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Hi I've attached a couple of files summarizing our progress and current status on modeling the bid-ask spread.
The first summarizes characterization of the EOL Crude data and the second describes a bid-ask spread model based on options theory developed by Zimin (The figure from the paper is included separately).
I am now setting up an Excel spreadsheet to test this model with the EOL data.
Let me know when you would like to meet to review this.
Thanks, Bob Lee
| EOL Pricing Algorithm Update |
Andy: It was a pleasure speaking with you earlier this morning.
Like I said, I just wanted to introduce myself and see who you might know that would have an interest in ice fishing.
Please feel free to contact me personally or you may also pass my information along to anyone that may have an interest.
My client holds a strong position in the Northeast.
They are looking to fill a Senior Gas Trading position.
They are fairly new to the gas world and seeks a professional with a solid understanding of the technical side of natural gas trading.
Somebody that is not afraid of taking "responsible" risks.
Further information includes: 35,000 megawatts of generation, VAR limit of 25 million The role in general would consist of approximately 35% Strategic Gas Hedging in the Northeast with the remaining balance Spec Trading.
This is a Senior Level position so my client is looking for experience as head of a desk.
If you have any questions or would like to talk further, please feel free to contact me via phone or email.
Thanks,
| Previous conversation.... |
Andy: Would you please look into this structure.
The intention is to price the structure at the money.
The time when they started - the basis diff was 25 cents.
I propose to price it as shown below and one at NGI SoCal border minus IFERC San Juan minus market price.
I have included the LAX (Los Angeles Airport) weather data summary for your info.
Please call me if you need additional information.
Thanks,
| Dual Structure |
Remember, the General Meeting will be this Saturday at the Doubletree Hotel in San Antonio, 37 Northeast Loop 410 (at McCullough) about 2 miles southwest of SAT.
Continental breakfast will be available 9:00 am, the meeting will start at 10:00 am and last until approximately 1:00 pm.
There will be door prize drawings as well as 2 raffle drawings.
Item 1.
Sporty's JD-200 Transceiver ($400 value) Item 2.
One hour trip in a Piper Meridian turbo-prop aircraft for 2.
One up-front flying right seat if you like.
($500 value) To be confirmed You are also welcome to join the Board meeting to be held at the same location Friday 7:00 to 10:00 Come out to join your fellow pilots, board of directors and office staff and enjoy the day.
thank you
| Saturday San Antonio Meeting |
Andy, UBS has given us a list of open due diligence items made by UBS' Market Risk Group.
We would like to have due diligence completed by this evening so that we might sign soon thereafter.
Below are the items for which you were identified as NetCo contact.
Please let me know the status of this information and send it to me as soon as possible.
If you need any assistance from me, do not hesitate to call.
3) Detailed explanation of funding assumptions which would include what levels the traders expected to receive funding from Treasury and how Treasury derived both overnight and term internal lending rates.
- Andy Zipper 4) A detailed description of how volatility curves are currently being built.
Description should include what inputs are used, are outputs consistent with inputs, and are these curves independently verified by a internal control group.
- Andy Zipper Regards,
| Open due diligence items |
Hi Andy.
Here's my suggestion (actually it was yours): Product 1 Fin Power Swap Web Visible Offered Qty: 50 Qty Increment: 5 Min Qty: 5 (or whatever you want to use as a minimum) Product 2 Fin Power Swap Ghost Product - not web visible Offered Qty: 200 Qty Increment: 1 Min Qty: 1 Base Link to Product 1 with Bid = 0, Offer = 0, Offset to Last trade of 0 with reset qty of 200 NOT Auto-hedged to Product 1 Product 3 Fin Power Option Auto-hedged to Product 2.
Here's what will happen: Suppose the option is traded and to hedge it requires a qty of 15.
The actual hedge will be against Product 2.
Product 2 offered qty will reduce to 185.
Since Product 2 is not auto-hedged to Product 1, there will be no impact on the main swap.
The prices for Product 2 will always be exactly those of Product 1 since the bid and offer are 0.
Note: Eventually, the offered qty for Product 2 will reduce below the amount needed for hedging a particular trade (for instance, if every trade required a hedge qty of 15, then after 13 trades, your remaining qty would be 5).
This is not a problem.
The hedging model for options allows for not enough volume being available on the swap.
The next trade would simply get fully hedged and pop the qty back up to 200.
Since it has an offset to last trade of 0, the bid and offer prices would still be those of Product 1.
Also Note: We will have to make sure the power IT guys are prepared to get essentially the same swap (Product 1 and Product 2) under two different product ids.
Does this make sense?
| solution for hedging options that doesn't decrement swap volume |
Jay, It was good to meet you today.
As per our conversation in the hallway, Andy Zipper and I would like to get the "Vega Limit" for power options decimalized.
Currently we can only take this value down to 1.
We would like to have the ability to set this at .1 (point one).
Thanks.
Rob Stalford 853-6768
| online power option change request |
Hi Andy, I'm not sure if Andy Lewis explained to you what we were working on with Enron.
Basically, our team is responsible for creating a performance simulation to replace Enron's Basic Risk Management course.
Along with the simulation, a Knowledge System (series of html pages) will be delivered to each learner.
This Knowledge System is a series of topics or "chapters" each consisting of content that will help the learner perform throughout the simulation.
Think of this as a encyclopedia, where the learner can go to as a source of reference.
Topics include, but are not limited to: Hedging Basics, Risk Identification, Swaps, Options, Commodity Fundamentals, and Accounting & Reporting.
I've attached the topic outline for Swaps and the practice exercises and graphics section of the Knowledge System for you to review.
(See attached file: Framework Swaps_Final.doc)(See attached file: Swaps Graphic ideas and practices_5.doc) Sheri and I are responsible for this Knowledge System and would like your help in the Swaps topic.
Specifically, we would like you to help us with practice exercises the learner will complete within the Swaps topic and graphic ideas that will also support the content in this topic.
In addition, we are hoping you can provide us with some of the questions that is outlined in the topic outline.
(see above) I will still like to meet with you this afternoon at 3:00pm, so let me know what your schedule looks like.
Let me know if you have any questions, I can be reached at X5-6687.
Thanks,
| Confirmation: Risk Management Simulation Meeting 11/15/01 |
Just a reminder that I will be out of the office on Wednesday 11/21/01.
If you need assistance, Becky can help you and she can reach me if needed.
Ina
| Reminder |
BROADCAST MESSAGE TO ALL PILOTS: Have a safe and wonderful Thanksgiving.
Thank you for all you do for me and Angel Flight.
God Bless you and your families at this special time of year.
| pending missions and Thanksgiving wishes |
ONE LAST REMINDER ....
PLEASE RSVP BY FRIDAY, NOV 30 Angel Flight South Central would like to invite you to a fly-in BBQ at Giddins-Lee County airport (62H), Saturday December 15th.
12:00 noon to 3:00 pm Come on out and meet some of your fellow pilot and volunteers helping to make organization a successful one.City meat market will be preparing sausage, brisket, and pork, with potato salad, beans, rolls, and iced tea.
To off-set our cost a $5.00 donation would be appreciated.
HOW TO GET THERE:
| GIDDINGS BBQ FLY IN DEC 15 |
One of our Arkansas pilots died this week He had signed up in August of 2001 but had not flown a mission for us yet.
Details on the memorial forthcoming.
Below is correspondence regarding the crash.
Be careful out there.
Beth, According to news reports this morning Dr. Jim Arnold and his wife were killed yesterday in the crash of their Cessna Conquest near Arkansas City, KS, leaving two boys ages 5 and 7.
That will also effectively remove Stan Sence from the pilot list as he flew Dr. Arnold's other airplane.
Don Beth --
| Angel Flight South Central pilot death |
BROADCAST MESSAGE TO ALL PILOTS: PLEASE REMEMBER TO CONTACT YOUR PATIENT AS SOON AS YOU RECEIVE THE PAPERWORK, AND AT LEAST 24 HOURS BEFORE THE FLIGHT TO CONFIRM TIME AND PLACE.
WE HAVE HAD PATIENTS CALLING IN BECAUSE THEY HAVEN'T HEARD FROM THEIR PILOT YET.
ALSO, SOME ARE WORRIED WHEN THEY DON'T HEAR FROM THEIR PILOT AS THE MISSION DATE GETS CLOSE AND THEY ARE FINDING OTHER WAYS TO GET THERE AND ARE CANCELING.
I currently have 13 pending missions.
If you can fly please call or email the office as soon as possible.
1 for SAT 1.
New Orleans to Huntsville, AL (leg 1 of 3 leg mission) 1 for THURS 1.
Houston to Jackson, MS (LEG 2 of 3 leg mission) PLEASE CHECK THE WEBSITE FOR OTHERS thank you
| pending missions SAT THUR |
Joe Gold has kept you informed of our discussions with NYMEX.
Please see First Draft attached of our understanding of this meeting.
Joe Robertson of our New York office 001 212 715 5254 is fully aware of our ideas and has (as far as metals are concerned) good contacts at NYMEX.
We would suggest that you engage him as the metals futures specialist in your further discussions with NYMEX.
We have had some further telecon discussions with NYMEX and will modify this first draft and, of course, send you final copy we transmit to NYMEX.
Best regards
| NYMEX Aluminium Market Maker |
Ladies and gentlemen, A gentle reminder that the pledges you made to Jeff Skilling for the MS150 are now overdue.
Kindly send your check, made payable to "NMSS," to me at EB5008a no later than Friday, June 1.
Community Relations is handling the matching gift for this event, so there is no need to complete a matching gift form.
If you have any questions regarding your pledge, please don't hesitate to call me at x3-5984.
Thank you again for your support on this event.
Regards,
| MS150 pledges |
I just wanted to let everyone know our time line with respect to NGX: May 31st - Press release to the industry that Enron's information will be included in the NGX Index starting July 1st, 2001 (Rob Milnthorp).
June 15th - Enron systems are in place to transfer data to NGX (Andy Zipper & Jay Web).
June 30th - NGX is tested and ready to go.
July 1st - Enron's data is included!!!!
If anyone needs help facilitating this process please coordinate with Chris Lambie (974 - 6780).
Regards,
| NGX |
The EnronOnline Audit is scheduled to begin the week of June 4, 2001 and is expected to take approximately two months to complete.
The audit will be executed by Arthur Andersen and led by Jennifer Stevenson and Russ Bouwhuis.
We will schedule an opening meeting with you the week of June 4, 2001 to discuss audit scope and any concerns or suggestions you may have.
The objective of the audit will be to determine whether procedures and controls exercised over activities are adequate and operating effectively.
Results of the audit will be discussed with you and other appropriate personnel both during the audit and at the audit closing meeting.
We will endeavor to conduct this audit in a manner that will minimize interruption of your normal business activities and we look forward to working with you and your personnel.
Please call me at x5-4554 if have any questions.
Mechelle Atwood Director, Enron Assurance Services Enron Wholesale Services
| Enron OnLine Audit Notification |
Andy, Just finished meeting with Nelson from gas fundies and Martin Lim from power fundies to discuss getting the Exotica libraries migrated ASAP.
The best I can get from them is "hopefully tomorrow" as far as a date for migration.
They are dealing with the validation of calculation routines between the UBS libraries and the Exotica libraries since Exotica will play a role in pnl calculation.
I will follow up on this again tomorrow.
I told them that "hopefully tomorrow" was not the answer I was looking for so I would help out in any way.
They recognize that we need these libraries loaded on our machines regardless of their validation.
Also, Nelson showed me a list of the products that are scheduled for 'day 1' and power options are not on that list.
There are a lot of people working with that list to prioritize support so this is just a heads up for you.
Later.
Rob
| Exotica add-in |
According to the International Coal desk, the three brokers that have expressed interest are: - TFS - GFI - NatSource Apparently the desk is not as enthusiastic about NatSource from their perspective, though they would be happy to see the other two getting access.
Let me know if I can further assist.
Thanks,
| Int'l Coal & Broker Client |
Offline Contact Status - 6/6/01 1.
Commerce One C1 is working on a valuation analysis, including customer discussions.
A meeting in Austin with Mark Hoffman and Matt Graves is being arranged for Thursday or Friday, 6/21 or 6/22.
C1's current position is that the value of an Enron company owning the Offline IPR is $50 - $100 million.
2.
Reuters Philippe and Andy are following up with Phil Lynch and others to define a go-forward plan.
3.
Sungard Executive meeting being scheduled.
Also exploring interest in mid/back office systems and DealBench.
4.
SAP Conference call with Brian Bartoldson of SAP Consulting scheduled for this Thursday, 6/7, at 2pm.
Brian will provide additional "expert" input to Gary Fromer, who is still trying to sort through the size of the Offline market opportunity.
5.
Sun/iPlanet Meeting with John Fowler of Sun M&A scheduled in Houston on Tuesday, 6/12 .
Offline will be discussed from 9am - 12:30pm, DealBench from 12:30pm - 3pm.
6.
Microsoft Working with Peter Houston, Group Program Manager for Active Directory, to see if he can help us get a meeting in Redmond with the right Microsoft audience.
Have been referred to James Utzschneider, one of the Microsoft application product executives.
Philippe is working with Microsoft contacts also from the technology side.
7.
BEA Initial interest confirmed via conference call last week.
Trying to schedule initial meeting for presentation and demo.
8.
Siebel Working with Beth Perlman and Joe Wong to establish contact.
9.
HP Working with local HP representative, Michael Morrison, to establish contact.
10.
TIBCO/Accenture On hold.
11. i2 On hold.
| Latest Offline Contact Status |
Savita In our testing we have found the inability to manage our wing-strikes risk.
The way it works for power markets is that most traders would be unwillling to trade more than 250MW of a wing strike without widening out the bid offer.
Similarly the risk at some point can get high enough to suspend wing strikes.
In the current option manager, the only possibility is to increase or decrease the ATM suite vol (which has little effect on the wing strikes anyway).
For that reason we need a volumetric control for each strike.
The volumeteric control could be a toggle which could be turned on or off.
If the volumetric control toggle si on, corresponding to each strike, there would be a maximum volume.
If the strike is hit or lifted by that volume, that strike is automatically suspended and the trader notified.
This allows the individual strike risk to be limited.
This also allows us to put some less liquid markets out there - where the price discovery is evolving.
In those products we can put the volume to be limited at 100 MW for each strike making the risk more manageable.
Pls give me a call, so that we can discuss this further.
Harry Arora
| Option Manager - extra features |
Andy, Mark Tawney told me that you are setting up a cross-commodity desk.
I think it very interesting.
Could you give me more details?
Depending on exactly you have in mind, we may be able to help you using weather products.
Thanks,
| Cross-commodity desk |
Greg Whalley has requested a Trader's Meeting tomorrow morning @ 7:45 a.m. (CST).
The meeting will be held in his office, ECS 06752.
The dial-in number for Portland and Calgary is listed below.
| Trader Meeting - 2/7 @ 7:45 a.m. (CST) - ECS 06752 |
I attach an updated list (to Feb 5) of the terminated contracts to date.
F= or informational purposes, I have added a column that sets out the settleme= nt dates for contracts we have settled, so there may be some additional cou= nterparties added to my previous list where there was no ECC agreed termina= tion date but we have settled and terminated (no one needs to do anything f= or these c/ps).
Again, the first table sets forth the physical contracts t= hat have been terminated and the second sets out the financial contracts, a= nd all data reflects ECC's (not the counterparties') perception of the worl= d. I have vetted my list against Blakes' master list and believe this is a= ccurate in all respects.
As I indicated in my previous e-mails to you ther= e were a few date discrepancies and I have previously provided you with the= corrected dates for El Paso, Marathon, AEC Marketing, Calpine (Encal), Wil= liams Energy and Baytex (all physical), all which are now correctly reflect= ed in the attachment.
A few others that were not previously on the list in= clude Coast Energy (physical) which auto terminated on Dec 2 and PrimeWest = Energy (physical) which auto terminated on Dec 2.
=20 Thanks
| Terminated Counterparty Contracts |
Further to prior e-mails, I have now confirmed with Blakes that the following c/ps originally had the wrong termination dates set.
They have now been corrected to the appropriate dates, all of which were Feb 1, 2002 (John, these are the same ones I identified to you last week).
AEC Marketing, physical, gas - February 1, 2002 Calpine Canada Natural Gas Partnership (Encal) physical, gas - February 1, 2002 El Paso Merchant Energy, physical gas - February 1, 2002 Williams Energy Marketing & Trade Co. - February 1, 2002 Greg
| Termination Dates |
I have updated the list to reflect all changes received.
If you notice any more errors or if any counterparties have been reassigned, please let me know so that I can continue to make changes.
Also, please see Louise's additions at the bottom of the list (from Adams Resources Marketing downward) and let me know if you have good relationships with any of these counterparties and could please take responsibility for them.
Otherwise, our marketing team will be contacting these customers.
Finally, please note that even though there may be names for a specific counterparty in both the gas and the power columns, the person ultimately responsible for contacting that customer regarding the password application and registration forms is the person in the PA column on the far right.
Please remember when you are speaking to your customers to get all contact info possibly including contact name, phone and fax, e-mail, and address and send all this to Mary Griff Gray so that she can send them the PA and registration forms.
Please call me at 5-3614 if you have any questions or come by my desk at 06541.
Jennifer McQuade
| Updated List |
The name for the Canadian entity which will enter into both Master Agreements and individual commodity transactions is: "UBS Warburg Energy (Canada) Ltd.", as confirmed by Lou Eber: UBS Chief Legal Counsel.
I am working on chasing down the parental guarantee issue.
Dave
| Canadian legal entity |
John, Attached is a spreadsheet that outlines the transactions with the Power Pool today, specifically the $6.95 M that will be withheld as a security deposit for Enron Canada Power Corp.
If you have any questions or concerns, please give me a call.
<<Enron Security Jan 29 2002.xls>>
| Power Pool |
Hi John, As per our conversation last week, I just wanted to double check on a potential raise before the deal closes on Friday.
I know that more than a few non-promotional raises have been offered and accepted for the transfer to UBS, and I'd like to make absolutely sure that I'm not eligible for one.
As Cowan says, potentially the bonus pool may be much bigger next year, which is great, but it's not for sure.
And given the promises Enron has dolled out over the years, it doesn't mean that much right now, especially considering it's in UBS's best interest for us not to make a killing in the first year in order to buy out the company at a lower price.
Thanks,
| UBS |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Chevron Canada Resources and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Pool received your acknowledgement of Enron's change in the source asset for the direct sales/forward contract registrations for contract # 1947 to modify the source from the Sundance 3 unit (SD3) to Enron's unmetered source asset (ECP-).
The modified registration terms will be effective December 29 HE 1 2001 and will apply until the expiry date of the contract registration for net settlement purposes.
As for the sink asset related to direct sales/forward contract # 1947, Enron has acknowledged and accepted your change to the sink asset from CH1A to CH1U.
This change will be effective January 1, 2002 HE 1 and our systems will be changed today.
If you have any questions relating to this matter, please give me a call.
| Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Suncor Energy and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Pool received your acknowledgement of Enron's change in the source asset for the direct sales/forward contract registrations for contract # 1421 to modify the source from the Sundance 3 unit (SD3) to Enron's unmetered source asset (ECP-).
The modified registration terms will be effective December 29 HE 1 2001 and will apply until the expiry date of the contract registration for net settlement purposes.
If you have any questions relating to this matter, please give me a call.
| Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Lethbridge Ironworks and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 7 the Power Pool received your acknowledgement of Enron's change in the source asset for the direct sales/forward contract registrations for contract # 934 to modify the source from the Sundance 3 unit (SD3) to Enron's unmetered source asset (ECP-).
The modified registration terms will be effective December 29 HE 1 2001 and will apply until the expiry date of the contract registration for net settlement purposes.
In addition, as has been verbally communicated to you, the Power Pool was required to modify a direct sales/forward contract with Enron Canada Power Corporation that was registered with the Power Pool in 2001 due to the sale of the Sundance 3 unit effective December 29 HE 1 2001.
The details of these changes are provided below.
*********************************** Original Contract Number: 933 Terminated: December 28 HE 24 Source: Enron Sundance 3 (Enron's metered asset) Sink: LI1L New Contract Number: 2053 Begin Date: December 29 HE 1 Expiry Date: December 31 HE 24 Source: Enron ECP- (Enron's unmetered asset) Sink: LI1L If you have any questions relating to this matter, please give me a call.
| Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales registration for contracts that are currently registered with the Power Pool between your organization and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Pool received your acknowledgement of Enron's change in the source asset for the direct sales registrations for contracts 259, 260, 1950 to 1976 (total of 29 contracts) to modify the source from the Sundance 3 unit (SD3) to Enron's unmetered source asset (ECP-).
The modified registration terms will be effective December 29 HE 1 2001 and will apply until the expiry date of the contract for net settlement purposes.
In addition, as has been verbally communicated to you, the Power Pool was required to modify two of Encore/EPCOR's direct sales contracts with Enron Canada Power Corporation that were registered with the Power Pool in 2001 due to the sale of the Sundance 3 unit effective December 29 HE 1 2001.
The details of these changes are provided below.
*********************************** Original Contract Number: 148 Terminated: December 28 HE 24 Source: Enron Sundance 3 (Enron's metered asset) Sink: EA1U New Contract Number: 2050 Begin Date: December 29 HE 1 Expiry Date: December 31 HE 24 Source: Enron ECP- (Enron's unmetered asset) Sink: EA1U *********************************** Original Contract Number: 245 Terminated: December 28 HE 24 Source: Enron Sundance 3 (Enron's metered asset) Sink: ENC+ New Contract Number: 2051 Begin Date: December 29 HE 1 Expiry Date: December 31 HE 24 Source: Enron ECP- (Enron's unmetered asset) Sink: ENC+ *********************************** If you have any questions relating to this matter, please give me a call.
| Power Pool of Alberta |
John, Further to the voice message that I left you, I have recalculated the amount of security that would be required if all of the modified direct sales contracts are acknowledged by noon January 4.
The calculations are still a bit rough but I thought this spreadsheet would provide you with something to review.
I have used a $35 Pool Price in the calculations.
Note the additional tabs in the spreadsheet that detail the hourly generation that the Pool has received for SD3 and SD4 .
In determining the actual security required, we will need to review the megawatts in the contracts registered in detail once we have the acknowledgements tomorrow.
For simplicity I have assumed that everything is base load and I know this is not correct.
Once we know exactly what contracts we are looking at, we can fine tune the calculation.
<<December SD3 and SD4.xls>>
| Enron Security |
Make sure that all curves are downloaded by the end of simulation, 11:00 CST, tomorrow.
Ideally, the 2/7/02 curves should be marked in the morning prior to simulation.
We have been instructed to kick the calculation off as close to 11:00 CST as possible.
This is to ensure that ALL downstream systems are able to run through the simulation.
Please forward to all applicable traders.
Thanks,
| Simulation Curves |
John: Do you need Accumap day one?
Carmen said that it had not been renewed so do you have access to it now?
If you do need an account how many and for who?
thanks,
| IHS Accumap |