Subject: Change in Correlations for VaR 08/31/00
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked]
Date: Thu, 31 Aug 2000 11:38:00 -0700 (PDT)

Attached is the latest correlation matrix being used in VaR (08/31/00).  As 
expected, correlations between NYMEX and SoCal weaken, moving from 87% to 82% 
, Malin tightened from 94% to 96%, Rockies from 94% to 99%, ElPaso SJ from 
94% to 98%, Permian from 99% to 1, AECO from 96% to 97%.  

The most significant change in correlations came from SoCal.  The old factor 
loading had SoCal/Rockies 95% correlated, today it is in the system as 74%.  
The SoCal/San Juan relationship fell apart moving from 98% to 75%. SoCal/AECO 
from 95% to 76%, SoCal/Permian from 92% to 82%.  Additionally, note that 
IF-HeHub was dropped as a primary curve and Transco Z6 was added as a primary 
curve.
Thanks,
Frank