Subject: Re: Primary curves missing from Factor Loading
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Thu, 21 Sep 2000 06:30:00 -0700 (PDT)

Tanya,

We are very close to generating factors for all primary curves.  Jin almost 
get it done.

But we are still waiting on the expiration dates for those London curves.  If 
anyone can help, please help.

Also, we have some curves that don't have Futures.  How to decide these 
curves's expiration dates?

Matthew Adams helped us deciding many curves expiration rules.  But there are 
still many primary curves that don't have expiration dates.

If no expiration dates, then there will be no factor loadings.  Whoever wants 
to generate factor loadings then give us the expiration dates first! :)

Winston

Tanya Tamarchenko
09/21/2000 09:00 AM
To: Bjorn Hagelmann/HOU/ECT@ECT, Wenyao Jia/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT, Rodrigo 
Lamas/LON/ECT@ECT, Xochitl Figueroa/NA/Enron@Enron, Manfred 
Roenz/Corp/Enron@Enron, Christian LeBroc/Corp/Enron@ENRON, Bjorn 
Hagelmann/HOU/ECT@ECT, Homan Amiry/LON/ECT@ECT, Naveen 
Andrews/Corp/Enron@ENRON 
Subject: Re: Primary curves missing from Factor Loading  

Bjorn,
you are absolutely right that we should run the factors for every primary 
curve.
IT has been working  for a while on this.
The problem is data, as always (missing price curves, zero prices, not 
changing prices, etc.)
Most of these problems come from London curves, so Winston and Jin Yu are 
debugging the code,
fixing the problems for every curve.

Winston,
do you think we are ready to calculate factors for US curves? (while continue 
working on the rest).

Tanya

   

From:  Bjorn Hagelmann                                                        
     09/20/2000 10:06 PM	

	                           

To: Tanya Tamarchenko/HOU/ECT@ECT, Naveen Andrews/Corp/Enron@ENRON
cc: Vince J Kaminski/HOU/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT, Rodrigo 
Lamas/LON/ECT@ECT, Xochitl Figueroa/NA/Enron, Manfred Roenz/Corp/Enron, 
Christian LeBroc/Corp/Enron, Bjorn Hagelmann/HOU/ECT@ECT, Homan 
Amiry/LON/ECT@ECT 
Subject: Re: Primary curves missing from Factor Loading

Tanya, Naveen:

I am confused, I thought that when we identified primary curves they would 
then have factors run against them. Does this not distort what we are trying 
to do with the primary and VAR?

Regards

Bjorn H.
---------------------- Forwarded by Bjorn Hagelmann/HOU/ECT on 20/09/2000 
21:57 ---------------------------

Xochitl Figueroa@ENRON
20/09/2000 18:16
To: Manfred Roenz/Corp/Enron@Enron, Christian LeBroc/Corp/Enron@ENRON, Homan 
Amiry/LON/ECT@ECT
cc: Bjorn Hagelmann/HOU/ECT@ECT 
Subject: Re: Primary curves missing from Factor Loading  

I am in the same situation as Manfred.  I have one primary curve for Southern 
Cone Gas and one for Southern Cone Power and I am not getting factors for 
either.   For my power curves I am getting WTI factors and for Gas I am 
getting NG factors.  

But I do agree with you Manfred, I think all the primary curves should have 
their own factor loadings.  
Xochitl

Manfred Roenz
09/20/2000 05:33 PM
To: Christian LeBroc/Corp/Enron@ENRON, Xochitl Figueroa/NA/Enron@Enron, Homan 
Amiry/LON/ECT@ECT
cc: Bjorn Hagelmann/HOU/ECT@ECT 

Subject: Re: Primary curves missing from Factor Loading  

Christian,
at least you have 2 curves that you get factors for.  I get none.  I have 
four primary curves for coal but factors from NBSK are used.  In emissions I 
have one primary curve but WTI factors are used.  I think all the primary 
curves should have their own factor loadings.  Xochitl, what factors are used 
for your primary curves?
Manfred

   

	From:  Christian LeBroc                           09/20/2000 11:28 AM

To: Homan Amiry/LON/ECT@ECT, Manfred Roenz/Corp/Enron@Enron, Xochitl 
Figueroa/NA/Enron@Enron
cc: Bjorn Hagelmann/HOU/ECT@ECT 

Subject: Primary curves missing from Factor Loading

I was in the process of setting up Sunil's template for calculating 
co-variance on all Liquids primary curves using the "factor loading" data.  
Unfortunately, I did not get very far, because I noticed that the factor 
loading table contains only 2 (WTI & HU) out of 13 liquids primary curves.  I 
am concern that Liquids VaR could conceivably be over or understated due to 
the absence of 11 other curves which are listed below.  Please verify your 
perspective commodity desk on this issue.

61NY
BRENT
C2GC
C3GC
C5XT
CONDENSATE
DUBAICRUDE
IC4
MTBE
NC4
NXHO    

Christian