Subject: BPA removal
From: [email-masked]
To: [email-masked], [email-masked]
Cc: [email-masked], [email-masked]
Date: Mon, 17 Dec 2001 10:27:23 -0800 (PST)

I've simulated the Aggregate power portfolio's VAR with the BPA contract (approx. $51MM) as a stand alone (approx $3MM) and with the BPA position reversed out (approx $49MM).  Only issue seems to be that the VAR related to the position per credit Agg does not "tie" with VAR related to position in Enpower - I'm attributed this to the peak/off peak simulation difference.  Specifically, the credit agg file does not define what was peak or off peak, whereas file from Enpower did, resulting in more accurate measurement of risk.  Bottom line is that BPA removal appears to be risk reducing.

Frank