Subject: Re: UK portfolios and books setup in RisktRac
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Wed, 10 Jan 2001 03:15:00 -0800 (PST)

Tanya,
          We have checked the RiskTrac system and
(1) The spreadoption, and other,  mappings in Risktrac are correct.  ie, 
E1S1B has both power(PPP) and gas(NBP) and the deltas/gammas tie out.  The 
LOLP and SMP mappings all tie out.
(2) However, the UK power in Risktrac has 25TWH more of Power.  This has 
something to do with the Enpower-Risktrac communication.
(3) UK-Gas positions tie out in aggregate (off by a single BcF)

For VaR discrepancies, other than positions, the following will contrbute
(1) In Risktrac power is mapped to R4 (Cinergy) while in the spreadsheet it 
is US-NG.
(2) Gas-Power and EFA-EFA correlations are different.

Matthew is coordinating with Oliver and London IT to resolve the position 
issues.

Naveen 

Tanya Tamarchenko@ECT
01/03/2001 02:09 PM
To: Naveen Andrews/Corp/Enron@ENRON, Matthew Adams/Corp/Enron@ENRON
cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Vince J 
Kaminski/HOU/ECT@ECT 

Subject: Re: UK portfolios and books setup in RisktRac  

Naveen and Matthew,
I started looking systematically through UK positions and corresponding VAR 
numbers in the RisckRac.
I found a few inconsistencies so far.

1. The portfolio E1SB1-NBP has a book E1SB1 under it.  The sum of delta 
positions for this book is 
239,021,655, the sum of gamma positions is -211,031,450. VAR for the 
portfolio E1SB1-NBP is zero.

The same refers to a few other portfolios, for example E1SB2-NBP, E1SB3-NBP, 
E2XX1-NBP.

2. The portfolio E1SBP1-PPP also has the book E1SB1 under it. This book 
contains the positions on PPPWD1
through PPPWD6 and PPPWE1 through PPPWE4. 

The same refers to the other books, for example E1SB2.

This looks messy.  Can someone in RAC go over all the portfolios, all the 
corresponding books and curves
in RisktRac and make sure they are set up properly?

Thank you,

Tanya.