Just FYI  -- big Flap between IT and RAC on this  -- but it is affecting the accuracy of what is reported in our DPR

note that Louise and Lavorato were copied on this

B

 -----Original Message-----
From: 	Port, David  
Sent:	Friday, April 20, 2001 8:48 AM
To:	Stock, Stephen; Ramesh, Ganapathy
Cc:	Kitchen, Louise; Lavorato, John; Murphy, Ted; Gorny, Vladimir; Hagelmann, Bjorn; Hayden, Frank; Andrews, Naveen; Zipter, Rudi; Apollo, Beth
Subject:	Factor Loadings for VAR
Importance:	High

Please explain why factor loadings were put into production yesterday without approval.

Please roll back last night's changes immediately.

We intend to sign off the factors today and if acceptable they should be loaded today.

In future if you don't have my signature on a piece of paper, no new factors go in. 

What I require to make the decision is as follows:

1	The new correlations per the numerical method
2	The old correlations
3	A summary of primary curves
4	A summary of major positions
5	The resulting incremental change in VAR, by commodity, desk and/or major position
6	Evidence of a discourse with the appropriate desk heads/book admins about the change

Beth, lets add this to the list of tasks for the Global Middle Office and agree transition.

Rgds
DP