RE: Interest Rate / FX Curves ,
 Key Issue For Int/FX Process Day 1 : 
1) We need a business person in Houston to validate the interpolation process and the business process flow. This needs to be completed today. Jeff Gossett has agreed to do this if no one is yet assigned. He will check with Lavarado to see if they have designated an owner of Int/FX processes. If this person is designated, Jeff will put this person in touch with Brad Merrell to complete this task. 

Interest / FX Curves -- The process 'Day 1' is briefly as follows: 
1) UBS will Email the officialized curve data at the end of each business day. For now, we will only use the officialized UBS curves. The downside in the short run is that this data won't be recieved until 5:30 PM. We will obviously be working on a process with UBS to accelerate this process. 
2) The Int/FX curve data from UBS is not in a monthly format and they cannot generate a monthly format. As such, we have created a spreadsheet that takes these inputs and generates an interpolated monthly curve. 
3) These curves will be manually uploaded into ERMS
4) ERMS will feed the downstream systems as it has in the past
5) For those systems that interfaced to Infinity for Int/FX data, we will have to process manual updates. We have identified Laura Scott and Cheryl Dawes in Canada for Unify. We will designate a person to do the same for the SAP system. We will designate a person to do the same process for Enpower. This will be closed today and documented in the process flow. 

Upcoming Milestones: 
1) The interpolation spreadsheet is completed. It is being unit and string tested and reviewed by IT today. We are ready for a business person to review and approve this now. 
2) Brad Merrell is completing the business process flow documentation. Owners of the various steps in the manual process are being defined. This will be completed today. A draft will be sent out and reviewed this PM
3) We will test the process tomorrow in the 'Mock Mock' test as well as the official test on Thursday. 

Thanks. 


 -----Original Message-----
From: 	Gossett, Jeffrey C.  
Sent:	Tuesday, February 05, 2002 8:57 AM
To:	Johnson, Jeff; Wei, Zhiyong
Cc:	White, Stacey W.; Hedstrom, Peggy; Beck, Sally
Subject:	FW: Interest Rate Curves


Are we all set on this?  Or do I need to get this and forward to you to download on a daily basis?  Let me know.

Thanks

 -----Original Message-----
From: 	James.Howard@ubsw.com@ENRON  
Sent:	Tuesday, February 05, 2002 8:53 AM
To:	Gossett, Jeffrey C.; Scott, Laura; White, Stacey W.
Subject:	Interest Rate Curves

Hi,

Is anyone talking to you guys about sourcing end of day Interest Rate
Curves for your various risk management systems, or would you like me
to arrange for them to be sent to you at the end of each day?

I could arrange for a file containing the OBS (UBSW Interest Rate
Derivatives system) yield curves to be e-mailed to you once they are
saved every afternoon.  The official closes for the USD and CAD LIBOR
curves are saved down at around 3:30pm / 3:40pm New York time each
afternoon.

The files would contain prices for the swaps, futures and money market
instruments that are used to build the curve, and also the
corresponding zero coupon rates on a continuous A/365 basis.  I guess
we would have to talk about the exact form that your systems need the
rates to be in to see if any conversion would be necessary.

Cheers,

James


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