Message-ID: <18600646.1075857523933.JavaMail.evans@thyme>
Date: Tue, 7 Nov 2000 05:45:00 -0800 (PST)
From: jeffrey.shankman@enron.com
To: christian.lebroc@enron.com
Subject: Re: Liquids Violation Memo: Nov. 6
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I still don't understand.  But we are net short crude, and Crude, company=
=20
wide got longer 1000 contracts yesterday.  This is counter to what you are=
=20
saying below... Jeff


To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT=20
Subject: Re: Liquids Violation Memo: Nov. 6 =20

You are correct, JBLOCK got longer 495K barrels.  However, crude is a huge=
=20
hedge component on this deal and net crude position for Liquids is short.
As you can see on the Component VaR graph, with the short position in crude=
,=20
it is eating up most of Agg-Liquids VaR.  Therefore, putting on any long=20
position in products (this includes LPG's) would act as a hedge. =20





Jeffrey A Shankman@ECT
11/07/2000 12:41 PM
To: Christian LeBroc/Corp/Enron@ENRON
cc: John L Nowlan/HOU/ECT@ECT=20

Subject: Re: Liquids Violation Memo: Nov. 6 =20

how did it reduce var if we added to the underlying positions?


To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT=20
Subject: Re: Liquids Violation Memo: Nov. 6 =20

JBlock does take up some of the VaR for Agg-Liquids; however, it is not a=
=20
contributor of VaR violation for effective date Nov. 6.  As matter of fact,=
=20
the VaR for JBlock went down.  The component VaR graph below shows that=20
heating oil was a hedge but no longer as of yesterday.  Gasoil is still a=
=20
hedge for Agg-Liquids but the hedge is reduced.   =20





Jeffrey A Shankman@ECT
11/07/2000 12:07 PM
To: Christian LeBroc/Corp/Enron@ENRON
cc: John L Nowlan/HOU/ECT@ECT=20

Subject: Re: Liquids Violation Memo: Nov. 6 =20

Where is the mention of J Block hedges.=20


  =20
=09
=09
=09From:  Christian LeBroc @ ENRON                           11/07/2000 12:=
04 PM
=09

To: Chris Abel/HOU/ECT@ECT, Susan D Trevino/HOU/ECT@ECT, Michael=20
Benien/Corp/Enron@ENRON, Homan Amiry/LON/ECT@ECT, Bjorn=20
Hagelmann/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT, Jeffrey A=20
Shankman/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT
cc: John Swinney/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Michelle=20
Bruce/HOU/ECT@ECT=20
Subject: Liquids Violation Memo: Nov. 6

Liquids desk has a VaR violation for effective date Nov. 6 of  $8.2MM, over=
=20
its limit by 3 percent.=20

The violation was due to heating and gasoil going shorter by 939K barrels. =
=20
Essential, shorten the heat/gasoil position reduced the overall net long=20
products=01, portfolio causing the crack spreads to widen when crude oil is=
 net=20
short 5MM barrels.

Furthermore, volatility on crude was up 3 percent with 15 cents upward move=
=20
in price.=20

Christian        =20