Subject: Curve Shift
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Thu, 13 Dec 2001 10:01:30 -0800 (PST)

I've been working to resolve issues between PNL and curve shift history.  Here is the status.

?	The value-at-risk engine pulls curve shift from the source databases.  Specifically for power, using the DPR application (ad hoc table), curve shift for Jan 10th comes in at $246K, not the $415MM.  Because data isn't stored longer than one week, efforts are centered on restoring required info.
?	IT is "scrubbing" code and source tables to ensure proper curve shift is being used.
o	Coordination between both gas (ERMS) and power (Enpower) teams are critical.  $415MM curve shift day appears to be composed of both gas and power. (Although we are focused on Jan 9, 10th, issue is relevant throughout calendar year term)
?	As of this moment, the current curve shift data validates the VAR engine, yet appears to a have couple of incorrect days.  These incorrect days do not severely impacting VAR backtesting, however they represent a vastly different pnl.

The end game goal is to have curve shift correctly represented in the value-at-risk backtest data.