calc your 100% basis calc first.  Officialize.  Load your 
positions into TDS. Unofficialize. Calc your 50% basis calc.  Officialize.  
Run all reports off of the 100% basis calc. 

Also,  we will roll-off 50% of all index positions (Gas Daily and Physical) 
tonight and roll-in 50% of physical and gas daily index.  And the other 50% 
tommorrow.  

Let me know if you have any questions.

Thanks,

Jeff