global markets limits enron bod approved following limit changes global markets today effective trading day tuesday february 13 2001 separate e mail sent head traders business unit controllers cao commodity groups limit changes new limits existing limits equity trading net open position limit 200 mm 100 mm maturity gap limit n n var limit 10 mm 6 mm convertible arbitrage net open position limit 150 mm maturity gap limit n var limit 2 mm product included debt trading commodity group transferred enron europe combined credit trading december 2000 new limits requested establish separate commodity group global markets 2001 financial instruments foreign currency net open position limit 150 mm 100 mm maturity gap limit n n interest rate net open position limit 250 000 bp 100 000 bp maturity gap limit n 50 000 bp 2 yrs var limit 5 mm combined 3 mm combined soft commodities net open position limit 4 000 contracts 2 000 contracts maturity gap limit n 2 000 contracts var limit 2 mm 0 75 mm grains net open position limit 750 contracts 1 000 contracts maturity gap limit n 1 000 contracts var limit 0 5 mm 0 5 mm meats formerly called livestock net open position limit 750 contracts 1 000 contracts maturity gap limit n 1 000 contracts var limit 0 5 mm 0 75 mm weather derivatives net open position limit 40 000 eol equiv contracts 30 000 eol equiv contracts maturity gap limit n n var limit 4 5 mm 3 mm 100 mm notional value coal freight net open position limit 30 mm mt 15 mm mt maturity gap limit 30 mm mt 12 month 15 mm mt 12 month var limit 7 mm 4 mm freight limited 2 mm var change global products net open position limit 18 mm bbl 12 5 mm bbl maturity gap limit 19 mm bbl 12 month 15 mm bbl var limit 15 mm 8 mm eol crude sub limit global products net open position limit 2 mm bbl maturity gap limit 3 mm bbl 12 month var limit 3 mm included global products 15 mm var lng net open position limit 9 bcf none maturity gap limit 12 bcf 12 month none var limit 5 mm none note 1 bod directed us combine limits businesses individual commodity limits may become sub limits subject larger combined limit example 1 combine equity convertible arbitrage financial instruments r f x 2 combine softs grains meats potentially newer businesses well work higher level limits developed note 2 cross commodity trading authority pre approved anyone company authority trade commodity authorized trader must obtained business unit office chairman commodity group authorized trade commodity appropriate reporting noted policy amendments follows u clarify cross commodity trading policy specify trading limits applied enron consolidated commodity positions individual commodity group basis enron consolidated daily position report provide required market risk disclosures primary commodity group example enron exposure north american natural gas market shall aggregated across company delegate cross commodity trading approval among established commodity groups respective business units offices chairman appropriate reporting enron corp chief risk officer u specify operational control requirement trades executed telephone must recorded electronically relevant excerpts revised policy addressing cross commodity trading guidelines distribute entire updated policy soon incorporate bod comments v operations controls b position reporting purposes limit monitoring aggregation enron consolidated trading results enron consolidated daily position report include net open position maturity gap position profit loss potential exposure var approved commodity groups consolidated across company without regard business unit undertook trading activity instances limits granted business unit basket commodities reporting individual commodity risk books shall maintained facilitate aggregation enron actual consolidated commodity specific exposure management reporting may separately provide business unit sub limit monitoring trading results aggregated according management lines e transaction approval execution employees designated enron corp chief risk officer designee authorized enter transactions behalf enron chief risk officer must also maintain record employees responsible individual commodity groups commodity group manager specified appendices individuals assigned commodity leaders manage enron aggregate position across company determined necessary chief risk officer vi policy amendment authority b cross commodity position authorization ordinary course business enron business unit trading desk incurs exposure underlying commodity financial instrument explicit authority carry exposure hedged internally appropriate enron desk appropriate notification chief risk officer designee hedge positions instruments observable correlation underlying exposure rebalanced regularly substantially neutralize underlying exposure upon notification chief risk officer designee enron business unit office chairman authority commodity group may authorize specific trader different commodity group take speculative positions enron trading desks commodities financial instruments trader explicit authority trade e business unit office chairman north american natural gas may authorize trader coal group trade gas north american natural gas desk limit monitoring purposes enron consolidated trading results cross commodity positions shall captured individual commodity facilitate aggregation reporting enron consolidated exposure commodity daily position report coal desk gas position aggregated north american natural gas commodity group questions feel free call bjorn hagelman x 57984 x 30429 david port x 39823 regards cassandra schultz