Rick

1	Limits. Here's how I interpreted the BOD approvals:

The BOD approved an aggregate of $150MM, with $50MM of discretionary VaR, plus the new policy which doesn't recognise the concept of discretionary VaR. So here's what I did:

Effectively I allocated all the $50MM of discretionary such that Pug's "Big Buckets" are now as follows:

US Gas				$100MM
US Elec				$100MM
Europe Gas & Elec			$35MM
Global Products			$20MM
Financials				$15MM
Emerging Businesses		$20MM

If you have a calculator handy you'll see that this aggregates to $149.164MM (assuming zero correlation). 

At Business Unit level the individual commodity limits are unchanged, and I have put limits over the Business Units themselves as follows:

Enron Americas				$82MM
EWS OOC (aka George Martingale)	$3MM 
EEL					$34MM
EGM					$23MM
EIM					$8MM
EBS					$4MM
PGE					$4MM
ETS					$1MM

Again I used root-sum-of-squares, and remember the original commodity limits (by VaR, net open and mat gap) are still in place (e.g. gas = $61MM as before). So that keeps it screwed down pretty tight and preserves the discretion between the "Big Buckets" and the Business Units.

I spoke to Rebecca C who could only remember the decision outlined above, but offered to call Pug and let him know. I said I would come back on that. I think we should do that ourselves, possibly with Lay in the loop (?).

Cleared it with Whalley today (he laughed), mentioned the dwindling membership of the Risk Management Committee and said "In my current role I think I should be asking for limits, not approving them"

...and then...

2	The gas desk lost $98MM yesterday

A combination of a very bullish AGA number (3 Bcf injection - not a typo - three Bcf !) plus some hurricane activity in the gulf sent prices up by between 25 and 30c all across the strip. The long and the short of it was we are long Nov - Jan but short (big-time) out beyond that - the rest is arithmetic.

So we have two flavors of P&L notification, one at the business unit level (Americas) $89MM loss against VaR limit of $82MM; the other as a commodity, losing $126MM (the desk aren't the only ones with a gas position, as usual) against the Big Bucket number of $100MM. Total trading was a loss of $106MM against a VaR limit of $150MM so no calls to Pug required (thank goodness).

That's it for now, hope you're having fun and remember: pan-fry the big ones and throw back the little ones.

DP