Subject: RE: New Factor Loadings Have Been Run
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Thu, 18 Oct 2001 15:56:34 -0700 (PDT)

Needless to say, I chose this distribution list carefully, this information is extremely confidential.

 -----Original Message-----
From: 	Wilson, Shona  
Sent:	Wednesday, October 17, 2001 5:37 PM
To:	White, Stacey W.; Gossett, Jeffrey C.; Hall, D. Todd; Glover, Sheila; Sweeney, Kevin; Albrecht, Kristin; Mills, Scott; New, James; Jordan, Mike; Leuschen, Sam
Cc:	Victorio, Tom; Considine, Keith; Abel, Chris; McIntyre, Burton; Trevino, Susan
Subject:	FW: New Factor Loadings Have Been Run

FYI - if you have any problems with these #s, please call your RAC representative.

Thanks

 -----Original Message-----
From: 	Adams, Matthew  
Sent:	Wednesday, October 17, 2001 4:45 PM
To:	Chang, Hang; Chuen, Siu Leung; Copeland, James L.; Dalia, Minal; Davenport, Lacrecia; Figueroa, Xochitl; Fleming, Lloyd; Hagelmann, Bjorn; Hayden, Frank; Khanna, Bharat; McClure, Zakiyyah; McIntyre, Burton; Miller, Shane; Nordstrom, Mary; Paraschos, Nick; Patel, Jitendra - RAC Market Risk; Port, David; Presley, Mike E; Ruane, Mark; Brackett, Debbie R.; Schmidt, Darin; Schultz, Cassandra; Taponen, Minna; Thomas, Mark E.; Trevino, Susan; Valdez, Veronica; Velasco, Jennifer; Vonderheide, Scott; Wilson, Shona; Yuan, Ding; Zipter, Rudi
Subject:	New Factor Loadings Have Been Run

All -

New factor loadings were run today (effective date 16-October-2001).

Attached is the VaR file which demonstrates the effect on VaR utilizing 16-October positions/prices/vols.

You may check the before and after factor loadings using the web link (test website) at:	http://rac.dev.corp.enron.com/rmc/MarketRiskApps.asp
Factor loading definition IDs are 2068 for the current factor and 2108 for the new one.

You may check correlations using RisktRAC's Data Grabber.
Correlation definition IDs are 1780 for the current factor and 1800 for the new one.

Implementation:	David has expressed his desire that analysis and the decision whether to implement factor loadings be completed within 24 hours; in other words by end of day Thursday.  If a decision is made not to implement, analysis should be provided indicating the reason (rather than "need more time").

Contact:		Frank Hayden in Houston at x58341 (or E-Mail him) as I will be out of the office tomorrow and Friday

 << File: Varchange10-16-01.xls >>