I still don't understand.  But we are net short crude, and Crude, company 
wide got longer 1000 contracts yesterday.  This is counter to what you are 
saying below... Jeff


To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT 
Subject: Re: Liquids Violation Memo: Nov. 6  

You are correct, JBLOCK got longer 495K barrels.  However, crude is a huge 
hedge component on this deal and net crude position for Liquids is short.
As you can see on the Component VaR graph, with the short position in crude, 
it is eating up most of Agg-Liquids VaR.  Therefore, putting on any long 
position in products (this includes LPG's) would act as a hedge.  





Jeffrey A Shankman@ECT
11/07/2000 12:41 PM
To: Christian LeBroc/Corp/Enron@ENRON
cc: John L Nowlan/HOU/ECT@ECT 

Subject: Re: Liquids Violation Memo: Nov. 6  

how did it reduce var if we added to the underlying positions?


To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT 
Subject: Re: Liquids Violation Memo: Nov. 6  

JBlock does take up some of the VaR for Agg-Liquids; however, it is not a 
contributor of VaR violation for effective date Nov. 6.  As matter of fact, 
the VaR for JBlock went down.  The component VaR graph below shows that 
heating oil was a hedge but no longer as of yesterday.  Gasoil is still a 
hedge for Agg-Liquids but the hedge is reduced.    





Jeffrey A Shankman@ECT
11/07/2000 12:07 PM
To: Christian LeBroc/Corp/Enron@ENRON
cc: John L Nowlan/HOU/ECT@ECT 

Subject: Re: Liquids Violation Memo: Nov. 6  

Where is the mention of J Block hedges. 


   
	
	
	From:  Christian LeBroc @ ENRON                           11/07/2000 12:04 PM
	

To: Chris Abel/HOU/ECT@ECT, Susan D Trevino/HOU/ECT@ECT, Michael 
Benien/Corp/Enron@ENRON, Homan Amiry/LON/ECT@ECT, Bjorn 
Hagelmann/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT, Jeffrey A 
Shankman/HOU/ECT@ECT, John L Nowlan/HOU/ECT@ECT
cc: John Swinney/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Michelle 
Bruce/HOU/ECT@ECT 
Subject: Liquids Violation Memo: Nov. 6

Liquids desk has a VaR violation for effective date Nov. 6 of  $8.2MM, over 
its limit by 3 percent. 

The violation was due to heating and gasoil going shorter by 939K barrels.  
Essential, shorten the heat/gasoil position reduced the overall net long 
products, portfolio causing the crack spreads to widen when crude oil is net 
short 5MM barrels.

Furthermore, volatility on crude was up 3 percent with 15 cents upward move 
in price. 

Christian